INTERMEDIATE FINANCE II CLO Offering Memorandum - BLACK ...

INTERMEDIATE FINANCE II PLC
(a public company with limited liability incorporated under the laws of England and Wales)
€104,000,000 Class A-1 Senior Secured Floating Rate Notes due 2024
€195,000,000 Class A-2 Senior Secured Floating Rate Multi-Currency Notes due 2024*
€26,000,000 Class A-3 Senior Secured Floating Rate Notes due 2024
€63,000,000 Class B-1 Senior Secured Floating Rate Notes due 2024
€15,000,000 Class B-2 Senior Fixed Rate Notes due 2024
€78,000,000 Class C Secured Deferrable Floating Rate Notes due 2024
€39,000,000 Class D Secured Deferrable Floating Rate Notes due 2024
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The Notes will be secured by a Portfolio of Mezzanine Obligations managed by Intermediate Capital Managers Limited (“ICM” or the “Investment Manager”),
a wholly owned subsidiary of Intermediate Capital Group PLC (“ICG”).
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Intermediate Finance II PLC (the “Issuer”) will issue the Class A-1 Notes, the Class A-2 Notes, the Class A-3 Notes, (together, the “Class A Notes”), the
Class B-1 Notes, the Class B-2 Notes, (together, the “Class B Notes”), the Class C Notes and the Class D Notes (each as defined herein). The Class A Notes,
the Class B Notes, the Class C Notes and the Class D Notes are collectively referred to herein as the “Notes”. The Notes will be issued and secured pursuant to
a trust deed (the “Trust Deed”) dated on or about 5 Jul 2007 (the “Issue Date”), made between (amongst others) the Issuer and Deutsche Trustee Company
Limited in its capacity as trustee (the “Trustee”). The Notes will be initially offered at the prices specified in the “Summary” or such other prices as may be
negotiated at the time of sale.
* The Class A-2 Notes (as defined herein) will be denominated in Euro or a Class A-2 Currency. Holders of the Class A-2 Notes may be required to fund
amounts in a Class A-2 Currency and/or Euro from time to time as described in greater detail herein.
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Payments on the Notes will be made semi-annually on 15 January and 15 July (as adjusted for non-Business Days), in each year, commencing on 15 January
2008 in accordance with the Priorities of Payments described herein. During the Class A-2 Availability Period (as defined herein) payments on the Class A-2
Notes will also be paid semi-annually on 15 January and 15 July (as adjusted for non-Business Days), commencing on 15 January 2008 or on any other
Business Day (together with any Break Costs) as determined by the Investment Manager (acting on behalf of the Issuer), and such payments shall not be subject
to the Priorities of Payments. The Notes will be subject to optional and mandatory redemption as described herein. See Condition 7 (Redemption).
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See “Risk Factors” for a discussion of certain factors to be considered in connection with an investment in the Notes.
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This Offering Memorandum constitutes a “Prospectus” for the purpose of Directive 2003/71/EC (the "Prospectus Directive").
Application has been made to the Irish Financial Services Regulatory Authority (the “Financial Regulator”) as competent authority (the “Competent
Authority”) under Prospectus Directive for the Offering Memorandum to be approved. Such approval relates only to the Notes which are to be admitted to
trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of Directive 93/22/EEC or which are to be offered
to the public in any member state of the European Economic Area. Application has been made to the Irish Stock Exchange for the Notes to be admitted to
the Official List and trading on its regulated market. It is anticipated that listing and admission to trading will take place on or after the Issue Date. There
can be no assurance that such listing and admission to trading will be granted.
It is anticipated that the Issuer may, and it shall be permitted, from time to time, without the prior consent of the Noteholders or the Trustee, subject to fulfilment
of certain conditions described in greater detail below, to issue one or more additional tranches of Class A Notes (the “Further Class A Notes”), Class B Notes
(the “Further Class B Notes”), Class C Notes (the “Further Class C Notes”) and the Class D Notes (the “Further Class D Notes” and, collectively, the
“Further Notes”), in each case on the terms and conditions set out in the Conditions of the Notes as supplemented and/or modified by a Pricing Supplement
issued in respect thereof.
It is a condition of the issue and sale of the Notes that the Notes be issued with at least the following ratings from Standard & Poor’s Ratings Group, a division
of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s” and, together with S&P, the “Rating Agencies”): the
Class A-1 Notes: “AAA” from S&P and “Aaa” from Moody’s; the Class A-2 Notes: AAA” from S&P and “Aaa” from Moody’s; the Class A-3 Notes: “AAA”
from S&P and “Aaa” from Moody’s; the Class B-1 Notes: “AA” from S&P and “Aa2” from Moody’s; the Class B-2 Notes: “AA” from S&P and “Aa2” from
Moody’s, the Class C Notes: “A2” from S&P and “A” from Moody’s; the Class D Notes: “BBB” from S&P and “Baa2” from Moody’s.
The S&P ratings assigned to the Class A Notes and Class B Notes address the timely payment of interest and the ultimate payment of principal. The S&P
ratings assigned to the Class C Notes and the Class D Notes address the ultimate payment of principal and interest. The Moody’s ratings on the Class A Notes,
the Class B Notes, the Class C Notes and the Class D Notes address the expected loss posed to investors by the Maturity Date on 15 July 2024. A security
rating is not a recommendation to buy, sell or hold the Notes and may be subject to revision, suspension or withdrawal at any time by the applicable Rating
Agency.
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The Notes have not been and will not be registered under the United States Securities Act of 1933, as amended (the “Securities Act”) or the securities laws of
any state of the United States. The Notes will be offered only: (a) outside the United States to non-U.S. Persons (as such term is defined in Regulation S under
the Securities Act (“Regulation S”)) (“U.S. Persons”) in compliance with Regulation S and (b) within the United States to persons and outside the United
States to U.S. Persons, in each case, who are both “qualified institutional buyers” (as defined in Rule 144A under the Securities Act) in reliance on Rule 144A
under the Securities Act and “qualified purchasers” for the purposes of Section 3(c)(7) of the United States Investment Company Act of 1940, as amended (the
“Investment Company Act”). The Issuer will not be registered under the Investment Company Act. Interests in the Notes will be subject to certain restrictions
on transfer, and each purchaser of Notes offered hereby in making its purchase will be deemed to have made certain acknowledgements, representations and
agreements. See “Plan of Distribution” and “Transfer Restrictions”.
The Notes are being offered by the Issuer through The Royal Bank of Scotland in its capacity as initial purchaser and placement agent of the offering of such
Notes (the “Initial Purchaser”) subject to prior sale, when, as and if delivered to and accepted by the Initial Purchaser, and to certain conditions. It is expected
that delivery of the Notes will be made on or about the Issue Date.
The Royal Bank of Scotland
The date of this Offering Memorandum is 5 July 2007

NOTE DEFINITIONS
The €104,000,000 Class A-1 Senior Secured Floating Rate Notes due 2024 are referred to herein as
the “Class A-1 Notes”. The €195,000,000 Class A-2 Senior Secured Floating Rate Multi-Currency
Notes due 2024 are referred to herein as the “Class A-2 Notes”. The €26,000,000 Class A-3 Senior
Secured Floating Rate Notes due 2024 are referred to herein as the “Class A-3 Notes” and, together
with the Class A-1 Notes and the Class A-2 Notes are referred to herein as the “Class A Notes”. The
€63,000,000 Class B-1 Senior Secured Floating Rate Notes due 2024 are referred to herein as the
“Class B-1 Notes”. The €15,000,000 Class B-2 Senior Fixed Rate Notes due 2024 are referred to
herein as the “Class B-2 Notes” and together with the Class B-1 Notes are referred to herein as the
“Class B-Notes”. The €78,000,000 Class C Secured Deferrable Floating Rate Notes due 2024 are
referred to herein as the “Class C Notes”. The €39,000,000 Class D Secured Deferrable Floating Rate
Notes due 2024 are referred to herein as the “Class D Notes”. The Class A Notes, the Class B Notes,
the Class C Notes and the Class D Notes are collectively referred to herein as the “Rated Notes”.
PRIORITIES OF NOTES
The Class A-1 Notes will rank pari passu and rateably with the Class A-2 Notes (except where
specified as being subject to the Multi-Currency Provisions or the Class A Redemption Method) (each
as defined herein) for all purposes and in priority to the Class A-3 Notes, the Class B Notes, the
Class C Notes and the Class D Notes. After the redemption in full of the Class A-1 Notes, the
Class A-3 Notes will rank pari passu and rateably with the Class A-2 Notes (except where specified
as being subject to the Multi-Currency Provisions or the Class A Redemption Method) (each as
defined herein) for all purposes and in priority to the Class B Notes, the Class C Notes and the
Class D Notes. The Class B-1 Notes will rank pari passu and rateably with the Class B-2 Notes,
without any preference among themselves for all purposes and in priority to the Class C Notes and the
Class D Notes. The Class C Notes will rank pari passu and rateably without any preference among
themselves for all purposes and in priority to the Class D Notes. The Class D Notes will rank pari
passu and rateably without any preference among themselves for all purposes.
LIMITED RECOURSE AND NON-PETITION
The Notes are limited recourse obligations of the Issuer which are payable solely out of amounts
received by or on behalf of the Issuer in respect of the Collateral. The net proceeds of the realisation
of the security over the Collateral following an Event of Default or the aggregate proceeds of
liquidation of the Collateral may be insufficient to pay all amounts due to the Noteholders after
making payments to other creditors of the Issuer ranking prior thereto or pari passu therewith. In the
event of a shortfall in such proceeds, the Issuer will not be obliged to pay, and the other assets of the
Issuer will not be available for payment of, such shortfall, all claims in respect of which shall be
extinguished. See Condition 4 (Security).
RESPONSIBILITY
The Issuer accepts responsibility for the information contained in this document (save for the
information contained in the sections of this document headed “Description of the Investment
Manager” and “Description of the Collateral Administrator and the Calculation Agent”). To the best
of the knowledge and belief of the Issuer (which has taken all reasonable care to ensure that such is
the case), such information is in accordance with the facts and does not omit anything likely to affect
the import of such information. The Royal Bank of Scotland and/or its affiliates do not accept
responsibility for the accuracy, adequacy, reasonableness or completeness of the information
contained therein. The delivery of this Offering Memorandum at any time by The Royal Bank of
Scotland and/or its affiliates do not imply that the information herein is correct at any time subsequent
to the date of this Offering Memorandum (hereinafter, this “Offering Memorandum”).
The Investment Manager accepts responsibility for the information contained in the section of this
document headed “Description of the Investment Manager”. To the best of the knowledge and belief
of the Investment Manager (which has taken all reasonable care to ensure that such is the case), such
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information is in accordance with the facts and does not omit anything likely to affect the import of
such information. Neither the Trustee or any of the Agents, The Royal Bank of Scotland, nor any of
its affiliates, nor the Issuer accept responsibility for the accuracy, adequacy, reasonableness or
completeness of the information contained therein.
The Collateral Administrator and Calculation Agent accept responsibility for the information
contained in the section of this document headed “Description of the Collateral Administrator and the
Calculation Agent”. To the best of the knowledge and belief of the Collateral Administrator and
Calculation Agent (which have taken all reasonable care to ensure that such is the case), such
information is in accordance with the facts and does not omit anything likely to affect the import of
such information. Neither The Royal Bank of Scotland, nor any of its affiliates, nor the Issuer accepts
responsibility for the accuracy, adequacy, reasonableness or completeness of the information
contained therein.
FOREIGN LANGUAGE TEXT
Any foreign language text included in this document is for convenience purposes only and does not
form part of the Offering Memorandum.
DISCLAIMER
None of the Initial Purchaser, the Trustee, the Investment Manager (save in respect of the section
headed “Description of the Investment Manager”), the Collateral Administrator and the Calculation
Agent (save in respect of the section headed “Description of the Collateral Administrator and the
Calculation Agent”), the Liquidity Facility Provider, any Agent, any Hedge Counterparty or any other
party has separately verified the information contained in this Offering Memorandum and/or any
related Pricing Supplement and, accordingly, none of the Initial Purchaser, the Trustee, the Investment
Manager (save as specified above), the Collateral Administrator and Calculation Agent (save as
specified above), the Liquidity Facility Provider (save as specified above), any Agent, any Hedge
Counterparty or any other party (save for the Issuer as specified above in relation to the acceptance of
responsibility) makes any representation, recommendation or warranty, express or implied, regarding
the accuracy, adequacy, reasonableness or completeness of the information contained in this Offering
Memorandum, any related Pricing Supplement or in any further notice or other document which may
at any time be supplied in connection with the Notes or their distribution or accepts any responsibility
or liability therefor. None of the Initial Purchaser, the Trustee, the Investment Manager, the Collateral
Administrator, the Calculation Agent, the Liquidity Facility Provider, any Agent, any Hedge
Counterparty or any other party undertakes to review the financial condition or affairs of the Issuer
during the life of the arrangements contemplated by this Offering Memorandum and/or related Pricing
Supplement nor to advise any investor or potential investor in the Notes of any information coming to
the attention of any of the aforementioned parties which is not included in this Offering Memorandum
and/or related Pricing Supplement.
IRISH REGULATORY POSITION
Copies of this Offering Memorandum have been filed with and approved by the Financial Regulator
as required by the Irish Prospectus (Directive 2003/71/EC) Regulations 2005 (the “Prospectus
Regulations”).
The Issuer is not and will not be regulated by the Financial Regulator as a result of issuing the Notes.
Any investment in Notes does not have the status of a bank deposit and is not within the scope of the
deposit protection scheme operated by the Financial Regulator.
NOTICE TO NEW HAMPSHIRE RESIDENTS
NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION
FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW
HAMPSHIRE REVISED STATUTES (THE “RSA”) WITH THE STATE OF NEW
HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR
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A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A
FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE THAT ANY
DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT MISLEADING.
NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION
IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE
SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR
QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON,
SECURITY, OR TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE
MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY
REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.
OFFER/INVITATION/DISTRIBUTION RESTRICTIONS
THIS OFFERING MEMORANDUM DOES NOT CONSTITUTE AN OFFER OF, OR AN
INVITATION BY OR ON BEHALF OF THE ISSUER, THE INITIAL PURCHASER OR ANY OF
THEIR AFFILIATES, THE INVESTMENT MANAGER, THE COLLATERAL ADMINISTRATOR
OR ANY OTHER PERSON TO SUBSCRIBE FOR OR PURCHASE ANY OF THE NOTES. THE
DISTRIBUTION OF THIS OFFERING MEMORANDUM, ANY RELATED PRICING
SUPPLEMENT AND THE OFFERING OF THE NOTES IN CERTAIN JURISDICTIONS MAY BE
RESTRICTED BY LAW. PERSONS INTO WHOSE POSSESSION THIS OFFERING
MEMORANDUM COMES ARE REQUIRED BY THE ISSUER AND THE INITIAL PURCHASER
TO INFORM THEMSELVES ABOUT AND TO OBSERVE ANY SUCH RESTRICTIONS. IN
PARTICULAR, THE COMMUNICATION CONSTITUTED BY THIS OFFERING
MEMORANDUM IS DIRECTED ONLY AT PERSONS WHO (I) ARE OUTSIDE THE UNITED
KINGDOM AND ARE OFFERED AND ACCEPT THIS OFFERING MEMORANDUM IN
COMPLIANCE WITH SUCH RESTRICTIONS OR (II) ARE PERSONS FALLING WITHIN
ARTICLE 49(2)(A) TO (D) (HIGH NET WORTH COMPANIES, UNINCORPORATED
ASSOCIATIONS ETC.) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000
(FINANCIAL PROMOTION) ORDER 2005 OR WHO OTHERWISE FALL WITHIN AN
EXEMPTION SET OUT IN SUCH ORDER SO THAT SECTION 21(1) OF THE FINANCIAL
SERVICES AND MARKETS ACT 2000 DOES NOT APPLY TO THE ISSUER (ALL SUCH
PERSONS TOGETHER BEING REFERRED TO AS “RELEVANT PERSONS”). THIS
COMMUNICATION MUST NOT BE DISTRIBUTED TO, ACTED ON OR RELIED ON BY
PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT
ACTIVITY TO WHICH THIS COMMUNICATION RELATES IS AVAILABLE ONLY TO
RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS.
FOR A DESCRIPTION OF CERTAIN FURTHER RESTRICTIONS ON OFFERS AND SALES OF
NOTES AND DISTRIBUTION OF THIS OFFERING MEMORANDUM AND/OR ANY
RELATED PRICING SUPPLEMENT, SEE “PLAN OF DISTRIBUTION” AND “TRANSFER
RESTRICTIONS” BELOW.
UNAUTHORISED INFORMATION
IN CONNECTION WITH THE ISSUE AND SALE OF THE NOTES, NO PERSON IS
AUTHORISED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT
CONTAINED IN THIS OFFERING MEMORANDUM AND, IF GIVEN OR MADE, SUCH
INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN
AUTHORISED BY OR ON BEHALF OF THE ISSUER, THE INITIAL PURCHASER, THE
TRUSTEE, THE INVESTMENT MANAGER OR THE COLLATERAL ADMINISTRATOR. THE
DELIVERY OF THIS OFFERING MEMORANDUM AT ANY TIME DOES NOT IMPLY THAT
THE INFORMATION CONTAINED IN IT IS CORRECT AS AT ANY TIME SUBSEQUENT TO
ITS DATE.
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GENERAL NOTICE
EACH PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE LAWS AND
REGULATIONS IN FORCE IN EACH JURISDICTION AT ANY TIME IN WHICH IT
PURCHASES, OFFERS OR SELLS SUCH NOTES OR POSSESSES OR DISTRIBUTES THIS
OFFERING MEMORANDUM AND MUST OBTAIN ANY CONSENT, APPROVAL OR
PERMISSION REQUIRED FOR THE PURCHASE, OFFER OR SALE BY IT OF SUCH NOTES
UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTIONS TO WHICH IT
IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE
OF THE ISSUER, THE INITIAL PURCHASER (OR ANY OF THEIR AFFILIATES), THE
INVESTMENT MANAGER, THE TRUSTEE OR THE COLLATERAL ADMINISTRATOR
SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR.
THE NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE AND
MAY NOT BE TRANSFERRED OR RESOLD EXCEPT AS PERMITTED UNDER APPLICABLE
UNITED STATES FEDERAL AND STATE SECURITIES LAWS. INVESTORS SHOULD BE
AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF THIS
INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.
INFORMATION AS TO PLACEMENT WITHIN THE UNITED STATES
THE REGULATION S NOTES OF EACH CLASS (THE “REGULATION S NOTES”) SOLD
OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS (AS SUCH TERM IS DEFINED IN
REGULATION S (“REGULATION S”) UNDER THE U.S. SECURITIES ACT OF 1933, AS
AMENDED (THE “SECURITIES ACT”)) (“U.S. PERSONS”) IN RELIANCE ON
REGULATION S (OTHER THAN THE CLASS A-2 NOTES) WILL EACH BE REPRESENTED
ON ISSUE BY BENEFICIAL INTERESTS IN ONE OR MORE PERMANENT GLOBAL
CERTIFICATES OF SUCH CLASS (EACH, A “REGULATION S GLOBAL CERTIFICATE”
AND TOGETHER, THE “REGULATION S GLOBAL CERTIFICATES”), IN FULLY
REGISTERED FORM, WITHOUT INTEREST COUPONS OR PRINCIPAL RECEIPTS, WHICH
WILL BE DEPOSITED ON OR ABOUT THE ISSUE DATE WITH, AND REGISTERED IN THE
NAME OF BT GLOBENET NOMINEES LIMITED, ON BEHALF OF DEUTSCHE BANK AG
LONDON AS COMMON DEPOSITORY FOR EUROCLEAR BANK S.A./N.V., AS OPERATOR
OF THE EUROCLEAR SYSTEM (“EUROCLEAR”) AND CLEARSTREAM BANKING,
SOCIÉTÉ ANONYME (“CLEARSTREAM, LUXEMBOURG”). THE REGULATION S NOTES
REPRESENTING THE CLASS A-2 NOTES WILL BE REPRESENTED ON ISSUE BY ONE OR
MORE CERTIFICATED NOTES IN FULLY REGISTERED FORM IN THE NAME OF THE
OWNER THEREOF (EACH A “CLASS A-2 REGULATION S CERTIFICATE”).
NEITHER U.S. PERSONS NOR U.S. RESIDENTS (AS DETERMINED FOR THE PURPOSES OF
THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE “INVESTMENT
COMPANY ACT”)) MAY HOLD AN INTEREST IN A REGULATION S GLOBAL
CERTIFICATE, A CLASS A-2 REGULATION S CERTIFICATE OR REGULATION S
DEFINITIVE CERTIFICATE (AS DEFINED BELOW) AT ANY TIME.
THE RULE 144A NOTES OF EACH CLASS (THE “RULE 144A NOTES”) WILL BE SOLD
ONLY TO “QUALIFIED INSTITUTIONAL BUYERS” (AS DEFINED IN RULE 144A
(“RULE 144A”) UNDER THE SECURITIES ACT) (“QIBs”) THAT ARE ALSO “QUALIFIED
PURCHASERS” FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY
ACT (“QUALIFIED PURCHASERS” OR “QPs”). RULE 144A NOTES OF EACH CLASS
(OTHER THAN THE CLASS A-2 NOTES) WILL EACH BE REPRESENTED ON ISSUE BY
BENEFICIAL INTERESTS IN ONE OR MORE PERMANENT GLOBAL CERTIFICATES OF
SUCH CLASS (EACH, A “RULE 144A GLOBAL CERTIFICATE” AND TOGETHER, THE
“RULE 144A GLOBAL CERTIFICATES”), IN FULLY REGISTERED FORM, WITHOUT
INTEREST COUPONS OR PRINCIPAL RECEIPTS, WHICH WILL BE DEPOSITED ON OR
ABOUT THE ISSUE DATE WITH, AND REGISTERED IN THE NAME OF BT GLOBENET
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NOMINEES LIMITED, ON BEHALF OF DEUTSCHE BANK AG LONDON AS COMMON
DEPOSITORY FOR EUROCLEAR AND CLEARSTREAM LUXEMBOURG. THE RULE 144A
NOTES REPRESENTING THE CLASS A-2 NOTES WILL BE REPRESENTED ON ISSUE BY
ONE OR MORE CERTIFICATED NOTES IN FULLY REGISTERED FORM IN THE NAME OF
THE OWNER THEREOF (EACH A “CLASS A-2 RULE 144A CERTIFICATE”).
OWNERSHIP INTERESTS IN THE REGULATION S GLOBAL CERTIFICATES AND THE
RULE 144A GLOBAL CERTIFICATES (TOGETHER, THE “GLOBAL CERTIFICATES”)
WILL BE SHOWN ON, AND TRANSFERS THEREOF WILL ONLY BE EFFECTED THROUGH,
RECORDS MAINTAINED BY EUROCLEAR AND CLEARSTREAM, LUXEMBOURG,
RESPECTIVELY, AND THEIR RESPECTIVE PARTICIPANTS. REGULATION S NOTES
(OTHER THAN THE CLASS A-2 NOTES) IN DEFINITIVE CERTIFICATED FORM
(“REGULATION S DEFINITIVE CERTIFICATES”) AND RULE 144A NOTES (OTHER
THAN THE CLASS A-2 NOTES) IN DEFINITIVE CERTIFICATED FORM (“RULE 144A
DEFINITIVE CERTIFICATES”) WILL BE ISSUED ONLY IN LIMITED CIRCUMSTANCES.
IN EACH CASE, PURCHASERS AND TRANSFEREES OF NOTES WILL BE DEEMED TO
HAVE MADE CERTAIN REPRESENTATIONS AND AGREEMENTS. SEE “FORM OF THE
NOTES”, “BOOK-ENTRY CLEARANCE PROCEDURES”, “PLAN OF DISTRIBUTION” AND
“TRANSFER RESTRICTIONS” BELOW.
FOR A DISCUSSION OF CERTAIN FACTORS REGARDING THE ISSUER AND THE
OFFERED NOTES THAT SHOULD BE CONSIDERED BY PROSPECTIVE PURCHASERS OF
THE OFFERED NOTES, SEE “RISK FACTORS”.
SEE “PLAN OF DISTRIBUTION” AND “TRANSFER RESTRICTIONS” FOR CERTAIN TERMS
AND CONDITIONS OF THE OFFERING OF THE OFFERED NOTES HEREUNDER.
THE ISSUER HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE INVESTMENT
COMPANY ACT. EACH PURCHASER OF AN INTEREST IN THE NOTES (OTHER THAN A
NON-U.S. PERSON) WILL BE DEEMED TO HAVE REPRESENTED AND AGREED THAT IT
IS A QUALIFIED PURCHASER AND WILL ALSO BE DEEMED TO HAVE MADE THE
REPRESENTATIONS SET OUT IN “TRANSFER RESTRICTIONS” HEREIN. THE
PURCHASER OF ANY NOTE, BY SUCH PURCHASE, AGREES THAT SUCH NOTE IS BEING
ACQUIRED FOR ITS OWN ACCOUNT AND NOT WITH A VIEW TO DISTRIBUTION AND
MAY BE RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (1) TO THE ISSUER
(UPON REDEMPTION THEREOF OR OTHERWISE), (2) TO A PERSON THE PURCHASER
REASONABLY BELIEVES IS A QIB, WHICH IS ALSO A QP, IN A TRANSACTION MEETING
THE REQUIREMENTS OF RULE 144A, OR (3) OUTSIDE THE UNITED STATES TO A
NON-U.S. PERSON IN AN OFFSHORE TRANSACTION IN RELIANCE ON REGULATION S,
IN EACH CASE IN COMPLIANCE WITH THE TRUST DEED AND ALL APPLICABLE
SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR ANY OTHER
JURISDICTION. SEE “TRANSFER RESTRICTIONS”.
IN MAKING AN INVESTMENT DECISION, INVESTORS MUST RELY ON THEIR OWN
EXAMINATION OF THE ISSUER AND THE TERMS OF THE NOTES AND THE OFFERING
THEREOF DESCRIBED HEREIN, INCLUDING THE MERITS AND RISKS INVOLVED.
THE SECURITIES OFFERED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED
WITH, OR APPROVED BY, ANY UNITED STATES FEDERAL OR STATE SECURITIES
COMMISSION OR REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING
AUTHORITIES HAVE NOT PASSED UPON OR ENDORSED THE MERITS OF THIS
OFFERING OR THE ACCURACY OR ADEQUACY OF THIS DOCUMENT. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENCE.
THIS OFFERING MEMORANDUM HAS BEEN PREPARED BY THE ISSUER SOLELY FOR
USE IN CONNECTION WITH THE OFFERING OF THE NOTES DESCRIBED HEREIN AND
THE ADMISSION TO TRADING OF THE NOTES ON THE REGULATED MARKET OF THE
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IRISH STOCK EXCHANGE (THE “OFFERING”). EACH OF THE ISSUER AND THE INITIAL
PURCHASER RESERVES THE RIGHT TO REJECT ANY OFFER TO PURCHASE NOTES IN
WHOLE OR IN PART FOR ANY REASON, OR TO SELL LESS THAN THE STATED INITIAL
PRINCIPAL AMOUNT OF ANY CLASS OF NOTES OFFERED HEREBY. THIS OFFERING
MEMORANDUM IS PERSONAL TO EACH OFFEREE TO WHOM IT HAS BEEN DELIVERED
BY THE ISSUER, THE INITIAL PURCHASER OR ANY AFFILIATE THEREOF AND DOES
NOT CONSTITUTE AN OFFER TO ANY OTHER PERSON OR TO THE PUBLIC GENERALLY
TO SUBSCRIBE FOR OR OTHERWISE ACQUIRE THE NOTES. DISTRIBUTION OF THIS
OFFERING MEMORANDUM TO ANY PERSONS OTHER THAN THE OFFEREE AND THOSE
PERSONS, IF ANY, RETAINED TO ADVISE SUCH OFFEREE WITH RESPECT THERETO IS
UNAUTHORISED AND ANY DISCLOSURE OF ANY OF ITS CONTENTS, WITHOUT THE
PRIOR WRITTEN CONSENT OF THE ISSUER, IS PROHIBITED. EACH PROSPECTIVE
PURCHASER IN THE UNITED STATES, BY ACCEPTING DELIVERY OF THIS OFFERING
MEMORANDUM, AGREES TO THE FOREGOING AND TO MAKE NO PHOTOCOPIES OF
THIS OFFERING MEMORANDUM OR ANY OTHER DOCUMENTS RELATED HERETO AND
THERETO AND, IF THE OFFEREE DOES NOT PURCHASE THE NOTES OF ANY CLASS OR
THE OFFERING IS TERMINATED, TO RETURN THIS OFFERING MEMORANDUM AND
ALL DOCUMENTS ATTACHED HERETO TO THE INITIAL PURCHASER AT
PETERBOROUGH COURT, 133 FLEET STREET, LONDON EC4A 2BB.
U.S. INTERNAL REVENUE SERVICE CIRCULAR 230 DISCLOSURE
PURSUANT TO U.S. INTERNAL REVENUE SERVICE CIRCULAR 230, WE HEREBY INFORM
YOU THAT THE DESCRIPTION SET FORTH HEREIN AND UNDER “CERTAIN EMPLOYEE
BENEFIT PLAN CONSIDERATIONS” AND “UNITED STATES TAXATION” WITH RESPECT
TO U.S. FEDERAL TAX ISSUES WAS NOT INTENDED OR WRITTEN TO BE USED, AND
SUCH DESCRIPTION CANNOT BE USED, BY ANY TAXPAYER FOR THE PURPOSE OF
AVOIDING ANY PENALTIES THAT MAY BE IMPOSED ON THE TAXPAYER UNDER THE
U.S. INTERNAL REVENUE CODE. SUCH DESCRIPTION WAS WRITTEN TO SUPPORT THE
MARKETING OF THE NOTES (WITHIN THE MEANING OF U.S. INTERNAL REVENUE
SERVICE CIRCULAR 230). SUCH DESCRIPTION IS LIMITED TO THE U.S. FEDERAL TAX
ISSUES DESCRIBED HEREIN. IT IS POSSIBLE THAT ADDITIONAL ISSUES MAY EXIST
THAT COULD AFFECT THE U.S. FEDERAL TAX TREATMENT OF AN INVESTMENT IN
THE NOTES, OR THE MATTER THAT IS THE SUBJECT OF THE DESCRIPTION HEREIN,
AND SUCH DESCRIPTION DOES NOT CONSIDER OR PROVIDE ANY CONCLUSIONS WITH
RESPECT TO ANY SUCH ADDITIONAL ISSUES. TAXPAYERS SHOULD SEEK ADVICE
BASED ON THE TAXPAYER’S PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT
TAX ADVISER.
NOTWITHSTANDING ANYTHING HEREIN TO THE CONTRARY, EACH OFFEREE (AND
EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF SUCH OFFEREE) MAY
DISCLOSE TO ANY AND ALL OTHER PERSONS, WITHOUT LIMITATION OF ANY KIND,
THE TAX TREATMENT AND TAX STRUCTURE OF THE TRANSACTIONS DESCRIBED
HEREIN (INCLUDING THE OWNERSHIP AND DISPOSITION OF THE NOTES) AND ALL
MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT
ARE PROVIDED TO THE OFFEREE RELATING TO SUCH TAX TREATMENT AND TAX
STRUCTURE. HOWEVER, ANY SUCH INFORMATION RELATING TO THE TAX
TREATMENT OR TAX STRUCTURE IS REQUIRED TO BE KEPT CONFIDENTIAL TO THE
EXTENT REASONABLY REQUIRED TO COMPLY WITH APPLICABLE U.S. FEDERAL OR
STATE SECURITIES LAWS. FOR PURPOSES OF THIS PARAGRAPH, THE TERMS “TAX
TREATMENT” AND “TAX STRUCTURE” HAVE THE MEANING GIVEN TO SUCH TERMS
UNDER UNITED STATES TREASURY REGULATION SECTION 1.6011-4(C) AND
APPLICABLE STATE AND LOCAL LAW.
vii

Australian Selling Restrictions
THIS OFFERING MEMORANDUM DOES NOT CONSTITUTE A DISCLOSURE DOCUMENT
OR A PRODUCT DISCLOSURE STATEMENT FOR THE PURPOSES OF THE
CORPORATIONS ACT 2001 OF THE COMMONWEALTH OF AUSTRALIA (THE
“CORPORATIONS ACT”) AND HAS NOT BEEN, AND WILL NOT BE, LODGED WITH THE
AUSTRALIAN SECURITIES AND INVESTMENTS COMMISSION. THE NOTES WILL BE
OFFERED TO PERSONS WHO RECEIVE OFFERS IN AUSTRALIA ONLY TO THE EXTENT
THAT BOTH (A) THOSE PERSONS ARE “WHOLESALE CLIENTS” FOR THE PURPOSES OF
CHAPTER 7 OF THE CORPORATIONS ACT; AND (B) SUCH OFFERS OF NOTES FOR ISSUE
OR SALE DO NOT NEED DISCLOSURE TO INVESTORS UNDER PART 6D.2 OF THE
CORPORATIONS ACT. ANY OFFER OF NOTES RECEIVED IN AUSTRALIA IS VOID TO
THE EXTENT THAT IT NEEDS DISCLOSURE TO INVESTORS UNDER THE
CORPORATIONS ACT. IN PARTICULAR, OFFERS FOR THE ISSUE OR SALE OF NOTES
WILL ONLY BE MADE, AND THIS DOCUMENT MAY ONLY BE DISTRIBUTED, IN
AUSTRALIA IN RELIANCE ON VARIOUS EXEMPTIONS FROM SUCH DISCLOSURE TO
INVESTORS PROVIDED BY SECTION 708 OF THE CORPORATIONS ACT (“SECTION 708”)
AND WHERE THE INVESTORS ARE ALSO “WHOLESALE CLIENTS” AS DESCRIBED
ABOVE.
AS THE OFFER FOR THE ISSUE OF NOTES WILL BE MADE IN AUSTRALIA WITHOUT
DISCLOSURE UNDER THE CORPORATIONS ACT, THE OFFER OF THOSE NOTES FOR
SALE IN AUSTRALIA WITHIN 12 MONTHS OF THEIR ISSUE MAY, UNDER SECTION 707(3)
OR 1012C(6) OF THE CORPORATIONS ACT, REQUIRE DISCLOSURE TO INVESTORS
UNDER THE CORPORATIONS ACT IF NONE OF THE EXEMPTIONS UNDER THE
CORPORATIONS ACT APPLY. ACCORDINGLY, ANY PERSON TO WHOM NOTES ARE
ISSUED OR SOLD PURSUANT TO THIS DOCUMENT MUST NOT, WITHIN 12 MONTHS
AFTER THE ISSUE, OFFER (OR TRANSFER, ASSIGN OR OTHERWISE ALIENATE) THOSE
NOTES TO INVESTORS IN AUSTRALIA EXCEPT IN CIRCUMSTANCES WHERE
DISCLOSURE TO INVESTORS IS NOT REQUIRED UNDER THE CORPORATIONS ACT OR
UNLESS A COMPLIANT DISCLOSURE DOCUMENT OR PRODUCT DISCLOSURE
STATEMENT IS PREPARED AND LODGED WITH THE AUSTRALIAN SECURITIES AND
INVESTMENTS COMMISSION. DISCLOSURE TO INVESTORS WOULD NOT GENERALLY
BE REQUIRED:
(A) UNDER PART 6D.2 OF THE CORPORATIONS ACT WHERE:
(I) THE NOTES ARE OFFERED FOR SALE ON A STOCK EXCHANGE OUTSIDE
OF AUSTRALIA;
(II) THE NOTES ARE OFFERED FOR SALE TO CATEGORIES OF
“PROFESSIONAL INVESTORS” REFERRED TO IN SECTION 708(11) OF THE
CORPORATIONS ACT; OR
(III) THE NOTES ARE OFFERED TO PERSONS WHO ARE “SOPHISTICATED
INVESTORS” THAT MEET THE CRITERIA SET OUT IN SECTIONS 708(8) OR
708(10) OF THE CORPORATIONS ACT; AND
(B) UNDER CHAPTER 7 OF THE CORPORATIONS ACT WHERE THE NOTES ARE ONLY
OFFERED TO PERSONS WHO ARE “WHOLESALE CLIENTS” WITHIN THE
MEANING OF SECTION 761G OF THE CORPORATIONS ACT.
HOWEVER, CHAPTER 6D AND CHAPTER 7 OF THE CORPORATIONS ACT IS COMPLEX,
AND IF IN ANY DOUBT, YOU SHOULD CONFER WITH YOUR PROFESSIONAL ADVISERS
REGARDING THE POSITION.
viii

THIS OFFERING MEMORANDUM IS INTENDED TO PROVIDE GENERAL INFORMATION
ONLY AND HAS BEEN PREPARED WITHOUT TAKING INTO ACCOUNT ANY
PARTICULAR PERSON’S OBJECTIVES, FINANCIAL SITUATION OR NEEDS. INVESTORS
SHOULD, BEFORE ACTING ON THIS INFORMATION, CONSIDER THE APPROPRIATENESS
OF THIS INFORMATION HAVING REGARD TO THEIR PERSONAL OBJECTIVES,
FINANCIAL SITUATION OR NEEDS. INVESTORS SHOULD REVIEW AND CONSIDER THE
CONTENTS OF THIS DOCUMENT AND OBTAIN FINANCIAL ADVICE SPECIFIC TO THEIR
SITUATION BEFORE MAKING ANY DECISION TO MAKE AN APPLICATION FOR THE
NOTES.
EACH OF THE ISSUER AND THE INVESTMENT MANAGER DOES NOT HOLD AN
AUSTRALIAN FINANCIAL SERVICES LICENCE.
AN INVESTOR WILL NOT HAVE COOLING OFF RIGHTS.
Belgian Selling Restrictions
THE OFFER HAS NOT BEEN NOTIFIED TO THE BELGIAN BANKING, FINANCE AND
INSURANCE COMMISSION (COMMISSION BANCAIRE, FINANCIÈRE ET DES ASSURANCES)
BY THE OFFEROR PURSUANT TO ARTICLE 18 OF THE BELGIAN LAW OF 22 APRIL 2003
ON THE PUBLIC OFFERING OF SECURITIES (THE “LAW ON PUBLIC OFFERINGS”) NOR
BY THE COMPETENT AUTHORITY OF THE HOME MEMBER STATE OF THE ISSUER
PURSUANT TO ARTICLE 18 OF THE ROYAL DECREE OF 16 JUNE 2006 (THE “ROYAL
DECREE”) OF DIRECTIVE 2003/71/EC (THE “PROSPECTUS DIRECTIVE”).
ACCORDINGLY NO OFFER OF THE NOTES MAY BE ADVERTISED AND THE NOTES MAY
NOT BE OFFERED OR SOLD, AND NEITHER THIS DOCUMENT NOR ANY OTHER
INFORMATION, DOCUMENT, BROCHURE OR SIMILAR DOCUMENT MAY BE
DISTRIBUTED, DIRECTLY OR INDIRECTLY, TO ANY PERSON IN BELGIUM OTHER THAN
(I) INSTITUTIONAL INVESTORS LISTED IN ARTICLE 10 OF THE ROYAL DECREE ACTING
FOR THEIR OWN ACCOUNT OR (II) INVESTORS SUBSCRIBING FOR A MINIMUM
AMOUNT OF EUR 50,000.00 EACH PURSUANT TO ARTICLE 3.1 OF THE ROYAL DECREE.
French Selling Restrictions
THIS OFFERING MEMORANDUM IS FURNISHED TO YOU SOLELY FOR YOUR
INFORMATION AND MAY NOT BE REPRODUCED OR REDISTRIBUTED TO ANY OTHER
PERSON. IT IS SOLELY DESTINED FOR PERSONS OR INSTITUTIONS TO WHICH IT WAS
INITIALLY SUPPLIED. THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER OR AN
INVITATION TO SUBSCRIBE FOR OR TO PURCHASE ANY SECURITIES AND NEITHER
THIS DOCUMENT NOR ANYTHING CONTAINED HEREIN SHALL FORM THE BASIS OF
ANY CONTRACT OR COMMITMENT WHATSOEVER.
THE INFORMATION MADE AVAILABLE IN THE OFFERING MEMORANDUM HAS NOT
BEEN PREPARED IN THE CONTEXT OF A PUBLIC OFFER OF FINANCIAL INSTRUMENTS
IN FRANCE AND HAS THEREFORE NOT BEEN SUBMITTED TO THE AUTORITÉ DES
MARCHÉS FINANCIERS FOR APPROVAL. IT IS MADE AVAILABLE SOLELY FOR
INFORMATION PURPOSES AND DOES NOT CONSTITUTE AN OFFER OR INVITATION
FOR THE SUBSCRIPTION OR PURCHASE OF THE NOTES. THE OFFERING
MEMORANDUM IS BEING FURNISHED ONLY TO A LIMITED CIRCLE OF INVESTORS
(CERCLE RESTREINT D’INVESTISSEURS) AND/OR QUALIFIED INVESTORS
(INVESTISSEURS QUALIFIÉS), ON THE CONDITION THAT IT SHALL NOT BE PASSED ON
TO ANY PERSON NOR REPRODUCED (IN WHOLE OR IN PART) AND THAT APPLICANTS
UNDERTAKE NOT TO RE-TRANSFER, DIRECTLY OR INDIRECTLY, THE NOTES TO THE
PUBLIC IN FRANCE, OTHER THAN IN COMPLIANCE WITH ARTICLES L. 411-1, L. 411-2, L.
412-1 AND L. 621-8 OF THE FRENCH FINANCIAL AND MONETARY CODE.
ix

German Selling Restrictions
THE NOTES MAY NOT BE OFFERED OR SOLD IN THE FEDERAL REPUBLIC OF
GERMANY OTHER THAN IN COMPLIANCE WITH THE RESTRICTIONS CONTAINED IN
THE GERMAN SECURITIES PROSPECTUS ACT (WERTPAPIERPROSPEKTGESETZ), THE
GERMAN INVESTMENT ACT (INVESTMENTGESETZ), RESPECTIVELY, AND ANY OTHER
LAWS AND REGULATIONS APPLICABLE IN THE FEDERAL REPUBLIC OF GERMANY
GOVERNING THE ISSUE, THE OFFERING AND THE SALE OF SECURITIES.
THE NOTES MAY NOT ACTUALLY BE, OR INTENDED TO BE DISTRIBUTED BY WAY OF
PUBLIC OFFERING, PUBLIC ADVERTISEMENT OR IN A SIMILAR MANNER WITHIN THE
MEANING OF THE GERMAN SECURITIES PROSPECTUS ACT AND THE GERMAN
INVESTMENT ACT NOR SHALL THE DISTRIBUTION OF THE OFFERING MEMORANDUM
OR ANY OTHER DOCUMENT RELATING TO THE NOTES CONSTITUTE SUCH PUBLIC
OFFER. IN ADDITION, THE INITIAL PURCHASER HAS AGREED THAT IT HAS OFFERED,
SOLD OR ADVERTISED AND THAT IT WILL OFFER, SELL OR ADVERTISE THE NOTES
ONLY TO PERMITTED INSTITUTIONAL INVESTORS (“INSTITUTIONAL INVESTORS”)
WITHIN THE MEANING OF THE LEAFLET OF THE GERMAN FEDERAL FINANCIAL
SUPERVISORY AGENCY (BUNDESANSTALT FÜR FINANZDIENSTLEISTUNGSAUFSICHT –
BAFIN) DATED APRIL 2005 IN THE FEDERAL REPUBLIC OF GERMANY AND THIS
OFFERING MEMORANDUM MAY NOT BE PASSED ON TO ANY OTHER PERSON OR
ENTITY IN THE FEDERAL REPUBLIC OF GERMANY. FURTHERMORE, EACH
SUBSEQUENT TRANSFEREE/PURCHASER OF THE NOTES WILL BE DEEMED TO
REPRESENT THAT IF IT IS A PERSON OR ENTITY IN THE FEDERAL REPUBLIC OF
GERMANY IT IS AN INSTITUTIONAL INVESTOR AND IT AGREES NOT TO OFFER, SELL
OR ADVERTISE THE NOTES TO ANY PERSON OR ENTITY IN THE FEDERAL REPUBLIC
OF GERMANY WHO IS NOT AN INSTITUTIONAL INVESTOR.
THE DISTRIBUTION OF THE NOTES HAS NOT BEEN NOTIFIED AND THE NOTES ARE
NOT REGISTERED OR AUTHORISED FOR PUBLIC DISTRIBUTION IN THE FEDERAL
REPUBLIC OF GERMANY. THE OFFERING MEMORANDUM HAS NOT BEEN FILED OR
DEPOSITED WITH THE GERMAN FEDERAL FINANCIAL SUPERVISORY AGENCY.
PROSPECTIVE GERMAN INVESTORS IN THE NOTES ARE URGED TO SEEK
INDEPENDENT TAX ADVICE AND TO CONSULT THEIR PROFESSIONAL ADVISORS AS
TO THE LEGAL AND TAX CONSEQUENCES THAT MAY ARISE FROM THE APPLICATION
OF THE GERMAN INVESTMENT TAX ACT TO THE NOTES AND NEITHER THE ISSUER
(NOR THE INITIAL PURCHASER) ACCEPTS ANY RESPONSIBILITY IN RESPECT OF THE
GERMAN TAX POSITION OF THE NOTES.
DIE SCHULDVERSCHREIBUNGEN DÜRFEN NUR UNTER BEACHTUNG DER VORSCHRIFTEN
DES WERTPAPIERPROSPEKTGESETZES, DES INVESTMENTGESETZES UND ALLER
ANDEREN, IN DER BUNDESREPUBLIK DEUTSCHLAND ANWENDBAREN GESETZE UND
VERORDNUNGEN ÜBER EMISSION, ANGEBOT UND VERKAUF VON WERTPAPIEREN
ANGEBOTEN ODER VERKAUFT WERDEN.
DIE SCHULDVERSCHREIBUNGEN DÜRFEN WEDER TATSÄCHLICH, NOCH DARF
BEABSICHTIGT WERDEN, DASS SIE IM WEGE DES ÖFFENTLICHEN ANBIETENS, DER
ÖFFENTLICHEN WERBUNG ODER IN ÄHNLICHER WEISE IM SINNE DES
WERTPAPIERPROSPEKTGESETZ UND DES INVESTMENTGESETZ VERTRIEBEN WERDEN,
NOCH SOLL DIE AUSHÄNDIGUNG DIESES VERKAUFSPROSPEKTES ODER EINES ANDEREN,
MIT DEN SCHULDVERSCHREIBUNGEN IN VERBINDUNG STEHENDEN DOKUMENTS EIN
SOLCHES ÖFFENTLICHES ANGEBOT BZW. ÖFFENTLICHEN VERTRIEB DARSTELLEN. DER
ERSTKÄUFER HAT SICH AUßERDEM DAMIT EINVERSTANDEN ERKLÄRT, DASS ER DIE
SCHULDVERSCHREIBUNGEN NUR INSTITUTIONELLEN INVESTOREN IM SINNE DES
MERKBLATTES DER BUNDESANSTALT FÜR FINANZDIENSTLEISTUNGSAUFSICHT (BAFIN)
x

VOM APRIL 2005 IN DER BUNDESREPUBLIK DEUTSCHLAND ANGEBOTEN, AN DIESE
VERKAUFT ODER BEI IHNEN UM DEN KAUF DER SCHULDVERSCHREIBUNGEN
GEWORBEN HAT, BZW. ANBIETEN, AN DIESE VERKAUFEN ODER BEI IHNEN UM DEN KAUF
DER SCHULDVERSCHREIBUNGEN WERBEN WIRD. DIESER VERKAUFSPROSPEKT DARF
NICHT AN ANDERE PERSONEN ODER RECHTSPERSONEN IN DER BUNDESREPUBLIK
DEUTSCHLAND AUSGEHÄNDIGT WERDEN. DES WEITEREN SICHERT JEDER
NACHFOLGENDE ERWERBER ODER KÄUFER DER SCHULDVERSCHREIBUNGEN, DER EINE
PERSON ODER RECHTSPERSON IN DER BUNDESREPUBLIK DEUTSCHLAND IST, ZU, DASS
ER EIN INSTITUTIONELLER INVESTOR IST UND ERKLÄRT SICH DAMIT EINVERSTANDEN,
DIE SCHULDVERSCHREIBUNGEN NUR PERSONEN ODER RECHTSPERSONEN IN DER
BUNDESREPUBLIK DEUTSCHLAND ANZUBIETEN, AN DIESE ZU VERKAUFEN ODER BEI
IHNEN UM DEN KAUF DER SCHULDVERSCHREIBUNGEN ZU WERBEN, DIE SOLCHE
INSTITUTIONELLEN INVESTOREN SIND.
DER VERTRIEB DER SCHULDVERSCHREIBUNGEN WURDE NICHT ANGEZEIGT UND DIE
SCHULDVERSCHREIBUNGEN SIND AUCH NICHT REGISTRIERT ODER ZUM ÖFFENTLICHEN
VERTRIEB IN DER BUNDESREPUBLIK DEUTSCHLAND ZUGELASSEN. DER
VERKAUFSPROSPEKT IST NICHT BEI DER BUNDESANSTALT FÜR
FINANZDIENSTLEISTUNGSAUFSICHT EINGEREICHT ODER HINTERLEGT WORDEN.
POTENTIELLEN DEUTSCHEN INVESTOREN WIRD DRINGEND EMPFOHLEN,
UNABHÄNGIGEN STEUERRAT EINZUHOLEN UND IHRE BERATER ZU DEN RECHTLICHEN
UND STEUERLICHEN FOLGEN ZU BEFRAGEN, DIE SICH AUS EINER ANWENDUNG DES
DEUTSCHEN INVESTMENTSTEUERGESETZES AUF DIE SCHULDVERSCHREIBUNGEN
ERGEBEN KÖNNTEN. WEDER REMITTENT (NOCH DER ERSTKÄUFER) ÜBERNIMMT
IRGENDEINE HAFTUNG HINSICHTLICH DER DEUTSCHEN STEUERLICHEN BEHANDLUNG
DER SCHULDVERSCHREIBUNGEN.
NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND
THE INITIAL PURCHASER HAS CONFIRMED THAT:
(I) IT WILL NOT UNDERWRITE THE ISSUE OF, OR PLACE, THE NOTES OTHERWISE
THAN IN CONFORMITY WITH THE PROVISIONS OF THE IRISH INVESTMENT
INTERMEDIARIES ACT 1995, AS AMENDED, INCLUDING WITHOUT LIMITATION,
SECTIONS 9 AND 23 THEREOF AND ANY CODES OF CONDUCT RULES MADE
UNDER SECTION 37 THEREOF AND THE PROVISIONS OF THE INVESTOR
COMPENSATION ACT 1998;
(II) IT WILL NOT UNDERWRITE THE ISSUE OF, OR PLACE, OR OFFER, OR SELL THE
NOTES, EXCEPT IN CONFORMITY WITH EC DIRECTIVE 2003/71/EC, THE IRISH
PROSPECTUS (DIRECTIVE) 2003/71/EC) REGULATIONS 2005 AND THE IRISH
COMPANIES ACTS 1963 TO 2006; AND
(III) IT HAS NOT AND WILL NOT UNDERWRITE THE ISSUE OF, OR PLACE, OR OFFER,
OR SELL THE NOTES OTHERWISE THAN IN CONFORMITY WITH THE IRISH
MARKET ABUSE (DIRECTIVE 2003/6/EC) REGULATIONS 2005.
THIS OFFERING MEMORANDUM AND THE INFORMATION CONTAINED HEREIN IS FOR
THE USE SOLELY OF THE PERSON TO WHOM IT IS ADDRESSED. ACCORDINGLY, IT
MAY NOT BE REPRODUCED IN WHOLE OR IN PART, NOR MAY ITS CONTENTS BE
DISTRIBUTED IN WRITING OR ORALLY TO ANY THIRD PARTY AND IT MAY BE READ
SOLELY BY THE PERSON TO WHOM IT IS ADDRESSED AND HIS/HER PROFESSIONAL
ADVISERS.
xi

Israel Selling Restrictions
THIS OFFER IS INTENDED SOLELY FOR INVESTORS LISTED IN THE FIRST SUPPLEMENT
OF THE ISRAELI SECURITIES LAW, 1968 AS AMENDED. THIS OFFERING
MEMORANDUM HAS NOT BEEN PREPARED OR FILED, AND WILL NOT BE PREPARED
OR FILED, IN ISRAEL RELATING TO THE SECURITIES HEREUNDER. THE NOTES
CANNOT BE RESOLD IN ISRAEL OTHER THAN TO ENTITIES WHO QUALIFY FOR AN
EXEMPTION UNDER SECTION 15A(b) OF THE ISRAELI SECURITIES LAW, 1968.
New Zealand Selling Restrictions
THE NOTES MAY NOT BE OFFERED, SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY,
NOR MAY ANY OFFERING CIRCULAR OR ADVERTISEMENT IN RELATION TO ANY
OFFER OF NOTES BE DISTRIBUTED IN NEW ZEALAND, OTHER THAN:
(I) TO PERSONS WHOSE PRINCIPAL BUSINESS IS THE INVESTMENT OF MONEY OR
WHO, IN THE COURSE OF AND FOR THE PURPOSES OF THEIR BUSINESS,
HABITUALLY INVEST MONEY, OR WHO IN ALL THE CIRCUMSTANCES CAN
PROPERLY BE REGARDED AS HAVING BEEN SELECTED OTHER THAN AS
MEMBERS OF THE PUBLIC; OR
(II) IN OTHER CIRCUMSTANCES WHERE THERE IS NO CONTRAVENTION OF THE
SECURITIES ACT 1978 OF NEW ZEALAND.
Portuguese Selling Restrictions
NO OFFER OF THE NOTES HAS BEEN REGISTERED WITH THE PORTUGUESE
SECURITIES MARKET COMMISSION (THE “CMVM”). THE INITIAL PURCHASER WILL
REPRESENT, WARRANT AND AGREE, IT HAS NOT OFFERED OR SOLD, AND IT WILL
NOT OFFER OR SELL ANY NOTES IN PORTUGAL OR TO RESIDENTS OF PORTUGAL
OTHERWISE THAN IN ACCORDANCE WITH APPLICABLE PORTUGUESE LAW.
NO ACTION HAS BEEN OR WILL BE TAKEN THAT WOULD PERMIT A PUBLIC OFFERING
OF ANY OF THE NOTES IN PORTUGAL. ACCORDINGLY, NO NOTES MAY BE OFFERED,
SOLD OR DELIVERED EXCEPT IN CIRCUMSTANCES THAT WILL RESULT IN
COMPLIANCE WITH ANY APPLICABLE LAWS AND REGULATIONS. IN PARTICULAR,
THE INITIAL PURCHASER WILL REPRESENT, WARRANT AND AGREE THAT NO OFFER
HAS BEEN ADDRESSED TO MORE THAN 200 (NON-INSTITUTIONAL) PORTUGUESE
INVESTORS; NO OFFER HAS BEEN PRECEDED OR FOLLOWED BY PROMOTION OR
SOLICITATION TO UNIDENTIFIED INVESTORS, OR FOLLOWED BY PUBLICATION OF
ANY PROMOTIONAL MATERIAL. THE NOTES ARE INTENDED FOR INSTITUTIONAL
INVESTORS. INSTITUTIONAL INVESTORS WITHIN THE MEANING OF ARTICLE 30 OF
THE SECURITIES CODE (“CÓDIGO DOS VALORES MOBILIÁRIOS”) INCLUDES CREDIT
INSTITUTIONS, INVESTMENT FIRMS, INSURANCE COMPANIES, COLLECTIVE
INVESTMENT INSTITUTIONS AND THEIR RESPECTIVE MANAGING COMPANIES,
PENSION FUNDS AND THEIR RESPECTIVE PENSION FUND-MANAGING COMPANIES,
OTHER AUTHORISED OR REGULATED FINANCIAL INSTITUTIONS, NOTABLY
SECURITISATION FUNDS AND THEIR RESPECTIVE MANAGEMENT COMPANIES AND
ALL OTHER FINANCIAL COMPANIES, SECURITISATION COMPANIES, VENTURE
CAPITAL COMPANIES, VENTURE CAPITAL FUNDS AND THEIR RESPECTIVE
MANAGEMENT COMPANIES.
Spanish Selling Restrictions
THE SALE OF THE NOTES DESCRIBED HEREIN DOES NOT FORM PART OF ANY PUBLIC
OFFER OF THE NOTES IN SPAIN. EACH INVESTOR IN SPAIN HAS ACKNOWLEDGED AND
REPRESENTED THAT IT HAS ENTERED INTO AN INDIVIDUAL TRANSACTION THAT
HAS BEEN NEGOTIATED AND/OR AGREED BETWEEN IT AND THE SELLER OF THE
xii

NOTES UPON THE REQUEST OF SUCH INVESTOR. EACH INVESTOR IN SPAIN
ACKNOWLEDGES THAT IT HAS NOT RECEIVED ANY ADVERTISING OR MARKETING
MATERIAL FROM THE SELLER OF THE NOTES REGARDING SUCH TRANSACTION. ANY
SUBSEQUENT TRANSACTION SUCH INVESTOR EXECUTES REGARDING THE NOTES
(INCLUDING REQUESTING THE REGISTRAR TO TRANSFER THE NOTES ON TO ANY
ENTITY MANAGED OR CONTROLLED BY SUCH INVESTOR) WILL BE EXECUTED ON
THE INVESTOR’S OWN BEHALF ONLY AND NOT ON BEHALF OF OR FOR THE ACCOUNT
OF ANY OTHER PERSON.
THESE NOTES MAY NOT BE DIRECTLY OR INDIRECTLY SOLD, TRANSFERRED OR
DELIVERED IN SPAIN ANY MANNER, AT ANY TIME OTHER THAN TO QUALIFIED
INVESTORS (INVERSORES CUALIFICADOS), WHICH FOR THE PURPOSES HEREOF SHALL
INCLUDE ONLY PENSION FUNDS (FONDOS DE PENSIONES), COLLECTIVE INVESTMENT
SCHEMES (INSTITUCIONES DE INVERSIÓN COLECTIVA), SECURITISATION FUNDS
(FONDOS DE TITULIZACIÓN), INSURANCE COMPANIES (COMPAÑÍAS DE SEGUROS),
BANKS, SAVING BANKS AND OTHER CREDIT ENTITIES (BANCOS, CAJAS DE AHORRO Y
OTRAS ENTIDADES DE CREDITO) AND SECURITIES FIRMS (SOCIEDADES Y AGENCIAS DE
VALORES) AND OTHER INVESTORS CLASSIFIED BY SPANISH SECURITIES LAWS AND
REGULATIONS AS “QUALIFIED INVESTORS” (INVERSORES CUALIFICADOS).
THE OFFERING OR SALE OF THE NOTES CONTEMPLATED IN THE OFFERING
MEMORANDUM, OR THE DISTRIBUTION OF THE OFFERING MEMORANDUM OR ANY
OTHER DOCUMENT RELATING TO THE NOTES IN SPAIN SHALL NOT CONSTITUTE,
PURSUANT TO THE ARTICLE 30 BIS 1 OF LAW 24/1988 OF 28 JULY OF THE SECURITIES
MARKETS (AS AMENDED BY ROYAL DECREE LAW 5/2005 OF 11 MARCH), A PUBLIC
OFFERING OF SECURITIES IN SPAIN. AS A CONSEQUENCE, THE OFFERING
MEMORANDUM (AND NO OTHER OFFERING CIRCULAR OR OFFERING MEMORANDUM
RELATING TO THE NOTES) HAS NOT BEEN AND IS NOT ENVISAGED TO BE APPROVED
BY, REGISTERED OR FILED WITH, OR NOTIFIED TO THE COMISION NACIONAL DEL
MERCADO DE VALORES OR ANY OTHER REGULATORY AUTHORITY IN SPAIN, AND
DOES NOT CONSTITUTE A PROSPECTUS FOR THE PUBLIC OFFERING OF SECURITIES IN
SPAIN.
Swedish Selling Restrictions
NEITHER THE OFFERING OF THE NOTES NOR THIS OFFERING MEMORANDUM IS
SUBJECT TO ANY REGISTRATION OR APPROVAL REQUIREMENTS IN SWEDEN AND
THIS OFFERING MEMORANDUM HAS NOT BEEN, NOR WILL IT BE, REGISTERED OR
APPROVED BY FINANSINSPEKTIONEN.
ACCORDINGLY, THE NOTES MAY NOT, DIRECTLY OR INDIRECTLY, BE OFFERED OR
SOLD TO ANY MEMBER OF THE PUBLIC IN SWEDEN EXCEPT IN CIRCUMSTANCES
THAT WILL NOT RESULT IN A REQUIREMENT TO PREPARE A PROSPECTUS PURSUANT
TO THE PROVISIONS OF THE SWEDISH FINANCIAL INSTRUMENTS TRADING ACT (LAG
(1991:980) OM HANDEL MED FINANSIELLA INSTRUMENT).
THIS DOCUMENT MAY NOT BE REPRODUCED OR DIRECTLY NOT INDIRECTLY BE
DISTRIBUTED TO ANY OTHER PERSON OTHER THAN THE ORIGINAL RECIPIENT
WITHOUT THE EXPRESS CONSENT OF THE INITIAL PURCHASER.
GENERAL NOTICE
EACH PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE LAWS AND
REGULATIONS IN FORCE IN EACH JURISDICTION IN WHICH IT PURCHASES, OFFERS
OR SELLS SUCH NOTES OR POSSESSES OR DISTRIBUTES THIS OFFERING
MEMORANDUM AND MUST OBTAIN ANY CONSENT, APPROVAL OR PERMISSION
REQUIRED FOR THE PURCHASE, OFFER OR SALE BY IT OF SUCH NOTES UNDER THE
xiii

LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTIONS TO WHICH IT IS SUBJECT
OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE
ISSUER, THE INITIAL PURCHASER, THE INVESTMENT MANAGER (OR ANY OF THEIR
AFFILIATES), THE TRUSTEE OR THE COLLATERAL ADMINISTRATOR SPECIFIED
HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR.
THE NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE AND
MAY NOT BE TRANSFERRED OR RESOLD EXCEPT AS PERMITTED UNDER APPLICABLE
UNITED STATES FEDERAL AND STATE SECURITIES LAWS. INVESTORS SHOULD BE
AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF THIS
INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.
AVAILABLE INFORMATION
To permit compliance with Rule 144A under the Securities Act in connection with the sale of the
Notes, the Issuer will be required to furnish or cause to be furnished, upon request of a holder of a
Note, to such holder and a prospective purchaser who is a QIB designated by such holder, the
information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the time of
the request the Issuer is neither a reporting company under Section 13 or Section 15(d) of the United
States Securities Exchange Act of 1934, as amended (the “Exchange Act”), nor exempt from
reporting pursuant to Rule 12g3-2(b) under the Exchange Act. All information made available by the
Issuer pursuant to the terms of this paragraph may also be obtained during usual business hours free of
charge at the office of the Listing Agent or the Transfer and Paying Agent in Ireland.
CURRENCIES
In this document, unless otherwise specified or the context otherwise requires, all references to
“EUR”, “Euro” and “€” are to the single currency introduced in January 1999 pursuant to the Treaty
Establishing the European Community as amended, references to “U.S. Dollars” and “U.S.$” are to
the lawful currency of the United States of America, references to “GBP” and “Sterling” are to the
lawful currency of the United Kingdom, references to “AUD” and “Australian Dollars” are to the
lawful currency of the Commonwealth of Australia, references to “BMD” and “Bermudian Dollars”
are to the lawful currency of The Bermuda Islands, references to “CAD” and “Canadian Dollars” are
to the lawful currency of Canada, references to “JPY” and “Yen” are to the lawful currency of Japan,
references to “CHF” and “Swiss Francs” are to the lawful currency of the Principality of
Liechtenstein and Switzerland, references to “NZD” and “New Zealand Dollars” are to the lawful
currency of New Zealand, references to “NOK” and “Norwegian Krona” are to the lawful currency
of the Kingdom of Norway, references to “SGD” and “Singapore Dollars” are to the lawful currency
of the Republic of Singapore and references to “SEK” and “Swedish Krona” are to the lawful
currency of the Kingdom of Sweden.
STABILISATION
In connection with this issue, The Royal Bank of Scotland (the “Stabilising Manager”) (or persons
acting on behalf of the Stabilising Manager) may over-allot Notes (provided that the aggregate
principal amount of Notes allotted does not exceed 105 per cent. of the aggregate principal amount of
the Notes) or effect transactions with a view to supporting the market price of the Notes at a level
higher than that which might otherwise prevail. However, there is no assurance that the Stabilising
Manager (or persons acting on behalf of the Stabilising Manager) will undertake stabilisation action.
Any stabilisation action may begin on or after the Issue Date and, if begun may be ended at any time,
but it must end no later than the earlier of 30 days after the Issue Date and 60 days after the date of the
allotment of the Notes.
xiv

TABLE OF CONTENTS
SUMMARY...............................................................................................................................1
RISK FACTORS......................................................................................................................16
1. General......................................................................................................................16
2. Relating to the Notes .................................................................................................16
3. Relating to the Collateral ...........................................................................................25
4. Certain Conflicts of Interest .......................................................................................39
5. Investment Company Act ..........................................................................................42
6. Forced Transfer .........................................................................................................42
7. Taxation of the Issuer ................................................................................................43
8. Certain Provisions of English Insolvency Law ...........................................................43
9. United Kingdom Withholding Tax on the Notes.........................................................45
10. German Taxation of the Noteholders under the German Investment Tax Act......................46
TERMS AND CONDITIONS OF THE NOTES.......................................................................48
1. Definitions.................................................................................................................49
2. Form, Denomination, Title and Transfer ....................................................................94
3. Status ........................................................................................................................96
4. Security...................................................................................................................130
5. Covenants of and Restrictions on the Issuer .............................................................135
6. Interest ....................................................................................................................135
7. Redemption .............................................................................................................140
8. Payments.................................................................................................................145
9. Taxation ..................................................................................................................146
10. Events of Default.....................................................................................................147
11. Enforcement ............................................................................................................149
12. Prescription .............................................................................................................151
13. Replacement of Notes..............................................................................................151
14. Meetings of Noteholders, Modification, Waiver and Substitution.............................151
15. Indemnification of the Trustee .................................................................................157
16. Notices ....................................................................................................................157
17. Additional Issuances................................................................................................157
18. Class A-2 Notes.......................................................................................................159
19. Third Party Rights ...................................................................................................164
20. Governing Law........................................................................................................164
USE OF PROCEEDS.............................................................................................................165
FORM OF PRICING SUPPLEMENT....................................................................................166
FORM OF THE NOTES ........................................................................................................168
BOOK-ENTRY CLEARANCE PROCEDURES....................................................................173
RATINGS OF THE NOTES ..................................................................................................176
DESCRIPTION OF THE ISSUER .........................................................................................178
DESCRIPTION OF THE INVESTMENT MANAGER..........................................................181
DESCRIPTION OF THE PORTFOLIO .................................................................................185
DESCRIPTION OF THE INVESTMENT MANAGEMENT AGREEMENT .........................220
DESCRIPTION OF THE CLASS A-2 NOTE PURCHASE AGREEMENT ...........................224
DESCRIPTION OF THE COLLATERAL ADMINISTRATOR AND THE CALCULATION
AGENT..................................................................................................................................225
DESCRIPTION OF THE REPORTS......................................................................................227
HEDGING ARRANGEMENTS.............................................................................................232
1. Currency Hedging ...................................................................................................232
2. Interest Rate Hedging ..............................................................................................234
3. Counterparty Rating Downgrade Requirements .......................................................235
xv
Page

4. Transfer and Modification of Asset Swap Transactions and Interest Rate Hedge
Transactions ............................................................................................................235
DESCRIPTION OF THE LIQUIDITY FACILITY AGREEMENT ........................................236
TAX CONSIDERATIONS.....................................................................................................239
CERTAIN EMPLOYEE BENEFIT PLAN CONSIDERATIONS ...........................................254
PLAN OF DISTRIBUTION...................................................................................................257
TRANSFER RESTRICTIONS...............................................................................................264
GENERAL INFORMATION .................................................................................................273
GLOSSARY OF TERMS.......................................................................................................276
xvi

SUMMARY
The following summary does not purport to be complete and is qualified in its entirety by reference to
the detailed information appearing elsewhere in this Offering Memorandum and related documents
referred to herein. Capitalised terms not specifically defined in this Summary have the meanings set
out in Condition 1 (Definitions) under “Terms and Conditions of the Notes” below or are defined
elsewhere in this Offering Memorandum. An index of defined terms appears at the back of this
Offering Memorandum. References to a “Condition” are to the specified Condition in the “Terms
and Conditions of the Notes” below. For a discussion of certain risk factors to be considered in
connection with an investment in the Notes, see “Risk Factors”.
Issuer Intermediate Finance II PLC, a public company with limited liability
incorporated under the laws of England and Wales.
Initial Purchaser and
Placement Agent
The Royal Bank of Scotland
Investment Manager Intermediate Capital Managers Limited
Notes
Class of
Notes 6
Principal
Amount Stated Interest Rate
Class A-1 €104,000,000 6 month EURIBOR
+ 0.25 per cent.
Class A-2 €195,000,000 3
6 month EURIBOR
+ 0.37 per cent. 4
6 month relevant
LIBOR + 0.37 per
cent. 5
1
S&P
Rating
of at
Moody’s
Rating of
at least: 1
least: 1
Stated Maturity
Initial Offer
Price 2
“AAA” “Aaa” 15 July 2024 100%
“AAA” “Aaa” 15 July 2024 100%
Class A-3 €26,000,000 6 month EURIBOR +
0.35 per cent.
“AAA” “Aaa” 15 July 2024 100%
Class B-1 €63,000,000 6 month EURIBOR
+0.60 per cent.
“AA” “Aa2” 15 July 2024 100%
Class B-2 €15,000,000 5.51 per cent. “AA” “Aa2” 15 July 2024 100%
Class C €78,000,000 6 month EURIBOR
+ 0.95 per cent.
“A” “A2” 15 July 2024 100%
Class D €39,000,000 6 month EURIBOR
+ 1.80 per cent.
“BBB” “Baa2” 15 July 2024 100%
_____________
1 The S&P ratings assigned to the Class A Notes and the Class B Notes address the timely payment of interest and
the ultimate payment of principal. The S&P ratings assigned to the Class C Notes and the Class D Notes address
the ultimate payment of principal and interest. The Moody’s ratings on the Class A Notes, the Class B Notes, the
Class C Notes and the Class D Notes address the expected loss posed to investors by the Maturity Date on 15 July
2024. It is a condition of the issuance and sale of the Rated Notes that they be assigned with at least such ratings
stated above (save to the extent as otherwise specified in the relevant Pricing Supplement). A security rating is not
a recommendation to buy, sell or hold the Notes and may be subject to revision, suspension or withdrawal at any
time by the applicable Rating Agency. See “Ratings of the Notes” below.
2 The Initial Purchaser may offer the Notes at other prices as may be negotiated at the time of sale.
3 The Class A-2 Notes will be denominated in Euro and/or a Class A-2 Currency.
4 In respect of the Euro Amount Outstanding of the Class A-2 Notes, in accordance with Condition 6 (e)(i)(A).
5 In respect of the Class A-2 Currency Amount Outstanding of the Class A-2 Notes, in accordance with Condition 6
(e)(i)(A).
6 The Class A-1 Notes will rank pari passu and rateably with the Class A-2 Notes (except where specified as being
subject to the Multi-Currency Provisions or the Class A Redemption Method) (each as defined herein) for all
purposes and in priority to the Class A-3 Notes, the Class B Notes, the Class C Notes and the Class D Notes until
the redemption in full of the Class A-1 Notes. After the redemption in full of the Class A-1 Notes, the Class A-3
Notes will rank pari passu and rateably with the Class A-2 Notes (except where specified as being subject to the

Multi-Currency Provisions or the Class A Redemption Method) (each as defined herein) for all purposes and in
priority to the Class B Notes, the Class C Notes and the Class D Notes.
Original Issuer Shares The issued share capital of the Issuer comprises 50,000 ordinary
shares of £1 each, all of which are one quarter paid up (the “Issuer
Sterling Shares”) and it is anticipated that, on the Issue Date, the
issued share capital of the Issuer comprises 130,000,000 preference
shares of €1 each, fully paid up (the “Original Issuer Euro Shares”
and, together with the Issuer Sterling Shares, the “Original Issuer
Shares”).
The entire issued and outstanding share capital of the Issuer is, and on
the Initial Closing Date is anticipated to be, held by Intermediate
Capital Group PLC (a public company with limited liability,
incorporated under the laws of England and Wales, “ICG”) (the
“Shareholder” and, together with any future holder(s) of any Issuer
Shares (as defined below), the “Shareholders”). The Issuer will not
have any assets other than the Portfolio and the rights of the Issuer
under the Hedge Agreements, the Investment Management
Agreement, the Collateral Acquisition Documents and the Agency
Agreement, the Issuer’s rights in respect of the Accounts and certain
other incidental rights and assets. The rights and assets of the Issuer
referred to above will be charged or assigned by way of security to the
Trustee as security for (amongst other things) the Issuer’s obligations
under the Notes.
Trustee Deutsche Trustee Company Limited
Collateral Administrator Deutsche Bank AG, London Branch
Custodian, Principal
Paying Agent, Account
Bank and Class A-2 Note
Agent
Deutsche Bank AG, London Branch
Registrar Deutsche Bank (Luxembourg) S.A.
Irish Transfer and Paying
Agent
Deutsche International Corporate Services (Ireland) Limited
Liquidity Facility Provider Deutsche Bank AG, London Branch
Eligible Purchasers The Notes of each Class will be offered:
(a) outside of the United States to non-U.S. Persons (as defined in
Regulation S (“Regulation S”) under the U.S. Securities Act
of 1933, as amended (the “Securities Act”)) (“U.S. Persons”)
in “offshore transactions” in reliance on Regulation S; and
(b) within the United States to persons and outside the United
States to U.S. Persons, in each case who are both “Qualified
Institutional Buyers” (as defined in Rule 144A under the
Securities Act (“Rule 144A”)) (“QIBs”), in reliance on
Rule 144A and “Qualified Purchasers” (“Qualified
Purchasers” or “QPs”) for purposes of Section 3(c)(7) of the
U.S. Investment Company Act of 1940, as amended (the
“Investment Company Act”).
2

Class A-2 Notes The Class A-2 Notes will be denominated in Euro and/or a Class A-2
Currency.
Pursuant to a note purchase agreement (the “Class A-2 Note
Purchase Agreement”) between the Issuer, the Trustee, the
Investment Manager, the Class A-2 Note Agent and the initial holder
of the Class A-2 Notes (the “Initial Class A-2 Noteholder”), the
Initial Class A-2 Noteholder will agree, subject to the terms thereof, to
purchase the Class A-2 Notes and on each Class A-2 Advance Date at
the request of the Investment Manager (acting on behalf of the Issuer),
to advance amounts denominated in Euro or a Class A-2 Currency
(each a “Class A-2 Advance”). Each Class A-2 Advance received by
the Issuer will be either deposited in the relevant Unused Proceeds
Account, Principal Account or will be used by the Investment
Manager (acting on behalf of the Issuer) to purchase the Collateral
Debt Obligations. It is a condition to the entitlement of each Initial
Class A-2 Noteholder to transfer any Class A-2 Notes that the
transferee assumes the obligations of such Initial Class A-2
Noteholder under the Class A-2 Note Purchase Agreement in respect
of the Class A-2 Notes so transferred. See Condition 18 (Class A-2
Notes).
The maximum aggregate principal amount available to be drawn
under the Class A-2 Notes is €195,000,000 (or the Euro equivalent of
any amounts drawn in a Class A-2 Currency, converted at the
Multi-Currency Exchange Rate) (which amount may be increased by
the issue of Further Notes pursuant to Condition 17 (Additional
Issuances)) provided that at no time shall any amounts drawn under
the Class A-2 Notes exceed such aggregate principal amount.
Any Class A-2 Advance shall reduce the sum of the Total Undrawn
Amount which is thereafter available to be drawn down (X) in Euro
by an amount equal to such Class A-2 Advance denominated in Euro;
and (Y) in a Class A-2 Currency by the Euro equivalent of such
Class A-2 Advance denominated in a Class A-2 Currency, calculated
at the Multi-Currency Exchange Rate.
Any Allocation (as defined in the Conditions) made under the
Class A-2 Note Purchase Agreement shall reduce the Undrawn and
Uncommitted Amount which is thereafter available, without double
counting, by an amount equal to such Allocation (converted into Euro
where applicable at the Multi-Currency Exchange Rate).
If any Replacement Financing occurs, the Issuer shall repay Class A-2
Advances on the date of the issuance of such Replacement Financing,
in such amount as is specified in the Conditions.
The Issuer shall pay to each Class A-2 Commitment Holder a
commitment fee (the “Class A-2 Commitment Fee”) in respect of
each Due Period which:
(a) shall be calculated on the basis of actual days elapsed in each
Due Period and a 360 day year at the rate of 0.20 per cent. per
annum upon the daily weighted average amount in such Due
Period of the Total Undrawn Amount of the Class A-2 Notes;
and
3

Distributions on the Notes
(b) shall be paid to the Class A-2 Note Agent for the account of
the Class A-2 Commitment Holders, in respect of each Due
Period, on the Payment Date immediately following the end
of such Due Period in accordance with the Priorities of
Payment.
The Class A-2 Commitment Holders must also satisfy certain rating
criteria upon entry into of the Class A-2 Note Purchase Agreement. If
a Class A-2 Commitment Holder has failed to satisfy the rating
requirements set out in the Class A-2 Note Purchase Agreement, the
relevant Class A-2 Commitment Holder shall be required to take
action as set out more specifically in the Class A-2 Note Purchase
Agreement.
In the event that the Class A-2 Noteholder has failed to satisfy the
Ratings Requirements, the Investment Manager acting on behalf of
the Issuer shall drawdown the Undrawn and Committed amounts in
relation to the Delayed Drawdown Obligations. Any such amount
shall be credited to the Delayed Drawdown Reserve Account.
Payment Dates 15 January and 15 July in each year, commencing on 15 January 2008
(subject to adjustment for non-Business Days in accordance with the
Terms and Conditions of the Notes). In addition, subject to the
payment of Break Costs (if any), the Class A-2 Notes may be repaid
on any Business Day.
Class A-2 Advance Date The date, which must be a Business Day, on which a Class A-2
Advance must be made.
Interest on the Rated Notes Interest in respect of the Notes of each Class will be payable
semi-annually in arrear on each Payment Date in accordance with the
Interest Priority of Payments.
Interest in respect of any Class A-2 Advance under the Class A-2
Notes will accrue from (and including) the date of the Class A-2
Advance to (but excluding) the next Payment Date and thereafter from
and including one Payment Date to and excluding the next Payment
Date.
The principal amount outstanding on any Payment Date on the
Class A-2 Notes bear interest at the rate determined in accordance
with Condition 6 (Interest) and is payable to the Class A-2
Noteholders. To the extent not drawn, the Class A-2 Commitment
Fee (the “Commitment Fee”) will be payable in Euro and in arrear on
each Payment Date to the Class A-2 Commitment Holders. The
applicable Break Costs and any Class A-2 Additional Amounts shall
also be payable to the Class A-2 Noteholders pursuant to the
Conditions and the Class A-2 Note Purchase Agreement.
Deferral of Interest Failure on the part of the Issuer to pay the Interest Amounts due and
payable on any Class of Notes pursuant to Condition 6 (Interest)
(including any Class A-2 Commitment Fee) and the Priorities of
Payments shall not be an Event of Default unless and until (a) such
failure continues for a period of at least five consecutive calendar days
and (b) in respect of the Class C Notes and the Class D Notes:
4

(a) in the case of non-payment of interest due and payable on the
Class C Notes, the Class A Notes and the Class B Notes have
been redeemed in full; and
(b) in the case of non payment of interest due and payable on the
Class D Notes, the Class A Notes, the Class B Notes and the
Class C Notes have been redeemed in full,
and except in each case as the result of any deduction therefrom or the
imposition of any withholding thereon as set out in Condition 9
(Taxation). To the extent that interest payments on the Class C Notes
and/or the Class D Notes are not made on the relevant Payment Date,
such unpaid interest will be deferred and with effect from, and
including, such Payment Date, interest will accrue on such unpaid
amount at the rate of interest applicable to such Notes and will be paid
as part of the Interest Amount on the next Payment Date to the extent
that sufficient funds are available to do so in accordance with the
Priorities of Payments. Any such accrued interest that remains unpaid
on any Payment Date will itself be deferred and interest will accrue
thereon and be payable in accordance with the foregoing. See
Condition 6(c) (Deferral of Interest).
Redemption of the Notes Principal payments on the Notes may be made in the following
circumstances:
(a) on the Maturity Date;
(b) on any Payment Date during the Reinvestment Period at the
discretion of the Investment Manager (acting on behalf of the
Issuer) following written notification by the Investment
Manager to the Trustee that it has been unable, for a period of
20 consecutive Business Days, to identify a sufficient quantity
of additional Collateral Debt Obligations or Substitute
Collateral Debt Obligations in which to invest or reinvest
Principal Proceeds;
(c) in whole (but not in part) on any Payment Date following the
occurrence of a Note Tax Event at the option of the
Controlling Class acting by Extraordinary Resolution;
(d) on any Payment Date after the Effective Date following a
breach of any of the Coverage Tests to the extent required to
cause such tests to be satisfied if recalculated following such
redemption;
(e) on the Payment Date following the Effective Date, and on
each Payment Date thereafter to the extent required, in the
event of an Effective Date Rating Event, and either the
Investment Manager decides not to present, or the Rating
Agencies have failed to accept, a plan setting out the actions
the Investment Manager (on behalf of the Issuer) is intending
to take in order to cause the Initial Ratings to be reinstated or
confirmed;
(f) on any Payment Date during the Reinvestment Period, in the
event that the Reinvestment Test is not satisfied on any
Determination Date, an amount up to 50 per cent. of Interest
5

Proceeds available for payment pursuant to paragraph (S) of
the Interest Priority of Payments sufficient to cause the
Reinvestment Test to be satisfied may be used (i) to pay into
the Euro Principal Account or the Class A-2 Currency
Principal Account, as applicable, for the acquisition of
Collateral Debt Obligations and/or (ii) to redeem the Notes in
accordance with the Priorities of Payments applied as if the
Reinvestment Period had expired, such choice at the
discretion of the Investment Manager;
(g) at any time following an Event of Default which occurs and is
continuing and has not been cured;
(h) at the option of the Issuer at any time after the expiry of the
Non Call Period or upon the occurrence of a Relevant Tax
Event;
(i) after the Reinvestment Period, on any Payment Date (other
than those Principal Proceeds that the Investment Manager
has designated for reinvestment);
(j) in whole but not in part, on the direction of the Investment
Manager (acting in its sole and absolute discretion on behalf
of the Issuer), within 90 days of the termination of the
appointment of the Investment Manager in accordance with
the Investment Management Agreement;
(k) in respect of the Class A-2 Notes only (i) outstanding
Class A-2 Advances may be repaid on any Payment Date (in
accordance with Condition 3(c) (Priorities of Payment)) or on
any other Business Day (in accordance with Condition 3(i)
(Payments to and from Accounts)) or (ii) the Class A-2 Notes
of a Class A-2 Noteholder may be redeemed where such
Noteholder has either failed to pay its Pro Rata Share of a
Class A-2 Advance or has failed to comply with the terms of
the Class A-2 Note Purchase Agreement;
(l) in whole but not in part, on the direction of the Investment
Manager (acting in its sole and absolute discretion on behalf
of the Issuer), at the applicable Redemption Prices on any
Payment Date after expiry of the Reinvestment Period if, on
any Determination Date prior to such Payment Date, if the
Class A-1 Notes have been redeemed in their entirety and
there are at that time no Class A-2 Advances denominated in
Euro outstanding (a “Currency Clean-Up Call”);
(m) at the direction of the Class D Noteholders, following the
termination of the Investment Manager and ICG having been
declared bankrupt or insolvent;
See Condition 7 (Redemption).
Redemption Prices The Redemption Price of each Class of Rated Notes will be 100 per
cent. of the Principal Amount Outstanding of such Note, or in the case
of the Class A-2 Notes, 100 per cent. of each of the Class A-2
Currency Amount Outstanding and the Euro Amount Outstanding of
such Note, together with, in each case, accrued Class A-2
6

Commitment Fee, Break Costs and unpaid interest thereon to the date
of redemption.
Non Call Period The period from (and including) the Issue Date to (but excluding) the
Payment Date falling on 15 July 2010.
Reinvestment Period The period from (and including) the Issue Date to (and including) the
Payment Date falling on 15 July 2013.
Priorities of Payments Interest Proceeds, Principal Proceeds and Collateral Enhancement
Obligation Proceeds will be applied on each Payment Date in
accordance with the Priorities of Payments.
Investment Manager Pursuant to the Investment Management Agreement, the Investment
Manager is required to act on behalf of the Issuer to carry out the
duties and functions described herein generally and as more
specifically set out in the Investment Management Agreement.
Pursuant to the Investment Management Agreement, the Issuer
delegates authority to the Investment Manager to carry out certain
functions in relation to the Portfolio and the hedging arrangements
without the requirement for specific approval by the Issuer, the
Collateral Administrator or the Trustee. See “Description of the
Investment Management Agreement” and “Description of the
Portfolio”.
Investment Management
Fees
Senior Investment
Management Fee
Subordinated Investment
Management Fee
Incentive Investment
Management Fee
The Investment Manager (unless the Investment Manager is ICM,
ICG or an Affiliate thereof) will receive certain fees for such advisory
and management functions including, on each Payment Date (to the
extent payable pursuant to the Priorities of Payment), a Senior
Investment Management Fee, a Subordinated Investment Management
Fee and, on each Payment Date provided that the Incentive Fee
Threshold has been satisfied, an Incentive Investment Management
Fee.
The fee payable to the Investment Manager (unless the Investment
Manager is ICM, ICG or an Affiliate thereof) in arrear on each
Payment Date in respect of the immediately preceding Due Period
equal to 0.125 per cent. per annum of the Average Aggregate
Principal Balance applicable to such Payment Date (plus any VAT
payable in respect thereof). See “Description of the Investment
Management Agreement – Fees”.
The fee payable to the Investment Manager (unless the Investment
Manager is ICM, ICG or an Affiliate thereof) in arrear on each
Payment Date in respect of the immediately preceding Due Period
equal to 0.5 per cent. per annum of the Average Aggregate Principal
Balance applicable to such Payment Date (plus any VAT payable in
respect thereof). See “Description of the Investment Management
Agreement – Fees”.
The fee is an amount payable to the Investment Manager (unless the
Investment Manager is ICM, ICG or an Affiliate thereof) on each
Payment Date, in the event that the Incentive Fee Threshold is
satisfied on the related Determination Date, equal to 20.0 per cent. of
the amounts otherwise payable to the Shareholders, in accordance
with Condition 3(c)(i) and 3(c)(ii). See “Condition 3 (Status)” and
7

“Description of the Investment Management Agreement – Fees”.
Security for the Notes The Notes will be secured in favour of the Trustee for the benefit of
the Secured Parties by security over a portfolio of Collateral Debt
Obligations predominantly consisting of Mezzanine Obligations,
Eligible Investments, Exchanged Equity Securities and certain
Synthetic Securities of various Obligors. The Notes will also be
secured by an assignment by way of security of various of the Issuer’s
other rights, including its rights under certain of the agreements
described herein. See Condition 4 (Security).
Hedging Arrangements
Non-Euro Obligations,
Portfolio Currency Hedging
and Asset Swap
Transactions
The Issuer may purchase any Collateral Debt Obligation which is
denominated in a Non-Euro Currency (each, a “Non-Euro
Obligation”), provided that it is either:
(i) purchased with Class A-2 Currency proceeds from the
Class A-2 Notes and/or amounts standing to the credit of the
Class A-2 Currency Principal Account; or
(ii) hedged under an Asset Swap Transaction,
as described in more detail under “Hedging Arrangements” below.
In addition the currency exchange rate risk in relation to the Class A-2
Currency Obligations shall be hedged using a combination of the
currency flexibility in the Class A-2 Notes and certain portfolio
currency hedge transactions, which may be in the form of options or
other derivative instruments, entered into by the Issuer from time to
time with a Portfolio Currency Hedge Counterparty or from time to
time in accordance with the Portfolio Currency Hedge Requirements.
Interest Rate Hedging At any time the Issuer may enter into one or more Interest Rate Hedge
Transactions (which may be interest rate cap and/or swap
transactions) with an Interest Rate Hedge Counterparty satisfying the
applicable Rating Requirement, and which has received Rating
Agency Confirmation in relation thereto. Any payments, other than
Defaulted Interest Rate Hedge Termination Payments, required to be
made by the Issuer under any Interest Rate Hedge Transaction will
rank senior in priority to interest payments on each Class of Notes.
See “Hedging Arrangements – Interest Rate Hedging”.
Liquidity Facility The Issuer and the Liquidity Facility Provider will enter into a
Liquidity Facility Agreement, pursuant to which the Issuer, or the
Investment Manager on behalf of the Issuer, and subject to satisfaction
of certain conditions, may notify the Liquidity Facility Provider of the
amounts it requires to draw under the Liquidity Facility Agreement in
order to pay amounts due and payable in respect of the Rated Notes
pursuant to the Interest Priority of Payments on any Payment Date
including any payments required to be made prior thereto in
accordance with the Interest Priority of Payments. See “Description
of the Liquidity Facility Agreement”.
8

Purchase of Collateral
Debt Obligations
The Liquidity Facility Agreement provides that if at any time the
ratings of the Liquidity Facility Provider falls below the applicable
Rating Requirement or, the Liquidity Facility Provider fails to renew a
Facility, the Liquidity Facility Provider shall upon receipt of a request
to do so, pay into the Standby Liquidity Account the undrawn
commitment under the Liquidity Facility Agreement. Amounts
standing to the credit of the Standby Liquidity Account will be
available for drawing for the same purposes as they would have been
available for drawing under the Liquidity Facility Agreement. See
“Description of the Liquidity Facility Agreement”.
Ramp-up Period During the period from and including the Issue Date to but excluding
the earlier of:
Reinvestment in Collateral
Debt Obligations
(a) the date designated for such purpose by the Investment
Manager by written notice to the Trustee, the Issuer and the
Collateral Administrator pursuant to the Investment
Management Agreement, subject to the Effective Date
Requirements having been satisfied, satisfaction of the
Percentage Limitations, the Collateral Quality Tests and the
Coverage Tests and the Issuer having acquired or entered into
binding commitments to acquire Collateral Debt Obligations,
the Aggregate Principal Balance of which equals or exceeds
the Target Par Amount (as defined herein) by such date
(provided that, for the purposes of each such determination,
any repayments or prepayments of any Collateral Debt
Obligations subsequent to the Issue Date shall be disregarded
and the Principal Balance of a Collateral Debt Obligation
which is a Defaulted Obligation will be the lower of its S&P
Collateral Value and its Moody’s Collateral Value); and
(b) 15 July 2008,
(such earlier date, the “Effective Date” and, such period, the
“Ramp-up Period”) the Investment Manager, on behalf of the Issuer,
intends to enter into binding commitments to purchase the remainder
of the Portfolio of Collateral Debt Obligations, subject to the
Eligibility Criteria and certain other restrictions.
Subject to the conditions set out in the Investment Management
Agreement, Principal Proceeds (including any issue proceeds of
Further Notes and Further Issuer Euro Shares) shall be used by the
Issuer to purchase Substitute Collateral Debt Obligations meeting the
Eligibility Criteria and the Reinvestment Criteria during the
Reinvestment Period.
Following expiry of the Reinvestment Period, only Sale Proceeds
from the sale of Credit Improved Obligations, Credit Impaired
Obligations and Unscheduled Principal Proceeds received may be
reinvested by the Issuer in Substitute Collateral Debt Obligations
meeting the Eligibility Criteria subject to satisfaction of the conditions
applicable thereto set out in the Investment Management Agreement.
See “Description of the Portfolio”.
9

Eligibility Criteria In order to qualify as a Collateral Debt Obligation, an obligation must
satisfy certain specified Eligibility Criteria. See “Description of the
Portfolio - Eligibility Criteria”.
Collateral Quality Tests,
Percentage Limitations
and Coverage Tests
The Collateral Quality Tests, Percentage Limitations and Coverage
Tests must be satisfied as of the Effective Date. In addition, the
Collateral Quality Tests, Percentage Limitations and Coverage Tests
must be satisfied after giving effect to the purchase of any Substitute
Collateral Debt Obligation after the Effective Date or, subject to
certain specified exceptions, if not satisfied prior to such purchase, the
relevant tests and amounts calculated pursuant thereto must be
maintained or improved after giving effect to such purchase. See
“Description of the Portfolio - Measurement of Percentage
Limitations and Collateral Quality Tests”.
Collateral Quality Tests The Collateral Quality Tests will comprise the following:
(a) CDO Monitor Test (as of the Effective Date until the end of
the Reinvestment Period only)
(b) S&P Minimum Weighted Average Recovery Rate Test
(c) Moody’s Minimum Diversity Test
(d) Moody’s Maximum Weighted Average Rating Factor Test
(e) Moody’s Minimum Weighted Average Recovery Rate Test
(f) Minimum Weighted Average Timely Spread Test
(g) Minimum Weighted Average PIK Test
(h) Weighted Average Maturity Test.
Percentage Limitations In summary, the Percentage Limitations will consist of each of the
following (the percentage requirements applicable to different types of
Collateral Debt Obligations specified in the Percentage Limitations
and summarily displayed in the table below shall be determined by
reference to the Aggregate Principal Balance of such type of
Collateral Debt Obligations, excluding Defaulted Obligations as a
percentage of the Aggregate Collateral Balance):
Mezzanine Obligations to a
single Obligor 1
Participations and
Synthetic Securities
Participation
counterparties
Floating Rate Collateral
Debt Obligations
Fixed Rate Collateral Debt
Obligations
10
Minimum Maximum
N/A 3 per cent.
N/A 20 per cent.
N/A As specified in the Bivariate Risk
Table (see “The Portfolio”)
90 per cent. N/A
N/A 10 per cent.
1 Except that there can be 5 exceptions of up to 4% each and an additional 5 exceptions of up to 5% each.

Collateral Debt Obligations
denominated in a Non-Euro
Currency
Class A-2 Currency
Obligations
Moody’s Rating of below
“B3”
11
N/A 30 per cent.
N/A 30 per cent.
N/A 10 per cent.
S&P’s Rating of below “B-” N/A 10 per cent.
Zero Coupon Securities,
PIYC Obligations, PIK
Obligations
Delayed Drawdown
Obligation
N/A 20 per cent. unless, Rating
Agency Confirmation has been
obtained in which case, up to 25
per cent.
N/A 5 per cent.
Current Pay Obligations N/A 5 per cent.
Step-Up Coupon Securities N/A 7.5 per cent.
Discount Obligations N/A 5 per cent.
Collateral Debt Obligations
paying interest less
frequently than
semi-annually
N/A 20 per cent. unless Rating
Agency Confirmation has been
obtained
Long Dated Obligations N/A 5 per cent., subject to the S&P
Tests Matrix and Moody’s Test
Matrix, unless Rating Agency
Confirmation has been obtained
Obligations which are to constitute Collateral Debt Obligations in
respect of which the Issuer or the Investment Manager, on behalf of
the Issuer, has entered into a binding commitment to purchase but
which have not yet settled shall be included as Collateral Debt
Obligations in the calculation of the Percentage Limitations as if such
purchase had been completed. Defaulted Obligations shall be
disregarded for the purpose of calculating the Percentage Limitations.
Coverage Tests Each of the Par Value Tests and Interest Coverage Tests shall be
satisfied on a Measurement Date following the Effective Date, if the
corresponding Par Value Ratio or Interest Coverage Ratio (as the case
may be) is at least equal to the percentage specified in the table below
in relation to that Coverage Test.
Class
Required Par Value
Ratio
A/B 125%
C 118%
D 116.0%
Required Interest
Class
Coverage Ratio
A/B 130%
C 125%
D 115.0%

Reinvestment Test During the Reinvestment Period, in the event that the Reinvestment
Test is not satisfied on any Determination Date, an amount up to
50 per cent. of Interest Proceeds that may otherwise have been applied
towards payment of certain other expenses and amounts payable by
the Issuer pursuant to the Interest Priority of Payments will instead be
used (1) to pay into the Euro Principal Account and/or the Class A-2
Currency Principal Account for use in the purchase of Collateral Debt
Obligations and/or (2) to redeem the Notes in accordance with the
Priorities of Payments applied as if the Reinvestment Period had
expired, such choice at the discretion of the Investment Manager
(acting on behalf of the Issuer) in each case, to the extent required to
cause the Reinvestment Test to be satisfied if recalculated following
such payment. The Reinvestment Test will be satisfied on any
Determination Date if the Class D Par Value Ratio is at least 117 per
cent.
Minimum Denominations The Regulation S Notes of each Class will be issued in minimum
denominations of €100,000 and integral multiples of €1,000 in excess
thereof, and the Rule 144A Notes of each Class will be issued in
minimum denominations of €250,000 and integral multiples of €1,000
in excess thereof.
Form, Registration and
Transfer of the Notes
The Regulation S Notes of each Class sold outside the United States
to non-U.S. Persons in reliance on Regulation S (other than the
Class A-2 Notes) will each be represented on issue by beneficial
interests in one or more permanent global certificates of such Class
(each, a “Regulation S Global Certificate” and, together, the
“Regulation S Global Certificates”) in fully registered form, without
interest coupons or principal receipts, deposited on or about the Issue
Date with, and registered in the name of, BT Globenet Nominees
Limited on behalf of Deutsche Bank AG, London Branch as common
depository for Euroclear Bank S.A./N.V.(“Euroclear”) and
Clearstream Banking, société anonyme (“Clearstream,
Luxembourg”). Beneficial interests in a Regulation S Global
Certificate may only be held through, and transfers thereof will only
be effected through, records maintained by Euroclear or Clearstream,
Luxembourg at any time.
The Class A-2 Notes which are Regulation S Notes sold outside the
United States to non-U.S. Persons in reliance on Regulation S will
each be issued in the form of one or more certificated notes in fully
registered form registered in the name of the owners thereof (each, a
“Class A-2 Regulation S Certificate”).
Interests in any Regulation S Note may not at any time be held by or
on behalf of a U.S. Person or any U.S. resident (as determined for the
purposes of the Investment Company Act). See “Form of the Notes”
and “Book-Entry Clearance Procedures”.
The Rule 144A Notes of each Class sold in reliance on Rule 144A to
U.S. Persons who are both QIBs and QPs for the purposes of the
Investment Company Act (other than the Class A-2 Notes) will each
be represented on issue by one or more permanent global certificates
of such Class (each, a “Rule 144A Global Certificate” and, together,
the “Rule 144A Global Certificates” and, together with the
Regulation S Global Certificates, the “Global Certificates”), in fully
12

egistered form, without interest coupons or principal receipts,
deposited on or about the Issue Date with, and registered in the name
of, BT Globenet Nominees Limited on behalf of Deutsche Bank AG,
London Branch as common depository for Euroclear and Clearstream,
Luxembourg. Beneficial interests in a Rule 144A Global Certificate
may only be held through, and transfers thereof will only be effected
through, records maintained by Euroclear or Clearstream,
Luxembourg at any time.
The Class A-2 Notes which are Rule 144A Notes sold in reliance on
Rule 144A to U.S. Persons who are both QIBs and QPs for the
purposes of the Investment Company Act will each be issued in the
form of one or more certificated notes in fully registered form
registered in the name of the owner(s) thereof (each, a “Class A-2
Rule 144A Certificate”).
The Rule 144A Global Certificates and the Class A-2 Rule 144A
Certificates will bear a legend and such Rule 144A Global Certificates
and Class A-2 Rule 144A Certificates, or any interest therein, may not
be transferred except in compliance with the transfer restrictions set
out in such legend. See “Transfer Restrictions”.
No beneficial interest in a Rule 144A Global Certificate or Class A-2
Rule 144A Certificate may be transferred to a person who takes
delivery thereof through a Regulation S Global Certificate or
Class A-2 Regulation S Certificate unless the transferor provides the
Trustee with a written certification substantially in the form set out in
the Trust Deed regarding compliance with certain of such transfer
restrictions. Any transfer of a beneficial interest in a Regulation S
Global Certificate or Class A-2 Regulation S Certificate to a person
who takes delivery through an interest in a Rule 144A Global
Certificate or Class A-2 Rule 144A Certificate is also subject to
certification requirements substantially in the form set out in the Trust
Deed and each purchaser thereof shall be deemed to represent that
such purchaser is both a QIB and a QP for the purposes of
Section 3(c)(7) of the Investment Company Act.
Except in the limited circumstances described herein, Notes in
definitive, certificated, fully registered form (“Definitive
Certificates”) (other than the Class A-2 Notes) will not be issued in
exchange for beneficial interests in either the Regulation S Global
Certificates or the Rule 144A Global Certificates. See “Form of the
Notes – Exchange for Definitive Certificates”.
Transfers of interests in the Notes are subject to certain restrictions
and must be made in accordance with the procedures set out in the
Trust Deed. See “Form of the Notes”, “Book-Entry Clearance
Procedures” and “Transfer Restrictions”. Each purchaser of Notes in
making its purchase will be required to make, or will be deemed to
have made, certain acknowledgements, representations and
agreements. See “Transfer Restrictions”. The transfer of Notes in
breach of certain of such representations and agreements will result in
affected Notes becoming subject to certain forced transfer provisions.
See Condition 2(h) (Forced Transfer of Certain Notes).
Governing Law The Transaction Documents entered into on or before the Issue Date
13

will be governed by and construed in accordance with English law,
except for any Euroclear Pledge Agreement, which will be governed
by and construed in accordance with Belgian law.
Listing Application has been made to the Financial Regulator as the
competent authority under Directive 2003/71/EC for this Offering
Memorandum to be approved. Application has been made to admit
the Notes of each Class to the Official List of the Irish Stock
Exchange and to trading on its regulated market. It is anticipated that
listing will take place on or about the Issue Date. There can be no
assurance that such listing and admission will be granted. See
“General Information”.
Tax Status See “Tax Considerations”.
ERISA Employee Benefit
Plan Considerations
Except as stated in, and subject to, the restrictions described in
“Certain Employee Benefit Plan Considerations”:
The Notes may be sold and transferred to Plans (as defined in
“Certain Employment Benefit Plan Considerations”) and other
employee benefit plans.
See “Certain Employee Benefit Plan Considerations”.
Withholding Tax Payments of interest and principal on the Notes may be subject to
income taxes, including applicable withholding taxes and other taxes
and (other than in respect of the Class A-2 Notes) the Issuer will not
be obliged to pay any additional amounts in relation thereto. The
Class A-2 Note Purchase Agreement requires the Issuer to gross up
payments made to the Class A-2 Noteholders thereunder, such
payments to be made in accordance with Condition 3(c)(i)(V)
(Interest Priority of Payments). See Condition 9 (Taxation). The
Notes are subject to redemption at the option of the Controlling Class
acting by Extraordinary Resolution upon the occurrence of a Note Tax
Event, all subject to, and in accordance with, the terms of
Condition 7(c) (Redemption for Tax Reasons).
Additional Issuances It is anticipated that the Issuer may, from time to time, may create and
issue Further Notes having the same terms and conditions as an
existing Class of Notes subject to fulfilment of certain conditions
described in greater detail below:
The specific terms and conditions of any further issuance of Notes
issued on any Subsequent Issue Date, to the extent not set out herein
or to the extent that the terms and conditions set out herein require
supplementing and/or modification to the extent that they relate to
such further issuance of Notes will be set out in the Pricing
Supplement relating to each such further issuance of Notes. No term
or condition set out in these Conditions may be supplemented and/or
modified in respect of any further issuance of Notes issued on a
Subsequent Issue Date pursuant to the Pricing Supplement and/or
supplemental Trust Deed relating thereto, save for terms and
conditions relating to the currency, the basis for calculating interest,
the date from which interest will accrue thereon, the date of the first
Payment Date and such other changes as are permitted under
Condition 14 (Meetings of Noteholders Modification, Waiver and
Substitution). For the avoidance of doubt, subject to the requirements
14

of Condition 17 (Additional Issuances), any Further Notes issued may
constitute a new Class of Notes, provided that such new Class ranks
pari passu to a previously issued Class of Notes. The Pricing
Supplement in respect of a further issuance of Notes issued on a
Subsequent Issue Date must also specify details of the intended
application of the proceeds of each Class of Notes which will be
Outstanding after issuance of each such further issuance. The Issuer
shall procure that the Noteholders are notified of the issuance of any
further issuance of Notes on a Subsequent Issue Date as soon as
reasonably practicable after any such Subsequent Issue Date in
accordance with Condition 16 (Notices).
The Issuer may only issue Further Notes in a different currency to the
Original Notes of the corresponding Class and/or with interest thereon
calculated on a different basis to the Existing Notes of a
corresponding Class to the extent that the Issuer (i) first receives
Rating Agency Confirmation in respect thereof and (ii) enters into
such cross currency and/or interest rate hedging arrangements in
relation thereto as may be agreed with each of the Rating Agencies
from time to time.
15

RISK FACTORS
An investment in the Notes of any Class involves certain risks, including risks relating to the
Collateral securing such Notes and risks relating to the structure and rights of such Notes and the
related arrangements. Prospective investors should carefully consider the following factors, in
addition to the matters set out elsewhere in this Offering Memorandum, prior to investing in any
Notes. Terms not defined in this section and not otherwise defined above have the meanings set out in
Condition 1 of the “Terms and Conditions of the Notes”.
1. GENERAL
1.1 General
It is intended that the Issuer will invest in loans, bonds and other financial assets with certain
risk characteristics as described below and subject to the investment policies, restrictions and
guidelines described in “Description of the Portfolio” below. There can be no assurance that
the Issuer’s investments will be successful, that its investment objectives will be achieved,
that the holders of Notes will receive the full amounts payable by the Issuer under the Notes
or that they will receive any return on their investment in the Notes. Prospective investors are
therefore advised to review this entire Offering Memorandum carefully and should consider,
among other things, the factors set out below before deciding whether to invest in the Notes.
Except as is otherwise stated below, such factors are generally applicable to all Classes of
Notes, although the degree of risk associated with each Class of Notes will vary according to
its position in terms of priority pursuant to the Priorities of Payments.
Neither the Initial Purchaser nor the Trustee undertakes to review the financial condition or
affairs of the Issuer or the Investment Manager at any time during the life of the arrangements
contemplated by this Offering Memorandum nor to advise any investor or potential investor
in the Notes of any information coming to the attention of the Initial Purchaser or the Trustee
which is not included in this Offering Memorandum.
1.2 Suitability
Prospective purchasers of the Notes of any Class should ensure that they understand the
nature of such Notes and the extent of their exposure to risk, that they have sufficient
knowledge, experience and access to professional advisers to make their own legal, tax,
accounting, regulatory treatment and financial evaluation of the merits and risks of investment
in such Notes and that they consider the suitability of such Notes as an investment in the light
of their own circumstances and financial condition.
1.3 Limited Sources of Funds to Pay Expenses of the Issuer
The funds available to the Issuer to pay its expenses on any Payment Date are limited as
provided in the Priorities of Payments. In the event that such funds are not sufficient to pay
the expenses incurred by the Issuer, the ability of the Issuer to operate effectively may be
impaired, and it may not be able to defend legal proceedings brought against it or which it
might otherwise bring to protect the interests of the Issuer or be able to pay the expenses of
legal proceedings against persons whom the Issuer has indemnified.
2. RELATING TO THE NOTES
2.1 Limited Liquidity and Restrictions on Transfer
Although there is currently a market for notes representing collateralised debt obligations
similar to the Notes, there is currently no market for the Notes themselves. Although the
Initial Purchaser has advised the Issuer that it intends to make a market for the Notes, the
Initial Purchaser is not obliged to do so, and any such market-making may be discontinued at
any time without notice. There can be no assurance that any secondary market for any of the
16

Notes will develop or, if a secondary market does develop, that it will provide the
Noteholders with liquidity of investment or that it will continue for the life of such Notes.
Consequently, a purchaser must be prepared to hold such Notes for an indefinite period of
time or until the Maturity Date. In addition, no sale, assignment, participation, pledge or
transfer of the Notes may be effected if, among other things, it would require the Issuer or any
of its officers or directors to register under, or otherwise be subject to the provisions of, the
Investment Company Act or any other similar legislation or regulatory action. Furthermore,
the Notes will not be registered under the Securities Act or any U.S. state securities laws, and
the Issuer has no plans, and is under no obligation, to register the Notes under the Securities
Act. The Notes are subject to certain transfer restrictions and can be transferred only to
certain transferees. See “Plan of Distribution” and “Transfer Restrictions”. Such restrictions
on the transfer of the Notes may further limit their liquidity. In addition any purchaser of the
Class A-2 Notes will be required to accede to the Class A-2 Note Purchase Agreement as a
condition to transfer of any such Notes and to satisfy the applicable Rating Requirement.
2.2 Limited Recourse Obligations
The Notes are limited recourse obligations of the Issuer and are payable solely from amounts
received in respect of the Collateral Debt Obligations, the Asset Swap Transactions, the
Interest Rate Hedge Transactions, the Portfolio Currency Hedge Transactions, Eligible
Investments and other Collateral securing the Notes. Payments on the Notes both prior to and
following enforcement of the security over the Collateral are subordinated to the prior
payment of certain fees and expenses of, or payable by, the Issuer and to payment of principal
and interest on prior ranking Classes of Notes.
None of the Initial Purchaser, the Trustee, the Investment Manager, the Collateral
Administrator, the Hedge Counterparties or any of their Affiliates or any other person or
entity (other than the Issuer) will be obligated to make payments on the Notes. Consequently,
the Noteholders must rely solely on distributions on the Collateral Debt Obligations and
amounts received under the Asset Swap Transactions, the Interest Rate Hedge Transactions,
Eligible Investments, the Portfolio Currency Hedge Transactions, the Liquidity Facility
Agreement and other Collateral securing the Notes for the payment of principal and interest.
There can be no assurance that the distributions on the Collateral Debt Obligations and
amounts received under the Asset Swap Transactions, the Interest Rate Hedge Transactions,
Eligible Investments, the Portfolio Currency Hedge Transactions and the Liquidity Facility
Agreement and other Collateral securing the Notes will be sufficient to make payments on
any Class of Notes after making payments on more senior Classes of Notes and certain other
required amounts payable to other creditors ranking senior to or pari passu with such Class
pursuant to the Priorities of Payments. If distributions on such Collateral Debt Obligations
and other Collateral are insufficient to make payments on the Notes, no other assets (and, in
particular, no assets of the Investment Manager, the Initial Purchaser, the Hedge
Counterparties, the Trustee, the Collateral Administrator, the Liquidity Facility Provider, the
Custodian, any Agent or any Affiliates of any of the foregoing) will be available for payment
of the deficiency and, following realisation of the security over the Collateral and the
application of the proceeds thereof in accordance with the Priorities of Payments, the
obligations of the Issuer to pay such shortfall shall be extinguished. Such shortfall will be
borne by (a) the Class A Noteholders, (b) the Class B Noteholders, (c) the Class C
Noteholders, (d) the Class D Noteholders and (e) the Shareholders in inverse order in
accordance with the Priorities of Payments.
In addition, at any time while the Notes are Outstanding, none of the Noteholders nor any
other Secured Party (nor any other person acting on behalf of any of them) except the Trustee
shall be entitled at any time to institute against the Issuer, or join in any institution against the
Issuer of, any bankruptcy, reorganisation, arrangement, examinership, insolvency, winding-up
or liquidation proceedings or any proceedings for the appointment of a liquidator or
administrator or examiner or a similar official, or other proceedings under any applicable
17

ankruptcy or similar law in connection with any obligations of the Issuer relating to the
Notes, the Trust Deed or otherwise owed to the Noteholders, save for lodging a claim in the
liquidation of the Issuer which is initiated by another party or taking proceedings to obtain a
declaration or judgment as to the obligations of the Issuer nor shall any of them have a claim
arising in respect of the share capital of the Issuer.
2.3 Subordination
The Class A-1 Notes will rank pari passu and rateably with the Class A-2 Notes (except
where specified as being subject to the Multi-Currency Provisions or the Class A Redemption
Method) (each as defined herein) for all purposes and in priority to the Class A-3 Notes, the
Class B Notes, the Class C Notes and the Class D Notes until the redemption in full of the
Class A-1 Notes. After the redemption in full of the Class A-1 Notes, the Class A-3 Notes
will rank pari passu and rateably with the Class A-2 Notes (except where specified as being
subject to the Multi-Currency Provisions or the Class A Redemption Method) (each as
defined herein) for all purposes and in priority to the Class B Notes, the Class C Notes and the
Class D Notes. The Class B Notes will be subordinated to the Class A-1 Notes, the Class A-2
Notes and the Class A-3 Notes (collectively, the Class A Notes); the Class C Notes will be
subordinated to the Class A Notes and the Class B Notes; the Class D Notes will be
subordinated to the Class A Notes, the Class B Notes and the Class C Notes. Save to the
extent otherwise provided below, the payments of principal and interest on any Class of Notes
may not be made until all payments of principal and interest due and payable on any Classes
of Notes ranking in priority thereto pursuant to the Priorities of Payments have been made in
full. Payments of principal and interest on the Notes are also subordinated to payment of
certain expenses of the Issuer and amounts payable to other Secured Parties as specified in the
Priorities of Payments. The risk of delays in payments or ultimate non-payment of principal
and/or interest will be borne disproportionately by the holders of more junior Classes of Notes
as compared to the more senior Classes of Notes. This will particularly be the case in the
event that the Issuer issues Further Notes which may differ (as regards the currency of
denomination or calculation of interest) from existing Classes of Notes. In addition, to the
extent described herein, payments of interest on the Class C Notes and the Class D Notes may
be deferred to the extent there are not sufficient Interest Proceeds and/or Principal Proceeds
available to pay such interest in accordance with the Priorities of Payments and such deferral
of interest will not constitute an Event of Default under the Notes at any time whilst any more
senior Classes of Notes remain Outstanding. Any such deferral of interest will increase the
effect of the subordination of the Classes of Notes in respect of which payment was deferred.
2.4 Non-Payment of Class A Notes or Class B Notes Interest
In the event of any non-payment of interest on the Class A Notes or the Class B Notes which
is due and payable, an Event of Default shall occur which entitles the Controlling Class to
accelerate the Notes in accordance with Condition 10(b) (Acceleration). However, it should
be noted that notwithstanding non-payment of interest on the Class A Notes or the Class B
Notes, no provision exists for deferral of interest in the same manner as is provided for the
Class C Notes and the Class D Notes pursuant to Condition 6(c) (Deferral of Interest) thereon
and the payment of interest on the amount so deferred and the Class B Notes will have no
ability to take any action as a result of such default until such time as the Class A Notes no
longer remain outstanding.
2.5 The Controlling Class and Conflicts between Classes
Following the occurrence of an Event of Default, the Notes may be accelerated in accordance
with Condition 10(b) (Acceleration) by the Trustee at the request of the Controlling Class
acting by Ordinary Resolution. Liquidation of the Collateral at such time and/or the remedies
pursued by the Trustee upon enforcement of the security of the Collateral in such
18

circumstances could be adverse to the interest of holders of the Classes of Notes which rank
junior in terms of priority to the Controlling Class directing such enforcement.
Actions taken by the Controlling Class, the Issuer, the Shareholders or by a particular Class of
Notes entitled to vote pursuant to the Conditions could be adverse to the interests of the
holders of the Classes of Notes not entitled to vote. The holders of the Notes of a given Class
or such other persons entitled to vote at any time will have no obligation to consider the effect
of any such vote on the holders of any other classes of Notes.
In addition, the Trust Deed provides that in the event of any conflict of interest between the
various Classes of Noteholders, the interests of the holders of the Controlling Class will
prevail, and that the Class A-1 Notes, the Class A-2 Notes and the Class A-3 Notes shall be
deemed to constitute a single Class for such purpose. If the holders of the Controlling Class
do not have an interest in the outcome of the conflict, the Trustee shall give priority to the
interests of (a) the Class A Noteholders over each of the other Classes of Noteholders, (b) the
Class B Noteholders over the Class C Noteholders and the Class D Noteholders, (c) the
Class C Noteholders over the Class D Noteholders. In the event that the Trustee receives
conflicting or inconsistent requests from two or more groups of Noteholders (or the holders of
another Class of Notes given priority as described in this paragraph), each representing less
than the majority by principal amount of the Controlling Class (or other Class of Notes given
priority as described in this paragraph), the Trustee shall give priority to the group which
holds the greater amount of principal amount of the Notes of such Class. The Trust Deed
provides further that the Trustee will act upon the directions of the holders of the Controlling
Class (or other Class of Noteholders given priority as described in this paragraph) in such
circumstances, and shall not be obliged to consider the interests of the holders of any other
Class of Noteholders. See Condition 14(e) (Entitlement of the Trustee and Conflicts of
Interest).
2.6 Amount and Timing of Payments
Investment in the Notes of any Class involves a degree of risk arising from fluctuations in the
amount and timing of receipt of the principal and interest on the Collateral Debt Obligations
by or on behalf of the Issuer and the amounts of the claims of creditors of the Issuer ranking
in priority to the holders of each Class of the Notes. In particular, prospective purchasers of
such Notes should be aware that the amount and timing of payments of the principal and
interest on the Collateral Debt Obligations will depend upon the detailed terms of the
documentation relating to each of the Collateral Debt Obligations and on whether or not any
Obligor thereunder defaults in its obligations.
2.7 Average Life and Prepayment Considerations
The Maturity Date of the Notes is 15 July 2024; however, the average life of each Class of the
Notes is expected to be shorter than the number of years to their Maturity Date. Average life
refers to the average amount of time that will elapse from the date of issue of each Class of
Notes until the Principal Amount Outstanding of such Note will have been paid in full to the
holder thereof.
The average lives of each Class of the Notes will be determined by the amount and frequency
of principal repayments in respect of such Class, which are dependent upon, among other
things, the amount of any payments received at or in advance of the scheduled maturity of
Collateral Debt Obligations (whether through sale, maturity, redemption, default or other
liquidation or disposition). The actual average lives and actual maturities of each Class of the
Notes will be affected by the financial condition of each of the Obligors of the underlying
Collateral Debt Obligations and the characteristics of such loans and securities, including the
existence and frequency of exercise of any optional or mandatory redemption features, the
prevailing level of interest rates, the redemption price, the actual default rate, the actual level
of recoveries on any Defaulted Obligations and the frequency of tender or exchange offers for
19

such Collateral Debt Obligations, in particular, loans are generally repayable at par and a high
proportion of loans could be repaid. Substantially all of the Collateral Debt Obligations are
expected to be subject to optional redemption or prepayment by the Obligors of such loans
and securities thereunder. Any disposition of a Collateral Debt Obligation may change the
composition and characteristics of the Collateral Debt Obligations and the rate of payment
thereon, and, accordingly, may affect the actual average lives of each Class of the Notes. The
ability of the Investment Manager to reinvest Principal Proceeds in the manner described
under “Description of the Portfolio” will also affect the average lives of each class of the
Notes.
2.8 Mandatory Redemption of the Notes
In certain circumstances, including in the event of an Effective Date Rating Event or breach
of Coverage Tests, Interest Proceeds and thereafter Principal Proceeds may be applied in
redemption of the Notes in accordance with the Priorities of Payments to the extent required
to cause either the Rating Agencies to confirm the Initial Ratings of the Notes or, as
applicable any Coverage Test that has been breached to be satisfied if recalculated following
such redemption. Principal Proceeds will also be applied in redemption of the Notes during
the Reinvestment Period rather than in the purchase of Substitute Collateral Debt Obligations.
Any such payments could result in an elimination, deferral or reduction of interest and/or
principal payments made to the holders of the Class B Notes and/or the Class C Notes and/or
the Class D Notes, as the case may be, and in certain circumstances will affect the average
lives of the Notes so redeemed.
2.9 Optional Redemption of the Notes
Subject to the satisfaction of certain conditions described herein, the Issuer (acting at the
direction of the Shareholders) may require that the Notes be redeemed on or after the third
anniversary of the Issue Date or following the occurrence of a Collateral Tax Event. The
Notes may also be subject to redemption at the option of the Investment Manager pursuant to
a Special Redemption, the breach of a Reinvestment Test or by means of a Company
Clean-Up Call (see Condition 7(c) (Redemption at the Option of the Reinvestment Manager)).
In addition the Notes may be redeemed at the option of the Controlling Class pursuant to the
occurrence of a Note Tax Event (see Condition 7(d) (Redemption for Tax Reasons)). In
addition, the Notes may be redeemed at the option of the Class D Noteholders following the
termination of the Investment Manager and the bankruptcy or insolvency of ICG (see
Condition 7(l) (Optional Redemption by the Class D Noteholders). An optional redemption
of the Notes (other than pursuant to a breach of a Reinvestment Test) could require the
Investment Manager to liquidate positions (including terminating the Hedge Agreements)
more rapidly than would otherwise be desirable, which could adversely affect the value at
which such securities can be realised or which may result in payments being required to be
made by the Issuer pursuant to the Hedge Agreements to the extent they are out of the money
to the Issuer, which may reduce the amount available to be paid to Noteholders.
2.10 Optional Redemption upon termination of the Appointment of the Investment Manager
In the event that the Investment Manager’s appointment is terminated pursuant to the
Investment Management Agreement, the Investment Manager (acting in its sole and absolute
discretion on behalf of the Issuer) may within 90 days of receipt of notice of such termination,
elect that the Notes shall be redeemed (in whole but not in part) at their respective Principal
Amounts Outstanding on the next following Payment Date. See Condition 7(h) (Redemption
upon Termination of the Appointment of the Investment Manager). In the event of any
redemption in whole of the Notes in such circumstances, the Collateral will be liquidated and
the proceeds of such liquidation applied in accordance with the Priorities of Payment.
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Liquidation of the Collateral at such time could be adverse to the interests of the holders of
the Notes.
2.11 Volatility of Portfolio Market Value
The market value of the Collateral Debt Obligations may fluctuate, with, among other things,
changes in prevailing interest rates, general economic conditions, the conditions of financial
markets, European and international political events, events in the home countries of the
Obligors under the Collateral Debt Obligations, developments or trends in any particular
industry and the financial condition of such Obligor. The public markets for the secondary
market for Mezzanine Obligations is still limited. See “Nature of the Collateral” above. A
decrease in the market value of the Portfolio would adversely affect the amount of proceeds
which could be realised upon liquidation of the Portfolio.
2.12 Future Ratings of the Notes Not Assured and Limited in Scope
A security rating is not a recommendation to buy, sell or hold securities and may be subject to
revision, suspension or withdrawal by any Rating Agency at any time. Credit ratings
represent a rating agency’s opinion regarding the credit quality of an asset but are not a
guarantee of such quality. There is no assurance that a rating accorded to any of the Notes
will remain for any given period of time or that a rating will not be lowered or withdrawn
entirely by a Rating Agency if, in its judgment, circumstances in the future so warrant. In the
event that a rating initially assigned to any of the Notes is subsequently lowered for any
reason, no person or entity is required to provide any additional support or credit
enhancement with respect to any such Notes and the market value of such Notes is likely to
be adversely affected.
2.13 Security
Clearing Systems: Any Collateral Debt Obligations or other assets forming part of the
Collateral which are in the form of securities (if any) will be held by the Custodian on behalf
of the Issuer. The Custodian will hold such assets which can be cleared through Euroclear in
an account with Euroclear (the “Euroclear Account”) unless the Trustee otherwise consents
and will hold the other securities comprising the Portfolio which cannot be so cleared
(a) through its accounts with Clearstream, Luxembourg and The Depository Trust Company
(“DTC”), as appropriate, and (b) through its sub-custodians who will in turn hold such assets
which are securities both directly and through any appropriate clearing system. Those assets
held in clearing systems (and not held in the Euroclear Account) will not be held in special
purpose accounts and will be fungible with other securities from the same issue held in the
same accounts on behalf of the other customers of the Custodian or its sub custodian, as the
case may be. A first fixed charge over the Portfolio will be created under English law
pursuant to the Trust Deed on the Issue Date and will take effect as a security interest over the
right of the Issuer to require delivery of equivalent securities from the Custodian in
accordance with the terms of the Agency Agreement (as defined in the Conditions) which
may expose the Secured Parties to the insolvency of the Custodian or its sub-custodians.
In any event, the charge created pursuant to the Trust Deed may be insufficient or ineffective
to secure the Collateral Debt Obligations which are securities for the benefit of Noteholders,
particularly in the event of any insolvency or liquidation of the Custodian or any
sub-custodian that has priority over the right of the Issuer to require delivery of such assets
from the Custodian in accordance with the terms of the Agency Agreement. In addition,
custody and clearance risks may be associated with Collateral Debt Obligations or other
assets comprising the Portfolio which are securities that do not clear through DTC, Euroclear
or Clearstream, Luxembourg. There is a risk, for example, that such securities could be
counterfeit, or subject to a defect in title or claims to ownership by other parties.
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Some Collateral Debt Obligations and Eligible Investments are securities to be held by the
Custodian in a pledged account with Euroclear (the “Euroclear Pledged Account”). The
Euroclear Pledged Account will be the subject of a commercial pledge under Belgian law
created by the Issuer pursuant to the Euroclear Pledge Agreement entered into by the Issuer
on the Issue Date. The effect of this security interest will, inter alia, be to enable the
Custodian, on enforcement, to sell the securities in the Euroclear Pledged Account on behalf
of the Trustee. The Euroclear Pledge Agreement will not entitle the Trustee to require
delivery of the relevant securities from the depositary or depositaries that have physical
custody of such securities or allow the Trustee to dispose of such securities directly.
Any risk of loss arising from any insufficiency or ineffectiveness of the security for the Notes
or the custody and clearance risks which may be associated with assets comprising the
Portfolio will be borne by the Noteholders without recourse to the Issuer, the Trustee, the
Investment Manager, the Collateral Administrator, the Directors, the Custodian, the Hedge
Counterparties or any other party.
Fixed Security: Although the security constituted by the Trust Deed over the Collateral held
from time to time, including the security over the Accounts, is expressed to take effect as a
fixed charge, it may (as a result of, among other things, the substitutions of Collateral Debt
Obligations or Eligible Investments contemplated by the Investment Management Agreement
and the payments to be made from the Accounts in accordance with the Conditions and the
Trust Deed) take effect as a floating charge which, in particular, would rank after a
subsequently created fixed charge. However, the Issuer has covenanted in the Trust Deed not
to create any such subsequent security interests (other than those permitted under the Trust
Deed) without the consent of the Trustee.
2.14 Noteholders’ Resolutions
The Trust Deed includes provisions for the passing of Resolutions (whether at a Noteholders’
meeting by way of vote or by Written Resolution) of the Noteholders in respect of (among
any other matters) amendments to the Conditions of the Notes and/or the Transaction
Documents. Such provisions include, among other things, (a) quorum requirements for the
holding of Noteholders’ meetings and (b) voting thresholds required to pass Resolutions at
such meetings (or through Written Resolutions). The quorum required for a meeting of a
Class of Noteholders (other than an adjourned meeting) to pass an Ordinary Resolution or an
Extraordinary Resolution is two or more persons holding or representing not less than,
respectively, 50 per cent. or 66 per cent. of the aggregate of the Principal Amount
Outstanding of such Class of Notes. In both cases, the quorum is less at an adjourned
meeting. The voting threshold at any Noteholders’ meeting in respect of an Ordinary
Resolution or an Extraordinary Resolution of a Class of Noteholders is, respectively, more
than 50 per cent. or at least 66 per cent. of the aggregate of the Principal Amount
Outstanding of the Notes of such Class of those Notes represented at the meeting.
Accordingly, it is likely that, at any meeting of the Noteholders, an Ordinary Resolution or an
Extraordinary Resolution may be passed with less than 50 per cent. or 66 per cent.
respectively of all the Noteholders of such Class represented. See Condition 14 (Meetings of
Noteholders, Modification, Waiver and Substitution).
2.15 Resolutions, Amendments and Waivers
Decisions may be taken by a Class of Noteholders by way of Ordinary Resolution or
Extraordinary Resolution, in each case, a Class of Transaction Document, as a Class of
Noteholders acting independently. Such Resolutions can be effected either at a duly
convened meeting of the applicable Class of Noteholders or by the applicable Class of
Noteholders resolving in writing. Meetings of the Noteholders may be convened by the
Issuer, the Trustee or by one or more Noteholders holding not less than 10 per cent. in
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aggregate Principal Amount Outstanding of the Notes of a particular Class, subject to certain
conditions including minimum notice periods.
The Trustee may, in its discretion, determine that any proposed Ordinary Resolution or
Extraordinary Resolution affects only the holders of one or more Classes of Notes, in which
event the required quorum and minimum percentage voting requirements of such Ordinary
Resolution or Extraordinary Resolution shall apply to only the holders of that Class or Classes
of Notes.
In the event that a meeting of Noteholders is called to consider a Resolution, determination as
to whether the requisite number of Notes have been voted in favour of such Resolution will
be determined by reference to the percentage which the Notes voted in favour represent of the
total amount of Notes held or represented by any person or persons entitled to vote which are
present at such meeting and not by the aggregate Principal Amount Outstanding of all such
Notes which are entitled to be voted in respect of such Resolution. This means that a lower
percentage of Noteholders may pass a Resolution which is put to a meeting of Noteholders
than would be required for a Written Resolution in respect of the same matter. There are
however quorum provisions which provide that a minimum number of Noteholders
representing a minimum amount of the Principal Amount Outstanding of the applicable Class
be present at any meeting to consider an Extraordinary Resolution or Ordinary Resolution of
such Class. In the case of an Extraordinary Resolution, this is two or more persons holding or
representing not less than 66 per cent. of the aggregate Principal Amount Outstanding of the
relevant Class of Notes and in the case of an Ordinary Resolution this is two or more persons
holding or representing not less than 50 per cent. of the aggregate Principal Amount
Outstanding of the relevant Class. Such quorum provisions still, however, require
considerably lower thresholds for voting in favour of a Resolution than would be required for
a Written Resolution. In addition, in the event that a quorum requirement is not satisfied at
any meeting, lower quorum thresholds will apply at any meeting previously adjourned for
want of quorum as set out in Condition 14(b) (Decisions and Meetings of Noteholders) and in
the Trust Deed.
Certain entrenched rights relating to the Terms and Conditions of the Notes including the
currency thereof, Payment Dates applicable thereto, the Priorities of Payments, the provisions
relating to quorums and the percentages of votes required for the passing of an Extraordinary
Resolution, cannot be amended or waived by Ordinary Resolution but require an
Extraordinary Resolution. It should however be noted that amendments may still be effected
and waivers may still be granted in respect of such provisions in circumstances where not all
Noteholders agree with the terms thereof and any amendments or waivers once passed in
accordance with the provisions of the Terms and Conditions of the Notes and the provisions
of the Trust Deed will be binding on all such dissenting Noteholders. In addition to the
Trustee’s right to agree to changes to the Transaction Documents to correct a manifest error,
or to changes which, in its opinion, are not materially prejudicial to the interests of the
Noteholders of any Class without the consent of the Noteholders, modifications may also be
made and waivers granted in respect of certain other matters, subject to the prior consent of
the Trustee but without the consent of the Noteholders as set out in Condition 14(c)
(Modification and Waiver) and the Trust Deed.
2.16 Enforcement Rights Following an Event of Default
Following the occurrence of an Event of Default the Trustee may, at its discretion, and shall,
subject to it being indemnified and/or secured to its satisfaction, at the request of the
Controlling Class acting independently by Ordinary Resolution, give notice to the Issuer that
the Notes are to be immediately due and payable following which the security over the
Collateral shall become enforceable and may be enforced by either the Trustee, at its
discretion, subject to it being indemnified and/or secured to its satisfaction if the Trustee
determines that the anticipated proceeds realised from such enforcement (after deducting any
23

easonable expenses incurred in connection therewith) would be sufficient to discharge in full
all amounts due and payable in respect of all Classes of Notes (including, without limitation,
Deferred Interest on the Class C Notes and the Class D Notes) and all amounts payable in
priority thereto pursuant to the Priorities of Payments (such determination being an
“Enforcement Threshold Determination”); or if so directed by the Controlling Class, acting
by Extraordinary Resolution.
The requirements described above could result in enforcement of such security in
circumstances where the proceeds of liquidation thereof would be insufficient to ensure
payment in full of all amounts due and payable in respect of the Rated Notes in accordance
with the Priorities of Payments and/or at a time when enforcement thereof may be adverse to
the interests to certain Classes of Notes.
2.17 Class A-2 Notes
The Class A-2 Noteholders will be required to make their Pro Rata Share of each Class A-2
Advance to the Issuer. In the event that any Class A-2 Noteholder (a) has failed to pay its Pro
Rata Share of a Class A-2 Advance when requested or (b) has not complied with the terms of
the relevant Class A-2 Note Purchase Agreement and has not complied with remedial action
in relation thereto (if any), then the Class A-2 Notes of such Noteholder shall be redeemed by
the Issuer (or the Investment Manager on its behalf).
Such Class A-2 Notes redeemed shall, subject to receipt of Rating Agency Confirmation, be
replaced by either (i) new notes to be issued by the Issuer, having obtained Rating Agency
Confirmation in respect of such new notes, in an amount up to the Principal Amount
Outstanding of such redeemed Notes immediately prior to the redemption thereof and in
accordance with Condition 17 (Additional Issuances) or (ii) a multi-currency loan facility to
be entered into by the Issuer, the maximum commitment amount of which will be an amount
up to the Principal Amount Outstanding of such redeemed Notes immediately prior to the
redemption thereof; (i) and (ii) together, the “Replacement Financing”).
In the circumstances where the Issuer does not obtain Replacement Financing, there may be a
shortfall in the required level of Class A-2 Currency, or Euro as applicable, received by the
Issuer, and therefore its ability to purchase Collateral Debt Obligations denominated in a
Class A-2 Currency and consequently its interest payment obligations under the Notes may be
adversely affected.
Class A-2 Noteholders are required to meet required ratings upon entry, but may not be
required to maintain ratings or part collateral upon downgrade as specified in the Class A-2
Note Purchase Agreement.
2.18 Ability to issue Further Notes
The Issuer’s ability to issue Further Notes will depend upon a number of factors including its
ability to satisfy the conditions to issuance as described in Condition 17 (Additional
Issuances) and the ability of the Issuer to sell the Further Notes upon issue thereof which will
depend upon the condition of the financial markets generally and the market for collateralised
loan obligations in particular. The Issuer’s ability to issue Further Issuer Euro Shares will
depend upon the ability and willingness of ICG to subscribe for such shares. At the date of
issue of any Further Notes the leverage ratio may differ from that prior to the issue of such
Further Notes. Such Further Notes may be issued subject to obtaining Rating Agency
Confirmation for those Further Notes and also Notes already in existence prior to the issue of
such Further Notes.
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3. RELATING TO THE COLLATERAL
3.1 The Portfolio
The decision by any prospective holder of Notes to invest in such Notes should be based
among other things (including, without limitation, the identity of the Investment Manager) on
the Eligibility Criteria which each Collateral Debt Obligation is required to satisfy, the
Percentage Limitations, the Collateral Quality Tests, the Coverage Tests and the Target Par
Amount that the Portfolio is required to satisfy as at the Effective Date and thereafter.
Although each Collateral Debt Obligation is required to satisfy the Eligibility Criteria (as
determined by the Investment Manager in accordance with the Investment Management
Agreement) on the date the Issuer enters into a binding commitment to purchase an
obligation, this Offering Memorandum does not contain any information regarding the
individual Collateral Debt Obligations on which the Notes will be secured from time to time.
Purchasers of any of the Notes will not have an opportunity to evaluate for themselves the
relevant economic, financial and other information regarding the investments to be made by
the Investment Manager, acting on behalf of the Issuer and, accordingly, will be dependant
upon the judgment and ability of the Investment Manager in acquiring investments for
purchase on behalf of the Issuer over time. No assurance can be given that the Investment
Manager, acting on behalf of the Issuer, will be successful in obtaining suitable investments
or that, if such investments are made, the objectives of the Issuer will be achieved.
Neither the Issuer nor the Initial Purchaser has made any investigation into the Obligors of the
Collateral Debt Obligations. The value of the Portfolio may fluctuate from time to time (as a
result of substitution or otherwise) and none of the Issuer, the Trustee, the Initial Purchaser,
the Custodian, the Investment Manager, the Collateral Administrator, any Hedge
Counterparty, the Liquidity Facility Provider or any others (the “Transaction Parties”) or
any of their Affiliates are under any obligation to maintain the value of the Collateral Debt
Obligations at any particular level. None of the Transaction Parties or any of their Affiliates
has any liability to the Noteholders as to the amount or value of, or any decrease in the value
of, the Collateral Debt Obligations from time to time.
3.2 Nature of the Collateral
The Collateral on which the Notes and the claims of the other Secured Parties are secured will
be subject to credit, liquidity, interest rate and exchange rate risks, general economic
conditions, operational risks, structural risks, the condition of financial markets, political
events, developments or trends in any particular industry, changes in prevailing interest rates
and periods of adverse performance. All of the Collateral Debt Obligations pledged to secure
the Notes will be mezzanine loans of various Obligors have their principal place of business
in a Qualifying Country. Substantially all such loans will be rated or assigned an implied
rating below investment grade and some of such loans may be denominated in a Non-Euro
Currency.
Credit Risk: Investment in the Notes of any Class involves a degree of risk arising from
fluctuations in the amount and timing of receipt of the principal and interest on the Collateral
Debt Obligations by or on behalf of the Issuer and the amounts of the claims of creditors of
the Issuer ranking in priority to the holders of each Class of the Notes. In particular,
prospective purchasers of such Notes should be aware that the amount and timing of payment
of the principal and interest on the Collateral Debt Obligations will depend upon the detailed
terms of the documentation relating to each of the Collateral Debt Obligations and on whether
or not any obligor thereunder defaults in its obligations.
Default and Concentration Risk: The subordination levels of each of the Classes of Notes
will be established to withstand certain assumed deficiencies in payment caused by defaults
on the related Collateral Debt Obligations. See “Ratings of the Notes”. There is no assurance
that actual losses will not exceed such assumed losses. If actual payment deficiencies exceed
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such assumed levels, however, payments on the Notes could be adversely affected. The
amount which defaults on the Collateral Debt Obligations adversely affect each Class of
Notes will be directly related to the level of subordination thereof pursuant to the Priorities of
Payments. The risk that payments on the Notes could be adversely affected by defaults on the
related Collateral Debt Obligations is likely to be increased to the extent that the Portfolio of
Collateral Debt Obligations is concentrated in any one Obligor, industry, region or country as
a result of the increased potential for correlated defaults in respect of a single issuer or within
a single industry, region or country as a result of downturns relating generally to such
industry, region or country.
To the extent that a default occurs with respect to any Collateral Debt Obligation and the
Issuer or the Trustee sells or otherwise disposes of such Collateral Debt Obligation, the
proceeds of such sale or disposition are likely to be less than the unpaid principal and interest
thereon. In addition, the Issuer may incur additional expenses to the extent it seeks recoveries
upon the default of a Collateral Debt Obligation or participates in the restructuring of a
Collateral Debt Obligation. Even in the absence of a default with respect to any of the
Collateral Debt Obligations, the potential volatility and illiquidity of the European leverage
loan market means that the market value of such Collateral Debt Obligations at any time will
vary, and may vary substantially, from the price at which such Collateral Debt Obligations
were initially purchased and from the principal amount of such Collateral Debt Obligations.
Accordingly, no assurance can be given as to the amount of proceeds of any sale or
disposition of such Collateral Debt Obligations at any time, or that the proceeds of any such
sale or disposition would be sufficient to repay a corresponding par amount of principal of
and interest on the Notes after, in each case, paying all amounts payable prior thereto pursuant
to the Priorities of Payments. Moreover, there can be no assurance as to the timing of any
recovery.
Acquisition and Disposal Risk: The financial markets may experience substantial
fluctuations in prices of Mezzanine Obligations and limited liquidity for such obligations. No
assurance can be given that the conditions giving rise to such price fluctuations and limited
liquidity will not occur, subsist or become more acute following the Issue Date. During
periods of limited liquidity and higher price volatility, the Issuer’s ability to acquire or
dispose of Collateral Debt Obligations at a price and time that the Issuer deems advantageous
may be impaired. As a result, in periods of rising market prices, the Issuer may be unable to
participate in price increases fully in the event that it is either unable to dispose of Collateral
Debt Obligations whose prices have risen or to acquire Collateral Debt Obligations whose
prices are on the increase; the Issuer’s inability to dispose fully and promptly of Collateral
Debt Obligations in declining markets will conversely cause the net asset value of the
Portfolio to decline. A decrease in the market value of the Collateral Debt Obligations would
also adversely affect the proceeds of sale that could be obtained upon the sale of the
Collateral Debt Obligations and could ultimately affect the ability of the Issuer to pay in full
or redeem the Notes. Accordingly, no assurance can be given as to the amount of proceeds of
any sale or disposition of such Collateral Debt Obligations at any time, or that the proceeds of
any such sale or disposition would be sufficient to repay a corresponding par amount of
principal of and interest on the Notes after, in each case, paying all amounts payable prior
thereto pursuant to the Priorities of Payments. Moreover, there can be no assurance as to the
timing of any recoveries received in respect of Defaulted Obligations.
3.3 The Target Par Amount
The Issuer has purchased or entered into certain agreements to purchase a substantial portion
of the Portfolio on or prior to the Issue Date and will use the proceeds of the issuance of the
Notes to settle such trades on the Issue Date and/or to repay loans used to finance the
purchase of such Collateral Debt Obligations prior to the Issue Date. The prices paid for such
Collateral Debt Obligations on settlement will reflect the book value of such Collateral Debt
Obligations on the date the Issuer purchased or committed to purchase such obligations,
26

which may be greater or less than their market value on the Issue Date or the date of
settlement of the applicable trade, if later. In addition, although such obligations are required
to satisfy the Eligibility Criteria at the time of entering into a binding commitment to purchase
them, it is possible that the obligations may no longer satisfy such Eligibility Criteria on the
Issue Date or later settlement of the acquisition thereof due to intervening events. The
requirement that the Eligibility Criteria be satisfied applies only at the time that any
commitment to purchase a Collateral Debt Obligation is entered into and any failure by such
obligation to satisfy the Eligibility Criteria at a later stage will not result in any requirement to
sell it or take any other action.
3.4 Considerations Relating to the Ramp-up Period
During the Ramp-up Period, the Investment Manager, acting on behalf of the Issuer, will use
all commercially reasonable efforts to acquire additional Collateral Debt Obligations in order
to satisfy the Effective Date Requirements as at the Effective Date. See “The Portfolio”
above. The ability to satisfy such tests and requirements will depend on a number of factors
beyond the control of the Issuer and the Investment Manager, including the availability of
obligations that satisfy the Eligibility Criteria and other Portfolio-related requirements in the
primary and secondary loan markets and the bond markets, the condition of the financial
markets, general economic conditions and international political events. Therefore, there can
be no assurance that such requirements will be satisfied.
In addition, the ability of the Issuer to enter into Asset Swap Transactions upon the
acquisition of Asset Swap Obligations, where applicable, will also depend upon a number of
factors outside the control of the Investment Manager, including its ability to identify a
suitable Asset Swap Counterparty with whom the Issuer may enter into Asset Swap
Transactions. To the extent it is not possible to purchase such additional Collateral Debt
Obligations, the level of income receivable by the Issuer on the Collateral, and therefore its
ability to meet its interest payment obligations under the Notes, may be adversely affected.
Such inability to invest may also shorten the weighted average lives of the Rated Notes as it
may lead to early redemption of the Rated Notes.
Any failure by the Issuer to acquire Collateral Debt Obligations and/or enter into required
additional Asset Swap Transactions during the Ramp-Up Period may also result in the
non-confirmation or downgrade or withdrawal by any Rating Agency of its Initial Rating of
any Class of Notes. Such downgrade or withdrawal may result in the redemption of the
Notes, shortening the weighted average lives of the Rated Notes.
Any such redemption of the Notes may also adversely affect the risk profile of Classes of
Notes to the extent that the amount of excess spread capable of being generated in the
transaction reduces as the result of redemption of the most senior ranking Classes of Notes in
accordance with the Priorities of Payments which bear a lower rate of interest than the
remaining Classes of Rated Notes.
3.5 Characteristics of Mezzanine Obligations
Mezzanine Obligations are generally incurred by Obligors in connection with highly
leveraged transactions, often (although not exclusively) to finance internal growth,
acquisitions, mergers and/or stock purchases. As a result of, among other things, the
additional debt incurred by the Obligor in the course of such a transaction, the Obligor’s
creditworthiness is often judged by the rating agencies to be below investment grade. Senior
loans are typically at the most senior level of the capital structure with Mezzanine Obligations
being subordinated thereto.
Mezzanine Obligations generally take the form of medium term loans repayable shortly
(typically six months or one year) after the senior debt of the Obligor thereunder. Because
Mezzanine Obligations are only repayable after the senior debt of an Obligor (and interest
27

payments may be blocked to protect the position of senior debt interest in certain
circumstances), they will carry higher rates of interest to reflect the greater risk of their not
being repaid. Due to the greater risk associated with Mezzanine Obligations as a result of
their subordination below senior debt of an Obligor, mezzanine lenders may be granted share
options, warrants in or higher cash paying instruments or payments in kind by the Obligor
which can be exercised in certain circumstances, principally being immediately prior to the
Obligor’s shares being sold or floated in an initial public offering.
However, no such warrant or options will be part of the Collateral secured in favour of the
Secured Parties and all interests of the Issuer in Collateral Enhancement Obligations will be
held on trust by the Issuer for the benefit of ICG in accordance with the terms of the CEO
Trust. See “Description of the Portfolio - Collateral Enhancement Obligations”.
The majority of Mezzanine Obligations bear interest based on a floating rate index, for
example EURIBOR or LIBOR, the certificate of deposit rate, a prime or base rate (each as
defined in the applicable loan agreement) or other index, which may reset daily (as most
prime or base rate indices do) or may offer the Obligor a choice of one, two, three, six, nine or
12 month interest and rate reset periods. The purchaser of an interest in a Mezzanine
Obligation may also receive certain syndication or participation fees in connection with its
purchase. Other fees which may be payable in respect of Mezzanine Obligations, which are
separate from interest payments on such loans, may include facility, commitment, amendment
and prepayment fees.
Risks Associated with Mezzanine Obligations
Limited Liquidity: The Obligor under a leveraged loan often provides its lenders with
extensive information about its business, which is not generally available to the public. Given
the provision of such confidential information, the unique and customised nature of a loan
agreement, and the private syndication of the loan, leveraged loans are generally not as easily
purchased or sold as publicly traded securities, and historically the trading volume in the loan
market has been small relative to, for example, the high yield bond market.
Mezzanine Obligations also generally provide for restrictive covenants designed to limit the
activities of the Obligor thereunder in an effort to protect the rights of lenders to receive
timely payments of interest thereon, and repayment of, the principal of the loans. Such
covenants may include restrictions on dividend payments, specific mandatory minimum
financial ratios, limits on total debt and other financial tests. A breach of covenant (after
giving effect to any cure period) under a Mezzanine Obligation which is not waived by the
lending syndicate is normally an event of default which allows the syndicate to demand
immediate repayment in full of the outstanding loan. The unique nature of the loan
documentation may also create a degree of complexity in negotiating a secondary market
purchase or sale which may not exist, for example, in the high yield bond market.
Historically, investors in, or lenders under, European Mezzanine Obligations have been
predominantly commercial banks and investment banks. The range of investors for such
loans has broadened to include money managers, insurance companies, arbitrageurs,
bankruptcy investors and mutual funds seeking increased potential total returns and portfolio
managers of trusts or special purpose companies issuing collateralised bond and loan
obligations. As secondary market trading volumes increase, new loans are frequently
adopting more standardised documentation to facilitate loan trading which may improve
market liquidity. There can be no assurance, however, that future levels of supply and
demand in loan trading will provide the degree of liquidity which currently exists in the
market. This means that such assets will be subject to greater disposal risk in the event that
such assets are sold following enforcement of the security over the Collateral or otherwise.
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Increased Risks for Mezzanine Obligations: The European market for Mezzanine Obligations
is also generally less liquid than that for senior loans, resulting in increased disposal risk for
Mezzanine Obligations.
The fact that Mezzanine Obligations are potentially subordinated to any other indebtedness of
the relevant Obligor thereunder, may have a longer maturity than such other indebtedness and
will generally only have a second (or third) ranking security interest over any security granted
in respect thereof, increases the risk of non payment of Mezzanine Obligations in an
enforcement situation. Mezzanine Obligations also generally involve greater liquidity risks
than those associated with investment grade corporate obligations.
Mezzanine Obligations are also often entered into in connection with leveraged acquisitions
or recapitalisations in which the Obligors thereunder incur a substantially higher amount of
indebtedness than the level at which they previously operated and, as referred to above, sit at
a subordinated level in the capital structure of such companies. Mezzanine Obligations may
provide that all or part of the interest accruing thereon will not be paid on a current basis but
will be deferred.
Defaults and Recoveries: There is limited historical data available as to the levels of defaults
and/or recoveries that may be experienced on Mezzanine Obligations and no assurance can be
given as to the levels of default and/or recoveries that may apply to any Mezzanine
Obligations purchased by the Issuer. Recoveries on Mezzanine Obligations may also be
affected by the different bankruptcy regimes applicable in different jurisdictions and the
enforceability of claims against the Obligors thereunder. See “Insolvency of Obligors under
Collateral Debt Obligations” below.
A non investment grade loan or debt obligation or an interest in a non investment grade loan
is generally considered speculative in nature and may become a Defaulted Obligation for a
variety of reasons. Upon any Collateral Debt Obligation becoming a Defaulted Obligation,
such Defaulted Obligation may become subject to either substantial workout negotiations or
restructuring, which may entail, among other things, a substantial reduction in the interest
rate, a substantial write down of principal and a substantial change in the terms, conditions
and covenants with respect of such Defaulted Obligation. In addition, such negotiations or
restructuring may be quite extensive and protracted over time, and therefore may result in
uncertainty with respect to ultimate recovery on such Defaulted Obligation. The liquidity for
Defaulted Obligations may be limited, and to the extent that Defaulted Obligations are sold, it
is highly unlikely that the proceeds from such sale will be equal to the amount of unpaid
principal and interest thereon. Furthermore, there can be no assurance that the ultimate
recovery on any Defaulted Obligation will be at least equal either to the minimum recovery
rate assumed by the Rating Agencies in rating the Notes or any recovery rate used in the
analysis of the Notes by investors in determining whether to purchase the Notes.
Prepayment Risk: Loans are generally prepayable in whole or in part at any time at the option
of the Obligor thereof at par plus accrued and unpaid interest thereon. Prepayments on loans
may be caused by a variety of factors, which are difficult to predict. Accordingly, there exists
a risk that loans purchased at a price greater than par may experience a capital loss as a result
of such a prepayment. In addition, Principal Proceeds received upon such a prepayment are
subject to reinvestment risk. Any inability of the Issuer to reinvest such Principal Proceeds in
Collateral Debt Obligations with comparable interest rates that satisfy the Reinvestment
Criteria may adversely affect the timing and amount of payments and distributions received
by the Noteholders and the yield to maturity of the Notes. There can be no assurance that the
Issuer will be able to reinvest Principal Proceeds received in Collateral Debt Obligations with
comparable interest rates that satisfy the Reinvestment Criteria or (if it is able to make such
reinvestments) as to the length of any delays before such investments are made.
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Credit Risk: Risks applicable to Mezzanine Obligations also include the possibility that
earnings of the Obligor may be insufficient to meet its debt service obligations thereunder and
the declining creditworthiness and potential for insolvency of the Obligor of such loans
during periods of rising interest rates and economic downturn. An economic downturn could
severely disrupt the market for leveraged loans and adversely affect the value thereof and the
ability of the Obligor thereunder to repay principal and interest.
3.7 Lender Liability Considerations; Equitable Subordination
In recent years, a number of judicial decisions in the United States and other jurisdictions
have upheld the right of borrowers to sue lenders or bondholders on the basis of various
evolving legal theories (collectively, termed “lender liability”). Generally, lender liability is
founded upon the premise that an institutional lender or bondholder has violated a duty
(whether implied or contractual) of good faith and fair dealing owed to the borrower or issuer
or has assumed a degree of control over the borrower or issuer resulting in the creation of a
fiduciary duty owed to the borrower or issuer or its other creditors or shareholders. Although
it would be a novel application of the lender liability theories, the Issuer may be subject to
allegations of lender liability. However, neither the Issuer nor the Investment Manager
intends to engage in any conduct that would form the basis for a successful cause of action
based upon lender liability.
In addition, under common law principles that in some cases form the basis for lender liability
claims, if a lender or bondholder (a) intentionally takes an action that results in the
under-capitalisation of a borrower to the detriment of other creditors of such borrower,
(b) engages in other inequitable conduct to the detriment of such other creditors, (c) engages
in fraud with respect to, or makes misrepresentations to, such other creditors or (d) uses its
influence as a stockholder to dominate or control a borrower to the detriment of other
creditors of such borrower, a court may elect to subordinate the claim of the offending lender
or bondholder to the claims of the disadvantaged creditor or creditors, a remedy called
“equitable subordination”. Because of the nature of the Collateral Debt Obligations, the
Issuer may be subject to claims from creditors of an Obligor that Collateral Debt Obligations
issued by such Obligor that are held by the Issuer should be equitably subordinated.
However, neither the Issuer nor the Investment Manager intends to engage in any conduct that
would form the basis for a successful cause of action based upon the equitable subordination
doctrine described above.
The preceding discussion is based upon principles of United States federal and state laws.
Insofar as Collateral Debt Obligations that are obligations of non-United States Obligors are
concerned, the laws of certain foreign jurisdictions may impose liability upon lenders or
bondholders under factual circumstances similar to those described above, with consequences
that may or may not be analogous to those described above under United States federal and
state laws.
3.8 Participations and Assignments
The Issuer may acquire interests in Collateral Debt Obligations which are loans either directly
(by way of novation or assignment) or indirectly (by way of participation or
sub-participation). Each institution from which such an interest is acquired is referred to
herein as a “Selling Institution”. Interests in loans acquired directly by way of novation or
assignment are referred to herein as “Assignments”. Interests in loans acquired indirectly by
way of participation or sub-participation are referred to herein as “Participations”. As
described in more detail below, holders of Participations are subject to additional risks not
applicable to a holder of a direct interest in, even if received by way of Assignment, a loan.
The purchaser of an Assignment typically succeeds to all the rights of the assigning Selling
Institution and becomes entitled to the benefit of the loans and the other rights of the lender
under the loan agreement. The Issuer as an assignee will generally have the right to receive
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directly from the Obligor all payments of principal and interest to which it is entitled,
provided that notice of such Assignment has been given to the Obligor. As a purchaser of an
Assignment, the Issuer typically will have the same voting rights as other lenders under the
applicable loan agreement and will have the right to vote to waive enforcement of breaches of
covenants. The Issuer will also have the same rights as other lenders to enforce compliance
by the Obligor with the terms of the loan agreement, to set off claims against the Obligor and
to have recourse to collateral supporting the loan. As a result, the Issuer will generally not
bear the credit risk of the Selling Institution and the insolvency of the Selling Institution
should have little effect on the ability of the Issuer to continue to receive payment of principal
or interest from the Obligor. The Issuer will, however, assume the credit risk of the Obligor.
Participations by the Issuer in a Selling Institution’s portion of the loan typically results in a
contractual relationship only with such Selling Institution and not with the borrower under
such loan. The Issuer would, in such case, have the right to receive payments of principal and
interest to which it is entitled only upon receipt by the Selling Institution of such payments
from the Obligor. In purchasing Participations, the Issuer generally will have no right to
enforce compliance by the Obligor with the terms of the applicable loan agreement, nor any
rights of set-off against the Obligor and the Issuer may not directly benefit from the collateral
supporting the loan in respect of which it has purchased a Participation. As a result, the Issuer
will assume the credit risk of both the Obligor and the Selling Institution selling the
Participation. In the event of the insolvency of the Selling Institution selling a Participation,
the Issuer may experience delays in receiving payments made to the Selling Institution by the
borrower and may be treated as a general creditor of the Selling Institution and may not
benefit from any set-off between the Selling Institution and the Obligor and the Issuer may
suffer a loss to the extent that the Obligor may set off claims against the Selling Institution. If
the Issuer is treated as a general creditor of the Selling Institution, it may not have any
exclusive or senior claim with respect to the Selling Institution’s interest in, or to the
collateral securing, the loan in question. The Issuer may purchase a Participation from a
Selling Institution that does not itself retain any economic interest in the loan, and therefore,
may have limited interest in monitoring the terms of the loan agreement and the continuing
creditworthiness of the borrower. When the Issuer holds a Participation in a loan it generally
will not have the right to vote to waive enforcement of any covenants breached by an Obligor.
However, most participation agreements provide that the Selling Institution may not vote in
favour of any amendment, modification or waiver that forgives principal or interest, reduces
principal or interest that is payable, postpones any payment of principal (other than a
mandatory pre-payment) or interest or release substantially all of the collateral without the
consent of the participants at least to the extent the participants would be affected by any such
amendment, modification or waiver. A Selling Institution voting in connection with a
potential waiver of a restrictive covenant may have interests which are different from those of
the Issuer and such Selling Institutions are not required to consider the interest of the Issuer in
connection with the exercise of its votes. Assignments and Participations are sold strictly
without recourse to the Selling Institutions and the Selling Institution will generally make no
representations or warranties about the underlying loan, the borrowers thereunder, the
documentation or any collateral securing the loans. In addition, the Issuer will be bound by
provisions of the underlying loan agreements, if any, that require the preservation of the
confidentiality of information provided by the borrower.
Additional risks are therefore associated with the purchase of Participations by the Issuer as
opposed to Assignments. The Percentage Limitations provide that no more than 20 per cent.
of the Aggregate Collateral Balance may comprise Participations and Synthetic Securities.
3.9 Risks Related to Synthetic Securities
In the event that Collateral Debt Obligations acquired by or on behalf of the Issuer from time
to time are Synthetic Securities, in addition to the credit risks associated with loans and/or
securities which are Reference Obligations under Synthetic Securities, the Issuer will also be
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subject to the credit risk of the applicable Synthetic Counterparty. The Issuer will have a
contractual relationship with the relevant Synthetic Counterparty only and not with the
Reference Entity of the Reference Obligation (in each case as defined in the relevant
Synthetic Security). The Issuer generally will have no right directly to enforce compliance by
the Reference Entity with the terms of the Reference Obligation nor any rights of set-off
against the Reference Entity, nor have any voting rights with respect to the Reference
Obligation. The Issuer will not directly benefit from any collateral supporting the Reference
Obligation and will not have the benefit of the remedies that would normally be available to a
holder of such Reference Obligation.
In addition to the risks described above, in the event of the insolvency of the Synthetic
Counterparty, the Issuer will be treated as a general unsecured creditor of such Synthetic
Counterparty, and will not have any claim with respect to the Reference Obligation.
Consequently, the Issuer will be subject to the credit risk of the Synthetic Counterparty as
well as that of the Reference Entity. As a result, concentrations of Synthetic Securities in any
one Synthetic Counterparty subject the Notes to an additional degree of risk with respect to
defaults by such Synthetic Counterparty as well as by the Reference Entity. Although the
Investment Manager will not perform independent credit analyses of the Synthetic
Counterparties on behalf of the Issuer, any such Synthetic Counterparty, or an entity
guaranteeing such Synthetic Counterparty, individually and in the aggregate will be required
to satisfy the applicable Rating Requirement thereto. The Rating Agencies may downgrade
any of the Notes if the Synthetic Counterparty is not in compliance with the Rating
Requirements specified in the Investment Management Agreement.
The Percentage Limitations also impose restrictions on the level of exposure to the credit of
Synthetic Counterparties by reference to the rating thereof and on the percentage of the
Portfolio that may comprise Synthetic Securities (both collateralised and uncollateralised).
Whilst the returns on a Synthetic Security will generally reflect those of the related Reference
Obligation, as a result of the terms of the Synthetic Security and the assumption of the credit
risk of the applicable Synthetic Counterparty, a Synthetic Security may have a different
expected return, a different (and potentially greater) probability of default, a different (and
potentially greater) expected loss characteristic following a default and a different (and
potentially lower) expected recovery following default. Additionally, the terms of a Synthetic
Security may provide for different maturities, payment dates, interest rates, interest rate
references and credit exposures and non-credit related exposures to obligations of the issuer
other than the Reference Obligation relating thereto. A Synthetic Security may also involve
leveraged exposure to a Reference Entity.
Generally, upon the occurrence of certain specified credit events under a Synthetic Security
relating generally to the credit of the applicable Reference Entity, the relevant Synthetic
Security will become repayable and its terms will permit or require the Synthetic
Counterparty to satisfy its repayment obligations under the Synthetic Security in such
circumstances by delivering to the Issuer a principal amount of Reference Obligations or
other Deliverable Obligations of the applicable Reference Entity or cash in an amount equal
to the current market value of a principal amount of the Reference Obligations or such
Deliverable Obligations of the Reference Entity equal to the original principal amount of the
applicable Synthetic Security. Such amounts may be significantly less than the original
principal amount of such Synthetic Security or, in certain circumstances, zero.
Prospective investors in the Notes should also note that a Reference Obligation does not need
to satisfy the Eligibility Criteria relating to currency or denomination. As referred to above, a
Synthetic Security which is a Defaulted Obligation will generally be settled either by a cash
settlement or a physical settlement. The Issuer may be required upon a credit event to take
delivery of a non Euro denominated obligation or of a currency other than Euro, exposing the
Issuer to exchange rate risk.
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The Investment Manager will be required to sell any Deliverable Obligations which are
delivered in such circumstances if they do not satisfy the Eligibility Criteria as described in
“Description of the Portfolio - Synthetic Securities” below which exposes the Issuer to
additional disposal risk as discussed under “Nature of the Collateral – Acquisition and
Disposal Risk” above.
It is expected that the Initial Purchaser and/or one or more of its Affiliates, with acceptable
credit support arrangements, if necessary, may act as Synthetic Counterparties with respect to
all or a portion of the Synthetic Securities, which may create certain conflicts of interest. In
addition, one or more Affiliates of the Investment Manager, with acceptable credit support
arrangements, may act as a Synthetic Counterparty with respect to all or a portion of the
Synthetic Securities, which may create certain conflicts of interest. See “Certain Conflicts of
Interest” below.
3.10 Exercise of Rights under Collateral Enhancement Obligations
All funds required in respect of the purchase price of any Collateral Enhancement Obligations
and all funds required in respect of the exercise price of any rights or options thereunder, may
only be paid out of the Balance standing to the credit of the Collateral Enhancement Account
at the relevant time (including, as described below, Interest Proceeds). Such Balance shall be
comprised of all Distributions and Sale Proceeds received in respect of Collateral
Enhancement Obligations from time to time (referred to herein as “Collateral Enhancement
Obligation Proceeds”) together with all other sums deposited therein from time to time. In
addition, if the Balance standing to the credit of the Collateral Enhancement Account at the
relevant time is not sufficient to fund a purchase or exercise of rights (as applicable) in one or
more Collateral Enhancement Obligations, the Investment Manager (acting on behalf of the
Issuer) may, at its discretion, (a) arrange for the payment of any such shortfall by requesting
(on behalf of the Issuer) that funds be paid out of the Euro Interest Account or the Class A-2
Currency Interest Account to the Collateral Enhancement Account for this purpose on the
terms and subject to the limits set out in Condition 3(j) (Payments to and from Accounts)
and/or (b) make an Investment Manager Advance.
The Investment Manager is under no obligation whatsoever to make an Investment Manager
Advance or exercise its discretion (acting on behalf of the Issuer) to take any of the actions
described above and there can be no assurance that the Balance standing to the credit of the
Collateral Enhancement Account will be sufficient to fund the exercise of any right or option
under any Collateral Enhancement Obligation at any time. The ability of the Investment
Manager (acting on behalf of the Issuer) to exercise any rights or options under any Collateral
Enhancement Obligation will be dependent upon there being sufficient amounts standing to
the credit of the Collateral Enhancement Account to pay the costs of any such exercise
(including, as described above, Interest Proceeds). Failure to exercise any such right or
option may result in potentially, a reduction of the returns to Noteholders of other Classes).
Furthermore, all Collateral Enhancement Obligation Proceeds in respect of any Collateral
Enhancement Obligation will be deposited into the Collateral Enhancement Account to be
paid to the Shareholders. The other Secured Parties will not be entitled to receive such
distributions and sale proceeds.
Collateral Enhancement Obligations and any income or return generated thereby are not taken
into account for the purposes of determining satisfaction of, or required to satisfy, any of the
Coverage Tests, Percentage Limitations or Collateral Quality Tests.
3.11 Counterparty Risk
Participations, Synthetic Securities, Interest Rate Hedge Transactions, Asset Swap
Transactions, Portfolio Currency Hedge Transactions, the Class A-2 Notes and the Liquidity
Facility Agreement involve the Issuer entering into contracts with counterparties. Pursuant to
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such contracts, the counterparties agree to make payments to the Issuer under certain
circumstances as described therein. The Issuer will be exposed to the credit risk of the
counterparty with respect of any such payments. Each such counterparty is required to satisfy
the applicable Rating Requirement upon entry into the applicable contract or instrument.
In the event that a Hedge Counterparty is subject to a rating withdrawal or downgrade by the
Rating Agencies to below the applicable Rating Requirement there will be a termination event
under the applicable Hedge Agreement unless, within 30 days of such rating withdrawal or
downgrade such Hedge Counterparty either transfers its obligations under the applicable
Hedge Agreement to a replacement counterparty with the requisite ratings, obtains a
guarantee of its obligations by a guarantor with the requisite ratings, collateralises its
obligations in a manner satisfactory to the Rating Agencies or employs some other such
strategy as may be approved by the Rating Agencies.
In the event that the Liquidity Facility Provider is subject to a rating withdrawal or downgrade
by the Rating Agencies to below the applicable Rating Requirement, the Liquidity Facility
Provider will be obliged within 30 calendar days of such downgrade to pay into the Standby
Liquidity Account the undrawn commitment under the Liquidity Facility Agreement.
Similarly, the Issuer will be exposed to the credit risk of the Account Bank and the Custodian
to the extent of, respectively, all cash of the Issuer held in the Accounts and all securities of
the Issuer held by the Custodian.
In the event that the Account Bank or the Custodian is subject to a rating withdrawal or
downgrade by the Rating Agencies to below the applicable Rating Requirement, the Issuer
shall (at the reasonable expense of the Account Bank or Custodian, as the case may be) use its
reasonable endeavours to procure the appointment of a replacement Account Bank or
Custodian, as the case may be, with the applicable Rating Requirement and which is
acceptable to the Trustee within 30 days of such withdrawal or downgrade.
In the event that the Class A-2 Noteholder is downgraded below the Required Rating the
Investment Manager on behalf of the Issuer may drawdown that portion of the Total Undrawn
Amount applicable to that Class A-2 Noteholder and if required the Class A-2 Noteholder
will take such steps as may be required of it pursuant to the Class A-2 Note Purchase
Agreement.
3.12 Insolvency of Obligors under Collateral Debt Obligations
The Collateral Debt Obligations may be subject to various laws enacted for the protection of
creditors in the jurisdictions of incorporation of the Obligors thereunder and, if different, the
jurisdictions from which the Obligors conduct their business and in which they hold their
assets, which may adversely affect such Obligors’ abilities to make payment on a full or
timely basis. These insolvency considerations will differ depending on the country in which
each Obligor or its assets is located and may differ depending on the legal status of the
Obligor. In particular, it should be noted that a number of continental European and emerging
market jurisdictions operate “debtor-friendly” insolvency regimes which could result in
delays in payments under Collateral Debt Obligations where obligations thereunder are
subject to such regimes, in the event of their insolvency.
The different insolvency regimes applicable in the different European and emerging market
jurisdictions result in a corresponding variability of recovery rates for Mezzanine Obligations
entered into or issued by Obligors in such jurisdictions. No reliable historical data for such
recovery rates is available.
3.13 Investment Management Agreement
ICG or an Affiliate thereof will subscribe for the Original Euro Issuer Shares on the Issue
Date and hold such shares (and 100 per cent. of the economic interest therein), together with
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any Further Issuer Euro Shares (and 100 per cent. of the economic interest therein) subscribed
for at any time following the Issue Date, at least until the earlier of (i) the maturity or earlier
redemption of the Notes or (ii) the day ICM ceases to be the Investment Manager (unless the
immediate successor to ICM in such capacity is an Affiliate thereof). The Issuer and the
Investment Manager are both either direct or indirect wholly owned subsidiaries of ICG Plc,
and as such are Affiliates of each other. In addition it should be noted that both the Issuer and
the Investment Manager are included in the consolidated financial statements of ICG Plc. As
a result of this relationship the ability of Noteholders to appoint a replacement Investment
Manager is limited to the circumstances where the current Investment Manager has resigned.
Where the appointment of the current Investment Manager has been terminated for ‘cause’ in
accordance with the Investment Management Agreement, the Investment Manager (acting in
its sole and absolute discretion on behalf of the Issuer) may elect either to redeem the Notes
or appoint a Disposal Agent. From the date on which a Disposal Agent has been appointed
the Portfolio will cease to be actively managed and no further additions will be made to the
Portfolio (although the Disposal Agent will have a very limited ability to sell assets). It is
likely that the inability of a Disposal Agent to actively manage the Portfolio will have an
adverse effect on the returns to Noteholders. (See also paragraph 2.9 above “Optional
Redemption”).
The Investment Manager is given authority in the Investment Management Agreement to
administer the Portfolio and act in specific circumstances in relation to the Portfolio as agent
of the Issuer pursuant to and in accordance with the parameters and criteria set out in the
Investment Management Agreement. See “Description of the Portfolio” and “Description of
the Investment Management Agreement”. The powers and duties of the Investment Manager
in managing the Collateral Debt Obligations include the sale of certain of the securities in the
Portfolio during the Reinvestment Period (subject to certain limits) and, at any time, upon the
occurrence of certain events (including a Collateral Debt Obligation becoming a Defaulted
Obligation, a Credit Improved Obligation or a Credit Impaired Obligation), in accordance
with the provisions of the Investment Management Agreement. See “Description of the
Portfolio”. Any analysis by the Investment Manager (on behalf of the Issuer) of any Obligor
under Collateral Debt Obligations which it is intending to purchase or which are held in the
Portfolio from time to time will be limited to a review of readily available public information
and will not include due diligence of the kind generally undertaken in a primary securities
offering or loan origination together with non-public information made available to the
Investment Manager and, in respect of Collateral Debt Obligations which are Assignments or
Participations of Mezzanine Obligations, due diligence of the kind generally carried out in
relation to mezzanine debts of such kind.
The liability of the Investment Manager to the Issuer under the Investment Management
Agreement is limited to damage caused by acts or omissions constituting bad faith, wilful
misconduct, negligence or a breach of fiduciary duty in the performance, or reckless disregard
of the obligations, of the Investment Manager in its capacity as such.
The performance of any investment in the Notes will be dependent on the ability of the
Investment Manager to monitor and manage the Portfolio and the performance of the
Investment Manager of its obligations under the Investment Management Agreement.
Although the Investment Manager is required, pursuant to its entry into the Investment
Management Agreement, to commit an appropriate amount of its business efforts to the
management of the Portfolio, the Investment Manager is not required to devote all of its time
to such affairs and may continue to advise and manage other investment funds in the future.
The nature of, and risks associated with, the Collateral Debt Obligations to be acquired by the
Issuer may differ materially from those investments and strategies undertaken historically by
the Investment Manager, including by reason of the diversity and other parameters required
by the Investment Management Agreement. There can be no assurance that the Issuer’s
35

investments will perform as well as any past investments managed by the Investment
Manager.
3.14 Collateral Reinvestment Provisions
During the Reinvestment Period and, to the limited extent described more fully herein, after
the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) may
dispose of certain Collateral Debt Obligations and reinvest the Sales Proceeds thereof,
together with Scheduled Principal Proceeds and Unscheduled Principal Proceeds received in
Substitute Collateral Debt Obligations subject to compliance with the Reinvestment Criteria
and certain other conditions. The exercise by the Investment Manager of its discretion in
disposing of such Collateral Debt Obligation and purchasing Substitute Collateral Debt
Obligations in compliance with the Reinvestment Criteria and such other requirements will
expose the Issuer to the market conditions prevailing at the time of such sale and
reinvestment. Such actions during periods of adverse market conditions may result in
unfavourable changes in the characteristics and quality of the Portfolio and may result in a
decrease in the overall yield on the Portfolio, adversely affecting the Issuer’s ability to make
payments on the Notes. The income generated by any Substitute Collateral Debt Obligations
will depend, among other factors, on the price paid and the availability of investments
satisfying the Reinvestment Criteria which are acceptable to the Issuer or the Investment
Manager (acting on behalf of the Issuer). The need to satisfy such Reinvestment Criteria and
the other trading criteria specified in the Investment Management Agreement and to identify
acceptable investments may require the purchase of Substitute Collateral Debt Obligations
with lower yields than those initially acquired or require that any Principal Proceeds received
be maintained temporarily in cash or Eligible Investments, which may reduce the yield on the
Collateral. Additionally, due to the significant restrictions imposed by the Investment
Management Agreement on the Investment Manager’s ability to buy and sell Collateral Debt
Obligations, during certain periods or in certain circumstances, the Investment Manager may
be unable as a result of such restrictions to buy or sell securities or to take other actions which
they might consider to be in the best interests of the Issuer and the Noteholders. Further,
Obligors of Collateral Debt Obligations may be more likely to exercise any rights they may
have to redeem such obligations when interest rates or spreads are declining. See
“Description of the Portfolio” below.
3.15 Interest Rate Risk
The Rated Notes bear interest at floating rates based on EURIBOR (other than the Class A-2
Currency Amount Outstanding of the Class A-2 Notes, which bear interest at floating rate
based on the relevant LIBOR). However, the amount or proportion of the Collateral Debt
Obligations (other than Non-Euro Obligations) securing the Notes that bear interest at floating
rates based on EURIBOR (and the Non-Euro Obligations that bear interest at floating rates
based on the relevant LIBOR or another floating rate index) and fixed rates may not
correspond to the amount or proportion of the Notes that bear interest on such basis, and there
will be no requirement as to the amount or proportion of the Collateral Debt Obligations
securing the Notes that must bear interest on a particular basis, save that the Percentage
Limitations provide that Collateral Debt Obligations with an aggregate principal amount of
not more than 10.0 per cent. of the Aggregate Collateral Balance may bear interest at a fixed
rate. In addition, any payments of principal or interest received in respect of Collateral Debt
Obligations and not otherwise reinvested during any Reinvestment Period in Substitute
Collateral Debt Obligations will generally be reinvested in Eligible Investments until shortly
before the next Determination Date. There is no requirement that such Eligible Investments
bear interest on a particular basis, and the interest rates available for such Eligible
Investments are inherently uncertain. As a result of these factors, it is expected that there will
be a fixed/floating rate mismatch and/or a floating rate basis mismatch between the Notes and
the underlying Collateral Debt Obligations and Eligible Investments. Such mismatch may be
material and may change from time to time as the composition of the related Collateral Debt
36

Obligations and Eligible Investments change and as the Notes of various Classes are repaid.
As a result of such mismatches, changes in the level of EURIBOR and the relevant LIBOR
could adversely affect the ability of the Issuer to make payments on the Notes.
In the case of the Notes which will bear interest at a rate based on EURIBOR, and the
Class A-2 Currency Amount Outstanding of the Class A-2 Notes which will bear interest at a
rate based on the relevant LIBOR, there may be a timing mismatch between the Notes and the
Floating Rate Collateral Debt Obligations as the interest rate on such Floating Rate Collateral
Debt Obligations may adjust more frequently or less frequently, on different dates and based
on different indices than the interest rates on the Notes. As a result of such mismatches, any
changes in the level of EURIBOR or the relevant LIBOR could adversely impact the ability
of the Issuer to make payments on the Notes. There can be no assurance that the Collateral
Debt Obligations and the Eligible Investments will in all circumstances generate sufficient
Interest Proceeds to make timely payments of interest on the Notes.
To the extent described in this Offering Memorandum, the Issuer may enter into one or more
Interest Rate Hedge Transactions to reduce the effect of any such interest rate mismatch.
There can be no assurance however that the interest rate hedging entered into by the Issuer
will achieve the intended result or that the Collateral Debt Obligations, the Eligible
Investments securing the Notes and the Interest Rate Hedge Transactions will in all
circumstances generate sufficient Interest Proceeds to make timely payments of interest on
the Notes. In addition, there can be no assurance that the Issuer will be able to enter into any
such Interest Rate Hedge Transactions.
The Issuer will be dependent upon the Investment Manager’s ability to advise it on the
identification of one or more suitable Interest Rate Hedge Counterparties and upon each
Interest Rate Hedge Counterparty performing its obligations under any Interest Rate Hedge
Agreement. If an Interest Rate Hedge Counterparty defaults or becomes unable to perform
due to insolvency or otherwise, the Issuer may not receive payments it would otherwise be
entitled to from the Interest Rate Hedge Counterparty to cover its interest rate exposure.
The Issuer will be required to make payments to an Interest Rate Hedge Counterparty under
one or more Interest Rate Hedge Transactions on each Payment Date and/or upon termination
of such Interest Rate Hedge Agreement or upon any reduction of the notional amount
thereunder.
The payments associated with such hedging arrangements generally rank senior to payments
on the Notes.
3.16 Currency Risk
The Percentage Limitations provide that not more than 30.0 per cent. of the Aggregate
Collateral Balance shall comprise Collateral Debt Obligations denominated in a Class A-2
Currency. The percentage of the Portfolio that is comprised of these types of obligations may
increase or decrease over the life of the Notes within the limits set by the Percentage
Limitations.
In addition, the Percentage Limitations also provide that no more than 30.0 per cent. of the
Aggregate Collateral Balance will compromise Non-Euro Obligations.
In order to hedge the potential currency exchange rate risk presented by the Issuer holding
Collateral Debt Obligations that are not denominated in Euro against the fact that its
obligations under the Notes are all denominated in Euro (other than in respect of the
Class A-2 Currency Amount Outstanding of the Class A-2 Notes) the Issuer is required to
either enter into Asset Swap Transactions in respect of Collateral Debt Obligations not
denominated in Euro or to hedge such currency exchange risk via a combination of the
currency flexibility in the Class A-2 Notes and entry into Portfolio Currency Hedge
37

Transactions, which may be in the form of options or other derivative instruments, on or
about the Issue Date with the Portfolio Currency Hedge Counterparty in accordance with the
Portfolio Currency Hedge Requirements. Notwithstanding such currency hedging
investments, the Issuer may still be exposed to foreign exchange rate risk to the extent that the
Portfolio Currency Hedge Transactions entered into in respect of such Class A-2 Currency
Obligations does not cover the currency exchange risk presented by payments and
non-payments in respect of such assets. In addition, the Issuer is subject to the credit risk of
each Hedge Counterparty with whom it enters into an Asset Swap Transaction or Portfolio
Currency Hedge Transaction as there is a risk that such Hedge Counterparty may default in
respect of its obligations thereunder. The currency flexibility under the Class A-2 Notes and
the Portfolio Currency Hedge Requirements are structured to provide at least the minimum
currency risk protection required by the Rating Agencies as determined by their multiple
stress scenarios. However, it is not intended that all conceivable currency risks will be fully
hedged.
In such event fluctuations in exchange rates may lead to the proceeds of the Portfolio being
insufficient to pay all amounts due to the respective Classes of Noteholders. In addition,
fluctuations in Euro exchange rates and, in the case of such Synthetic Securities, fluctuations
and devaluations of the currency in which the Reference Obligation is denominated, may
result in a decrease in value of the Portfolio for the purposes of a sale of the Portfolio upon
enforcement of the security over it, notwithstanding that certain of such sale proceeds
received may be converted at the Applicable Exchange Rate and, in addition, any amounts
which are received under such hedge transactions may be reduced by any termination
payments payable by the Issuer in such circumstances. The Investment Manager may also be
limited at the time of reinvestment in its choice of Collateral Debt Obligations because of the
cost of entry into such Asset Swap Transactions or Portfolio Currency Hedge Transactions
and due to restrictions in the Investment Management Agreement with respect thereto.
The Issuer’s ongoing payment obligations under Asset Swap Transactions and Portfolio
Currency Hedge Transactions (including termination payments) may be significant. The
payments associated with such hedging arrangements generally rank senior to payments on
the Notes.
Defaults, prepayments, trading and other events increase the risk of a mismatch between the
foreign exchange hedges and Non-Euro Obligations. This may cause losses.
The Issuer will depend upon each Hedge Counterparty to perform its obligations under any
hedges. If any Hedge Counterparty defaults or becomes unable to perform due to insolvency
or otherwise, the Issuer may not receive payments it would otherwise be entitled to from the
Hedge Counterparty to cover its foreign exchange exposure.
3.17 Changes in Tax Law
Following acquisition by the Issuer, payments of interest on the Collateral Debt Obligations
either will not be subject to any withholding tax imposed by any jurisdiction (including
pursuant to the operation of an applicable tax treaty and, in some cases, the completion of
procedural formalities) or, if and to the extent that any such withholding tax does apply, the
relevant Obligor will be obliged to make gross-up payments to the Issuer that cover the full
amount of such withholding tax. However, there can be no assurance that, as a result of any
change in any applicable law, rule or regulation or interpretation thereof, the payments on the
Collateral Debt Obligations will not in the future become subject to withholding tax or
increased withholding rates in respect of which the relevant Obligor will not be obliged to
gross-up to the Issuer. In such circumstances, the Issuer may be able, but will not be obliged,
to take advantage of (a) a double taxation treaty between England and the jurisdiction from
which the relevant payment is made, (b) the current applicable law in the jurisdiction of the
relevant Obligor or (c) the fact that the Issuer has taken a Participation in such Collateral Debt
38

Obligations from a Selling Institution which is able to pay interest payable under such
Participation gross if paid in the ordinary course of its business. In the event that the Issuer
receives any interest payments on any Collateral Debt Obligation net of any applicable
withholding tax, the Coverage Tests and the Collateral Quality Tests will be determined by
reference to such net receipts. Such tax would also reduce the amounts available to make
payments on the Notes. There can be no assurance that remaining payments on the Collateral
Debt Obligations would be sufficient to make timely payments of interest, principal on the
Maturity Date and other amounts payable in respect of the Notes of each Class.
Although no withholding tax is currently imposed on payments of interest on the Notes, there
can be no assurance that the law will not change. For example, see “Tax Considerations”. In
the event that any withholding tax is imposed on payments of interest on any Class of Notes,
the Issuer will not “gross up” payments to the holders of such Notes (other than the Class A-2
Notes). In the event that the Issuer is required to “gross up” under the Class A-2 Note
Purchase Agreement, or if the Issuer regards the payment of certain other amounts as unduly
onerous, it may require that the Class A-2 Notes be refinanced, or transferred to an entity in
respect of which no such additional amounts would be payable. In the event of the
occurrence of a Note Tax Event pursuant to which any payment on the Notes of any Class
becomes properly subject to any withholding tax or deduction on account of tax, the Notes
may be redeemed in whole but not in part at the direction of the holders of the Controlling
Class, in each case acting by Extraordinary Resolution, subject to certain conditions.
4. CERTAIN CONFLICTS OF INTEREST
Conflicts of interest may arise as a result of various factors involving the Investment
Manager, the Initial Purchaser, the Trustee, the Collateral Administrator, their Affiliates and
others. The following briefly summarises some of these conflicts, but is not intended to be an
exhaustive list of all such conflicts.
Various potential and actual conflicts of interest may arise from the overall investment
activity of the Investment Manager and its Affiliates. The Investment Management
Agreement places significant restrictions on the Investment Manager's ability to buy and sell
obligations comprising the Portfolio on which the Notes are secured and the Investment
Manager is required to comply with these restrictions. Accordingly, during certain periods or
in certain specified circumstances, the Investment Manager may be unable to buy or sell
obligations contained in the Portfolio or to take other actions which it might consider in the
best interests of the Issuer and the Noteholders, as a result of the restrictions set out in the
Investment Management Agreement.
It is currently anticipated that the Investment Manager and its Affiliates will invest in
securities or loans for their own account or for the account of others at the same time as the
Investment Manager purchases such assets for and on behalf of the Issuer. The Investment
Manager may from time to time delegate its obligations under the Investment Management
Agreement to one or more of its Affiliates. Accordingly, ICG will from time to time purchase
securities or loans for its own account and for the account of the Issuer and other Affiliates
and may allocate such assets between the balance sheets of its Affiliates in proportions which
may vary. However, pursuant to the terms of the Investment Management Agreement, the
Investment Manager shall be required to ensure that any such securities or loans which are so
purchased by ICG for the account of the Issuer comply with the Eligibility Criteria.
Noteholders should be aware that this investment policy may be discontinued at any time. If
discontinued neither the Investment Manager nor any such Affiliate shall have any duty in
making such investments for their own account available to the Issuer or to act in a way that
is favourable to the interests of the Issuer or the holders of the Notes.
Such investments may be the same as or different from those made on behalf of the Issuer.
The Investment Manager or its Affiliates may engage in negotiations leading to the
39

estructuring of investments held for their own account. If such investments are also held by
the Issuer, in entering into such negotiations, neither the Investment Manager nor any of its
Affiliates will have any duty to act in any way which is favourable to the interests of the
Issuer or the holders of the Notes. The Investment Manager and its Affiliates may also have
ongoing relationships in the ordinary course of business with companies whose securities or
loans are pledged to secure the Notes and may underwrite or own debt or equity securities
issued by or loans of Obligors of Collateral Debt Obligations or other obligations forming
part of the Portfolio. In addition, Affiliates and clients of the Investment Manager may invest
in securities and loans that are senior or junior to, or have interests different from or adverse
to, the securities and loans that are pledged to secure the Notes. The Investment Manager and
its Affiliates may also serve as a general partner and/or manager of limited partnerships or
limited liability companies organised to issue collateralised debt obligations secured by debt
obligations. At the same time as the Investment Manager is seeking investments for purchase
by the Issuer, the Investment Manager or its Affiliates may simultaneously be seeking
investments for purchase by entities similar to the Issuer for which any of them act as
manager or adviser (“Related Entities”), for purchase by their clients or for purchase on their
own account or that of any of their Affiliates. Neither the Investment Manager nor any of its
Affiliates is under any obligation to offer investment opportunities of which they have
become aware to the Issuer or to account to the Issuer (or share with the Issuer or inform the
Issuer of) any such transaction or any benefit received by them from any such transaction.
Furthermore, the Investment Manager and/or its Affiliates may make an investment on behalf
of any account that they manage or advise without offering the investment opportunity to or
making any investment on behalf of the Issuer. The Investment Manager and/or its Affiliates
have no affirmative obligation to offer any investments to the Issuer or to inform the Issuer of
any investments before offering any investments to other funds or accounts that the
Investment Manager and/or its Affiliates manage or advise. Furthermore, Affiliates of the
Investment Manager may make an investment on their own behalf without offering the
investment opportunity to, or the Investment Manager making any investment on behalf of,
the Issuer. Affirmative obligations may exist or may arise in the future, whereby the
Investment Manager and/or its Affiliates are obliged to offer certain investments to funds or
accounts that the Investment Manager and/or its Affiliates manage or advise before or without
the Investment Manager and/or its Affiliates offering those investments to the Issuer.
Affiliates of the Investment Manager have no affirmative obligation to offer any investments
to the Issuer or to inform the Issuer of any investments before engaging in any investments
for themselves.
In this regard, with respect to the Portfolio to be purchased by the Issuer on the Issue Date and
thereafter, it is anticipated that the Investment Manager may sell certain of the Collateral Debt
Obligations to the Issuer from the inventories of its Affiliates at prices which it reasonably
considers to be on an arm's length basis.
In its capacity as investment manager, the Investment Manager and/or its Affiliates may
engage in other businesses and furnish investment management and advisory services to
Related Entities whose investment policies differ from those followed by the Investment
Manager on behalf of the Issuer as required by the Investment Management Agreement. In
such capacity, the Investment Manager may make recommendations and effect transactions
which differ from those effected with respect to the Collateral for the Notes. In addition, the
Investment Manager may, from time to time, cause or direct Related Entities to buy or sell or
may recommend to Related Entities the buying and selling of debt obligations of the same or
of a different kind or class of the same Obligor, as Collateral Debt Obligations or other
obligations which are part of the Portfolio which the Investment Manager directs to purchase
or sell on behalf of the Issuer.
Accordingly, conflicts may arise regarding the allocation of investment opportunities among
the Issuer and the Related Entities. Situations may occur where the Issuer could be
disadvantaged because of the investment activities conducted by the Investment Manager for
40

the Related Entities. As referred to above, the Investment Management Agreement places
significant restrictions on the Investment Manager's ability to buy and sell obligations
comprising the Portfolio on which the Notes are secured and, accordingly, during certain
periods or in certain specified circumstances, the Investment Manager may be unable to buy
or sell obligations which either form or are intended to form part of the Portfolio or to take
other actions which it might consider to be in the best interests of the Issuer and the
Noteholders.
The Investment Manager, on behalf of the Issuer, may also from time to time purchase or sell
obligations to or from itself or its Affiliates or Related Entities. In such circumstances
however, the Investment Manager will, among other things, be required to take all reasonable
steps to satisfy itself that the price at which such asset is purchased or sold is fair and
reasonable.
Affiliates of the Investment Manager may, in the conduct of their respective businesses,
receive or become aware of price sensitive information which is not generally available to the
public. The Investment Management Agreement contains provisions which absolve the
Investment Manager from any responsibility for its failure to make determinations in relation
to the administration of the Portfolio in circumstances where it or any of its Affiliates are in
receipt of price sensitive information and where, in the opinion of the Investment Manager,
investment by the Issuer at the direction of the Investment Manager might breach the
provisions of insider dealing legislation or laws to which it or the Issuer are subject.
On 22 December 2006, The Royal Bank of Scotland plc (the “Warehousing Facility
Provider”), entered into a variable funding notes purchase agreement (the “Warehousing
Facility Agreement”) with the Issuer to enable the Issuer to acquire Collateral Debt
Obligations before the Closing Date. It is a term of the Warehousing Facility Agreement that
the full amount of the outstanding notes be repaid out of the proceeds of the issue of the Notes
and the Issuer’s assets shall be released from the security granted in respect thereof to the
Warehousing Facility Provider. Certain indemnity obligations of the Issuer in favour of the
Warehousing Facility Provider may survive the termination of the Warehousing Facility
Agreement.
From time to time the Initial Purchaser or one or more of their Affiliates may own significant
amounts of the Notes of any Class or have advanced one or more Loans to the Issuer under
the Class A-2 Note Purchase Agreement. The Initial Purchaser may also have underwritten
certain of the Collateral Debt Obligations securing the Notes when such Collateral Debt
Obligations were originally issued and may have provided or be providing investment
banking services and other services to obligors of certain Collateral Debt Obligations. It is
the intention of the Investment Manager that all Collateral Debt Obligations will be purchased
by the Issuer on terms prevailing in the market at the time of purchase.
It is expected that the Initial Purchaser or one or more of the Affiliates thereof may also act as
counterparty with respect to one or more Synthetic Securities or Participations or act as
Hedge Counterparty with respect to one or more Hedge Agreements. It is possible that one or
more of the Affiliates of the Investment Manager may also act as counterparty with respect to
one or more Synthetic Securities, Participations or Hedge Transactions.
One or more entities related to the Initial Purchaser may also be Interest Rate Hedge
Counterparties or Currency Hedge Counterparties from time to time. The interests of the
Issuer and/or the holders of the Notes may conflict with an entity of such Initial Purchaser
acting in any such capacity.
Unless otherwise stated herein, there will be no restriction on the ability of either of the Initial
Purchaser, the Trustee, the Investment Manager, the Collateral Administrator or any Interest
Rate Hedge Counterparty or Currency Hedge Counterparty or any of their respective
Affiliates or employees to purchase Notes of any Class (either upon initial issuance or
41

through secondary transfers) and to exercise any voting rights in respect of such Notes. The
interests of such holders may differ from those of other holders.
In certain circumstances, the Trustee or its Affiliates or both may receive compensation in
connection with the investment of assets in certain Eligible Investments from the managers of
such Eligible Investments. In addition, the Issuer may from time to time invest in Eligible
Investments issued by, arranged by or underwritten by the Investment Manager, the Initial
Purchaser or their Affiliates.
5. INVESTMENT COMPANY ACT
The Issuer has not registered with the United States Securities and Exchange Commission
(the “SEC”) as an investment company pursuant to the Investment Company Act, in reliance
on an exemption under Section 3(c)(7) of the Investment Company Act for investment
companies (a) whose outstanding securities are beneficially owned only by “qualified
purchasers” (within the meaning given to such term in the Investment Company Act and the
regulations of the SEC thereunder) and certain transferees thereof identified in Section 3(c)(7)
of the Investment Company Act and (b) which do not make a public offering of their
securities in the United States.
If the SEC or a court of competent jurisdiction were to find that the Issuer is required, but in
violation of the Investment Company Act, had failed, to register as an investment company,
possible consequences include, but are not limited to, the following: (i) the SEC could apply
to a district court to enjoin the violation; (ii) investors in the Issuer could sue the Issuer and
recover any damages caused by the violation; and (iii) any contract to which the Issuer is
party that is made in, or whose performance involves, a violation of the Investment Company
Act would be unenforceable by any party to the contract unless a court were to find that under
the circumstances enforcement would produce a more equitable result than non-enforcement
and would not be inconsistent with the purposes of the Investment Company Act. Should the
Issuer be subjected to any or all of the foregoing, the Issuer would be materially and adversely
affected.
6. FORCED TRANSFER
Each initial purchaser of an interest in a Rule 144A Note and each transferee of an interest in
a Rule 144A Note will be deemed to represent at the time of purchase that, amongst other
things, the purchaser is both a QIB and a Qualified Purchaser.
The Trust Deed provides that if, notwithstanding the restrictions on transfer contained therein,
the Issuer determines that any holder of an interest in a Rule 144A Note is a U.S. Person and
is not both a QIB and a Qualified Purchaser at the time it acquires an interest in a Rule 144A
Note has made or been deemed to have made an ERISA related representation that is false or
misleading (any such person, a “Non-Permitted Holder”), the Issuer shall, promptly after
determination that such person is a Non-Permitted Holder by the Issuer or the Trustee (and
notice by the Trustee to the Issuer, if the Trustee makes the discovery), send notice to such
Non-Permitted Holder demanding that such Non-Permitted Holder transfer its interest to a
person that is not a Non-Permitted Holder within 30 days of the date of such notice. If such
Non-Permitted Holder fails to effect the transfer required within such 30-day period (i) upon
direction from the Issuer or the Investment Manager on its behalf, the Registrar, on behalf of
and at the expense of the Issuer, shall cause such beneficial interest to be transferred in a
commercially reasonable sale to a person or entity that certifies to the Trustee and the Issuer,
in connection with such transfer, that such person or entity either is not a U.S. Person or is a
QIB and a Qualified Purchaser, to a person with respect to whom the ERISA representation
would not be false or misleading and (ii) pending such transfer, no further payments will be
made in respect of such beneficial interest.
42

7. TAXATION OF THE ISSUER
The Directors intend to conduct the affairs of the Issuer in such a manner as to minimise, so
far as they consider reasonably practicable, taxation suffered by the Issuer. This will include
conducting the affairs of the Issuer so that, to the extent within the capacity of the Directors
and the Issuer, the Issuer is at all times resident in United Kingdom for taxation purposes.
Although the Issuer may be a “securitisation company” within the meaning of section 83
Finance Act 2005, it is not anticipated that it will be a “securitisation company” for the
purposes of the Taxation of Securitisation Companies Regulations 2006 (SI 2006/3296) in
that the Company will not have a retained profit or meet the payments condition set out in
these regulations.
The Investment Management Fees (if payable) will be subject to VAT, which may in turn
affect the returns to Noteholders.
The Issuer does not consider that its activities will cause it to be treated as engaged in the
conduct of a trade or business within the United States for U.S. federal income tax purposes
(a “U.S. Trade or Business”), however, there can be no assurance that the U.S. Internal
Revenue Service (the “IRS”) will agree. If the IRS were to successfully assert that the Issuer
is engaged in the conduct of a U.S. Trade or Business, there could be material adverse
financial consequences to the Issuer and to persons who hold the Notes. In such a case, part
or all of the income and gains of the Issuer could be subject to United States income tax and
additional branch profits tax which would reduce or even eliminate cash available for
distribution to the holders of the Notes. In addition, if the Issuer were to be treated as
engaged in a U.S. Trade or Business, in some circumstances payments by the Issuer under the
Notes could be subject to U.S. withholding tax.
8. CERTAIN PROVISIONS OF ENGLISH INSOLVENCY LAW
8.1 Insolvency Act 2000
Following certain amendments to the Insolvency Act 1986 by the Insolvency Act 2000,
certain companies (“small companies”) are entitled to seek protection from their creditors for
a period of 28 days for the purposes of putting together a company voluntary arrangement
with the option for creditors to extend the moratorium for a further two months. A small
company is defined as one which satisfies two or more of the following criteria:
(a) its turnover is not more than £5.6 million;
(b) its balance sheet total is not more than £2.8 million; and
(c) the number of employees is not more than 50.
The position as to whether or not a company is a small company may change from time to
time and consequently no assurance can be given that the Issuer will not, at any given time, be
determined to be a small company. The Secretary of State for Trade and Industry may by
regulation modify the eligibility requirements for small companies and can make different
provisions for different cases. No assurance can be given that any such modification or
different provisions will not be detrimental to the interests of Noteholders.
However, secondary legislation has been enacted which excludes certain special purpose
companies in relation to capital markets transactions from the optional moratorium
provisions. Such exceptions include (i) a company which, at the time of filing for a
moratorium, is a party to an agreement which is or forms part of a capital market
arrangement (as defined in paragraph 4D of Schedule A1 of the Insolvency Act 1986) under
which a party has incurred, or when the agreement was entered into was expected to incur, a
debt of at least £10 million and which involves the issue of a capital market investment (also
43

defined, but generally a rated, listed or traded bond) and (ii) a company which, at the time of
filing for a moratorium, has incurred a liability (including a present, future or contingent
liability and a liability payable wholly or partly in a foreign currency) of at least £10 million.
The Issuer has been advised that it should fall within the exceptions. There is no guidance,
however, as to how the legislation will be interpreted and the Secretary of State for Trade and
Industry may by regulation modify the exceptions. Accordingly, no assurance may be given
that any modification of these exceptions will not be detrimental to the interests of
Noteholders.
If the Issuer were determined to be a “small” company and determined not to fall within one
of the exceptions (by reason of modification of the exceptions or otherwise), then certain
actions, including the enforcement of the Security for the Notes may, for a period, be
prohibited by the imposition of a moratorium.
8.2 Enterprise Act 2002
On 15 September 2003, the corporate insolvency provisions of the Enterprise Act 2002 (the
“Enterprise Act”) came into force, amending certain provisions of the Insolvency Act 1986
(as amended, the “Insolvency Act”). These provisions introduced significant reforms to
corporate insolvency law. In particular, the reforms restrict the right of the holder of a
floating charge to appoint an administrative receiver (unless the floating charge was created
prior to 15 September 2003 or an exception applies) and instead give primacy to collective
insolvency procedures (in particular, administration). Previously, the holder of a floating
charge over the whole or substantially the whole of the assets of a company had the ability to
block the appointment of an administrator by appointing an administrative receiver, who
would act primarily in the interests of the floating chargeholder.
The Insolvency Act contains provisions which continue to allow for the appointment of an
administrative receiver in relation to certain transactions in the capital markets. The relevant
exception provides that the right to appoint an administrative receiver is retained for certain
types of security which form part of a capital market arrangement (as defined in the
Insolvency Act) and which involve indebtedness of at least £50,000,000 (or, when the
relevant security document (being, in respect of the transactions described in this Offering
Memorandum and the Trust Deed) was entered into, a party to the relevant transaction (such
as the Issuer) was expected to incur a debt of at least £50,000,000) and the arrangement
involves the issue of a capital market investment (also defined, but generally a rated, listed or
traded bond). It is expected that the security which the Issuer will grant to the Trustee will
fall within the capital market exception. However, it should be noted that the Secretary of
State may, by secondary legislation, modify the capital market exception and/or provide that
the exception shall cease to have effect. No assurance can be given that any such
modification or provision in respect of the capital market exception, or its ceasing to be
applicable to the transactions described in this Offering Memorandum, will not be detrimental
to the interests of the Noteholders.
The Insolvency Act also contains a new out of court route into administration for a qualifying
floating chargeholder, the relevant company itself or its directors. The relevant provisions
provide for a notice period during which the holder of the floating charge can either agree to
the appointment of the administrator proposed by the directors or the company or appoint an
alternative administrator, although a moratorium on enforcement of the relevant security will
take effect immediately after notice is given. If the qualifying floating chargeholder does not
respond to the directors’ or company’s notice of intention to appoint, the directors’ or, as the
case may be, the company’s appointee will automatically take office after the notice period
has elapsed. Where the holder of a qualifying floating charge within the context of a capital
market transaction retains the power to appoint an administrative receiver, such holder may
prevent the appointment of an administrator (either by the new out of court route or by the
44

court based procedure) by appointing an administrative receiver prior to the appointment of
the administrator being completed.
The new administration provisions of the Insolvency Act give primary emphasis to the rescue
of a company as a going concern and achieving a better result for the creditors as a whole.
The purpose of realising property to make a distribution to secured creditors is secondary. No
assurance can be given that the primary purpose of the new provisions will not conflict with
the interests of Noteholders were the Issuer ever subject to administration.
The Enterprise Act also removed the Crown’s preferential rights in all insolvencies (Section
251) and made provisions to ensure that unsecured creditors take the benefits of this change
(Section 252). Under this latter provision (in Section 176A of the Insolvency Act) the
unsecured creditors will have recourse to the floating charge realisations up to a fixed amount
(the “prescribed part”) in priority to the holder of the floating charge concerned. The
prescribed part will be 50 per cent., of the first £10,000 of floating charge realisations, plus 20
per cent., of the remaining floating charge assets until the prescribed part reaches a maximum
of £600,000. The obligation on the insolvency officeholder to set aside the prescribed part for
unsecured creditors does not apply if the floating charge realisations are less than £100,000
and the officeholder is of the view that the costs of making a distribution to unsecured
creditors would be disproportionate to the benefits. The relevant office holder may also apply
to the court for an order that provisions of Section 176A of the Insolvency Act should not
apply on the basis that the cost of making distributions would be disproportionate to the
benefits. The prescribed part will apply to all floating charges created on or after 15
September 2003 regardless as to whether they fall within one of the exceptions or not.
9. UNITED KINGDOM WITHHOLDING TAX ON THE NOTES
As described in more detail under “Tax Considerations — United Kingdom Taxation” below,
in general, tax at the lower rate of income tax (currently 20 per cent.) is required to be
withheld from payments of interest, save where the “quoted Eurobond” exemption (or another
exemption) is available. The requirements of the “quoted Eurobond” exemption to apply in
respect of an issue of securities are broadly that such securities (“quoted eurobonds”) are
(a) issued by a body corporate, (b) interest bearing and (c) listed on a recognised stock
exchange.
It is expected that upon issue of the Notes on the Issue Date, each of the three requirements of
the “quoted Eurobond” exemption will be satisfied, since (a) the Issuer is a body corporate,
(b) the Notes are interest bearing, and (c) the Notes are expected on or about issue to be listed
on the Irish Stock Exchange. However, the “quoted Eurobond” exemption would no longer
be available if the Notes were no longer listed on a recognised stock exchange.
The Finance Bill 2007 (as brought from the House of Commons and ordered to be printed on
27 June 2007) contains provisions in clause 109 and Schedule 26 for a new revised statutory
definition of the expression “listed of a recognised stock exchange” to confirm this expression
more closely with the provisions relating to the market regulation of securities in the United
Kingdom and other EU member states (including the Admissions Directive (79/279/EEC)).
Whilst it does not appear to be the United Kingdom Government’s intention substantially to
amend the United Kingdom tax law relating to the “quoted Eurobond” exemption (in the case
of securities admitted by Irish Financial Services Regulatory Authority for trading on the
main market of the Irish Stock Exchange), Noteholders should be aware that the draft
legislation is subject to amendment and there is no guarantee that it will not be enacted in a
form adverse to the interests of Noteholders.
In the event that the “quoted Eurobond” exemption was to become no longer available and the
Issuer was consequently required to pay withholding tax on the Notes (subject as discussed in
“Tax Considerations — United Kingdom Taxation” below) (a) the Issuer would not be
45

equired to “gross up” any payments made to the Noteholders (other than the Class A-2
Noteholders) to compensate for such withholding and the Issuer may not be obliged to change
its jurisdiction of tax residence pursuant to Condition 9 (Taxation) and (b) such payment of
withholding tax on the Notes in such circumstances would be a “Note Tax Event” under
Condition 7(c) (Redemption for Tax Reasons). See “Tax Considerations — United Kingdom
Taxation” below.
10. GERMAN TAXATION OF THE NOTEHOLDERS UNDER THE GERMAN
INVESTMENT TAX ACT
Units or other holdings of German tax residents in a portfolio of assets governed by foreign
law which consists of securities, derivatives, money market instruments, real estate or certain
other assets and which is invested according to the principle of risk diversification, are subject
to taxation under the German Investment Tax Act (Investmentsteuergesetz) in connection
with the Investment Act (Investmentgesetz) effective 1 January 2004. Due to their nature,
none of the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes
should qualify as interests in a foreign investment property under the German Investment Tax
Act, because, according to a German Federal Ministry of Finance circular dated 2 June 2005
(“Circular”) these Notes would not qualify as foreign investment units if, apart from the
substitution of securities (Schuldtitel) for the purpose of ensuring the size, the maturity and
the risk structure, only up to 20% per annum of the assets (Vermögen) of the issuer may,
pursuant to the contractual terms, be traded on a discretionary basis. As the language of “Sale
of Collateral Debt Obligations – Discretionary Sales during the Reinvestment Period” of the
“Description of the Portfolio” covers the 20% cap, the Notes should not qualify as foreign
investment units. However, it is not all clear what a substitution of securities for the purpose
of ensuring the size, the maturity and the risk structure according to the Circular exactly
means. But apart from that, the Circular also states that collateralized debt obligations do not
constitute investment units if the investors do not effectively participate in the issuer’s profits
or losses. As the Notes do not participate in the Issuer’s profits or losses, they should not be
subject to the German Investment Tax Act. However, although it may be expected that the tax
authorities follow their interpretation of the German Investment Tax Act as laid down in the
Circular, the tax authorities may change their position. In addition, it needs to be noted that
the Circular has no binding effect on tax courts and that it cannot be ruled out that a tax court
would take a different position and characterize such Notes as investment units. If this were
the case or if, contrary to expectations, the tax authorities changed their position with respect
to a characterization of collateralized debt obligations as investment funds, it cannot be ruled
out that the entire issue of Notes could be qualified as investment units as a consequence. If
one or more Classes of Notes were to be qualified as investment units within the Investment
Tax Act, the tax rules of the Investment Tax Act would apply. In this connection it should be
noted that the Issuer has made no arrangements in relation to the provision of information and
its certification by a qualified person under the terms of the German Investment Tax Act
unless otherwise described in this Offering Memorandum and consequently should the
German tax authorities consider that any of the Notes fall under the German Investment Tax
Act, German tax resident Noteholders could be subject to taxation under the so called
“intransparent” fund rules according to section 6 of the German Investment Tax Act.
Prospective German tax resident investors should consult their tax advisers on this matter.
The Issuer may, in its absolute discretion, with respect to any Note, upon request of a holder
of such Note and following the reimbursement of any costs properly incurred in connection
with the reporting by such holder, use all commercially reasonable efforts to comply with the
minimum statutory reporting and publication requirements of the German Investment Tax Act
(the “Minimum Reporting Requirements”). For the avoidance of doubt, such reporting
does not include reporting with regard to interim profits, if at all necessary. Compliance with
the Minimum Reporting Requirements may be outsourced at the Issuer’s sole discretion.
There are a number of uncertainties regarding the interpretation of the scope, content and
form of the Minimum Reporting Requirements. Neither the Issuer nor any other party will
46

have any liability whatsoever in relation to whether the German tax authorities accept such
reporting or with respect to any tax consequences to any Noteholder or other party.
PROSPECTIVE PURCHASERS OF THE OFFERED SECURITIES ARE URGED TO
CONSULT THEIR OWN TAX ADVISOR AS TO THE TAX CONSEQUENCES
THAT MAY ARISE FROM THE APPLICATION OF THE GERMAN INVESTMENT
TAX ACT TO THEIR RESPECTIVE CLASS OF NOTES OR ANY COMPONENT
THEREOF.
PROSPECTIVE PURCHASERS OF THE OFFERED SECURITIES SHOULD NOTE
THAT THE PARAGRAPHS ABOVE RELATING TO THE APPLICABILITY OF
THE GERMAN INVESTMENT TAX ACT MUST NOT BE INTERPRETED AS
PROVIDING GENERAL ADVICE WITH RESPECT TO THE TAXATION OF
NOTEHOLDERS RESIDENT IN GERMANY. SUCH PROSPECTIVE
PURCHASERS SHOULD CONTACT THEIR TAX ADVISERS ON THIS MATTER.
47

TERMS AND CONDITIONS OF THE NOTES
The following are the terms and conditions of each of the Class A Notes, the Class B Notes, the
Class C Notes and the Class D Notes, subject to modification and variation thereof in accordance
with the Pricing Supplement relating to each further issuance of Notes issued after the Issue Date,
substantially in the form in which they will be endorsed on such Notes if issued in definitive
certificated form, which will be incorporated by reference into the Global Certificates of each Class
representing the Notes, subject to the provisions of such Global Certificates, some of which will
modify the effect of these Terms and Conditions. See “Form of the Notes - Amendments to Terms and
Conditions”.
The issue of €104,000,000 Class A-1 Senior Secured Floating Rate Notes due 2024 (the “Class A-1
Notes”), €195,000,000 Class A-2 Senior Secured Floating Rate Multi-Currency Notes due 2024 (the
“Class A-2 Notes”), €26,000,000 Class A-3 Senior Secured Floating Rate Notes due 2024 (the
“Class A-3 Notes” and, together with the Class A-1 Notes and the Class A-2 Notes, the “Class A
Notes”), €63,000,000 Class B-1 Senior Secured Floating Rate Notes due 2024 (the “Class B Notes”),
€15,000,000 Class B-2 Senior Fixed Rate Notes due 2024 (the “Class B-2 Notes” and, together with
the Class B-1 Notes, the “Class B Notes”), €78,000,000 Class C Secured Deferrable Floating Rate
Notes due 2024 (the “Class C Notes”), and €39,000,000 Class D Secured Deferrable Floating Rate
Notes due 2024 (the “Class D Notes” and, together with the Class A Notes, the Class B Notes and the
Class C Notes, the “Rated Notes” or “Notes”) of Intermediate Finance II PLC (the “Issuer”) was
authorised by resolution of the board of Directors of the Issuer dated 3 July 2007. The Notes are
constituted by a trust deed (the “Trust Deed” which term shall include any deeds supplemental
thereto and, where the context permits, any other document granting security to the Trustee over the
Collateral (as defined below)) dated on or about 5 July 2007 between (amongst others) the Issuer and
Deutsche Trustee Company Limited, in its capacity as trustee (the “Trustee”, which expression shall
include any successor and all persons for the time being the trustee or trustees under the Trust Deed)
for the Noteholders.
For the purposes of these Terms and Conditions of the Notes (“Conditions of the Notes”), the Trust
Deed and all agreements entered into in connection therewith, save to the extent such provisions relate
to issuance of such Notes and subject as provided below. References herein to the “Notes” or the
Notes of any Class shall be to all Notes, or all Notes of that Class, as applicable, that are issued and
Outstanding or deemed to be issued and Outstanding from time to time.
These Terms and Conditions include summaries of, and are subject to, the detailed provisions of the
Trust Deed (which includes the forms of the certificates representing the Notes). The following
agreements, amongst others, will be entered into in relation to the Notes:
(a) an agency agreement dated on or about 5 July 2007 (the “Agency Agreement”) between,
amongst others, the Issuer, Deutsche Bank (Luxembourg) S.A. as registrar (the “Registrar”,
which term shall include any successor or substitute registrar appointed pursuant to the terms
of the Agency Agreement), each of Deutsche International Corporate Services (Ireland)
Limited (the “Irish Transfer and Paying Agent”) and Deutsche Bank AG, London Branch
as the initial transfer agents (and together, with the Registrar, the “Transfer Agents”),
Deutsche Bank AG, London Branch as principal paying agent, account bank, calculation
agent, exchange agent and custodian (respectively, the “Principal Paying Agent” (and,
together with the Irish Transfer and Paying Agent, the “Paying Agents”), the “Account
Bank”, the “Calculation Agent” and the “Custodian” which terms shall include any
successor or substitute principal paying agent, account bank, calculation agent, exchange
agent or custodian, respectively, appointed pursuant to the terms of the Agency Agreement)
and the Trustee;
(b) an investment management agreement dated on or about 5 July 2007 (the “Investment
Management Agreement”) between Intermediate Capital Managers Limited as manager of
the Portfolio (the “Investment Manager”, which term shall include any successor investment
48

manager appointed pursuant to the terms of the Investment Management Agreement), the
Issuer, Deutsche Bank AG, London Branch as collateral administrator (the “Collateral
Administrator” which term shall include any successor Collateral Administrator appointed
pursuant to the terms of the Collateral Administration Agreement) and the Trustee;
(c) a collateral administration agreement dated on or about 5 July 2007 (the “Collateral
Administration Agreement”) between the Collateral Administrator, the Issuer, the Trustee
and the Investment Manager;
(d) each Hedge Agreement between the Issuer and each applicable Hedge Counterparty entered
into from time to time;
(e) a liquidity facility agreement dated on or about 5 July 2007 (the “Liquidity Facility
Agreement”) between the Issuer and Deutsche Bank AG, London Branch as liquidity facility
provider (the “Liquidity Facility Provider”); and
(f) the note purchase agreement dated on or prior to the Issue Date in respect of the Class A-2
Notes between the Issuer, the Trustee, the Investment Manager, Deutsche Bank AG, London
Branch as the agent in respect of the Class A-2 Notes (the “Class A-2 Note Agent”, which
term shall include any successor or substitute agent in respect of the Class A-2 Notes) and the
initial holder(s) of the Class A-2 Notes (each an “Initial Class A-2 Noteholder”) (the
“Class A-2 Note Purchase Agreement”).
Copies of the Trust Deed, the Agency Agreement, the Investment Management Agreement,
the Collateral Administration Agreement, the Liquidity Facility Agreement and each Hedge
Transaction are available for inspection during usual business hours at the principal office of
the Principal Paying Agent (presently at Winchester House, 1 Great Winchester Street,
London EC2N 2DB) and at the specified offices of the Transfer Agents for the time being.
The holders of each Class of Notes are entitled to the benefit of, are bound by and are deemed
to have notice of all the provisions of, the Trust Deed and are deemed to have notice of all the
provisions of the Agency Agreement, the Investment Management Agreement, the Collateral
Administration Agreement and the other Transaction Documents applicable to them.
1. DEFINITIONS
The following definitions apply throughout these Terms and Conditions unless the context
requires otherwise:
“Accounts” means (a) with the Account Bank, the Euro Principal Account, the Euro Interest
Account, the Unused Proceeds Account, the Standby Liquidity Account, each Hedge
Termination Account, each Asset Swap Account, the Class A-2 Currency Principal Account,
the Class A-2 Currency Interest Account, the Collateral Enhancement Account, each Delayed
Drawdown Reserve Account, the Payment Account and the Hedging Reserve Account and
(b) with the Custodian, the Custody Account, each Synthetic Collateral Account, each
Counterparty Downgrade Collateral Account and each Class A-2 Noteholder Collateral
Account.
“Accrued Collateral Debt Obligation Interest” means in respect of any Determination
Date, the amount which is equal to the aggregate of all accrued unpaid interest under
Collateral Debt Obligations (excluding Purchased Accrued Interest and interest on any
Defaulted Obligations), converted where applicable into Euro at the Applicable Exchange
Rate, which is not payable to the Issuer on or prior to such Determination Date by the
Obligors under the relevant Collateral Debt Obligations.
“Administrative Expenses” means amounts due and payable by the Issuer to:
(a) to the Agents and the Custodian pursuant to the Agency Agreement
49

(b) the independent accountants, agents and counsel of the Issuer, including amounts
payable to the Agents (other than the Custodian) pursuant to the Agency Agreement,
the Class A-2 Note Agent pursuant to the Class A-2 Note Purchase Agreement and
the costs of the ongoing monitoring of the Portfolio;
(c) any Rating Agency in respect of the monitoring or surveillance of the Rated Notes or
a confidential credit estimate in relation to any of the Collateral Debt Obligations for
fees and expenses in connection with any such rating, monitoring, surveillance or
confidential credit estimate, including in each case, the ongoing monitoring thereof;
(d) a corporate services provider pursuant to any corporate services agreement;
(e) the Investment Manager pursuant to the Investment Management Agreement (but
excluding any Investment Management Fees, any Investment Manager Advances and
any value added tax payable in respect thereof);
(f) the Collateral Administrator pursuant to the Collateral Administration Agreement;
(g) the Irish Stock Exchange or such other stock exchange or exchanges upon which any
of the Notes are listed from time to time;
(h) any other person in respect of any governmental fee or charge (other than, for the
avoidance of doubt, taxes and statutory fees) or any statutory indemnity;
(i) any other person in respect of any other fees, expenses or indemnities permitted under
these Conditions and the Transaction Documents (other than the Liquidity Facility
Agreement but including the relevant warehouse agreements dated 22 December
2006) delivered pursuant to or in connection with the issue and sale of the Notes,
including, without limitation, an amount up to €5,000 per annum in respect of fees
and expenses incurred by the Issuer (in its sole and absolute discretion) in assisting in
the preparation, provision or validation of data for purposes of Noteholder tax
jurisdictions;
(j) the payment of any amounts due and payable by the Issuer to any Selling Institution
pursuant to any Sub-Participation Agreement after the date of entry into any
Participation;
(k) to the payment of all amounts due and payable to the Liquidity Facility Provider
pursuant to the Liquidity Facility Agreement, save for any amounts payable pursuant
to paragraph (D) of Condition 3(c)(i) (Interest Priority of Payments);
(l) to the payment of amounts due to an agent bank in relation to the performance of its
duties under a syndicated Mezzanine Obligation but excluding any amounts paid in
respect of the acquisition or purchase price of such syndicated Mezzanine Obligation;
(m) to the payment of any costs and expenses incurred by the Issuer in connection with
the provision of ongoing reporting information required by any Noteholder from time
to time; and
(n) the payments of any applicable value added tax required to be paid by the Issuer in
respect of the foregoing,
provided, however, that “Administrative Expenses” shall not include Trustee Fees and
Expenses or amounts due or accrued with respect to the actions taken on or in connection
with the Issue Date which are payable out of the proceeds of issue of the Notes or the Issuer
Euro Shares.
“Affiliate” or “Affiliated” means, in relation to any Person, any other Person who, directly or
indirectly, is in control of, or controlled by, or is under common control with, such person
50

(and, for the purposes of this definition, “control” of a Person means the power, direct or
indirect, (a) to vote more than 50 per cent. of the securities having ordinary voting power for
the election of directors of such person, or (b) to direct or cause the direction of the
management and policies of such person, whether by contract or otherwise) and, in the case of
the Investment Manager, includes any fund managed solely by it.
“Agent” means each of the Registrar, the Transfer Agents, the Paying Agents, the Account
Bank, the Calculation Agent, the Custodian, the Class A-2 Note Agent and each of their
permitted successors and assignees.
“Aggregate Collateral Balance” means, as at any Measurement Date, the amount equal to
the aggregate of the following amounts, as at such Measurement Date:
(a) the Aggregate Principal Balance of all Collateral Debt Obligations; and
(b) the Balances standing to the credit of the Euro Principal Account, the Class A-2
Currency Principal Account and the Unused Proceeds Principal Subaccount; and
(c) the Undrawn and Uncommitted Amount in respect of the Class A-2 Notes.
Provided that when the Aggregate Collateral Balance is used to calculate the Target Par
Amount, any such amounts in (a), (b) and (c) above not denominated in Euro shall be
converted into Euro using the Multi-Currency Exchange Rate.
“Aggregate Principal Balance” when used with respect to any Collateral Debt Obligations
and/or Eligible Investments, means the sum of the Principal Balances of all such Collateral
Debt Obligations and/or Eligible Investments on the date of determination, provided that, for
the purposes of determining the Aggregate Principal Balance of Collateral Debt Obligations
as at the Issue Date or Effective Date, the Principal Balance of any Defaulted Obligation shall
be the lower of the S&P Collateral Value or the Moody’s Collateral Value.
“Allocation” means an allocation of any Undrawn and Uncommitted Amount as an Undrawn
and Committed Amount, made under the Class A-2 Note Purchase Facility, and
“Allocations” means all of them.
“Applicable Exchange Rate” means (a) in relation to any Asset Swap Obligation, the Asset
Swap Transaction Exchange Rate and (b) in relation to any Class A-2 Currency Obligation
and in any other circumstances not referred to in (a) above, the Spot Rate of Exchange.
“Applicable Margin” has the meaning given thereto in Condition 6(e) (Floating Rate of
Interest).
“Asset Interest Rate Hedge Transaction” has the meaning given thereto in the Investment
Management Agreement.
“Asset Swap Account” means each segregated currency account into which amounts due to
the Issuer in respect of each Asset Swap Obligation and out of which amounts from the Issuer
to each applicable Asset Swap Counterparty under each applicable Asset Swap Transaction
are to be paid.
“Asset Swap Counterparty” means any financial institution which, at the time it enters into
an Asset Swap Transaction or any permitted assignee or successor thereon under the terms of
the related Asset Swap Transaction and in each case, which satisfies the applicable Rating
Requirement (or whose obligations are guaranteed by a guarantor which satisfies the
applicable Rating Requirement).
“Asset Swap Counterparty Principal Exchange Amount” means each interim and final
exchange amount (whether expressed as such or otherwise) scheduled to be paid to the Issuer
51

y an Asset Swap Counterparty under an Asset Swap Transaction and excluding any
Scheduled Periodic Asset Swap Counterparty Payments.
“Asset Swap Issuer Principal Exchange Amount” means each interim and final exchange
amount (whether expressed as such or otherwise) scheduled to be paid to the Asset Swap
Counterparty by the Issuer under an Asset Swap Transaction and excluding any Scheduled
Periodic Asset Swap Issuer Payments.
“Asset Swap Obligation” means any Collateral Debt Obligation which is not denominated in
Euro (or in one of the predecessor currencies of those EU member states which have adopted
Euro as their currency) and which is the subject of an Asset Swap Transaction.
“Asset Swap Replacement Payment” means any amount payable to a replacement Asset
Swap Counterparty by the Issuer upon entry into a Replacement Asset Swap Transaction
which is replacing an Asset Swap Transaction which was terminated.
“Asset Swap Replacement Receipt” means any amount payable to the Issuer by a
replacement Asset Swap Counterparty upon entry into a Replacement Asset Swap
Transaction which is replacing an Asset Swap Transaction which was terminated.
“Asset Swap Termination Payment” means the amount payable to an Asset Swap
Counterparty by the Issuer upon termination or modification of an Asset Swap Transaction
including any due and unpaid scheduled amounts payable thereunder.
“Asset Swap Termination Receipt” means the amount payable by an Asset Swap
Counterparty to the Issuer upon termination or modification of an Asset Swap Transaction
excluding any due and unpaid scheduled amounts payable thereunder.
“Asset Swap Transaction” means each asset swap transaction entered into under a 1992 or
2002 ISDA Master Agreement (Multicurrency-Cross-Border) (or such other ISDA pro forma
Master Agreement as may be published by ISDA from time to time), together with the
schedule and confirmation relating thereto including any guarantee thereof and any credit
support annex entered into pursuant to the terms thereof, each as amended or supplemented
from time to time, an “Asset Swap Agreement” entered into by the Issuer with an Asset
Swap Counterparty, including any Replacement Asset Swap Transaction.
“Asset Swap Transaction Exchange Rate” means the exchange rate specified in each
relevant Asset Swap Transaction.
“Assignment” means an interest in a loan acquired directly by way of novation or
assignment.
“AUD” means the lawful currency of the Commonwealth of Australia.
“Authorised Denomination” means, in respect of any Note, the Minimum Denomination
thereof and any denomination equal to one or more multiples of the Authorised Integral
Amount in excess of the Minimum Denomination thereof.
“Authorised Integral Amount” means, in respect of any Note, €1,000.
“Authorised Officer” means with respect to the Issuer, any Director of the Issuer or person
who is authorised to act for the Issuer in matters relating to, and binding upon, the Issuer, and
with respect to any other entity, any person who is authorised to act for such entity in matters
relating to, and binding upon, such entity.
“Average Aggregate Principal Balance” means, in respect of any Payment Date, the sum of
the Aggregate Principal Balance of all Collateral Debt Obligations as at the third day of each
month in the related Due Period (or if such day is not a Business Day, the next following
Business Day) divided by six.
52

“Balance” means on any date, with respect to any cash or Eligible Investments standing to
the credit of an Account (excluding the Collateral Enhancement Account) (or any sub-account
thereof), the aggregate of the:
(a) current balance of cash, demand deposits, time deposits, government-guaranteed
funds and other investment funds;
(b) outstanding principal amount of interest-bearing corporate and government
obligations and money market accounts and repurchase obligations; and
(c) purchase price, up to an amount not exceeding the face amount, of non
interest-bearing government and corporate obligations, commercial paper and
certificates of deposit,
and where applicable, converted into Euro at the applicable Spot Rate of Exchange provided
that in the event that a default as to payment of principal and/or interest has occurred and is
continuing (disregarding any grace periods provided for pursuant to the terms thereof) in
respect of any Eligible Investment or any obligation of the obligor thereunder which is senior
or equal in right of payment to such Eligible Investment, such Eligible Investment shall have
a value equal to the lesser of its S&P Collateral Value and its Moody’s Collateral Value
(determined as if such Eligible Investment were a Collateral Debt Obligation).
“Base Currency” means, in respect of any Delayed Drawdown Obligation, the currency in
which the commitment under such Delayed Drawdown Obligation is determined in
accordance with the Underlying Instruments thereof.
“Break Costs” means in respect of the Class A-2 Note Purchase Agreement, the amount (if
any) by which (i) the interest (excluding the Applicable Margin for the Class A-2 Notes)
which the Class A-2 Noteholders should have received for the period from the date of receipt
of all or any part of an Advance to the last day of the current Class A-2 Interest Period in
respect of that Advance, had the principal amount of such Payment been paid on the last day
of that Class A-2 Interest Period; exceeds (ii) the amount which the Class A-2 Noteholders
would be able to obtain by placing an amount equal to the principal amount (and in the
relevant currency) of the Advance received by it on deposit with a leading bank in the
European interbank market for a period starting on the Business Day following receipt of
such advance and ending on the last day of the current Class A-2 Interest Period.
“Business Day” means (save to the extent otherwise defined) a day:
(a) on which the TARGET System is open; and
(b) on which commercial banks and foreign exchange markets settle payments in London
(other than a Saturday, Sunday or public holiday); and
(c) for the purposes of the definition of “Presentation Date”, on which commercial banks
and foreign exchange markets settle payments in the place where the holder presents
or is entitled to present a Note for payment.
“CCC Market Value” means, in respect of any CCC Obligation, the lowest of:
(a) its Market Value;
(b) (i) 100 per cent. plus its Moody’s Recovery Rate, (ii) divided by two, and (iii)
multiplied by the outstanding principal balance (converted, where applicable, into
Euro at the Applicable Exchange Rate); and
(c) (i) 100 per cent. plus its S&P Recovery Rate, (ii) divided by two, and (iii) multiplied
by the outstanding principal balance (converted, where applicable, into Euro at the
Applicable Exchange Rate).
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“CCC Obligation” means each Collateral Debt Obligation (other than a Defaulted
Obligation) with (i) a Moody’s Rating of “Caa1” or lower; or (ii) an S&P Rating of “CCC+”
or lower.
“CEO Trust” has the meaning given thereto in the Investment Management Agreement.
“CHF” is the lawful currency of Switzerland.
“Class of Notes” means each of the Classes of Notes being:
(a) the Class A-1 Notes, the Class A-2 Notes and the Class A-3 Notes, which shall
together constitute a single Class, and together, the Class A Notes;
(b) the Class B-1 Notes and the Class B-2 Notes, which shall together constitute a Single
Class, and together, the Class B Notes;
(c) the Class C Notes; and
(d) the Class D Notes,
and “Class of Noteholders” and “Class” shall be construed accordingly.
“Class A/B Coverage Tests” means the Class A/B Interest Coverage Test and the Class A/B
Par Value Test.
“Class A/B Interest Coverage Ratio” means, as of any Measurement Date, the ratio
(expressed as a percentage) obtained by dividing:
(a) the Interest Coverage Numerator; by
(b) the sum of the Interest Amount due and payable in respect of the Class A Notes and
the Class B Notes on the Payment Date immediately following the Due Period in
which such Measurement Date occurs converted into Euro to the extent necessary at
the Spot Rate of Exchange.
“Class A/B Interest Coverage Test” means the test which will be satisfied as of any
Measurement Date if, on such Measurement Date, the Class A/B Interest Coverage Ratio is at
least equal to the percentage specified in the definition of “Coverage Test”.
“Class A/B Par Value Ratio” means, as of any Measurement Date, the ratio (expressed as a
percentage) obtained by dividing the Par Coverage Amount by the sum of the Principal
Amount Outstanding of the Class A Notes (which shall, for the avoidance of doubt, include
the Undrawn and Uncommitted Amount and the Undrawn and Committed Amount of the
Class A-2 Notes) and the Class B Notes.
“Class A/B Par Value Test” means the test which will be satisfied as of any Measurement
Date if, on such Measurement Date, the Class A/B Par Value Ratio is at least equal to the
percentage specified in the definition of “Coverage Test”.
“Class A Noteholders” means the holders of any Class A Notes from time to time.
“Class A Redemption Method” means the method in which the Issuer shall redeem or repay
Class A-1 Notes and Class A-2 Notes when specified as applicable in the Priorities of
Payments, for:
(a) where the Class A Notes are to be redeemed pursuant to Condition 7(e)(i)
(Redemption upon Breach of Coverage Tests), Conditions 7(c)(ii) (Redemption at the
Option of the Investment Manager – Redemption on Breach of Reinvestment Test)
redemption in accordance with Case 1 below;
54

(b) where the Class A Notes are to be redeemed pursuant to Condition 7(c)(i)
(Redemption at the Option of the Investment Manager – Special Redemption),
Condition 7(e)(ii) (Redemption Following Effective Date Rating Event),
Condition 7(e)(iii) (Redemption Following Expiry of Reinvestment Period),
redemption in accordance with Case 2 below; and
(c) where the Class A Notes are to be redeemed in whole pursuant to Condition 7(a)
(Final Redemption), Condition 7(b) (Optional Redemption), Condition 7(d)
Redemption for Tax Reasons, in accordance with Case 3 below.
For these purposes
“Case 1” means that:
(a) in relation to each Payment Date, on the applicable Determination Date, the
Collateral Administrator shall notify the Investment Manager, on behalf of the Issuer,
of the aggregate amount of Interest Proceeds and Principal Proceeds to be applied in
redemption of the Class A Notes on such Payment Date (the “Available Amount”);
(b) on such Determination Date, the Investment Manager, on behalf of the Issuer, shall
calculate (based on the Available Amount) the amount which would be applied in
redemption of each Class A Note on a pro rata basis in accordance to the Priorities of
Payments (and, for these purposes the principal amount of Class A Notes
denominated in a Class A-2 Currency shall be translated into the Euro equivalent at
the Spot Rate, and such Euro equivalent used for the purposes of the pro rata
calculation) (the principal amount, or, as the case may be, the Euro equivalent
thereof, which would be redeemed based on such pro rata redemption being the “Pro
Rata Amount” for each Class A Note);
(c) the Available Amount shall be applied in redemption of the Class A Notes on a pro
rata basis in accordance with the Priorities of Payments; and
(d) for the purposes of redeeming the Class A Notes in accordance with this Case 1, the
Investment Manager on behalf of the Issuer shall convert Interest Proceeds and/or
Principal Proceeds (as applicable) from the currency of one Class A-2 Advance to the
currency of another Class A-2 Advance (at the Spot Rate) as may be required for
redemption in accordance with paragraphs (a) to (c) above.
“Case 2” means that:
(a) in relation to the redemption of Class A Notes on any Payment Date, Class A-2
Currency Interest Proceeds and/or, as the case may be, Class A-2 Currency Principal
Proceeds will be applied in the pro rata redemption of Class A Notes denominated in
the same Class A-2 Currency as such Class A-2 Currency Interest Proceeds and/or
Class A-2 Currency Principal Proceeds and will not be applied in the redemption of
any other Class A Notes unless and until the outstanding amount of the Class A Notes
denominated in such Class A-2 Currency have been redeemed in full, in which case
any such remaining Class A-2 Currency Interest Proceeds and/or Class A-2 Currency
Principal Proceeds shall be converted and applied in the redemption of all of the
remaining Class A Notes on a pro rata basis in accordance with the Priorities of
Payments;
(b) Euro Interest Proceeds and/or, as the case may be, Euro Principal Proceeds will only
be used in the redemption of Class A Notes denominated in Euro; provided that, if on
any Payment Date, there is a Class A-2 Currency Funding Mismatch in respect of any
Class A-2 Advance denominated in a Class A-2 Currency which is not eliminated by
the application of Interest Proceeds and/or, as the case may be, Principal Proceeds
denominated in such Class A-2 Currency, then any Euro Interest Proceeds and/or
55

Euro Principal Proceeds remaining after the redemption in full of the Class A Notes
denominated in Euro (the “Remaining Euro Amount”) shall be applied in
redemption of the Class A Notes denominated in such Class A-2 Currency up to an
amount equal to such Class A-2 Currency Funding Mismatch; provided further that if
there is a Class A-2 Currency Funding Mismatch in more than one Class A-2
Currency and the aggregate of such Class A-2 Currency Funding Mismatches is
greater than the Remaining Euro Amount as calculated using the Spot Rate, then the
Remaining Euro Amount shall be applied in redemption of the Class A Notes
denominated in such Non-Euro Currencies such that, to the extent possible, after
redemption of such Class A Notes in relation to each Class A-2 Currency, the ratio of
(i) the Class A-2 Currency Funding Mismatch for such Class A-2 Currency to (ii) the
Euro Equivalent (at the Spot Rate) of the principal amount of the Class A Notes
denominated in such Class A-2 Currency is the same;
(c) for the purposes of redeeming the Class A Notes in accordance with this Case 2, the
Investment Manager on behalf of the Issuer shall convert Interest Proceeds and/or
Principal Proceeds (as applicable) from the currency of one Class A-2 Advance to the
currency of another Class A-2 Advance (at the Spot Rate) as may be required for
redemption in accordance with paragraphs (a) and (b) above;
(d) any reference to the redemption of Class A Notes on a pro rata basis in accordance
with the Priorities of Payments where the Class A Notes to be redeemed on such basis
are denominated in more than one currency means that the principal amount of any
Class A Notes denominated in a Non- Euro Currency shall be calculated in Euro at
the Spot Rate for the purposes of calculating the amount of such Class A Notes to be
redeemed on such basis; and
(e) where any amount is to be applied to the redemption of any Class A Notes
denominated in the same currency, such Class A Notes shall be redeemed on a pro
rata basis in accordance with the Priorities of Payments;
“Case 3” means that:
(a) the Investment Manager on behalf of the Issuer shall exchange amounts in one
currency in respect of the Class A-2 Advance, for amounts in another currency of the
Class A-2 Advance (at the Spot Rate) as may be required to redeem the Class A
Notes in full and, if the amount available for redemption of the Class A Notes is not
sufficient to redeem the Class A Notes in full, the Issuer shall redeem the Class A
Notes on a pro rata basis in accordance with the Priorities of Payments;
(b) for the purposes of redeeming the Class A Notes in accordance with this Case 3, the
Investment Manager on behalf of the Issuer shall convert Interest Proceeds and/or
Principal Proceeds (as applicable) from the currency of one Class A-2 Advance to the
currency of another Class A-2 Advance (at the Spot Rate) as may be required for
redemption in accordance with paragraph (a) above;
(c) any reference to the redemption of Class A Notes on a pro rata basis in accordance
with the priorities of payments where the Class A Notes to be redeemed on such basis
are denominated in more than one currency means that the principal amount of any
Class A Notes denominated in a Class A-2 Currency shall be calculated in Euro at the
Spot Rate for the purposes of calculating the amount of such Class A Notes to be
redeemed on such basis; and
(d) where any amount is to be applied to the redemption of any Class A Notes
denominated in the same currency, such Class A Notes shall be redeemed on a pro
rata basis in accordance with the Priorities of Payments.
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“Class A-1 Noteholders” means the holders of any Class A-1 Notes from time to time.
“Class A-2 Additional Amounts” means any amounts payable by the Issuer in respect of any
indemnities and other amounts other than Class A-2 Interest Amounts or principal amounts
payable to the Class A-2 Noteholders under the Class A-2 Note Purchase Agreement
(including, for the avoidance of doubt, any increased costs (as defined in the Class A-2 Note
Purchase Agreement), gross up amounts and any indemnity payable pursuant to the Class A-2
Note Purchase Agreement but excluding any Break Costs).
“Class A-2 Advance” means the amount requested by the Investment Manager on behalf of
the Issuer pursuant to the Investment Management Agreement to be advanced by the
Class A-2 Noteholders pursuant to the Class A-2 Note Purchase Agreement to which they are
party.
“Class A-2 Advance Date” means a date, which must be a Business Day, on which a
Class A-2 Advance is or is proposed to be made.
“Class A-2 Advance Request” means a request from the Investment Manager on behalf of
the Issuer to the Class A-2 Note Agent (substantially in the form set out in the Class A-2 Note
Purchase Agreement) for a Class A-2 Advance.
“Class A-2 Availability Period” means the period from and including the Issue Date until
but excluding the earlier of (a) the day falling six years after the Issue Date and (b) the day
upon which Enforcement Action is taken by the Trustee in accordance with Condition 11(b)
(Enforcement).
“Class A-2 Commitment Fee” has the meaning given to it in Condition 18(b)(ix) (Class A-2
Advances).
“Class A-2 Commitment Holders” means any bank or financial institution whose short term,
senior, unsecured, unguaranteed debt securities are rated no less than “P1” by Moody’s and
no less than “A-1” by S&P at the time of entry by it into the Class A-2 Note Purchase
Agreement, which becomes a Class A-2 Commitment Holder after the Issue Date, in
accordance with the Class A-2 Note Purchase Agreement.
“Class A-2 Currency” means GBP, USD, SEK, NOK, DKK, CHF, HKD, SGD, AUD, NZD,
YEN or any other currency (other than Euro) which has been approved by the Class A-2
Noteholders in writing prior to the making of a Class A-2 Advance and in respect of which
Rating Agency Confirmation has been obtained.
“Class A-2 Currency Advance” means any Class A-2 Advance which is denominated in a
Class A-2 Currency.
“Class A-2 Currency Amount Outstanding” means, in relation to the Class A-2 Notes and
at any time, the aggregate principal amount outstanding under the Class A-2 Notes at that
time which is denominated in a Class A-2 Currency taking into account all increases and
reductions in such amount in accordance with Condition 18 (Class A-2 Notes) as a result of
any Class A-2 Advance or Class A-2 Repayment and further taking into account all amounts
specified as being applied in redemption of the Class A-2 Currency Amount Outstanding of
the Class A-2 Notes pursuant to the Conditions.
“Class A-2 Currency Funding Mismatch” means on any Determination Date or any other
date of calculation, in respect of any Class A-2 Advance denominated in a Class A-2
Currency the greater of (a) zero; and (b) the aggregate principal amount Outstanding of any
Class A-2 Advances denominated in such Class A-2 Currency on such Determination Date
less the sum of (A) the aggregate Principal Balance of all such Non-Euro Obligations which
are not the subject of an Asset Swap Transaction on such Determination Date and (B) the
Class A-2 Currency Principal Proceeds standing to the credit of such Class A-2 Currency
57

Principal Account on such Determination Date, calculated on the basis that all Class A-2
Currency amounts are calculated in Euro at the Spot Rate, provided that on any Determination
Date which falls after the end of the Reinvestment Period, the Principal Balance of all
Defaulted Non-Euro Obligation will be zero.
“Class A-2 Currency Interest Account” means the relevant account denominated in Euro,
USD and GBP and any other applicable Class A-2 Currency, of that name in the name of the
Issuer with the Account Bank, or any further or other account so named or redesignated
account into which the Issuer will procure amounts are deposited in accordance with
Condition 3(j) (Payments to and from the Accounts).
“Class A-2 Currency Interest Proceeds” means all amounts paid or payable into the
Class A-2 Currency Interest Account from time to time and, with respect to any Payment
Date, means any amounts received or receivable by or on behalf of the Issuer during the
related Due Period which are paid or payable into the Class A-2 Currency Payment Account
to be disbursed pursuant to the Interest Priority of Payments on such Payment Date, together
with any other Class A-2 Currency denominated amounts to be disbursed out of the Payment
Account as Interest Proceeds on such Payment Date pursuant to Condition 3(i) (Accounts).
“Class A-2 Currency Issue Proceeds” means the proceeds of issue of the Class A-2 Notes
which are payable in Class A-2 Currency on or after the Issue Date, as applicable.
“Class A-2 Currency Obligation Currency ” means any Collateral Debt Obligation or
Synthetic Security which is denominated in a Class A-2 Currency which is not subject to an
Asset Swap Transaction.
“Class A-2 Currency Principal Account” means the relevant account denominated in Euro,
USD and GBP and any other applicable Class A-2 Currency of that name in the name of the
Issuer with the Account Bank or any further or other account so named or redesignated
account into which the Issuer will procure amounts are deposited in accordance with
Condition 3(j) (Payment to and from the Accounts).
“Class A-2 Currency Principal Proceeds” means all amounts paid or payable into the
Class A-2 Currency Principal Account from time to time and, with respect to any Payment
Date, means all amounts received or receivable by or on behalf of the Issuer during the related
Due Period which are paid or payable into the Class A-2 Currency Principal Account together
with and any other amounts to be disbursed out of the Payment Account as Class A-2
Currency Principal Proceeds on such Payment Date pursuant to Condition 3(c)(ii) (Principal
Priority of Payments).
“Class A-2 Funding Notice” means a request from the Class A-2 Note Agent on behalf of
the Issuer to each Class A-2 Noteholder (substantially in the form set out in the Class A-2
Note Purchase Agreement) for a Class A-2 Advance.
“Class A-2 Interest Amount” means any Interest Amount payable in respect of the
Class A-2 Notes pursuant to Condition 6 (e)(ii)(Determination of Floating Rate of Interest
and Calculation of Interest Amount) which may be denominated in Euro or a Class A-2
Currency.
“Class A-2 Interest Period” means the period from the Class A-2 Advance Date to, but
excluding, the next succeeding Payment Date and each successive period from each Payment
Date to, but excluding, the next succeeding Payment Date.
“Class A-2 Maximum Commitment Amount” has the meaning given to it in the Class A-2
Note Purchase Agreement.
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“Class A-2 Noteholder Collateral Account” means each segregated interest-bearing account
of the Issuer with the Custodian into which all Eligible Noteholder Collateral is to be
deposited.
“Class A-2 Noteholders” means the holders of any Class A-2 Notes from time to time.
“Class A-2 Register” means the register to be kept by the Registrar in which subject to such
reasonable procedures as it may prescribe, the Issuer shall provide for the recording and
registering of information with respect to the Class A-2 Noteholders in accordance with the
Class A-2 Note Purchase Agreement.
“Class A-2 Repayment” means, in respect of each Class A-2 Advance, the redemption of the
Class A-2 Notes on the Class A-2 Advance Date applicable thereto in an amount equal to the
amount of such Class A-2 Advance converted into Euro (if such Class A-2 Advance is
denominated in a Class A-2 Currency) or a Class A-2 Currency (if such Class A-2 Advance is
denominated in EUR) using the Multi-Currency Exchange Rate.
“Class A-3 Noteholders” means the holders of any Class A-3 Notes from time to time.
“Class B-1 Noteholders” means the holders of any Class B-1 Notes from time to time.
“Class B-2 Noteholders” means the holders of any Class B-2 Notes from time to time.
“Class C Coverage Tests” means the Class C Interest Coverage Test and the Class C Par
Value Test.
“Class C Interest Coverage Ratio” means, as of any Measurement Date, the ratio (expressed
as a percentage) obtained by dividing:
(a) the Interest Coverage Numerator; by
(b) the sum of the Interest Amount due and payable in respect of the Class A Notes, the
Class B Notes and the Class C Notes on the Payment Date immediately following the
Due Period in which such Measurement Date occurs converted into Euro to the extent
necessary at the Spot Rate of Exchange.
“Class C Interest Coverage Test” means the test which will be satisfied as of any
Measurement Date if, on such Measurement Date, the Class C Interest Coverage Ratio is at
least equal to the percentage specified in the definition of “Coverage Test”.
“Class C Noteholders” means the holders of any Class C Notes from time to time.
“Class C Par Value Ratio” means, as of any Measurement Date, the ratio (expressed as a
percentage) obtained by dividing the Par Coverage Amount by the sum of the Principal
Amount Outstanding of the Class A Notes (which shall, for the avoidance of doubt, include
the Undrawn and Uncommitted Amount and the Undrawn and Committed Amount of the
Class A-2 Notes), the Class B Notes and the Class C Notes.
“Class C Par Value Test” means the test which will be satisfied as of any Measurement Date
if, on such Measurement Date, the Class C Par Value Ratio is at least equal to the percentage
specified in the definition of “Coverage Test”.
“Class D Coverage Tests” means the Class D Interest Coverage Test and the Class D Par
Value Test.
“Class D Interest Coverage Ratio” means, as of any Measurement Date, the ratio (expressed
as a percentage) obtained by dividing:
(a) the Interest Coverage Numerator; by
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(b) the sum of the Interest Amount due and payable in respect of the Class A Notes, the
Class B Notes, the Class C Notes and the Class D Notes on the Payment Date
immediately following the Due Period in which such Measurement Date occurs
converted into Euro to the extent necessary at the Spot Rate of Exchange.
“Class D Interest Coverage Test” means the test which will be satisfied as of any
Measurement Date if, on such Measurement Date, the Class D Interest Coverage Ratio is at
least equal to the percentage specified in the definition of “Coverage Test”.
“Class D Noteholders” means the holders of any Class D Notes from time to time.
“Class D Par Value Ratio” means, as of any Measurement Date, the ratio (expressed as a
percentage) obtained by dividing the Par Coverage Amount by the sum of the Principal
Amount Outstanding of the Class A Notes, (which shall, for the avoidance of doubt, include
the Undrawn and Uncommitted Amount and the Undrawn and Committed Amount of the
Class A-2 Notes), the Class B Notes, the Class C Notes and the Class D Notes.
“Class D Par Value Test” means the test which will be satisfied as of any Measurement Date
if, on such Measurement Date, the Class D Par Value Ratio is at least equal to the percentage
specified in the definition of “Coverage Test”.
“Collateral” means the property, assets, rights and benefits which are secured in favour of the
Trustee from time to time for the benefit of the Secured Parties pursuant to the Trust Deed, as
described in Condition 4 (Security).
“Collateral Acquisition Agreements” means each of the agreements entered into by the
Issuer in relation to the purchase by the Issuer of Mezzanine Obligations and other Collateral
Debt Obligations from time to time.
“Collateral Debt Obligation” means any Mezzanine Obligation purchased or acquired
indirectly by or on behalf of the Issuer from time to time (or, if the context so requires, to be
purchased or to be acquired indirectly by or on behalf of the Issuer) each of which the
Investment Manager has determined in accordance with the Investment Management
Agreement satisfies the Eligibility Criteria, to the extent required to do so. References to
Collateral Debt Obligations shall not include Collateral Enhancement Obligations, Eligible
Investments or Exchanged Equity Securities. Obligations which are to constitute Collateral
Debt Obligations in respect of which the Issuer has entered into a binding commitment to
purchase but which have not yet settled shall be included as Collateral Debt Obligations in the
calculation of the Percentage Limitations at any time as if such purchase had been completed.
For the avoidance of doubt, the failure of any obligation to satisfy the Eligibility Criteria at
any time after the Issuer or the Investment Manager, on behalf of the Issuer, has entered into a
binding agreement to purchase it, shall not cause such obligation to cease to constitute a
Collateral Debt Obligation.
“Collateral Enhancement Account” means an interest-bearing account, segregated into
Euro and Non-Euro sub-accounts, in the name of the Issuer held with the Account Bank, the
amounts standing to the credit of which from time to time may be applied in the acquisition of
Collateral Enhancement Obligations in the applicable currency by or on behalf of the Issuer in
accordance with the Investment Management Agreement.
“Collateral Enhancement Obligation” means any warrant or equity security, excluding
Exchanged Equity Securities, but including without limitation, warrants relating to Mezzanine
Obligations and any equity security received upon conversion or exchange of, or exercise of
an option under, or otherwise in respect of a Collateral Debt Obligation; or any warrant or
equity security purchased as part of a unit with a Collateral Debt Obligation (but in all cases,
excluding, for the avoidance of doubt, the Collateral Debt Obligation), in each case, the
acquisition of which will not result in the imposition of any present or future, actual or
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contingent liabilities or obligations on the Issuer other than those which may arise under the
terms of a CEO Trust.
“Collateral Enhancement Obligation Proceeds” means all Distributions and Sale Proceeds
received in respect of any Collateral Enhancement Obligation.
“Collateral Enhancement Obligation Priority of Payments” means the priority of
payments in respect of Collateral Enhancement Obligation Proceeds set out in
Condition 3(c)(iii) (Collateral Enhancement Obligation Priority of Payments).
“Collateral Quality Tests” means the Collateral Quality Tests set out in the Investment
Management Agreement being each of the following:
(a) so long as any Notes rated by S&P are Outstanding:
(i) (as of the Effective Date and until the end of the Reinvestment Period) the
CDO Monitor Test; and
(ii) the S&P Minimum Weighted Average Recovery Rate Test;
(b) so long as any Notes rated by Moody’s are Outstanding:
(i) the Moody’s Minimum Diversity Test;
(ii) the Moody’s Maximum Weighted Average Rating Factor Test; and
(iii) the Moody’s Minimum Weighted Average Recovery Rate Test;
(c) at all times:
(i) the Minimum Weighted Average Timely Spread Test;
(ii) the Minimum Weighted Average PIK Test; and
(iii) the Weighted Average Maturity Test,
each as defined in the Investment Management Agreement.
“Collateral Tax Event” means at any time, as a result of the introduction of a new, or any
change in, any home jurisdiction or foreign tax statute, treaty, regulation, rule, ruling,
practice, procedure or judicial decision or interpretation (whether proposed, temporary or
final and whether as a result of an existing judicial decision or otherwise), which results in
interest payments due from the Obligors of any Collateral Debt Obligations in relation to any
Due Period becoming properly subject to the imposition of home jurisdiction or foreign
withholding tax (other than where such withholding tax is compensated for by a “gross-up”
provision in the terms of the Collateral Debt Obligation or such requirement to withhold is
eliminated pursuant to a double taxation treaty so that the Issuer as holder thereof is held
completely harmless from the full amount of such withholding tax on an after-tax basis) so
that the aggregate amount of such withholding tax on all Collateral Debt Obligations in
relation to such Due Period is equal to or in excess of 6 per cent. of the aggregate interest
payments due (for the avoidance of doubt, excluding any additional interest arising as a result
of the operation of any gross-up provision) on all Collateral Debt Obligations in relation to
such Due Period.
“Collateralised Credit Default Swap” means a Synthetic Security entered into by the Issuer
which is an unfunded credit default swap under which the Issuer will be required to provide
Synthetic Collateral for its contingent obligations to the Synthetic Counterparty thereunder.
“Commitment Amount” means with respect to any Delayed Drawdown Obligation, the
maximum aggregate outstanding principal amount (whether at the time funded or unfunded)
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of advances or other extensions of credit at any one time outstanding that the Issuer could be
required to make to the Obligor under the Underlying Instruments relating thereto or to a
funding bank in connection with any ancillary facilities related thereto.
“Controlling Class” means the Class A Notes or, following redemption and payment in full
of the Class A Notes, the Class B Notes or, following redemption and payment in full of the
Class B Notes, the Class C Notes or, following redemption and payment in full of the Class C
Notes, the Class D Notes.
“Counterparty Downgrade Collateral” means any cash/or securities delivered to the Issuer
as collateral for the obligations of a Hedge Counterparty under any Hedge Transaction to
which it is party.
“Counterparty Downgrade Collateral Account” means each segregated interest-bearing
account of the Issuer with the Custodian into which all Counterparty Downgrade Collateral is
to be deposited.
“Coverage Test” means each of the Class A/B Par Value Test, the Class A/B Interest
Coverage Test, the Class C Par Value Test, the Class C Interest Coverage Test, the Class D
Par Value Test and the Class D Interest Coverage Test and each shall be satisfied on a
Measurement Date if the corresponding Par Value Ratio or Interest Coverage Ratio (as the
case may be) is at least equal to the percentage specified in the table below in relation to that
Coverage Test.
Coverage test and ratio Percentage at which test is satisfied
Class A/B Par Value Ratio 125.0 per cent.
Class A/B Interest Coverage Ratio 130.0 per cent.
Class C Par Value Ratio 118.0 per cent.
Class C Interest Coverage Ratio 125.0 per cent.
Class D Par Value Ratio 116.0 per cent.
Class D Interest Coverage Ratio 115.0 per cent.
“Credit Impaired Obligation” means any Collateral Debt Obligation which, in the
Investment Manager’s judgment, has a significant risk of declining in credit quality and, with
a lapse of time, becoming a Defaulted Obligation, provided however that, (unless the holders
of the Controlling Class of Notes have agreed by way of Ordinary Resolution to suspend this
proviso), if:
(a) the ratings by Moody’s of any of the Class A Notes or Class B Notes have been
reduced by Moody’s by at least one sub-category from the Initial Ratings or are
withdrawn by Moody’s; or
(b) the ratings by Moody’s of any of the Class C Notes or Class D Notes have been
reduced by Moody’s by at least two sub-categories from the Initial Ratings or are
withdrawn by Moody’s,
then the Moody’s Ratings of such Collateral Debt Obligation must have been downgraded by
at least one rating sub-category by Moody’s or put on a watch list for possible downgrade
since the date of acquisition thereof or have decreased in price to 95 per cent. or less of the
original acquisition price thereof, provided that in the case of a Collateral Debt Obligation
paying a fixed rate, the calculation of such decrease in price shall be adjusted for movements
in floating rates since the date of purchase of such Collateral Debt Obligation. A Synthetic
Security shall constitute a Credit Impaired Obligation in the event that the Reference
Obligation to which such Collateral Debt Obligation is linked would constitute a Credit
Impaired Obligation if it were itself a Collateral Debt Obligation.
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“Credit Improved Obligation” means any Collateral Debt Obligation which, in the
Investment Manager’s judgment, has significantly improved in credit quality and in respect of
which one of the following is satisfied:
(a) it has been upgraded or put on a watch list for possible upgrade by S&P or Moody’s
or any other internationally recognised investment rating agency; or
(b) the Obligor has shown improved financial results; or
(c) the Obligor has raised equity capital or other capital which has improved the liquidity
or credit standing of such Obligor; or
(d) it has increased in price to 101 per cent. or more of the original purchase price
thereof, provided that in the case of a Collateral Debt Obligation paying a fixed rate,
the calculation of such increase in price shall be adjusted for movements in floating
rates since the date of purchase of such Collateral Debt Obligation; or
(e) it is so designated by the Investment Manager,
provided however that, (unless the holders of the Controlling Class of Notes have agreed by
way of Ordinary Resolution to suspend this proviso), if:
(i) the ratings by Moody’s of any of the Class A Notes or Class B Notes have been
reduced by Moody’s by at least one sub-category from the Initial Ratings or are
withdrawn by Moody’s; or
(ii) the ratings by Moody’s of any of the Class C Notes or Class D Notes have been
reduced by Moody’s by at least two sub-categories from the Initial Ratings or are
withdrawn by Moody’s,
then the Moody’s Ratings of such Collateral Debt Obligation must have been upgraded by at
least one rating sub-category by Moody’s or put on a watch list for possible upgrade since the
date of acquisition thereof or have increased in price to 101 per cent. or more of the original
acquisition price thereof provided that in the case of a Collateral Debt Obligation paying a
fixed rate, the calculation of such increase in price shall be adjusted for movements in floating
rates since the date of purchase of such Collateral Debt Obligation.
A Synthetic Security shall constitute a Credit Improved Obligation in the event that the
Reference Obligation to which such Collateral Debt Obligation is linked would constitute a
Credit Improved Obligation if it were itself a Collateral Debt Obligation.
“Current Pay Obligation” means a Collateral Debt Obligation that would otherwise be a
Defaulted Obligation, but as to which:
(a) all prior principal and interest payments due thereon were paid in cash and the
Investment Manager (acting on behalf of the Issuer) reasonably expects that the next
interest payment due will be paid in cash;
(b) the Market Value is at least 80 per cent. of par;
(c) which is rated “Caa2” by Moody’s or above; and
(d) if the Obligor under such Collateral Debt Obligation is subject to bankruptcy
proceedings, a bankruptcy court has authorised the payment of interest due and
payable on such Collateral Debt Obligation,
provided that the Aggregate Principal Balance of all Collateral Debt Obligations which
constitute “Current Pay Obligations” may not exceed 5 per cent. of the Aggregate Collateral
Balance and to the extent that any Collateral Debt Obligations are in excess of such amount
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they shall not constitute Current Pay Obligations but shall constitute Defaulted Obligations,
provided further, that, where any Collateral Debt Obligations are in excess of such amount,
the Investment Manager (acting on behalf of the Issuer), may, in its absolute discretion, select
which Collateral Debt Obligations comprise Current Pay Obligations for the purposes of this
definition.
“Custody Account” means the custody account or accounts (including any cash account
relating to any securities account) established on the books of the Custodian in accordance
with the provisions of the Agency Agreement.
“Defaulted Asset Swap Termination Payment” means any amount payable by the Issuer to
an Asset Swap Counterparty upon termination of an Asset Swap Transaction in respect of
which the Asset Swap Counterparty was the “Defaulting Party” or sole “Affected Party”,
respectively (each such term as defined therein).
“Defaulted Asset Swap Termination Receipt” means any amount payable by an Asset
Swap Counterparty to the Issuer upon termination of an Asset Swap Transaction in respect of
which the Asset Swap Counterparty was the “Defaulting Party” or sole “Affected Party”,
respectively (each such term as defined therein).
“Defaulted Deferring Mezzanine Obligation” means a Deferring Mezzanine Obligation
which is a Defaulted Obligation.
“Defaulted Hedge Termination Payment” means any Defaulted Interest Rate Hedge
Termination Payment, Defaulted Asset Swap Termination Payment or Defaulted Portfolio
Currency Hedge Termination Payment, as applicable.
“Defaulted Interest Rate Hedge Termination Payment” means any amount payable by the
Issuer to an Interest Rate Hedge Counterparty upon termination of an Interest Rate Hedge
Transaction in respect of which the Interest Rate Hedge Counterparty was the “Defaulting
Party” or sole “Affected Party”, respectively (each such term as defined therein).
“Defaulted Interest Rate Hedge Termination Receipt” means any amount payable by the
Interest Rate Hedge Counterparty to the Issuer upon termination of an Interest Rate Hedge
Transaction in respect of which the Interest Rate Hedge Counterparty was the “Defaulting
Party” or sole “Affected Party”, respectively (each such term as defined therein).
“Defaulted Mezzanine Excess Amounts” means the lesser of (a) the greater of (i) zero and
(ii) (A) the aggregate of all principal payments (including deferred interest) received in
respect of each Mezzanine Obligation for so long as it is a Defaulted Deferring Mezzanine
Obligation, minus (B) the sum of the principal amount of such Mezzanine Obligation at the
time of default thereof plus any Purchased Accrued Interest relating thereto at the time of
default and (b) all deferred interest paid in respect thereof for so long as it is a Defaulted
Deferring Mezzanine Obligation minus any Purchased Accrued Interest relating thereto.
“Defaulted Obligation” means a Collateral Debt Obligation:
(a) in respect of which there has occurred and is continuing a default with respect to the
payment of interest or principal, (i) disregarding any grace periods applicable thereto
or (ii) in the case of any Collateral Debt Obligation (A) which pays interest not less
than quarterly and (B) in respect of which the Investment Manager has certified to the
Trustee in writing that, to the knowledge of the Investment Manager, such default has
resulted from non-credit related causes, for the lesser of three Business Days and any
grace period applicable thereto, in each case which default entitles the holders
thereof, with notice or passage of time or both, to accelerate the maturity of all or a
portion of the principal amount of such obligation, but only until such default has
been cured;
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(b) in respect of which any bankruptcy, insolvency or receivership proceeding has been
initiated in connection with the issuer of such Collateral Debt Obligation;
(c) in respect of which the Investment Manager knows (based on publicly available
information) the Obligor thereunder is in default as to payment of principal and/or
interest on another obligation, save for obligations constituting trade debts which the
applicable Obligor is disputing in good faith, (and such default has not been cured),
but only if one of the following conditions is satisfied
(i) both such other obligation and the Collateral Debt Obligation are full
recourse, unsecured obligations and the other obligation is senior to, or pari
passu with, the Collateral Debt Obligation in right of payment, or
(ii) if the following conditions are satisfied:
(A) both such other obligation and the Collateral Debt Obligation are full
recourse, secured obligations secured by identical collateral;
(B) the security interest securing the other obligation is senior to or pari
passu with the security interest securing the Collateral Debt
Obligation; and
(C) the other obligation is senior to or pari passu with the Collateral Debt
Obligation in right of payment;
save that a Collateral Debt Obligation shall not constitute a “Defaulted Obligation”
under this paragraph (c) if (1) the Investment Manager (acting on behalf of the Issuer)
has notified each Rating Agency in writing of its decision not to treat the Collateral
Debt Obligation as a Defaulted Obligation, (2) such Collateral Debt Obligation does
not have an S&P Rating of “D” or “SD” and (3) such Collateral Debt Obligation has
a public, shadow or credit estimate rating by Moody’s and such rating is not “Ca” or
“C”;
(d) which has an S&P Rating of “D” or “SD”;
(e) in respect of which a Distressed Exchange has become binding upon the holders of
the Collateral Debt Obligation;
(f) which the Investment Manager, acting on behalf of the Issuer, determines in its
reasonable business judgment should be treated as a Defaulted Obligation;
(g) which would be treated as a Current Pay Obligation except that such Collateral Debt
Obligation would result in the Aggregate Collateral Balance of all Collateral Debt
Obligations which constitute Current Pay Obligations exceeding 5 per cent. of the
Aggregate Collateral Balance.
“Defaulted Portfolio Currency Hedge Termination Payment” means any amount payable
by the Issuer to a Portfolio Currency Hedge Counterparty upon termination of a Portfolio
Currency Hedge Transaction in respect of which the Portfolio Currency Hedge Counterparty
was the “Defaulting Party” or sole “Affected Party”, respectively (each such term as defined
therein).
“Defaulted Portfolio Currency Hedge Termination Receipt” means any amount payable
by a Portfolio Currency Hedge Counterparty to the Issuer upon termination of a Portfolio
Currency Hedge Transaction in respect of which the Portfolio Currency Hedge Counterparty
was the “Defaulting Party” or sole “Affected Party”, respectively (each such term as defined
therein).
“Deferred Interest” has the meaning given thereto in Condition 6(c) (Deferral of Interest).
65

“Deferring Mezzanine Obligation” means a Mezzanine Obligation which by its contractual
terms provides for both (i) the deferral of all or any portion of any cash payment of interest
and (ii) the deferral and capitalisation of interest.
“Definitive Certificate” means a certificate representing one or more Notes in definitive,
fully registered form.
“Delayed Drawdown Obligation” means a Collateral Debt Obligation that (a) requires the
Issuer to make one or more future advances to the Obligor under the Underlying Instruments
relating thereto, (b) specifies a maximum amount that can be borrowed on one or more fixed
borrowing dates, and (c) does not permit the re-borrowing of any amount previously repaid;
but any such Collateral Debt Obligation will be a Delayed Drawdown Obligation only until
all commitments to make advances to the Obligor expire or are terminated or reduced to zero.
“Delayed Drawdown Reserve Account” means each segregated interest-bearing account of
the Issuer with the Account Bank into which amounts equal to the Unfunded Amounts in
respect of Delayed Drawdown Obligations and certain principal payments received in respect
of Delayed Drawdown Obligations, are paid.
“Deliverable Obligation” means an obligation referred to in a Synthetic Security as the
“Deliverable Obligation” which is deliverable upon the occurrence of a “credit event” as
defined therein.
“Determination Date” means the last day of each Due Period, or in the event of any
redemption of the Notes, following the occurrence of an Event of Default, two Business Days
prior to the applicable Redemption Date.
“Directors” means Paul Piper, Philip Keller, Andrew Phillips and Kim Rennie, or such other
person(s) who may be appointed as Director(s) of the Issuer from time to time.
“Discount Obligation” means any Collateral Debt Obligation acquired by, or on behalf of the
Issuer, for a purchase price (excluding accrued interest thereon) in the case of any Collateral
Debt Obligation, any such Collateral Debt Obligation acquired by, or on behalf of, the Issuer
for a purchase price (excluding accrued interest thereon) of less than 85 per cent. of the
principal amount of such Collateral Debt Obligation, provided that such Collateral Debt
Obligation shall cease to be a Discount Obligation where the Market Value thereof for any
period of 30 consecutive Business Days equals or exceeds 90 per cent. of the principal
amount of such Collateral Debt Obligation provided that the Market Value may not be
determined in respect of more than five Business Days during such 30 consecutive Business
Day period pursuant to paragraph (d) of the definition of “Market Value”.
“Disposal Agent” has the meaning given to that term in the Investment Management
Agreement.
“Distressed Exchange” means any distressed exchange or other debt restructuring where the
Obligor of such Collateral Debt Obligation has offered the class of holders of the Collateral
Debt Obligation generally a new obligation or package of obligations which, in the reasonable
judgment of the Investment Manager either (a) amounts to a materially diminished financial
obligation, or (b) has the purpose of helping the Obligor of such Collateral Debt Obligation to
avoid default.
“Distribution” means any payment of principal or interest or any dividend or premium or
other amount (including any proceeds of sale) or asset paid or delivered on or in respect of
any Collateral Debt Obligation, any Collateral Enhancement Obligation, any Eligible
Investment or any Exchanged Equity Security or under or in respect of any Hedge
Transaction, as applicable.
“DKK” means the lawful currency of Denmark.
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“Due Period” means, with respect to any Payment Date, the period commencing on and
including the day following the final day of the calendar month falling prior to the preceding
Payment Date (or on the Issue Date, in the case of the Due Period relating to the first Payment
Date) and ending on and including the final day of the calendar month falling prior to such
Payment Date (or, in the case of the Due Period applicable to the Payment Date which is the
Redemption Date of any Note, ending on the Business Day preceding such Payment Date).
“Effective Date” means the earlier of:
(a) the date designated for such purpose by the Investment Manager by written notice to
the Trustee, the Issuer and the Collateral Administrator pursuant to the Investment
Management Agreement; and
(b) 15 July 2008.
“Effective Date Rating Event” means:
(a) any of (i) the Effective Date Requirements not having been satisfied as at the
Effective Date; or (ii) any of the Initial Ratings of the Rated Notes being downgraded
or withdrawn or (iii) either or both of the Rating Agencies notifying the Investment
Manager on behalf of the Issuer that such Rating Agency intends to reduce or
withdraw any of its Initial Ratings of the Rated Notes, in the case of (ii) and (iii),
upon request for confirmation of the Initial Ratings by the Investment Manager,
acting on behalf of the Issuer, following the Effective Date; and
(b) either the failure by the Investment Manager (acting on behalf of the Issuer) to
present to the Rating Agencies, or Rating Agency Confirmation has not been obtained
for the Rating Confirmation Plan,
provided that any downgrade or withdrawal of any of the Initial Ratings of the Notes which is
not directly related to a request for confirmation thereof or which occurs after confirmation
thereof by the Rating Agencies shall not constitute an Effective Date Rating Event.
“Effective Date Requirements” means each of the Percentage Limitations, the Collateral
Quality Tests and the Coverage Tests being satisfied as at the Effective Date and the Issuer
having entered into binding commitments to acquire Collateral Debt Obligations the
Aggregate Principal Balance of which equals or exceeds the Target Par Amount by such date
(provided that, for the purposes of each such determination, any repayments or prepayments
of any Collateral Debt Obligations subsequent to the date of acquisition thereof that have not
been reinvested in the acquisition of additional Collateral Debt Obligations shall be
disregarded and the Principal Balance of a Collateral Debt Obligation which is a Defaulted
Obligation will be the lower of its S&P Collateral Value and its Moody’s Collateral Value).
“Eligible Country” means each of Austria, Belgium, Bermuda, Canada, Denmark, Finland,
France, Germany, Greece, Ireland, Italy, Liechtenstein, Luxembourg, The Netherlands,
Norway, Portugal, Spain, Sweden, Switzerland, the United States or the United Kingdom
having a foreign currency issuer credit rating, at the time of acquisition of the relevant
Eligible Investment, of at least “AA” by S&P or at least “Aa3” by Moody’s or any other
country for which Rating Agency Confirmation has been obtained.
“Eligibility Criteria” means the Eligibility Criteria specified in the Investment Management
Agreement which the Investment Manager is required to determine in accordance with the
Investment Management Agreement are satisfied in respect of each Collateral Debt
Obligation acquired by the Investment Manager (on behalf of the Issuer) at the time of
entering into a binding commitment to purchase such obligation.
“Eligible Investments” means any investment denominated in the currency of an Eligible
Country and in the same currency as any Account from which funds are invested in Eligible
67

Investments, the ownership, enforcement or disposition of which and the nature of which will
not cause the Issuer to be treated as engaged in a trade or business within the United States for
U.S. federal income tax purposes, that is acquired and held in a manner that does not violate
the Investment Restrictions set forth in the Investment Management Agreement and that, in
the event that it is an obligation of a company incorporated in, or a sovereign issuer of, the
United States, is in registered form at the time it is acquired, and is one or more of the
following obligations or securities, including, without limitation, any Eligible Investments for
which the Custodian, the Trustee or the Investment Manager or an Affiliate of any of them
provides services:
(a) direct obligations of, and obligations the timely payment of principal of and interest
under which is fully and expressly guaranteed by, an Eligible Country or any agency
or instrumentality of an Eligible Country, the obligations of which are fully and
expressly guaranteed by an Eligible Country;
(b) demand and time deposits in, certificates of deposit of and bankers’ acceptances
issued by any depository institution (including the Account Bank) or trust company
incorporated under the laws of an Eligible Country with, in each case, a maturity of
no more than 180 days and subject to supervision and examination by governmental
banking authorities so long as the commercial paper and/or the debt obligations of
such depository institution or trust company (or, in the case of the principal
depository institution in a holding company system, the commercial paper or debt
obligations of such holding company) at the time of such investment or contractual
commitment providing for such investment have:
(i) a long-term senior unsecured debt credit rating of at least:
(A) “AA” from S&P; and
(B) “Aa2” from Moody’s,
in each case, for so long as there are Rated Notes which are Outstanding
which are rated by such Rating Agency (together, the “Eligible Investments
Minimum Long-Term Rating”); or
(ii) a short-term debt credit rating of:
(A) “A-1+” from S&P; and
(B) “P-1” from Moody’s,
in each case, for so long as there are Rated Notes which are Outstanding
which are rated by such Rating Agency (together, the “Eligible Investments
Minimum Short-Term Rating”);
(c) subject to receipt of Rating Agency Confirmation related thereto, unleveraged
repurchase obligations with respect to:
(i) any obligation described in paragraph (a) above; or
(ii) any other security issued or guaranteed by an agency or instrumentality of an
Eligible Country, in either case entered into with a depository institution or
trust company (acting as principal) described in paragraph (b) above or
entered into with a corporation (acting as principal) whose long-term debt
obligations are rated not less than the Eligible Investments Minimum
Long-Term Rating or whose short-term debt obligations are rated not less
than the Eligible Investments Minimum Short-Term Rating at the time of
such investment provided that, if such security has a maturity of longer than
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91 days, the issuer thereof must also have, at the time of such investment, a
long-term credit rating of not less than the Eligible Investments Minimum
Long-Term Rating;
(d) securities bearing interest or sold at a discount to the face amount thereof issued by
any corporation incorporated under the laws of an Eligible Country that have a credit
rating of not less than the Eligible Investments Minimum Long-Term Rating at the
time of such investment or contractual commitment providing for such investment;
(e) commercial paper or other short-term obligations having, at the time of such
investment, a credit rating of not less than the Eligible Investments Minimum
Short-Term Rating and that either are bearing interest or are sold at a discount to the
face amount thereof and have a maturity of not more than 183 days from their date of
issuance; provided, that if such security has a maturity of longer than 91 days, the
issuer thereof must also have, at the time of such investment, a long-term credit rating
of not less than the Eligible Investments Minimum Long-Term Rating;
(f) off-shore funds investing in the money markets rated, at all times, “AAAm” or
“AAAm-G” by S&P and “Aaa” and “MR1+” by Moody’s; and
(g) any other investment similar to those described in paragraphs (a) to (f) (inclusive)
above:
(i) in respect of which Rating Agency Confirmation has been received as to its
inclusion in the Portfolio as an Eligible Investment; and
(ii) which has, in the case of an investment with a maturity of longer than 91
days, a long-term credit rating not less than the Eligible Investments
Minimum Long-Term Rating or, in the case of an investment with a maturity
of 91 days or less, a short-term credit rating of not less than the Eligible
Investments Minimum Short-Term Rating,
and, in each case, such instrument or investment provides for payment of a pre-determined
fixed amount of principal on maturity that is not subject to change and either (A) has a Stated
Maturity (giving effect to any applicable grace period) no later than the second Business Day
immediately preceding the next following Payment Date or (B) may (and in the case of any
Synthetic Collateral and any Eligible Investment purchased with amounts from the balances
standing to the credit of any Asset Swap Account, Delayed Drawdown Reserve Account,
Hedge Termination Account, Synthetic Collateral Account or Counterparty Downgrade
Collateral Account, must) be capable of being liquidated on demand at par without penalty,
provided, however, that Eligible Investments shall not include any mortgage-backed security,
interest-only security, security subject to withholding or similar taxes, security rated with an
“r” or “t” subscript by S&P, security purchased at a price in excess of 100 per cent. of par,
security whose repayment is subject to substantial non credit-related risk (as determined by
the Investment Manager in its discretion).
“Eligible Noteholder Collateral” means collateral in the form of Eligible Investments
credited to the Class A-2 Noteholder Collateral Account pursuant to the terms of the
Class A-2 Note Purchase Agreement.
“Enforcement Action” has the meaning given thereto in Condition 11(b) (Enforcement).
“Enforcement Notice” has the meaning given thereto in Condition 11(b) (Enforcement).
“ERISA” means U.S. Employee Retirement Income Security Act of 1974, as amended.
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“EUR”, “Euro” and “€” means the currency introduced at the start of the third stage of
European economic and monetary union pursuant to the Treaty establishing the European
Community, as amended from time to time.
“EURIBOR” means the rate determined in accordance with Condition 6(e)(i) (Rate of
Interest) as applicable.
“Euro Amount Outstanding” means, in relation to the Class A-2 Notes and at any time, the
aggregate principal amount outstanding under such Class of Notes which is denominated in
Euro taking into account all increases and reductions in such amount in accordance with
Condition 18 (Class A-2 Notes) as a result of any Class A-2 Advance or Class A-2
Repayment and further taking into account all amounts specified as being applied in
redemption of the Euro Amount Outstanding of the Class A-2 Notes pursuant to the
Conditions.
“Euroclear Pledge Agreement” means any pledge agreement governed by Belgian law
between the Issuer and the Trustee in respect of Collateral Debt Obligations, Collateral
Enhancement Obligations, Eligible Investments and Exchanged Equity Securities held in
Euroclear.
“Euro Interest Account” means the account of that name in the name of the Issuer with the
Account Bank or any further or other account so named or redesignated account into which
the Issuer will procure amounts are deposited in accordance with Condition 3(j) (Payments to
and from the Accounts).
“Euro Interest Proceeds” means all amounts paid or payable into the Euro Interest Account
from time to time and, with respect to any Payment Date, means any amounts received or
receivable by or on behalf of the Issuer during the related Due Period which are paid or
payable into the Euro Interest Account to be disbursed pursuant to the Interest Priority of
Payments on such Payment Date, together with any other amounts to be disbursed out of the
Payment Account as Interest Proceeds on such Payment Date pursuant to Condition 3(i)
(Accounts).
“Euro Principal Account” means the account of that name in the name of the Issuer with the
Account Bank or any further or other account so named or redesignated account into which
the Issuer will procure amounts are deposited.
“Euro Principal Proceeds” means all amounts paid or payable into the Euro Principal
Account from time to time and, with respect to any Payment Date, means all amounts
received or receivable by or on behalf of the Issuer during the related Due Period which are
paid or payable into the Euro Principal Account together with and any other amounts to be
disbursed out of the Payment Account as Euro Principal Proceeds on such Payment Date
pursuant to Condition 3(c)(ii) (Principal Priority of Payments).
“Euroclear” means Euroclear Bank S.A./N.V.
“Euro-zone” means the region comprised of Member States of the European Union that have
adopted the single currency in accordance with the Treaty establishing the European
Community, as amended.
“Event of Default” has the meaning given thereto in Condition 10 (Events of Default).
“Exchanged Equity Security” is an equity security which is not a Collateral Enhancement
Obligation and which is delivered to the Issuer upon acceptance of an Offer in respect of a
Defaulted Obligation or received by the Issuer as a result of a restructuring of the terms in
effect as of the later of the Issue Date and the date of issuance of the relevant Collateral Debt
Obligation.
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“Expected Net Proceeds” means the expected net proceeds resulting from any such proposed
(i) entry into a binding agreement with a financial institution or fund or (ii) liquidation of the
Portfolio shall be the sum of:
(A) in respect of each Collateral Debt Obligation in the Portfolio, one of the following:
(1) in the case of entry into a binding agreement with a financial institution or
fund, the purchase price payable in respect thereof; or
(2) otherwise, the percentage of the Certified Market Value thereof set out in the
applicable column of the table below based upon the period of time between
the certification of such Expected Net Proceeds and the expected date of sale
of such Collateral Debt Obligation
in each case, converted, where applicable, into Euro at the Applicable Exchange Rate;
(B) the sum of the Balances of the Accounts (to the extent not payable to any entity other
than the Issuer); and
(C) amounts receivable under any Hedge Transaction prior to the Redemption Date.
For purposes of this determination, the “Certified Market Value” of the Collateral
Debt Obligations shall be the Investment Manager estimate thereof (expressed as a
Euro amount (having been converted, where applicable, into Euro at the Applicable
Exchange Rate)) based upon its reasonable commercial judgment.
Collateral Type
Mezzanine Obligations (other than loans with Market
Value of less than 90% of the Principal Balance)
Mezzanine Obligations with a Market Value of less
than 90% of their Principal Balance
71
Number of Business Days between Certification
and Expected Sale
0 to 2 3 to 5 6 to 15
93% 92% 88%
80% 73% 60%
“Extraordinary Resolution” means an Extraordinary Resolution as described in
Condition 14 (Meetings of Noteholders, Modification, Waiver and Substitution) and as further
described in, and as defined in, the Trust Deed.
“Fixed Rate Collateral Debt Obligations” means the Collateral Debt Obligations which
bear interest at a fixed rate.
“Floating Rate Collateral Debt Obligations” means the Collateral Debt Obligations which
bear interest at a floating rate.
“Floating Rate of Interest” has the meaning given thereto in Condition 6(e)(i) (Rate of
Interest).
“Form-Approved Asset Swap” means an Asset Swap Transaction the documentation for and
structure of which conforms (save for the amount and timing of periodic payments, the name
of the Reference Obligation and Reference Entity, the notional amount, the effective date, the
termination date and other consequential and immaterial changes) to a form that has received
Rating Agency Confirmation.
“Form-Approved Synthetic Security” means a Synthetic Security the documentation for
and structure of which conforms (save for the amount and timing of periodic payments, the
name of the Reference Obligation and Reference Entity, the notional amount, the effective

date, the termination date and other consequential and immaterial changes) to a form that has
received Rating Agency Confirmation.
“Funded Amount” means, with respect to any Delayed Drawdown Obligation at any time,
the aggregate principal amount of advances or other extensions of credit made thereunder by
the Issuer that are outstanding at such time.
“Further Issuer Euro Shares” means the further fully paid up preference shares of €1 each
of the Issuer issued from time to time.
“Further Notes” means such notes issued pursuant to Condition 17 (Additional Issuances)
which have the same terms and conditions as an existing Class of Notes.
“GBP”,”£” means the lawful currency of the United Kingdom.
“Hedge Agreement” means any Interest Rate Hedge Agreement, any Asset Swap Agreement
or any Portfolio Currency Hedge Agreement, as applicable.
“Hedge Counterparty” means any Interest Rate Hedge Counterparty, Asset Swap
Counterparty or Portfolio Currency Hedge Counterparty, as applicable.
“Hedge Deferred Amounts” means any premia payable to a Hedge Counterparty on a
deferred and/or net present value basis in respect of any Hedge Transactions.
“Hedge Replacement Payment” means any Interest Rate Hedge Replacement Payment,
Asset Swap Replacement Payment or Portfolio Currency Hedge Replacement Payment, as
applicable.
“Hedge Replacement Receipt” means any Interest Rate Hedge Replacement Receipt, Asset
Swap Replacement Receipt or Portfolio Currency Hedge Replacement Receipt, as applicable.
“Hedge Termination Account” means the interest bearing account of the Issuer with the
Account Bank into which Hedge Termination Receipts and Hedge Replacement Receipts
shall be paid.
“Hedge Termination Payment” means any Interest Rate Hedge Termination Payment, Asset
Swap Termination Payment or Portfolio Currency Hedge Termination Payment, as
applicable.
“Hedge Termination Receipt” means any Interest Rate Hedge Termination Receipt, Asset
Swap Termination Receipt or Portfolio Currency Hedge Termination Receipt, as applicable.
“Hedge Transaction” means any Interest Rate Hedge Transaction, Asset Swap Transaction
or Portfolio Currency Hedge Transaction, as applicable.
“Hedging Reserve Account” means the interest bearing account of the Issuer with the
Account Bank into which certain payments shall be made pursuant to Condition 3.
“HKD” means the lawful currency of the Hong Kong Special Administrative Region of the
People’s Republic of China.
“Incentive Fee Threshold” means the threshold which will have been reached on the
relevant Payment Date if the Original Euro Issuer Shares have received an internal rate of
return (computed using the “XIRR” function in Microsoft Excel 97 or an equivalent function
in another software package) of at least 12 per cent. (calculated on an annualised basis and on
the basis of the actual number of days divided by 365) on the initial principal amount of the
Original Euro Issuer Shares from the Issue Date to the relevant Payment Date.
“Incentive Investment Management Fee” means, an amount which is payable in arrear on
each Payment Date, pursuant to the Investment Management Agreement in an amount, as
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determined by the Collateral Administrator, equal to the amounts specified in the Interest
Proceeds Priority of Payments and the Principal Proceeds Priority of Payments provided that
such amount will only be payable to the Investment Manager if the Incentive Collateral
Management Fee Threshold has been reached.
“Initial Purchaser” means The Royal Bank of Scotland.
“Initial Ratings” means in respect of any Class of Notes and any Rating Agency, the ratings
assigned to such Class of Notes by such Rating Agency as at the Issue Date.
“Interest Accounts” means the Euro Interest Account and the Class A-2 Currency Interest
Account.
“Interest Amount” has the meaning given thereto in Condition 6(e) (Floating Rate of
Interest).
“Interest Coverage Numerator” means, on any Measurement Date, the sum of:
(a) scheduled interest payments on the Collateral Debt Obligations (excluding any
Non-Euro Obligation which is the subject of any Asset Swap Transactions) due (and
not yet paid) in the Due Period in which such Measurement Date occurs other than:
(i) accrued and unpaid interest on any Defaulted Obligations;
(ii) any amounts expected to be withheld at source or otherwise deducted in
respect of taxes and not the subject of a gross-up obligation;
(iii) any scheduled interest payments in respect of any Collateral Debt Obligation
which the Investment Manager believes, in its commercially reasonable
judgment, will not be made in cash during the applicable Due Period;
(iv) any interest in respect of a PIK Obligation, a PIYC Obligation or a Deferring
Mezzanine Obligation that has been deferred and capitalised or any other
amounts, to the extent that such amounts if not paid, will not give rise to a
default under the relevant Collateral Debt Obligation; and
(v) Purchased Accrued Interest;
converted into Euro to the extent necessary at the Spot Rate of Exchange.
(b) the sum of the Balances standing to the credit of the Euro Interest Account and the
Class A-2 Currency Interest Account (with any such non-Euro amount to be
converted into Euro at the Spot Rate of Exchange) on such Measurement Date;
(c) scheduled interest on the Balances standing to the credit of the Euro Principal
Account, the Euro Interest Account, the Unused Proceeds Account, the Hedging
Reserve Account, each Asset Swap Account, the Class A-2 Currency Interest
Account and the Class A-2 Currency Principal Account (where applicable, converted
into Euro at the Spot Rate of Exchange), and each Delayed Drawdown Reserve
Account (including any portion of principal payments on any Eligible Investment
purchased at a discount which represent interest, as determined by the Investment
Manager in accordance with the Investment Management Agreement) to be received
in the Due Period in which such Measurement Date occurs;
(d) (i) any Scheduled Periodic Interest Rate Hedge Counterparty Payments under
any Interest Rate Hedge Transactions payable on or before the following
Payment Date;
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(ii) any Scheduled Periodic Asset Swap Counterparty Payments under any Asset
Swap Transactions payable on or before the following Payment Date;
(e) Accrued Collateral Debt Obligation Interest, other than:
(i) accrued and unpaid interest on any Defaulted Obligations;
(ii) any amounts expected to be withheld at source or otherwise deducted in
respect of taxes and not the subject of a gross-up obligation;
(iii) any scheduled interest payments in respect of any Collateral Debt Obligation
which the Investment Manager believes, in its commercially reasonable
judgment, will not be made in cash during the applicable Due Period;
(iv) any interest in respect of a PIK Obligation, a PIYC Obligation or a Deferring
Mezzanine Obligation that has been deferred and capitalised or any other
amounts, to the extent that such amounts if not paid, will not give rise to a
default under the relevant Collateral Debt Obligation; and
(v) Purchased Accrued Interest;
minus the sum for the related Due Period of amounts payable pursuant to paragraphs (A) to
(H) (inclusive) of Condition 3(c)(i) (Interest Priority of Payments) and converted into Euro to
the extent necessary at the Spot Rate of Exchange.
“Interest Coverage Ratio” means the Class A/B Interest Coverage Ratio, the Class C
Interest Coverage Ratio and the Class D Interest Coverage Ratio, as applicable.
“Interest Coverage Test” means each of the Class A/B Interest Coverage Test, the Class C
Interest Coverage Test and the Class D Interest Coverage Test.
“Interest Determination Date” means the second Business Day prior to each Interest Period
and, in respect of a Class A-2 Advance, the second Business Date prior to each Class A-2
Advance Date.
“Interest Period” means, in respect of each Class of Notes (other than the Class A-2 Notes),
the period from and including the Issue Date to, but excluding, the first Payment Date and
each successive period from and including each Payment Date to, but excluding, the
following Payment Date and, in respect of the Class A-2 Notes, each Class A-2 Interest
Period.
“Interest Proceeds” means the Euro Interest Proceeds and the Class A-2 Currency Interest
Proceeds, as applicable.
“Interest Priority of Payments” means the priority of payments in respect of Interest
Proceeds set out in Condition 3(c)(i) (Interest Priority of Payments).
“Interest Rate Hedge Counterparty” means each financial institution with which the Issuer
enters into an Interest Rate Hedge Transaction or any permitted assignee or successor thereto
under the terms of the related Interest Rate Hedge Transaction and in each case which
satisfies the applicable Rating Requirement (taking into account any guarantor thereof).
“Interest Rate Hedge Replacement Payment” means any amount payable by the Issuer to
an Interest Rate Hedge Counterparty upon entry into a Replacement Interest Rate Hedge
Transaction which is replacing an Interest Rate Hedge Transaction which was terminated in
whole.
“Interest Rate Hedge Replacement Receipt” means any amount payable to the Issuer by an
Interest Rate Hedge Counterparty upon entry into a Replacement Interest Rate Hedge
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Transaction which is replacing an Interest Rate Hedge Transaction which was terminated in
whole.
“Interest Rate Hedge Termination Payment” means the amount payable to an Interest Rate
Hedge Counterparty by the Issuer upon termination or modification of an Interest Rate Hedge
Transaction and including any due and unpaid scheduled amounts payable thereunder.
“Interest Rate Hedge Termination Receipt” means the amount payable by an Interest Rate
Hedge Counterparty to the Issuer upon termination or modification of an Interest Rate Hedge
Transaction including any Defaulted Interest Rate Hedge Termination Receipt.
“Interest Rate Hedge Transaction” means each 1992 or 2002 ISDA Master Agreement
(Multicurrency-Cross Border) (or such other ISDA pro forma Master Agreement as may be
published by ISDA from time to time), together with the schedule relating thereto, the
applicable confirmation including any guarantee thereof and any credit support annex entered
into pursuant to the terms thereof, and each as amended or supplemented from time to time
(an “Interest Rate Hedge Agreement”) entered into by the Issuer with an Interest Rate
Hedge Counterparty, which may be an interest rate swap transaction or an interest rate cap
transaction, including any Replacement Interest Rate Hedge Transaction.
“Interest Spread” means, as at any Measurement Date, in relation to each Floating Rate
Collateral Debt Obligation held by the Issuer as at such Measurement Date, (i) where the
Floating Rate Collateral Debt Obligation is not subject to an Asset Swap Transaction or Asset
Interest Rate Hedge Transaction, the current per annum rate at which the underlying obligor
pays interest in excess of the floating rate index by reference to which such Floating Rate
Collateral Obligation bears interest and (ii) where the Floating Rate Collateral Debt
Obligation is subject to an Asset Swap Transaction or Asset Interest Rate Hedge Transaction,
the related current per annum rate at which the Hedge Counterparty pays in excess of
EURIBOR or the relevant floating rate index.
“Investment Company Act” means the United States Investment Company Act of 1940, as
amended.
“Investment Management Fees” means the Senior Investment Management Fee, the
Subordinated Investment Management Fee and the Incentive Investment Management Fee.
“Investment Manager Advance” means any amount which may be advanced by the
Investment Manager to the Issuer pursuant to the Investment Management Agreement on the
terms set out therein for the purpose of acquiring or exercising rights under any Collateral
Enhancement Obligation.
“Irish Stock Exchange” means the Irish Stock Exchange Limited, or such other stock
exchange or exchanges upon which any of the Notes are listed from time to time.
“Issue Date” means 5 July 2007 (or such other date as may shortly follow such date as may
be agreed between the Issuer and the Initial Purchaser and is notified to the Noteholders in
accordance with Condition 16 (Notices) and the Irish Stock Exchange).
“Issuer Euro Shares” means the Original Issuer Euro Shares and the Further Issuer Euro
Shares.
“Issuer Shares” means the Issuer Sterling Shares and the Issuer Euro Shares.
“Issuer Sterling Shares” means the 50,000 ordinary shares of £1 each of the Issuer, each of
which are one quarter paid up, issued on or prior to the Issue Date.
“LIBOR” means the relevant rate determined in accordance with Condition 6(e)(i) (Rate of
Interest) as applicable.
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“Liquidity Account Period” means the period beginning on the date on which amounts are
first paid into the Standby Liquidity Account and ending on the Liquidity Repayment Date.
“Liquidity Repayment Date” means the earlier to occur of (a) the existing Liquidity Facility
Provider’s rating is restored to the applicable Rating Requirement or (b) the Issuer cancels the
Liquidity Facility Agreement or (c) the Liquidity Facility Agreement is terminated in
accordance with its terms or (d) subject to the approval of the Trustee, the Issuer or the
existing Liquidity Facility Provider procures the replacement of the existing Liquidity Facility
Provider with a Liquidity Facility Provider who satisfies the applicable Rating Requirement
and enters into an agreement with the Issuer substantially on the same terms as the Liquidity
Facility Agreement.
“Long Dated Obligation” means any Collateral Debt Obligation with a maturity later than
the Stated Maturity of the Notes; provided that, if a Collateral Debt Obligation has
Distributions that would constitute Principal Proceeds that are scheduled to occur both before
and after the Stated Maturity of the Notes, such Collateral Debt Obligation shall, for the
purpose of determining the Par Coverage Amount, be treated as two securities consisting of a
security in respect of which Principal Proceeds and other amounts are scheduled to be paid on
or before the Stated Maturity and a security in respect of which Principal Proceeds and other
amounts are scheduled to be paid after the Stated Maturity and only such Distribution
scheduled to occur on such Collateral Debt Obligation after the Stated Maturity of the Notes
will constitute a Long-Dated Obligation.
“Mandatory Costs” means the percentage rate per annum calculated by the Calculation
Agent in accordance with the Class A-2 Note Purchase Agreement.
“Market Value” means, on any date of determination:
(a) the lower of the bid side prices determined by two independent broker-dealers active
in the trading of one or more Collateral Debt Obligations; or
(b) the average of the bid side prices determined by three such broker-dealers; or
(c) if the determinations of such broker-dealers in accordance with paragraphs (a) and (b)
above are not available, then a bid price from one independent broker or the bid price
determined by an independent pricing service; or
(d) if such bid prices are not available, then the fair market value thereof determined by
the Investment Manager (acting on behalf of the Issuer) on a best efforts basis in a
manner consistent with reasonable and customary market practice,
in each case, as notified to the Collateral Administrator on the date of determination thereof,
and where applicable, converted into Euro at the Applicable Exchange Rate.
“Maturity Date” means the Payment Date falling on 15 July 2024.
“Measurement Date” means:
(a) the Effective Date;
(b) for the purposes of determining satisfaction of the Reinvestment Criteria after the
Effective Date, first, immediately prior to receipt of any Principal Proceeds, which
are to be reinvested in Substitute Collateral Debt Obligations and secondly, following
receipt thereof but taking into account the proposed reinvestment thereof in Substitute
Collateral Debt Obligations;
(c) the date of acquisition of any additional Collateral Debt Obligation following the
Effective Date;
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(d) each Determination Date;
(e) the last calendar day in each month (including for the avoidance of doubt any such
day if not a Business Day); and
(f) with reasonable (and not less than two Business Days’) notice, any Business Day
requested by any Rating Agency.
“Mezzanine Obligation” means: (a) a second secured mezzanine loan obligation, second
lien loan or other comparable debt obligation, including any such loan obligation with
attached warrants or other options to acquire a share or other equity interest and whether cash
pay or non cash pay and any such obligation which is evidenced by an issue of notes or
similar instruments, as determined by the Investment Manager in its reasonable business
judgment, or a Participation therein; or (b) a Synthetic Security, the Reference Obligation
applicable to which is an obligation of the type described in (a) above.
“Minimum Denomination” means:
(a) in the case of the Regulation S Notes of each Class, €100,000; and
(b) in the case of the Rule 144A Notes of each Class, €250,000.
“Modified Following Business Day Convention” means the convention for adjusting any
relevant date if it would otherwise fall on a day that is not a Business Day, which provides
that the relevant date shall be the following day that is a Business Day unless that day falls in
the next calendar month, in which case that date will be the first preceding day that is a
Business Day.
“Monthly Report” means any monthly report defined as such in the Collateral
Administration Agreement which is prepared by the Collateral Administrator (in consultation
with the Investment Manager) on behalf of the Issuer on such dates as are set out in the
Collateral Administration Agreement, is deliverable to the Issuer, the Trustee, the Investment
Manager and the Rating Agencies and, upon request therefor in accordance with
Condition 4(f) (Information Regarding the Collateral), to any Noteholder and which shall
include information regarding the status of certain of the Collateral pursuant to the Collateral
Administration Agreement.
“Moody’s” means Moody’s Investors Service Inc. and any successor to its rating business.
“Moody’s Collateral Value” means, in the case of any applicable Collateral Debt Obligation
or Eligible Investment, the lower of:
(a) its prevailing Market Value; and
(b) the relevant Moody’s Recovery Rate multiplied by its Principal Balance,
provided that if the Market Value cannot be determined for any reason, the Moody’s
Collateral Value shall be determined in accordance with paragraph (b) above.
“Moody’s Rating” has the meaning given thereto in the Investment Management Agreement.
“Moody’s Rating Factor” has the meaning given thereto in the Investment Management
Agreement.
“Moody’s Recovery Rate” means, in respect of each Collateral Debt Obligation, the
recovery rate determined in accordance with the Investment Management Agreement or as so
advised by Moody’s.
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“Multi-Currency Exchange Rate” means the exchange rate:
(i) in respect of EUR/GBP, is 1.478 EUR to 1 GBP;
(ii) in respect of EUR/USD, is 0.735 EUR to 1 USD; and
(iii) in respect of other Class A-2 Currencies, the exchange rate specified in the Class A-2
Note Purchase Agreement.
“NOK” means the lawful currency of Norway.
“Non Call Period” means the period from and including, the Issue Date, up to, but excluding,
the Payment Date falling on 15 July 2010 or if such day is not a Business Day, as adjusted in
accordance with the Modified Following Business Day Convention.
“Non-Euro Currency” means GBP, USD, SEK, NOK, DKK, CHF, AUD, NZD, SGD,
HKD, YEN or any other currency (other than Euro) in respect of which Rating Agency
Confirmation has been obtained.
“Non-Euro Obligation” means any Collateral Debt Obligation which is denominated in a
Non-Euro Currency.
“Note Payment Sequence” means the application of Interest Proceeds in accordance with the
Interest Priority of Payments or the application of Principal Proceeds in accordance with the
Principal Priority of Payments, as applicable, in the following order:
(a) to the redemption of the Class B Notes (on a pro rata basis) at the applicable
Redemption Price in whole or in part until the Class B Notes have been fully
redeemed;
(b) to the redemption of the Class C Notes (on a pro rata basis) at the applicable
Redemption Price in whole or in part until the Class C Notes have been fully
redeemed;
(c) to the redemption of the Class D Notes (on a pro rata basis) at the applicable
Redemption Price in whole or in part until the Class D Notes have been fully
redeemed,
provided that, for the purposes of any redemption of the Notes in accordance with the Note
Payment Sequence following any breach of Coverage Tests, the Note Payment Sequence shall
terminate immediately after the paragraph above that refers to the Class of Notes to which
such Coverage Test relates.
“Note Tax Event” means, at any time, the introduction of a new, or any change in, home
jurisdiction or foreign tax statute, treaty, regulation, rule, ruling, practice, procedure or
judicial decision or interpretation (whether proposed, temporary or final) which results in (or
would on the next Payment Date result in) any payment on the Notes of any Class becoming
properly subject to any withholding tax or deduction on account of tax.
“Note Valuation Report” means the report defined as such in the Collateral Administration
Agreement which is prepared by the Collateral Administrator (in consultation with the
Investment Manager) on behalf of the Issuer and deliverable to the Issuer, the Trustee, the
Investment Manager, the Initial Purchaser, any holder of a beneficial interest in any Note
(upon written request of such holder) and each Rating Agency not later than the second
Business Day preceding the related Payment Date.
“Noteholders” means the persons in whose name the Notes are registered from time to time.
“NZD” means the lawful currency of New Zealand.
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“Obligor” means, in respect of a Collateral Debt Obligation, the borrower thereunder or
issuer thereof or, in either case, the guarantor thereof (as determined by the Investment
Manager on behalf of the Issuer), including, where the context requires, the Reference Entity
under any Synthetic Security.
“Offer” means with respect to any Collateral Debt Obligation (a) any offer by the Obligor
under such obligation or by any other Person made to all of the creditors of such Obligor in
relation to such obligation to purchase or otherwise acquire such obligation (other than
pursuant to any redemption in accordance with the terms of the related Underlying
Instrument) or to convert or exchange such obligation into or for cash, securities or any other
type of consideration or (b) any solicitation by the Obligor in respect of such obligation or
any other Person to amend, modify or waive any provision of such obligation or any related
Underlying Instrument.
“Ordinary Resolution” means an Ordinary Resolution as described in Condition 14
(Meetings of Noteholders, Modification, Waiver and Substitution) and as further described in,
and as defined in, the Trust Deed.
“Original Issuer Euro Shares” means, the 130,000,000 fully paid up preference shares of €1
each of the Issuer issued on 5 July 2007.
“Original Issuer Shares” means the Issuer Sterling Shares and the Original Issuer Euro
Shares.
“Outstanding” means in relation to the Notes of a Class as of any date of determination, all
of the Notes of such Class issued, as further defined in the Trust Deed.
“Par Coverage Amount” means the aggregate of:
(a) the Aggregate Principal Balance of the Collateral Debt Obligations other than
Defaulted Obligations;
(b) in the case of Defaulted Obligations referred to in paragraph (a) above, the product of
(i) the principal amount of each such Defaulted Obligation (where applicable,
converted into Euro at the Multi-Currency Exchange Rate) and (ii) the lower of the
S&P Collateral Value or the Moody’s Collateral Value; and
(c) the Balance of all amounts standing to the credit of the Euro Principal Account,
Unused Proceeds Account and the Class A-2 Currency Principal Account (with any
such non-Euro amount to be converted into Euro at the Spot Rate of Exchange) and
Undrawn and Uncommitted Amounts in respect of the Class A-2 Notes;
minus the sum of:
(d) an amount equal to the product of:
(i) the excess, if any, of (A) the Aggregate Principal Balance of the CCC
Obligations (where applicable, converted into Euro at the Applicable
Exchange Rate) as of such date over (B) 7.5 per cent. of the Aggregate
Collateral Balance; and
(ii) one minus the weighted average of the CCC Market Values (each expressed
as a percentage of the principal amount of the applicable CCC Obligation) of
the CCC Obligations the Aggregate Principal Balance of which is in excess
of 7.5 per cent. of the Aggregate Collateral Balance, provided that, for the
purpose of selecting which CCC Obligations to include in such weighted
average calculation, such CCC Obligations will be those having the lowest
CCC Market Value; and
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(e) an amount equal to the product of:
(i) the Aggregate Principal Balance of all Discount Obligations (where
applicable, converted into Euro at the Applicable Exchange Rate) as of such
date; and
(ii) one minus the weighted average of the purchase prices (as a percentage of the
principal amount of the Discount Obligations and excluding accrued interest
thereon) paid by, or on behalf of, the Issuer for such Discount Obligations,
(f) an amount equal to the product of:
(i) the Aggregate Principal Balance of all Long Dated Obligations (where
applicable, converted into Euro at the Applicable Exchange Rate) as of such
date; and
(ii) one minus the weighted average of the lower of the Moody’s Recovery Rate
and the S&P Recovery Rate (as a percentage of the principal amount of the
Long Dated Obligations and excluding accrued interest thereon) for such
Long Dated Obligations,
provided that, in the event that any Collateral Debt Obligation is a Discount Obligation or a
Long Dated Obligation and falls within the CCC Obligations, such Collateral Debt Obligation
shall be included in whichever of paragraphs (a) to (f) above would result in the lowest Par
Coverage Amount.
“Par Value Ratio” means the Class A/B Par Value Ratio, the Class C Par Value Ratio or the
Class D Par Value Ratio, as applicable.
“Par Value Test” means the Class A/B Par Value Test, the Class C Par Value Test or the
Class D Par Value Test, as applicable.
“Participation” means an interest in a Mezzanine Obligation acquired indirectly by the Issuer
(by way of a Sub-Participation Agreement) from a Selling Institution which shall include, for
the purposes of the Bivariate Risk Table (as defined in the Investment Management
Agreement) only, arrangements whereby the Issuer as a “funding bank” enters into a
sub-participation or credit default swap or other hedging arrangement which has the same
commercial effect with and provides credit support by way of guarantee and/or cash deposit
to a “fronting bank”.
“Payment Account” means the account, segregated into Euro and Class A-2 Currency
sub-accounts, in the name of the Issuer held with the Account Bank to which amounts shall be
transferred by the Account Bank on the instructions of the Collateral Administrator on the
second Business Day prior to each Payment Date out of certain of the other Accounts and out
of which the amounts required to be paid on each Payment Date pursuant to the Priorities of
Payments shall be paid.
“Payment Date” means 15 January and 15 July in each year, commencing 15 January 2008,
until and including the Maturity Date and, to the extent not a Business Day, adjusted in
accordance with the Modified Following Business Day Convention.
“Percentage Limitations” means those limitations specified as such in the Investment
Management Agreement.
“Person” or “person” means an individual, corporation, partnership, joint venture,
association, joint stock company, trust (including any beneficiary thereof), unincorporated
association or government or any agency or political subdivision thereof.
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“PIK Fixed Obligation” means a Collateral Debt Obligation that bears interest by reference
to a fixed rate of interest and in respect of which the interest amount thereunder is payable on
a deferred basis.
“PIK Floater Obligation” means a Collateral Debt Obligation that bears interest by
reference to a floating rate index plus Interest Spread and in respect of which the interest
amount thereunder is payable on a deferred basis.
“PIK Obligations” means an obligation that pursuant to its terms may defer all cash
payments of interest due thereon, including, without limitation, by the issuance of additional
debt obligations identical thereto or through additions to the principal amount thereof and
“PIK Obligation” means any of the PIK Fixed Obligations and PIK Floater Obligations.
“PIYC Fixed Obligation” means a Collateral Debt Obligation that bears interest by reference
to a fixed rate of interest and in respect of which the interest amount thereunder is payable on
a periodic basis on each interest payment date relating to such Collateral Debt Obligation,
provided that, upon satisfaction of certain pre-conditions in its terms, the interest amount
accrued thereunder becomes payable on a deferred basis.
“PIYC Floater Obligation” means a Collateral Debt Obligation that bears interest by
reference to a floating rate index plus Interest Spread and in respect of which the interest
amount thereunder is payable on a periodic basis on each interest payment date relating to
such Collateral Debt Obligation, provided that, upon satisfaction of certain pre-conditions in
its terms, the interest amount accrued thereunder becomes payable on a deferred basis.
“PIYC Obligations” means the PIYC Fixed Obligations and the PIYC Floater Obligations
and “PIYC Obligation” means any one of them.
“Placement Agreement” means the placement agreement between the Issuer and the Initial
Purchaser dated on or about 5 July 2007.
“Portfolio” means the Collateral Debt Obligations, Collateral Enhancement Obligations,
Exchanged Equity Securities and Eligible Investments held by or on behalf of the Issuer from
time to time.
“Portfolio Currency Hedge Counterparty” means any financial institution which, at the
time it enters into a Portfolio Currency Hedge Transaction or any permitted assignee or
successor thereon under the terms of the related Portfolio Currency Hedge Transaction and in
each case, which satisfies the applicable Rating Requirement (or whose obligations are
guaranteed by a guarantor which satisfies the applicable Rating Requirement).
“Portfolio Currency Hedge Replacement Payment” means any amount payable to a
replacement Portfolio Currency Hedge Counterparty by the Issuer upon entry into a
Replacement Portfolio Currency Hedge Transaction which is replacing a Portfolio Currency
Hedge Transaction which was terminated.
“Portfolio Currency Hedge Replacement Receipt” means any amount payable to the Issuer
by a replacement Portfolio Currency Hedge Counterparty upon entry into a Replacement
Portfolio Currency Hedge Transaction which is replacing a Portfolio Currency Hedge
Transaction which was terminated.
“Portfolio Currency Hedge Requirements” means the requirements specified as such in the
Investment Management Agreement.
“Portfolio Currency Hedge Termination Payment” means any amount payable to the
Portfolio Currency Hedge Counterparty by the Issuer upon termination or modification of a
Portfolio Currency Hedge Transaction or Portfolio Currency Hedge Agreement excluding any
Defaulted Portfolio Currency Hedge Termination Payment.
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“Portfolio Currency Hedge Termination Receipt” means the amount payable by the
Portfolio Currency Hedge Counterparty to the Issuer upon termination or modification of a
Portfolio Currency Hedge Transaction excluding any due and unpaid scheduled amounts
payable thereunder.
“Portfolio Currency Hedge Transaction” means each currency hedge transaction entered
into by the Issuer in accordance with the Portfolio Currency Hedge Requirements under a
1992 or 2002 ISDA Master Agreement (Multicurrency-Cross-Border) (or such other ISDA
pro forma Master Agreement as may be published by ISDA from time to time), together with
the schedule and confirmations relating thereto including any guarantee thereof and any credit
support annex entered into pursuant to the terms thereof, each as amended or supplemented
from time to time and subject to receipt of Rating Agency Confirmation, a “Portfolio
Currency Hedge Agreement” entered into by the Issuer with a Portfolio Currency Hedge
Counterparty, including any Replacement Portfolio Currency Hedge Transaction.
“Potential Event of Default” means any act or omission or the failure by the Issuer to make,
when and where due, any payment, without regard to any grace period or any conditions
precedent to the commencement of any grace period applicable to any such payment, and
which in each case with the lapse of time would constitute an Event of Default.
“Presentation Date” means a day on which a holder presents, or is entitled to present (as the
case may be), a Note for payment and which (subject to Condition 12 (Prescription)):
(a) is a Business Day; and
(b) is a Business Day in the country in which the account specified by the payee is open.
“Principal Amount Outstanding” means in relation to any Class of Notes and at any time,
the aggregate principal amount outstanding under such Class of Notes at that time which, in
the case of:
(a) the Class A-2 Notes, shall be the sum of (i) the Euro Amount Outstanding thereof and
(ii) the Class A-2 Currency Amount Outstanding thereof converted into EUR, for the
purposes of voting by the Noteholders only, using the Multi-Currency Exchange Rate
and for the purposes of the Coverage Tests using the Spot Rate of Exchange and (iii)
for the purposes of voting by the Noteholders only, the Principal Amount Outstanding
of the Class A-2 Notes shall include the Total Undrawn Amounts; and
(b) the Class C Notes and the Class D Notes shall include that element of the principal
amount outstanding which represents Deferred Interest which has been capitalised
pursuant to Condition 6(c) (Deferral of Interest) save for the purposes of determining
voting rights attributable to any such Note and the applicable quorum at any meeting
of Noteholders pursuant to the provisions of the Trust Deed and Condition 14
(Meetings of Noteholders, Modification, Waiver and Substitution) for which purposes
such amounts shall be excluded.
“Principal Balance” means, as of any date of determination, with respect to any Collateral
Debt Obligation, Eligible Investment or Exchanged Equity Security, the outstanding principal
amount thereof (excluding any interest or Roll-Up Margin capitalised pursuant to the terms of
such instrument except, in the case of Deferring Mezzanine Obligations in respect of which
only capitalised interest or Rolled-Up Margin accrued after the date of acquisition thereof is
excluded, and capitalised interest or Roll-Up Margin accrued prior to such date of acquisition
to the extent purchased with Principal Proceeds is included); provided, however, that:
(a) the Principal Balance of a Collateral Debt Obligation received upon acceptance of an
offer to exchange a Collateral Debt Obligation for such Collateral Debt Obligation
where such offer expressly states that failure to accept such offer may result in a
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default under any applicable Underlying Instrument shall be deemed to be the lesser
of:
(i) a percentage of the outstanding principal amount equal to the S&P Recovery
Rate for such Collateral Debt Obligation based upon its S&P Priority
Category, until such time as Interest Proceeds or Principal Proceeds, as
applicable, are first received when due with respect to such Collateral Debt
Obligation;
(ii) a percentage of the outstanding principal amount equal to the Moody’s
Recovery Rate for such Collateral Debt Obligation, until such time as Interest
Proceeds or Principal Proceeds as applicable, are first received when due with
respect to such Collateral Debt Obligation; and
(iii) a percentage of the outstanding principal amount thereof equal to the Market
Value thereof, until such time as any payment is received by or on behalf of
the Issuer in respect of such Collateral Debt Obligation (provided that this
paragraph (iii) shall not apply if the Market Value cannot be determined for
any reason);
in each case, converted where applicable, at the Applicable Exchange Rate,
(b) the Principal Balance of any Asset Swap Obligation shall be the Euro notional
amount of the Asset Swap Transaction entered into in respect thereof;
(c) the Principal Balance of any Class A-2 Currency Obligation shall be the principal
amount thereof converted at the Applicable Exchange Rate provided that for the
determination of the percentage limitation appearing in the Portfolio Profile Tests and
the Target Par Amount or for the calculation of the Aggregate Collateral Balance
against the Target Par Amount pursuant to Condition 3(j)(i)(Euro Principal Account),
such rate shall be the Multi-Currency Exchange Rate;
(d) the Principal Balance of a Synthetic Security shall be the notional amount specified as
such in the Synthetic Security as reduced from time to time as a result of certain
“credit events” occurring in respect of the Reference Obligations specified therein
converted, where applicable, into EUR at the Applicable Exchange Rate;
(e) the Principal Balance of any Delayed Drawdown Obligation as of any date of
determination, shall be the outstanding principal amount of such Delayed Drawdown
Obligation, plus any undrawn commitments that have not been irrevocably reduced
with respect to such Delayed Drawdown Obligation converted, where applicable, into
Euro at the Applicable Exchange Rate;
(f) the Principal Balance of any Exchanged Equity Security shall be deemed to be zero;
(g) the Principal Balance of any Zero Coupon Security which, by its terms, does not at
any time, pay interest thereon or any Step-Up Coupon Security, during a period for
which no interest is payable, shall exclude any amounts representing accreted interest,
converted, where applicable, into Euro at the Applicable Exchange Rate;
(h) the Principal Balance of any PIK Obligation or PIYC Obligations will include any
amount representing previously deferred or capitalised interest purchased with
Principal Proceeds (but exclude any deferred and capitalised interest accruing after
the purchase of such PIK Obligation or PIYC Obligations) converted, where
applicable, at the Applicable Exchange Rate; and
(i) the Principal Balance of any cash shall be the amount of such cash converted, where
applicable, into Euro at the applicable Spot Rate of Exchange.
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“Principal Priority of Payments” means the priority of payments in respect of Principal
Proceeds set out in Condition 3(c)(ii) (Principal Priority of Payments).
“Principal Proceeds” means the Euro Principal Proceeds and the Class A-2 Currency
Principal Proceeds, as applicable.
“Priorities of Payments” means, in the case of Interest Proceeds, the Interest Priority of
Payments set out in Condition 3(c)(i) (Interest Priority of Payments), in the case of Principal
Proceeds, the Principal Priority of Payments set out in Condition 3(c)(ii) (Principal Priority
of Payments) and, in the case of Collateral Enhancement Obligation Proceeds, the Collateral
Enhancement Obligation Priority of Payments set out in Condition 3(c)(iii) (Collateral
Enhancement Obligation Priority of Payments).
“pro rata” means, when used in respect of any payment of any amount to two or more
persons or of two or more obligations (each “Pro Rated Obligations”) which is to be
allocated between such Pro Rated Obligations “pro rata”, the allocation of the amount
available for payment between such Pro Rated Obligations in proportions equal to the
proportion that each such Pro Rated Obligation represents of the sum of all such Pro Rated
Obligations.
“Pro Rata Share” means, in the case of each Class A-2 Noteholder, the original principal
amount of the Class A-2 Notes held by it divided by the aggregate original amount of
Class A-2 Notes issued, expressed as a percentage.
“Purchased Accrued Interest” means, with respect to any Due Period, all payments of
interest and proceeds of sale received during such Due Period in relation to any Collateral
Debt Obligation, in each case, to the extent that such amounts represent accrued interest in
respect of such Collateral Debt Obligation (including, in respect of a Mezzanine Obligation,
any accrued interest which, as at the time of purchase, had been capitalised and added to the
principal amount of such Mezzanine Obligation in accordance with its terms), which was
purchased at the time of acquisition thereof with Principal Proceeds and/or amounts paid out
of the Unused Proceeds Account and/or the Class A-2 Currency Principal Account, as
applicable.
“Qualifying Country” means (a) each of Australia, Austria, Belgium, Bermuda, Canada,
Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan,
Liechtenstein, Luxembourg, The Netherlands, New Zealand, Norway, Portugal, Singapore,
South Korea, Spain, Sweden, Switzerland, the United States or the United Kingdom, or (b)
any other country having a foreign currency issuer credit rating, at the time of acquisition, of
at least "AA" by S&P or at least "Aa2" by Moody's or (c) any other country for which Rating
Agency Confirmation has been obtained.
“QIB” means a Person who is a qualified institutional buyer as defined in Rule 144A under
the Securities Act.
“QIB/QP” means a Person who is both a QIB and a QP for the purposes of Section 3(c)(7) of
the Investment Company Act.
“QP” or “Qualified Purchaser” means a Person who is a qualified purchaser as defined in
Section 2(a)(51)(A) of the Investment Company Act.
“Ramp-up Period” means the period from, and including, the Issue Date to, but excluding,
the Effective Date.
“Rated Notes” means, so long as any Notes of the relevant Class remains Outstanding, the
Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes.
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“Rating Agencies” means Moody’s and S&P, provided that if at any time Moody’s and/or
S&P cease(s) to provide rating services, any other internationally recognised investment
rating agency or rating agencies selected by the Issuer and satisfactory to the Trustee (a
“Replacement Rating Agency”) and “Rating Agency” means any such rating agency. In the
event that at any time a Rating Agency is replaced by a Replacement Rating Agency,
references to rating categories of the original Rating Agency in these Conditions, the Trust
Deed and the Investment Management Agreement shall be deemed instead to be references to
the equivalent categories of the relevant Replacement Rating Agency as of the most recent
date on which such other Rating Agency published ratings for the type of security in respect
of which such Replacement Rating Agency is used and all references herein to “Rating
Agencies” shall be construed accordingly.
“Rating Agency Confirmation” means, with respect to any specified action or
determination, receipt by the Issuer and the Trustee of written confirmation by each Rating
Agency which has assigned ratings to the Rated Notes that are Outstanding (or, if applicable,
the Rating Agency specified) that such specified action, determination or appointment will
not result in the reduction or withdrawal of any of the ratings currently assigned to the Rated
Notes by such Rating Agency.
“Rating Confirmation Plan” means a plan provided by the Investment Manager (acting on
behalf of the Issuer) to the Rating Agencies setting forth the timing and manner of acquisition
of additional Collateral Debt Obligations and/or any other intended action which will cause
confirmation of the Initial Ratings, as further described and as defined in the Investment
Management Agreement.
“Rating Requirement” means:
(a) in the case of the Account Bank, a short-term issuer credit rating of “A-1+” by S&P
and a short-term rating of “P-1” and a long-term senior unsecured rating of at least
“A1” by Moody’s; or
(b) in the case of the Custodian, a short-term issuer credit rating of at least “A-1+” by
S&P and a short-term rating of “P-1” and a long-term senior unsecured rating of at
least “A1” by Moody’s; or
(c) in the case of any Interest Rate Hedge Counterparty, a short-term issuer credit rating
of at least “A-1+” by S&P and a short-term rating of “P-1” and a long-term senior
unsecured rating of at least “A1” by Moody’s; or
(d) in the case of any Asset Swap Counterparty, a short-term issuer credit rating of “A-
1+” by S&P and a short-term rating of “P-1” and a long-term senior unsecured rating
of at least “A1” by Moody’s; or
(e) in the case of the Portfolio Currency Hedge Counterparty, a short-term issuer credit
rating of “A-1+” by S&P and a short-term rating of “P-1” and a long-term senior
unsecured rating of at least “A1” by Moody’s; or
(f) in the case of any Selling Institution, a long-term issuer credit rating of at least “A”
by S&P and a long-term senior unsecured rating of at least “A2” by Moody’s; or
(g) in the case of any Synthetic Counterparty, a long-term issuer credit rating of at least
“A” by S&P and a short-term rating of “P-1” and a long-term senior unsecured rating
of at least “A1” by Moody’s; or
(h) in the case of the Liquidity Facility Provider, a short-term issuer credit rating of
“A-1+” by S&P and a short-term rating of “P-1” and a long-term senior unsecured
rating of at least “A2” by Moody’s; or
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(i) in the case of any Class A-2 Noteholder, a short-term issuer credit rating of “A-1” by
S&P and a short-term rating of “P-1” by Moody’s, at the time of entry into the
Class A-2 Note Purchase Agreement,
or, in each case, if any of the requirements are not satisfied by any of the parties referred to
above, Rating Agency Confirmation is received in respect of such party or the obligations of
such party are guaranteed by an entity having the applicable Rating Requirement.
“Record Date” means the fifteenth day before the relevant due date for payment of principal
and interest in respect of a Note.
“Redemption Date” means each date specified for a redemption of the Notes of any Class
pursuant to Condition 7 (Redemption) or the date on which the Notes of such Class are
accelerated pursuant to Condition 10 (Events of Default) and, in each case, if such day is not a
Business Day, as adjusted in accordance with the Modified Following Business Day
Convention.
“Redemption Price” means, any Rated Note to be redeemed pursuant to Condition 7(c)
(Redemption for Tax Reasons), Condition 7(d) (Mandatory Redemption) Condition 7(e)
(Redemption and Replacement of Class A-2 Notes) or Condition 10 (Events of Default),
100 per cent. of the Principal Amount Outstanding of such Note, or in the case of the Class
A2 Notes, 100 per cent. of each of the Class A-2 Currency Amount Outstanding and the Euro
Amount Outstanding of such Note, together, in each case, with accrued and unpaid interest
thereon up to the date of redemption, Class A-2 Commitment Fees and Break Costs provided
that, in the event that the Notes become subject to redemption in whole (but not in part)
pursuant to more than one Condition, the Redemption Price applicable upon redemption
thereof shall be that which relates to the redemption of the Notes which would occur first in
time pursuant to the relevant provisions thereof.
“Redemption Threshold Amount” means the aggregate of all amounts which would be due
and payable on redemption of the Notes on the scheduled Redemption Date pursuant to
Condition 3(c) (Priorities of Payment) which rank in priority to payments to the Issuer in
accordance with the Priorities of Payment (including a reasonable reserve as determined by
the Trustee in its discretion for expenses which may be incurred in connection with such
redemption).
“Reference Banks” has the meaning given thereto in Condition 6(e)(iii) (Reference Banks
and Calculation Agent).
“Reference Entity” means with respect to a Synthetic Security, the Obligor to whose credit
such Synthetic Security is linked and the Obligor under any Reference Obligation specified in
such Synthetic Security.
“Reference Obligation” means a debt obligation to which a Synthetic Security is linked that
satisfies all of the Eligibility Criteria to the extent it is required to do so pursuant to the
definition thereof.
“Register” means the register of holders of the legal title to the Notes kept by the Registrar
pursuant to the terms of the Agency Agreement.
“Regulation S” means Regulation S under the Securities Act.
“Regulation S Notes” means Notes offered for sale to non-U.S. Persons outside of the United
States in reliance on Regulation S.
“Reinvestment Criteria” means the criteria specified as such in the Investment Management
Agreement.
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“Reinvestment Period” means the period from (and including) the Issue Date to (and
including) the earliest of (i) the Payment Date falling on 15 July 2013, (ii) the date of the
appointment of a Disposal Agent pursuant to the Investment Management Agreement and
(iii) the 90th day after receipt by the Investment Manager of notice of termination of its
appointment under the Investment Management Agreement.
“Reinvestment Test” means the test which is satisfied if, on the first Payment Date and any
subsequent Measurement Date during the Reinvestment Period, the Class D Par Value Ratio
is at least 117 per cent.
“Relevant Period” means, in relation to the relevant Class A-2 Notes, the period
commencing on (and including) the relevant Class A-2 Advance Date to but excluding the
next such Payment Date.
“Replacement Asset Swap Transaction” means any Asset Swap Transaction entered into by
the Issuer or the Investment Manager on its behalf, in accordance with the provisions of the
Investment Management Agreement upon termination of an existing Asset Swap Transaction
in full on substantially the same terms as such existing Asset Swap Transaction, that preserves
for the Issuer the economic effect of the terminated Asset Swap Transaction, subject to such
amendments thereto as may be agreed by the Investment Manager, on behalf of the Issuer,
and in respect of which Rating Agency Confirmation is obtained unless such Replacement
Asset Swap Transaction is a Form-Approved Asset Swap.
“Replacement Financing” has the meaning given thereto in Condition 7(f) (Redemption and
Replacement of Class A-2 Notes).
“Replacement Hedge Transaction” means any Replacement Asset Swap Transaction,
Replacement Interest Rate Hedge Transaction or Replacement Portfolio Currency Hedge
Transaction, as applicable.
“Replacement Interest Rate Hedge Transaction” means any Interest Rate Hedge
Transaction entered into by the Issuer or the Investment Manager on its behalf, in accordance
with the provisions of the Investment Management Agreement upon termination of an
existing Interest Rate Hedge Transaction in full on substantially the same terms as such
existing Interest Rate Hedge Transaction, that preserves for the Issuer the economic effect of
the terminated Interest Rate Hedge Transaction, subject to such amendments thereto as may
be agreed by the Investment Manager, on behalf of the Issuer, and in respect of which Rating
Agency Confirmation is obtained.
“Replacement Portfolio Currency Hedge Transaction” means any Portfolio Currency
Hedge Transaction entered into by the Issuer or the Investment Manager on its behalf, in
accordance with the provisions of the Investment Management Agreement upon termination
of an existing Portfolio Currency Hedge Transaction in full on substantially the same terms as
such existing Portfolio Currency Hedge Transaction, that preserves for the Issuer the
economic effect of the terminated Portfolio Currency Hedge Transaction, subject to such
amendments thereto as may be agreed by the Investment Manager, on behalf of the Issuer,
and in respect of which Rating Agency Confirmation is obtained.
“Report” means each Monthly Report, Note Valuation Report.
“Resolution” means any Ordinary Resolution or Extraordinary Resolution.
“Roll-Up Margin” means, in respect of a Timely Pay Obligation, an additional fixed rate of
interest in respect of which the interest amount payable by reference thereto is payable on a
deferred basis, provided that, a Timely Pay Obligation which only bears periodic interest
which may not be deferred will be deemed to have a Roll-Up Margin of 0 per cent.
“Rule 144A” means Rule 144A of the Securities Act.
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“Rule 144A Notes” means Notes offered for sale within the United States or to U.S. Persons
in reliance on Rule 144A.
“S&P” means Standard & Poor’s Ratings Services, a division of the McGraw-Hill
Companies, Inc. and any successor or successors thereto.
“S&P Collateral Value” means in the case of any Collateral Debt Obligation or Eligible
Investment the lower of:
(a) its prevailing Market Value (converted, where applicable, into Euro at the Applicable
Exchange Rate); and
(b) the relevant S&P Recovery Rate multiplied by its Principal Balance,
provided that if the Market Value cannot be determined for any reason, the Market Value
shall be deemed to be for this purpose the relevant S&P Recovery Rate multiplied by its
outstanding principal amount (converted, where applicable, into Euro at the Applicable
Exchange Rate).
“S&P Priority Category” means any of the categories set out in the schedule attached to the
Investment Management Agreement setting out the S&P Priority Categories as amended from
time to time.
“S&P Rating” has the meaning given thereto in the Investment Management Agreement.
“S&P Recovery Rate” means in respect of any Collateral Debt Obligation, the recovery rate
determined in accordance with the Investment Management Agreement or as so advised by
S&P.
“Sale Proceeds” means:
(a) all proceeds received upon the sale of any Collateral Debt Obligation (save for any
Asset Swap Obligation) or any Exchanged Equity Security, excluding any sale
proceeds representing accrued interest designated as Euro Interest Proceeds or
Class A-2 Currency Interest Proceeds, as applicable, by the Investment Manager in
accordance with the Investment Management Agreement and sale proceeds
representing accreted interest received in respect of any Zero Coupon Securities and
Step-Up Coupon Securities, PIYC Obligations and PIK Obligations, provided that no
such designation may be made in respect of:
(i) Purchased Accrued Interest; or
(ii) any such proceeds that represent deferred interest accrued in respect of any
Defaulted Deferring Mezzanine Obligation (other than Defaulted Mezzanine
Excess Amounts which have not been designated for payment to the Euro
Principal Account or Class A-2 Currency Principal Account, as applicable,
by the Investment Manager (acting on behalf of the Issuer) in its discretion),
or
(iii) proceeds representing accrued interest received in respect of any Defaulted
Obligation (other than a Defaulted Deferring Mezzanine Obligation) unless
and until (A) the principal of such Defaulted Obligation has been repaid in
full and (B) any Purchased Accrued Interest in relation to such Defaulted
Obligation has been paid)
but including, any fees received upon such sale or other disposition and any
recoveries received in respect of any Defaulted Obligation up to its principal amount
outstanding (or any Exchanged Equity Security delivered to the Issuer upon the
acceptance of an Offer in respect of a Defaulted Obligation);
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(b) in the case of any Asset Swap Obligation, all amounts in EUR, payable to the Issuer
by the applicable Asset Swap Counterparty in exchange for payment by the Issuer of
the sale proceeds of any Collateral Debt Obligation, as described in paragraph (a)
above, under the related Asset Swap Transaction, together with any other proceeds of
sale of the related Collateral Debt Obligation not paid to such Asset Swap
Counterparty;
(c) in the case of any Synthetic Security, the proceeds of sale of any Deliverable
Obligations delivered in respect thereof, and any Distribution received in respect of
any related Synthetic Collateral in the event that the Synthetic Security or the
Synthetic Counterparty’s security interest is terminated or the Synthetic Security is
sold or assigned in accordance with the Investment Management Agreement at the
option of the Issuer or the Investment Manager acting on its behalf,
in each case net of any amounts expended by or payable by the Issuer or the Collateral
Administrator (on behalf of the Issuer) in connection with the sale, disposition or termination
of such Collateral Debt Obligation including any amounts payable by the Issuer upon
termination of the applicable Asset Swap Transaction or any applicable Portfolio Currency
Hedge Transaction.
“Scheduled Periodic Asset Swap Counterparty Payment” means, with respect to any Asset
Swap Transaction, the periodic amounts in the nature of coupon (and not principal) scheduled
to be paid to the Issuer by the applicable Asset Swap Counterparty pursuant to the terms of
such Asset Swap Transaction, excluding any Asset Swap Termination Receipts and any Asset
Swap Counterparty Principal Exchange Amounts.
“Scheduled Periodic Asset Swap Issuer Payment” means, with respect to any Asset Swap
Transaction, the periodic amounts in the nature of coupon (and not principal) scheduled to be
paid to the applicable Asset Swap Counterparty by the Issuer pursuant to the terms of such
Asset Swap Transaction, excluding any Asset Swap Termination Payments and any Asset
Swap Issuer Principal Exchange Amounts.
“Scheduled Periodic Hedge Issuer Payment” means any Scheduled Periodic Interest Rate
Hedge Issuer Payment, Scheduled Periodic Asset Swap Issuer Payment or Scheduled Periodic
Portfolio Currency Hedge Issuer Payment.
“Scheduled Periodic Interest Rate Hedge Counterparty Payment” means, with respect to
any Interest Rate Hedge Transaction, the amount scheduled to be paid to the Issuer by the
Interest Rate Hedge Counterparty pursuant to the terms of such Interest Rate Hedge
Transaction, excluding any Interest Rate Hedge Termination Receipts.
“Scheduled Periodic Interest Rate Hedge Issuer Payment” means, with respect to any
Interest Rate Hedge Transaction, the amount scheduled to be paid to the Interest Rate Hedge
Counterparty by the Issuer pursuant to the terms of such Interest Rate Hedge Transaction,
excluding any Interest Rate Hedge Termination Payments.
“Scheduled Periodic Portfolio Currency Hedge Issuer Payment” means, with respect to
any Portfolio Currency Hedge Transaction, the periodic amounts in the nature of coupon or
margin (and not principal) scheduled to be paid to the applicable Portfolio Currency Hedge
Counterparty by the Issuer pursuant to the terms of such Portfolio Currency Hedge
Transaction, excluding any Portfolio Currency Hedge Termination Payments and Hedge
Deferred Amounts.
“Scheduled Principal Proceeds” means:
(a) in the case of any Collateral Debt Obligation, save for any Asset Swap Obligation,
scheduled principal repayments received by the Issuer (including scheduled
amortisation, instalment or sinking fund payments); and
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(b) in the case of any Asset Swap Obligation, scheduled final and interim payments in the
nature of principal exchanges payable to the Issuer by the applicable Asset Swap
Counterparty under the related Asset Swap Transaction; and
(c) in the case of any Synthetic Security, any Synthetic Collateral relating thereto (or any
amount received upon liquidation thereof) to which the Issuer is entitled upon
expiration or termination of such Synthetic Security at its scheduled maturity.
“Secured Parties” means the Initial Purchaser, the Noteholders, the Investment Manager, the
Collateral Administrator, the Trustee, any receiver appointed by the Trustee pursuant to the
terms of any security document, the Liquidity Facility Provider, each Hedge Counterparty, the
Agents and such other persons as further defined in the Trust Deed.
“Securities Act” means the United States Securities Act of 1933, as amended.
“Security” means the security interests created in favour of the Trustee in the Trust Deed.
“Selling Institution” means an institution which satisfies the Rating Requirement from which
the Issuer acquires one or more Participations.
“SEK” means the lawful currency of Sweden.
“Senior Expenses Cap” means, in respect of each Due Period, €200,000 in respect of each
Due Period.
“Senior Investment Management Fee” means the fee of such name payable to the
Investment Manager on each Payment Date in respect of each Due Period pursuant to the
Investment Management Agreement, in an amount, as determined by the Collateral
Administrator, equal to 0.125 per cent. per annum of the Average Aggregate Principal
Balance applicable to such Payment Date and calculated on the basis of the actual number of
days in the Due Period divided by 360.
“Senior Investment Management Fee Cap” means, in respect of each Due Period, 0.125 per
cent. per annum (calculated semi-annually on the basis of the actual number of days in the
Due Period divided by 360) of the Average Aggregate Principal Balance applicable to the
related Payment Date.
“SGD” means the lawful currency of Singapore.
“Share Charge” means the share charge dated 5 July 2007 between ICG, the Issuer and the
Trustee.
“Shareholders” means ICG or any other person appearing on the register of shareholders,
from time to time, and, “Shareholder” means any one of them.
“Special Redemption” has the meaning given thereto in Condition 7(b)(i) (Special
Redemption).
“Special Redemption Amount” has the meaning given thereto in Condition 7(b)(i) (Special
Redemption).
“Special Redemption Date” has the meaning given thereto in Condition 7(b)(i) (Special
Redemption).
“Specified Office” means, in relation to any Agent:
(a) the office specified against its name in the Agency Agreement; or
(b) such other office as such Agent may specify in accordance with the Agency
Agreement.
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“Spot Rate of Exchange” means the prevailing spot rate of exchange of Euro for a Class A-2
Currency or any other currency, or vice versa, as applicable, as determined by the Calculation
Agent or the Class A-2 Note Agent, as applicable, in a commercially reasonable manner on
the date specified.
“Standby Liquidity Account” means the account of that name in the name of the Issuer with
the Account Bank.
“Stated Maturity” means, with respect to any Collateral Debt Obligation or Eligible
Investment the date specified in such obligation as the fixed date on which the final payment
or repayment of principal of such obligation is due and payable or, in the case of any
Synthetic Security, the scheduled date of termination of such instrument or agreement.
“Step-Up Coupon Security” means a security (a) which does not pay interest over a
specified period of time ending prior to its maturity (during which time it shall be considered
a Zero Coupon Security), but which does provide for the periodic payment of interest after the
expiration of such specified period (during which time it shall be considered a Timely Pay
Obligation) or (b) the interest rate of which increases over a specified period of time other
than due to the increase of the floating rate index applicable to such security.
“Subordinated Investment Management Fee” means the fee of such name payable to the
Investment Manager on each Payment Date pursuant to the Investment Management
Agreement, equal to 0.5 per cent. per annum of the Average Aggregate Principal Balance
applicable to such Payment Date and calculated on the basis of the actual number of days in
the Due Period divided by 360.
“Sub-Participation Agreement” means any sub-participation agreement entered into by the
Issuer in relation to the purchase by the Issuer of an indirect interest in a Mezzanine
Obligation from a Selling Institution which shall include arrangements whereby the Issuer as
a “funding bank” enters into a collateralised guarantee in favour of a “fronting bank”.
“Subsequent Issue Date” means any date following the Issue Date on which the Issuer issues
Further Notes and/or Further Issuer Euro Shares.
“Substitute Collateral Debt Obligation” means a Collateral Debt Obligation purchased out
of Principal Proceeds pursuant to the terms of the Investment Management Agreement and
which satisfies both the Eligibility Criteria and the Reinvestment Criteria.
“Synthetic Collateral” means any collateral which shall be in the form of cash or securities
which satisfies the requirements of the definition of “Eligible Investments” (including the
requirement that it is capable of being liquidated on demand at par without penalty), save for
that relating to the Stated Maturity thereof (in each case as permitted by the terms of the
applicable Synthetic Security) required to be delivered by the Issuer as security for its
obligations to any Synthetic Counterparty under any Synthetic Security pursuant to the terms
thereof. References to the price payable upon the acquisition of or entry into a Synthetic
Security acquired or entered into by the Issuer on an unfunded basis shall be deemed to be the
aggregate price of Synthetic Collateral required to be delivered by the Issuer to the applicable
Synthetic Counterparty.
“Synthetic Collateral Account” means each segregated account of the Issuer with the
Custodian into which all Synthetic Collateral is to be deposited.
“Synthetic Counterparty” means any counterparty required to make payments on a
Synthetic Security, which counterparty satisfies the applicable Rating Requirement (or whose
obligations are guaranteed by a guarantor which satisfies the applicable Rating Requirement).
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“Synthetic Counterparty Default” means in the case of an Uncollateralised CLN only:
(a) failure by the Synthetic Counterparty to comply with the requirements upon a
downgrade below the Rating Requirement applicable thereto; or
(b) the occurrence and continuation of a default by the Synthetic Counterparty in the
performance of any of its payment obligations (beyond any applicable grace period)
under such Uncollateralised CLN.
“Synthetic Security” means:
(a) a Collateralised Credit Default Swap under which the Reference Obligation is a
Mezzanine Obligation and which satisfies the Eligibility Criteria (to the extent
required as set out in the opening paragraph thereof and subject to receipt of Rating
Agency Confirmation otherwise); or
(b) any credit-linked note (including an Uncollateralised CLN) under which the
Reference Obligation is a Mezzanine Obligation and which satisfies the Eligibility
Criteria (to the extent required as set out in the opening paragraph thereof, and subject
to receipt of Rating Agency Confirmation otherwise), which investment contains an
equivalent probability of default, recovery upon default (or a specific percentage
thereof) and expected loss characteristics as those of the related Reference Obligation
or obligor thereunder (without taking account of such considerations as they relate to
the Synthetic Counterparty), save to the extent otherwise specified and subject to
receipt of Rating Agency Confirmation in respect thereof, but which may contain a
different maturity, interest rate, interest rate reference, currency or other non-credit
characteristics than such Reference Obligation;
(i) provided that no Synthetic Security shall require the Issuer to make any
payment to the Synthetic Counterparty after the initial purchase thereof by
the Issuer (other than a Collateralised Credit Default Swap to the extent of
any Synthetic Collateral deposited by the Issuer into a Synthetic Collateral
Account in respect thereof);
(ii) ownership of any Synthetic Security shall not subject the Issuer to net income
tax; and
(iii) Rating Agency Confirmation is received in respect of the acquisition of or
entry into the relevant Synthetic Security by the Issuer, unless such Synthetic
Security is a Form-Approved Synthetic Security.
“TARGET System” means the Trans-European Automated Real-Time Gross Settlement
Express Transfer System (or, if such system ceases to be operative, such other system (if any)
determined by the Trustee to be a suitable replacement).
“Target Par Amount” means €640,000,000 which shall include the Principal Balance of all
Class A-2 Currency Obligations converted into Euro at the Multi-Currency Exchange Rate.
“Timely Pay Obligation” means a Collateral Debt Obligation (which includes a Timely
Fixed Pay Obligation and Timely Floating Pay Obligation) that bears interest by reference to
a floating rate index plus Interest Spread or a fixed interest rate, in respect of which the
interest amount thereunder is payable on a periodic basis on each interest payment date
relating to such Collateral Debt Obligation and may not be deferred; such Collateral Debt
Obligations may also provide for an additional Roll-Up Margin provided that a Timely Pay
Obligation shall at least make interest instalments on a periodic basis.
“Total Class A-2 Commitments” means €195,000,000 or such other amount pursuant to
Condition 17 (Additional Issuances)
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“Total Class A-2 Outstandings” means all amounts drawn, outstanding and not repaid under
the Class A-2 Note Facility.
“Total Undrawn Amount” means the sum of the Undrawn and Uncommitted Amount and
the Undrawn and Committed Amount.
“Transaction Documents” means the Trust Deed, the Notes, any Euroclear Pledge
Agreement, the Placement Agreement, the Class A-2 Note Purchase Agreement, the Agency
Agreement, each Collateral Acquisition Agreement, each Sub-Participation Agreement, the
Investment Management Agreement, the Collateral Administration Agreement, the Liquidity
Facility Agreement, the Share Charge, any Hedge Transactions, and any document
supplemental thereto or issued in connection therewith (each as amended, replaced or
supplemented from time to time).
“Trustee Fee Cap” means, on any Payment Date, Trustee Fees and Expenses in an amount
not exceeding 0.0375 per cent. per annum of the Aggregate Collateral Balance on the
Determination Date immediately preceding such Payment Date.
“Trustee Fees and Expenses” means the fees, costs, claims, indemnities, charges,
disbursements, liabilities and expenses and all other amounts payable by the Issuer to the
Trustee and any receiver appointed by it pursuant to the Trust Deed or any other Transaction
Document from time to time under or pursuant to the Trust Deed or any other Transaction
Document plus any applicable VAT required to be paid by the Issuer in respect of the
foregoing.
“Uncollateralised CLN” means a Synthetic Security that is a credit-linked note (a) issued by
a corporate entity that is not a special purpose vehicle or a trust and (b) which is not secured
by any collateral.
“Underlying Instrument” means the trust deed, indenture or other agreement or instrument
pursuant to which a Collateral Debt Obligation has been issued or created and each other
agreement that governs the terms of, or secures the obligations represented by, such Collateral
Debt Obligation or under which the holders or creditors under such Collateral Debt
Obligation are the beneficiaries.
“Undrawn and Committed Amount” means in respect of the Class A-2 Notes an amount
equal to the aggregate of unfunded commitments of any Delayed Drawdown Obligations
(other than an amount equal to such unfunded commitments that have been deposited in the
Delayed Drawdown Reserve Account).
“Undrawn and Uncommitted Amount” means in respect of the Class A-2 Notes an amount
equal to the greater of (a) zero and (b) the difference between (i) the Total Class A-2
Commitments and (ii) the sum of the Total Class A-2 Outstandings and the Undrawn and
Committed Amount.
“Unfunded Amount” means, with respect to any Delayed Drawdown Obligation, the excess,
if any, of (a) the Commitment Amount under such Delayed Drawdown Obligation, as the case
may be, at such time over (b) the Funded Amount thereof at such time.
“Unscheduled Principal Proceeds” means:
(a) with respect to any Collateral Debt Obligation (save for any Asset Swap Obligation),
principal proceeds prior to the Stated Maturity thereof received as a result of optional
redemptions, prepayments (including any acceleration) or Offers (excluding any
premiums or make whole amounts in excess of the principal amount of such
Collateral Debt Obligation); and
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(b) in the case of any Asset Swap Obligation, the Asset Swap Counterparty Principal
Exchange Amount payable in exchange for the amounts referred to in paragraph (a)
above pursuant to the related Asset Swap Transaction, together with any related Asset
Swap Termination Receipts but less any related Asset Swap Termination Payment (to
the extent any are payable) (i) and only to the extent not required for application
towards the cost of entry into a Replacement Asset Swap Transaction and (ii) any
related Asset Swap Replacement Receipts but only to the extent not required for
application towards any related Asset Swap Termination Payments; and
(c) in the case of any Synthetic Security, Synthetic Collateral (or any amount received
upon liquidation thereof) that ceases to be subject to the applicable Synthetic
Counterparty’s security interest on termination (but not expiration) of such Synthetic
Security other than at the option of the Issuer.
“Unused Proceeds” means an amount equal to any net proceeds of the issue of the Notes not
used to purchase Collateral Debt Obligations on or prior to the Issue Date (as determined by
the Investment Manager).
“Unused Proceeds Account” means the account of such name, segregated into Euro and
Class A-2 Currency sub-accounts, in the name of the Issuer and maintained with the Account
Bank (or any further or other account so named, or any sub-account thereof or redesignated
account, in each case with the Account Bank) into which the Issuer will procure amounts are
deposited in accordance with Condition 3(j) (Payments to and from the Accounts).
“Unused Proceeds Interest Subaccount” means the subaccount of the Unused Proceeds
Account into which amounts are deposited on the Issue Date and used for the purchase of
accrued interest included in the purchase price of additional Collateral Debt Obligations to be
purchased during the Ramp-up Period.
“Unused Proceeds Principal Subaccount” means the subaccount of the Unused Proceeds
Account into which amounts are deposited on the Issue Date and applied towards the
purchase of additional Collateral Debt Obligations (excluding accrued interest included in the
purchase price thereof to the extent that there are sufficient amounts standing to the credit of
the Unused Proceeds Interest Subaccount to fund such amounts) to be purchased during the
Ramp-up Period.
“U.S. Person” has the meaning given thereto in Regulation S under the Securities Act.
“USD” means the lawful currency of the United States of America.
“VAT” shall be construed as a reference to value added tax including any similar tax which
may be imposed in place thereof from time to time.
“Written Resolution” means a resolution in writing, with the effect of an Ordinary
Resolution or an Extraordinary Resolution, as described in Condition 14 (Meetings of
Noteholders, Modification, Waiver and Substitution) and as further described in, and as
defined in, the Trust Deed.
“YEN” means the lawful currency of Japan.
“Zero Coupon Security” means a security (other than a Step-Up Coupon Security) that, at
the time of determination, does not provide for periodic payments of interest.
2. FORM, DENOMINATION, TITLE AND TRANSFER
(a) Form and Denomination The Notes are in definitive fully registered form, without interest
coupons or principal receipts attached, in the applicable Authorised Denomination. A
Definitive Certificate will be issued to each Noteholder in respect of its registered holding or
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holdings of Notes. Each Definitive Certificate will be numbered serially with an identifying
number which will be recorded in the Register which the Issuer shall procure to be kept by the
Registrar.
(b) Title to the Registered Notes Title to the Notes passes upon registration of transfers in
respect thereof in the Register in accordance with the provisions of the Agency Agreement
and the Trust Deed. Notes will be transferable only on the books of the Issuer and its agents.
The registered holder of any Note will (except as otherwise required by law) be treated as its
absolute owner for all purposes (whether or not it is overdue and regardless of any notice of
ownership, trust or any interest in it, any writing on it, or its theft or loss) and no person will
be liable for so treating the registered holder thereof.
(c) Transfer One or more Notes may be transferred in whole or in part in nominal amounts
equal to the applicable Authorised Denomination in excess thereof only upon the surrender, at
the specified office of the Registrar or any Transfer Agent, of the Definitive Certificate
representing such Note(s) to be transferred, with the form of transfer endorsed on such
Definitive Certificate duly completed and executed and together with such other evidence as
the Registrar or Transfer Agent may reasonably require. In the case of a transfer of part only
of a holding of Notes represented by one Definitive Certificate, a new Definitive Certificate
will be issued to the transferee in respect of the part transferred and a further new Definitive
Certificate in respect of the balance of the holding not transferred will be issued to the
transferor.
(d) Delivery of New Certificates Each new Definitive Certificate to be issued pursuant to
Condition 2(c) (Transfer) will be available for delivery within five Business Days of receipt
of such form of transfer and surrender of the relevant existing Definitive Certificate. Delivery
of new Definitive Certificates shall be made at the specified office of the Transfer Agent or of
the Registrar, as the case may be, to whom delivery or surrender shall have been made or, at
the option of the holder making such delivery or surrender as aforesaid and as specified in the
form of transfer or otherwise in writing, shall be mailed by pre-paid first class post at the risk
of the holder entitled to the new Definitive Certificate to such address as may be so specified.
In this Condition 2(d) (Delivery of New Certificates), “Business Day” means a day, other
than a Saturday or Sunday, on which banks are open for business in the place of the specified
office of the relevant Transfer Agent and the Registrar.
(e) Transfer Free of Charge Transfer of Notes and Definitive Certificates representing such
Notes in accordance with these Conditions on registration or transfer will be effected without
charge by or on behalf of the Issuer, the Registrar or the Transfer Agents, but upon payment
(or the giving of such indemnity as the Issuer, the Registrar or the relevant Transfer Agent
may require in respect thereof) of any tax or other governmental charges which may be
imposed in relation to it.
(f) Closed Periods No Noteholder may require the transfer of a Note to be registered (i) during
the period of 15 calendar days ending on the due date for redemption (in full) of that Note or
(ii) during the period of seven calendar days ending on any Record Date.
(g) Regulations Concerning Transfer and Registration All transfers of Notes and entries on
the Register will be made subject to the detailed regulations concerning the transfer of Notes
scheduled to the Trust Deed, including without limitation, that a transfer of Notes in breach of
certain of such regulations will result in such transfer being void ab initio. The regulations
may be changed by the Issuer in any manner which is reasonably required by the Issuer (after
consultation with the Trustee) to reflect changes in legal requirements or in any other manner
which, in the opinion of the Issuer (after consultation with the Trustee), is not prejudicial to
the interests of the holders of the relevant Class of Notes. A copy of the current regulations
will be sent by the Registrar to any Noteholder who so requests.
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(h) Forced Transfer of Certain Notes If the Issuer determines at any time that a U.S. holder of
Rule 144A Notes is not a QIB/QP (any such person, a “Non-Permitted Holder”), the Issuer
may direct such holder to sell or transfer its Notes outside the United States to a non-U.S.
Person or within the United States to a U.S. Person that is a QIB/QP within 30 days following
receipt of such notice. If such holder fails to sell or transfer its Notes within such period, such
holder may be required by the Issuer to sell such Notes to a purchaser selected by the Issuer
on such terms as the Issuer may choose, subject to the transfer restrictions set out herein. The
Issuer may select the purchaser by soliciting one or more bids from one or more brokers or
other market professionals that regularly deal in securities similar to such Notes and selling
such Notes to the highest such bidder. However, the Issuer may select a purchaser by any
other means determined by it in its sole discretion. Each Noteholder and each other Person in
the chain of title from the permitted Noteholder to the Non-Permitted Holder by its
acceptance of an interest in such Notes agrees to co-operate with the Issuer and the Trustee, to
the extent required to effect such transfers. The proceeds of such sale, net of any
commissions, expenses and taxes due in connection with such sale shall be remitted to the
selling Noteholder. The terms and conditions of any sale hereunder shall be determined in the
sole discretion of the Issuer, subject to the transfer restrictions set out herein, and neither the
Issuer nor the Trustee shall be liable to any Person having an interest in the Notes sold as a
result of any such sale or the exercise of such discretion. The Issuer and the Trustee reserve
the right to require any holder of Rule 144A Notes to submit a written certification
substantiating that it is a QIB/QP or a non-U.S. Person. If such holder fails to submit any
such requested written certification on a timely basis, the Issuer and the Trustee have the right
to assume that the holder of the Notes from whom such a certification is requested is not a
QIB/QP or a non-U.S. Person. Furthermore, the Issuer and the Trustee reserve the right to
refuse to honour a transfer of beneficial interests in a Rule 144A Note to any person who is
not either a non-U.S. Person, or a U.S. Person that is a QIB/QP.
3. STATUS
(a) Status The Notes of each Class constitute direct, general, secured, unconditional obligations
of the Issuer, recourse in respect of which is limited in the manner described in Condition 4(c)
(Limited Recourse). The Notes of each Class are secured in the manner described in
Condition 4(a) (Security) and, within each Class, shall at all times rank pari passu and
without any preference amongst themselves (other than in relation to the Class A-1 Notes and
the Class A-2 Notes, and Class A-3 Notes, where the Class A Redemption Method or, as the
case may be, the Multi-Currency Provisions, is specified to be applicable in
Condition 3(c)(ii)(C) (Principal Priority of Payments).
(b) Relationship Among the Classes The Notes of each Class are constituted by the Trust Deed
and are secured on the Collateral as further described in the Trust Deed. Payments of interest
(if any) on the Class A Notes will rank senior to payments of interest on each Payment Date
in respect of each other Class; (provided that payments of interest on the Class A-1 Notes and
the Class A-2 Notes rank pari passu with each other until the Class A-1 Notes are paid in full
and, after the Class A-1 Notes are paid in full, payments of interest on the Class A-2 Notes
and the Class A-3 Notes rank pari passu with each other); payment of interest on the Class B
Notes will be subordinated in right of payment to payments of interest in respect of the
Class A Notes, but senior in right of payment to payments of interest in respect of the Class C
Notes and the Class D Notes; payment of interest on the Class C Notes will be subordinated
in right of payment to payments of interest in respect of the Class A Notes and the Class B
Notes, but senior in right of payment to payments of interest on the Class D Notes; payment
of interest on the Class D Notes will be subordinated in right of payment to payments of
interest in respect of the Class A Notes, the Class B Notes and the Class C Notes.
Payments of principal on the Class A-1 Notes, the Class A-2 Notes and the Class A-3 Notes
will be made in accordance with the Class A Redemption Method and the Multi-Currency
Provisions, set out in Condition 3(c)(iv) (Multi-Currency Provisions), when specified as
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applicable in the Priorities of Payments, pursuant to which available Euro Principal Proceeds
will be used to redeem and/or repay on a pro rata and pari passu basis (i) the Class A-1 Notes
and (ii) the Class A-2 Notes (drawn in EUR), and available Class A-2 Currency Principal
Proceeds will be used to redeem and/or repay the Class A-2 Notes drawn in a Class A-2
Currency on a pro rata basis until the Class A-1 Notes are paid in full and, after the Class A-1
Notes are paid in full, the Class A-2 Notes (drawn in EUR) and the Class A-3 Notes, and
available Class A-2 Currency Principal Proceeds will be used to redeem and/or repay the
Class A-2 Notes drawn in a Class A-2 Currency on a pro rata basis until paid in full. For the
avoidance of doubt there shall not be any conversion of one currency unless as specified by
the Class A Redemption Method unless the liabilities of one currency have been paid in full
and there is excess amounts in such currency, in which case the Multi-Currency Provisions
shall apply.
No amount of principal in respect of the Class B Notes shall become due and payable until
redemption and payment in full of the Class A Notes. No amount of principal (for the
avoidance of doubt, excluding Deferred Interest) in respect of the Class C Notes shall become
due and payable until redemption and payment in full of the Class A Notes and the Class B
Notes. No amount of principal (for the avoidance of doubt, excluding Deferred Interest) in
respect of the Class D Notes shall become due and payable until redemption and payment in
full of the Class A Notes, the Class B Notes and the Class C Notes.
(c) Priorities of Payments The Collateral Administrator shall (on the basis of the Note
Valuation Report prepared by the Collateral Administrator in consultation with the
Investment Manager pursuant to the terms of the Investment Management Agreement on each
Determination Date), on behalf of the Issuer, on each Payment Date cause the Account Bank
to disburse Interest Proceeds, Principal Proceeds and Collateral Enhancement Obligation
Proceeds transferred to the Payment Account on the second Business Day prior thereto in
accordance with the following Priorities of Payments:
(i) Interest Priority of Payments Interest Proceeds shall be paid on the Payment Date in
each case subject to the provisions of Condition 3(c)(iv) (Multi-Currency Provisions)
unless otherwise specified:
(A) to the payment of taxes owing by the Issuer accrued in respect of the related
Due Period, if any, as certified by an Authorised Officer of the Issuer to the
Trustee (save for any value added tax payable in respect of the Investment
Management Fees):
(B) in payment of due and unpaid Trustee Fees and Expenses up to an amount
equal to the Trustee Fee Cap, provided that the Trustee Fee Cap shall not
apply to this paragraph at any time following the commencement of
Enforcement Action by the Trustee;
(C) in payment on a pro rata basis of due and unpaid Administrative Expenses in
relation to each item thereof, on a pro rata and pari passu basis, up to an
amount equal to the Senior Expenses Cap provided that the Senior Expenses
Fee Cap shall not apply to this paragraph at any time following the
commencement of Enforcement Action by the Trustee;
(D) in payment of any amounts due and payable to the Liquidity Facility Provider
on such Payment Date and due but not paid on any previous Payment Date, in
each case, pursuant to the Liquidity Facility Agreement;
(E) in payment on a pro rata and pari passu basis of any Scheduled Periodic
Hedge Issuer Payments (including Hedge Deferred Amounts) due and
payable to any applicable Hedge Counterparty;
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(F) to the payment on a pro rata basis to the Investment Manager of the Senior
Investment Management Fee due and payable on such Payment Date and any
value added tax in respect thereof (whether payable to the Investment
Manager or directly to the relevant taxing authority) up to an amount in
aggregate of such fee and value added tax equal to the Senior Investment
Management Fee Cap and, thereafter, to the payment of any Senior
Investment Management Fee due and payable but not paid pursuant to this
paragraph (F) on any prior Payment Date (otherwise than by reason of the
limitation of the amount payable pursuant to the Senior Investment
Management Fee Cap) and to the payment of any value added tax in respect
thereof (whether payable to the Investment Manager or directly to the
relevant taxing authority);
(G) in payment on a pro rata and pari passu basis of any Hedge Termination
Payments due to any Hedge Counterparty (other than Defaulted Hedge
Termination Payments), in each case to the extent not paid from funds
available in the applicable Hedge Termination Account;
(H) in payment on a pro rata and pari passu basis of any Hedge Replacement
Payment due to any replacement Hedge Counterparty, in each case, to the
extent not paid from funds available in the applicable Hedge Termination
Account;
(I) in payment on a pro rata and pari passu basis of the Interest Amounts due
and payable on:
(1) the Class A-1 Notes and, thereafter, the Class A-3 Notes, and
(2) the Class A-2 Notes,
in each case in respect of the Interest Period ending immediately prior to such
Payment Date (together with any other interest due and payable on the
Class A-1 Notes and the Class A-2 Notes (other than Class A-2 Additional
Amounts) and the Class A-3 Notes) provided that, in relation to any
Class A-2 Noteholder who has failed to pay its Pro Rata Share of a Class A-2
Advance when requested or which has failed to comply with the provisions
set out in the relevant Class A-2 Note Purchase Agreement, any payments of
Interest Amounts due to such Class A-2 Noteholder shall be paid into the
Class A-2 Collateral Account until either (1) the sum of the Total Undrawn
Amount has been deposited into the Class A-2 Collateral Account or (2) the
Class A-2 Notes are the subject of a Replacement Financing in accordance
with Condition 7(f) (Redemption and Repayment of Class A-2 Notes);
(J) in payment on a pro rata basis of the Interest Amounts due and payable on
the Class B Notes in respect of the Interest Period ending immediately prior
to such Payment Date (together with any other interest due and payable on
the Class B Notes);
(K) in the event that either of the Class A/B Coverage Tests is not satisfied on the
related Determination Date (other than the first Determination Date in the
case of the Class A/B Interest Coverage Test), prior to giving effect to the
application of Principal Proceeds in redemption of the Notes pursuant to
paragraph (A) of the Principal Priority of Payments, to the payment (1) first,
on a pro rata and pari passu basis in redemption of:
(x) the Class A-1 Notes and, after the redemption in full of the Class A-1
Notes, the Class A-3 Notes, and
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(y) the Class A-2 Notes,
subject to the Class A Redemption Method,
(2) secondly, after redemption in full thereof in redemption on a pro rata
basis of the Class B Notes, in each case, to the extent necessary to cause each
of the Class A/B Coverage Tests to be met if recalculated following such
redemption;
(L) in payment of, on a pro rata basis the Interest Amounts due and payable on
the Class C Notes in respect of the Interest Period ending immediately prior
to such Payment Date;
(M) in the event that either of the Class C Coverage Tests is not satisfied on the
related Determination Date on or after the Effective Date, prior to giving
effect to the application of Principal Proceeds in redemption of the Notes
pursuant to paragraph (A) of the Principal Priority of Payments, to the
payment (1) first, on a pro rata and pari passu basis in redemption of (x) the
Class A-1 Notes and, after the redemption in full of the Class A-1 Notes, the
Class A-3 Notes, and (y) the Class A-2 Notes subject to the Class A
Redemption Method and (2) secondly, after redemption in full thereof in
payment in accordance with the Note Payment Sequence, in each case, to the
extent necessary to cause each of the Class C Coverage Tests to be met if
recalculated following such redemption;
(N) in payment of, on a pro rata basis in payment of any Deferred Interest on the
Class C Notes which is due and payable pursuant to Condition 6(c) (Deferral
of Interest);
(O) in payment of, on a pro rata basis the Interest Amounts due and payable on
the Class D Notes in respect of the Interest Period ending immediately prior
to such Payment Date;
(P) in the event that either of the Class D Coverage Tests is not satisfied on the
related Determination Date on or after the Effective Date, prior to giving
effect to the application of Principal Proceeds in redemption of the Notes
pursuant to paragraph (A) of the Principal Priority of Payments, to the
payment (1) first, on a pro rata and pari passu basis in redemption of (x) the
Class A-1 Notes and, after the redemption in full of the Class A-1 Notes, the
Class A-3 Notes, and (y) the Class A-2 Notes subject to the Class A
Redemption Method and (2) secondly, after redemption in full thereof in
payment in accordance with the Note Payment Sequence, in each case, to the
extent necessary to cause each of the Class D Coverage Tests to be met if
recalculated following such redemption;
(Q) in payment of, on a pro rata basis of any Deferred Interest on the Class D
Notes which is due and payable pursuant to Condition 6(c) (Deferral of
Interest);
(R) on the Payment Date following the Effective Date and each Payment Date
thereafter to the extent required, in the event of the occurrence of an Effective
Date Rating Event which is continuing on the second Business Day prior to
such Payment Date, (1) first on a pro rata and pari passu basis in redemption
of the (x) Class A-1 Notes and, after the redemption in full of the Class A-1
Notes, the Class A-3 Notes, and (y) the Class A-2 Notes subject to the
Class A Redemption Method, and (2) secondly, after redemption in full
thereof, in payment in accordance with the Note Payment Sequence, in each
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case, or, if earlier, until an Effective Date Rating Event is no longer
continuing;
(S) during the Reinvestment Period, in the event that, on any Payment Date
during such period prior to giving effect to the payment of all amounts
payable pursuant to the paragraphs of the Interest Priority of Payments above,
the Reinvestment Test is not satisfied on the related Determination Date, an
amount no greater than 50 per cent. of the remaining Interest Proceeds
available for payment, are required to be applied, (1) in payment into the
Euro Principal Account or Class A-2 Currency Principal Account, as
applicable, for use in the purchase of Collateral Debt Obligations in the
respective currency in accordance with the Investment Management
Agreement and/or (2) applied in redemption of, on a pro rata and pari passu
basis (x) the Class A-1 Notes and, after the redemption in full of the
Class A-1 Notes, the Class A-3 Notes, and (y) the Class A-2 Notes subject to
the Class A Redemption Method and after redemption in full thereof in
payment in accordance with the Note Payment Sequence, such choice at the
discretion of the Investment Manager, acting on behalf of the Issuer, in each
case, in whole or in part, to the extent necessary to cause the Reinvestment
Test to be met if recalculated immediately following such payment;
(T) to the payment on a pro rata basis to the Investment Manager of any unpaid
Senior Investment Management Fee not paid pursuant to paragraph (F) above
on any prior Payment Dates (by reason of the limitation of the amount
payable by reference to the Senior Investment Management Fee Cap) and any
value added tax in respect thereof (whether payable to the Investment
Manager or directly to the relevant taxing authority);
(U) in payment on a pro rata basis to the Investment Manager of the accrued and
unpaid Subordinated Investment Management Fee due on such Payment Date
and any value added tax in respect thereof (whether paid by the Investment
Manager or directly to the relevant tax authority) and thereafter, to the
payment on a pro rata basis of any Subordinated Investment Management
Fee accrued but not paid on any prior Payment Date together with interest
accrued thereon at the rate of EURIBOR plus two per cent. per annum and
any value added tax in respect thereof (whether payable to the Investment
Manager or directly to the relevant taxing authority);
(V) in payment of any due and unpaid Class A-2 Additional Amounts;
(W) in payment of any due and unpaid Trustee Fees and Expenses to the extent
not paid pursuant to paragraph (B) above;
(X) in payment, on a pro rata and pari passu basis, of any due and unpaid
Administrative Expenses to the extent not paid pursuant to paragraph (C)
above;
(Y) in payment on a pro rata and pari passu basis of any Defaulted Hedge
Termination Payments due to any Hedge Counterparty, in each case, to the
extent not paid from funds available in the Hedge Termination Account;
(Z) to the repayment of any Investment Manager Advances together with interest
accrued thereon, in accordance with the Investment Management Agreement;
(AA) at the discretion of the Investment Manager acting on behalf of the Issuer,
save for upon the Payment Date on which the Euro Issuer Shares are to be
redeemed and paid in full, any remaining Interest Proceeds, to (1) payment
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into the Collateral Enhancement Account up to a maximum aggregate amount
(taking into account all payments to the Collateral Enhancement Account on
any prior Payment Date) of €1,000,0000 (or, at the Investment Manager’s
discretion (acting on behalf of the Issuer), any equivalent in a Class A-2
Currency converted into Euro (if requested) at the applicable Spot Rate of
Exchange on the related Determination Date), (2) payment into the Hedging
Reserve Account for the purchase of certain Portfolio Currency Hedge
Transactions from time to time, (3) payment into the Euro Principal Account
or the relevant Class A-2 Principal Account for the purchase of additional
Collateral Debt Obligations, and (4) payment into the Euro Interest Account
or the relevant Class A-2 Interest Account;
(BB) any remaining Interest Proceeds, to the Issuer for the payment of dividends
on the Issuer Euro Shares on a pro rata basis (determined upon redemption in
full thereof by relevance to the proportion that the principal amount of the
Issuer Euro Shares held by Shareholders bore to the Principal Amount
Outstanding of the Issuer Euro Shares immediately prior to such redemption)
following, if requested by the Shareholders, conversion of any portion of
Class A-2 Currency Interest Proceeds into Euro at the applicable Spot Rate of
Exchange on the related Determination Date provided that such payments
will be made only to the extent required for the Incentive Fee Threshold to be
satisfied;
(CC) subject to the Incentive Fee Threshold having been satisfied (after taking into
account all prior distributions to Shareholders and any distributions to be
made to Shareholders on such Payment Date, including pursuant to the
Principal Priority of Payment), (i) 20.0 per cent. of any remaining Interest
Proceeds to the payment to the Investment Manager of any Incentive
Investment Management Fee due and payable on such Payment Date and to
the payment of any value added tax in respect thereof (whether payable to the
Investment Manager or directly to the relevant taxing authority); and (ii) any
remaining Interest Proceeds to the payment of dividends to the Issuer for
payment to the Euro Issuer Shares, in each case, the remaining Non-Euro
Interest Proceeds converted at the applicable Spot Rate of Exchange on the
Determination Date, if requested by the Investment Manager and the
Shareholders, respectively.
(ii) Principal Priority of Payments Principal Proceeds shall be paid on the Payment
Date, in each case subject to the provisions of Condition 3(c)(iv) (Multi-Currency
Provisions) unless otherwise specified:
(A) to the payment on a sequential basis of the amounts referred to in
paragraphs (A) through (R) (inclusive) of the Interest Priority of Payments,
but, save in the case of paragraphs (K), (M) and (P), only to the extent not
paid in full thereunder;
(B) to payment (1) of an amount equal to the Special Redemption Amount (if
any) applicable to such Payment Date if it is a Special Redemption Date and
(2) of all remaining Principal Proceeds in the event of any redemption of the
Notes pursuant to Condition 7(c) (Redemption for Tax Reasons) in
redemption of the Notes in full, in accordance with the remaining
paragraphs of the Principal Priority of Payments applied as if the
Reinvestment Period had expired, and assuming, for such purposes, that the
Investment Manager had no discretion to reinvest Principal Proceeds in
Substitute Collateral Debt Obligations;
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(C) (1) during the Reinvestment Period, either to the purchase of Substitute
Collateral Debt Obligations or to the Euro Principal Account or to the
Class A-2 Currency Principal Account, as the case may be, pending
reinvestment in Substitute Collateral Debt Obligations at a later date;
(2) after the Reinvestment Period, all remaining Principal Proceeds
(other than those permitted to be and actually designated for
reinvestment in accordance with the terms of the Investment
Management Agreement), (x) first, on a pro rata and pari passu
basis, (i) in redemption of the Class A-1 Notes and, after the
redemption in full of the Class A-1 Notes, the Class A-3 Notes, and
(ii) the Class A-2 Notes in accordance with the Class A Redemption
Method provided that, in relation to any Class A-2 Noteholder who
has failed to pay its Pro Rata Share of a Class A-2 Advance when
requested or which has failed to comply with the provisions set out in
the relevant Class A-2 Note Purchase Agreement, any payments of
Principal Proceeds due to such Class A-2 Noteholder shall be paid
into the Class A-2 Collateral Account until either (1) the sum of the
Total Undrawn Amount has been deposited into the Class A-2
Collateral Account or (2) the Class A-2 Notes are the subject of a
Replacement Financing in accordance with Condition 7(f)
(Redemption and Repayment of Class A-2 Notes), and (y) secondly,
after redemption in full thereof in redemption of the Rated Notes
(other than the Class A Notes) in accordance with the Note Payment
Sequence;
(D) to the payment on a sequential basis of the amounts referred to in
paragraphs (W) and (X) of the Interest Priority of Payments;
(E) to the payment on a sequential basis of the amounts referred to in
paragraphs (T), (U) and (V) of the Interest Priority of Payments;
(F) any remaining Principal Proceeds, to the payment on the Euro Issuer Shares
on a pro rata basis (determined upon redemption in full thereof by reference
to the proportion that the principal amount of the Original Euro Issuer Shares
held by Shareholders bore to the Principal Amount Outstanding of the Euro
Issuer Shares immediately prior to such redemption) following, if requested
by the Shareholders, conversion of any portion of Class A-2 Currency
Interest Proceeds into Euro at the applicable Spot Rate of Exchange on the
related Determination Date provided that such payments will be made only to
the extent required for the Incentive Fee Threshold to be satisfied; and
(G) subject to the Incentive Fee Threshold having been satisfied (after taking into
account all prior distributions to Shareholders and any distributions to be
made to Shareholders on such Payment Date, including pursuant to the
Interest Priority of Payment), (i) 20.0 per cent. of any remaining Principal
Proceeds, to the payment to the Investment Manager of any Incentive
Investment Management Fee due and payable on such Payment Date and to
the payment of any value added tax in respect thereof (whether payable to the
Investment Manager or directly to the relevant taxing authority), and (ii) any
remaining amounts to the Shareholders, in each case, the remaining Principal
Proceeds converted at the applicable Spot Rate of Exchange on the
Determination Date, if requested by the Investment Manager and the
Shareholders, respectively.
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The calculation of any Coverage Test on any Determination Date shall be made after
giving effect to all payments to be made pursuant to all sub-clauses of the Priorities of
Payments, as applicable, payable on the Payment Date following such Determination
Date. In addition, no Principal Proceeds will be used to pay interest and/or principal
in respect of a subordinated Class of Notes (determined by reference to the Priorities
of Payments) on a Payment Date if, after giving effect to such payment, any Par
Value Test of a more senior Class of Notes is failing on such Payment Date or would
fail as a result of such application of the Principal Proceeds on such Payment Date.
(iii) Collateral Enhancement Obligation Priority of Payments Any Collateral
Enhancement Obligation Proceeds received by the Issuer during a Due Period, will,
on the relevant Payment Date, at the option of the Issuer, or the Investment Manager
acting on behalf of the Issuer, following, if requested by the Investment Manager or
the Shareholders, conversion thereof into Euro (to the extent necessary) at the Spot
Rate of Exchange on the related Determination Date, be applied in repayment of any
outstanding Investment Manager Advances and/or, at the option of the Investment
Manager (acting on behalf of the Issuer) be retained in the Collateral Enhancement
Account or paid to the Shareholders.
(iv) Multi-Currency Provisions For the purposes of Conditions 3(c)(i) (Interest Priority
of Payments) and 3(c)(ii) (Principal Priority of Payments), Euro Interest Proceeds
and Euro Principal Proceeds shall be applied first towards amounts payable in Euro
and Class A-2 Currency Interest Proceeds and Class A-2 Currency Principal Proceeds
shall be applied first towards amounts payable in and denominated in such Class A-2
Currency and in no event shall any Euro Interest Proceeds (or, as the case may be,
Euro Principal Proceeds) be applied in payment of any Euro amount payable under
any paragraph (or sub-paragraph) of the Interest Proceeds Priority of Payment (or, as
the case may be, the Principal Priority of Payments) unless all amounts payable in
each Class A-2 Currency under any ranking in priority to such amount in the relevant
Priorities of Payment have been paid in full, and in no event shall any Class A-2
Non-Euro Interest proceeds (or, as the case may be, Class A-2 Non-Euro Principal
Proceeds) be paid in relation to any amount payable under any paragraph (or sub
paragraph) of the Interest Proceeds Priority of Payments (or, case the case may be,
the Principal Priority of Payments) unless all amounts payable in priority to such
amount in Euro and each other Class A-2 Currency (if applicable) in the relevant
Priorities of Payment have been paid in full provided that:
(A) to the extent that there is a sufficient amount of Euro Interest Proceeds and
Class A-2 Currency Interest Proceeds or Euro Principal Proceeds and
Class A-2 Currency Principal Proceeds available to make payment
obligations falling due under the same paragraph of the Interest Priority of
Payments or Principal Priority of Payments on a Payment Date, the
Investment Manager (acting on behalf of the Issuer) shall direct the Collateral
Administrator to procure that Euro Interest Proceeds and/or Euro Principal
Proceeds, as applicable, be applied towards the payment of such amounts
which are denominated in Euro, and Class A-2 Currency Interest Proceeds
and/or Class A-2 Currency Principal Proceeds, as applicable, be applied
towards the payment of such amounts denominated in the corresponding
Class A-2 Currency, in applying any amounts payable pursuant to any
paragraph of Conditions 3(c)(i) (Interest Priority of Payments) and 3(c)(ii)
(Principal Priority of Payments) above, subject to the Class A Redemption
Method
(B) to the extent that following application as provided in paragraph (A) above,
there is an insufficient amount of Euro Interest Proceeds and Euro Principal
Proceeds (as applicable) to meet payment obligations due in Euro pursuant to
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any relevant paragraph of the Interest Priority of Payments or Principal
Priority of Payments on a Payment Date, but there is more than a sufficient
amount of Class A-2 Currency Interest Proceeds and Class A-2 Currency
Principal Proceeds (as applicable) available pursuant to such paragraph (if
any), the Collateral Administrator shall convert at the Spot Rate of Exchange
such portion of the excess Class A-2 Currency Interest Proceeds and
Class A-2 Currency Principal Proceeds (as applicable) as is necessary to
ensure payment of the obligations due in Euro, provided to (i) the Investment
Manager shall convert Class A-2 Currency Interest Proceeds prior to
converting Class A-2 Currency Principal Proceeds, and (ii) where there are
Class A-2 Currency Principal Proceeds available in more than one currency,
the Investment Manager shall determine which Class A-2 Currency Principal
Proceeds should be converted into Euro save that a currency of a Class A-2
Advance (“Currency A”) may not be converted to the extent that such
conversion would give rise to a Class A-2 Currency Funding Mismatch in
respect of Currency A where the conversion of another currency of a
Class A-2 Advance (“Currency B”) would not give rise to a Class A-2
Currency Funding Mismatch in respect of Currency B and if it is not possible
to avoid a Class A-2 Currency Funding Mismatch in each Class A-2
Currency of a Class A-2 Advance, the Investment Manager on behalf of the
Issuer will convert Class A-2 Currency Principal Proceeds into Euro such that
there is a pro rata Class A-2 Currency Funding Mismatch in each Class A-2
Currency (calculated in Euro at the Spot Rate);
(C) to the extent that following application as provided in paragraph (A) above,
there is an insufficient amount of Class A-2 Currency Interest Proceeds and
Class A-2 Currency Principal Proceeds (as applicable) to meet payment
obligations due in a Class A-2 Currency pursuant to any relevant paragraph
of the Interest Priority of Payments or Principal Priority of Payments on a
Payment Date, but there is more than a sufficient amount of Euro Interest
Proceeds and Euro Principal Proceeds (as applicable) available pursuant to
such paragraph (if any), the Collateral Administrator shall convert at the Spot
Rate of Exchange such portion of the excess Euro Interest Proceeds and Euro
Principal Proceeds (as applicable) as is necessary to ensure payment of the
obligations due in a Class A-2 Currency:
(i) convert Euro Interest Proceeds (and/or, as the case may be, Euro
Principal Proceeds) (to the extent available) into the relevant
Class A-2 Currency at the Spot Rate to pay in full the amounts
payable and denominated in such Class A-2 Currency pursuant to any
of such paragraphs; and
(ii) to the extent that there are insufficient Euro Interest Proceeds and
Euro Principal Proceeds to pay in full amounts outstanding in relation
to such Class A-2 Currency, the Investment Manager shall convert
Class A-2 Currency Interest Proceeds in another Class A-2 Currency
(and/or, as the case may be, Class A-2 Currency Principal Proceeds
in such other Class A-2 Currency) in order to pay such amounts
provided that where there are Class A-2 Currency Principal Proceeds
available in more than one currency, the Investment Manager shall
determine which Class A-2 Currency Principal Proceeds should be
converted into Euro save that a currency of a Class A-2 Advance
(“Currency A”) may not be converted to the extent that such
conversion would give rise to a Class A-2 Currency Funding
Mismatch in respect of Currency A where the conversion of another
currency of a Class A-2 Advance (“Currency B”) would not give
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ise to a Class A-2 Currency Funding Mismatch in respect of
Currency B and if it is not possible to avoid a Class A-2 Currency
Funding Mismatch in each Class A-2 Currency of a Class A-2
Advance, the Investment Manager on behalf of the Issuer will
convert Principal Proceeds into the required currencies such that
there is a pro rata Class A-2 Currency Funding Mismatch in each
Class A-2 Currency (calculated in Euro at the Spot Rate); after
payment in full of the Class A Notes, the Collateral Administrator
(on behalf of the Issuer) shall convert, unless specified otherwise by
the Investment Manager, any Class A-2 Currency Interest Proceeds
(and/or, (as the case may be), any Class A-2 Currency Principal
Proceeds (to the extent available) into Euro (if requested) at the Spot
Rate to pay in full the amounts payable in Euro pursuant to such
priority of payment; and
provided that in respect of paragraphs (B) and (C) above, any redemption of the
Class A Notes pursuant to the Priorities of Payment shall be effected in accordance
with the Class A Redemption Method and, if on any Payment Date, any Euro
Principal Proceeds are not applied in redemption of Senior Notes in accordance with
Case 2 of the Class A Note Redemption Method, such Euro Principal Proceeds shall
be paid into the Principal Account and applied in redemption of any other Notes or in
payment of any other liabilities on any subsequent Payment Dates.
Any conversion which is required to be made under this Condition 3(c)(iv)
(Multi-Currency Provisions) shall be made at the Spot Rate.
(d) Non-payment of Amounts Failure on the part of the Issuer to pay the Interest Amounts due
and payable on any Class of Notes pursuant to Condition 6 (Interest) and the Priorities of
Payments by reason solely that there are insufficient funds standing to the credit of the
Payment Account shall not be an Event of Default unless and until (i) such failure continues
for a period of at least five days and (ii) (A) in the case of non-payment of interest due and
payable on the Class C Notes, the Class A Notes and the Class B Notes have been redeemed
in full, and (B) in the case of non-payment of interest due and payable on the Class D Notes,
the Class A Notes, the Class B Notes and the Class C Notes have been redeemed in full and
save in each case as the result of any deduction therefrom or the imposition of withholding
thereon as set out in Condition 9 (Taxation).
Subject always, in the case of Interest Amounts payable in respect of the Class C Notes or the
Class D Notes to Condition 6(c) (Deferral of Interest) and save as otherwise provided in
respect of any unpaid Investment Management Fees (and value added tax payable in respect
thereof), in the event of non-payment of any amounts referred to in the Priorities of Payments
on any Payment Date, such amounts shall remain due and shall be payable on each
subsequent Payment Date in the orders of priority provided for in this Condition. References
to the amounts referred to in the Interest Priority of Payments and the Principal Priority of
Payments shall include any amounts thereof not paid when due in accordance with this
Condition on any preceding Payment Date.
(e) Determination and Payment of Amounts The Collateral Administrator will, in consultation
with the Investment Manager, on each Determination Date, calculate the amounts payable on
the applicable Payment Date pursuant to the Priorities of Payments and will notify the Issuer
and the Trustee of such amounts. The Account Bank (acting in accordance with the Note
Valuation Report compiled by the Collateral Administrator on behalf of the Issuer) shall, on
behalf of the Issuer not later than 12.00 noon (London time) on the second Business Day
preceding each Payment Date, cause the amounts standing to the credit of each of the
Accounts which are required, to be transferred to the Payment Account in accordance with
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Condition 3(j) (Payments to and from the Accounts) on such Payment Date to be so
transferred.
(f) De Minimis Amounts The Collateral Administrator may, in consultation with the
Investment Manager, adjust the amounts required to be applied in payment of principal on the
Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes from time to time
pursuant to the Priorities of Payments so that the amount to be so applied in respect of each
Class A Note, Class B Note, Class C Note and Class D Note is a whole amount, not involving
any fraction of a cent or, at the discretion of the Collateral Administrator, part of a Euro, or in
respect of any Class A-2 Currency Amount Outstanding of the Class A-2 Notes, not involving
any fraction of a pence or, at the discretion of the Collateral Administrator, part of a
Class A-2 Currency.
(g) Publication of Amounts The Collateral Administrator will cause details as to the amounts of
interest and principal to be paid, and any amounts of interest payable but not paid, on each
Payment Date in respect of the Notes of each Class to be notified at the expense of the Issuer
to the Issuer, the Trustee, the Principal Paying Agent, the Registrar, the Class A-2 Note Agent
and the Irish Stock Exchange by no later than 11.00 am (London time) on the second
Business Day following the applicable Determination Date and the Registrar, or the Class A-2
Note Agent in respect of the Class A-2 Notes, shall procure that details of such amounts are
notified at the expense of the Issuer to the Noteholders of each Class, or the Class A-2
Noteholders as applicable, in accordance with Condition 16 (Notices) as soon as possible after
notification thereof to the Registrar, or the Class A-2 Note Agent in respect of the Class A-2
Notes, in accordance with the above but in no event later than (to the extent applicable) the
third Business Day after the last day of the applicable Due Period.
(h) Notifications to be Final All notifications, opinions, determinations, certificates, quotations
and decisions given, expressed, made or obtained or discretions exercised for the purposes of
the provisions of this Condition will (in the absence of manifest error) be binding on the
Issuer, the Collateral Administrator, the Trustee, the Registrar, the Class A-2 Note Agent, the
Principal Paying Agent, the Transfer Agents and all Noteholders and (in the absence as
referred to above) no liability to the Issuer or the Noteholders shall attach to the Collateral
Administrator in connection with the exercise or non-exercise by it of its powers, duties and
discretions under this Condition.
(i) Accounts The Issuer shall, prior to the Issue Date (subject to the paragraphs below), establish
the following accounts with the Account Bank:
the Euro Principal Account;
the Euro Interest Account;
the Unused Proceeds Account;
the Standby Liquidity Account;
the Hedge Termination Account;
each Asset Swap Account;
the Class A-2 Currency Principal Account (including the sub-accounts for the
currencies denominated in Euro, USD and GBP and any other applicable Non-Euro
Currencies, as permitted from time to time);
the Class A-2 Currency Interest Account (including the sub-accounts for the
currencies denominated in Euro, USD and GBP and any other applicable Non-Euro
Currencies, as permitted from time to time);
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the Collateral Enhancement Account;
the Payment Account;
a Hedging Reserve Account;
each Delayed Drawdown Reserve Account;
and the following Accounts with the Custodian:
each Synthetic Collateral Account;
each Counterparty Downgrade Collateral Account;
each Class A-2 Noteholder Collateral Account; and
the Custody Account.
The Account Bank shall at all times be a financial institution satisfying the Rating
Requirement applicable thereto. In the event that the Account Bank at any time fails to satisfy
the Rating Requirement, the Issuer shall use reasonable endeavours to procure that a
replacement Account Bank acceptable to the Trustee, which satisfies the Rating Requirement
is appointed in accordance with the provisions of the Agency Agreement.
Amounts standing to the credit of the Accounts (other than the Payment Account) from time
to time may be invested by the Investment Manager on behalf of the Issuer in Eligible
Investments.
All interest accrued on any of the Accounts from time to time shall be paid into the Euro
Interest Account (save that interest accrued on the Class A-2 Currency Principal Account
from time to time shall be paid into the Class A-2 Currency Interest Account), save to the
extent that the Issuer is contractually bound to pay such amounts to a third party. All
principal amounts received in respect of Eligible Investments standing to the credit of any
Account from time to time shall be credited to that Account upon maturity, save to the extent
that the Issuer is contractually bound to pay such amounts to a third party. All interest
accrued on such Eligible Investments (including capitalised interest received upon the sale,
maturity or termination of any such investment) shall be paid to the Euro Interest Account
(save that interest accrued on such Eligible Investments denominated in a Class A-2 Currency
shall be paid to the Class A-2 Currency Interest Account) as, and to the extent provided,
above.
To the extent that any amounts required to be paid into any Account pursuant to the
provisions of this Condition are denominated in a currency which is not that in which the
Account is denominated, the Investment Manager, acting on behalf of the Issuer, may convert
such amounts into the currency of the Account at the applicable Spot Rate of Exchange as
determined by the Calculation Agent.
Notwithstanding any other provisions of this Condition 3(i) (Accounts), all amounts standing
to the credit of each of the Accounts (other than (i) the Euro Interest Account and the
Class A-2 Currency Interest Account, (ii) the Standby Liquidity Account, (iii) the Payment
Account, (iv) all interest accrued on the Accounts, (v) all amounts standing to the credit of
each Asset Swap Account and the Class A-2 Currency Interest Account representing amounts
that would constitute Euro Interest Proceeds if denominated in Euro and (vi) the Collateral
Enhancement Account) shall be transferred to the Payment Account and shall constitute
Principal Proceeds on the Business Day prior to any redemption of the Notes in full, and all
amounts standing to the credit of the Euro Interest Account and the Standby Liquidity
Account, together with the other amounts not payable into the Euro Principal Account, as
referred to in paragraphs (i), (ii), (iv), (v) and (vi) above, shall be transferred to the Payment
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Account as Interest Proceeds on the Business Day prior to any redemption of the Notes in
full, save in each case, (A) in the case of amounts standing to the credit of each Synthetic
Collateral Account, to the extent such amounts are required to be paid to any Synthetic
Counterparty, (B) in the case of amounts standing to the credit of the Counterparty
Downgrade Collateral Account, to the extent such amounts are required to be paid to any
Hedge Counterparty, (C) in the case of amounts standing to the credit of the Class A-2
Noteholder Collateral Account, to the extent such amounts are required to be paid to any
Class A-2 Noteholder, (D) in the case of amounts standing to the credit of the Standby
Liquidity Account, to the extent such amounts are required to be paid to the Liquidity Facility
Provider and (E) in the case of amounts standing to the credit of the Hedging Reserve
Account, to the extent such sums are required to be paid to a Portfolio Currency Hedge
Counterparty.
(j) Payments to and from the Accounts
(i) Euro Principal Account The Issuer will procure that the following amounts are paid
into the Euro Principal Account promptly upon receipt thereof:
(A) all principal payments received in respect of any Collateral Debt Obligation,
save for any Non-Euro Obligations, including, without limitation:
(1) amounts received in respect of any maturity, scheduled amortisation,
mandatory prepayment or mandatory sinking fund payment on a
Collateral Debt Obligation;
(2) Unscheduled Principal Proceeds;
(3) recoveries on Defaulted Obligations and any other principal
payments with respect to Collateral Debt Obligations in either case to
the extent not included in Sale Proceeds;
(4) deferred interest received in respect of (x) any Mezzanine Obligation
(other than a Defaulted Deferring Mezzanine Obligation) which the
Investment Manager (acting on behalf of the Issuer) has not
designated in its discretion to be Euro Interest Proceeds (other than
any Purchased Accrued Interest), and (y) any Defaulted Deferring
Mezzanine Obligation but excluding Defaulted Mezzanine Excess
Amounts which shall be payable into the Euro Interest Account
unless such amounts have been designated for payment to the Euro
Principal Account by the Investment Manager in its discretion (acting
on behalf of the Issuer); and
(5) any other principal payments with respect to Collateral Debt
Obligations (to the extent not included in the Sale Proceeds);
but excluding any such payments received in respect of any Delayed
Drawdown Obligation, to the extent required to be paid into the relevant
Delayed Drawdown Reserve Account and excluding any principal payments
representing accreted interest received in respect of any Zero Coupon
Securities and Step-Up Coupon Securities, PIK Obligations, PIYC
Obligations;
(B) all Sale Proceeds received in respect of any Collateral Debt Obligation, save
for any Class A-2 Currency Obligations;
(C) any Asset Swap Counterparty Principal Exchange Amount or Asset Swap
Replacement Receipt transferred from the Hedge Termination Account (to
the extent not required to pay any Asset Swap Termination Payment)
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eceived by the Issuer under any Asset Swap Transaction and for the
avoidance of doubt, excluding any Asset Swap Termination Receipt other
than to the extent permitted to be transferred to the Euro Principal Account in
accordance with Condition 3(j)(v) (Hedge Termination Account);
(D) any Portfolio Currency Hedge Termination Receipt or Portfolio Currency
Hedge Replacement Receipt (to the extent not required to pay any Portfolio
Currency Hedge Termination Payment) transferred from the Hedge
Termination Account received by the Issuer under any Portfolio Currency
Hedge Transaction and determined by the Investment Manager (acting on
behalf of the Issuer) to be payable to the Euro Principal Account in
accordance with the Portfolio Currency Hedge Requirements;
(E) any amounts received from a Portfolio Currency Hedge Counterparty to the
Issuer under or in respect of a Portfolio Currency Hedge Transaction which,
in each case, the Investment Manager (acting on behalf of the Issuer) has
determined at its option shall be paid into the Euro Principal Account in
accordance with the Portfolio Currency Hedge Requirements;
(F) cash amounts (representing any excess Principal Proceeds standing to the
credit of each Asset Swap Account which relates to a specific Asset Swap
Transaction after and subject to payment in full of all amounts due to be paid
to the applicable Asset Swap Counterparty pursuant to such Asset Swap
Transaction) transferred from each Asset Swap Account at the discretion of
the Investment Manager, acting on behalf of the Issuer, converted into Euro
at the applicable Spot Rate of Exchange as determined by the Calculation
Agent at the direction of the Investment Manager;
(G) all fees and commissions received in connection with the purchase or sale of
any Collateral Debt Obligations (save for any Class A-2 Currency
Obligation) or Eligible Investments denominated in Euro or the work out or
restructuring of any Defaulted Obligations or Collateral Debt Obligations
(save for any Class A-2 Currency Obligation);
(H) all Distributions and Sale Proceeds received in respect of Exchanged Equity
Securities received in respect of any Collateral Debt Obligations, save for any
Class A-2 Currency Obligation;
(I) all Purchased Accrued Interest received in respect of any Collateral Debt
Obligation, save for any Class A-2 Currency Obligation;
(J) all principal payments received in respect of any Synthetic Collateral relating
to any Synthetic Security denominated in Euro to the extent no longer subject
to the security interest of the applicable Synthetic Counterparty;
(K) the proceeds of issuance of any tranche of Notes and Issuer Euro Shares to
the extent not paid into the Unused Proceeds Account;
(L) any other amounts received in respect of the Collateral (save for any
Class A-2 Currency Obligation) which are not required to be paid into
another account (following conversion thereof into Euro to the extent
required at the applicable Spot Rate of Exchange);
(M) all Euro Interest Proceeds payable into the Euro Principal Account pursuant
to paragraph (S) of the Interest Priority of Payments upon the failure to meet
the Reinvestment Test during the Reinvestment Period;
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(N) all amounts payable to the Issuer from each Counterparty Downgrade
Collateral Account upon termination of an Asset Swap Transaction, a
Portfolio Currency Hedge Transaction or an Interest Rate Hedge Transaction
or following an event of default thereunder;
(O) all proceeds (save for any Class A-2 Currency Issue Proceeds) received from
any additional issuance of the Notes and Further Issuer Euro Shares after the
Ramp-up Period that are not (1) invested in Collateral Debt Obligations (2)
paid into the Euro Interest Account at the discretion of the Investment
Manager (acting on behalf of the Issuer);
(P) any Class A-2 Advances denominated in Euro;
(Q) at any time from the Class A-2 Currency Principal Account any amounts at
the discretion of the Investment Manager (acting on behalf of the Issuer) in
accordance with the Portfolio Currency Hedge Requirements following
conversion into Euro at the applicable Spot Rate of Exchange;
(R) all amounts payable into the Euro Principal Account not included in any
other Account pursuant to this Condition 3(j)(Payments to and from the
Accounts);
(S) all amounts payable into the Euro Principal Account from the Euro Interest
Account at the option of the Investment Manager in accordance with the
Portfolio Currency Hedge Requirements;
(T) any amounts to be transferred from the Unused Proceeds Account upon
satisfaction of the Effective Date Requirements at the discretion of the
Investment Manager; and
(U) any amounts to be transferred into the Euro Principal Account pursuant to
Condition 3(c)(iv) (Priorities of Payments - Multi-Currency Provisions).
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Euro Principal Account:
(1) on the second Business Day prior to each Payment Date, all Euro
Principal Proceeds standing to the credit of the Euro Principal
Account to the Payment Account to the extent required for
disbursement pursuant to the Principal Priority of Payments, save for
(x) (other than on any date on which the Notes are to be redeemed in
full) amounts deposited after the end of the related Due Period and
(y) any Euro Principal Proceeds deposited prior to the end of the
related Due Period to the extent such Euro Principal Proceeds are
permitted to be and have been designated for reinvestment by the
Investment Manager (on behalf of the Issuer) pursuant to the
Investment Management Agreement for a period beyond such
Payment Date, provided that no such payment shall be made to the
extent that such amounts are not required to be distributed pursuant
to the Principal Priority of Payments on such Payment Date;
(2) at any time in accordance with the terms of, and to the extent
permitted under, the Investment Management Agreement, in the
acquisition of Collateral Debt Obligations (including any payments to
an Asset Swap Counterparty in respect of initial principal exchange
amounts pursuant to any Asset Swap Transaction, entered into in
respect thereof and/or the posting of Synthetic Collateral upon the
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acquisition of any Synthetic Security) and amounts equal to the
Unfunded Amounts of any Delayed Drawdown Obligations (save for
any Class A-2 Currency Obligation) which are required to be
deposited in the relevant Delayed Drawdown Reserve Account;
(3) at any time, any Hedge Termination Payment payable by the Issuer
(save to the extent it is a Defaulted Hedge Termination Payments) to
the extent payable in Euro and not paid out from the Hedge
Termination Account;
(4) at any time to the Class A-2 Currency Principal Account, any
amounts at the discretion of the Investment Manager (acting on
behalf of the Issuer) in accordance with the Portfolio Currency Hedge
Requirements, following conversion thereof into Class A-2 Currency
at the applicable Spot Rate of Exchange;
(5) any amounts payable by the Issuer to a Portfolio Currency Hedge
Counterparty under or in respect of a Portfolio Currency Hedge
Transaction which the Portfolio Currency Hedge Requirements
provide are to be or may at the Investment Manager’s discretion be
paid out of the Euro Principal Account;
(6) at any time, subject to receipt of Rating Agency Confirmation, in
payment of the costs of entry into any Replacement Interest Rate
Hedge Transaction or Replacement Portfolio Currency Hedge
Transaction, as applicable, to the extent not paid out of the Hedge
Termination Account;
(7) at any time after the Effective Date, amounts standing to the credit of
the Euro Principal Account which the Investment Manager (acting on
behalf of the Issuer) has determined at its option shall be paid into the
Euro Interest Account, subject to satisfaction of each of the Par
Coverage Tests and Collateral Quality Tests both immediately before
and immediately after such payment and subject to the Aggregate
Collateral Balance is equal to or greater than the Target Par Amount
immediately after such payment;
(8) at any time any Class A-2 Repayments denominated in Euro
provided that, in relation to any Class A-2 Noteholder who has failed
to pay its Pro Rata Share of a Class A-2 Advance when requested or
which has failed to comply with the provisions set out in the relevant
Class A-2 Note Purchase Agreement, any payments of due to such
Class A-2 Noteholder from the Euro Principal Account shall be paid
into the Class A-2 Collateral Account until either (1) the sum of the
Total Undrawn Amount has been deposited into the Class A-2
Collateral Account or (2) the Class A-2 Notes are the subject of a
Replacement Financing in accordance with Condition 7(f)
(Redemption and Repayment of Class A-2 Notes); and
(9) at any time, an amount equal to the sum of all fees, expenses and
other amounts incurred in connection with the issue of any Further
Notes and Further Issuer Euro Shares.
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(ii) Euro Interest Account The Issuer will procure that the following amounts are
credited to the Euro Interest Account promptly upon receipt thereof:
(A) all cash payments of interest in respect of the Collateral Debt Obligations
(save for Non-Euro Obligations) and any Synthetic Collateral including:
(1) any deferred interest or capitalised interest (including Roll-Up
Margin) received in respect of any Mezzanine Obligation (other than
a Defaulted Deferring Mezzanine Obligation) which the Investment
Manager (acting on behalf of the Issuer) has designated in its
discretion to be Euro Interest Proceeds (other than any Purchased
Accrued Interest);
(2) all amounts received by the Issuer by way of gross-up in respect of
such interest and in respect of a claim under any applicable double
taxation treaty; and
(3) any Defaulted Mezzanine Excess Amounts which have not been
designated by the Investment Manager (acting on behalf of the
Issuer), in its discretion for payment to the Euro Principal Account;
(B) all amendment and waiver fees, late payment fees, commitment fees,
syndication fees and all other fees and commissions received in connection
with any Collateral Debt Obligation (save for any Class A-2 Currency
Obligation) or Eligible Investment denominated in Euro, save for those
received upon sale or purchase of any Collateral Debt Obligation (save for
any Class A-2 Currency Obligation) or Eligible Investment denominated in
Euro and to the extent received in respect of any Defaulted Obligation or the
work out or restructuring of any Collateral Debt Obligation (save for any
Class A-2 Currency Obligation), which fees and commissions shall be paid
into the Euro Principal Account and shall constitute Euro Principal Proceeds;
(C) all amounts representing the element of deferred interest or capitalised
interest (including Roll-Up Margin) in any payments received in respect of
any Collateral Debt Obligation (other than any Class A-2 Currency
Obligation) which is a Mezzanine Obligation which (1) is not a Defaulted
Deferring Mezzanine Obligation and (2) the Investment Manager (acting on
behalf of the Issuer) has designated as Euro Interest Proceeds;
(D) all accrued interest included in the proceeds of sale of any Collateral Debt
Obligation (save for any Class A-2 Currency Obligation) that is designated
by the Investment Manager (acting on behalf of the Issuer) as Euro Interest
Proceeds pursuant to the Investment Management Agreement, provided that
no such designation may be made in respect of:
(1) any Purchased Accrued Interest; or
(2) any interest received in respect of any Mezzanine Obligation for so
long as it is a Defaulted Deferring Mezzanine Obligation (other than
Defaulted Mezzanine Excess Amounts which have not been
designated for payment to the Euro Principal Account by the
Investment Manager (acting on behalf of the Issuer) in its discretion);
or
(3) proceeds representing accrued interest received in respect of any
Defaulted Obligation (other than a Defaulted Deferring Mezzanine
Obligation) unless and until (x) the principal of such Defaulted
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Obligation has been repaid in full and (y) any Purchased Accrued
Interest in relation to such Defaulted Obligation has been paid);
(E) all Scheduled Periodic Asset Swap Counterparty Payments received by the
Issuer under an Asset Swap Transaction;
(F) all Scheduled Periodic Interest Rate Hedge Counterparty Payments received
by the Issuer under an Interest Rate Hedge Transaction;
(G) cash amounts relating to Interest Proceeds (representing any excess standing
to the credit of each Asset Swap Account which relates to a specific Asset
Swap Transaction after and subject to payment in full of Scheduled Periodic
Asset Swap Issuer Payments due to be paid to the related Asset Swap
Counterparty pursuant to such Asset Swap Transaction) transferred from each
Asset Swap Account at the discretion of the Investment Manager, acting on
behalf of the Issuer, converted into Euro at the applicable Spot Rate of
Exchange;
(H) any amounts received from a Portfolio Currency Hedge Counterparty to the
Issuer under or in respect of a Portfolio Currency Hedge Transaction which
the Investment Manager has determined at its option shall be paid into the
Euro Interest Account in accordance with the Portfolio Currency Hedge
Requirements;
(I) any Portfolio Currency Hedge Termination Receipt or Portfolio Currency
Hedge Replacement Receipt (to the extent not required to pay any Portfolio
Currency Hedge Termination Payment) transferred from the Hedge
Termination Account received by the Issuer under any Portfolio Currency
Hedge Transaction and determined by the Investment Manager (acting on
behalf of the Issuer) to be payable to the Euro Interest Account in accordance
with the Portfolio Currency Hedge Requirements;
(J) amounts transferred to the Euro Interest Account from the Unused Proceeds
Account in the circumstances described under Condition 3(j)(iii) (Unused
Proceeds Account) below;
(K) all scheduled commitment fees received by the Issuer in respect of any
Delayed Drawdown Obligations, save for any Class A-2 Currency
Obligation;
(L) any principal payments representing accreted interest received in respect of
any Zero Coupon Securities and Step-Up Coupon Securities, PIK, PIYC,
save for any Class A-2 Currency Obligation;
(M) at any time, the proceeds of an Investment Manager Advance denominated in
Euro, to the extent not applied in the acquisition of, or in respect of any
exercise of any option or warrant comprised in, one or more Collateral
Enhancement Obligations (in accordance with the terms of the Investment
Management Agreement);
(N) all premiums (including prepayment premiums) receivable upon redemption
of any Collateral Debt Obligations (save for any Class A-2 Currency
Obligation) at maturity or otherwise or upon exercise of any put or call option
in respect thereof which is above the outstanding principal amount of any
Collateral Debt Obligation (save for any Class A-2 Currency Obligation),
provided that the Aggregate Collateral Balance (as determined using the
Multi-Currency Exchange Rate) is equal to or greater than the Target Par
Amount immediately after such payment;
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(O) any amounts standing to the credit of the Class A-2 Currency Interest
Account which the Investment Manager (acting on behalf of the Issuer) has
determined at its option shall be paid into the Euro Interest Account in
accordance with the Portfolio Currency Hedge Requirements following
conversion thereof into Euro at the applicable Spot Rate of Exchange,
provided that (1) such transfers are made for the purposes of making interest
payments due under the Notes denominated in Euro or (2) the Investment
Manager does not reasonably expect to require such amounts being
transferred to be required to make payments in a Class A-2 Currency due
under the Rated Notes;
(P) any amounts transferred from the Euro Principal Account pursuant to
paragraph (7) of Condition 3(j)(i) (Euro Principal Account);
(Q) amounts drawn down under the Liquidity Facility Agreement from time to
time which are denominated in Euro;
(R) interest denominated in Euro received from any Class A-2 Noteholder upon
failure by it to meet its funding obligations under, or comply with the terms
of, the Class A-2 Note Purchase Agreement;
(S) any amounts transferred from the Unused Proceeds Account upon satisfaction
of the Effective Date Requirements at the discretion of the Investment
Manager.
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Euro Interest Account:
(1) on the second Business Day prior to each Payment Date, all Euro
Interest Proceeds standing to the credit of the Euro Interest Account
shall be transferred to the Payment Account for disbursement
pursuant to the Interest Priority of Payments (other than on any date
on which the Notes are to be redeemed in full), save for amounts
deposited after the end of the related Due Period and any other
amounts designated, at the sole discretion of the Investment
Manager, to be transferred to the Hedging Reserve Account pursuant
to the Portfolio Currency Hedge Requirements;
(2) at any time, subject to insufficient amounts being available in the
Collateral Enhancement Account for the acquisition or exercise of
rights in any Collateral Enhancement Obligation at such time,
amounts required by the Issuer or the Investment Manager (acting on
behalf of the Issuer for such purpose at such time), to be deposited
into the Collateral Enhancement Account, provided that:
(x) each Coverage Test is satisfied if recalculated following any
such withdrawal; and
(y) the amount of funds withdrawn from the Euro Interest
Account pursuant to this paragraph (2) or from the Class A-2
Currency Interest Account pursuant to paragraph (2)
applicable thereto, or pursuant to paragraph (AA) of the
Interest Priority of Payments for such purpose do not exceed
€1,000,000 as a cumulative maximum aggregate total;
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(for the purposes of which determinations all amounts so deposited in
a Class A-2 Currency shall be converted into Euro at the applicable
Spot Rate of Exchange);
(3) at any time in accordance with the terms of, and to the extent
permitted under, the Investment Management Agreement, in the
acquisition of Collateral Debt Obligations to the extent that any such
acquisition costs represent accrued interest or capitalised interest or
Roll-Up Margin;
(4) at any time, funds may be transferred to any Asset Swap Account (to
the relevant segregated sub-account thereof) up to an amount equal to
any shortfall in the Balance standing to the credit of such Asset Swap
Account with respect to any payment obligation by the Issuer
pursuant to paragraph (2) of Condition 3(j)(vi) (Asset Swap
Accounts) at such time;
(5) any amounts payable by the Issuer to a Portfolio Currency Hedge
Counterparty under or in respect of a Portfolio Currency Hedge
Transaction which the Portfolio Currency Hedge Requirements
provide are to be or may at the Investment Manager’s discretion be
paid out of the Euro Interest Account, save for any Defaulted
Portfolio Currency Hedge Termination Payments;
(6) at any time, any amounts payable by the Issuer under any Interest
Rate Hedge Transaction, save for any Interest Rate Hedge
Termination Payments that are Defaulted Hedge Termination
Payments;
(7) at any time to the payment of amounts due and payable to the
Liquidity Facility Provider pursuant to the Liquidity Facility
Agreement to the extent they relate to amounts drawn down by the
Issuer pursuant to the terms thereof;
(8) any amounts standing to the credit of the Euro Interest Account
which the Investment Manager (acting on behalf of the Issuer) has
determined at its option shall be paid into the Class A-2 Currency
Interest Account in accordance with the Portfolio Currency Hedge
Requirements following conversion thereof into a Class A-2
Currency at the applicable Spot Rate of Exchange, provided that (x)
such transfers are made for the purposes of making interest payments
due under the Class A-2 Notes or (y) the Investment Manager does
not reasonably expect to require such amounts being transferred to be
required to make payments in Euro due under the Rated Notes; and
(9) the payments of any Break Costs associated with any payments to the
Class A-2 Noteholders.
(iii) Unused Proceeds Account The Unused Proceeds Account shall comprise at least
three sub-accounts denominated in Euro, USD and GBP and any other applicable
Non-Euro Currencies, and amounts shall be paid into and out of each such
sub-account in accordance with the currency in which they are denominated. The
Issuer will procure that an amount equal to the net proceeds of issue of the Notes and
Shares remaining after the payment of all amounts due and payable by the Issuer on
the Issue Date, together with all proceeds received from any additional issuance of
Notes and Further Issuer Euro Shares that are not invested in Collateral Debt
Obligations or paid into the Euro Principal Account or Class A-2 Currency Principal
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Account are credited to the Unused Proceeds Account, which shall be divided
between the Unused Proceeds Interest Subaccount and Unused Proceeds Principal
Subaccount as directed by the Investment Manager, acting on behalf of the Issuer.
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Unused Proceeds Account:
(1) on or after the Issue Date, certain fees, costs and expenses incurred in
connection with the issue of the Notes and anticipated to be payable by the
Issuer on or following completion of the issue of the Notes which amounts
shall be paid out of the Unused Proceeds Principal Subaccount or if
insufficient the Unused Proceeds Interest Subaccount;
(2) at any time up to and including the last day of the Ramp-up Period, in
accordance with the terms of, and to the extent permitted under, the
Investment Management Agreement, in the acquisition of Collateral Debt
Obligations (including any payments to any Asset Swap Counterparty in
respect of initial principal exchange amounts for Asset Swap Obligations),
which amounts shall be funded:
(x) to the extent that any such acquisition costs represent accrued
interest, out of the Unused Proceeds Interest Subaccount or, to the
extent that there are insufficient amounts standing to the credit
thereof, out of the Unused Proceeds Principal Subaccount;
(y) in the case of any other acquisition costs other than those that
represent accrued interest, out of the Unused Proceeds Principal
Subaccount or, to the extent that there are insufficient amounts
standing to the credit thereof, out of the Euro Principal Account, in
the case of all Collateral Debt Obligations other than Class A-2
Currency Obligations, or, in the case of Class A-2 Currency
Obligations, the Class A-2 Currency Principal Account or, to the
extent that there are insufficient amounts standing to the credit
thereof, out of the Unused Proceeds Interest Subaccount;
(3) in the event of the occurrence of an Effective Date Rating Event, the Balance
standing to the credit of the Unused Proceeds Account, on the Business Day
prior to the Payment Date falling after the Effective Date (and, if required,
any Payment Date thereafter), to the extent required (with amounts standing
to the credit of the Unused Proceeds Interest Subaccount being so transferred
first and thereafter amounts standing to the credit of the Unused Proceeds
Principal Subaccount), to the Payment Account for application as Principal
Proceeds in accordance with the Priorities of Payments, in redemption of the
Notes or, if earlier, until the Rating Agencies confirm that the rating of each
of the Rated Notes has been reinstated to the Initial Ratings; and
(4) upon the Effective Date Requirements being met, the Balance standing to the
credit of the Unused Proceeds Interest Subaccount, to the Euro Interest
Account or, in the case of amounts denominated in a Class A-2 Currency, to
the Class A-2 Currency Interest Account, and the Balance standing to the
credit of the Unused Proceeds Principal Subaccount, to the Euro Principal
Account or, in the case of amounts denominated in a Class A-2 Currency, to
the Class A-2 Currency Principal Account, provided that prior to the transfer
of the amounts described above, the Investment Manager (acting on behalf of
the Issuer) may in its discretion transfer an amount out of the Unused
Proceeds Interest Subaccount or an amount out of the Unused Proceeds
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Principal Subaccount, subject to the satisfaction of each of the Coverage
Tests and Collateral Quality Tests and to the Aggregate Collateral Balance
being equal to or greater than the Target Par Amount, to the Payment
Account (or, prior thereto, to the Euro Interest Account and/or the Class A-2
Currency Interest Account, as applicable) as Interest Proceeds for the
purposes of the related Payment Date, provided further that the aggregate of
such amounts transferred out of the Unused Proceeds Principal Subaccount
so transferred shall not exceed one per cent. of the Aggregate Collateral
Balance.
(iv) Standby Liquidity Account If at any time the Liquidity Facility Provider does not
satisfy the applicable Rating Requirement, the Liquidity Facility Provider will,
subject to the provisions of the Liquidity Facility Agreement, pay an amount equal to
the undrawn commitment under the Liquidity Facility Agreement into the Standby
Liquidity Account. The Issuer will procure that all amounts due and payable to the
Liquidity Facility Provider during the Liquidity Account Period are paid into the
Standby Liquidity Account in accordance with the Liquidity Facility Agreement.
The Issuer will procure payment of the following amounts (and shall ensure that
payment of no other amount is made) out of the Standby Liquidity Account:
(1) amounts which the Issuer is permitted to draw under the Liquidity Facility
Agreement and which are to be credited to the Euro Interest Account or, as
the case may be, the Class A-2 Currency Interest Account;
(2) the Balance standing to the credit of the Standby Liquidity Account to the
extent that such amount becomes repayable to the Liquidity Facility Provider
pursuant to the terms of the Liquidity Facility Agreement; and
(3) all interest standing to the credit of the Standby Liquidity Account payable to
the Issuer pursuant to the terms of the Liquidity Facility Agreement.
(v) Hedge Termination Account The Hedge Termination Account shall be divided into
individual segregated sub-accounts in respect of (x) each Asset Swap Transaction,
(y) all Interest Rate Hedge Transactions and (z) all Portfolio Currency Hedge
Transactions and only payments in respect of the relevant transaction specified above
shall be paid into and/or out of the sub-account applicable thereto.
The Issuer will procure that all Hedge Termination Receipts and Hedge Replacement
Receipts are paid into the Hedge Termination Account promptly upon receipt thereof.
The Issuer will procure payment of the following amounts (except in respect of the
Portfolio Currency Hedge Transactions) (and shall ensure that payment of no other
amount is made) out of the Hedge Termination Account:
(1) at any time, in the case of any Hedge Replacement Receipts paid into a
Hedge Termination Account, in payment of any Hedge Termination
Payments due and payable to a Hedge Counterparty under the Hedge
Transaction being replaced or, to the extent not required to make such Hedge
Termination Payment, to the Euro Principal Account;
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(2) at any time, in the case of any Hedge Termination Receipts paid into the
Hedge Termination Account, in payment of amounts payable by the Issuer
upon entry into a Replacement Hedge Transaction in accordance with the
Investment Management Agreement, and in the event that:
(x) the Hedge Termination Receipts available in the Hedge Termination
Account exceed the cost of entering into a Replacement Hedge
Transaction; or
(y) the Investment Manager (acting on behalf of the Issuer) determines
not to replace the Hedge Transaction in respect of which such
amounts were received and Rating Agency Confirmation is received
in respect of such determination; or
(z) termination of the Hedge Transaction under which such Hedge
Termination Receipts are payable occurs on or in respect of a
Redemption Date;
in payment of such amounts to the Euro Principal Account.
The Issuer will procure payment of the following amounts in respect of the Portfolio
Currency Hedge Transactions (and shall ensure that payment of no other amount is
made) out of the Hedge Termination Account at any time, in the case of any Portfolio
Currency Hedge Replacement Receipts paid into a Hedge Termination Account:
(1) (x) in payment of any Portfolio Currency Hedge Termination Payments
due and payable to a Portfolio Currency Hedge Counterparty under a
Portfolio Currency Hedge Transaction being replaced and in payment
of amounts payable by the Issuer upon entry into a Replacement
Portfolio Currency Hedge Transaction in accordance with the
Investment Management Agreement; or
(y) to the extent (i) not required to make such Portfolio Currency Hedge
Termination Payment or (ii) the Portfolio Currency Hedge
Termination Receipts available in the Hedge Termination Account
exceed the cost of entering into a Replacement Hedge Transaction, in
payment of such amounts to the Euro Principal Account, Class A-2
Currency Principal Account, Euro Interest Account or Class A-2
Currency Interest Account in accordance with the Portfolio Currency
Hedge Requirements;
(2) in the event that the Investment Manager (acting on behalf of the Issuer)
determines not to replace the Portfolio Currency Hedge Transaction in
respect of which such amounts were received, in payment of such amounts to
the Euro Principal Account, Class A-2 Currency Principal Account, Euro
Interest Account or Class A-2 Currency Interest Account in accordance with
the Portfolio Currency Hedge Requirements; or
(3) in the event of a termination of the Portfolio Currency Hedge Transaction
under which such Portfolio Currency Hedge Termination Receipts are
payable occurs on or in respect of a Redemption Date, in payment of such
amounts to the Euro Principal Account and/or the Class A-2 Currency
Principal Account.
(vi) Asset Swap Accounts The Issuer will procure that all amounts due to the Issuer in
respect of each Asset Swap Obligation (including any payments from an Asset Swap
Counterparty in respect of initial principal exchange amounts pursuant to an Asset
Swap Transaction, and excluding, with respect to any Asset Swap Transaction in
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elation to a Delayed Drawdown Obligation, any amounts required to be paid into a
Delayed Drawdown Reserve Account pursuant to Condition 3(j)(xi) (Delayed
Drawdown Reserve Accounts)) shall, on receipt, be deposited in a segregated
sub-account within the Asset Swap Account in respect of, and maintained in the
currency of, each such individual Asset Swap Obligation. Additional amounts may
also be transferred to the Asset Swap Account from the Euro Interest Account at any
time to the extent of any shortfall in the Balance standing to the credit of the Asset
Swap Account in respect of any payment required to be made by the Issuer pursuant
to paragraph (2) below at such time.
The Issuer will procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the relevant sub-account of the Asset Swap Account:
(1) at any time, to the extent of any initial principal exchange amount deposited
into the Asset Swap Account in accordance with the terms of and to the
extent permitted under the Investment Management Agreement, in the
acquisition of Asset Swap Obligations, as applicable;
(2) Scheduled Periodic Asset Swap Issuer Payments due to each Asset Swap
Counterparty pursuant to each Asset Swap Transaction;
(3) Asset Swap Issuer Principal Exchange Amounts due to each Asset Swap
Counterparty pursuant to each Asset Swap Transaction; and
(4) cash amounts (representing any excess standing to the credit of the Asset
Swap Account after provisioning for any amounts to be paid to any Asset
Swap Counterparty pursuant to any Asset Swap Transaction) to the Euro
Interest Account or the Euro Principal Account at the discretion of the
Investment Manager (acting on behalf of the Issuer) thereof into Euro at the
applicable Spot Rate of Exchange, provided that no such transfer relating to
Principal Proceeds into the Euro Interest Account shall be permitted to the
extent that the Euro equivalent of the full amount of the principal amount of
the related Asset Swap Obligation has not been paid into the Euro Principal
Account;
(vii) Class A-2 Currency Principal Account The Issuer will procure that the following
amounts are paid into the Class A-2 Currency Principal Account (into all the relevant
sub-accounts thereafter) promptly upon receipt thereof:
(A) all principal payments received in respect of any Class A-2 Currency
Obligation, including, without limitation:
(1) amounts received in respect of any maturity, scheduled amortisation,
mandatory prepayment or mandatory sinking fund payment on a
Class A-2 Currency Obligation;
(2) Unscheduled Principal Proceeds received in respect of any Class A-2
Currency Obligation;
(3) recoveries on Class A-2 Currency Obligations which are Defaulted
Obligations and any other principal payments with respect to Non
Class A-2 Currency Obligations in either case to the extent not
included in Sale Proceeds received in respect of Class A-2 Currency
Obligations;
(4) deferred interest including Roll-Up Margin received in respect of (x)
any Class A-2 Currency Obligation which is a Mezzanine Obligation
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(other than a Class A-2 Currency Obligation which is a Defaulted
Deferring Mezzanine Obligation) which the Investment Manager
(acting on behalf of the Issuer) has not designated in its discretion to
be Class A-2 Currency Interest Proceeds (other than any Purchased
Accrued Interest), and (y) any Class A-2 Currency Obligation which
is a Defaulted Deferring Mezzanine Obligation but excluding
Defaulted Mezzanine Excess Amounts which shall be payable into
the Class A-2 Currency Interest Account unless such amounts have
been designated for payment to the Class A-2 Currency Principal
Account by the Investment Manager in accordance with the terms of
the Investment Management Agreement; and
(5) any other principal payments with respect to Class A-2 Currency
Obligations (to the extent not included in the Sale Proceeds);
but excluding any amount to the extent required to be paid into the relevant
Delayed Drawdown Reserve Account and excluding any principal payments
representing accreted interest received in respect of any Zero Coupon
Securities, Step-Up Coupon Securities, PIK Obligations, PIYC Obligations
and such payments received in respect of any Class A-2 Currency Obligation
which is a Delayed Drawdown Obligation;
(B) all Sale Proceeds received in respect of any Class A-2 Currency Obligation;
(C) any Portfolio Currency Hedge Termination Receipt or Portfolio Currency
Hedge Replacement Receipt (to the extent not required to pay any Portfolio
Currency Hedge Termination Payment) transferred from the Hedge
Termination Account received by the Issuer under any Portfolio Currency
Hedge Transaction and determined by the Investment Manager (acting on
behalf of the Issuer) to be payable to the Class A-2 Currency Principal
Account in accordance with the Portfolio Currency Hedge Requirements;
(D) any amounts received from a Portfolio Currency Hedge Counterparty to the
Issuer in respect of a Portfolio Currency Hedge Transaction which the
Investment Manager has determined at its option shall be paid into the
Class A-2 Currency Principal Account in accordance with the Portfolio
Currency Hedge Requirements;
(E) all fees and commissions received in connection with (1) the purchase or sale
of any Class A-2 Currency Obligation or Eligible Investments denominated
in a Class A-2 Currency or (2) the work out or restructuring of any Class A-2
Currency Obligation which is a Defaulted Obligation;
(F) all Distributions and Sale Proceeds received in respect of Exchanged Equity
Securities received in respect of any Class A-2 Currency Obligation;
(G) all Purchased Accrued Interest received in respect of any Class A-2 Currency
Obligation;
(H) all principal payments received in respect of any Synthetic Collateral relating
to any Synthetic Security denominated in GBP to the extent no longer subject
to the security interest of the applicable Synthetic Counterparty;
(I) all Class A-2 Currency Interest Proceeds payable into the Class A-2 Currency
Principal Account pursuant to paragraph (S) of the Interest Priority of
Payments upon the failure to meet the Reinvestment Test during the
Reinvestment Period;
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(J) all Class A-2 Currency Issue Proceeds received from any additional issuance
of the Notes after the Ramp-up Period that are not invested in Collateral Debt
Obligations;
(K) at any time, from the Euro Principal Account, any amounts at the discretion
of the Investment Manager (acting on behalf of the Issuer) in accordance with
the Portfolio Currency Hedge Requirements following conversion thereof
into a Class A-2 Currency at the applicable Spot Rate of Exchange;
(L) any Class A-2 Advances denominated in Class A-2 Currency;
(M) any other amounts received in respect of Class A-2 Currency Obligations and
any other amounts denominated in Class A-2 Currency which are not
required to be paid into another Account;
(N) any amounts transferred from the Unused Proceeds Account upon satisfaction
of the Effective Date Requirements at the discretion of the Investment
Manager;
(O) any amounts transferred from the Class A-2 Currency Interest Account at the
option of the Investment Manager in accordance with the Portfolio Currency
Hedge Requirements.
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Class A-2 Currency Principal Account:
(1) on the second Business Day prior to each Payment Date, all
Class A-2 Currency Principal Proceeds standing to the credit of the
Class A-2 Currency Principal Account to the Payment Account to the
extent required for disbursement pursuant to the Principal Priority of
Payments, save for (x) (other than on any date on which the Notes are
to be redeemed in full) amounts deposited after the end of the related
Due Period and (y) any Class A-2 Currency Principal Proceeds
deposited prior to the end of the related Due Period to the extent such
Class A-2 Currency Principal Proceeds are permitted to be and have
been designated for reinvestment by the Investment Manager (on
behalf of the Issuer) pursuant to the Investment Management
Agreement for a period beyond such Payment Date, provided that no
such payment shall be made to the extent that such amounts are not
required to be distributed pursuant to the Principal Priority of
Payments on such Payment Date;
(2) at any time in accordance with the terms of, and to the extent
permitted under, the Investment Management Agreement, in the
acquisition of Class A-2 Currency Obligations (including any
payments to a Portfolio Currency Hedge Counterparty in respect of
entry into any Portfolio Currency Hedge Transaction, and amounts
equal to the Unfunded Amounts of any Delayed Drawdown
Obligations which are Class A-2 Currency Obligations and which are
required to be deposited in the relevant Delayed Drawdown Reserve
Account;
(3) at any time, any Hedge Termination Payment payable by the Issuer
(save to the extent it is a Defaulted Hedge Termination Payments) to
the extent payable in a Non-Euro Currency and not paid out the
Hedge Termination Account;
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(4) any amounts payable by the Issuer to a Portfolio Currency Hedge
Counterparty under or in respect of a Portfolio Currency Hedge
Transaction which the Portfolio Currency Hedge Requirements
provide are to be or may at the Investment Manager’s discretion be
paid out of the Class A-2 Currency Principal Account;
(5) at any time after the Effective Date any amounts standing to the
credit of the Class A-2 Currency Principal Account which the
Investment Manager (acting on behalf of the Issuer) has determined
at its option shall be paid into the Class A-2 Currency Interest
Account, subject to satisfaction of each of the Coverage Tests and
Collateral Quality Tests both immediately before and immediately
after such payment and subject to the Aggregate Collateral Balance
being equal to or greater than the Target Par Amount immediately
after such payment;
(6) any Class A-2 Repayments denominated in a Class A-2 Currency
provided that, in relation to any Class A-2 Noteholder who has failed
to pay its Pro Rata Share of a Class A-2 Advance when requested or
which has failed to comply with the provisions set out in the relevant
Class A-2 Note Purchase Agreement, any payments of due to such
Class A-2 Noteholder from the Class A-2 Currency Principal
Account shall be paid into the Class A-2 Collateral Account until
either (1) the sum of the Total Undrawn Amount has been deposited
into the Class A-2 Collateral Account or (2) the Class A-2 Notes are
the subject of a Replacement Financing in accordance with
Condition 7(f) (Redemption and Repayment of Class A-2 Notes);
(7) at any time to the Euro Principal Account, any amounts at the
discretion of the Investment Manager (acting on behalf of the Issuer)
in accordance with the Portfolio Currency Hedge Requirements
following conversion thereof into Euro at the applicable Spot Rate of
Exchange.
(viii) Class A-2 Currency Interest Account The Issuer will procure that the following
amounts are credited to the Class A-2 Currency Interest Account (into all the relevant
sub-accounts thereafter) promptly upon receipt thereof:
(A) all cash payments of interest in respect of Class A-2 Currency Obligations
including:
(1) any deferred interest or capitalised interest received in respect of any
Class A-2 Currency Obligation which is a Mezzanine Obligation
(other than a Class A-2 Currency Obligation which is a Defaulted
Deferring Mezzanine Obligation) which the Investment Manager has
designated in its discretion to be Class A-2 Currency Interest
Proceeds (other than any Purchased Accrued Interest denominated in
a Class A-2 Currency);
(2) all amounts received by the Issuer by way of gross-up in respect of
such interest and in respect of a claim under any applicable double
taxation treaty; and
(3) any Defaulted Mezzanine Excess Amounts received in respect of
Class A-2 Currency Obligations which have not been designated by
the Investment Manager (acting on behalf of the Issuer) at its
discretion for payment to the Class A-2 Currency Principal Account);
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(B) all amendment and waiver fees, late payment fees, commitment fees,
syndication fees and all other fees and commissions received in connection
with any Class A-2 Currency Obligation and Eligible Investment
denominated in a Class A-2 Currency, save those received upon sale or
purchase of any Class A-2 Currency Obligation or Eligible Investment
denominated in a Class A-2 Currency and to the extent received in respect of
any Class A-2 Currency Obligation which is a Defaulted Obligation or the
work out or restructuring of any Class A-2 Currency Obligation, which fees
and commissions shall be paid into the Class A-2 Currency Principal Account
and shall constitute Class A-2 Currency Principal Proceeds;
(C) all amounts representing the element of deferred interest in any payments
received in respect of any Class A-2 Currency Obligation which is a
Mezzanine Obligation which (1) is not a Defaulted Deferring Mezzanine
Obligation and (2) the Investment Manager (acting on behalf of the Issuer)
has designated as Class A-2 Currency Interest Proceeds;
(D) all accrued interest included in the proceeds of sale of any other Class A-2
Currency Obligation that is designated by the Investment Manager as
Class A-2 Currency Interest Proceeds pursuant to the Investment
Management Agreement, provided that no such designation may be made in
respect of:
(1) any Purchased Accrued Interest; or
(2) any interest received in respect of any Class A-2 Currency Obligation
which is a Mezzanine Obligation for so long as it is a Defaulted
Deferring Mezzanine Obligation (other than Defaulted Mezzanine
Excess Amounts which have not been designated for payment to the
Class A-2 Currency Principal Account by the Investment Manager in
its discretion in accordance with the terms of the Investment
Management Agreement); or
(3) proceeds representing accrued interest received in respect of any
Class A-2 Currency Obligation which is a Defaulted Obligation
unless and until (x) the principal of such Defaulted Obligation has
been repaid in full and (y) any Purchased Accrued Interest in relation
to such Defaulted Obligation has been paid);
(E) at any time, the proceeds of an Investment Manager Advance denominated in
a Class A-2 Currency, to the extent not applied in the acquisition of, or in
respect of any exercise of any option or warrant comprised in, one or more
Collateral Enhancement Obligations (in accordance with the terms of the
Investment Management Agreement);
(F) all amounts received by the Issuer under the Liquidity Facility Agreement
which are denominated in a Class A-2 Currency;
(G) all scheduled commitment fees received by the Issuer in respect of any
Class A-2 Currency Obligations which are Delayed Drawdown Obligations;
(H) any principal payments representing accreted interest received after the date
of acquisition thereof in respect of any Class A-2 Currency Obligations
which are Zero Coupon Securities and Step-Up Coupon Securities, PIK
Obligations or PIYC Obligations;
(I) all premiums (including prepayment premiums) receivable upon redemption
of any Class A-2 Currency Obligations at maturity or otherwise or upon
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exercise of any put or call option in respect thereof which is above the
outstanding principal amount of any Class A-2 Currency Obligation provided
that the Aggregate Collateral Balance is equal to or greater than the Target
Par Amount immediately after such payment;
(J) any amounts standing to the credit of the Euro Interest Account which the
Investment Manager (acting on behalf of the Issuer) has determined at its
option shall be paid into the Class A-2 Currency Interest Account in
accordance with the Portfolio Currency Hedge Requirements following
conversion thereof into a Class A-2 Currency at the applicable Spot Rate of
Exchange, provided that (1) such transfers are made for the purposes of
making interest payments due under the Class A-2 Notes or (2) the
Investment Manager does not reasonably expect to require such amounts
being transferred to be required to make interest payments in Euro due under
the Rated Notes;
(K) after the Effective Date, any amounts transferred from the Class A-2
Currency Principal Account pursuant to paragraph (5) of Condition 3(j)(vii)
(Class A-2 Currency Principal Account);
(L) interest denominated in a Class A-2 Currency received from any Class A-2
Noteholder upon failure by it to meet its funding obligations under, or
comply with the terms of, the Class A-2 Note Purchase Agreement;
(M) any amounts received from a Portfolio Currency Hedge Counterparty to the
Issuer under or in respect of a Portfolio Currency Hedge Transaction which
the Investment Manager has determined at its option shall be paid into the
Class A-2 Currency Interest Account in accordance with the Portfolio
Currency Hedge Requirements;
(N) any amounts transferred from the Unused Proceeds Account at the discretion
of the Investment Manager, pursuant to paragraph (4) of Condition 3(j)(iii)
(Unused Proceeds Account).
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Class A-2 Currency Interest Account:
(1) on the second Business Day prior to a Payment Date, to the Payment
Account any Class A-2 Currency Interest Proceeds standing to the
credit of the Class A-2 Currency Interest Account shall be transferred
to the Payment Account for disbursement pursuant to the Interest
Priority of Payments save for (other than on any date on which the
Notes are to be redeemed in full) amounts deposited after the end of
the related Due Period and any other amounts designated, at the sole
discretion of the Investment Manager, to be transferred to the Class
Hedging Reserve Account pursuant to the Portfolio Currency Hedge
Requirements;
(2) at any time, subject to insufficient amounts being available in the
Collateral Enhancement Account for the acquisition or exercise of
any Collateral Enhancement Obligation at such time, amounts
required by the Issuer or the Investment Manager acting on behalf of
the Issuer for such purpose at such time, to be deposited into the
Collateral Enhancement Account, provided that:
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(x) each Coverage Test is satisfied if recalculated following any
such withdrawal; and
(y) the amount of funds withdrawn from the Class A-2 Currency
Interest Account pursuant to this paragraph (2) or from the
Euro Interest Account pursuant to paragraph (2) applicable
thereto, or pursuant to (AA) of the Interest Priority of
Payments for such purpose do not exceed €1,000,000 as a
cumulative maximum aggregate total;
(for the purposes of which determinations all amounts so deposited in
a Class A-2 Currency shall be converted into Euro at the applicable
Spot Rate of Exchange).
(3) at any time in accordance with the terms of, and to the extent
permitted under, the Investment Management Agreement, in the
acquisition of Class A-2 Currency Obligations to the extent that any
such acquisition costs represent accrued interest;
(4) any amounts payable by the Issuer to a Portfolio Currency Hedge
Counterparty under or in respect of a Portfolio Currency Hedge
Transaction which the Portfolio Currency Hedge Requirements
provide are to be or may at the Investment Manager’s discretion be
paid out of the Class A-2 Currency Interest Account save for any
Defaulted Portfolio Currency Hedge Termination Payments;
(5) at any time to the payment of amounts due and payable to the
Liquidity Facility Provider pursuant to the Liquidity Facility
Agreement to the extent they relate to amounts drawn down by the
Issuer pursuant to the terms thereof to fund the payment of Interest
Amounts payable on the Class A-2 Notes denominated in a Class A-2
Currency;
(6) any amounts standing to the credit of the Class A-2 Currency Interest
Account shall be paid following conversion thereof into Euro at the
applicable Spot Rate of Exchange into the Euro Interest Account,
provided that such transfers are made for the purposes of making
payments denominated in Euros under the Notes; and
(7) the payment of any Break Costs associated with any payments to the
Class A-2 Noteholders.
(ix) Collateral Enhancement Account The Issuer will procure that the following
amounts are credited to the Collateral Enhancement Account which shall comprise
accounts denominated in each currency in which any Collateral Enhancement
Obligation is denominated and amounts shall be paid into and out of each such
account in accordance with the currency in which they are denominated:
(A) at any time, all Collateral Enhancement Obligation Proceeds;
(B) at any time, any amounts withdrawn from the Euro Interest Account or the
Class A-2 Currency Interest Account pursuant to Condition 3(j)(ii) (Euro
Interest Account) or Condition 3(j)(viii) (Class A-2 Currency Interest
Account) for the purposes of the acquisition of, or in respect of any exercise
of any option or warrant comprised in, one or more Collateral Enhancement
Obligations;
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(C) on each Payment Date, all dividends payable in respect of the Issuer Euro
Shares which the Issuer, or the Investment Manager on its behalf, determines
at its discretion shall be applied in payment into the Collateral Enhancement
Account pursuant to paragraph (AA) of the Interest Priority of Payments,
subject to the limit specified in such paragraph;
(D) the proceeds of any Investment Management Advance.
The Issuer will procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Collateral Enhancement Account:
(1) at any time, in the acquisition of, or in respect of any exercise of any
option or warrant comprised in, Collateral Enhancement Obligations,
in accordance with the terms of the Investment Management
Agreement; and
(2) on the second Business Day prior to each Payment Date, at the
discretion of the Investment Manager, acting on behalf of the Issuer,
all or part of the Balance standing to the credit of the Collateral
Enhancement Account to the Payment Account for distribution on
such Payment Date in accordance with the Collateral Enhancement
Obligation Priority of Payments, following, where applicable,
conversion into the requisite currency at the applicable Spot Rate of
Exchange.
(x) Payment Account The Issuer will procure that, on the second Business Day prior to
each Payment Date, all amounts standing to the credit of each of the Accounts which
are required to be transferred to the Payment Account pursuant to Condition 3(i)
(Accounts) and Condition 3(j) (Payments to and from the Accounts) are so transferred
and that all Scheduled Periodic Interest Rate Hedge Counterparty Payments received
from the Interest Rate Hedge Counterparty prior to or on any Payment Date are paid
into the Payment Account upon receipt thereof and, on such Payment Date, the
Collateral Administrator (acting on the basis of the Note Valuation Report) shall
cause the Account Bank to disburse such amounts in accordance with the Priorities of
Payments. No amounts shall be transferred to or withdrawn from the Payment
Account at any other time or in any other circumstances, save that all interest accrued
on the Payment Account shall be credited to the Euro Interest Account, or the
Class A-2 Currency Interest Account, as applicable.
(xi) Delayed Drawdown Reserve Accounts The Delayed Drawdown Reserve Accounts
shall comprise accounts denominated in Euro, a Class A-2 Currency and such other
currencies as Delayed Drawdown Obligations are denominated in and amounts shall
be paid into and out of each such account in accordance with the currency in which
they are denominated. The Issuer shall, upon the acquisition of a Collateral Debt
Obligation which is a Delayed Drawdown Obligation and which is denominated in a
currency for which there then exists no Delayed Drawdown Reserve Account,
establish with the Account Bank a Delayed Drawdown Reserve Account for the
currency of such Delayed Drawdown Obligation, such Delayed Drawdown Reserve
Account to be opened within two Business Days of notification thereof being
received by the Account Bank.
The Issuer shall procure the following amounts are paid into the applicable Delayed
Drawdown Reserve Account:
(A) upon the acquisition by or on behalf of the Issuer of any Delayed Drawdown
Obligation, an amount equal to the amount which would cause the Balance
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standing to the credit of the relevant Delayed Drawdown Reserve Account to
be at least equal to the combined aggregate principal amounts of the
Unfunded Amounts under each of the Delayed Drawdown Obligations to
which such Base Currency is applicable (which Unfunded Amounts will be
treated as part of the purchase price for the related Delayed Drawdown
Obligation) less amounts posted as collateral for any Unfunded Amounts
pursuant to paragraph (1) below (and which do not constitute Funded
Amounts);
(B) all principal payments received by the Issuer in respect of any Delayed
Drawdown Obligation, if and to the extent that the amount of such principal
payments may be re-borrowed under such Delayed Drawdown Obligation;
(C) upon a failure by the Class A-2 Noteholders to satisfy the Ratings
Requirement, all Undrawn and Committed Amounts relating to the Delayed
Drawdown Obligations drawn down by the Issuer; and
(D) all repayments of collateral to the Issuer originally paid by the Issuer pursuant
to paragraph (1) below.
The Issuer shall procure payment of the following amounts (and shall ensure that no
other amounts are paid) out of the applicable Delayed Drawdown Reserve Account:
(1) all amounts required to fund any drawings under any Delayed
Drawdown Obligation or required to be deposited in the Issuer’s
name with any third party as collateral for any reimbursement or
indemnification obligations of the Issuer owed to any other lender
under such Delayed Drawdown Obligation (subject to such security
documentation as may be agreed between such lender, the Investment
Manager acting on behalf of the Issuer and the Trustee), such
amounts to be denominated in the Base Currency of such Delayed
Drawdown Obligation;
(2) at any time at the direction of the Investment Manager (acting on
behalf of the Issuer) or upon the sale (in whole or in part) of a
Delayed Drawdown Obligation or the reduction, cancellation or
expiry of any commitment of the Issuer to make future advances or
otherwise extend credit thereunder, any excess of (x) the amount
standing to the credit of the applicable Delayed Drawdown Reserve
Account in any Base Currency over (y) the sum of the Unfunded
Amounts of all Delayed Drawdown Obligations which have the same
Base Currency, after taking into account such sale or such reduction,
cancellation or expiry of commitment, (i) if such excess amount
relates to a Collateral Debt Obligation other than a Class A-2
Currency Obligation, to the Euro Principal Account, (ii) if such
excess amount relates to a Class A-2 Currency Obligation, to the
Class A-2 Currency Principal Account;
(3) all principal exchanges payable by the Issuer to, in the case of an
Asset Swap Obligation, an Asset Swap Counterparty under an Asset
Swap Transaction or, in the case of a Class A-2 Currency Obligation,
to a Portfolio Currency Hedge Counterparty to the extent required
under a Portfolio Currency Hedge Transaction on the scheduled date
for payment thereof which relate to any Delayed Drawdown
Obligation; and
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(4) all interest accrued on the Balance standing to the credit of the
applicable Delayed Drawdown Reserve Account from time to time
(including capitalised interest received upon the sale, maturity or
termination of any Eligible Investment) to the Euro Interest Account,
following conversion thereof into Euro to the extent necessary.
(xii) Synthetic Collateral Accounts The Issuer shall procure that sums and/or securities
deposited by the Issuer as Synthetic Collateral to secure the Issuer’s obligations under
a Synthetic Security pursuant to the terms of such Synthetic Security are paid into a
segregated account (each such segregated Synthetic Collateral Account relating to an
individual Synthetic Counterparty and a single currency).
The Issuer shall procure payment of the following amounts (and shall ensure that
payment of no other amount is made, save to the extent otherwise permitted above)
out of the Synthetic Collateral Accounts:
(1) on any Business Day, any Synthetic Collateral (or any amount received on
liquidation or maturity thereof), to the Euro Principal Account upon
termination or maturity of a Synthetic Security to the extent not required to
be paid to the applicable Synthetic Counterparty;
(2) in payment of any amounts due and payable by the Issuer to the applicable
Synthetic Counterparty under any Synthetic Security; and
(3) all interest accrued on any Synthetic Collateral (other than Purchased
Accrued Interest) to the Euro Interest Account (other than amounts payable
pursuant to paragraphs (1) and (2) above); and
(4) upon any release of Synthetic Collateral from the first priority security
interest in favour of the applicable Synthetic Counterparty upon termination
or sale of such Synthetic Security or otherwise, such Synthetic Collateral will
(i) if in the form of cash, be deposited in the Euro Principal Account or (ii) if
in the form of securities:
(A) to the extent that it satisfies the Eligibility Criteria and Reinvestment
Criteria, at the discretion of the Investment Manager (acting on
behalf of the Issuer), be transferred to the Custody Account and shall
constitute a Collateral Debt Obligation; or
(B) in all other circumstances be sold as soon as reasonably practicable.
(xiii) Counterparty Downgrade Collateral Accounts The Issuer will procure that all
Counterparty Downgrade Collateral pledged pursuant to a Hedge Transaction shall be
deposited in a segregated account (each such segregated Counterparty Downgrade
Collateral Account relating to an individual Hedge Counterparty (and a single
currency)). All Counterparty Downgrade Collateral so deposited shall be held and
released pursuant to the terms of the Hedge Transaction in respect of which it was
deposited.
The Issuer will procure that, in respect of any Counterparty Downgrade Collateral,
including, without limitation, all moneys received in respect thereof, all dividends
and distributions paid or payable thereon, all property paid, distributed, accruing or
offered at any time thereon, thereto, or in respect thereof or in substitution therefor
and the proceeds of sale, repayment and redemption thereof will be paid into the
relevant Counterparty Downgrade Collateral Account.
The Issuer will be obliged to return to the applicable Hedge Counterparty all or any of
the amounts credited to the relevant Counterparty Downgrade Collateral Account if
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the applicable Hedge Counterparty is upgraded so that it satisfies the applicable
Rating Requirement, fulfils all of its obligations under the applicable Hedge
Transaction, or if the Issuer (in the determination of the Investment Manager acting
on behalf of the Issuer) becomes over-collateralised in respect of its exposure to the
applicable Hedge Counterparty in accordance with the terms of the applicable Hedge
Transaction and, subject to the immediately following paragraph, until all such
amounts have been so returned to the applicable Hedge Counterparty, payment of no
other amounts shall be made from the Counterparty Downgrade Collateral Accounts.
In the event of a payment default in respect of any applicable Hedge Transaction by
the applicable Hedge Counterparty, any amounts which the Issuer would otherwise
have been obliged to return to the defaulting Hedge Counterparty (but for operation
of this paragraph) shall be reduced, in satisfaction of the debt arising from such
payment default, by an amount equal to such amounts as remain due from the
applicable Hedge Counterparty to the Issuer as a result of such payment default.
(xiv) Class A-2 Noteholder Collateral Accounts The Issuer will procure that all Eligible
Noteholder Collateral pledged pursuant to the Class A-2 Note Purchase Agreement
shall be deposited in a segregated account (each such segregated Class A-2
Noteholder Collateral Account relating to an individual Class A-2 Noteholder). All
Eligible Noteholder Collateral so deposited shall be held and released pursuant to the
terms of the Class A-2 Note Purchase Agreement in respect of which it was
deposited.
The Issuer will procure that, in respect of any Eligible Noteholder Collateral,
including, without limitation, all moneys received in respect thereof, all dividends
and distributions paid or payable thereon, all property paid, distributed, accruing or
offered at any time thereon, thereto, or in respect thereof or in substitution therefor
and the proceeds of sale, repayment and redemption thereof will be paid into the
relevant Class A-2 Noteholder Collateral Account.
The Issuer will be obliged to return to the applicable Class A-2 Noteholder all or any
of the amounts credited to the relevant Class A-2 Noteholder Collateral Account if
the applicable Class A-2 Noteholder is upgraded so that it satisfies the applicable
Rating Requirement, fulfils all of its obligations under the applicable Class A-2 Note
Purchase Agreement, or if the Issuer (in the determination of the Investment Manager
acting on behalf of the Issuer) becomes over-collateralised in respect of its exposure
to the applicable Class A-2 Noteholder in accordance with the terms of the applicable
Class A-2 Note Purchase Agreement and, subject to the immediately following
paragraph, until all such amounts have been so returned to the applicable Class A-2
Noteholder, payment of no other amounts shall be made from the Class A-2
Noteholder Collateral Accounts.
In the event of a payment default in respect of any applicable Class A-2 Note
Purchase Agreement by the applicable Class A-2 Noteholder, any amounts which the
Issuer would otherwise have been obliged to return to the defaulting Class A-2
Noteholder (but for operation of this paragraph) shall be reduced, in satisfaction of
the debt arising from such payment default, by an amount equal to such amounts as
remain due from the applicable Class A-2 Noteholder to the Issuer as a result of such
payment default.
(xv) Hedging Reserve Account The Issuer will procure that all sums payable into the
Hedging Reserve Account pursuant to Condition 3(c)(i) (Interest Priority of
Payments), Condition 3(j)(ii) (Payments to and from the Accounts – Euro Interest
Account) and Condition 3(j)(viii) (Payments to and from the Accounts – Class A-2
Currency Interest Account) shall be paid into the Hedging Reserve Account. The
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4. SECURITY
Issuer shall procure payment of the following amounts (and shall ensure that payment
of no other amount is made) out of the Hedging Reserve Account:
(1) on any Business Day amounts in respect of the acquisition of or entry into a
Portfolio Currency Hedge Transaction; and
(2) immediately prior to any date on which the Notes are to be redeemed in full,
payments to the Payment Account.
(a) Security Pursuant to the Trust Deed, the obligations of the Issuer under the Notes of each
Class, the Trust Deed and the other Transaction Documents (together with the obligations
owed by the Issuer to the other Secured Parties) are secured in favour of the Trustee for the
benefit of the Secured Parties by:
(i) an assignment by way of security of all the Issuer’s present and future rights, title and
interest (and all entitlements or other benefits relating thereto) in respect of all
Mezzanine Obligations, Synthetic Securities, Exchanged Equity Securities and
Eligible Investments standing to the credit of each of the Accounts other than any
other investments, in each case held by the Issuer from time to time (where such
rights are contractual rights other than contractual rights, the assignment of which
would require the consent of a third party), including, without limitation, moneys
received in respect thereof, all dividends and distributions paid or payable thereon, all
property paid, distributed, accruing or offered at any time thereon, thereto or in
respect thereof or in substitution therefor and the proceeds of sale, repayment and
redemption thereof;
(ii) a first fixed charge and first priority security interest granted over all the Issuer’s
present and future rights, title and interest (and all entitlements or other benefits
relating thereto) in respect of all Mezzanine Obligations, Synthetic Securities,
Exchanged Equity Securities and Eligible Investments standing to the credit of each
of the Accounts other than any other investments, in each case held by or on behalf of
the Issuer (where such assets are securities or contractual rights not assigned by way
of security pursuant to paragraph (i) above) including, without limitation, all moneys
received in respect thereof, all dividends and distributions paid or payable thereon, all
property paid, distributed, accruing or offered at any time thereon, thereto or in
respect thereof or in substitution therefor and the proceeds of sale, repayment and
redemption thereof;
(iii) a first fixed charge over all present and future rights of the Issuer in respect of each of
the Accounts other than the Collateral Enhancement Account, the Standby Liquidity
Account, the Synthetic Collateral Account, the Counterparty Downgrade Collateral
Account, the Class A-2 Noteholder Collateral Account and all moneys from time to
time standing to the credit of the Accounts other than the Collateral Enhancement
Account, the Standby Liquidity Account, the Synthetic Collateral Account, the
Counterparty Downgrade Collateral Account, the Class A-2 Noteholder Collateral
Account and the debts represented thereby and including, without limitation, all
interest accrued and other moneys received in respect thereof;
(iv) a first fixed charge and first priority security interest (where the applicable assets are
securities) over or an assignment by way of security (where the applicable rights are
contractual obligations) of all present and future rights of the Issuer in respect of any
Synthetic Collateral including, without limitation, all moneys received in respect
thereof, all dividends and distributions paid or payable thereon, all property paid,
distributed, accruing or offered at any time thereon, thereto or in respect thereof or in
substitution therefor and the proceeds of sale, repayment and redemption thereof and
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over the Synthetic Collateral Accounts and all moneys from time to time standing to
the credit of the Synthetic Collateral Accounts and the debts represented thereby,
subject, in each case, to the rights of any Synthetic Counterparty to require repayment
or redelivery of any such Synthetic Collateral pursuant to the terms of the applicable
Synthetic Security and to any security interest thereover granted in favour of the
Trustee for the benefit of such Synthetic Counterparty pursuant to the applicable
Synthetic Security;
(v) a first fixed charge and first priority security interest (where the applicable assets are
securities) over or an assignment by way of security (where the applicable rights are
contractual obligations) of all present and future rights of the Issuer in respect of any
Counterparty Downgrade Collateral standing to the credit of the Counterparty
Downgrade Collateral Accounts including, without limitation, all moneys received in
respect thereof, all dividends and distributions paid or payable thereon, all property
paid, distributed, accruing or offered at any time thereon, thereto or in respect thereof
or in substitution therefor and the proceeds of sale, repayment and redemption thereof
and over the Counterparty Downgrade Collateral Accounts and all moneys from time
to time standing to the credit of the Counterparty Downgrade Collateral Accounts and
the debts represented thereby, subject, in each case, to the rights of any Hedge
Counterparty to require repayment or redelivery of any such Counterparty
Downgrade Collateral pursuant to the terms of the applicable Hedge Transaction and
to any security interest thereover granted in favour of the Trustee for the benefit of
any Hedge Counterparty pursuant to the applicable Hedge Transaction;
(vi) a first fixed charge and first priority security interest (where the applicable assets are
securities) over or an assignment by way of security (where the applicable rights are
contractual obligations) of all present and future rights of the Issuer in respect of any
Eligible Noteholder Collateral standing to the credit of the Class A-2 Noteholder
Collateral Accounts including, without limitation, all moneys received in respect
thereof, all dividends and distributions paid or payable thereon, all property paid,
distributed, accruing or offered at any time thereon, thereto or in respect thereof or in
substitution therefor and the proceeds of sale, repayment and redemption thereof and
over the Class A-2 Noteholder Collateral Accounts and all moneys from time to time
standing to the credit of the Class A-2 Noteholder Collateral Accounts and the debts
represented thereby, subject, in each case, to the rights of any Class A-2 Noteholder
to require repayment or redelivery of any such Eligible Noteholder Collateral
pursuant to the terms of the applicable Class A-2 Note Purchase Agreement and to
any security interest thereover granted in favour of the Trustee for the benefit of any
Class A-2 Noteholder pursuant to the applicable Class A-2 Note Purchase
Agreement;
(vii) a first fixed charge and first priority security interest (where the applicable assets are
securities) over or an assignment by way of security (where the applicable rights are
contractual obligations) in favour of the Trustee solely for the benefit of the Liquidity
Facility Provider, of all present and future rights of the Issuer in respect of any
amounts standing to the credit of the Standby Liquidity Account including, without
limitation, all moneys received in respect thereof, all dividends and distributions paid
or payable thereon, all property paid, distributed, accruing or offered at any time
thereon, thereto or in respect thereof or in substitution therefor and the proceeds of
sale, repayment and redemption thereof and over the Standby Liquidity Account and
all moneys from time to time standing to the credit of the Standby Liquidity Account
and the debts represented thereby;
(viii) an assignment by way of security of the Issuer’s present and future rights against the
Custodian under the Agency Agreement and a first fixed charge over all of the
Issuer’s right, title and interest in and to the Custody Account (including each cash
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account relating to the Custody Account) and any cash held therein and the debts
represented thereby;
(ix) an assignment by way of security of the Issuer’s present and future rights under each
Hedge Agreement and each Hedge Transaction entered into thereunder (including the
Issuer’s rights under any guarantee or credit support annex entered into pursuant to
any Hedge Agreement, provided that such assignment by way of security shall not in
any way restrict the release of collateral granted thereunder in whole or in part at any
time pursuant to the terms thereof);
(x) an assignment by way of security of the Issuer’s present and future rights under the
Investment Management Agreement and the Collateral Administration Agreement;
(xi) a first fixed charge over all moneys held from time to time by the Principal Paying
Agent and any other Agent on behalf of the Issuer for payment of principal, interest
or other amounts on the Notes (if any);
(xii) an assignment by way of security of the Issuer’s present and future rights under the
Liquidity Facility Agreement, the Agency Agreement, the Class A-2 Note Purchase
Agreement;
(xiii) an assignment by way of security of the Issuer’s present and future rights under the
Collateral Acquisition Agreements; and
(xiv) a floating charge over the whole of the Issuer’s undertaking and assets to the extent
that such undertaking and assets are not subject to any other security created pursuant
to the Trust Deed.
Pursuant to the Trust Deed, if, for any reason, the purported assignment by way of security of,
and/or the grant of first fixed charge over, the property, assets, rights and/or benefits
described in paragraphs (i) to (xiv) (inclusive) above is found to be ineffective in respect of
any such property, assets, rights and/or benefits (together, the “Affected Collateral”), the
Issuer shall hold the benefit of the Affected Collateral and any sums received in respect
thereof or any security interest, guarantee or indemnity or undertaking of whatever nature
given to secure such Affected Collateral (together, the “Trust Collateral”) on trust for the
Trustee and shall (i) account to the Trustee for or otherwise apply all sums received in respect
of such Trust Collateral as the Trustee may direct (provided that, subject to these Conditions
and the terms of the Investment Management Agreement, if no Event of Default has occurred
and is continuing, the Issuer shall only be entitled to apply the benefit of such Trust Collateral
and such sums in respect of such Trust Collateral received by it and held on trust under this
Condition with the consent of the Trustee), (ii) exercise any rights it may have in respect of
the Trust Collateral at the direction of the Trustee and (iii) at its own cost take such action and
execute such documents as the Trustee may in its sole discretion require.
In addition, the Issuer may, from time to time in accordance with the Transaction Documents,
grant security (to the extent required) by way of a first priority security interest:
(A) to a Synthetic Counterparty over Synthetic Collateral deposited by the Issuer in a
Synthetic Collateral Account as security for the Issuer’s obligations under a
Collateralised Credit Default Swap entered into with such Synthetic Counterparty;
and/or
(B) to any Hedge Counterparty over Counterparty Downgrade Collateral deposited by
such Hedge Counterparty in a Counterparty Downgrade Collateral Account as
security for the Issuer’s obligations to repay or redeem such Counterparty Downgrade
Collateral pursuant to the terms of the applicable Hedge Transaction; and/or
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(C) to any Class A-2 Noteholder over Eligible Noteholder Collateral deposited by such
Class A-2 Noteholder in a Class A-2 Noteholder Collateral Account as security for
the Issuer’s obligations to repay or redeem such Eligible Noteholder Collateral
pursuant to the terms of the Class A-2 Note Purchase Agreement; and/or
(D) over amounts representing all or part of the Unfunded Amount of any Delayed
Drawdown Obligation and deposited in its name with a third party as security for any
reimbursement or indemnification obligation of the Issuer owed to any other lender
under such Delayed Drawdown Obligation, subject to the terms of Condition 3(j)(xi)
(Delayed Drawdown Reserve Accounts) (including Rating Agency Confirmation);
and/or
(E) (to the extent required) over any deposit established by the Issuer with a Selling
Institution in connection with the acquisition therefrom of an interest in a Collateral
Debt Obligation in respect of which the Issuer has agreed to guarantee or undertaken
to pay (to the extent of moneys standing to the credit of such deposit) all or part of the
liability of the related Obligor to such Selling Institution.
In the event that the ratings of the Custodian are downgraded to below the Rating
Requirements or withdrawn, the Issuer shall use reasonable endeavours to procure that a
replacement Custodian with the Rating Requirements and who is acceptable to the Trustee is
appointed in accordance with the provisions of the Agency Agreement.
Pursuant to the terms of the Trust Deed, the Trustee is exempted from any liability in respect
of any loss or theft or reduction in value of the Collateral or reduced payments on the
Collateral, from any obligation to insure the Collateral and from any claim arising from the
fact that the Collateral is held in a clearing system or in safe custody by the Custodian, a bank
or other custodian. The Trustee has no responsibility for the management of the Portfolio by
the Investment Manager or to supervise the administration of the Portfolio by the Collateral
Administrator or any other party and is entitled to rely on the certificates or notices of any
relevant party without further enquiry. The Trust Deed also provides that the Trustee shall
accept without further investigation, requisition or objection to, such right, benefit, title and
interest, if any, as the Issuer may have in and to any of the Collateral and is not bound to
make any investigation into the same or into the Collateral in any respect.
Pursuant to a Euroclear Pledge Agreement, the Issuer has also created a Belgian law pledge
over the Collateral Debt Obligations, Eligible Investments and Exchanged Equity Securities
from time to time held by the Custodian on behalf of the Issuer in Euroclear.
(b) Application of Proceeds upon Enforcement The Trust Deed provides that the net proceeds
of realisation of, or enforcement with respect to the security over the Collateral constituted by
the Trust Deed, shall be applied in accordance with the Priorities of Payments set out in
Condition 3(c) (Priorities of Payments).
(c) Limited Recourse The obligations of the Issuer to pay amounts due and payable in respect
of the Notes and to the other Secured Parties at any time shall be limited to the proceeds
available at such time to make such payments in accordance with the Priorities of Payments.
If the net proceeds of realisation of the security constituted by the Trust Deed, upon
enforcement thereof in accordance with Condition 11 (Enforcement) and the provisions of the
Trust Deed, are less than the aggregate amount payable in such circumstances by the Issuer in
respect of the Notes and to the other Secured Parties (such negative amount being referred to
herein as a “shortfall”), the obligations of the Issuer in respect of the Notes of each Class and
its obligations to the other Secured Parties in such circumstances will be limited to such net
proceeds, which shall be applied in accordance with the Priorities of Payments. In such
circumstances, the other assets will not be available for payment of such shortfall which shall
be borne by the Class A Noteholders, the Class B Noteholders, the Class C Noteholders, the
Class D Noteholders, the Trustee and the other Secured Parties in inverse order of the
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Priorities of Payments, the rights of the Secured Parties to receive any further amounts in
respect of such obligations shall be extinguished and none of the Noteholders of any Class or
the other Secured Parties may take any further action to recover such amounts. None of the
Noteholders of any Class, the Trustee or the other Secured Parties (nor any other person
acting on behalf of any of them) shall be entitled at any time to institute against the Issuer, or
join in any institution against the Issuer of, any bankruptcy, examinership, reorganisation,
arrangement, insolvency, winding-up or liquidation proceedings or other proceedings under
any applicable bankruptcy or similar law in connection with any obligations of the Issuer
relating to the Notes of any Class, the Trust Deed or otherwise owed to the Secured Parties,
save for lodging a claim in the liquidation of the Issuer which is initiated by another party or
taking proceedings to obtain a declaration or judgment as to the obligations of the Issuer.
None of the Trustee, the Directors, the Initial Purchaser, any Hedge Counterparty, the
Investment Manager, the Collateral Administrator, the Liquidity Facility Provider, the
Principal Paying Agent, the Registrar or the Custodian or any of their respective Affiliates has
any obligation to any Noteholder of any Class for payment of any amount by the Issuer in
respect of the Notes of any Class.
(d) Acquisition and Sale of Portfolio The Investment Manager will manage the Portfolio on
behalf of the Issuer and is required to act in specific circumstances in relation to the Portfolio
on behalf of the Issuer pursuant to the terms of, and subject to the parameters set out in, the
Investment Management Agreement and subject to the supervision and control of the Issuer.
The duties of the Investment Manager with respect to the Portfolio include (amongst others)
managing:
(i) the Collateral Debt Obligations to be purchased on or prior to the Issue Date and
during the Ramp-up Period;
(ii) the investment of amounts standing to the credit of certain of the Accounts in Eligible
Investments;
(iii) the sale of certain of the Collateral Debt Obligations and the reinvestment of Principal
Proceeds received in Substitute Collateral Debt Obligations in accordance with the
criteria set out in the Investment Management Agreement; and
(iv) its hedging strategy in respect of the Portfolio.
The Investment Manager is required to monitor the Collateral Debt Obligations with a view to
seeking to determine whether any Collateral Debt Obligation has converted into, or been
exchanged for, an Exchanged Equity Security or become a Credit Improved Obligation,
Defaulted Obligation or Credit Impaired Obligation, provided that, if it fails to do so, except
by reason of acts constituting bad faith, wilful misconduct or negligence in the performance
of its obligations, no Noteholder shall have any recourse against any of the Issuer, the
Investment Manager, the Collateral Administrator, the Custodian, the Principal Paying Agent,
the Registrar, the Transfer Agents, the Class A-2 Note Agent or the Trustee for any loss
suffered as a result of such failure.
Under the Investment Management Agreement, the Noteholders have certain rights in respect
of the removal of the Investment Manager.
(e) Exercise of Rights in Respect of the Portfolio Pursuant to the Investment Management
Agreement, the Issuer authorises the Investment Manager, prior to enforcement of the
security over the Collateral, to exercise all rights and remedies of the Issuer in its capacity as
a holder of, or person beneficially entitled to, the Portfolio. In particular, the Investment
Manager is authorised, subject to any specific direction given by the Issuer, to attend and vote
at any meeting of holders of, or other persons interested or participating in, or entitled to the
rights or benefits (or a part thereof) under, the Portfolio and to give any consent, waiver,
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indulgence, time or notification, make any declaration or agree any composition,
compounding or other similar arrangement with respect to any asset forming part of the
Portfolio.
(f) Information Regarding the Collateral The Issuer shall procure that a copy of each Monthly
Report and Note Valuation Report is delivered upon publication thereof by any electronic
means (or is delivered in any other manner approved by the Trustee, including by first class
post), within two Business Days of such publication (to the address specified in each of the
requests referred to below which address may be an e-mail address) to each Noteholder of
each Class upon request in writing therefor and that copies of each such Report are sent to the
Trustee, the Investment Manager and each Rating Agency within two Business Days of
publication thereof.
5. COVENANTS OF AND RESTRICTIONS ON THE ISSUER
The Trust Deed contains, inter alia, representations, warranties and covenants in favour of the
Trustee which, amongst other things, require the Issuer to comply with its obligations under
the Transaction Documents and restrict the ability of the Issuer to create or incur any
indebtedness (other than certain permitted indebtedness as set out in the Trust Deed) or (other
than as contemplated by the Transaction Documents) to dispose of assets, change the nature
of its business or to take, or fail to take, any action which may adversely affect the priority or
enforceability of the Trustee’s security interest in the Collateral.
6. INTEREST
(a) Payment Dates
(i) Class A-1 Notes, Class A-3 Notes, Class B-1 Notes, Class C Notes and Class D
Notes The Class A-1 Notes, Class A-3 Notes, Class B-1 Notes, Class C Notes and
Class D Notes each bear interest at the applicable Floating Rate of Interest (as defined
in Condition 6(e) (Floating Rate of Interest)) from (and including) the Issue Date and
such interest will be payable semi-annually in arrear on each Payment Date.
(ii) Class A-2 Notes Interest in respect of any Class A-2 Advance under the Class A-2
Notes will accrue from (and including) a Class A-2 Advance Date to (but excluding)
the next Payment Date (and thereafter from, and including, one Payment Date to but
excluding the next Payment Date). In addition a Class A-2 Commitment Fee will be
payable in accordance with Condition 18(b) (Class A-2 Advances) on the Total
Undrawn Amount of any Class A-2 Notes.
(b) Interest Accrual
Save to the extent specified in the Pricing Supplement applicable to any tranche of Notes,
interest will be payable in respect of each Note on the basis set out below, subject always to
the other provisions of this Condition 6 (Interest). Each Rated Note will cease to bear interest
from the Payment Date succeeding the due date for redemption unless, upon due presentation,
payment of principal is improperly withheld or refused. In such event, it shall continue to
bear interest in accordance with this Condition 6 (Interest) (both before and after judgment)
until whichever is the earlier of (A) the day on which all sums due in respect of such Note up
to that day are received by or on behalf of the relevant Noteholder and (B) the day seven days
after the Trustee or Principal Paying Agent or, as the case may be, the Class A-2 Note Agent
has notified the Noteholders of such Class of Notes in accordance with Condition 16
(Notices) of receipt of all sums due in respect of all the Notes of such Class up to that seventh
day (except to the extent that there is failure in the subsequent payment to the relevant holders
under these Conditions).
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(c) Deferral of Interest
(i) Deferred Interest The Issuer shall, and shall only be obliged to pay any Interest
Amount payable in respect of the Class C Notes and the Class D Notes in full on any
Payment Date to the extent that there are Interest Proceeds or Principal Proceeds
available for payment thereof in accordance with the Priorities of Payments.
In the case of the Class C Notes and the Class D Notes an amount of interest equal to
any shortfall in payment of the Interest Amount which would, but for the first
paragraph of this Condition 6(c)(i) (Deferred Interest) otherwise be due and payable
in respect of any such Classes of Notes on such Payment Date (each such amount
being referred to as “Deferred Interest”) will not be due and payable on such
Payment Date, but will be added to the principal amount of the Class C Notes and the
Class D Notes, as applicable, and thereafter will accrue interest at the rate of interest
applicable to that Class of Notes and the failure to pay such Deferred Interest to the
holders of the Class C Notes or the Class D Notes, as applicable, will not be an Event
of Default until the Maturity Date provided always however that if the relevant Class
is the Controlling Class, then Deferred Interest shall not be added to the principal
amount of such Class and failure to pay any Interest Amount due and payable thereon
on a Payment Date in full will constitute an Event of Default in accordance with
Condition 10(a)(i) (Non-payment of interest). Deferred Interest added to the principal
amount of any Note pursuant to this Condition 6(c) (Deferral of Interest) shall not be
included in the Principal Amount Outstanding of such Note for purposes of
determining voting rights in respect thereof or the applicable quorum at any meetings
of Noteholders.
(ii) Non payment of Interest Following redemption in full of the Class A Notes and the
Class B Notes, non payment of interest on the Class C Notes and, following
redemption in full of the Class A Notes, the Class B Notes and the Class C Notes, non
payment of interest on the Class D Notes shall constitute an Event of Default in
accordance with Condition 10(a)(i) (Non-payment of interest).
(d) Payment of Deferred Interest Deferred Interest in respect of any Class C Note shall only
become payable by the Issuer in accordance with paragraph (N) of Condition 3(c)(i) (Interest
Priority of Payments) and paragraph (A) of Condition 3(c)(ii) (Principal Priority of
Payments), Deferred Interest in respect of any Class D Note shall only become payable by the
Issuer in accordance with, paragraph (Q) of Condition 3(c)(i) (Interest Priority of Payments)
and paragraph (A) of Condition 3(c)(ii) (Principal Priority of Payments) to the extent that
Interest Proceeds or, as the case may be, Principal Proceeds, are available to make such
payment in accordance with the Priorities of Payments. For as long as the Class C Notes or
the Class D Notes are listed on the Irish Stock Exchange, amounts of Deferred Interest shall
be notified to the Irish Stock Exchange as described in Condition 6(g) (Publication of Rates of
Interest and Interest Amounts) below.
(e) Floating Rate of Interest
(i) Rate of Interest The rate of interest in respect of each Class of Notes from time to
time (or, in the case of the Class A-2 Notes, in respect of the Class A-2 Currency
Amount Outstanding and the Euro Amount Outstanding thereof from time to time)
the (the “Floating Rate of Interest”) will be determined by the Calculation Agent
on the following basis:
(A) On each Interest Determination Date, the Calculation Agent will determine
the offered rate for (1) in the case of the Notes (other than the Class A-2
Notes), six-month Euro deposits or (2) in the case of the Class A-2 Currency
Amount Outstanding of the Class A-2 Notes six-month deposits in the
relevant Class A-2 Currency (or where the Class A-2 Advance Date is not
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also a Payment Date deposits in the relevant Class A-2 Currency for the
period closest to and greater and closest to and shorter than Relevant Period);
and (3) in the case of the Euro Amount Outstanding of the Class A-2 Notes
six-month Euro deposits (or where the Class A-2 Advance Date is not also a
Payment Date Euro deposits for the period closest to and greater and closest
to and shorter than the Relevant Period). Such offered rate will be that which
appears on Reuters Screen EURIBOR1 Page (or such other page or service as
may replace it for the purpose of displaying EURIBOR rates), (or, in the case
of the Class A-2 Currency Amount Outstanding of the Class A-2 Notes, the
relevant LIBOR rate which appears on Reuters Screen LIBOR1 Page (or such
other page or service as may replace it for the purpose of displaying LIBOR
rates)) in the case of Class A-2 Currency deposits as at 11.00 a.m. (London
time) and in the case of Euro deposits as at 11.00 am (Brussels time) on the
Interest Determination Date in question. The Floating Rate of Interest
applicable to each Class of Notes (other than the Floating Rate of Interest on
Class A-2 Notes for a Relevant Period) for such Interest Period shall be the
aggregate of the Applicable Margin and the applicable rate which so appears,
all as calculated and determined by the Calculation Agent. The Floating Rate
of Interest applicable to the Class A-2 Notes for a Relevant Period shall be
the aggregate of the Applicable Margin and a linear interpolation between
(i) the available offered rate for the period closest to and greater than the
Relevant Period and (ii) the available offered rate for the period closest to and
less than the Relevant Period.
(B) If the offered rate so appearing is replaced by the corresponding rates of more
than one bank then paragraph (A) above shall be applied, with any necessary
consequential changes, to the arithmetic mean (rounded, if necessary, to the
nearest one hundred-thousandth of a percentage point (with 0.000005 being
rounded upwards)) of the rates (being at least two) which so appear, as
determined by the Calculation Agent.
(C) (1) If for any other reason such offered rate does not so appear, or if the
relevant page is unavailable, the Calculation Agent will request each
of four major banks in the Euro-zone interbank market acting in each
case through its principal Euro-zone office or, in the case of the
Class A-2 Currency Amount Outstanding of the Class A-2 Notes,
four major banks in the London interbank market acting in each case
through its London office (the “Reference Banks”) to provide the
Calculation Agent with its offered quotation to leading banks for
Euro deposits in the Euro-zone interbank market, for a period equal
to the relevant Interest Period as at 11:00 a.m. (Brussels time) or, in
the case of the Class A-2 Currency Amount Outstanding of the
Class A-2 Notes, its offered quotation to leading banks for Class A-2
Currency deposits in the London interbank market, for a period equal
to the relevant Interest Period as at 11:00 a.m. (London time), on the
Interest Determination Date in question. The Floating Rate of
Interest applicable to each Class of Notes for the applicable Interest
Period shall be the aggregate of the Applicable Margin and the
arithmetic mean (rounded, if necessary, to the nearest one
hundred-thousandth of a percentage point (with 0.000005 being
rounded upwards)) of such quotations (or of such of them, being at
least two, as are so provided), all as calculated and determined by the
Calculation Agent.
(2) If on any Interest Determination Date one only or none of the
Reference Banks provides such quotation, the Floating Rate of
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Interest applicable to each Class of Notes for the next Interest Period
shall be the rate per annum which the Calculation Agent determines
to be either the arithmetic mean (rounded, if necessary, to the nearest
one hundred-thousandth of a percentage point (with 0.000005 being
rounded upwards)) of the EURIBOR lending rates which three major
banks in the Euro-zone interbank market or, in the case of the
Class A-2 Currency Amount Outstanding of the Class A-2 Notes, the
relevant LIBOR lending rates which three major banks in the London
interbank market, in each case, as selected by the Calculation Agent
are quoting on the relevant Interest Determination Date for loans in
Euro or, in the case of the Class A-2 Currency Amount Outstanding
of the Class A-2 Notes, the relevant Class A-2 Currency, in either
case, for a period equal to the relevant Interest Period to leading
banks plus the Applicable Margin and (in the case of the Class A-2
Notes), Mandatory Costs.
“Applicable Margin” means:
in respect of the Class A-1 Notes, 0.25 per cent. per annum;
in respect of the Class A-2 Notes, 0.37 per cent. per annum;
in respect of the Class A-3 Notes, 0.35 per cent. per annum;
in respect of the Class B-1 Notes, 0.60 per cent. per annum;
in respect of the Class B-2 Notes, 5.51 per cent. per annum;
in respect of the Class C Notes, 0.95 per cent. per annum; and
in respect of the Class D Notes, 1.80 per cent. per annum.
(ii) Determination of Floating Rate of Interest and Calculation of Interest
Amount The Calculation Agent will, as soon as practicable after 11.00 am (Brussels
time) on each Interest Determination Date, but in no event later than the second
Business Day after such date, determine, the Floating Rate of Interest applicable to
each Class of Notes and calculate the interest amount payable in respect of original
principal amounts for each Class of Notes equal to the Authorised Integral Amount
for the relevant Interest Period.
The amount of interest (the “Interest Amount”) payable in respect of each
Authorised Integral Amount applicable to any such Class of Notes (other than the
Class A-2 Notes) shall be calculated by applying the Floating Rate of Interest
applicable to each Class of Notes (other than the Class A-2 Notes) to an amount equal
to the Principal Amount Outstanding of such Class of Notes (other than the Class A-2
Notes) as at the Determination Date falling immediately prior to the end of such
Interest Period, multiplying the product by the actual number of days in the Interest
Period concerned, divided by, as applicable, 365 and 360 and rounding the resultant
figure to the nearest 0.01 (0.005 being rounded upwards) and multiplying the product
thereof by a percentage equal to such Authorised Integral Amount divided by the
aggregate original principal amount of such Class of Notes (other than the Class A-2
Notes) on the Issue Date.
The amount of interest (the “Interest Amount”) payable in respect of each
Authorised Integral Amount applicable to, respectively, the Class A-2 Currency
Amount Outstanding and the Euro Amount Outstanding of the Class A-2 Notes shall
be calculated by applying the Floating Rate of Interest applicable to, respectively, the
Class A-2 Currency Amount Outstanding and the Euro Amount Outstanding of the
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Class A-2 Notes to an amount equal to, respectively, the Class A-2 Currency Amount
Outstanding and the Euro Amount Outstanding of such Class A-2 Notes as at the
Determination Date falling immediately prior to the end of such Interest Period,
multiplying the product by the actual number of days in the Interest Period
concerned, divided by, as applicable, 365 and 360, and rounding the resultant figure
to the nearest 0.01 (0.005 being rounded upwards) and multiplying the product
thereof by a percentage equal to such Authorised Integral Amount divided by,
respectively, the Class A-2 Currency Amount Outstanding and the Euro Amount
Outstanding of the Class A-2 Notes on the Issue Date.
(iii) Reference Banks and Calculation Agent The Issuer will procure that, so long as any
Class A Note, Class B Note, Class C Note or Class D Note remains Outstanding:
(A) a Calculation Agent shall be appointed and maintained for the purposes of
determining the Floating Rate of Interest and Interest Amounts payable in
respect of the Notes; and
(B) in the event that the Floating Rate of Interest applicable to any Class of Note
is to be calculated by reference to rates quoted by Reference Banks pursuant
to paragraph (B) of Condition 6(e)(i) (Rate of Interest), that the number of
Reference Banks required pursuant to such Condition are appointed.
If the Calculation Agent is unable or unwilling to continue to act as the Calculation
Agent hereunder or fails duly to establish the Floating Rate of Interest applicable to
any Class of Notes for any Interest Period, or to calculate the Interest Amount
applicable to any Class of Notes, then the Issuer shall (with the prior approval of the
Trustee) appoint some other leading bank to act as such in its place. The Calculation
Agent may not resign its duties without a successor having been so appointed.
(f) Interest on the Class B-2 Notes The Class B-2 Notes bear interest at the fixed rate of
5.51 per cent. per annum. The amount of interest payable in respect of each Class B-2 Note
shall be calculated by applying 5.51 per cent. to an amount equal to the principal amount
outstanding of each such Note, multiplying the product by the number of days in the Interest
Accrual Period concerned (the number of days to be calculated on the basis of a year of 360
days with 12 months of 30 days each) divided by 360.
(g) Publication of Rates of Interest and Interest Amounts The Calculation Agent will cause
the Floating Rate of Interest and the Interest Amount (or, in the case of the Class A-2 Notes,
the Floating Rates of Interest and Interest Amounts) applicable to each Class of Notes for
each Interest Period and Payment Date and the Principal Amount Outstanding of each Class
of Notes as of the applicable Payment Date to be notified to the Registrar, the Trustee, the
Paying Agents, the Class A-2 Note Agent, the Investment Manager and the Irish Stock
Exchange (for as long as such Notes are listed on the Irish Stock Exchange) as soon as
possible after their determination but in no event later than the fourth Business Day after the
Interest Determination Date, and the Principal Paying Agent shall cause each such rate,
amount and date to be notified to the Noteholders of each Class in accordance with
Condition 16 (Notices) as soon as possible following notification to the Principal Paying
Agent but in no event later than the third Business Day after such notification. The Interest
Amounts and the Payment Date in respect of each Class of Notes so published, may
subsequently be amended (or appropriate alternative arrangements made with the consent of
the Trustee by way of adjustment) without notice in the event of an extension or shortening of
the Interest Period or a reduction or increase in the amount of Interest Proceeds and/or
Principal Proceeds. If any of the Notes become due and payable under Condition 10 (Events
of Default), interest shall nevertheless continue to be calculated by the Calculation Agent in
accordance with this Condition 6 (Interest) but no publication of the applicable Interest
Amounts shall be made unless the Trustee so agrees.
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(h) Determination or Calculation by the Trustee If the Calculation Agent does not at any time
for any reason so determine the Floating Rate of Interest applicable to any Class of Notes or
calculate the Interest Amounts payable in respect of each Class of Notes for an Interest
Period, the Trustee (or a person appointed by it for the purpose) may do so and such
determination or calculation shall be deemed to have been made by the Calculation Agent and
shall be binding on the Noteholders. In so doing, the Trustee, or such person appointed by it,
shall apply the foregoing provisions of this Condition 6 (Interest) with any necessary
consequential amendments that, in its opinion and in the circumstances, to the extent that it
can do so, and, in all other respects it shall do so in such manner as it shall deem fair and
reasonable and in reliance on such persons as it has appointed for such purpose. The Trustee
shall have no liability to any person in connection with any determination or calculation it is
required to make pursuant to this Condition 6(h) (Determination or Calculation by the
Trustee).
(i) Notifications, etc to be Final All notifications, opinions, determinations, certificates,
quotations and decisions given, expressed, made or obtained for the purposes of the
provisions of this Condition 6 (Interest), whether by the Reference Banks (or any of them),
the Calculation Agent or the Trustee, will (in the absence of manifest error) be binding on the
Issuer, the Reference Banks, the Calculation Agent, the Trustee, the Registrar, the Paying
Agents, the Class A-2 Note Agent and all Noteholders and no liability to the Issuer or the
Noteholders of any Class shall attach to the Reference Banks, the Calculation Agent or the
Trustee in connection with the exercise or non-exercise by them of their powers, duties and
discretions under this Condition 6 (Interest).
7. REDEMPTION
(a) Final Redemption Save to the extent previously redeemed, the Notes of each Class will be
redeemed on the Maturity Date of such Notes. In the case of a redemption pursuant to this
Condition 7(a) (Final Redemption), the Class A Notes, the Class B Notes, the Class C Notes
and the Class D Notes will be redeemed at their Principal Amount Outstanding plus accrued
and unpaid interest. Notes may not be redeemed other than in accordance with this
Condition 7 (Redemption).
(b) Optional Redemption
(i) Redemption at the Option of the Issuer: Subject to satisfaction of the conditions specified
below, the Notes of each Class shall be redeemable by the Issuer, in whole but not in part, at
their applicable principal amount outstanding together with accrued interest thereon, provided
that should the Redemption Date fall on a Business Day other than a Payment Date the Issuer
shall pay interest on the Notes up to the next succeeding Payment Date, and all amounts
Outstanding under the Class A-2 Note Purchase Agreement together with applicable Break
Costs will be repayable in accordance with the Priorities of Payment from the proceeds of
liquidation or realisation of the Collateral (subject to the establishment of a reasonable reserve
(as determined by the Trustee in its discretion following consultation with the Collateral
Administrator) for all administrative and other fees and expenses payable in such
circumstances under the Priorities of Payment prior to the payment of the principal of the
Notes) either (i) on any Business Day falling on or after 3 years from the closing, at the option
of the Issuer; or (ii), on any Business Day falling on or after the occurrence of a Relevant Tax
Event at the request, in writing, of the Issuer. Neither the Trustee nor the Collateral
Administrator shall have any liability to any person in connection with the establishment of
any reserve made by the Trustee pursuant to this Condition 7(b)(i) (Redemption at the Option
of the Issuer).
A “Relevant Tax Event” shall have occurred in the event that the aggregate of the Gross-Up
Tax Amounts and Tax Charges payable is equal to or greater than 6 per cent. of the aggregate
interest payments on all of the Collateral Debt Obligations during any Due Period, where:
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(A) “Gross-Up Tax Amounts” means, in relation to any portion of any payment due
from any issuer or obligor under any Collateral Debt Obligation which, due to the
introduction of a new, or any change in, home jurisdiction or foreign tax statute,
treaty, regulation, rule, ruling, practice, procedure or judicial decision or
interpretation, becomes properly subject to the imposition of home jurisdiction or
foreign withholding tax, which withholding tax is not compensated for by a
“gross-up” provision in the terms of the Collateral Debt Obligation, the amount of
such gross-up tax amount in such Due Period; and
(B) “Tax Charges” means any taxes for which the Issuer becomes liable to any
competent taxation authority in such Due Period.
(ii) Conditions to Optional Redemption: Following receipt of written confirmation from the
Registrar of receipt of a direction from the Issuer to exercise any right of optional redemption
pursuant to this Condition 7 (Redemption), the Collateral Administrator shall, as soon as
practicable, and in any event not later than 17 Business Days prior to the scheduled
Redemption Date (the “Redemption Determination Date”) calculate the Redemption
Threshold Amount.
The Notes shall not be optionally redeemed pursuant to paragraph (i) above unless, not less
than seven nor more than 15 Business Days before the scheduled Redemption Date, the
Issuer, based on the certification of the Investment Manager, shall have certified to the
Trustee (which shall be entitled to rely on such certificate without further enquiry) that the
Issuer has entered into a binding agreement or agreements with a financial institution or
institutions which (or whose guarantor under such obligations) has a short-term credit rating
from S&P of “A-1+” and from Moody’s of “P-1” (or, if no such rating is available from such
Rating Agency, has a long-term credit rating from each S&P of “AA-” and from Moody’s of
“Aa3”, or if no such rating is available from the Rating Agencies, in respect of which Rating
Agency Confirmation has been received) to purchase, not later than the Business Day
immediately preceding the scheduled Redemption Date, in immediately available funds, all or
part of the Portfolio at an aggregate purchase price which, together with all other amounts
receivable upon liquidation of the Portfolio (net of any expenses payable in connection with
such liquidation), amounts realisable from Eligible Investments maturing on or prior to the
scheduled Redemption Date, all Scheduled Periodic Hedge Receipt Amounts to be received
under any Hedge Agreement prior to the scheduled Redemption Date plus any amounts
payable to the Issuer upon termination of any Hedge Agreement and the sum of the Balance
standing to the credit of each of the Accounts as at the date of determination thereof, is at
least equal to the applicable Redemption Threshold Amount.
(iii) Mechanics of Redemption: To exercise any option of the Issuer under this Condition, the
Issuer shall deliver written notice thereof to the Registrar, not less than 20 Business Days
prior to the applicable Redemption Date. The Registrar shall copy such written notice
received to each of the Issuer, the Trustee, the Collateral Administrator, the Investment
Manager and the Class A-2 Note Agent. The Issuer shall procure that notice of such
redemption, including the applicable Redemption Date, shall be given to the Noteholders and
to the Class A-2 Note Agent in accordance with Condition 16 (Notices) not more than 30 nor
less than ten calendar days prior to the applicable Redemption Date. Following calculation by
the Collateral Administrator of the applicable Redemption Threshold Amount, the Collateral
Administrator shall make such other calculations as it is required to make pursuant to the
Investment Management Agreement and shall notify the Issuer, the Trustee, the Investment
Manager, Class A-2 Note Agent and the Noteholders (in accordance with Condition 16
(Notices)) of such amount. The Trustee shall notify the Issuer, the Collateral Administrator,
the Investment Manager, each Interest Rate Hedge Counterparty, each Currency Hedge
Counterparty, the Noteholders, each Shareholder and the Class A-2 Note Agent upon
satisfaction of any of the conditions set out in paragraph (ii) above and shall arrange for
liquidation and/or realisation of the Portfolio in conjunction with the Investment Manager in
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accordance with the Investment Management Agreement as soon as practicable following
satisfaction of such conditions. The Issuer shall deposit, or cause to be deposited, the funds
required for an optional redemption of the Notes and repayment of the Class A-2 Notes in
accordance with Condition 7(b) (Optional Redemption) in the Payment Account promptly
following such liquidation or other realisation. Principal Proceeds and Interest Proceeds
received in connection with such redemption shall be payable in accordance with the
Priorities of Payment.
(c) Redemption at the Option of the Investment Manager
(i) Special Redemption The Notes may be redeemed in part at the sole and absolute
discretion of the Investment Manager (acting on behalf of the Issuer) if, at any time
during the Reinvestment Period, the Investment Manager (acting on behalf of the
Issuer) has been unable, for a period of 20 consecutive Business Days, to identify
Collateral Debt Obligations to acquire out of amounts standing to the credit of the
Unused Proceeds Account and/or Euro Principal Account and/or Class A-2 Currency
Principal Account in sufficient amounts that are deemed appropriate by the
Investment Manager (acting on behalf of the Issuer) in its discretion which meet the
Eligibility Criteria and/or to the extent applicable, the Reinvestment Criteria, and has
so notified the Trustee (a “Special Redemption”). On the first Payment Date
following the Due Period in which such notice is given (a “Special Redemption
Date”), any Principal Proceeds which cannot be invested in Collateral Debt
Obligations as described above (the “Special Redemption Amount”, which may be
an amount denominated in Euro and/or Class A-2 Currency) will be applied in
redemption of the Notes as described above. Notice of any redemption pursuant to
this Condition 7(c)(i) (Special Redemption) shall be given in accordance with
Condition 16 (Notices) not less than three Business Days prior to the applicable
Special Redemption Date to each Noteholder affected thereby and to each Rating
Agency. For the avoidance of doubt, the exercise of a Special Redemption shall be at
the sole and absolute discretion of the Investment Manager (acting on behalf of the
Issuer) and the Investment Manager shall be under no obligation to, or have any
responsibility for, any Noteholder or any other party for the exercise or non-exercise
(as applicable) of such Special Redemption.
(ii) Redemption on Breach of Reinvestment Test If during the Reinvestment Period, the
Reinvestment Test is not satisfied on the related Determination Date, an amount no
greater than 50 per cent. of all Interest Proceeds remaining (after payment of all prior
ranking amounts pursuant to the Interest Priority of Payments) will be applied in
accordance with the Interest Priority of Payments (A) in payment into the Euro
Principal Account or Class A-2 Currency Principal Account, as applicable, for use in
the purchase of Collateral Debt Obligations and/or (B) in redemption of the Class A
Notes and after redemption in full thereof in payment in accordance with the Note
Payment Sequence, such choice at the option of the Investment Manager, in each
case, in whole or in part, to the extent necessary to cause the Reinvestment Test to be
met if recalculated immediately following such payment, with the options referred to
in (A) and (B) above being selected by the Investment Manager in its discretion.
(iii) Currency Redemption at the Option of the Investment Manager: Subject to the
provisions of Condition 7(b)(ii) (Conditions to Optional Redemption) the Notes of
each Class then Outstanding shall be redeemed by the Issuer, in whole but not in part,
on direction of the Investment Manager (acting in its sole and absolute discretion on
behalf of the Issuer), at the applicable Redemption Prices on any Payment Date after
expiry of the Reinvestment Period if, on any Determination Date prior to such
Payment Date, if the Class A-1 Notes have been redeemed in their entirety and there
are at that time no Class A-2 Advances denominated in Euro outstanding (a
“Currency Clean-Up Call”).
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(d) Redemption for Tax Reasons The Notes shall be redeemed, in whole, but not in part, by the
Issuer on any Payment Date falling after the occurrence of a Note Tax Event, acting on the
direction of the holders of each of the Controlling Class, acting by Extraordinary Resolution,
subject to the Issuer giving not less than 30 nor more than 60 days’ notice to the Noteholders
(which notice shall be irrevocable), at the relevant Redemption Prices, in accordance with the
Principal Priority of Payments applied as if the Reinvestment Period had expired (and
assuming, for such purposes, that the Investment Manager has no discretion to reinvest
Principal Proceeds in Substitute Collateral Debt Obligations), if, immediately before giving
such notice, the Issuer satisfies the Trustee or the Trustee is otherwise satisfied, that a
substitution or relocation of the Issuer or other reasonable measures would fail to remedy
such Note Tax Event; provided, however, that no such notice of redemption shall be given
earlier than 90 days prior to the earliest date on which the Issuer would be obliged to make a
withholding or deduction if a payment in respect of the Notes were then due. Prior to the
publication of any notice of redemption pursuant to this paragraph, the Issuer shall deliver to
the Trustee an opinion in form and substance satisfactory to the Trustee of independent legal
advisers of recognised standing to the effect that the Issuer has or will become obliged to
make the withholding or deduction referred to in the definition of Note Tax Event. The
Trustee shall be entitled to accept such certificate and opinion as sufficient evidence of the
satisfaction of the circumstances set out in this Condition 7(d) (Redemption for Tax Reasons)
in which event they shall be conclusive and binding on the Noteholders. Upon the expiry of
any such notice as is referred to in this Condition 7(d) (Redemption for Tax Reasons), the
Issuer shall be bound to redeem the Notes in accordance with this Condition 7(d)
(Redemption for Tax Reasons).
(e) Mandatory Redemption
(i) Redemption Upon Breach of Coverage Tests
(A) Class A Notes and Class B Notes If either of the Class A/B Coverage Tests
is not met on any Determination Date following the Effective Date, Interest
Proceeds and thereafter Principal Proceeds will be applied in redemption of
the Class A Notes and the Class B Notes in accordance with the Priorities of
Payments (including payment of all prior ranking amounts) on the related
Payment Date, in each case, until each such Class A/B Coverage Test is met
after such redemption.
(B) Class C Notes If either of the Class C Coverage Tests is not met on any
Determination Date following the Effective Date, Interest Proceeds and
thereafter Principal Proceeds will be applied in redemption of the Class A
Notes, the Class B Notes and the Class C Notes in accordance with the
Priorities of Payments (including payment of all prior ranking amounts) on
the related Payment Date, in each case, until each such Coverage Test is
satisfied if recalculated following such redemption.
(C) Class D Notes If either of the Class D Coverage Tests is not met on any
Determination Date following the Effective Date, Interest Proceeds and
thereafter Principal Proceeds will be applied in redemption of the Class A
Notes, the Class B Notes, the Class C Notes and the Class D Notes in
accordance with the Priorities of Payments (including payment of all prior
ranking amounts) on the related Payment Date, until each such Coverage Test
is satisfied if recalculated following such redemption including payment of
all prior ranking amounts.
(ii) Redemption upon Effective Date Rating Event In the event that as at the second
Business Day prior to the Payment Date following the Effective Date and any
Payment Date thereafter, an Effective Date Rating Event has occurred and is
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continuing, the Rated Notes shall be redeemed in accordance with the Priorities of
Payments (including payment of all prior ranking amounts), on such Payment Date
out of Interest Proceeds and thereafter out of Principal Proceeds, in each case, until
redeemed in full or, if earlier, until an Effective Date Rating Event is no longer
continuing.
(iii) Redemption following Expiry of the Reinvestment Period Following expiry of the
Reinvestment Period, the Issuer shall, on each Payment Date occurring thereafter,
transfer Principal Proceeds to the Payment Account immediately prior to the related
Payment Date in redemption of the Notes at their applicable Redemption Prices in
accordance with the Principal Priority of Payments (including payment of all prior
ranking amounts).
(f) Redemption and Replacement of Class A-2 Notes
(i) In the event that any Class A-2 Noteholder (A) has failed to pay its Pro Rata Share of
a Class A-2 Advance in accordance with Condition 18(f) (Funding of Class A-2
Advances) or (B) has failed to comply with provisions set out in the relevant
Class A-2 Note Purchase Agreement and has not taken remedial action in relation
thereto, then the Class A-2 Notes of such Noteholder shall be redeemed by the Issuer
on the date specified in the notice relating to the redemption of such Class A-2 Notes.
(ii) Such Class A-2 Notes redeemed in accordance with Condition 7(f)(i) above shall,
subject to receipt of Rating Agency Confirmation, be replaced by either (A) new
notes to be issued by the Issuer in an amount up to the Principal Amount Outstanding
of such redeemed Notes immediately prior to the redemption thereof and in
accordance with Condition 17 (Additional Issuances) which notes shall rank pari
passu with the Class A Notes or (B) a multi-currency loan facility to be entered into
by the Issuer, the maximum commitment amount of which will be an amount up to
the Principal Amount Outstanding of such redeemed Notes immediately prior to the
redemption thereof ((A) and (B) together, the “Replacement Financing”).
(iii) The amount payable in respect of such Class A-2 Notes shall equal the proceeds
raised by the Issuer from the Replacement Financing corresponding thereto as
referred to above plus any amounts standing to the credit of the Class A-2 Noteholder
Collateral Account in respect of such Class A-2 Noteholder minus all costs and
expenses incurred by the Issuer in respect of such redemption and associated
Replacement Financing and any amounts incurred (if any) by the Class A-2
Noteholder pursuant to Condition 18(f) (Funding of Class A-2 Advances).
(g) Redemption All Notes in respect of which any notice of redemption is given shall be
redeemed on the Redemption Date at their applicable Redemption Prices and to the extent
specified in such notice and in accordance with the requirements of this Condition 7
(Redemption).
(h) Redemption upon termination of the Appointment of the Investment Manager In the
event that the Investment Manager’s appointment is terminated for “cause” pursuant to the
Investment Management Agreement, the Investment Manager may within 90 days of receipt
of such notice of termination, elect that the Notes shall be redeemed (in whole but not in part)
at their respective Principal Amounts Outstanding in each case on the next following Payment
Date, all in accordance with the Priorities of Payment. The Issuer shall notify the Class A-2
Note Agent, the Trustee, the Investment Manager, the Collateral Administrator, any Hedge
Counterparty and the Noteholders of the occurrence of any such redemption, following which
the Investment Manager shall arrange for liquidation and/or realisation of the Collateral on
behalf of the Issuer in accordance with the Investment Management Agreement in order to
procure that the Collateral is in immediately available funds by the applicable Redemption
Date.
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(i) No other Redemption The Issuer shall not be entitled to redeem the Notes otherwise than as
provided in this Condition 7 (Redemption).
(j) Notice of Redemption The Issuer shall procure that notice of any redemption in accordance
with Condition 7(c)(i) (Special Redemption), Condition 7(d) (Redemption for Tax Reasons),
Condition 7(e) (Mandatory Redemption) or Condition 7(f) (Redemption and Replacement of
Class A-2 Notes) is given to the Noteholders in accordance with Condition 16 (Notices) and
promptly in writing to the Rating Agencies.
(k) Cancellation All Notes so redeemed shall be cancelled and may not be reissued or resold.
(l) Optional Redemption by the Class D Noteholders The Notes shall be redeemed by the
Issuer (in whole but not in part) at the applicable Redemption Prices in accordance with the
Priorities of Payments applied on any Payment Date following the termination of the
Investment Manager and the bankruptcy or insolvency of ICG pursuant to the Investment
Management Agreement, as such events are more particularly described therein, in each case
at the direction of holders of the Class D Notes, acting by Extraordinary Resolution. The
Class D Noteholders shall procure that the Issuer appoints an entity to carry out those
determinations relating to any such redemption which would otherwise have been required to
be carried out by the Investment Manager.
8. PAYMENTS
(a) Method of Payment Payments of principal upon final redemption in respect of each Note
will be made against presentation and surrender (or, in the case of part payment, only
endorsement) of any Definitive Certificate representing such Notes at the specified office of
the Principal Paying Agent or any Paying Agent by Euro cheque drawn on a bank in Western
Europe (or, in respect of the Class A-2 Currency Amount Outstanding of the Class A-2 Notes,
by Class A-2 Currency cheque drawn on a bank in London). Payments of interest on each
Note and, prior to redemption in full thereof, principal in respect of each Note will be made
by Euro cheque drawn on a bank in Western Europe (or, in respect of the Class A-2 Currency
Amount Outstanding of the Class A-2 Notes, by Class A-2 Currency cheque drawn on a bank
in London) and posted on the Business Day immediately preceding the relevant due date to
the holder (or to the first named of joint holders) of the Note appearing on the Register at the
close of business on the Record Date at his address shown on the Register on the Record
Date. Upon application of the holder to the specified office of the Principal Paying Agent or
any Paying Agent not less than five Business Days before the due date for any payment in
respect of a Note, the payment may be made (in the case of any final payment of principal
against presentation and surrender or, in the case of part payment only of such final payment,
endorsement of the relevant Note as provided above) by wire transfer in immediately
available funds on the due date to a Euro account maintained by the payee with a bank in
Western Europe (or, in respect of the Class A-2 Currency Amount Outstanding of the
Class A-2 Notes, to a Class A-2 Currency account maintained by the payee with a bank in
London).
(b) Payments Subject to Fiscal Laws All payments are subject in all cases to any applicable
fiscal or other laws, regulations and directives, but without prejudice to the provisions of
Condition 9 (Taxation). No commission shall be charged to the Noteholders.
(c) Payments on Presentation Days A holder shall be entitled to present a Note for payment
only on a Presentation Date and shall not, except as provided in Condition 6 (Interest) be
entitled to any further interest or other payment if a Presentation Date is after the due date. If
a Note is presented for payment at a time when, as a result of differences in time zones, it is
not practicable to transfer the relevant amount to an account as referred to above for value on
the relevant Presentation Date, the Issuer shall not be obliged so to do but shall be obliged to
transfer the relevant amount to the account for value on the first practicable date after the
Presentation Date.
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(d) Registrar, Principal Paying Agent, Transfer Agent and Class A-2 Note Agent The names
of the initial Registrar, Principal Paying Agent, Transfer Agents and Class A-2 Note Agent
and their initial Specified Offices are listed below. The Issuer reserves the right at any time
with the approval of the Trustee to vary or terminate the appointment of the Registrar, the
Principal Paying Agent, any Transfer Agent and the Class A-2 Note Agent and appoint
additional or other Agents, provided that it will maintain (i) a Principal Paying Agent and
Class A-2 Note Agent, (ii) Transfer Agents having specified offices in at least two major
European cities approved by the Trustee (including Dublin for so long as the Notes of any
Class are listed on the Irish Stock Exchange and the rules of that exchange so require) and
(iii) a transfer agent in a European Union member state that will not be obliged to withhold or
deduct tax pursuant to Council Directive 2003/48/EC on Taxation of Savings Income in the
form of Interest Payments and Related Matters (or any European Union Directive replacing
it), in each case, as approved by the Trustee and shall at all times procure that it shall maintain
a Custodian, an Account Bank, an Investment Manager and a Collateral Administrator. Notice
of any change in any Agent or their respective specified offices or in the Investment Manager
or the Collateral Administrator will promptly be given to the Noteholders by the Issuer in
accordance with Condition 16 (Notices).
9. TAXATION
All payments of principal and interest in respect of the Notes shall be made free and clear of,
and without withholding or deduction for, any taxes, duties, assessments or governmental
charges of whatever nature imposed, levied, collected, withheld or assessed by or within the
United Kingdom, or any political sub-division or any authority therein or thereof having
power to tax, unless such withholding or deduction is required by law. For the avoidance of
doubt (and except as provided in the Class A-2 Note Purchase Agreement), the Issuer shall
not be required to gross up any payments made to Noteholders of any Class (other than the
Class A-2 Noteholders) and shall withhold or deduct from any such payments any amounts on
account of tax where so required by law or any relevant taxing authority. Any such
withholding or deduction shall not constitute an Event of Default under Condition 10(a)
(Events of Default).
Subject as provided below, if the Issuer satisfies the Trustee that it has or will on the occasion
of the next payment due in respect of the Notes of any Class become obliged by the laws of
England and Wales to withhold or account for tax so that it would be unable to make payment
of the full amount that would otherwise be due but for the imposition of such tax, the Issuer
(with the consent of the Trustee and save as provided below) shall use all reasonable
endeavours to arrange for the substitution of a company incorporated in another jurisdiction
approved by the Trustee as the principal obligor under the Notes of such Class, or to change
its tax residence to another jurisdiction approved by the Trustee, subject to receipt by the
Trustee of Rating Agency Confirmation in relation to such change.
Notwithstanding the above, if any taxes referred to in this Condition 9 (Taxation) arise:
(a) due to the connection of any Noteholder with the United Kingdom otherwise than by
reason only of the holding of any Note or receiving principal or interest in respect
thereof; or
(b) by reason of the failure by the relevant Noteholder to comply with any applicable
procedures required to establish non-residence or other similar claim for exemption
from such tax; or
(c) in respect of a payment made or secured for the immediate benefit of an individual or
a non-corporate entity pursuant to Council Directive 2003/48/EC on Taxation of
Savings Income in the Form of Interest Payments or any law implementing or
complying with or introduced in order to conform to, such Directive or any
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arrangements entered into between the Member States and certain other third
countries and territories in connection with the Directive; or
(d) as a result of presentation for payment by or on behalf of a Noteholder who would
have been able to avoid such withholding or deduction by presenting the relevant
Note to another Transfer Agent in a Member State of the European Union,
the requirement to substitute the Issuer as a principal obligor and/or change its residence for
taxation purposes shall not apply.
10. EVENTS OF DEFAULT
(a) Events of Default The occurrence of any of the following events shall constitute an “Event
of Default”:
(i) Non-payment of interest A default for five days in the payment in full, when due and
payable, of any interest on the Class A Notes or the Class B Notes or, following
redemption and payment in full of the Class A Notes and the Class B Notes, a default
for five days in the payment in full, when due and payable, of any interest on the
Class C Notes or, following redemption and payment in full of the Class A Notes, the
Class B Notes and the Class C Notes, a default for five days in the payment in full,
when due and payable, of any interest on the Class D Notes save that, the failure by
the Issuer to pay an amount of interest to the extent that it has been required to deduct
or withhold such amount pursuant to Condition 9 (Taxation) shall not constitute an
Event of Default;
(ii) Non-payment of principal A default in the payment of principal when the same
becomes due and payable on any Note on any Redemption Date which is not
remedied within five (5) days;
(iii) Default under Priorities of Payments The failure on any Payment Date to disburse
amounts (other than Interest Amounts described in paragraph (i) above or principal
payments described in paragraph (ii) above) available in the Payment Account in
accordance with the Priorities of Payments and a continuation of any such failure or
such default for five Business Days;
(iv) Investment Company Act Either the Issuer or the Portfolio is required to register
under the Investment Company Act;
(v) Breach of other obligations and Representations and Warranties The Issuer does
not perform or comply with any other of its covenants, warranties or other
agreements of the Issuer under the Notes, the Trust Deed, the Agency Agreement, the
Collateral Administration Agreement, the Investment Management Agreement, the
Liquidity Facility Agreement, the Class A-2 Note Purchase Agreement, the Hedge
Agreements (other than a covenant, warranty or other agreement a default in the
performance or breach of which is dealt with elsewhere in this Condition 10(a)
(Events of Default) and other than the failure to meet any Collateral Quality Test,
Percentage Limitation or Coverage Test), or any representation, warranty or
statement of the Issuer made in the Trust Deed, Investment Management Agreement
or in any certificate or other writing delivered pursuant thereto or in connection
therewith ceases to be correct in all material respects when the same shall have been
made, and the continuation of such default, breach or failure for a period of 45 days
after notice thereof shall have been given by registered or certified mail or overnight
courier, to the Issuer and the Investment Manager by the Trustee specifying such
default, breach or failure and requiring it to be remedied and stating that such notice
is a “Notice of Default” hereunder except for any such default, breach or failure
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which is not materially prejudicial to the interests of the Controlling Class as
determined by the Trustee;
(vi) Collateral Debt Obligations On any Measurement Date following the Effective Date
in the event that the Par Coverage Amount (without giving effect to the Undrawn and
Uncommitted portion of the Class A-2 Notes) is less than the Principal Amount
Outstanding of the Class A Notes;
(vii) Insolvency Proceedings are initiated against the Issuer under any applicable
liquidation, insolvency, bankruptcy, examinership, composition, reorganisation or
other similar laws (together, “Insolvency Law”), or a receiver, trustee, administrator,
custodian, conservator, liquidator, examiner or other similar official (a “Receiver”) is
appointed in relation to the Issuer or in relation to the whole or any substantial part of
the undertaking or assets of the Issuer (except where the appointment of such
Receiver is discharged within 30 days of appointment); or the Issuer is, or initiates or
consents to judicial proceedings relating to itself under any applicable Insolvency
Law, or seeks the appointment of a Receiver, or makes a conveyance or assignment
for the benefit of its creditors generally or otherwise becomes subject to any
reorganisation or amalgamation (other than on terms previously approved in writing
by the Trustee);
(viii) Winding up etc An order is made or an effective resolution is passed for the winding
up, liquidation or dissolution of the Issuer; or
(ix) Illegality it is or will become unlawful for the Issuer to perform or comply with any
one or more of its obligations under the Notes.
(b) Acceleration
(i) If an Event of Default occurs and is continuing, the Trustee may, at its discretion and
shall, at the direction of the Controlling Class acting by Ordinary Resolution (subject
to being indemnified and/or secured to its satisfaction against all liabilities,
proceedings, claims and demands to which it may thereby become liable and all costs,
charges and expenses which may be incurred by it in connection therewith), give
notice to the Issuer that all the Notes are to be immediately due and payable, provided
that if an Event of Default occurs under Condition 10(b)(vii) (Insolvency), each Note
of each Class shall immediately become due and payable.
(ii) Upon any such notice being given to the Issuer in accordance with paragraph (i) of
this Condition 10(b) (Acceleration), all of the Notes shall immediately become due
and repayable at their applicable Redemption Prices, provided that such notice shall
not have any effect and the Notes shall not be accelerated and become due and
repayable until the Trustee has made an Enforcement Threshold Determination (as
defined in paragraph (A) of Condition 11(b)(i) below) or the conditions set out in
paragraph (B) of Condition 11(b)(i) below have been satisfied.
(c) Curing of Default At any time after a notice of acceleration of maturity of the Notes has
been made following the occurrence of an Event of Default and prior to enforcement of the
security pursuant to Condition 11 (Enforcement), the Trustee, subject to receipt of consent
from the Controlling Class, may and if requested by the Controlling Class, in each case,
acting by Ordinary Resolution shall (subject, in each case, to the Trustee being indemnified
and/or secured to its satisfaction against all liabilities, proceedings, claims and demands to
which it may thereby become liable and all costs, charges and expenses which may be
incurred by it in connection therewith) rescind and annul such notice of acceleration under
paragraph (b)(i) above or automatic acceleration under paragraph (b)(ii) above and its
consequences if:
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(i) the Issuer has paid or deposited, at the direction and for the account of the Trustee, a
sum sufficient to pay:
(A) all overdue payments of interest and principal on the Notes;
(B) all due but unpaid taxes owing by the Issuer, as certified by an Authorised
Officer of the Issuer to the Trustee;
(C) all unpaid Administrative Expenses up to the Senior Expenses Cap and
Trustee Fees and Expenses up to the Trustee Fee Cap; and
(D) all amounts due and payable under the Liquidity Facility Agreement and any
Hedge Transaction; and
(ii) the Trustee has determined that all Events of Default, other than the non-payment of
the interest in respect of, or principal of, the Notes that have become due solely as a
result of the acceleration thereof under paragraph (b) above due to such Events of
Default, have been cured or waived.
Any previous rescission and annulment of a notice of acceleration or automatic acceleration
pursuant to this paragraph (c) shall not prevent the subsequent acceleration of the Notes if the
Trustee, at its discretion or, as subsequently requested to accelerate the Notes in accordance
with paragraph (b)(i) above, accelerates or upon subsequent automatic acceleration in
accordance with paragraph (b)(ii) above.
(d) Restriction on Acceleration of Notes No acceleration of the Notes shall be permitted
pursuant to this Condition by any Class of Noteholders, other than the Controlling Class as
provided in Condition 10(b) (Acceleration).
(e) Notification and Confirmation of No Default The Issuer shall promptly notify the Trustee,
the Investment Manager and the Rating Agencies upon becoming aware of the occurrence of
an Event of Default or a Potential Event of Default. The Trust Deed contains provision for
the Issuer to provide written confirmation to the Trustee and the Rating Agencies on an
annual basis or on request that no Event of Default has occurred and that no condition, event
or act has occurred which, with the lapse of time and/or the issue, making or giving of any
notice, certification, declaration and/or request and/or the taking of any similar action and/or
the fulfilment of any similar condition could constitute an Event of Default and that no other
matter which is required (pursuant thereto) to be brought to the Trustee’s attention has
occurred.
11. ENFORCEMENT
(a) Security Becoming Enforceable Subject as provided in paragraph (b) below, the security
constituted under the Trust Deed over the Collateral shall become enforceable upon an
acceleration of the maturity of any of the Notes pursuant to Condition 10 (Events of Default).
(b) Enforcement At any time after the Notes become due and payable and the security under the
Trust Deed becomes enforceable, the Trustee may, at its discretion and shall if so directed by
the Controlling Class acting by Extraordinary Resolution institute such proceedings against or
in relation to the Issuer as it may think fit to enforce the terms of the Trust Deed and the
Notes and pursuant and subject to the terms of the Trust Deed and the Notes, realise and/or
otherwise liquidate or sell the Collateral in whole or in part and/or take such action as may be
permitted under applicable laws against any Obligor in respect of the Collateral and/or take
any other action to enforce the security over the Collateral (such action, “Enforcement
Action”, which term includes any other action which the Trustee may deem to fall within
such definition), in each case without any liability as to the consequence of any action and
without having regard (save to the extent provided in Condition 14(e) (Entitlement of the
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Trustee and Conflicts of Interest)) to the effect of such action on individual Noteholders of
such Class or any other Secured Party provided however that:
(i) no such Enforcement Action shall be taken by the Trustee unless:
(A) it determines that the anticipated proceeds realised from such Enforcement
Action (after deducting any reasonable expenses incurred in connection
therewith) would be sufficient to discharge in full all amounts due and
payable in respect of all Classes of Notes (including, without limitation,
Deferred Interest on the Class C Notes and Class D Notes) and all amounts
payable in priority thereto pursuant to the Priorities of Payments (such
determination being an “Enforcement Threshold Determination”); or
(B) the Controlling Class, acting by Extraordinary Resolution consents to such
Enforcement Action;
(ii) the Trustee shall not be bound to institute any such proceedings or take any such
other action unless it is directed by the Controlling Class acting by Ordinary
Resolution at such time and, in each case, the Trustee is indemnified and/or secured
to its satisfaction against all liabilities, proceedings, claims and demands to which it
may thereby become liable and all costs, charges and expenses which may be
incurred by it in connection therewith; and
(iii) the Trustee (or an agent on its behalf) shall determine the aggregate proceeds that can
be realised pursuant to any Enforcement Action in accordance with paragraph (i)
above by reference to the provisions set out in the definition of Expected Net
Proceeds for the purpose of determining the proceeds realisable from liquidation of
the Portfolio. The Trustee may rely on the opinion of an independent investment
banking firm of national reputation in making such determination or on the opinion of
any other expert as it may deem appropriate and the Issuer shall pay any fees or
expenses incurred in connection therewith as an Administrative Expense.
The Trustee shall notify the Noteholders, the Issuer, the Agents, the Investment Manager and
the Rating Agencies in the event that it makes an Enforcement Threshold Determination or
takes any Enforcement Action at any time (such notice an “Enforcement Notice”). The net
proceeds of enforcement of the security over the Collateral shall be credited to the Payment
Account or such other account as Trustee may direct and shall be distributed in accordance
with the Priorities of Payments.
(c) Only Trustee to Act Only the Trustee may pursue the remedies available under the Trust
Deed (and, if applicable, the Pledge Agreement) to enforce the rights of the Noteholders or of
any of the other Secured Parties under the Trust Deed (and, if applicable, the Pledge
Agreement) and the Notes and no Noteholder or other Secured Party may proceed directly
against the Issuer or any of its assets unless the Trustee, having become bound to proceed in
accordance with the terms of the Trust Deed, fails or neglects to do so within a reasonable
period of time following the instance of the obligation to proceed having arisen and such
failure or neglect is continuing. After realisation of the security which has become
enforceable and distribution of the net proceeds in accordance with the Priorities of Payments,
no Noteholder or other Secured Party may take any further steps against the Issuer to recover
any sum still unpaid in respect of the Notes or the Issuer’s obligations to such Secured Party
and all claims against the Issuer to recover any sum still unpaid in respect of the Notes or the
Issuer’s obligations to such Secured Party and all claims against the Issuer in respect of such
sums unpaid shall be extinguished. In particular, none of the Trustee, any Noteholder or any
other Secured Party shall be entitled in respect thereof to petition or take any other step for the
winding-up of the Issuer except to the extent permitted under the Trust Deed.
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(d) Purchase of Collateral by Noteholders and Shareholders Upon any sale of any part of the
Collateral following the occurrence of an Event of Default, whether made under the power of
sale under the Trust Deed or by virtue of judicial proceedings, any Noteholder and
Shareholders may (but shall not be obliged to) bid for and purchase the Collateral or any part
thereof and, upon compliance with the terms of sale, may hold, retain, possess or dispose of
such property in its or their own absolute right without accountability. In addition, any
purchaser in any such sale which is a Noteholder may deliver Notes held by it in place of
payment of the purchase price for such Collateral where the amount payable to such
Noteholder in respect of such Notes pursuant to the Priorities of Payments out of the net
proceeds of such sale is equal to or exceeds the purchase moneys so payable.
12. PRESCRIPTION
Claims in respect of principal and interest payable on redemption in full of the relevant Notes
will become void unless presentation for payment is made as required by Condition 7
(Redemption) within a period of five years, in the case of interest, and ten years, in the case of
principal, from the appropriate Record Date.
13. REPLACEMENT OF NOTES
If any Note is lost, stolen, mutilated, defaced or destroyed it may be replaced at the specified
office of any Transfer Agent, subject in each case to all applicable laws and Irish Stock
Exchange requirements, upon payment by the claimant of the expenses incurred in connection
with such replacement and on such terms as to evidence, security, indemnity and otherwise as
the Issuer may require (provided that the requirement is reasonable in the light of prevailing
market practice). Mutilated or defaced Notes must be surrendered before replacements will
be issued.
14. MEETINGS OF NOTEHOLDERS, MODIFICATION, WAIVER AND
SUBSTITUTION
(a) Provisions in Trust Deed The Trust Deed contains provisions for convening meetings of the
Noteholders (and for passing Written Resolutions) to consider matters affecting the interests
of the Noteholders including, without limitation, modifying or waiving certain of the
provisions of these Conditions and the substitution of the Issuer in certain circumstances. The
provisions in this Condition 14 (Meetings of Noteholders, Modification, Waiver and
Substitution) are descriptive of the detailed provisions of the Trust Deed.
(b) Decisions and Meetings of Noteholders
(i) General Decisions may be taken by a Class of Noteholders by way of Ordinary
Resolution or, to the extent required, Extraordinary Resolution, in each case, either
acting together or, to the extent specified in any applicable Transaction Document, as
a Class of Noteholders acting independently. Such Resolutions can be effected either
at a duly convened meeting of the applicable Noteholders or by the applicable
Noteholders resolving in writing, in each case, in at least the minimum percentages
specified in the table “Minimum Percentage Voting Requirements” in paragraph (iii)
(Minimum Voting Rights) below. Meetings of the Noteholders may be convened by
the Issuer, the Trustee or by two or more Noteholders holding not less than fifty per
cent. in Principal Amount Outstanding of the Notes of a particular Class, subject to
certain conditions including minimum notice periods.
The Trustee may, in its discretion, determine that any proposed Ordinary Resolution
or Extraordinary Resolution affects only the holders of one or more Classes of Notes,
in which event the required quorum and minimum percentage voting requirements of
such Ordinary Resolution or Extraordinary Resolution may be determined by
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eference only to the holders of that Class or Classes of Notes and not the holders of
any other Notes as set out in the tables below.
For the avoidance of doubt, notes attributable to the holders of Class A-2 Notes shall
take into account both the Outstanding amount of those Class A-2 Notes and the
Total Undrawn Amount at the relevant time.
(ii) Quorum The quorum required for any meeting convened to consider an Ordinary
Resolution or Extraordinary Resolution, in each case, of all the Noteholders or of a
specified Class of Noteholders, or at any adjourned meeting to consider such a
Resolution, shall be as set out in the relevant column and row corresponding to the
type of Resolution in the table “Quorum Requirements” below.
Type of Resolution
Extraordinary Resolution of all
Noteholders (or a certain Class
or Classes only)
Ordinary Resolution of all
Noteholders (or a certain Class
or Classes only)
Quorum Requirements
Any meeting other than a
meeting adjourned for want of
quorum
Two or more persons holding or
representing not less than
66 per cent. of the aggregate
Principal Amount Outstanding
of the relevant Class of Notes
Two or more persons holding or
representing not less than 50 per
cent. of the aggregate Principal
Amount Outstanding of the
relevant Class of Notes
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Meeting previously adjourned
for want of quorum
Two or more persons holding or
representing Notes of the
relevant Class regardless of the
aggregate Principal Amount
Outstanding of such Notes so
held or represented
Two or more persons holding or
representing Notes of the
relevant Class regardless of the
aggregate Principal Amount
Outstanding so held or
represented
The Trust Deed does not contain any provision for higher quorums in any
circumstances.
(iii) Minimum Voting Rights Set out in the table “Minimum Percentage Voting
Requirements” below are the minimum percentages required to pass the Resolutions
specified in such table which, (A) in the event that such Resolution is being
considered at a duly convened meeting of Noteholders, shall be determined by
reference to the percentage which the aggregate Principal Amount Outstanding of
Notes held or represented by any person or persons entitled to vote in favour of such
Resolution represents of the aggregate Principal Amount Outstanding of all
applicable Notes which are represented at such meeting and are entitled to be voted
or, (B) in the case of any Written Resolution, shall be determined by reference to the
percentage which the aggregate Principal Amount Outstanding of the Notes entitled
to be voted in respect of such Resolution which are voted in favour thereof represent
of the aggregate Principal Amount Outstanding of all the Notes entitled to vote in
respect of such Written Resolution.
Minimum Percentage Voting Requirements
Type of Resolution Minimum percentage
Extraordinary Resolution of all Noteholders (or a
certain Class or Classes only)
Ordinary Resolution of all Noteholders (or a
certain Class or Classes only)
66 per cent. of the aggregate Principal Amount
Outstanding of each Class of Notes (or of a
certain Class or Classes only)
Over 50 per cent. of the aggregate Principal
Amount Outstanding of each Class of Notes (or
of a certain Class or Classes only)

(iv) Written Resolutions Any Written Resolution may be contained in one document or
in several documents in like form each signed by or on behalf of one or more of the
relevant Noteholders and the date of such Written Resolution shall be the date on
which the latest such document is signed.
(v) All Resolutions Binding Any Resolution of the Noteholders duly passed shall be
binding on all Noteholders (regardless of Class and regardless of whether or not a
Noteholder was present at the meeting at which such Resolution was passed.
(vi) Extraordinary Resolution Any Resolution to sanction any of the following items
will be required to be passed by an Extraordinary Resolution (in each case, subject to
anything else contemplated in the Trust Deed or the relevant Transaction Document,
as applicable):
(A) the exchange or substitution of the Notes of a Class for, or the conversion of
the Notes of a Class into, shares, bonds or other obligations or securities of
the Issuer or any other entity;
(B) the modification of any provision relating to the timing and/or circumstances
of redemption of the Notes of a Class at maturity or otherwise (including the
circumstances in which the maturity of such Notes may be accelerated);
(C) the modification of any of the provisions of the Trust Deed which would
directly and adversely affect the calculation of the amount of any payment of
interest or principal on any Note;
(D) the adjustment of the Principal Amount Outstanding of the Notes of the
relevant Class other than in connection with a further issue of Notes pursuant
to Condition 17 (Additional Issuances);
(E) a change in the currency (or, in the case of the Class A-2 Notes, currencies)
of payment of the Notes of a Class;
(F) any change in the Priorities of Payments which is materially prejudicial to
any Class of Noteholders except as permitted without Noteholder consent
pursuant to Condition 17 (Additional Issuances);
(G) the modification of the provisions concerning the quorum required at any
meeting of Noteholders or the minimum percentage required to pass an
Extraordinary Resolution or any other provision of these Conditions which
requires the written consent of the holders of a requisite principal amount of
the Notes of any Class Outstanding;
(H) to approve the modification of the Eligibility Criteria except as contemplated
by the Conditions and the Trust Deed;
(I) any item requiring approval by Extraordinary Resolution pursuant to these
Conditions or any Transaction Document; and
(J) any modification of this Condition 14(b) (Decisions and Meetings of
Noteholders).
(c) Modification and Waiver The Trust Deed and the Investment Management Agreement both
provide that, without the consent of the Noteholders and without any requirement for the
Trustee to consult the Noteholders concerning such amendments, modifications, supplements
or waivers to the extent they fall within the paragraphs below, the Issuer may amend, modify,
supplement and/or waive the relevant provisions of the Trust Deed and/or the Investment
Management Agreement and/or any other Transaction Document (subject to the consent of
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the other parties thereto and the Trustee shall execute any document required to effect any
such amendments, modifications, supplements or waivers required to be executed by it
without the consent of or consultation with the Noteholders) for any of the following
purposes:
(i) to add to the covenants of the Issuer or the Trustee for the benefit of the Noteholders
or to surrender any right or power in the Trust Deed or the Investment Management
Agreement (as applicable) conferred upon the Issuer;
(ii) to charge, convey, transfer, assign, mortgage or pledge any property to or with the
Trustee;
(iii) to correct or amplify the description of any property at any time subject to the
security of the Trust Deed, or to better assure, convey and confirm unto the Trustee
any property subject or required to be subject to the security of the Trust Deed
(including, without limitation, any and all actions necessary or desirable as a result of
changes in law or regulations) or to subject to the security of the Trust Deed any
additional property;
(iv) to evidence and provide for the acceptance of appointment under the Trust Deed by a
successor Trustee subject to and in accordance with the terms of the Trust Deed and
to add to or change any of the provisions of the Trust Deed as shall be necessary to
facilitate the administration of the trusts under the Trust Deed by more than one
Trustee, pursuant to the requirements of the relevant provisions of the Trust Deed;
(v) to modify the restrictions on and procedures for resales and other transfers of Notes to
reflect any changes in applicable law or regulation (or the interpretation thereof) or to
enable the Issuer to rely upon any exemption from registration under the Securities
Act or the Investment Company Act or applicable Irish banking or securities laws or
to remove restrictions on resale and transfer to the extent not required thereunder or
otherwise to make any such modifications to the restrictions on and procedures for
resales and other transfers of Notes as shall be necessary or advisable;
(vi) to make such changes as shall be necessary or advisable in order for the Notes to be
(or to remain) listed on the Irish Stock Exchange or any other exchange;
(vii) save as contemplated pursuant to paragraph (d) (Substitution) below, to take any
action advisable to prevent the Issuer from becoming subject to withholding or other
taxes, fees or assessments;
(viii) to take any action advisable to prevent the Issuer from being treated as engaged in a
United States trade or business or otherwise be subject to United States federal, state
or local income tax on a net income basis;
(ix) to enter into any additional agreements not expressly prohibited by the Trust Deed or
the Investment Management Agreement (as applicable);
(x) to evidence any waiver or amendment by any Rating Agency as to any requirement
(or condition in the Trust Deed, the Investment Management Agreement or the
Collateral Administration Agreement (as applicable)), of such Rating Agency;
(xi) to modify the calculation of any of the Collateral Quality Tests, the Percentage
Limitations or the Coverage Tests to correspond with changes in the guidelines,
methodology or standards established by any applicable Rating Agencies, subject to
receipt of Rating Agency Confirmation;
(xii) to make any other modification of any of the provisions of the Trust Deed, the
Investment Management Agreement or any other Transaction Document which, in
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the opinion of the Trustee, is of a formal, minor or technical nature or is made to
correct a manifest error;
(xiii) without prejudice to paragraph (i) above, to make any other modification to (save as
otherwise provided in the Trust Deed, the Investment Management Agreement or the
relevant Transaction Document), and/or give any waiver or authorisation of any
breach or proposed breach of, any of the provisions of the Trust Deed or any other
Transaction Document which is, in the opinion of the Trustee, not materially
prejudicial to the interests of the Noteholders of any Class;
(xiv) to facilitate any Replacement Financing required pursuant to and in accordance with
Condition 7(f) (Redemption and Replacement of Class A-2 Notes); and
(xv) any modification or variation to these Conditions in respect of the issuance of any
Further Notes, relating to
(A) (provided that any of the same are approved by Extraordinary Resolution of
the Noteholders of any Class then Outstanding) the currency of payment of,
or
(B) the basis for calculating interest on, any such Further Notes or
(C) any other modification or variation necessary for such Further Notes to
constitute a separate Class of Notes on the terms specified in Condition 17
(Additional Issuances) together with such consequential changes as the
Trustee may be required to consent to in order to effect the foregoing.
Any such modification, authorisation or waiver shall be binding on all Noteholders and shall
(save in the case of paragraphs (xiii) and (xiv) above) be subject to receipt of Rating Agency
Confirmation and to notice being given to the Noteholders as soon as practicable in
accordance with Condition 16 (Notices), provided that the Trustee shall be entitled to obtain
such advice in connection therewith and give such consent as it sees fit. Any such fees and/or
charges incurred by the Trustee in connection with such advice shall be for the account of the
Issuer.
For the purposes of determining whether or not any such modification is materially
prejudicial to the interests of the Noteholders of any Class of Notes which is rated by the
Rating Agencies, the Trustee shall be entitled to rely on (but shall not be bound by) any
Rating Agency Confirmation in respect thereof.
Under no circumstances shall the Trustee be required to give such consent on less than 21
days’ notice and shall be entitled to obtain such advice and/or opinions in connection with
giving such consent as it sees fit (and to be indemnified in respect of all of its costs and
expenses in obtaining such advice) but, subject to the foregoing, shall not be entitled to
withhold its consent or subject consent to the direction or approval of any Noteholders, where
the proposed amendment, modification, supplement or waiver falls within paragraphs (i) to
(xi) and (xiv) to (xv) above and does not impose additional obligations on the Trustee. For
the avoidance of doubt, the foregoing shall not oblige the Trustee to consent where such
proposed amendment, modification, supplement or waiver would in the Trustee’s sole
determination be materially prejudicial to the interests of the Noteholders of any Class.
Subject to the foregoing provisions of this Condition 14(c) the Trustee and the Issuer may
also, with the written consent of the holders of the relevant affected Class or Classes of Notes
Outstanding at such time, acting by Ordinary Resolution, amend the rights of the Holders of
Notes of such Class, provided however, that such amendment shall not:
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(a) impose any restriction on the transfer of the relevant Notes other than to reflect any
changes in applicable law or regulation or to describe the way in which such transfer
is to be executed; nor
(b) increase the obligations of the Noteholders under the Notes.
(d) Substitution The Trust Deed contains provisions permitting the Trustee to agree, subject to
such amendment of the Trust Deed and such other conditions as the Trustee may require
(without the consent of the Noteholders of any Class), to the substitution of any other
company in place of the Issuer, or of any previously substituted company, as principal debtor
under the Trust Deed and the Notes of each Class, if required for taxation purposes. In the
case of such a substitution the Trustee may agree, without the consent of the Noteholders, but
subject to (while any of the Rated Notes remain Outstanding) receipt by the Trustee of Rating
Agency Confirmation (subject to receipt of such information and/or opinions as the Trustee or
applicable Rating Agency may require), to a change of the law governing the Notes and/or the
Trust Deed, provided that such change would not in the opinion of the Trustee be materially
prejudicial to the interests of the Noteholders of any Class. Any substitution agreed by the
Trustee pursuant to this Condition 14(d) (Substitution) shall be binding on the Noteholders,
and shall be notified to the Noteholders as soon as practicable in accordance with
Condition 16 (Notices).
The Trustee may, subject to the satisfaction of certain conditions, including receipt by the
Trustee of Rating Agency Confirmation and such opinions as the Trustee shall deem
appropriate, agree to a change in the place of residence of the Issuer for taxation purposes
without the consent of the Noteholders of any Class, provided the Issuer does all such things
as the Trustee may require in order that such change in the place of residence of the Issuer for
taxation purposes is fully effective and complies with such other requirements which are in
the interests of the Noteholders, as the Trustee may reasonably direct.
The Issuer shall procure that, so long as the Notes are listed on the Irish Stock Exchange, any
material amendments or modifications to the Terms and Conditions of the Notes, Trust Deed
or such other conditions made pursuant to Condition 14 (Meetings of Noteholders,
Modification, Waiver and Substitution) shall be notified to the Irish Stock Exchange.
(e) Entitlement of the Trustee and Conflicts of Interest In connection with the exercise of its
trusts, powers, duties and discretions (including but not limited to those referred to in this
Condition 14 (Meetings of Noteholders, Modification, Waiver and Substitution)) the Trustee
shall have regard to the interests of each Class of Noteholders as a Class and shall not have
regard to the consequences of such exercise for individual Noteholders of such Class and the
Trustee shall not be entitled to require, nor shall any Noteholder be entitled to claim, from the
Issuer, the Trustee or any other person any indemnification or payment in respect of any tax
consequence of any such exercise upon individual Noteholders except to the extent already
provided for in Condition 9 (Taxation).
If the holders of one or more Classes of Notes have an interest in the outcome of a conflict,
the Trustee shall give priority to the interests of the Controlling Class. If (in the sole
judgment of the Trustee) the holders of the Controlling Class do not have an interest in the
outcome of the conflict, the Trustee shall give priority to the interests of (i) the Class A
Noteholders over each of the other Classes of Noteholders, (ii) the Class B Noteholders over
the Class C Noteholders and Class D Noteholders, (iii) the Class C Noteholders over the
Class D Noteholders. In the event that the Trustee receives conflicting or inconsistent
requests from two or more groups of holders of the Controlling Class (or another Class given
priority as described in this paragraph), each representing less than the majority by principal
amount of the Controlling Class (or other Class given priority as described in this paragraph),
the Trustee shall give priority to the group which holds the greater amount of Notes
Outstanding of such Class. The Trust Deed provides further that the Trustee will act upon the
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directions of the holders of the Controlling Class (or other Class given priority as described in
this paragraph) in such circumstances, and shall not be obliged to consider the interests of,
and is exempted from any liability to, the holders of any other Class of Notes.
In addition, the Trust Deed provides that in the event of any conflict of interest between the
Noteholders and any other Secured Party, the interests of the Noteholders will prevail.
15. INDEMNIFICATION OF THE TRUSTEE
The Trust Deed contains provisions for the indemnification of the Trustee and for its relief
from responsibility in certain circumstances, including provisions relieving it from instituting
proceedings to enforce repayment or to enforce the security constituted by or pursuant to the
Trust Deed, unless indemnified and/or secured to its satisfaction. The Trustee is entitled to
enter into business transactions with the Issuer and any entity related to the Issuer without
accounting for any profit. The Trustee is exempted from any liability in respect of any loss or
theft of the Collateral, from any obligation to insure, or to monitor the provisions of any
insurance arrangements in respect of, the Collateral (for the avoidance of doubt, under the
Trust Deed the Trustee is under no such obligation) and from any claim arising from the fact
that the Collateral is held by the Custodian or is otherwise held in safe custody by a bank or
other custodian. The Trustee shall not be responsible for the performance by the Custodian or
any other Agent of any of its duties under the Agency Agreement or for the performance by
the Investment Manager of any of its duties under the Investment Management Agreement,
for the performance by the Collateral Administrator of its duties under the Investment
Management Agreement or for the performance by any other person appointed by the Issuer
in relation to the Notes. The Trustee shall not have any responsibility for the administration,
management or operation of the Collateral including the request by the Investment Manager
to release any of the Collateral from time to time.
The Trust Deed contains provisions for the retirement of the Trustee and the removal of the
Trustee by Extraordinary Resolution of the Controlling Class, but no such retirement or
removal shall become effective until a successor trustee is appointed.
16. NOTICES
Notices to Noteholders will be valid if posted to the address of such Noteholder appearing in
the Register at the time of publication of such notice by pre-paid, first class mail (or any other
manner approved by the Trustee which may be by electronic transmission) and (for so long as
the Notes are listed on the Irish Stock Exchange and the rules of the Irish Stock Exchange so
require) shall be sent to the Company Announcements Office of the Irish Stock Exchange.
Any such notice shall be deemed to have been given three days (in the case of inland mail) or
seven days (in the case of overseas mail) after the date of despatch thereof to the Noteholders.
Notices to holders of interests in the Notes held through Euroclear, DTC or Clearstream,
Luxembourg (the “Clearing Systems”) may be given by delivery of the relevant notice to the
Relevant Clearing System.
The Trustee shall be at liberty to sanction some other method of giving notice to the
Noteholders or a category of them if, in its opinion, such other method is reasonable having
regard to market practice then prevailing and to the rules of the stock exchange on which the
Notes are then listed and provided that notice of such other method is given to the
Noteholders in such manner as the Trustee shall require.
17. ADDITIONAL ISSUANCES
(a) Subject to satisfaction of the conditions specified below, the Issuer from time to time, without
the consent of the Noteholders or the Trustee or any of the other Secured Parties, may create
and issue Further Notes having the same terms and conditions as an existing Class of Notes,
subject to the fulfilment of certain conditions described in greater detail below, which Further
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Notes, if in the same currency and bearing interest at the same rate, shall be consolidated and
form a single Class of Outstanding Notes. The Issuer may only issue Further Notes
(A) in a different currency to the existing Notes of a corresponding Class provided that
the same are approved by Extraordinary Resolution of the Noteholders of any Class
then Outstanding and/or;
(B) with interest thereon calculated on a different basis to the existing Notes of a
corresponding Class to the extent that, in each case, the Issuer (i) first receives Rating
Agency Confirmation in respect thereof and (ii) enters into such cross currency
and/or interest rate hedging arrangements in relation thereto as may be agreed with
each of the Rating Agencies from time to time. The Trustee shall, without the
consent of Noteholders, be entitled to consent to such consequential changes as are
required in order to effect the foregoing.
(b) The specific terms and conditions of any further issuance of Notes issued on any Subsequent
Issue Date, to the extent not set out herein or to the extent that the terms and conditions set
out herein require supplementing and/or modification to the extent that they relate to such
further issuance of Notes will be set out in the Pricing Supplement relating to each such
further issuance of Notes. No term or condition set out in these Conditions may be
supplemented and/or modified in respect of any further issuance of Notes issued on a
Subsequent Issue Date pursuant to the Pricing Supplement and/or supplemental Trust Deed
relating thereto, save for terms and conditions relating to the currency, the basis for
calculating interest, the date from which interest will accrue thereon, the date of the first
Payment Date and such other changes as are permitted under paragraph (xv) of
Condition 14(b) (Decision and Meetings of Noteholders). For the avoidance of doubt, subject
to the requirements of this Condition 17, any Further Notes issued may constitute a new Class
of Notes, provided that such new Class ranks pari passu to a previously issued Class of
Notes. The Pricing Supplement in respect of a further issuance of Notes issued on a
Subsequent Issue Date must also specify details of the intended application of the proceeds of
each Class of Notes which will be Outstanding after issuance of each such further issuance.
The Issuer shall procure that the Noteholders are notified of the issuance of any further
issuance of Notes on a Subsequent Issue Date as soon as reasonably practicable after any such
Subsequent Issue Date in accordance with Condition 16 (Notices).
(c) The issuance of Further Notes on a Subsequent Issue Date shall be subject to satisfaction of
each of the following conditions:
(i) such additional Notes must be issued for a cash sale price and the net proceeds
invested in Collateral Debt Obligations or, pending such investment during the
Ramp-up Period, deposited in the Unused Proceeds Account or, thereafter, deposited
in the Euro Principal Account or the Class A-2 Currency Principal Account to repay
the Class A-2 Notes in accordance with the terms thereof;
(ii) such additional Notes must be of each Class of Notes and issued in a proportionate
amount among the Classes so that the respective proportions of aggregate principal
amount of the Classes of Notes existing immediately prior to such additional issuance
remain unchanged following such additional issuance. As a consequence of the
minimum denominations applicable to the issue of the Notes, the Issuer shall be
entitled, whenever it issues any Further Notes and Further Issuer Euro Shares, to issue
a higher proportion of Further Notes than is required by 17(c)(ii), subject always to
Rating Agency Confirmation in respect of such additional issuances and in respect of
the existing Notes;
(iii) if such Notes are intended to be consolidated with a single Class of Outstanding
Notes the terms (other than the date of issuance, the issue price and the date from
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which interest will accrue) of such Notes must be identical to the terms of the
previously issued Notes of the applicable Class of Notes;
(iv) the ratings on each Class must at such time be no lower than the original ratings
assigned on the Issue Date;
(v) the Issuer must receive Rating Agency Confirmation in respect of such additional
issuances and the existing Notes;
(vi) the holders of the relevant Class of Notes in respect of which Further Notes are issued
(or in respect of which such Further Issuer Notes are to rank pari passu), shall have
been notified in writing 30 days prior to such issuance and shall have been afforded
the opportunity by the Issuer (who shall copy such notice to the Trustee) to purchase
additional Notes of the relevant Class in an amount not to exceed the percentage of
the relevant Class of Notes each holder held immediately prior to the issuance (the
“Anti-Dilution Percentage”) of such additional Class of Notes and on the same
terms offered to investors generally;
(vii) (so long as the existing Notes of the Class of Notes to be issued are listed on the Irish
Stock Exchange) the additional Notes of such class to be issued are in accordance
with the requirements of the Irish Stock Exchange and are listed on the Irish Stock
Exchange (for so long as the rules of the Irish Stock Exchange so require);
(viii) such additional issuance (A) will be accorded the same tax characterisation for U.S.
federal income tax purposes as the original Notes of such Class, (B) will be either
(1) part of the same issue as the original Notes for purposes of Sections 1271 through
1275 of the U.S. Internal Revenue Code or (2) the U.S. federal income tax
consequences of the acquisition, ownership and disposition of such additional
issuance will not differ in any material respect from that applicable to the original
issue of Notes of such Class;
(ix) any issuance of additional Notes shall be accomplished in a manner that will allow
the Issuer to provide the information described in United States Treasury Regulation
Section 1.1275-3(b)(1) to the holders of such additional Notes; and
(x) one or more Shareholders subscribing for Further Issuer Euro Shares in an aggregate
amount not less than that required to maintain the pro rata percentage difference
between the aggregate principal amount outstanding of the Notes and the amount of
the Issuer Euro Shares issued and outstanding as at the Issue Date, provided that, the
size of such further share issue shall be increased by the Issuer in an amount required
to cover all costs and expenses associated with such further share issue and such
further issuance of Notes.
Noteholders should be aware that additional Notes that are treated for non tax purposes as a
single series with the original Notes may be treated as a separate series for U.S. federal
income tax purposes. In such case, the new Notes may be considered to have been issued
with OID (as defined in “Tax Considerations — United States Federal Income Taxation —
Interest or Original Issue Discount on the Notes”), which may affect the market value of the
original Notes since such additional Notes may not be distinguishable from the original
Notes.
18. CLASS A-2 NOTES
(a) Class A-2 Note Purchase Agreement The Class A-2 Notes will be denominated in Euro
and/or a Class A-2 Currency. The Class A-2 Notes may be drawn down, repaid and re-drawn
during the Class A-2 Availability Period by the Issuer (or the Investment Manager on its
behalf) in Euro or Class A-2 Currency on a Class A-2 Advance Date in accordance with the
terms of the Class A-2 Note Purchase Agreement.
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Each investor acquiring Class A-2 Notes from time to time shall be required to accede to the
Class A-2 Note Purchase Agreement as a condition to registration of such acquisition by the
Class A-2 Note Agent on behalf of the Issuer.
(b) Class A-2 Advances
(i) Subject to the terms and conditions set out in this Condition and the Class A-2 Note
Purchase Agreement, each Class A-2 Noteholder agrees to make its Pro Rata Share of
any Class A-2 Advance to the Issuer from time to time in an aggregate principal
amount at any one time up to but not exceeding the Class A-2 Maximum
Commitment Amount (following conversion for such purposes of any such Class A-2
Advances denominated in a Class A-2 Currency into Euro using the Multi-Currency
Exchange Rate). Each Class A-2 Advance shall be made on a Class A-2 Advance
Date. The obligations of any Class A-2 Noteholder to make Class A-2 Advances
shall not become effective until the date on which the Trust Deed and the Class A-2
Note Purchase Agreement are executed and delivered and the Class A-2 Notes are
duly authorised, issued, authenticated and delivered thereunder.
(ii) The Investment Manager, acting on behalf of the Issuer, may request a Class A-2
Advance at any time in accordance with the Investment Management Agreement and
the Class A-2 Note Purchase Agreement by delivery of a Class A-2 Advance Request
by fax or electronic mail (substantially in the form set out in the Class A-2 Note
Purchase Agreement) which must be received by the Class A-2 Note Agent in
accordance with the time period specified in the Class A-2 Note Purchase Agreement.
The Class A-2 Note Agent shall in turn notify the Issuer, each Class A-2 Noteholder
and the Trustee by delivery of a Class A-2 Funding Notice on the same day on which
the Class A-2 Advance Request is received. The Class A-2 Funding Notice shall
include the amount of the Class A-2 Advance so requested and each Class A-2
Noteholder’s Pro Rata Share thereof.
(iii) Each Class A-2 Noteholder shall procure that its Pro Rata Share of the Class A-2
Advance is made available to the Class A-2 Note Agent on the relevant Class A-2
Advance Date in immediately available funds to the account specified in the Class A-
2 Funding Notice.
(iv) The failure of any Class A-2 Noteholder to make any Class A-2 Advance required to
be made by it shall not relieve any other Class A-2 Noteholder of its obligations
hereunder. The obligations of each Class A-2 Noteholder under the Class A-2 Note
Purchase Agreement executed by it and in respect of the Class A-2 Notes held by it
constitute several and separate, not joint, obligations and no Class A-2 Noteholder
shall be responsible for any other Class A-2 Noteholder’s failure to make Class A-2
Advances as so required.
(v) Subject to the issue of any Further Notes in accordance with Condition 17 (Further
Issuances) the maximum aggregate principal amount available to be drawn under the
Class A-2 Notes is €195,000,000 (or the Euro equivalent of any amounts drawn in a
Class A-2 Currency, converted at the Multi-Currency Exchange Rate).
(vi) Any Class A-2 Advance shall reduce the sum of the Total Undrawn Amount which is
thereafter available to be drawn down (X) in Euro by an amount equal to such
Class A-2 Euro Advance; and (Y) in a Class A-2 Currency by the Euro equivalent of
such Class A-2 Currency Class A-2 Advance, calculated at the Multi-Currency
Exchange Rate.
(vii) Any Allocation made under the Class A-2 Note Purchase Agreement shall reduce the
Undrawn and Uncommitted Amount which is thereafter available to be drawn down
by the Issuer, by an amount equal to such Allocation (converted into Euro where
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applicable at the Multi-Currency Exchange Rate). For the avoidance of doubt, unless
the full amount of any potential Allocation has previously been drawn down by the
Issuer and credited to the Delayed Drawdown Reserve Account, no Allocation may
be made in respect of a Delayed Drawdown Obligation if, pursuant to the terms of
such Delayed Drawdown Obligation the Issuer would be required to provide funding
on less than the number of business days notice as specified in the Class A-2 Note
Purchase Agreement unless, in respect of any Delayed Drawdown Obligation having
a notice period shorter than the number of days required in the Class A-2 Note
Purchase Agreement, the full amount of any potential Allocation has previously been
drawn down by the Issuer and credited to the Delayed Drawdown Reserve Account.
(viii) If any Replacement Financing occurs, the Issuer shall repay Class A-2 Advances on
the date of the issuance of such Replacement Financing, in an amount equal to the
lesser of (1) the Total Class A-2 Outstandings and (2) the net proceeds of such
Replacement Financing.
(ix) The Issuer shall pay to each Class A-2 Commitment Holder a commitment fee (the
“Class A-2 Commitment Fee”) in respect of each Due Period which:
(A) shall be calculated on the basis of actual days elapsed in each Due Period and
a 360 day year at the rate of 0.20 per cent. per annum upon the daily weighted
average amount in such Due Period of the Total Undrawn Amount of the
Class A-2 Notes; and
(B) shall be paid to the Class A-2 Note Agent for the account of the Class A-2
Commitment Holders, in respect of each Due Period, on the Payment Date
immediately following the end of such Due Period in accordance with the
Priorities of Payment.
(c) Conditions to Class A-2 Advances
(i) The obligation of each Class A-2 Noteholder to make a Class A-2 Advance shall be
subject to the conditions that both on the date of the relevant Class A-2 Agent
Advance Request and on the relevant Class A-2 Advance Date:
(A) at the time of and immediately after giving effect to such Class A-2 Advance,
no Event of Default or Potential Event of Default shall have occurred and be
continuing;
(B) certain warranties remain accurate at the Class A-2 Advance Date as if given
on that date by reference to the facts and circumstances then existing;
(C) each Transaction Document is in full force and effect;
(D) a Class A-2 Advance Request has been delivered by the Investment Manager
no later than the number of Business Days as specified in the Class A-2 Note
Purchase Agreement prior to the expiry of the Class A-2 Availability Period
and in accordance with the Class A-2 Note Purchase Agreement;
(E) each Class A-2 Noteholder has received a Class A-2 Funding Notice;
(F) such Class A-2 Advance is denominated in either Euro or a Class A-2
Currency and in a minimum amount of €5,000,000 or, in the case of a
Class A-2 Advance denominated in a Class A-2 Currency, the equivalent of
such amount determined using the Multi-Currency Exchange Rate;
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(G) as a result of such Class A-2 Advance the Principal Amount Outstanding of
the Class A-2 Notes will not exceed the Class A-2 Maximum Commitment
Amount.
(ii) Notwithstanding anything to the contrary in these Conditions but subject to the
immediately paragraph (i) above, the obligation of a Class A-2 Noteholder to make
its Pro Rata Share of a Class A-2 Advance available shall be absolute and
unconditional and shall not be affected by any circumstance whatsoever. The
obligation of a Class A-2 Noteholder to make its Pro Rata Share of a Class A-2
Advance available shall terminate on the earliest to occur of (A) an Event of Default,
(B) the expiry of the Class A-2 Availability Period or (C) the sale or other disposition
of all of the Collateral pursuant to the Conditions.
(d) Class A-2 Advance Requests Each Class A-2 Advance Request shall specify the following
information:
(i) the Principal Amount Outstanding of the Class A-2 Notes and the Class A-2 Currency
Amount Outstanding and Euro Amount Outstanding both before and after giving
effect to such Class A-2 Advance;
(ii) the aggregate amount of the requested Class A-2 Advance to be funded in Euro;
(iii) the aggregate amount of the requested Class A-2 Advance to be funded in a Class A-2
Currency;
(iv) the proposed Class A-2 Advance Date; and
(v) the account into which such Class A-2 Advance is to be deposited, which in the case
of any Class A-2 Advance denominated in Euro shall be the Euro Principal Account
and in the case of any Class A-2 Advance denominated in a Class A-2 Currency shall
be the Class A-2 Currency Principal Account.
(e) Class A-2 Funding Notices Each Class A-2 Funding Notice shall specify the following
information:
(i) the aggregate amount of the requested Class A-2 Advance to be funded in Euro;
(ii) the aggregate amount of the requested Class A-2 Advance to be funded in a Class A-2
Currency;
(iii) each Class A-2 Noteholder’s Class A-2 Pro Rata Share of such Class A-2 Advance;
(iv) the Principal Amount Outstanding of the Class A-2 Notes and the Class A-2 Currency
Amount Outstanding and Euro Amount Outstanding both before and after giving
effect to such Class A-2 Advance;
(v) the proposed Class A-2 Advance Date; and
(vi) the account into which such Class A-2 Advance is to be deposited, which in the case
of any Class A-2 Advance denominated in Euro shall be the Euro Principal Account
and in the case of any Class A-2 Advance denominated in a Class A-2 Currency shall
be the Class A-2 Currency Principal Account.
(f) Funding of Class A-2 Advances
The Class A-2 Note Agent shall promptly inform the Trustee, the Issuer and the Investment
Manager of any Class A-2 Advance pursuant to the Class A-2 Note Purchase Agreement
including the name of the Class A-2 Noteholder who has made such Class A-2 Advance.
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(g) Procedures with Respect to Rating Requirements
(i) Each Class A-2 Noteholder severally represents and warrants (as to itself only) to the
Issuer, the Class A-2 Note Agent, the Investment Manager and the Trustee that it
satisfies the Rating Requirement on the Issue Date or, if later, the date on which such
person acquires a Class A-2 Note.
(ii) Any Class A-2 Noteholder who at any time after becoming a party to the Class A-2
Note Purchase Agreement has failed to satisfy the applicable Rating Requirement
must (x) promptly give written notice of such fact to the Class A-2 Note Agent, the
Issuer, the Investment Manager, the Trustee and each Rating Agency and (y) satisfy
such other obligations as may be imposed on it pursuant to the relevant Class A-2
Note Purchaser Agreement.
In addition to the above, if the applicable Class A-2 Noteholder has failed to satisfy
the Ratings Requirements, the Investment Manager acting on behalf of the Issuer
shall drawdown the Undrawn and Committed amounts in relation to the Delayed
Drawdown Obligations.
(h) Failure to satisfy Class A-2 Noteholder Obligations
If a Class A-2 Noteholder fails to perform its obligations pursuant to or satisfy any of its
obligations to make its Pro Rata Share of any Class A-2 Advance, then (1) the Investment
Manager, acting on behalf of the Issuer pursuant to the terms of the Investment Management
Agreement, may, but shall have no obligation to, make a demand to such Class A-2
Noteholder to immediately pay to the Issuer an amount equivalent to 2 per cent. per annum
multiplied by such Class A-2 Noteholder’s Pro Rata Share of such Class A-2 Advances
calculated based on the actual number of days from (and including) the Class A-2 Advance
Date to (but excluding) the date on which the Class A-2 Noteholder makes its Pro Rata Share
of such Class A-2 Advance divided by 360 and rounding the resultant figure to the nearest
0.01 (0.005 being rounded upwards); and (2) any payments of Interest Amounts due to such
Class A-2 Noteholders shall be paid into the Class A-2 Collateral Account until either (1) the
sum of the total Undrawn Amount has been deposited into the Class A-2 Collateral Account
or (2) the Class A-2 Notes are the subject of a Replacement Financing in accordance with
Condition 7(f) (Redemption and Repayment of Class A-2 Notes).
(i) Class A-2 Repayment
Each Class A-2 Advance shall be repaid in accordance with Condition 3(c) (Priorities of
Payment) or at the option of the Investment Manger (acting on behalf of the Issuer) in
accordance with Condition 3(i) (Accounts).
(j) Gross Up
The Class A-2 Note Purchase Agreement requires the Issuer to gross up payments made to the
Class A-2 Noteholders thereunder, such payments to be made in accordance with Condition
3(c)(i)(V) (Interest Priority of Payments).
(k) Refinancing
If a demand is made under in respect of certain Class A-2 Additional Amounts which in the
opinion of the Issuer are unduly onerous or would not be payable if the Class A-2 Notes were
to be transferred to an entity other than the Class A-2 Noteholder at such time, then, in each
case, the Issuer and its affiliates shall be entitled to arrange for the Outstanding Class A-2
Notes and the Class A-2 Commitment to be so transferred or refinanced by the issue of
further Notes or otherwise.
163

19. THIRD PARTY RIGHTS
No person shall have any right to enforce any term or condition of the Notes under the Contracts
(Rights of Third Parties) Act 1999.
20. GOVERNING LAW
(a) Governing Law The Trust Deed and the Notes of each Class are governed by and shall be
construed in accordance with English law.
(b) Jurisdiction The courts of England are to have jurisdiction to settle any disputes which may
arise out of or in connection with the Notes, and accordingly any legal action or proceedings
arising out of or in connection with the Notes (“Proceedings”) may be brought in such courts.
The Issuer has in the Trust Deed irrevocably submitted to the jurisdiction of such courts and
waives any objection to Proceedings in any such courts whether on the ground of venue or on
the ground that the Proceedings have been brought in an inconvenient forum. This
submission is made for the benefit of the Trustee and shall not limit the right of the Trustee to
take Proceedings in any other court of competent jurisdiction nor shall the taking of
Proceedings in one or more jurisdictions preclude the taking of Proceedings in any other
jurisdiction (whether concurrently or not).
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USE OF PROCEEDS
The estimated net proceeds of the issue of the Notes and the Original Issuer Euro Shares after
payment of certain fees and expenses paid on the Issue Date are expected to be approximately
€646,000,000 (including any Class A-2 Currency Amount Outstanding of the Class A-2 Notes as if it
were fully drawn, and following conversion thereof into Euro using the Multi-Currency Exchange
Rate). Proceeds from the issue of the Notes and the Original Issuer Euro Shares will be used by the
Issuer to pay all amounts due and payable in connection with the acquisition of certain Collateral Debt
Obligations purchased by the Issuer, or which the Issuer has committed to purchase and to pay any
other fees and expenses in connection with the issue of Notes. The Class A-2 Notes may be drawable
after the Issue Date and the Issuer may make subsequent drawings during the Class A-2 Availability
Period, provided that the proceeds of such subsequent drawings shall be used by the Issuer to the
payment of all amounts due and payable in connection with the acquisition of certain Collateral Debt
Obligations.
On or after the Issue Date the Issuer or the Investment Manager (acting on behalf of the Issuer) may
use balances standing to the credit of the Unused Proceeds Principal Subaccount for the payment of
certain fees, costs and expenses incurred in connection with the issue of the Notes including those
associated with the entry into the Liquidity Facility Agreement and any Hedge Transactions on or
prior to the Issue Date.
165

FORM OF PRICING SUPPLEMENT
The form of Pricing Supplement that will be issued in respect of each tranche of Notes issued on a
Subsequent Issue Date is set out below.
Pricing Supplement dated [ ]
Intermediate Finance II PLC
Issue of [currency][original principal amount of tranche][Title of Notes (by reference to Class letter)]
This document constitutes the Pricing Supplement relating to the issue of Notes described herein.
Terms used herein shall be deemed to be defined as such for the purposes of the Conditions of the
Notes set out in the Offering Memorandum dated 5 July 2007. This Pricing Supplement must be read
in conjunction with such Offering Memorandum.
[Include whichever of the following apply, or specify as “Not Applicable”. (Note that the numbering
should remain as set out below, even if “Not Applicable” is indicated for individual paragraphs or
sub-paragraphs.) Italics denote directions for completing the Pricing Supplement.]
VARIOUS ISSUE TERMS
1 Title of Notes (by reference to Class letter): [ ]
2. (a) Original principal amount of Notes
[currency] [ ] being issued hereunder:
(b) Original principal amount of Notes of such
Class in issue including the original
principal amount of the Notes being issued
hereunder:
166
[Same as (i) above] [currency][ ]
3. Interest Basis [[ ] per cent. Fixed Rate] [[relevant
LIBOR/EURIBOR] +/- per cent.
Floating Rate] [specify if this is a
change of interest basis from that
applicable to the Notes of such Class
in issue]
4. Issue price: [ ] per cent. of the original principal
amount of the Notes being issued
hereunder [plus accrued interest from
[insert date]]
5. Rating: [ ]
6. Subsequent Issue Date: [ ]
USE OF PROCEEDS
7. Use of Proceeds:
(a) in payment of underwriting fees, expenses
and other amounts incurred in connection
with the issue of the tranche of Notes issued
hereunder:
(b) in respect of the proceeds of issue of any
Further Class A Notes and Further Class B
Notes, in repayment/prepayment of Loans
[currency][ ]
[currency][ ]

Outstanding under the Liquidity Facility
Agreement:
(c) in payment of all amounts (other than those
payable on a deferred basis) due and
payable in connection with the acquisition
of Collateral Debt Obligations:
(d) in respect of any share tap proceeds only, in
payment to the Issuer:
8. Target Par Amount: [ ]
167
[currency][ ]
[currency][ ]

FORM OF THE NOTES
References below to Notes and to the Global Certificates and the Definitive Certificates representing
such Notes are to each respective Class of Notes, except as otherwise indicated.
Initial Issue of Notes
The Regulation S Notes of each Class (other than the Class A-2 Notes) will be represented on issue by
a Regulation S Global Certificate deposited with, and registered in the name of BT Globenet
Nominees Limited as nominee of, Deutsche Bank AG, London Branch as common depository for
Euroclear and Clearstream, Luxembourg. Beneficial interests in a Regulation S Global Certificate
may be held only through Euroclear or Clearstream, Luxembourg at any time. See “Book-Entry
Clearance Procedures”. Beneficial interests in a Regulation S Global Certificate may not be held by
or on behalf of a U.S. Person or U.S. resident (as determined for the purposes of the Investment
Company Act) at any time. By acquisition of a beneficial interest in a Regulation S Global
Certificate, the purchaser thereof will be deemed to represent, among other things, that it is not a U.S.
Person, and that, if in the future it determines to transfer such beneficial interest, it will transfer such
interest only to a person whom the seller reasonably believes (a) to be a non-U.S. Person in an
offshore transaction in accordance with Rule 903 or Rule 904 of Regulation S, or (b) to be a QIB/QP
who takes delivery in the form of an interest in a Rule 144A Global Certificate. See “Transfer
Restrictions”.
The Rule 144A Notes of each Class (other than the Class A-2 Notes) will be represented on issue by a
Rule 144A Global Certificate deposited with, and registered in the name of BT Globenet Nominees
Limited as nominee of, Deutsche Bank AG, London Branch as common depository for Euroclear and
Clearstream, Luxembourg. Beneficial interests in a Rule 144A Global Certificate may be held only
through Euroclear or Clearstream, Luxembourg at any time See “Book-Entry Clearance Procedures”.
By acquisition of a beneficial interest in a Rule 144A Global Certificate, the purchaser thereof will be
deemed to represent, among other things, that it is a QIB/QP for the purposes of Section 3(c)(7) of the
Investment Company Act and that, if in the future it determines to transfer such beneficial interest, it
will transfer such interest in accordance with the procedures and restrictions contained in the Trust
Deed. See “Transfer Restrictions”.
The Regulation S Notes representing the Class A-2 Notes will be represented on issue by one or more
certificated notes in fully registered form registered in the name of the owner thereof (each a
“Class A-2 Regulation S Certificate”). A Class A-2 Regulation S Certificate may not be held by a
U.S. Person (as defined in Regulation S under the Securities Act) at any time. By acquisition of a
Class A-2 Regulation S Certificate, the purchaser thereof will be deemed to represent, among other
things, that it is not a U.S. Person, and that, if in the future it determines to transfer such beneficial
interest, it will transfer such interest only to a person whom the seller reasonably believes (a) to be a
non-U.S. Person in an offshore transaction in accordance with Rule 903 or Rule 904 of Regulation S,
or (b) to be a person who takes delivery in the form of an interest in a Class A-2 Rule 144A
Certificate (as defined below). See “Transfer Restrictions”.
The Rule 144A Notes representing the Class A-2 Notes will be represented on issue by one or more
certificated notes in fully registered form registered in the name of the owner thereof (each a
“Class A-2 Rule 144A Certificate”). By acquisition of a Class A-2 Rule 144A Certificate, the
purchaser thereof will be required to represent, amongst other things, that it is both a QIB and a QP
for the purposes of Section 3(c)(7) of the Investment Company Act and that, if in the future it
determines to transfer such Class A-2 Rule 144A Certificate, it will transfer such interest in
accordance with the procedures and restrictions contained in the Trust Deed. See “Transfer
Restrictions”.
Beneficial interests in Global Certificates will be subject to certain restrictions on transfer set out
therein and in the Trust Deed and as set out in Rule 144A, and the Notes will bear the applicable
legends regarding the restrictions set out under “Transfer Restrictions”. In the case of each Class of
Notes a beneficial interest in a Regulation S Global Certificate may be transferred to a person who
168

takes delivery in the form of an interest in a Rule 144A Global Certificate in denominations greater
than or equal to the minimum denominations applicable to interests in such Rule 144A Global
Certificate only upon receipt by the Trustee of a written certification (in the form provided in the
Trust Deed) to the effect that the transferor reasonably believes that the transferee is a QIB who is
also a QP for purposes of Section 3(c)(7) of the Investment Company Act and that such transaction is
in accordance with any applicable securities laws of any state of the United States or any other
jurisdiction. Beneficial interests in the Rule 144A Global Certificates may be transferred to a person
who takes delivery in the form of an interest in a Regulation S Global Certificate only upon receipt by
the Trustee of a written certification (in the form provided in the Trust Deed) from the transferor to
the effect that the transfer is being made to a non-U.S. Person and in accordance with Regulation S
under the Securities Act.
Any beneficial interest in a Regulation S Global Certificate that is transferred to a person who takes
delivery in the form of an interest in a Rule 144A Global Certificate will, upon transfer, cease to be an
interest in such Regulation S Global Certificate and become an interest in the Rule 144A Global
Certificate, and, accordingly, will thereafter be subject to all transfer restrictions and other procedures
applicable to beneficial interests in a Rule 144A Global Certificate for as long as it remains such an
interest. Any beneficial interest in a Rule 144A Global Certificate that is transferred to a person who
takes delivery in the form of an interest in a Regulation S Global Certificate will, upon transfer, cease
to be an interest in a Rule 144A Global Certificate and become an interest in the Regulation S Global
Certificate and, accordingly, will thereafter be subject to all transfer restrictions and other procedures
applicable to beneficial interests in a Regulation S Global Certificate for so long as it remains such an
interest. No service charge will be made for any registration of transfer or exchange of Notes, but the
Trustee may require payment of a sum sufficient to cover any tax or other governmental charge
payable in connection therewith.
The Regulation S Notes representing the Class A-2 Notes will be subject to certain restrictions on
transfer set out on each Class A-2 Regulation S Certificate, in the Trust Deed and in the Class A-2
Note Purchase Agreement and as set out in Rule 144A, and the Class A-2 Notes will bear the
applicable legends regarding the restrictions set out under “Transfer Restrictions”. A Class A-2
Regulation S Certificate may be transferred to a person who takes delivery in the form of Class A-2
Rule 144A Certificate in denominations greater than or equal to the minimum denominations
applicable to interests in such Class A-2 Rule 144A Certificate only upon receipt by the Trustee of a
written certification (in the form provided in the Trust Deed) to the effect that the transferor
reasonably believes that the transferee is a QIB who is also a QP for purposes of Section 3(c)(7) of the
Investment Company Act and that such transaction is in accordance with any applicable securities
laws of any state of the United States or any other jurisdiction. Class A-2 Rule 144A Certificates may
be transferred to a person who takes delivery in the form of a Class A-2 Regulation S Certificate only
upon receipt by the Trustee of a written certification (in the form provided in the Trust Deed) from the
transferor to the effect that the transfer is being made to a non-U.S. Person and in accordance with
Regulation S under the Securities Act.
Except in the limited circumstances described below, owners of beneficial interests in Global
Certificates will not be entitled to receive physical delivery of certificated Notes. The Notes are not
issuable in bearer form.
Amendments to Terms and Conditions
Each Global Certificate contains provisions that apply to the Notes that they represent, some of which
modify the effect of the Terms and Conditions of the Notes in definitive form (See “Terms and
Conditions of the Notes”). The following is a summary of those provisions:
Payments Payments of principal and interest in respect of Notes represented by a Global
Certificate will be made against presentation and, if no further payments are due to be made
in respect of the relevant Notes, surrender of such Global Certificate to or to the order of the
Principal Paying Agent or such other Transfer Agent as shall have been notified to the
169

elevant Noteholders for such purpose. On each occasion on which a payment of interest
(unless the Notes represented thereby do not bear interest) or principal is made in respect of
the relevant Global Certificate, the Registrar shall note the same in the Register and cause the
aggregate principal amount of the Notes represented by a Global Certificate to be decreased
accordingly.
Notices So long as any Notes are represented by a Global Certificate and such Global
Certificate is held on behalf of a clearing system, notices to Noteholders may be given by
delivery of the relevant notice to that clearing system for communication by it to entitled
account holders in substitution for delivery thereof as required by the Terms and Conditions
of such Notes provided that such notice is also made to the Company Announcements Office
of the Irish Stock Exchange for so long as such Notes are listed on the Irish Stock Exchange
and the rules of the Irish Stock Exchange so require.
Prescription Claims against the Issuer in respect of principal and interest on the Notes while
the Notes are represented by a Global Certificate will become void unless presented for
payment within a period of five years (in the case of interest) and 10 years (in the case of
principal) from the date on which any payment first becomes due.
Meetings The holder of each Global Certificate will be treated as being two persons for the
purposes of any quorum requirements of, or the right to demand a poll at, a meeting of
Noteholders and, at any such meeting, as having one vote in respect of each €1,000 of
principal amount of Notes for which the relevant Global Certificate may be exchanged,
provided that in respect of any Class A-2 Advance denominated in a Class A-2 Currency,
which shall be converted into Euro at the Multi-Currency Exchange Rate for the purposes of
any such meeting.
Trustee’s Powers In considering the interests of Noteholders while the Global Certificates
are held on behalf of a clearing system, the Trustee may have regard to any information
provided to it by such clearing system or its operator as to the identity (either individually or
by category) of its account holders with entitlements to each Global Certificate and may
consider such interests as if such account holders were the holders of any Global Certificate.
Cancellation Cancellation of any Note required by the Terms and Conditions of the Notes to
be cancelled will be effected by reduction in the principal amount of the Notes on the
Register, with a corresponding notation made on the applicable Global Certificate.
Exchange for Definitive Certificates
Exchange Each Global Certificate will be exchangeable, free of charge to the holder, on or after its
Exchange Date (as defined below), in whole but not in part, for Definitive Certificates if a Global
Certificate is held (directly or indirectly) on behalf of Euroclear or Clearstream, Luxembourg or an
alternative clearing system and any such clearing system is closed for business for a continuous period
of 14 days (other than by reason of holiday, statutory or otherwise) or announces its intention to
permanently cease business or does in fact do so.
The Registrar will not register the transfer of, or exchange of interests in, a Global Certificate for
Definitive Certificates during the period from (but excluding) the Record Date to (and including) the
date for any payment of principal or interest in respect of the Notes.
If only one of the Global Certificates (the “Exchanged Global Certificate”) becomes exchangeable
for Definitive Certificates in accordance with the above paragraphs, transfers of Notes may not take
place between, on the one hand, persons holding Definitive Certificates issued in exchange for
beneficial interests in the Exchanged Global Certificate and, on the other hand, persons wishing to
purchase beneficial interests in the other Global Certificates.
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“Exchange Date” means a day falling not less than 30 days after that on which the notice requiring
exchange is given and on which banks are open for business in the city in which the specified office
of the Registrar and any Transfer Agent is located.
Delivery In such circumstances, the relevant Global Certificate shall be exchanged in full for
Definitive Certificates and the Issuer will, at the cost of the Issuer (but against such indemnity as the
Registrar or any relevant Transfer Agent may require in respect of any tax or other duty of whatever
nature which may be levied or imposed in connection with such exchange), cause sufficient Definitive
Certificates to be executed and delivered to the Registrar for completion, authentication and dispatch
to the relevant Noteholders. A person having an interest in a Global Certificate must provide the
Registrar with (a) a written order containing instructions and such other information as the Issuer and
the Registrar may require to complete, execute and deliver such Global Certificates and (b) in the case
of the Rule 144A Global Certificate only, a fully completed, signed certification substantially to the
effect that the exchanging holder is not transferring its interest at the time of such exchange or, in the
case of simultaneous sale pursuant to Rule 144A, a certification that the transfer is being made in
compliance with the provisions of Rule 144A. Definitive Certificates issued in exchange for a
beneficial interest in the Rule 144A Global Certificate shall bear the legends applicable to transfers
pursuant to Rule 144A, as set out under “Transfer Restrictions” below.
Legends The holder of a Definitive Certificate may transfer the Notes represented thereby in whole
or in part in the applicable minimum denomination by surrendering it at the specified office of the
Registrar or any Transfer Agent, together with the completed form of transfer thereon. Upon the
transfer, exchange or replacement of a Definitive Certificate bearing the legend referred to under
“Transfer Restrictions” below, or upon specific request for removal of the legend on a Definitive
Certificate, the Issuer will deliver only Definitive Certificates that bear such legend, or will refuse to
remove such legend, as the case may be, unless there is delivered to the Issuer and the Registrar such
satisfactory evidence, which may include an opinion of counsel, as may reasonably be required by the
Issuer that neither the legend nor the restrictions on transfer set out therein are required to ensure
compliance with the provisions of the Securities Act and the Investment Company Act.
Sale, Exchange, Redemption or Repayment of the Rated Notes
Unless a non-recognition provision applies a U.S. Holder (defined below under Tax
Considerations – United States Federal Income Taxation), generally will recognise gain or
loss on the sale, exchange, repayment or other disposition of a Rated Note equal to the
difference between the amount realised plus the fair market value of any property received on
the disposition (other than amounts attributable to accrued but unpaid interest) and the U.S.
Holder’s adjusted tax basis in the Note.
The amount realised on the sale, exchange, redemption or repayment of a Note generally is
determined by translating the Euro proceeds into U.S. dollars at the spot rate on the date of
the Note is disposed of, while a U.S. Holder’s adjusted tax basis in a Rated Note generally
will be the cost of the Note to the U.S. Holder, determined by translating the Euro purchase
price into U.S. dollars at the spot rate on the date the Rated Note was purchased, and
increased by the amount of any OID (defined below under Tax Considerations – United
States Federal Income Taxation) accrued and reduced by any payments other than payments
of qualified stated interest of such Note. If, however, the Notes are traded on an established
securities market, a cash basis U.S. Holder or electing accrual basis U.S. Holding will
determine the amount realised on the settlement date. An election by an accrual basis U.S.
Holder to apply the spot exchange rate on the settlement date will be subject to the rules
regarding currency translation elections described above, and cannot be changed without the
consent of the IRS. The amount of foreign currency gain or loss realised with respect to
accrued but unpaid interest in the difference between the U.S. Dollar value of the interest
based on the spot exchange rate on the date the Notes are disposed of and the U.S. Dollar
value at which the interest was previously accrued. A U.S. Holder will have a tax basis in
Euro received on the sale, exchange or retirement of a Rated Note equal to the U.S. dollar
171

value of the Euro on the relevant date. Foreign currency gain or loss on a sale, exchange,
redemption or repayment of a Rated Note is recognised only to the extent of total gain or loss
on the transaction.
Foreign currency gain or loss recognised by a U.S. Holder on the sale, exchange or other
disposition of a Rated Note (including repayment at maturity) generally will be treated as
ordinary income or loss. Gain or loss in excess of foreign currency gain or loss on a Rated
Note generally will be treated as capital gain or loss. The deductibility of capital losses is
subject to limitations. In the case of a non-corporate U.S. Holder, the maximum marginal
U.S. federal income tax rate applicable to such gain will be lower than the maximum marginal
U.S. federal income tax rate applicable to ordinary income (other than certain dividends) if
such U.S. Holder’s holding period for such Rated Notes exceeds one year.
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BOOK-ENTRY CLEARANCE PROCEDURES
The information set out below has been obtained from sources that the Issuer believes to be reliable,
but prospective investors are advised to make their own enquiries as to such procedures. In particular,
such information is subject to any change in or interpretation of the rules, regulations and procedures
of Euroclear or Clearstream, Luxembourg (together, the “Clearing Systems”) currently in effect and
investors wishing to use the facilities of any of the Clearing Systems are therefore advised to confirm
the continued applicability of the rules, regulations and procedures of the relevant Clearing System.
None of the Issuer, the Trustee, the Initial Purchaser or any Agent party to the Agency Agreement (or
any Affiliate of any of the above, or any person by whom any of the above is controlled for the
purposes of the Securities Act), will have any responsibility for the performance by the Clearing
Systems or their respective direct or indirect participants or accountholders of their respective
obligations under the rules and procedures governing their operations or for the sufficiency for any
purpose of the arrangements described below.
Euroclear and Clearstream, Luxembourg
Custodial and depository links have been established between Euroclear and Clearstream,
Luxembourg to facilitate the initial issue of the Notes and cross-market transfers of the Notes
associated with secondary market trading. (See “Settlement and Transfer of Notes” below.)
Euroclear and Clearstream, Luxembourg Euroclear and Clearstream, Luxembourg each hold
securities for their customers and facilitate the clearance and settlement of securities transactions
through electronic book-entry transfer between their respective accountholders. Indirect access to
Euroclear and Clearstream, Luxembourg is available to other institutions which clear through or
maintain a custodial relationship with an accountholder of either system. Euroclear and Clearstream,
Luxembourg provide various services including safekeeping, administration, clearance and settlement
of internationally-traded securities and securities lending and borrowing. Euroclear and Clearstream,
Luxembourg also deal with domestic securities markets in several countries through established
depository and custodial relationships. Euroclear and Clearstream, Luxembourg have established an
electronic bridge between their two systems across which their respective customers may settle trades
with each other. Their customers are worldwide financial institutions including underwriters,
securities brokers and dealers, banks, trust companies and clearing corporations. Investors may hold
their interests in such Global Certificates directly through Euroclear or Clearstream, Luxembourg if
they are accountholders (“Direct Participants”) or indirectly (“Indirect Participants” and together
with Direct Participants, “Participants”) through organisations which are accountholders therein.
Book-Entry Ownership
Euroclear and Clearstream, Luxembourg Each Regulation S Global Certificate and Rule 144A
Global Certificate will have an ISIN and a Common Code and will be registered in the name of BT
Globenet Nominees Limited as nominee of, and deposited with Deutsche Bank AG London as
common depository on behalf of, Euroclear and Clearstream, Luxembourg.
Relationship of Participants with Clearing Systems
Each of the persons shown in the records of Euroclear or Clearstream, Luxembourg, as the holder of a
Note represented by a Global Certificate must look solely to Euroclear or Clearstream, Luxembourg
(as the case may be) for his share of each payment made by the Issuer to the holder of such Global
Certificate and in relation to all other rights arising under the Global Certificate, subject to and in
accordance with the respective rules and procedures of Euroclear or Clearstream, Luxembourg (as the
case may be). The Issuer expects that, upon receipt of any payment in respect of Notes represented by
a Global Certificate, the common depository by whom such Note is held, will (save as provided below
in respect of the Rule 144A Global Certificates) immediately credit the relevant participants’ or
accountholders’ accounts in the relevant Clearing System with payments in amounts proportionate to
their respective beneficial interests in the principal amount of the relevant Global Certificate as shown
on the records of the relevant Clearing System or its nominee. The Issuer also expects that payments
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y Direct Participants in any Clearing System to owners of beneficial interests in any Global
Certificate held through such Direct Participants in any Clearing System will be governed by standing
instructions and customary practices. Save as aforesaid, such persons shall have no claim directly
against the Issuer in respect of payments due on the Notes for so long as the Notes are represented by
such Global Certificate and the obligations of the Issuer will be discharged by payment to the
registered holder, as the case may be, of such Global Certificate in respect of each amount so paid.
None of the Issuer, the Trustee or any Agent will have any responsibility or liability for any aspect of
the records relating to or payments made on account of ownership interests in any Global Certificate
or for maintaining, supervising or reviewing any records relating to such ownership interests.
Settlement and Transfer of Notes
Subject to the rules and procedures of each applicable Clearing System, purchases of Notes held
within a Clearing System must be made by or through Direct Participants, which will receive a credit
for such Notes on the Clearing System’s records. The ownership interest of each actual purchaser of
each such Note (the “Beneficial Owner”) will in turn be recorded on the Direct and Indirect
Participant’s records. Beneficial Owners will not receive written confirmation from any Clearing
System of their purchase, but Beneficial Owners are expected to receive written confirmations
providing details of the transaction, as well as periodic statements of their holdings, from the Direct or
Indirect Participant through which such Beneficial Owner entered into the transaction. Transfers of
ownership interests in Notes held within the Clearing System will be effected by entries made on the
books of Participants acting on behalf of Beneficial Owners. Beneficial Owners will not receive
certificates representing their ownership interests in such Notes unless and until interests in any
Global Certificate held within a Clearing System is exchanged for Definitive Certificates.
No Clearing System has knowledge of the actual Beneficial Owners of the Notes held within such
Clearing System and their records will reflect only the identity of the Direct Participants to whose
accounts such Notes are credited, which may or may not be the Beneficial Owners. The Participants
will remain responsible for keeping account of their holdings on behalf of their customers.
Conveyance of notices and other communications by the Clearing Systems to Direct Participants, by
Direct Participants to Indirect Participants, and by Direct Participants and Indirect Participants to
Beneficial Owners will be governed by arrangements among them, subject to any statutory or
regulatory requirements as may be in effect from time to time.
The laws of some states in the United States require that certain persons take physical delivery in
definitive form of securities. Consequently, the ability to transfer interests in a Global Certificate to
such persons may be limited. Because Euroclear and Clearstream, Luxembourg can only act on
behalf of Participants, who in turn act on behalf of Indirect Participants, the ability of a person having
an interest in a Rule 144A Global Certificate to pledge such interest to persons or entities that do not
participate in Euroclear or Clearstream, Luxembourg, or otherwise take actions in respect of such
interest, may be affected by a lack of a physical certificate in respect of such interest.
Trading between Euroclear and/or Clearstream, Luxembourg Participants: Secondary market sales
of book-entry interests in the Notes held through Euroclear or Clearstream, Luxembourg to purchasers
of book-entry interests in the Notes held through Euroclear or Clearstream, Luxembourg will be
conducted in accordance with the normal rules and operating procedures of Euroclear and
Clearstream, Luxembourg and will be settled using the procedures applicable to conventional
Eurobonds.
Pre-issue Trades Settlement: It is expected that delivery of Notes will be made against payment
therefor on the Issue Date thereof, which could be more than three Business Days following the date
of pricing. Under Rule 15c6-1 of the U.S. Securities and Exchange Commission under the Exchange
Act, trades in the United States secondary market generally are required to settle within three
Business Days (“T+3”), unless the parties to any such trade expressly agree otherwise. Accordingly,
purchasers who wish to trade Notes in the United States on the date of pricing or the next succeeding
Business Days until three days prior to the relevant Issue Date will be required, by virtue of the fact
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the Notes initially will settle beyond T+3, to specify an alternate settlement cycle at the time of any
such trade to prevent a failed settlement. Settlement procedures in other countries will vary.
Purchasers of Notes may be affected by such local settlement practices and purchasers of Notes who
wish to trade Notes between the date of pricing and the relevant Issue Date should consult their own
adviser.
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RATINGS OF THE NOTES
It is a condition of the issue and sale of the Notes that the Notes be issued with at least the following
ratings (save, in respect of a issuance of Further Notes, to the extent specified otherwise in the
applicable Pricing Supplement): the Class A-1 Notes: “AAA” from S&P and “Aaa” from Moody’s;
the Class A-2 Notes: “AAA” from S&P and “Aaa” from Moody’s; the Class A-3 Notes: “AAA”
from S&P and “Aaa” from Moody’s; the Class B-1 Notes: “AA” from S&P and “Aa2” from
Moody’s; the Class B-2 Notes: “AA” from S&P and “Aa2” from Moody’s; the Class C Notes: “A2”
from S&P and “A” from Moody’s; the Class D Notes: “BBB” from S&P and “Baa2” from Moody’s.
The S&P ratings assigned to the Class A Notes and the Class B Notes address the timely payment of
interest and the ultimate payment of principal. The S&P ratings assigned to the Class C Notes and
Class D Notes address the ultimate payment of principal and interest.
The Moody’s ratings on the Class A Notes, the Class B Notes, the Class C Notes and the Class D
Notes address the expected loss posed to investors by the Maturity Date on 15 July 2024.
A security rating is not a recommendation to buy, sell or hold securities and may be subject to
revision, suspension or withdrawal at any time by the applicable Rating Agency.
S&P Ratings
S&P will rate the Rated Notes in a manner similar to the manner in which it rates other structured
issues. This requires an analysis of the following:
(a) the credit quality of the portfolio of Collateral Debt Obligations securing the Notes;
(b) the cash flow used to pay liabilities and the priorities of these payments; and
(c) legal considerations.
Based on these analyses, S&P determines the necessary level of credit enhancement needed to achieve
a desired rating. In this connection, the CDO Monitor Test is applied prior to the end of the
Reinvestment Period.
S&P’s analysis includes the application of its proprietary default expectation computer model (the
“CDO Monitor”), which is used to estimate the default rate S&P projects the Portfolio is likely to
experience and which will be provided to the Investment Manager on or before the Issue Date. The
CDO Monitor calculates the cumulative default rate of a pool of Collateral Debt Obligations and
Eligible Investments consistent with a specified benchmark rating level based upon S&P’s proprietary
corporate debt default studies. The CDO Monitor takes into consideration the rating of each Obligor,
the number of Obligors, the Obligor industry concentration and the remaining weighted average
maturity of each of the Collateral Debt Obligations included in the Portfolio. The risks posed by these
variables accounted for by effectively adjusting the necessary default level needed to achieve a
desired rating. The higher the desired rating, the higher the level of defaults the Portfolio must
withstand. For example, the higher the Obligor industry concentration or the longer the weighted
average maturity, the higher the default level is assumed to be.
Credit enhancement to support a particular rating is then provided based on the results of the CDO
Monitor, as well as other more qualitative considerations such as legal issues and management
capabilities. Credit enhancement is typically provided by a combination of
over-collateralisation/subordination, cash collateral/reserve account, excess spread/interest and
amortisation. A cash flow model (the “Transaction-Specific Cash Flow Model”) prepared by the
seller or adviser is used to evaluate the portfolio and determine whether it can comfortably withstand
the estimated level of default while fully repaying the class of debt under consideration.
There can be no assurance that actual losses on the Collateral Debt Obligations will not exceed those
assumed in the application of the CDO Monitor or that recovery rates and the timing of recovery with
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espect thereto will not differ from those assumed in the Transaction-Specific Cash Flow Model.
None of S&P, the Issuer, the Investment Manager, the Collateral Administrator, the Trustee or the
Initial Purchaser makes any representation as to the expected rate of defaults on the Portfolio or as to
the expected timing of any defaults that may occur.
S&P’s ratings of the Rated Notes will be established under various assumptions and scenario
analyses. There can be no assurance that actual defaults on the Collateral Debt Obligations will not
exceed those assumed by S&P in its analysis, or that recovery rates with respect thereto (and,
consequently, loss rates) will not differ from those assumed by S&P.
Moody’s Ratings
The ratings assigned to the Rated Notes by Moody’s are based upon its assessment of the probability
that the Collateral Debt Obligations will provide sufficient funds to pay each such Class of Notes,
based largely upon Moody’s statistical analysis of historical default rates on debt obligations with
various ratings, the asset and interest coverage required for the relevant Class of Rated Notes (which
is achieved through in the case of the Class A Notes, subordination of the other Classes of Notes, in
the case of the Class B Notes, subordination of the Class C Notes and the Class D Notes, in the case
of the Class C Notes, subordination of the Class D Notes) and the diversification requirements that the
Collateral Debt Obligations are required to satisfy.
Moody’s ratings address the expected loss posed to investors by the legal final maturity on 15 July
2024.
Moody’s analyses of the likelihood that each Collateral Debt Obligation will default is based on
historical default rates for similar debt obligations, the historical volatility of such default rates (which
increases as securities with lower ratings are added to the portfolio) and an additional default
assumption to account for future fluctuations in defaults. Moody’s then determines the level of credit
protection necessary to achieve the expected loss associated with the rating of the structured
securities, taking into account the expected volatility of the default rate of the portfolio based on the
level of diversification by region, issuer and industry.
In addition to these quantitative tests, Moody’s ratings take into account qualitative features of a
transaction, including the experience of the Investment Manager, the legal structure and the risks
associated with such structure and other factors that they deem relevant.
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DESCRIPTION OF THE ISSUER
The Issuer was incorporated under the Companies Act 1985 to 1989 of England and Wales as a public
company with limited liability on 1 December 2006 with registered number 6015791 for an unlimited
duration as Intermediate Finance II PLC. The Issuer’s registered office is situated at 20 Old Broad
Street, London EC2N 1DP and facsimile number is +44(0)2076282268. The Issuer has been
established as a special purpose vehicle for the purposes of issuing the Notes.
Issuer Shareholders and Relationship to ICG
The Issuer’s issued share capital is £50,000 which is fully paid up and divided into 50,000 shares with
a nominal value of £1.00 each (being the Issuer Sterling Shares). In addition, the Issuer issued
130,000,000 Original Issuer Euro Shares on or about 3 July 2007. It is anticipated that the Issuer may
issue Further Issuer Euro Shares from time to time.
The entire issued share capital of the Issuer is owned by Intermediate Capital Group PLC (“ICG” or
the “Parent”). The Issuer is an Affiliate of the Investment Manager. The Investment Manager is a
wholly-owned subsidiary of ICG.
Directors
In the group structure diagram above solid lines represent the parent/subsidiary relationships and the dotted line
represents the investment management function.
The Directors of the Issuer as at the date of this Offering Memorandum are as follows:
Name Business Address
Philip Keller 20 Old Broad Street, London EC2N 1DP
Andrew Phillips 20 Old Broad Street, London EC2N 1DP
Paul Piper 20 Old Broad Street, London EC2N 1DP
Kim Rennie 20 Old Broad Street, London EC2N 1DP
The biographies of Messrs. Keller, Phillips and Piper are set forth under “Description of the
Investment Manager” and the biography of Kim Rennie is set forth below.
Kim Rennie
Intermediate Capital
Managers Limited
Intermediate Capital Group PLC
Kim Rennie qualified as a chartered accountant in 1990. She joined ICG in August 2000 having
gained industry experience with a computer reseller, an international electrics company and a
financial services company in which ICG had an investment. Ms Rennie is currently the Financial
Controller for ICG.
178
Intermediate Finance II
PLC

Business
The Issuer has been established as a special purpose vehicle for the purpose of issuing asset-backed
securities. To this end, the objects of the Issuer, as stated in Clause 3 of its Memorandum and Articles
of Association, include, amongst others, the following:
(a) to raise or borrow money and to grant security over its assets for such purpose, to lend money
and to invest in and acquire senior and/or mezzanine loans derived from companies whether
secured or unsecured, preference shares issued by companies and interests therein together
with ancillary rights relating thereto (including any rights in real or personal property) and
other similar investments and to manage and administer such interests;
(b) to hold, deal with, invest, buy, sell, exchange, mortgage, charge, dispose of or grant any right
or interest in, over or upon any property described above;
(c) to invest money of the Issuer in any investments and to hold, sell or otherwise deal with such
investments, and to carry on the business of an investment company; and
(d) to borrow and raise money and accept money on deposit and to secure or discharge any debt
or obligation in any manner and in particular (without prejudice to the generality of the
foregoing) by mortgages or charges upon all or any part of the undertaking, property and
assets (present and future) and uncalled capital of the Issuer or by creation and issue of
securities.
Pursuant to the Conditions, the business of the Issuer is restricted to issuing the Notes and other
permitted indebtedness as set out in the Trust Deed and acquiring, holding and disposing of the
Portfolio in accordance with the Conditions and the Investment Management Agreement and
exercising the rights and performing the obligations under each such agreement and all other
transactions incidental thereto. The Issuer may declare dividends in so far as its net assets are greater
than its share capital together with its statutory reserves. The Issuer will not have any subsidiaries
and, save in respect of the fees and expenses generated in connection with the issue of the Notes
(referred to below), the Issuer will not accumulate any surpluses.
The assets of the Issuer will consist of the Collateral held from time to time, the balances standing to
the credit of the Accounts and the benefit of the Transaction Documents, entered into by or on behalf
of the Issuer from time to time, the sum of £50,000 representing its issued and paid-up ordinary share
capital. The only assets of the Issuer available to meet claims of the Noteholders and the other
Secured Parties are the assets comprising the Collateral.
Obligations under the Notes and other Permitted Indebtedness are obligations of the Issuer alone and
not of ICG, ICM, the Directors, the Trustees, the Custodians, the Investment Manager or any obligor
under any part of the Collateral. Although the Issuer is a wholly-owned subsidiary of ICG,
obligations under the Notes and other Permitted Indebtedness are not obligations of, or guaranteed in
any way by ICG or ICM.
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Capitalisation and Indebtedness
The unaudited capitalisation of the Issuer as at the date of this Offering Memorandum, adjusted for
the Notes to be issued is as follows:
Share Capital
Issued and fully paid 50,000 ordinary shares of £1.00 each €74,061 2
Original Issuer Euro Shares (130,000,000 shares of €1 each, each share fully paid up) €130,000,000
Loan Capital
Class A-1 Senior Secured Floating Rate Notes due 2024 €104,000,000
Class A-2 Senior Secured Floating Rate Multi-Currency Notes due 2024 €195,000,000
Class A-3 Senior Secured Floating Rate Notes due 2024 €26,000,000
Class B-1 Senior Secured Floating Rate Notes due 2024 €63,000,000
Class B-2 Senior Fixed Rate Notes due 2024 €15,000,000
Class C Secured Deferrable Floating Rate Notes due 2024 €78,000,000
Class D Secured Deferrable Floating Rate Notes due 2024 €39,000,000
Total Capitalisation €650,074,061
The Issuer has no loan capital (including term loans) outstanding or created but unissued, or any
outstanding mortgages, charges or other borrowings or indebtedness in the nature of borrowing,
including bank overdrafts and liabilities under acceptance credits, hire purchase agreements,
guarantees or other contingent liabilities, other than any indebtedness incurred in relation to the
Warehousing Agreements, and upon their issuance, the Notes and the Trust Deed.
Financial Statements
Since its date of incorporation, the Issuer has not commenced operations (other than in respect of
entering into the Warehouse Agreements in respect of the acquisition of certain assets to be comprised
in the Portfolio on or prior to the Issue Date) and no financial statements of the Issuer have been
prepared as at the date of this Offering Memorandum. The Issuer intends to publish its first financial
statements in respect of the period ending March 2008. Any published financial statements prepared
by the Issuer will be available from the registered office of the Issuer. The auditors of the Issuer,
Deloitte, are chartered accountants qualified to practice in England and Wales.
Relationship with the Investment Manager
The Issuer is a wholly-owned subsidiary of ICG, which is also the parent company of the Investment
Manager. ICG has subscribed for 50,000 ordinary shares that comprise the initial share capital of the
Issuer. Mr. Keller, a director of the Issuer, is a Managing Director of ICG. Mr. Phillips and Mr.
Piper, who are directors of the Issuer, also are members of the board of directors of the Investment
Manager and Managing Directors of ICG. The Issuer has no employees.
The Issuer has been formed to invest in Mezzanine Loans originated by ICG alongside mezzanine
funds managed by the Investment Manager and ICG itself. Accordingly, the Issuer will be reliant on
the continued investment activities of ICG. See “Description of the Investment Manager”. ICG has
stated that market conditions remain challenging, driven by excess liquidity in debt markets, and that
it continues to see high levels of repayments, a trend it does not anticipate will slow down in the short
term, and that it is possible that ICG’s balance sheet may fail to grow.
2 Includes an amount of £50,000 at an exchange rate of £1/€1.48122.
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Intermediate Capital Managers Limited
General
DESCRIPTION OF THE INVESTMENT MANAGER
Intermediate Capital Managers Limited (“ICM”), a wholly-owned subsidiary of Intermediate Capital
Group PLC (“ICG”), will act as the investment manager to Intermediate Finance II plc pursuant to the
Investment Management Agreement. ICM was incorporated as a company with limited liability
under the laws of England and Wales on 12 December 1988. ICM’s registered address is 20 Old
Broad Street, London EC2N 1DP, England.
ICM is regulated by the Financial Services Authority for the conduct of investment business in the
UK.
In addition to acting as the Investment Manager to the Issuer, ICM has, since September 1999, acted
as the investment manager or adviser to Eurocredit Opportunities I PLC, Eurocredit CDO I, B.V.,
Eurocredit CDO II, B.V., Eurocredit CDO III, B.V., Eurocredit CDO IV, B.V., Eurocredit V PLC,
Eurocredit CDO VI PLC, Eurocredit CDO VII PLC, Eurocredit Investment Fund 1 PLC, Eurocredit
Investment Fund 2 PLC, Confluent 1 Limited, Intermediate Finance PLC, Promus I B.V. and
Promus II B.V., as well as a number of mezzanine funds. Promus I B.V. has been liquidated
following the redemption of all of the notes that it had issued, and the remaining assets in its portfolio
prior to such redemption and liquidation were acquired by Eurocredit CDO V PLC in connection with
the launch of its transaction. Promus II B.V. also has been liquidated and the notes redeemed, and the
remaining assets were acquired by Eurocredit CDO VII PLC in connection with the launch of its
transaction. All of the notes issued by Intermediate Finance PLC also were redeemed, following
which it also was liquidated and whose assets will form a significant portion of the initial Portfolio.
As at 31 March 2007, ICM had total assets under management of £5.8 billion, of which £4.5 billion
related to CDOs and £3.1 billion related to mezzanine funds. ICM manages CDOs which include
loans sourced by ICM and CDOs of loans all of which are originated by ICG, as well as multimanaged
CDOs (Confluent I). The Issuer has been formed to invest in mezzanine loans originated by
ICG alongside ICM’s mezzanine funds and ICG itself. It is the intention of ICG and ICM that loans
originated by ICG will be allocated one-third to the Issuer and two-thirds to ICG, following any
allocations to ICM’s mezzanine funds. ICG anticipates, however, that when it originates a loan,
currently up to 40% of the loan first will be allocated to ICM’s mezzanine funds. The actual
allocation could differ for each specific loan and over time, as each mezzanine fund has and will have
its own investment criteria and arrangements with ICG and ICM concerning its allocation. Although
it is the intention of ICG and ICM that the Issuer will receive such allocation of any loan originated by
ICG, ICG and ICM are under no obligation to grant such allocation and actual allocations could vary,
in particular if the investment would not satisfy the eligibility criteria and other tests set out elsewhere
herein or if the making of any investment may in the opinion of ICG or ICM create a risk that a failure
of such tests could be likely, or if ICG’s business and funding requirements should change.
ICG selects is mezzanine loans after a detailed credit analysis and due diligence by its mezzanine
team, including bottom-up financial modelling. Any investment proposal must first be screened by
the members of ICG’s Investment Committee at a pre-meeting, at which issues for further analysis
and diligence are raised and discussed. Following such further diligence and analysis, the investment
must be approved by a meeting of the Investment Committee. The members of the Investment
Committee are Paul Piper, Andrew Phillips, Christophe Evain, Tom Attwood, Francois de Mitry and
Phillip Keller (information about whom is given below). Before the Issuer will be allowed to invest
alongside ICG, an investment must satisfy the eligibility criteria and other tests set out elsewhere
herein.
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Key Senior Personnel of ICM
Andrew Phillips, a Managing Director of ICG and Sara Halbard will be responsible for the obligations
of ICM under the Investment Management Agreement reporting to the Executive Committee of ICG.
They are both directors of ICM.
Andrew Phillips (Managing Director of ICG)
Mr. Phillips was born in 1963, and is a graduate of Edinburgh University. After graduating, he joined
Chemical Bank, latterly working in the specialist finance group, prior to joining ICG on its formation.
Having initially spent many years developing ICG’s UK, French and Scandinavian mezzanine
business, he has concentrated on ICG’s non-mezzanine fund management business and now runs the
UK, Nordic and Central European mezzanine business. He was appointed to the main Board of ICG
in May 2003 and is a member of the Executive Committee and the Investment Committee.
Sara Halbard (Investment Manager of ICG)
Ms. Halbard was born in 1961 and is a graduate of Imperial College of Science, Technology and
Medicine. After graduating she spent nine years in credit analysis with Lloyds Bank p.l.c and
Kleinwort Benson. She subsequently spent two years managing the loan workout portfolio for
Commerzbank AG in London before moving to Bear Stearns International in London where for two
years she was an Investment Manager responsible for European high yield bonds, distressed debt and
special situation investments. Ms. Halbard joined ICG in 1999.
Directors of ICM
The current directors of ICM are Tom Attwood, Sara Halbard, Rolf Nuijens, Andrew Phillips and
Paul Piper.
Paul Piper (Managing Director of ICG)
Mr. Piper was born in 1957, initially worked for Williams and Glyns and then joined Chemical Bank
where he worked for ten years, latterly in the specialist finance group, prior to joining ICG on its
formation. He was appointed to the main Board of ICG in October 2002. Mr. Piper is Chairman of
ICG’s Investment Committee, having previously run its UK mezzanine business and been responsible
for operations. He has been on ICG’s Investment Committee since 1996.
Rolf Nuijens
Rolf Nuijens was born in 1969 and is a graduate of Vrije Universiteit, Amsterdam. He joined ICG in
1998 and was appointed to the main board of ICM in 2006. Prior to ICG he worked for private equity
firm HAL Investments in The Netherlands.
Intermediate Capital Group PLC
ICG was established in 1989, originally with the backing of nine leading financial institutions. ICG is
incorporated as a public company with limited liability under the laws of England and Wales and is
regulated by the Financial Services Authority. ICG’s shares were listed on the London Stock
Exchange in May 1994 and, in September 1995, ICG opened a representative office in Paris. It has
subsequently opened representative offices in Stockholm and Madrid. ICG’s registered office is 20
Old Broad Street, London EC2N 1DP, England.
ICG employs approximately 46 professional staff who together have many years of investment
experience and expertise in analysing credit and providing mezzanine finance throughout Europe. It
is managed by six managing directors, two of whom are original founders, supported by an
experienced management team, the majority of whom have been with the company since, or soon
after, its formation. Management is incentivised through a number of long-term retention schemes
and has extensive experience in mezzanine lending, banking and private equity investment throughout
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western Europe. ICG had pre-tax profits of £224 million and post-tax profits of £143 million
recorded in the year to 31 March 2007.
ICG is a leading independent arranger and provider of mezzanine finance in Europe. It arranges,
underwrites and provides mezzanine finance for UK and continental European acquisitions,
recapitalisations and refinancings. More recently, it has expanded its activities into Asia, Eastern
Europe and the United States. As at 31 March 2007, it had arranged or provided total mezzanine
finance of £5.2 billion in over 230 transactions, of which over £2.9 billion was retained for its own
account, and £1.3 billion was invested on behalf of ICG’s fund management clients, the balance being
syndicated to third parties. Historically the mezzanine financings with which ICG has been involved
have tended to be neither the largest nor smallest transactions. It has arranged or co-arranged
approximately two-thirds of the mezzanine financings in which it has been involved.
As at 31 March 2007, ICG had realised over 100 investments. ICG’s portfolio as at 31 March 2007
consisted of investments in 74 different companies amounting to a total of £1.75 billion (net of
provisions). The loans are diversified, being spread across 20 different industries, thirteen countries
in western Europe and three countries in South East Asia with 25 per cent. by value invested in UK
companies. As at 31 March 2007 the largest industrial sector represented 14.7 per cent. of the total
portfolio of ICG and its subsidiaries.
ICG’s income is generated from interest and dividend income, capital gains arising from the sale of
shares and warrants acquired in conjunction with financings (although the issuance of shares and
warrants has become common in mezzanine financings in recent years) and fees from arranging and
underwriting mezzanine assets and from managing funds for third parties.
At 31 March 2007, ICG’s total assets were over £1.9 billion, with shareholders’ funds of £601.6
million. The share capital and retained earnings, which increase by each year’s retained profits (less
any dividends paid), are used to fund ICG’s ongoing investment business, as are ICG’s other sources
of finance.
ICG has four main sources of finance, namely its share capital and reserves, its unsecured bank
facilities, the traditional U.S. debt private placement market and the securitisation market. It has one
revolving bank credit facility of £1.1 billion. ICG has been to the U.S. debt private placement market
on six separate occasions, raising a total of over U.S.$1.0 million, most recently in February 2007
when it raised U.S.$350 million. In June 2003, the company completed the securitisation of a tranche
of its mezzanine portfolio raising an initial £200 million in the Intermediate Finance PLC transaction.
The Issuer is being established as part of its second securitisation transaction and will acquire the
remaining assets of Intermediate Finance PLC. As at 31 March 2007, ICG had a debt capacity of
£2.0 billion, of which £1.2 billion was drawn.
ICG also manages third-party mezzanine funds which participate side-by-side with ICG in making its
mezzanine loans. In March 2007, the Company completed the final closing of the European Fund
2006, raising over €1.25 billion of equity from fund investors. With leverage, this fund is expected to
have available resources of €2.5 billion.
ICG believes that its extensive experience in providing mezzanine capital to European companies has
enabled it to develop the credit analysis expertise necessary to manage a portfolio of European, US
and Asian senior secured loans, mezzanine financing, high yield financing and special opportunity
investments.
Services Agreement between ICM and ICG
In order to enable ICM to perform its obligations under the Investment Management Agreement, ICM
has entered into a services agreement with ICG, under which ICG agrees to make available to ICM
the key senior personnel who are described below. Under the terms of the service agreement, ICG
also agrees to provide ICM with certain administrative services which ICM requires to carry out its
obligations under the Investment Management Agreement, including providing the services of ICG’s
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Investment Committee, the members of which are the Managing Directors of ICG (information about
whom is given below).
Christophe Evain (Managing Director of ICG)
Mr. Evain was born in 1962 and is a graduate of Paris-Dauphine University. After graduating, he
worked at Credit Lyonnais in the United States, and National Westminster Bank in Paris, latterly in
their structured and leveraged finance group. He then spent three years at Banque de Gestion Privee
as an assistant director in the leveraged finance group. Mr. Evain joined ICG in 1994 in London. He
was appointed a managing director of ICG in October 2005 and is responsible for the German,
Benelux and US mezzanine business.
Tom Attwood (Managing Director of ICG)
Mr. Attwood, born in 1952, is a graduate of Manchester University. Prior to joining ICG, he was a
director of James Capel & Co. At James Capel he was responsible for their IPO business and was
well known as the driving force behind MBO flotations in the UK and in Europe. He worked with
ICG’s founders in raising the initial equity for the company in 1989 and became a non-Executive
Director in June 1993. He joined ICG as an Executive Director in 1996 and has particular
responsibility for marketing and fund management activities. Mr. Attwood was instrumental in the
development of ICG’s high yield fund management business.
Francois de Mitry (Managing Director of ICG)
Mr. de Mitry is a graduate of the Institut d’Etude Politique de Paris. He joined ICG in 1997 from
Société Générale where he worked as an assistant director in the Structured Finance unit in London
for five years, having previously been an analyst at Credit Commercial de France in Paris and Milan.
Mr. de Mitry has responsibility for the French mezzanine business and was appointed to the Board in
2003.
Philip Keller (Managing Director of ICG)
Mr. Keller was born in 1966 and joined ICG in 2006 as the Finance Director. Mr. Keller is a member
of ICG’s Executive Committee and Investment Committee. Prior to joining ICG he had held finance
directorship positions at ERM, GlaxoSmithKline and Johnson & Johnson. Mr. Keller is a graduate of
Durham University and is a member of the Institute of Chartered Accountants in England and Wales.
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DESCRIPTION OF THE PORTFOLIO
Capitalised terms used and not otherwise defined herein shall have the meanings given to them in
Condition 1 (Definitions) of the Terms and Conditions of the Notes.
Introduction
Pursuant to the Investment Management Agreement, the Investment Manager is required to manage
the Portfolio on behalf of the Issuer and to carry out the duties and functions described below. In
addition, the Collateral Administrator is required to perform certain calculations in relation to the
Portfolio on behalf of the Issuer in each case to the extent and in accordance with the information
provided to it by the Investment Manager.
Acquisition of Collateral Debt Obligations and Effective Date
The Investment Manager will purchase on behalf of the Issuer a portfolio of Mezzanine Obligations
and Synthetic Securities under which the Reference Obligation is a Mezzanine Obligation during the
Ramp-up Period, the Reinvestment Period and thereafter. The Issuer anticipates that, by the Issue
Date, it will have committed to purchase Collateral Debt Obligations the Aggregate Principal Balance
of which equals 70.0 per cent. of the “Target Par Amount”. The proceeds of issuance of the Notes
remaining after payment of (a) certain of the acquisition costs of the Collateral Debt Obligations
acquired by the Issuer on or prior to the Issue Date and (b) certain fees, costs and expenses incurred in
connection with the issuance of the Notes including those associated with the initial Hedge
Transactions will be deposited in the relevant sub-account of the Unused Proceeds Account on the
Issue Date. The Investment Manager, acting on behalf of the Issuer, shall use all commercially
reasonable efforts to purchase Collateral Debt Obligations out of the Balance standing to the credit of
the Unused Proceeds Account during the Ramp-up Period, the Aggregate Principal Balance of which
(calculated as described in the paragraph below with respect to the report of the independent
accountants), when aggregated with all other Collateral Debt Obligations in the Portfolio, equals or
exceeds the Target Par Amount as at the Effective Date.
The Issuer does not expect and is not required to satisfy the Collateral Quality Tests, the Percentage
Limitations or the Coverage Tests prior to the Effective Date.
At any time prior to July 15, 2008 from (but excluding) the Issue Date, or if such day is not a
Business Day, the immediately following Business Day, the Investment Manager may give notice to
the Issuer, the Collateral Administrator, the Rating Agencies and the Trustee declaring a date prior to
15 July 2008 (which is a Business Day) to be the “Effective Date”, subject to the Collateral
Administrator having certified that the Effective Date Requirements are each satisfied as at such date.
The Investment Manager, acting on behalf of the Issuer, shall procure that, within 30 Business Days
after the Effective Date, the independent accountants appointed by the Issuer in accordance with the
Collateral Administration Agreement issue a report confirming the Aggregate Principal Balance of the
Collateral Debt Obligations purchased or committed to be purchased as at such date and the
computations and results of the Percentage Limitations, the Collateral Quality Tests and the Coverage
Tests by reference to such Collateral Debt Obligations, copies of which shall be forwarded to the
Issuer, the Trustee, the Investment Manager, the Collateral Administrator and the Rating Agencies
(provided that, for the purposes of each such determination, any repayments or prepayments of any
Collateral Debt Obligations subsequent to the date of acquisition thereof that have not been reinvested
in the acquisition of additional Collateral Debt Obligations shall be disregarded and the Principal
Balance of a Collateral Debt Obligation which is a Defaulted Obligation will be the lower of its S&P
Collateral Value and its Moody’s Collateral Value) and shall promptly following receipt of such
report request that each of the Rating Agencies confirms the Initial Ratings. In the event that as at the
Determination Date immediately following the Effective Date (a) the independent accountants so
appointed by the Issuer have not confirmed that as at any time from the Effective Date to such
Determination Date, the Effective Date Requirements have been satisfied or (b) any of the Initial
Ratings of the Rated Notes have been reduced or withdrawn or (c) either or both of the Rating
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Agencies have notified the Issuer or the Investment Manager on behalf of the Issuer that such Rating
Agency intends to reduce or withdraw its Initial Ratings of the Rated Notes, in each case, all further
purchases of Collateral Debt Obligations shall cease until the Investment Manager, acting on behalf of
the Issuer, prepares and presents to the Rating Agencies a plan (a “Rating Confirmation Plan”)
which is acceptable to the Rating Agencies setting forth the timing and manner of acquisition of
additional Collateral Debt Obligations or any other intended action which will cause confirmation or
reinstatement of the Initial Ratings. The Investment Manager (acting on behalf of the Issuer) is under
no obligation whatsoever to present a Rating Confirmation Plan to the Rating Agencies and may, in
its discretion (acting on behalf of the Issuer), determine not to present such plan in favour of
redemption of Rated Notes as described in the paragraph below and as provided pursuant to
Condition 7(f)(ii) (Redemption and Replacement of Class A-2 Notes).
For so long as, in the above circumstances, no Rating Agency Confirmation has been obtained in
respect of such Rating Confirmation Plan (if any), an Effective Date Rating Event shall have occurred
and be continuing. In the event that an Effective Date Rating Event has occurred and is continuing on
the second Business Day prior to the Payment Date next following the Effective Date and any other
Payment Date thereafter, the Balance standing to the credit of the Unused Proceeds Account, the Euro
Principal Account and the Class A-2 Currency Principal Account will be transferred to the Payment
Account and shall be applied as Principal Proceeds, together with Interest Proceeds, in redemption of
the Rated Notes in accordance with the Priorities of Payments to the extent required to cause the
Initial Ratings assigned to the Rated Notes to be confirmed. Upon confirmation by each of the Rating
Agencies of the Initial Ratings assigned to the Rated Notes after the Effective Date, the transaction
will be “effective” and the Balance standing to the credit of the Unused Proceeds Account (if any)
shall, upon the direction of the Investment Manager (acting on behalf of the Issuer), be transferred to
the Euro Interest Account and/or to the Class A-2 Currency Interest Account and/or to the Euro
Principal Account and/or to the Class A-2 Currency Principal Account.
Eligibility Criteria
Each Collateral Debt Obligation must, at the time of the Investment Manager entering into a binding
commitment to acquire such obligation by, or on behalf of, the Issuer (and, in the case of all Collateral
Debt Obligations acquired by the Issuer on or prior to the Issue Date, as at the Issue Date), be
determined by the Investment Manager in accordance with the Investment Manager to satisfy the
following “Eligibility Criteria” provided that in the case of any Synthetic Security, both such
Synthetic Security and the related Reference Obligation shall be required to satisfy each Eligibility
Criteria save for paragraphs (a) and (c) which may be satisfied solely by the Reference Obligation and
paragraphs (h), (i), (k), (l), (r), (u) and (w) which may be satisfied solely by the Synthetic Security:
(a) it is a Mezzanine Obligation or, to the extent delivered to the Issuer in respect of a Defaulted
Obligation or received by the Issuer as a result of restructuring of the terms of a Collateral
Debt Obligation in effect as of the later of the Issue Date and the date of issuance thereof, a
debt security other than a Mezzanine Obligation;
(b) it is either (1) denominated in Euro or a Class A-2 Currency, or (2) is denominated in the
currency of a Qualifying Country, and in each case is not convertible into or payable in any
other currency and in the case of any Non-Euro Obligation, it is either:
(i) purchased with Class A-2 Currency proceeds from the Class A-2 Notes and/or
amounts standing to the credit of the Class A-2 Currency Principal Account; or
(ii) hedged under an Asset Swap Transaction with one or more Asset Swap Counterparty;
(c) it is an obligation of a borrower or borrowers having (i) a principal place of business or
significant operations and (ii) its jurisdiction of incorporation in a Qualifying Country (as
determined by the Investment Manager, acting on behalf of the Issuer);
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(d) it is not, at the time of entering into a binding commitment to purchase, actually known by the
Investment Manager after making reasonable enquiries to be a Defaulted Obligation or a
Credit Impaired Obligation or a Current Pay Obligation;
(e) subject to the terms of the Investment Management Agreement, it is an obligation, the
ownership, enforcement or disposition of which and the nature of which will not cause the
Issuer to be treated as engaged in a trade or business within the United States for U.S. federal
income tax purposes, that is acquired and held in a manner that does not violate the
Investment Restrictions set forth in the Investment Management Agreement;
(f) it has not been called for, and is not subject to a pending, redemption;
(g) it is not the subject of an offer of exchange, conversion or tender by its issuer or borrower, as
applicable, for cash, securities or any other type of consideration (other than for an obligation
being received as a result of an offer or an exchange and that otherwise meets the Eligibility
Criteria and the Reinvestment Criteria);
(h) it is capable of being sold, assigned or participated to the Issuer and is capable of being sold,
assigned or novated by the Issuer without any breach of applicable selling restrictions (to the
knowledge of the Investment Manager, acting on behalf of the Issuer) or of any contractual
provisions;
(i) it is an obligation in respect of which, following acquisition thereof by the Issuer by the
selected method of transfer (to the knowledge of the Investment Manager (acting on behalf of
the Issuer) after making reasonable enquiry) payments thereon will not be subject to
withholding tax imposed by any jurisdiction unless either (i) such withholding tax will not be
applicable pursuant to the operation of an applicable tax treaty subject to the completeness of
any procedural formalities or (ii) the Obligor is required to make “gross-up” payments to the
Issuer that cover the full amount of any such withholding on an after-tax basis;
(j) (i) it is rated by S&P and Moody’s or is assigned or otherwise has an S&P Rating and a
Moody’s Rating and does not have an “r” “p”, “q”, “pi” or “t” subscript unless S&P otherwise
consents in writing;
(k) other than in the case of a Zero Coupon Security, a Step-Up Coupon Security (with respect to
which paragraph (i) of the definition of Step-Up Coupon Security), a PIK Obligation or a
PIYC Obligation, it is an obligation that pays interest no less frequently than annually;
(l) it is not an obligation in respect of which interest payments are scheduled to decrease
(although interest payments may decrease due to unscheduled events such as a decrease of the
index relating to a Floating Rate Collateral Debt Obligation, the change from a default rate of
interest to a non-default rate, an improvement in the Obligor’s financial condition or as a
result of the satisfaction of contractual conditions set out in the relevant documentation for
such obligation);
(m) it is not a non-Euro denominated Delayed Drawdown Obligation that can be drawn in any
other currency other than Euro or a Class A-2 Currency, save where Rating Agency
Confirmation has been received in respect of such acquisition;
(n) it is not an obligation whose acquisition by the Issuer will cause the Issuer to be deemed to
have participated in a primary loan origination in the United States;
(o) it is not convertible into equity save at the sole option of the Issuer and is not Margin Stock as
defined under Regulation U issued by The Board of Governors of the Federal Reserve
System;
(p) it is not a lease;
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(q) it is not a Structured Finance Security;
(r) its acquisition by the Issuer (to the knowledge of the Investment Manager (acting on behalf of
the Issuer) after making reasonable enquiry) will not result in the imposition of stamp duty or
stamp duty reserve tax payable by the Issuer, unless Rating Agency Confirmation is received
in respect of such acquisition;
(s) it is not a security whose repayment is subject to substantial non-credit related risk or to the
non-occurrence of certain catastrophes as determined by the Investment Manager (acting on
behalf of the Issuer) or which is a catastrophe bond or a market value collateralised debt
obligation;
(t) it must require a majority consent of all lenders to the Obligor thereunder for any change in
the principal repayment profile or interest applicable on such obligation, for the avoidance of
doubt, excluding any changes originally envisaged in the loan documentation;
(u) upon acquisition, both (i) the Collateral Debt Obligation is capable of being, and will be, the
subject of a first fixed charge or first priority security interest or other arrangement having a
similar commercial effect in favour of the Trustee for the benefit of the Secured Parties
pursuant to the Trust Deed (or any deed or document supplemental thereto) and (ii) (subject to
(i) above) the Issuer (or the Investment Manager on behalf of the Issuer) has notified the
Trustee in the event that any Collateral Debt Obligation that is a bond is held through the
Custodian but not held through Euroclear or does not satisfy the requirements relating to
Euroclear collateral specified in the Trust Deed and has taken such action as the Trustee may
require to effect such security interest;
(v) it will not result in the imposition of any present or future, actual or contingent, monetary
liabilities or obligations of the Issuer other than those (i) which may arise at its option; or
(ii) which are fully collateralised (which collateralisation may be by way of deposit of an
amount with a third party and which must be in an amount which is not less than 100 per cent.
of the Issuer’s unfunded principal payment obligations in respect thereof) including, without
limitation, obligations which arise under a Delayed Drawdown Obligation, under which the
Issuer is obliged to provide future advances or other payments to the relevant Obligor in
respect of such Delayed Drawdown Obligations and which do not permit any other person to
accede thereto as an Obligor without the consent of the Issuer; or (iii) which are related to
Participations and which are subject to limited recourse provisions similar to those set out in
the Investment Management Agreement; or (iv) which are owed to the agent bank in relation
to the performance of its duties under a syndicated Mezzanine Obligation; or (v) which may
arise as a result of an undertaking to participate in a financial restructuring of a Mezzanine
Obligation where such undertaking is contingent upon the redemption in full of such
Mezzanine Obligation on or before the time by which the Issuer is obliged to enter into the
restructured Mezzanine Obligation and where the restructured Mezzanine Obligation satisfies
the Eligibility Criteria;
(w) it has a Stated Maturity that is not later than the Maturity Date except in relation to any Long
Dated Obligations;
(x) in the case of any Synthetic Security which is an Uncollateralised CLN issued by a corporate
entity, such corporate entity has a short-term senior unsecured debt rating of at least “A2” by
Moody’s and “A” by S&P; and
(y) it is not a security issued by the Investment Manager or its Affiliates or a collateralised debt
obligation managed or advised by the Investment Manager or any of its Affiliates.
The subsequent failure of any Collateral Debt Obligation to satisfy any of the Eligibility Criteria shall
not prevent any obligation which would otherwise be a Collateral Debt Obligation from being a
Collateral Debt Obligation so long as such obligation satisfied the Eligibility Criteria when the Issuer
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or the Investment Manager (on behalf of the Issuer) entered into a binding agreement to purchase such
obligation and shall not necessitate any action by the Issuer or the Investment Manager.
For the purposes of the Eligibility Criteria:
“Structured Finance Security” means any debt security which is secured directly by, or represents
the ownership of, a pool of consumer receivables, auto loans, auto leases, equipment leases, home or
commercial mortgages, corporate debt or sovereign debt obligations or similar assets, including,
without limitation, collateralised bond obligations, collateralised loan obligations or any similar
security but not including any Synthetic Security.
Measurement of Percentage Limitations and Collateral Quality Tests
The Percentage Limitations and the Collateral Quality Tests will be used primarily as the criteria for
purchasing Collateral Debt Obligations. The Collateral Administrator will measure the Percentage
Limitations and the Collateral Quality Tests on each Measurement Date.
The Percentage Limitations and the Collateral Quality Tests must be satisfied after giving effect to the
purchase of any Substitute Collateral Debt Obligation after the Effective Date (or in the case of the
CDO Monitor Test after the Effective Date until the end of the Reinvestment Period) or, in certain
circumstances, if not satisfied prior to such purchase, the relevant thresholds and amounts calculated
pursuant thereto must be maintained or improved after giving effect to such purchase. For the
avoidance of doubt, Substitute Collateral Debt Obligations in respect of which a binding commitment
has been made to purchase such Substitute Collateral Debt Obligations but such purchase has not been
settled shall nonetheless be deemed to have been purchased for the purposes of the Percentage
Limitations and the Collateral Quality Tests. See “Reinvestment Criteria” below. Notwithstanding
the foregoing, the failure of the Portfolio to meet the requirements of the Percentage Limitations at
any time shall not prevent any obligation which would otherwise be a Collateral Debt Obligation from
being a Collateral Debt Obligation.
Percentage Limitations
The “Percentage Limitations” consist of each of the following requirements:
(a) with respect to Mezzanine Obligations, not more than the aggregate of 3 per cent. of the
Aggregate Collateral Balance may be the obligation of any single Obligor thereunder,
provided that in relation to not more than 5 obligors 4 per cent. of the Aggregate Collateral
Balance may be the obligation of any single obligor and in relation to another 5 obligors, 5
per cent. of the Aggregate Collateral Balance may be the obligation of any such single
obligor;
(b) not more than 20 per cent. of the Aggregate Collateral Balance may consist of Participations
and Synthetic Securities;
(c) the limits specified in the Bivariate Risk Table determined by reference to the Moody’s
Ratings and S&P Ratings are not exceeded;
(d) not more than 10 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that are Fixed Rate Collateral Debt Obligations;
(e) not less than 90 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that are Floating Rate Collateral Debt Obligations (which term, for the purposes
of this paragraph (e), shall comprise the aggregate of the Aggregate Principal Balance of the
Floating Rate Collateral Debt Obligations and the Balances standing to the credit of the Euro
Principal Account, the Class A-2 Currency Principal Account and the Unused Proceeds
Account, in each case as at the relevant Measurement Date);
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(f) not more than 30 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations denominated in a Class A-2 Currency;
(g) not more than 30 per cent. of the Aggregate Collateral Balance may consist of Non Euro
Obligations;
(h) not more than 10 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations with a Moody’s Rating of less than “B3 or an S&P Rating of less than “B ”;
(i) not more than 20 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that are Zero Coupon Securities, PIK Obligations or PIYC Obligations unless,
Rating Agency Confirmation has been obtained, in which case it may be up to 25 per cent.;
(j) not more than 5 per cent. of the Aggregate Collateral Balance may consist of Delayed
Drawdown Obligations;
(k) not more than 7.5 per cent. of the Aggregate Collateral Balance may consist of Collateral
Debt Obligations that are Step Up Coupon Securities;
(l) not more than 5 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that are Current Pay Obligations;
(m) not more than 5 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that are Discount Obligations;
(n) not more than 20 per cent. of the Aggregate Collateral Balance may consist of Collateral Debt
Obligations that pay interest less frequently than semi annually unless Rating Agency
Confirmation has been obtained; and
(o) not more than 5 per cent. of the Aggregate Collateral Balance may consist of Long Dated
Obligations subject to the S&P Tests Matrix and the Moody’s Tests Matrix or in respect of
which Rating Agency Confirmation has been obtained.
The percentage requirements applicable to different types of Collateral Debt Obligations specified in
the Percentage Limitations shall be determined by reference to the maximum percentages which the
Aggregate Principal Balance of such type of Collateral Debt Obligations are permitted to represent of
the Aggregate Collateral Balance in order to satisfy such Percentage Limitations. Defaulted
Obligations shall be disregarded for the purpose of calculating the Percentage Limitations.
Assets which are to constitute Collateral Debt Obligations in respect of which the Issuer has entered
into a binding commitment to purchase but which have not yet settled shall be included as Collateral
Debt Obligations in the calculation of the Percentage Limitations at any time as if such acquisitions
have been completed. For purposes of calculating compliance with the Percentage Limitations, any
Eligible Investment representing Principal Proceeds received upon the maturity, redemption, sale or
other disposition of a Collateral Debt Obligation (including a Class A-2 Currency Obligation) shall be
deemed to have all of the characteristics of such Collateral Debt Obligation until reinvested in a
Substitute Collateral Debt Obligation. Such calculations shall be based upon the Principal Balance of
such Collateral Debt Obligation, except in the case of Defaulted Obligations and Credit Impaired
Obligations, in which case the calculations will be based upon the Principal Proceeds received on the
disposition or sale of such Defaulted Obligation or Credit Impaired Obligation. For Synthetic
Securities, the Percentage Limitations shall be calculated with respect to the respective Reference
Obligations.
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Collateral Quality Tests
The Collateral Quality Tests will consist of each of the following:
(a) so long as any Notes rated by S&P are Outstanding:
(i) as of the Effective Date and until the end of the Reinvestment Period, the CDO
Monitor Test; and
(ii) the S&P Minimum Weighted Average Recovery Rate Test;
(b) so long as any Notes rated by Moody’s are Outstanding:
(i) the Moody’s Minimum Diversity Test;
(ii) the Moody’s Maximum Weighted Average Rating Factor Test; and
(iii) the Moody’s Minimum Weighted Average Recovery Rate Test; and
(c) so long as any Notes are Outstanding:
(i) the Minimum Weighted Average Timely Spread Test;
(ii) the Minimum Weighted Average PIK Test; and
(iv) the Weighted Average Maturity Test,
each as defined in the Investment Management Agreement.
S&P Tests Matrix
Subject to the provisions provided below, on and after the Effective Date, the Investment Manager,
acting on behalf of the Issuer, will have the option to elect which of the cases (the “Break-even Rate
Cases”) set out in the matrices below (the “S&P Tests Matrix”) shall be applicable for purposes of
the S&P Minimum Weighted Average Recovery Rate Test, the Minimum Weighted Average PIK
Test and the Minimum Weighted Average Timely Spread Test and based on the selection of the
Investment Manager (on behalf of the Issuer), S&P will provide the Investment Manager (on behalf of
the Issuer) on the Effective Date, and from time to time thereafter until the end of the Reinvestment
Period, with the applicable CDO Monitor in connection with the CDO Monitor Test. For any given
case:
(a) the applicable column for performing the S&P Minimum Weighted Average Recovery Rate
Test will be the column in which the elected case is set out;
(b) the applicable row for determining the Minimum Weighted Average PIK Test will be the
table in which the elected case is set out; and
(c) the applicable row for determining the Minimum Weighted Average Timely Spread Test will
be the row in which the elected case is set out.
On the Effective Date, the Investment Manager, acting on behalf of the Issuer, will be required to
elect which Break-even Rate Case shall apply initially. Thereafter, on at least ten Business Days’
notice (unless otherwise waived) to the Issuer, the Trustee, the Collateral Administrator and S&P, the
Investment Manager (on behalf of the Issuer) may elect to have a different Break-even Rate Case
apply, provided that the S&P Minimum Weighted Average Recovery Rate Test, the Minimum
Weighted Average PIK Test and the Minimum Weighted Average Timely Spread Test applicable to
the Break-even Rate Case to which the Investment Manager (on behalf of the Issuer) desires to
change are satisfied (and, in relation to the Minimum Weighted Average PIK Test and Minimum
Weighted Average Timely Spread Test, taking into account the case that the Investment Manager (on
behalf of the Issuer) has elected to apply under the Moody’s Tests Matrix). In no event will the Issuer
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or the Investment Manager (on behalf of the Issuer) be obliged to elect to have a different Break-even
Rate Case apply.
Minimum Weighted
Average Timely Spread
Form of S&P Tests Matrix
Minimum Weighted Average PIK Test 2.90%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
192
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 1 BDR Set 2 BDR Set 3 BDR Set 4
2.48% BDR Set 5 BDR Set 6 BDR Set 7 BDR Set 8
2.64% BDR Set 9 BDR Set 10 BDR Set 11 BDR Set 12
2.80% BDR Set 13 BDR Set 14 BDR Set 15 BDR Set 16
2.96% BDR Set 17 BDR Set 18 BDR Set 19 BDR Set 20
3.12% BDR Set 21 BDR Set 22 BDR Set 23 BDR Set 24
3.28% BDR Set 25 BDR Set 26 BDR Set 27 BDR Set 28
Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 3.10%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 29 BDR Set 30 BDR Set 31 BDR Set 32
2.48% BDR Set 33 BDR Set 34 BDR Set 35 BDR Set 36
2.64% BDR Set 37 BDR Set 38 BDR Set 39 BDR Set 40
2.80% BDR Set 41 BDR Set 42 BDR Set 43 BDR Set 44
2.96% BDR Set 45 BDR Set 46 BDR Set 47 BDR Set 48
3.12% BDR Set 49 BDR Set 50 BDR Set 51 BDR Set 52
3.28% BDR Set 53 BDR Set 54 BDR Set 55 BDR Set 56
Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 3.30%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 57 BDR Set 58 BDR Set 59 BDR Set 60
2.48% BDR Set 61 BDR Set 62 BDR Set 63 BDR Set 64
2.64% BDR Set 65 BDR Set 66 BDR Set 67 BDR Set 68
2.80% BDR Set 69 BDR Set 70 BDR Set 71 BDR Set 72
2.96% BDR Set 73 BDR Set 74 BDR Set 75 BDR Set 76
3.12% BDR Set 77 BDR Set 78 BDR Set 79 BDR Set 80
3.28% BDR Set 81 BDR Set 82 BDR Set 83 BDR Set 84

Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 3.50%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
193
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 85 BDR Set 86 BDR Set 87 BDR Set 88
2.48% BDR Set 89 BDR Set 90 BDR Set 91 BDR Set 92
2.64% BDR Set 93 BDR Set 94 BDR Set 95 BDR Set 96
2.80% BDR Set 97 BDR Set 98 BDR Set 99 BDR Set 100
2.96% BDR Set 101 BDR Set 102 BDR Set 103 BDR Set 104
3.12% BDR Set 105 BDR Set 106 BDR Set 107 BDR Set 108
3.28% BDR Set 109 BDR Set 110 BDR Set 111 BDR Set 112
Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 3.70%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 113 BDR Set 114 BDR Set 115 BDR Set 116
2.48% BDR Set 117 BDR Set 118 BDR Set 119 BDR Set 120
2.64% BDR Set 121 BDR Set 122 BDR Set 123 BDR Set 124
2.80% BDR Set 125 BDR Set 126 BDR Set 127 BDR Set 128
2.96% BDR Set 129 BDR Set 130 BDR Set 131 BDR Set 132
3.12% BDR Set 133 BDR Set 134 BDR Set 135 BDR Set 136
3.28% BDR Set 137 BDR Set 138 BDR Set 139 BDR Set 140
Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 3.90%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 141 BDR Set 142 BDR Set 143 BDR Set 144
2.48% BDR Set 145 BDR Set 146 BDR Set 147 BDR Set 148
2.64% BDR Set 149 BDR Set 150 BDR Set 151 BDR Set 152
2.80% BDR Set 153 BDR Set 154 BDR Set 155 BDR Set 156
2.96% BDR Set 157 BDR Set 158 BDR Set 159 BDR Set 160
3.12% BDR Set 161 BDR Set 162 BDR Set 163 BDR Set 164
3.28% BDR Set 165 BDR Set 166 BDR Set 167 BDR Set 168

Minimum Weighted
Average Timely Spread
Minimum Weighted Average PIK Test 4.10%
S&P Minimum Weighted Average Recovery Rate
S&P Recovery
Rate Case 1
S&P Recovery
Rate Case 2
194
S&P Recovery
Rate Case 3
Break-even Rate Cases
S&P Recovery Rate
Case 4
2.32% BDR Set 169 BDR Set 170 BDR Set 171 BDR Set 172
2.48% BDR Set 173 BDR Set 174 BDR Set 175 BDR Set 176
2.64% BDR Set 177 BDR Set 178 BDR Set 179 BDR Set 180
2.80% BDR Set 181 BDR Set 182 BDR Set 183 BDR Set 184
2.96% BDR Set 185 BDR Set 186 BDR Set 187 BDR Set 188
3.12% BDR Set 189 BDR Set 190 BDR Set 191 BDR Set 192
3.28% BDR Set 193 BDR Set 194 BDR Set 195 BDR Set 196
S&P Recovery Rate Cases
AAA AA A BBB
S&P Recovery Rate Cases Recovery Rates
1 35.0% 37.0% 39.0% 40.0%
2 37.0% 39.0% 41.1% 42.4%
3 39.0% 41.0% 43.3% 44.8%
4 41.0% 43.0% 45.5% 47.2%
However, after the Issue Date, further cases will be added in order to fill out the S&P Tests Matrices.
The addition of each new case shall be subject to Rating Agency Confirmation by S&P, and shall be
added to the S&P Tests Matrices included as a schedule to the Investment Management Agreement.
For the avoidance of doubt, such change to the Investment Management Agreement (including any
other change to the S&P Tests Matrices) shall not be subject to the consent of the Noteholders (or any
other party, save for the Investment Manager and Issuer and subject to Rating Agency Confirmation
from S&P and consultation with the Collateral Administrator). The S&P Tests Matrices will be set
out in the above form (following addition of various cases after the Issue Date and subject to any
changes in respect of which Rating Agency Confirmation is received from S&P).
Moody’s Tests Matrices
Subject to the provisions provided below, on and after the Effective Date, the Investment Manager (on
behalf of the Issuer), will have the option to elect which of the cases set out in the matrices set out in
the Investment Management Agreement and described below (the “Moody’s Tests Matrices”) shall
be applicable for purposes of the Moody’s Maximum Weighted Average Rating Factor Test, the
Moody’s Minimum Weighted Average Recovery Rate Test, the Moody’s Minimum Diversity Test
and the Minimum Weighted Timely Average Spread Test. For any given case:
(a) the applicable Moody’s Tests Matrix for performing the Moody’s Minimum Average
Recovery Rate Test will be the Moody’s Tests Matrix in which the elected case is set out;
(b) the applicable Moody’s Test Matrix for performing the Minimum Weighted Average PIK
Test will be the Moody’s Tests Matrix in which the elected case is set out;
(c) the applicable column for performing the Moody’s Minimum Diversity Test will be the
column in the applicable Moody’s Test Matrix in which the elected case is set out;
(d) the applicable row for determining the Minimum Weighted Average Timely Spread Test will
be the row in the applicable Moody’s Test Matrix which the elected case is set out; and

(e) the applicable row and column for performing the Moody’s Maximum Weighted Average
Rating Factor Test will be the row and column in the applicable Moody’s Test Matrix in
which the elected case is set out.
On the Effective Date, the Investment Manager, acting on behalf of the Issuer, will be required to
elect which case shall apply initially. Thereafter, on at least ten Business Days’ written notice (unless
otherwise waived) to the Issuer, the Trustee, the Collateral Administrator and Moody’s, the
Investment Manager (on behalf of the Issuer) may elect to have a different case apply, provided that
the Moody’s Maximum Weighted Average Rating Factor Test, the Moody’s Minimum Weighted
Average Recovery Rate Test, the Moody’s Minimum Diversity Test and the Minimum Weighted
Average Timely Spread Test applicable to the case to which the Investment Manager (on behalf of the
Issuer), desires to change are satisfied (and, in relation to the Minimum Weighted Average Timely
Spread Test, taking into account the case that the Investment Manager (on behalf of the Issuer) has
elected to apply under the S&P Tests Matrix). In no event will the Issuer or the Investment Manager
(on behalf of the Issuer) be obliged to elect to have a different case apply.
Until the Moody’s Tests Matrices are otherwise agreed as described below, the following tests shall
apply:
(a) the minimum Diversity Score in respect of the Moody’s Minimum Diversity Test: 29;
(b) the minimum Weighted Average Moody’s Recovery Rate in respect of the Moody’s
Minimum Weighted Average Recovery Rate Test: 28 per cent.; and
(c) the Minimum Weighted Average Timely Spread in respect of the Minimum Weighted
Average TimelySpread Test: 2.8 per cent.; and
(d) Minimum Weighted Average PIK Test in respect of the Minimum Weighted Average PIK
Test: 3.5 per cent.; and
(e) the maximum Moody’s Weighted Average Rating in respect of the Moody’s Maximum
Weighted Average Rating Factor Test: 2800.
However, after the Issue Date, further cases will be added in order to fill out the Moody’s Tests
Matrices. The addition of each new case shall be subject to Rating Agency Confirmation by
Moody’s, and shall be added to the Moody’s Tests Matrices included as a schedule to the Investment
Management Agreement. For the avoidance of doubt, such change to the Investment Management
Agreement (including any other change to the Moody’s Tests Matrices) shall not be subject to the
consent of the Noteholders (or any other party, save for the Investment Manager and Issuer and
subject to Rating Agency Confirmation from Moody’s and consultation with the Collateral
Administrator). The Moody’s Tests Matrices will be set out in the following form (following addition
of various cases after the Issue Date, and subject to any changes in respect of which Rating Agency
Confirmation is received from Moody’s).
Form of Moody’s Tests Matrix (where the Diversity Score is [ ])
Minimum Weighted Average Timely
Spread/Minimum Weighted Average
PIK Test
Moody’s Minimum Weighted Average Recovery Rate
[ ] [ ] [ ] [ ] [ ]
Moody’s Maximum Weighted Average Rating Factor
[ ]% [ ] [ ] [ ] [ ] [ ]
[ ]% [ ] [ ] [ ] [ ] [ ]
[ ]% [ ] [ ] [ ] [ ] [ ]
[ ]% [ ] [ ] [ ] [ ] [ ]
195

The CDO Monitor Test
The “CDO Monitor Test” will be satisfied on any date from the Effective Date until the end of the
Reinvestment Period if, after giving effect to the purchase or sale of a Collateral Debt Obligation, the
Loss Differential of the Proposed Portfolio applicable to each Class of Rated Notes is positive on such
date. The CDO Monitor Test will be considered to be “improved” if the Loss Differential of the
Proposed Portfolio applicable to each Class of Rated Notes is greater than the Loss Differential of the
Current Portfolio applicable to each Class of Rated Notes. The CDO Monitor Test shall not apply
until the later of (a) the Effective Date and (b) the receipt by the Investment Manager of the CDO
Monitor from S&P. If, on any date, as disclosed in the Issuer’s most recent Monthly Report (as
defined in “Description of the Reports – Monthly Reports”), more than 20.0 per cent. of the Aggregate
Collateral Balance consists of Participations with counterparties rated “AA-” by S&P or below, then
the Investment Manager (on behalf of the Issuer) shall notify S&P and request that S&P modify the
CDO Monitor accordingly.
The “Break-even Loss Rate” applicable to each Class of Rated Notes, is, at any time, the maximum
percentage of defaults which the Current Portfolio or the Proposed Portfolio, as applicable, can
sustain, as determined by S&P through application of the CDO Monitor, which, after giving effect to
S&P’s assumptions on recoveries and timing and to the Priorities of Payments, will result in sufficient
funds remaining for the payment of such Class of Notes in full by their stated maturity and the timely
payment of interest on such Class of Notes in full in the case of the Class A Notes or Class B Notes or
the ultimate payment of interest in full in the case of the Class C Notes or Class D Notes.
The “Loss Differential” applicable to each Class of Rated Notes is, at any time, the rate calculated by
subtracting the Scenario Loss Rate applicable to such Class of Notes from the Break-even Loss Rate
applicable to such Class of Notes at such time.
The “Scenario Loss Rate” applicable to each Class of Rated Notes is, at any time, an estimate of the
cumulative default rate for the Current Portfolio or the Proposed Portfolio, as applicable, consistent
with a rating of equal to that assigned to such Class of Notes on the Issue Date by S&P, determined
by application of the CDO Monitor Test at such time.
The “Current Portfolio” means the portfolio of Collateral Debt Obligations (included at their
Principal Balance) and Eligible Investments existing prior to the sale, maturity or other disposition of
a Collateral Debt Obligation or a proposed reinvestment of Principal Proceeds in a Substitute
Collateral Debt Obligation, as the case may be.
The “Proposed Portfolio” means the portfolio of Collateral Debt Obligations (included at their
Principal Balance) and Eligible Investments resulting from the sale, maturity or other disposition of a
Collateral Debt Obligation or a proposed reinvestment of Principal Proceeds in a Substitute Collateral
Debt Obligation, as the case may be.
The “CDO Monitor” is the dynamic, analytical computer model developed by S&P and used to
estimate default risk of Collateral Debt Obligations and provided to the Investment Manager on or
before the Issue Date, as it may be modified by S&P from time to time. The CDO Monitor calculates
the cumulative default rate of a pool of Collateral Debt Obligations and Eligible Investments
consistent with a specified benchmark rating level based upon S&P’s proprietary corporate debt
default studies. In calculating the scenario loss rate in respect of a Class of Notes, the CDO Monitor
considers each Obligor’s issuer credit rating, the number of Obligors in the portfolio, the Obligor and
industry concentrations in the Portfolio and the remaining weighted average maturity of the Collateral
Debt Obligations and Eligible Investments and calculates a cumulative default rate based on the
statistical probability of distributions or defaults on the Collateral Debt Obligations and Eligible
Investments.
196

The S&P Minimum Weighted Average Recovery Rate Test
The “S&P Minimum Weighted Average Recovery Rate Test” will be satisfied as at any
Measurement Date from (and including) the Effective Date if the S&P Average Recovery Rate is
greater than or equal to the percentage set out in the relevant S&P Recovery Rate Case column of the
S&P Tests Matrix based upon the break-even loss rate (as set out in the relevant BDR Set). For the
purpose of this test, all Collateral Debt Obligations which are Defaulted Obligations shall be
excluded, and Synthetic Securities shall be assigned a priority category based on the underlying
Reference Obligation.
If the S&P issue rating of such Collateral Debt Obligation which is a security is the same as or one
sub-category below the S&P issuer rating of the Obligor thereunder such Collateral Debt Obligation
shall be deemed to be a “Senior Unsecured Debt Security” or if it is two or more sub-categories
below the S&P issuer rating of the Obligor thereunder such Collateral Debt Obligation shall be
deemed to be a “Subordinated Debt Security”.
“S&P Average Recovery Rate” means, as of any Measurement Date, the number (expressed as a
percentage) obtained by summing the products obtained by multiplying the outstanding Principal
Balance (excluding Purchased Accrued Interest) of each Collateral Debt Obligation by its S&P
Recovery Rate, dividing such sum by the Aggregate Principal Balance of all Collateral Debt
Obligations and rounding up to the nearest 0.1 per cent. For purposes of this rate, the Principal
Balance of a Defaulted Obligation will be deemed to be its outstanding principal amount and
Synthetic Securities shall be assigned a priority category based on the underlying Reference
Obligation.
The Moody’s Minimum Diversity Test
The “Moody’s Minimum Diversity Test” will be satisfied as at any Measurement Date from (and
including) the Effective Date, if the Diversity Score equals or exceeds the number set out in the
applicable Moody’s Test Matrix as selected by the Investment Manager (acting on behalf of the
Issuer) as at such Measurement Date.
The “Diversity Score” is a single number that indicates collateral concentration and correlation in
terms of both issuer and industry concentration and correlation. It is similar to a score that Moody’s
uses to measure concentration and correlation for the purposes of its ratings. A higher Diversity Score
reflects a more diverse portfolio in terms of the issuer and industry concentration. The Diversity Score
for the Collateral Debt Obligations is calculated by summing each of the Industry Diversity Scores
which are calculated as follows (provided that no Defaulted Obligations shall be included in the
calculation of the Diversity Score or any component thereof):
(a) an “Average Principal Balance” is calculated by summing the Obligor Principal Balances
and dividing by the sum of the aggregate number of issuers and/or borrowers represented;
(b) an “Obligor Principal Balance” is calculated for each Obligor represented in the Collateral
Debt Obligations by summing the Principal Balances of all Collateral Debt Obligations
(excluding Defaulted Obligations) issued by such Obligor, provided that if a Collateral Debt
Obligation has been sold or is the subject of an optional redemption or Offer, and the Sale
Proceeds or Unscheduled Principal Payments from such event have not yet been reinvested in
Substitute Collateral Debt Obligations or distributed to the Noteholders or the other creditors
of the Issuer in accordance with the Priorities of Payments, the Obligor Principal Balance
shall be calculated as if such Collateral Debt Obligation had not been sold or was not subject
to such an optional redemption or Offer;
(c) an “Equivalent Unit Score” is calculated for each Obligor by taking the lesser of (i) one and
(ii) the Obligor Principal Balance for such Obligor divided by the Average Principal Balance;
(d) an “Aggregate Industry Equivalent Unit Score” is then calculated for each of the 33
Moody’s industrial classification groups by summing the Equivalent Unit Scores for each
197

Obligor in the industry (or such other industrial classification groups and Equivalent Unit
Scores as are published by Moody’s from time to time); and
(e) an “Industry Diversity Score” is then established by reference to the Diversity Score Table
shown below (or such other Diversity Score Table as is published by Moody’s from time to
time) (the “Diversity Score Table”) for the related Aggregate Industry Equivalent Unit
Score. If the Aggregate Industry Equivalent Unit Score falls between any two such scores
shown in the Diversity Score Table, then the Industry Diversity Score is the lower of the two
Diversity Scores in the Diversity Score Table.
Aggregate
Industry
Equivalent
Unit Score
For purposes of calculating the Diversity Score:
(i) any Obligors affiliated with one another will be considered to be one Obligor; and
(ii) a Synthetic Security shall be included as a Collateral Debt Obligation having the
relevant characteristics of the related Reference Obligation (and the Reference Entity
under such Synthetic Security shall be deemed to be the “Obligor” under the related
Reference Obligation) and not of the Synthetic Security, unless the Issuer, or the
Investment Manager on its behalf, determines otherwise and receives Rating Agency
Confirmation in respect of such determination.
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
Diversity Score Table
Industry
Diversity
Score
198
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
0.0000 0.0000 5.0500 2.7000 10.1500 4.0200 15.2500 4.5300
0.0500 0.1000 5.1500 2.7333 10.2500 4.0300 15.3500 4.5400
0.1500 0.2000 5.2500 2.7667 10.3500 4.0400 15.4500 4.5500
0.2500 0.3000 5.3500 2.8000 10.4500 4.0500 15.5500 4.5600
0.3500 0.4000 5.4500 2.8333 10.5500 4.0600 15.6500 4.5700
0.4500 0.5000 5.5500 2.8667 10.6500 4.0700 15.7500 4.5800
0.5500 0.6000 5.6500 2.9000 10.7500 4.0800 15.8500 4.5900
0.6500 0.7000 5.7500 2.9333 10.8500 4.0900 15.9500 4.6000
0.7500 0.8000 5.8500 2.9667 10.9500 4.1000 16.0500 4.6100
0.8500 0.9000 5.9500 3.0000 11.0500 4.1100 16.1500 4.6200
0.9500 1.0000 6.0500 3.0250 11.1500 4.1200 16.2500 4.6300
1.0500 1.0500 6.1500 3.0500 11.2500 4.1300 16.3500 4.6400
1.1500 1.1000 6.2500 3.0750 11.3500 4.1400 16.4500 4.6500
1.2500 1.1500 6.3500 3.1000 11.4500 4.1500 16.5500 4.6600
1.3500 1.2000 6.4500 3.1250 11.5500 4.1600 16.6500 4.6700
1.4500 1.2500 6.5500 3.1500 11.6500 4.1700 16.7500 4.6800
1.5500 1.3000 6.6500 3.1750 11.7500 4.1800 16.8500 4.6900
1.6500 1.3500 6.7500 3.2000 11.8500 4.1900 16.9500 4.7000
1.7500 1.4000 6.8500 3.2250 11.9500 4.2000 17.0500 4.7100
1.8500 1.4500 6.9500 3.2500 12.0500 4.2100 17.1500 4.7200
1.9500 1.5000 7.0500 3.2750 12.1500 4.2200 17.2500 4.7300
2.0500 1.5500 7.1500 3.3000 12.2500 4.2300 17.3500 4.7400
2.1500 1.6000 7.2500 3.3250 12.3500 4.2400 17.4500 4.7500
2.2500 1.6500 7.3500 3.3500 12.4500 4.2500 17.5500 4.7600
2.3500 1.7000 7.4500 3.3750 12.5500 4.2600 17.6500 4.7700
2.4500 1.7500 7.5500 3.4000 12.6500 4.2700 17.7500 4.7800
2.5500 1.8000 7.6500 3.4250 12.7500 4.2800 17.8500 4.7900
2.6500 1.8500 7.7500 3.4500 12.8500 4.2900 17.9500 4.8000
2.7500 1.9000 7.8500 3.4750 12.9500 4.3000 18.0500 4.8100
2.8500 1.9500 7.9500 3.5000 13.0500 4.3100 18.1500 4.8200
2.9500 2.0000 8.0500 3.5250 13.1500 4.3200 18.2500 4.8300
3.0500 2.0333 8.1500 3.5500 13.2500 4.3300 18.3500 4.8400
3.1500 2.0667 8.2500 3.5750 13.3500 4.3400 18.4500 4.8500
3.2500 2.1000 8.3500 3.6000 13.4500 4.3500 18.5500 4.8600
3.3500 2.1333 8.4500 3.6250 13.5500 4.3600 18.6500 4.8700
3.4500 2.1667 8.5500 3.6500 13.6500 4.3700 18.7500 4.8800

Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
199
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
3.5500 2.2000 8.6500 3.6750 13.7500 4.3800 18.8500 4.8900
3.6500 2.2333 8.7500 3.7000 13.8500 4.3900 18.9500 4.9000
3.7500 2.2667 8.8500 3.7250 13.9500 4.4000 19.0500 4.9100
3.8500 2.3000 8.9500 3.7500 14.0500 4.4100 19.1500 4.9200
3.9500 2.3333 9.0500 3.7750 14.1500 4.4200 19.2500 4.9300
4.0500 2.3667 9.1500 3.8000 14.2500 4.4300 19.3500 4.9400
4.1500 2.4000 9.2500 3.8250 14.3500 4.4400 19.4500 4.9500
4.2500 2.4333 9.3500 3.8500 14.4500 4.4500 19.5500 4.9600
4.3500 2.4667 9.4500 3.8750 14.5500 4.4600 19.6500 4.9700
4.4500 2.5000 9.5500 3.9000 14.6500 4.4700 19.7500 4.9800
4.5500 2.5333 9.6500 3.9250 14.7500 4.4800 19.8500 4.9900
4.6500 2.5667 9.7500 3.9500 14.8500 4.4900 19.9500 5.0000
4.7500 2.6000 9.8500 3.9750 14.9500 4.5000
4.8500 2.6333 9.9500 4.0000 15.0500 4.5100
4.9500 2.6667 10.0500 4.0100 15.1500 4.5200
The Moody’s Maximum Weighted Average Rating Factor Test
The “Moody’s Maximum Weighted Average Rating Factor Test” will be satisfied as at any
Measurement Date from (and including) the Effective Date, if the Moody’s Weighted Average Rating
as at such Measurement Date is equal to or less than the level specified in the Moody’s Tests Matrix
which is applicable under the case selected by the Investment Manager (acting on behalf of the Issuer)
as at such Measurement Date.
The “Moody’s Weighted Average Rating” is determined by summing the products obtained by
multiplying the Principal Balance of each Collateral Debt Obligation, excluding Defaulted
Obligations, by its Moody’s Rating Factor, dividing such sum by the Aggregate Principal Balances of
all such Collateral Debt Obligations, excluding Defaulted Obligations, and rounding the result up to
the nearest whole number.
The Moody’s Minimum Weighted Average Recovery Rate Test
The “Moody’s Minimum Weighted Average Recovery Rate Test” will be satisfied, as at any
Measurement Date from (and including) the Effective Date, if the Weighted Average Moody’s
Recovery Rate is greater than or equal to the number set out in the row and column of the Moody’s
Tests Matrix based upon the option chosen by the Investment Manager (on behalf of the Issuer) as
currently applicable to the Portfolio.
The “Weighted Average Moody’s Recovery Rate” means, as of any Measurement Date, the
number, expressed as a percentage, obtained by summing the products obtained by multiplying the
outstanding Principal Balance of each Collateral Debt Obligation (excluding Defaulted Obligations)
by its corresponding Moody’s Recovery Rate and dividing such sum by the Aggregate Principal
Balance (excluding Defaulted Obligations) and rounding to the nearest 0.1 per cent., provided that if
Moody’s confirms in writing that the Moody’s Recovery Rate for a particular class of Collateral Debt
Obligations or a particular Collateral Debt Obligation shall be greater than indicated in the Investment
Management Agreement, such higher Moody’s Recovery Rate shall be used. For purposes of
determining the Moody’s Recovery Rate applicable to a particular Collateral Debt Obligation, the
Investment Manager shall determine whether such Collateral Debt Obligation is a senior secured,
junior secured, unsecured or subordinated obligation based on its reasonable judgment and specific
guidelines set out in the Investment Management Agreement. The “Moody’s Recovery Rate” means,
in respect of each Collateral Debt Obligation, the Moody’s recovery rate determined in accordance
with the Investment Management Agreement or as so advised by Moody’s.
The “Moody’s Rating Factor” of any Collateral Debt Obligation is the number set out under the
heading “Rating Factor” in the table below opposite the Moody’s Rating (as defined under “Ratings”

elow) or in the case of any Collateral Debt Obligations in respect of which a credit estimate has been
provided, the number so provided by Moody’s:
Moody’s Rating Factor Table
Rating Rating Factor Rating Rating Factor
Aaa 1 Ba1 940
Aa1 10 Ba2 1350
Aa2 20 Ba3 1766
Aa3 40 B1 2220
A1 70 B2 2720
A2 120 B3 3490
A3 180 Caa1 4770
Baa1 260 Caa2 6500
Baa2 360 Caa3 8070
Baa3 610 Ca/C 10000
Provided however that where Moody’s specifies in a rating letter the Rating Factor for a particular
obligation such Rating Factor as set out in the rating letter shall apply.
Minimum Weighted Average Timely Spread Test
The “Minimum Weighted Average Timely Spread Test” will be satisfied as at any Measurement
Date if the Weighted Average Timely Floater Spread is equal the greater of the numbers set out in the
row headed “Minimum Weighted Average Timely Spread” in respectively, the S&P Tests Matrix and
the applicable Moody’s Tests Matrix, in each case based upon the case which is applicable as at such
Measurement Date. Any asset which is subject to an Asset Swap Transaction will have a spread
corresponding to the spread in the Asset Swap Transaction, and will be considered at an amount
which is the Euro equivalent amount converted at the foreign exchange rate which is fixed for that
Asset Swap Transaction.
The “Minimum Weighted Average PIK Test” will be satisfied as at any Measurement Date if the
Weighted Average PIK Spread is equal the greater of the numbers set out in the row headed
“Minimum Weighted Average PIK Test” in respectively, the S&P Tests Matrix and the applicable
Moody’s Tests Matrix, in each case based upon the case which is applicable as at such Measurement
Date. Any asset which is subject to an Asset Swap Transaction will have a spread corresponding to
the spread in the Asset Swap Transaction and will be considered at an amount which is the Euro
equivalent amount converted at the foreign exchange rate which is fixed that Asset Swap Transaction.
The “Weighted Average Timely Floater Spread” as at any Measurement Date will equal a fraction
(expressed as a percentage) determined by (a) summing the products obtained by multiplying the
applicable Euro-equivalent principal balance of each non-defaulted Timely Floating Pay Obligation
held by the Issuer as at such Measurement Date by the Interest Spread applicable thereto as at the date
of determination and (b) summing the products obtained by multiplying the applicable
Euro-equivalent principal balance of each non-defaulted Timely Fixed Pay Obligation held by the
Issuer as at such Measurement Date by the excess of the Assumed Swap Rate over the fixed interest
rate applicable thereto as at the date of determination and (c) dividing the sum of (a) and (b) by the
aggregate applicable Euro-equivalent principal balance of all Collateral Debt Obligations held by the
Issuer as at such Measurement Date.
The “Weighted Average PIK Spread” as at any Measurement Date will equal a fraction (expressed
as a percentage) determined by (a) summing the products obtained by multiplying the applicable Euro
equivalent principal balance of each non-defaulted (i) Zero Coupon Security (that bears interest by
reference to a floating rate of interest or index), (ii) PIK Floater Obligation and (iii) PIYC Floater
Obligation held by the Issuer as at such Measurement Date by the Interest Spread applicable thereto
as at the date of determination and (b) summing the products obtained by multiplying the applicable
Euro equivalent principal balance of each non-defaulted (i) Zero Coupon Security (that bears interest
200

y reference to a fixed rate of interest or index), (ii) PIK Fixed Obligation and (iii) PIYC Fixed
Obligation held by the Issuer as at such Measurement Date by the excess of the Assumed Swap Rate
over the fixed interest rate applicable thereto as at the date of determination and (c) summing the
products obtained by multiplying the applicable Euro equivalent Principal Balance of each
non-defaulted Timely Pay Obligation Security that includes a Roll-Up Margin by the Roll-Up Margin
applicable thereto as at the date of determination, and dividing the sum of (a), (b) and (c) by the
aggregate applicable Euro-equivalent principal balance of all non-defaulted Collateral Debt
Obligations held by the Issuer as at such Measurement Date.
Assumed Swap Rate means the prevailing Euribor, LIBOR or the applicable swap rate in the relevant
Class A-2 Currency with a maturity rounded up to the average life of the Collateral Debt Obligation.
The “Minimum Weighted Average PIK Test” will be satisfied as at any Measurement Date if the
Weighted Average PIK Spread is equal to the greater of the numbers set out in the row headed
“Minimum Weighted Average PIK Spread” in respectively, the S&P Tests Matrix and the applicable
Moody’s Tests Matrix, in each case based upon the case which is applicable as at such Measurement
Date. Any asset which is subject to an Asset Swap Transaction will have a spread corresponding to
the spread in the Asset Swap Transaction and will be considered at an amount which is the Euro
equivalent amount converted at the foreign exchange rate which is fixed that Asset Swap Transaction.
The Weighted Average Maturity Test
The “Weighted Average Maturity Test” means a test which will be satisfied as at any Measurement
Date from (and including) the Effective Date, if the Portfolio Weighted Average Maturity is on or
before July 15, 2019.
“Portfolio Weighted Average Maturity” is, as of any date of determination, the date calculated by
adding to the Issue Date the number (expressed as a number of months from the Issue Date)
calculated by (a) summing the products obtained by multiplying (i) each of (A) the Principal Balance
(or portion thereof) of each Collateral Debt Obligation (excluding Defaulted Obligations) that is then
held by the Issuer and that matures or amortises on any date subsequent to such date of determination,
and (B) if the Aggregate Principal Balance of the Collateral Debt Obligations on such date of
determination is less than the initial Aggregate Principal Balance of the Collateral Debt Obligations
(excluding Defaulted Obligations) at the end of the Ramp-up Period, the difference between such
initial Aggregate Principal Balance and such outstanding Aggregate Principal Balance by (ii) the
number of months from the Issue Date to the date of such maturity or amortisation (in the case of
paragraph (a)(i)(A)) or to such date of determination (in the case of paragraph (a)(1)(B)) and (b)
dividing such sum by the Aggregate Principal Balance (excluding Defaulted Obligations) used in
paragraph (a)(i) above.
Assets which are to constitute Collateral Debt Obligations in respect of which the Issuer has entered
into a binding commitment to purchase but which have not yet settled shall be included as Collateral
Debt Obligations in the calculation of the Collateral Quality Tests at any time as if such acquisitions
have been completed. For purposes of calculating compliance with the Collateral Quality Tests,
during the Reinvestment Period, upon the direction of the Investment Manager, by notice to the
Trustee and the Collateral Administrator, any Eligible Investment representing Principal Proceeds
received upon the maturity, redemption, sale or other disposition of a Collateral Debt Obligation shall
be deemed to have all of the characteristics of such Collateral Debt Obligation until reinvested in a
Substitute Collateral Debt Obligation. Such calculations shall be based upon the Principal Balance of
such Collateral Debt Obligation, except in the case of Defaulted Obligations and Credit Impaired
Obligations, in which case the calculations will be based upon the Principal Proceeds received on the
disposition or sale of such Defaulted Obligation or Credit Impaired Obligation.
If, at any time during the Ramp-Up Period, any one or more of the Ramp-Up Interim Targets are not
satisfied, then the Investment Manager shall (a) within five Business Days of the failure to satisfy
such Ramp-Up Interim Target(s), notify Moody’s of such failure and (b) until such time as each
Ramp-Up Interim Target is satisfied, either (in its discretion (acting on behalf of the Issuer)): (i) upon
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each purchase or sale of a Collateral Debt Obligation, maintain or improve the results of each
Ramp-Up Interim Target that was not so satisfied and continue to satisfy each Ramp-Up Interim
Target that was so satisfied; or (ii) prior to any further purchases of Collateral Debt Obligations
discuss and agree with Moody’s a plan which will cause the Portfolio to satisfy the Ramp-Up Interim
Targets. For the purposes of the foregoing, “Ramp-Up Interim Targets” means, with respect to the
Ramp-Up Period, targets that are met if the Issuer has purchased Collateral Debt Obligations having
an aggregate Principal Balance equal to at least the relevant percentage of the Target Par Amount set
out in the Ramp-Up Interim Targets Table below and the Diversity Test, the Maximum Weighted
Average Rating Factor Test and the Minimum Weighted Average Spread Test meet the levels set out
in the Ramp-Up Interim Targets Table below (the “Ramp-Up Interim Targets Table”):
Ramp-Up Interim Targets Table
Minimum
Diversity
Score
Maximum
Portfolio
Rating Factor
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Minimum
Weighted
Average
Spread
Minimum
Weighted
Average
PIK
Minimum
Weighted
Average
Recovery Rate
Days from Minimum
Closing Percentage
Closing 70% 26 2800 2.56% 3.2% 24.0%
180 75% 27 2800 2.64% 3.3% 25.0%
270 85% 28 2800 2.72% 3.4% 27.0%
360 100% 29* 2800* 2.80%* 3.5%* 28.0%
* or as determined pursuant to the provisions described under “Moody’s Test Matrices” below.
Other than with respect to the Ramp-Up Interim Targets, the Issuer does not expect and is not
required to satisfy the Collateral Quality Tests, Percentage Limitations or Coverage Tests prior to the
Target Date. The Investment Manager may declare that the Ramp-Up Period has ended and the
Target Date has occurred prior to the expiry of 365 days from (but excluding) the Issue Date subject
to the Effective Date Requirement being satisfied.
Ratings
The “S&P Rating” of any Collateral Debt Obligation will be determined as follows:
(a) if there is an issuer credit rating of the issuer of such Collateral Debt Obligation, or of the
guarantor who unconditionally and irrevocably guarantees such Collateral Debt Obligation,
then the S&P Rating of such issuer, or the guarantor, shall be such rating (regardless of
whether there is a published rating by S&P on the Collateral Debt Obligation of such issuer
held by the Issuer); or
(b) if no other security or obligation of the issuer or borrower is rated by S&P or Moody’s, then
the Issuer, or the Investment Manager on behalf of the Issuer, may apply to S&P for a
corporate credit estimate, which shall be its S&P Rating provided that, pending receipt from
S&P of such estimate, such Collateral Debt Obligation shall have an S&P Rating of “B-” if
the Investment Manager believes that such estimate will be at least “B-” and if the aggregate
principal balance of Collateral Debt Obligations having such S&P Rating by reason of this
provision does not exceed five per cent. of the Aggregate Collateral Balance; or
(c) with respect to any Collateral Debt Obligation that is a Synthetic Security, the S&P Rating of
the issuer or the guarantor of such Collateral Debt Obligation or, if the issuer or the guarantor
of such Collateral Debt Obligation is not rated by S&P, the S&P Rating of such Synthetic
Security shall be the rating assigned thereto by S&P in connection with the acquisition thereof
by the Issuer upon the request of the Issuer or the Investment Manager; or
(d) if such Collateral Debt Obligation is not rated by S&P, but another security or obligation of
the issuer is rated by S&P and neither the Issuer nor the Investment Manager obtains an S&P
Rating for such Collateral Debt Obligation pursuant to paragraph (b) above, then the S&P
Rating of such Collateral Debt Obligation shall be the issuer credit rating or shall be
determined as follows: (i) if there is a rating on a senior secured obligation of the issuer, then

the S&P Rating of such Collateral Debt Obligation shall be one subcategory below such
rating if such Collateral Debt Obligation is a senior secured or senior unsecured obligation of
the issuer; (ii) if there is a rating on a senior unsecured obligation of the issuer, then the S&P
Rating of such Collateral Debt Obligation shall equal such rating if such Collateral Debt
Obligation is a senior secured or senior unsecured obligation of the issuer; and (iii) if there is
a rating on a subordinated obligation of the issuer, and if such Collateral Debt Obligation is a
senior secured or senior unsecured obligation of the issuer, then the S&P Rating of such
Collateral Debt Obligation shall be one subcategory above such rating, if such rating is higher
than “BB+”, and shall be two sub-categories above such rating, if such rating is “BB+” or
lower; or
(e) if (i) neither the issuer nor any of its Affiliates is subject to reorganisation or bankruptcy
proceedings and (ii) no debt securities or obligations of the issuer have been in default during
the past two years, the S&P Rating of such Collateral Debt Obligations will be “CCC-”; or
(f) if a debt security or obligation of the issuer has been in default during the past two years, the
S&P Rating of such Collateral Debt Obligation will be “D”; or
(g) if there is no issuer credit rating published by S&P and such Collateral Debt Obligation is not
rated by S&P, and no other security or obligation of the issuer is rated by S&P and neither the
Issuer nor the Investment Manager on behalf of the Issuer obtains an S&P Rating for such
Collateral Debt Obligation pursuant to paragraph (b) above, then the S&P Rating of such
Collateral Debt Obligation may be determined using any one of the methods provided below:
(i) if such Collateral Debt Obligation is publicly rated by Moody’s, then the S&P Rating
of such Collateral Debt Obligation will be (A) one subcategory below the S&P
equivalent of the public rating assigned by Moody’s if such Collateral Debt
Obligation is rated “Baa3” or higher by Moody’s and (B) two subcategories below
the S&P equivalent of the public rating assigned by Moody’s if such Collateral Debt
Obligation is publicly rated “Ba1” or lower by Moody’s provided, however, that an
S&P Rating may only be derived under this paragraph (i) from a Moody’s public
rating and may not be derived from any Moody’s confidential credit rating or credit
estimate (y) no Synthetic Security may be deemed to have an S&P Rating based on a
Moody’s Rating and (z) the Aggregate Collateral Balance of the Collateral Debt
Obligations that may be deemed to have an S&P rating based on a rating assigned by
Moody’s as provided in this paragraph (i) may not exceed 20 per cent. of the
Aggregate Collateral Balance; or
(ii) if such Collateral Debt Obligation is not publicly rated by Moody’s but a security
with the same ranking (a “parallel security”) is publicly rated by Moody’s, then the
S&P Rating of such parallel security will be determined in accordance with the
methodology set out in paragraph (i) above and the S&P Rating of such Collateral
Debt Obligation will be determined in accordance with the methodology set out in
paragraph (e) above (for such purposes treating the parallel security as if it were rated
by S&P at the rating determined pursuant to this paragraph (ii)); or
(h) with respect to any Current Pay Obligation that is rated “D” or “SD”, the S&P Rating of such
Current Pay Obligation will be “CCC-”.
The “Moody’s Rating” of any Collateral Debt Obligation will be determined as follows:
(a) for any Collateral Debt Obligation:
(i) if such Collateral Debt Obligation is a Mezzanine Obligation and the Obligor
thereunder has a senior implied or corporate family rating from Moody’s then the
Moody’s Rating of such Collateral Debt Obligation shall be such rating;
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(ii) otherwise, if the Obligor in respect of such Collateral Debt Obligation has a senior
unsecured obligation publicly rated by Moody’s, then the Moody’s Rating of such
Collateral Debt Obligation shall be such rating; and
(iii) otherwise, if the Obligor in respect of such Collateral Debt Obligation has no senior
obligation publicly rated by Moody’s, but the Collateral Debt Obligation itself is
rated (other than a rating determined from an estimate by Moody’s of such Collateral
Debt Obligation’s Moody’s Rating Factor), then the Moody’s Rating of such
Collateral Debt Obligation shall be one subcategory below such rating;
(b) for any Collateral Debt Obligation for which a Moody’s Rating cannot be determined in
accordance with paragraph (a) above, the Issuer or the Investment Manager on behalf of the
Issuer may present such Collateral Debt Obligation to Moody’s for an estimate of such
Collateral Debt Obligation’s Moody’s Rating Factor from which its corresponding Moody’s
Rating shall be determined, provided that if applicable and none of paragraph (a) or (c) apply
to such Collateral Debt Obligation, such Collateral Debt Obligation shall be attributed the
following rating until such Moody’s Rating Factor has been estimated by Moody’s and
notified to the Investment Manager, after which the Moody’s Rating of such Collateral Debt
Obligation shall be the rating determined from such Moody’s Rating Factor estimate:
(i) if (A) neither the Obligor nor any of its Affiliates is subject to reorganisation or
bankruptcy proceedings, (B) no debt securities or obligations of the Obligor are in
default, (C) neither the Obligor nor any of its affiliates have defaulted on any debt
during the past two years, (D) the Obligor has been in existence for the past five
years, (E) the Obligor is current on any cumulative dividends, (F) the fixed charge
ratio for the Obligor exceeds 125.0 per cent. for each of the past two fiscal years and
for the most recent quarter, (G) the Obligor had a net profit before tax in the past
fiscal year and the most recent quarter, (H) the annual financial statements of the
Obligor are unqualified and certified by a firm of independent accountants of
international reputation and quarterly statements are unaudited but signed by a
corporate officer, the Moody’s Rating of such Collateral Debt Obligation shall be
provided “B3”; or
(ii) if (A) neither the Obligor nor any of its Affiliates is subject to reorganisation or
bankruptcy proceedings and (B) no debt security or obligation of the Obligor has
been in default during the past two years, the Moody’s Rating of such Collateral Debt
Obligation shall be “Caa2”; or
(iii) if a debt security or obligation of the Obligor has been in default during the past two
years, the Moody’s Rating of such Collateral Debt Obligation shall be “Ca” provided
however that, for any Collateral Debt Obligation which is a Synthetic Security, if the
Synthetic Counterparty has been downgraded to a long-term senior unsecured credit
rating lower than “A3” by Moody’s, the Moody’s Rating will be the lower of such
rating and the rating of the related Reference Obligation as determined above; or
(c) if paragraphs (a) and (b) do not apply to such Collateral Debt Obligation, but the Collateral
Debt Obligation is rated by S&P, then the Moody’s Rating may be the implied Moody’s
Rating (the “Implied Moody’s Rating”) determined as follows:
(i) one sub-category below the Moody’s equivalent of the issuer rating assigned by S&P
if the Obligor of such Collateral Debt Obligation is rated “BBB-” or better by S&P;
and
(ii) two sub-categories below the Moody’s equivalent of the issuer rating assigned by
S&P if the Obligor of such Collateral Debt Obligation is rated lower than “BBB-” by
S&P,
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provided however that (A) where such issuer rating assigned by S&P is on negative or
positive watch the Moody’s equivalent rating determined in accordance with paragraph (a) or
(b) above shall be decreased or increased, respectively, by one Moody’s rating sub-category,
(B) no more than 20 per cent. of the Collateral Debt Obligations may be given an Implied
Moody’s Rating based on a rating given by S&P as provided in this paragraph (c) and (C) no
Collateral Debt Obligation may be given an Implied Moody’s Rating based on a rating given
by S&P as provided in this paragraph (c) if the Obligor under such Collateral Debt Obligation
has no outstanding debt that is currently paying a coupon,
provided further that if the rating of any Collateral Debt Obligation or Obligor thereof has been placed
on credit watch for possible downgrade by Moody’s, the Moody’s Rating shall be the one confirmed
by Moody’s at the request of the Investment Manager and, until such confirmation is given, shall be
one subcategory below the Moody’s Rating as otherwise determined in accordance with this
definition, and until such time as the Collateral Debt Obligation is no longer on credit watch for
possible downgrade; or if the rating of any Collateral Debt Obligation or Obligor thereof has been
placed on credit watch for possible upgrade by Moody’s, the Moody’s Rating shall be one
subcategory above the Moody’s Rating as otherwise determined in accordance with this definition,
until such time as the Collateral Debt Obligation is no longer on credit watch for possible upgrades.
If at any time Moody’s ceases to provide rating services, references to rating categories of Moody’s
shall be deemed instead to be references to the equivalent categories of any other rating agency
selected by the Investment Manager (acting on behalf of the Issuer) (with written notice to the
Trustee), as of the most recent date on which such other rating agency and Moody’s as the case may
be, published rating for the type of security in respect of which such alternative rating agency is used.
The Coverage Tests and Reinvestment Test
The coverage tests (the “Coverage Tests”) apply from (and including) the Effective Date and will
consist of the Class A/B Par Value Test, the Class C Par Value Test and the Class D Par Value Test
(each, a “Par Value Test” and as defined in the Terms and Conditions of the Notes) and the Class
A/B Interest Coverage Test, the Class C Interest Coverage Test and the Class D Interest Coverage
Test (each, an “Interest Coverage Test” and as defined in the Terms and Conditions of the Notes).
The Coverage Tests will be used primarily to determine whether interest may be paid on the Class B
Notes, the Class C Notes and the Class D Notes and whether Principal Proceeds may be reinvested in
Substitute Collateral Debt Obligations, or whether Interest Proceeds and, to the extent needed,
Principal Proceeds must instead be used in the event of failure to satisfy the Class A/B Coverage
Tests, to pay principal of the Class A Notes in accordance with the priorities of payments, and, after
redemption in full thereof, principal of the Class B Notes or, in the event of failure to satisfy the
Class C Coverage Tests, to pay principal of the Class A Notes in accordance with the priorities of
payments and, after redemption in full thereof, principal of the Class B Notes and, after redemption in
full thereof, principal of the Class C Notes or, in the event of failure to satisfy the Class D Coverage
Tests, to pay principal of the Class A Notes in accordance with the priorities of payments and, after
redemption in full thereof, principal of the Class B Notes and, after redemption in full thereof,
principal of the Class C Notes and, after redemption in full thereof, principal of the Class D Notes in
each case to the extent necessary to cause the Coverage Tests relating to the relevant Class of Notes to
be met.
Each of the Coverage Tests shall be satisfied on a Measurement Date if the corresponding Par Value
Ratio or Interest Coverage Ratio (as the case may be) is at least equal to the percentage specified in
the table below in relation to that Coverage Test.
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Coverage Test and Ratio Percentage at which Test is Satisfied
Class A/B Par Value 125 per cent.
Class A/B Interest Coverage 130.0 per cent.
Class C Par Value 118.0 per cent.
Class C Interest Coverage 125.0 per cent.
Class D Par Value 116.0 per cent.
Class D Interest Coverage 115.0 per cent.
Reinvestment Test
During the Reinvestment Period, if the Reinvestment Test is not satisfied on any Determination Date
during such period, then on the related Payment Date Interest Proceeds are required to be applied
(1) in payment into the Euro Principal Account or Class A-2 Currency Principal Account, as
applicable, for use in the purchase of Collateral Debt Obligations and/or (2) in redemption of the
Notes in accordance with the Priorities of Payments, such choice at the discretion of the Investment
Manager, acting on behalf of the Issuer, and in each case, in an amount equal to the lesser of 50 per
cent. of all Interest Proceeds remaining after payment of all prior ranking amounts pursuant to the
Interest Priority of Payments and the amount required for the Reinvestment Test to be satisfied if
recalculated following such application.
The Reinvestment Test will be satisfied if, on the first Payment Date and any subsequent
Measurement Date during the Reinvestment Period, the Class D Par Value Ratio is at least 117 per
cent.
Management of the Portfolio
Overview
Subject to, and in accordance with the terms of the Investment Management Agreement, the
Investment Manager (acting on behalf of the Issuer) is permitted, in certain circumstances and, subject
to certain requirements and subject to the overall policies of the Issuer, to sell Collateral Debt
Obligations, Defaulted Obligations and Exchanged Equity Securities and to reinvest the Sale Proceeds
(other than accrued interest on such Collateral Debt Obligations included in Interest Proceeds by the
Investment Manager (acting on behalf of the Issuer)) thereof in Substitute Collateral Debt
Obligations. The Collateral Administrator (on behalf of the Issuer) shall determine and shall provide
confirmation of whether the criteria which are required to be satisfied in connection with any such
sale or reinvestment are satisfied or, if any such criteria are not satisfied, shall notify the Issuer and
the Investment Manager of the reasons and the extent to which such criteria are not so satisfied,
following request by the Investment Manager, which request shall specify all necessary details of the
Collateral Debt Obligation, Defaulted Obligation or Exchanged Equity Security to be sold and the
proposed Substitute Collateral Debt Obligation to be purchased.
The Investment Manager will select and cause to be purchased by the Issuer Collateral Debt
Obligations (including all Substitute Collateral Debt Obligations) taking into account the Eligibility
Criteria and will monitor the performance and credit quality of the Collateral Debt Obligations on an
ongoing basis to the extent practicable using sources of information reasonably available to it and
provided that the Investment Manager shall not be responsible for determining whether or not the
terms of any individual Collateral Debt Obligation have been observed. In the event that (i) a
Class A-2 Noteholder has failed and is continuing to fail its obligations as set out in the Class A-2
Note Purchase Agreement and (ii) (if required pursuant to the Class A-2 Note Purchase Agreement)
such Class A-2 Noteholder has not posted Eligible Noteholder Collateral to the Class A-2 Noteholder
Collateral Account in an amount in respect of which Rating Agency Confirmation is received in
accordance with the provisions of the Class A-2 Note Purchase Agreement, the Investment Manager,
on behalf of the Issuer, or the Issuer may not enter into any binding commitment to purchase any
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Collateral Debt Obligations which are to be funded by any Class A-2 Advances, until the Class A-2
Advances have been received from each Class A-2 Noteholder in the relevant account of the Issuer.
The activities referred to below that the Investment Manager may undertake on behalf of the Issuer
are subject to the Issuer monitoring the performance of the Investment Manager and of the Portfolio
under the Investment Management Agreement.
Sale of Collateral Debt Obligations
Terms and Conditions applicable to the sale of Credit Improved Obligations
Credit Improved Obligations may be sold at any time by the Investment Manager (acting on behalf of
the Issuer).
During the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) may either
(i) reinvest the Sale Proceeds thereof in Substitute Collateral Debt Obligations, or (ii) procure that the
net amount of such Sale Proceeds are paid into the Euro Principal Account or Class A-2 Currency
Principal Account, as applicable, and designated for reinvestment pending such reinvestment.
Following the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) may
additionally choose to deposit the Sale Proceeds in the Euro Principal Account or Class A-2 Currency
Principal Account, as applicable, to be disbursed in accordance with the Priorities of Payments on the
first Payment Date following such sale or, if such Payment Date is less than 20 Business Days
following receipt of such Sale Proceeds, the next following Payment Date.
Any sale of a Credit Improved Obligation shall be subject to:
(a) to the Investment Manager’s knowledge, no Event of Default having occurred which is
continuing; and
(b) the Investment Manager certifying that it believes, in its reasonable business judgment, that
such obligation constitutes a Credit Improved Obligation;
Following the Reinvestment Period, in the event that the Investment Manager intends to reinvest the
Sale Proceeds of such Credit Improved Obligation, the Investment Manager shall certify that:
(a) the Sale Proceeds may be reinvested within 20 Business Days of settlement of such sale; and
(b) after giving effect to such sale and purchase, the Reinvestment Criteria will be met.
During the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) shall use all
reasonable efforts to reinvest such Sale Proceeds within 180 Business Days, during the Reinvestment
Period, and within 20 Business Days, following the Reinvestment Period, of the settlement of such
sale. In relation to reinvestments during the Reinvestment Period, in the event such Sale Proceeds are
not reinvested before the Payment Date falling immediately after the end of such 180 Business Day
period, such amounts shall only remain credited to the Euro Principal Account or Class A-2 Currency
Principal Account, as applicable, for the purpose of reinvestment to the extent no payments are
required to be made on such Payment Date in respect of a failure to satisfy any Coverage Test.
Terms and Conditions applicable to the sale of Credit Impaired Obligations and Defaulted
Obligations
Credit Impaired Obligations may be sold at any time by the Investment Manager (acting on behalf of
the Issuer).
During the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) may either
(a) reinvest the Sale Proceeds received in respect of Credit Impaired Obligations in Substitute
Collateral Debt Obligations, or (b) procure that the net amount of such Sale Proceeds are paid into the
Euro Principal Account or Class A-2 Currency Principal Account, as applicable, and designated for
reinvestment pending such reinvestment. Following the Reinvestment Period, the Investment
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Manager (acting on behalf of the Issuer) may additionally choose to deposit the Sale Proceeds in the
Euro Principal Account or Class A-2 Currency Principal Account, as applicable, to be disbursed in
accordance with the Priorities of Payments on the first Payment Date following such sale.
Any sale of a Credit Impaired Obligation shall be subject to the Investment Manager certifying that it
believes, in its reasonable business judgment, that such obligation constitutes a Credit Impaired
Obligation.
Following the Reinvestment Period, in the event that the Investment Manager intends to reinvest the
Sale Proceeds of such Credit Impaired Obligation, the Investment Manager shall certify that:
(a) the Sale Proceeds may be reinvested within 20 Business Days of settlement of such sale; and
(b) after giving effect to such sale and purchase, the Reinvestment Criteria will be met.
During the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) shall use all
reasonable efforts to reinvest such Sale Proceeds within 180 Business Days, during the Reinvestment
Period, or within 20 Business Days, following the Reinvestment Period, of the settlement of such sale.
In relation to reinvestments during the Reinvestment Period, in the event such Sale Proceeds are not
reinvested before the Payment Date falling immediately after the end of such 180 Business Day
period, such amounts shall only remain credited to the Euro Principal Account or Class A-2 Currency
Principal Account, as applicable, for the purpose of reinvestment to the extent no payments are
required to be made on such Payment Date in respect of a failure to satisfy any Coverage Test.
Terms and Conditions applicable to the sale of Defaulted Obligations
Defaulted Obligations may be sold at any time by the Investment Manager (acting on behalf of the
Issuer) subject to the Investment Manager certifying that it believes, in its reasonable business
judgment, that such obligation constitutes a Defaulted Obligation.
In the event that the Investment Manager intends to reinvest the Sale Proceeds of such Defaulted
Obligation, the Investment Manager shall certify that, after giving effect to such sale and any
purchase, the Reinvestment Criteria will be met.
The Investment Manager shall use all reasonable efforts to reinvest such Sale Proceeds within the
earlier of (a) 180 Business Days of settlement of such sale and (b) 20 Business Days of the expiry of
the Reinvestment Period. In relation to reinvestments during the Reinvestment Period, in the event
such Sale Proceeds are not reinvested before the Payment Date falling immediately after the end of
such 180 Business Day period, such amounts shall only remain credited to the Euro Principal Account
or Class A-2 Currency Principal Account, as applicable, for the purpose of reinvestment to the extent
no payments are required to be made on the such Payment Date in respect of a failure to satisfy any
Coverage Test.
Terms and Conditions applicable to the sale of Exchanged Equity Securities
Any Exchanged Equity Security may be sold at any time by the Investment Manager (acting on behalf
of the Issuer) in its discretion (acting on behalf of the Issuer) subject to, to the Investment Manager’s
knowledge, no Event of Default having occurred which is continuing.
In addition to any discretionary sale of Exchanged Equity Securities as provided above, the
Investment Manager shall be required by the Issuer to use its reasonable efforts to sell (on behalf of
the Issuer) any Exchanged Equity Security which constitutes Margin Stock, as soon as practicable
upon its receipt or upon its becoming Margin Stock (as applicable).
Discretionary Sales during the Reinvestment Period
During the Reinvestment Period only, the Issuer or the Investment Manager (acting on behalf of the
Issuer) may dispose of any Collateral Debt Obligation (other than a Credit Improved Obligation, a
Credit Impaired Obligation, a Defaulted Obligation or an Exchanged Equity Security, each of which
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may only be sold in the circumstances provided above) and reinvest the Sale Proceeds thereof in one
or more Substitute Collateral Debt Obligations subject to:
(a) to the Investment Manager’s knowledge, no Event of Default having occurred which is
continuing;
(b) none of the Initial Ratings assigned by Moody’s to the Class A Notes or the Class B Notes
having been reduced by one or more rating sub-categories or withdrawn and the Initial
Ratings assigned to any of the other Rated Notes by Moody’s having been reduced by two or
more rating sub-categories or withdrawn as of the trade date relating to such Collateral Debt
Obligation, provided that this condition may be disapplied by the Controlling Class acting by
Ordinary Resolution;
(c) the Investment Manager (acting on behalf of the Issuer) certifying that it believes, in its
reasonable business judgment, that:
(i) (subject to paragraph (e) below) the Sale Proceeds thereof are reasonably likely to be
reinvested in one or more Substitute Collateral Debt Obligations within 20 Business
Days of receipt of such Sale Proceeds; and
(ii) after giving effect to such sale and purchase, the Reinvestment Criteria will be met;
(d) the Collateral Administrator confirming that the aggregate of the Principal Balances of
Collateral Debt Obligations (other than Credit Improved Obligations, Credit Impaired
Obligations, Defaulted Obligations or Exchanged Equity Securities) sold during the period
from (and including) the Issue Date to (but excluding) the second Payment Date following the
Issue Date or, thereafter, during each successive rolling 12-month period from (and including)
the 20th day of each month after the Issue Date to (but excluding) the succeeding anniversary
of such date, does not exceed 20 per cent. of the Aggregate Collateral Balance, measured as at
the beginning of each such 12-month period (or, in the case of the first such period, the Issue
Date); and
(e) the Investment Manager uses all reasonable efforts to reinvest such Sale Proceeds within the
earlier of (i) 180 Business Days of settlement of such sale and (ii) 20 Business Days of the
expiry of the Reinvestment Period. In relation to reinvestments during the Reinvestment
Period, in the event such Sale Proceeds are not reinvested before the Payment Date falling
immediately after the end of such 180-Business Day period, such amounts shall only remain
credited to the Euro Principal Account or Class A-2 Currency Principal Account, as
applicable, for the purpose of reinvestment to the extent no payments are required to be made
on the such Payment Date in respect of a failure to satisfy any Coverage Test.
Sale of Collateral Prior to Maturity Date
In the event of any redemption of the Notes in whole prior to the Maturity Date, or upon receipt of
notification from the Trustee of the enforcement of the security over the Collateral, the Investment
Manager (acting on behalf of the Issuer) will (at the direction of the Trustee following the
enforcement of such security), as far as practicable, arrange for liquidation of the Collateral in order to
procure that the proceeds thereof are in immediately available funds by the Business Day prior to the
applicable Redemption Date and sell all or part of the Portfolio, as applicable, without regard to the
limitations set out in the Investment Management Agreement, subject always to any limitations or
restrictions set out in the Conditions of the Notes and the Trust Deed.
Reinvestment of Collateral Debt Obligations During the Reinvestment Period
During the Reinvestment Period, the Investment Manager (acting on behalf of the Issuer) shall use its
commercially reasonable efforts to reinvest all Principal Proceeds in the purchase of Substitute
Collateral Debt Obligations satisfying the Eligibility Criteria provided that immediately after each
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such purchase, the criteria set out below (which, for the avoidance of doubt, shall apply only after the
Effective Date) (the “Reinvestment Criteria”) must be satisfied:
(a) to the Investment Manager’s knowledge, no Event of Default has occurred that is continuing
at the time of such purchase;
(b) the Collateral Quality Tests are satisfied or, if any test was not satisfied, it is no further from
being satisfied after giving effect to such reinvestment than it was immediately prior to sale or
prepayment (in whole or in part) of the relevant Collateral Debt Obligation the Principal
Proceeds of which are being reinvested, save that this paragraph (b) shall not apply in respect
of the CDO Monitor Test in the case of the reinvestment of Sale Proceeds from Credit
Impaired Obligations;
(c) the Percentage Limitations are satisfied or, if any such limitation is not satisfied, in the case of
each limitation (i) in respect of which an upper limit is applicable, the relevant concentration
is no greater, and (ii) in respect of which a lower limit is applicable, the relevant
concentration is no lesser, after giving effect to such reinvestment than it was immediately
prior to sale or prepayment (in whole or in part) of the relevant Collateral Debt Obligation the
Principal Proceeds of which are being reinvested;
(d) the Coverage Tests are satisfied or if (other than with respect to the reinvestment of any
proceeds received upon the sale of, or as a recovery on, any Defaulted Obligation) as
calculated immediately prior to sale or prepayment (in whole or in part) of the relevant
Collateral Debt Obligation the Principal Proceeds of which are being reinvested, any
Coverage Test was not satisfied, the coverage ratio relating to such test will be at least as
close to being satisfied after giving effect to such reinvestment than it was immediately prior
to sale or prepayment (in whole or in part) of the relevant Collateral Debt Obligation; and
(e) (i) in the case of additional Collateral Debt Obligations purchased with the Sale
Proceeds of a Defaulted Obligation, immediately following such purchase either:
(A) the Class D Par Value Ratio is greater than 123.0 per cent.; or
(B) the Aggregate Principal Balance of all additional Collateral Debt Obligations
purchased with such Sale Proceeds is at least equal to the Sale Proceeds from
such sale,
provided that, the Investment Manager, acting on behalf of the Issuer, (1) may, in its
discretion at any time and (2) shall, in the case where any of:
(x) the ratings by Moody’s of any of the Class A Notes or the Class B Notes
have been reduced by Moody’s by at least one sub-category from the Initial
Ratings or are withdrawn by Moody’s;
(y) the ratings by Moody’s of any of the Class C Notes or Class D Notes have
been reduced by Moody’s by at least two sub-categories from the Initial
Ratings or are withdrawn by Moody’s; or
(z) any of the Coverage Tests are not satisfied (either or both immediately before
and immediately after such reinvestment),
instead direct that such proceeds be paid into the Euro Principal Account or the
Class A-2 Currency Principal Account and disbursed in accordance with the Priorities
of Payments on the next Payment Date (provided that at condition 3(c)(ii)
paragraph (C)(1) of the Principal Priority of Payments such funds shall be applied
only in redemption of the Notes in accordance with the Priorities of Payments applied
as if the Reinvestment Period had expired and assuming, for such purposes, that the
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Investment Manager had no discretion to reinvest Principal Proceeds in substitute
Collateral Debt Obligations);
(ii) in the case of additional Collateral Debt Obligations purchased with the Sale
Proceeds of a Credit Impaired Obligation, immediately following such purchase
either:
(A) the Aggregate Principal Balance of all additional Collateral Debt Obligations
purchased with such Sale Proceeds is at least equal to the Sale Proceeds from
such sale; or
(B) the Class D Par Value Ratio is greater than 123.0 per cent.; and
(iii) in the case of any purchase of additional Collateral Debt Obligations other than in
paragraph (i) or (ii) above, either:
Reinvestment Test
(A) the Aggregate Principal Balance of all additional Collateral Debt Obligations
purchased with such Sale Proceeds is equal to or greater than the Aggregate
Principal Balance of the Collateral Debt Obligations sold; or
(B) the Class D Par Value Ratio is greater than 123.0 per cent.
In the event that, on any Payment Date following the Effective Date and each Payment Date
thereafter, after giving effect to the payment of all amounts payable in respect of paragraphs (A) to
(Y) (inclusive) of Condition 3(c)(i) (Interest Priority of Payments), the Reinvestment Test has not
been met, then on the related Payment Date, the Investment Manager shall procure that Interest
Proceeds shall be paid to the Principal Account for the acquisition of additional Collateral Debt
Obligations in an amount (such amount, the “Required Diversion Amount”) equal to the lesser of
(x) 50 per cent. of all remaining Interest Proceeds available for payment and (y) the amount which,
after giving effect to the said payment to the Principal Account, would be sufficient to cause the
Reinvestment Test to be met.
Following the Expiry of the Reinvestment Period
Reinvestment of Collateral Debt Obligations
Following the expiry of the Reinvestment Period, Unscheduled Principal Proceeds and Sale Proceeds
from the sale of Credit Improved Obligations and Credit Impaired Obligations, only, may be
reinvested by the Investment Manager (acting on behalf of the Issuer) in one or more Substitute
Collateral Debt Obligations satisfying the Eligibility Criteria, in each case provided that:
(a) to the Investment Manager’s knowledge, no Event of Default has occurred that is continuing
at the time of such reinvestment;
(b) the Collateral Quality Tests are satisfied or, if any test (except for the Moody’s Maximum
Weighted Average Rating Factor Test and the Weighted Average Maturity Test which must
be satisfied both immediately before and immediately after such reinvestment) was not
satisfied, it is no lower than immediately prior to sale or prepayment (in whole or in part) of
the relevant Collateral Debt Obligation the Principal Proceeds of which are being reinvested,
save that this paragraph (b) shall not apply in respect of the CDO Monitor Test in the case of
the reinvestment of Sale Proceeds from Credit Impaired Obligations;
(c) the Percentage Limitations are satisfied or, if any such limitation is not satisfied, in the case of
each limitation (i) in respect of which an upper limit is applicable, the relevant concentration
is no greater, and (ii) in respect of which a lower limit is applicable, the relevant
concentration is no lesser, after giving effect to such reinvestment than it was immediately
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prior to sale or prepayment (in whole or in part) of the relevant Collateral Debt Obligation the
Principal Proceeds of which are being reinvested;
(d) the Aggregate Principal Balance of the Collateral Debt Obligations is maintained or increased
or, in the case of the sale and reinvestment of the Sale Proceeds of Credit Impaired
Obligations, the Aggregate Principal Balance of all additional Collateral Debt Obligations
purchased with such Sale Proceeds is at least equal to the Sale Proceeds from such sale;
(e) the Coverage Tests are satisfied (both immediately before and immediately after such
reinvestment);
(f) the Class D Par Value Ratio is greater than 120.0 per cent.;
(g) such Substitute Collateral Debt Obligation(s) have the same or a higher S&P Rating as the
Collateral Debt Obligation sold and such Substitute Collateral Debt Obligation(s) must have
the same or shorter Stated Maturity as the Collateral Debt Obligation sold at the time of
purchase adjusted for the time elapsed from the time of purchase of such Collateral Debt
Obligation to the time of prepayment or disposition of such Collateral Debt Obligation;
(h) not more than 7.5 per cent. of the Aggregate Collateral Balance consists of Collateral Debt
Obligations having a Moody’s Rating of “Caa1” or lower (both immediately before and
immediately after such reinvestment); and
(i) neither of the following has occurred and is continuing:
(i) the ratings by Moody’s of any of the Class A Notes or the Class B Notes have been
reduced by Moody’s by at least one sub-category from the Initial Ratings or are
withdrawn by Moody’s; or
(ii) the ratings by Moody’s of any of the Class C Notes or the Class D Notes have been
reduced by Moody’s by at least two sub-categories from the Initial Ratings or are
withdrawn by Moody’s.
Following the expiry of the Reinvestment Period, any Unscheduled Principal Proceeds and any Sale
Proceeds from the sale of Credit Improved Obligations and Credit Impaired Obligations that have not
been reinvested as provided above prior to the end of the Due Period in which such proceeds were
received shall be paid into the Euro Principal Account or Class A-2 Currency Principal Account and
disbursed in accordance with the Principal Priority of Payments on the next following Payment Date
(subject as provided at the end of this paragraph), save that the Investment Manager (acting on behalf
of the Issuer) may in its discretion procure that Unscheduled Principal Proceeds and Sale Proceeds
from the sale of any Credit Improved Obligations and Credit Impaired Obligations are paid into the
Euro Principal Account or Class A-2 Currency Principal Account and designated for reinvestment in
Substitute Collateral Debt Obligations, in which case such Principal Proceeds shall not be so
disbursed in accordance with the Principal Priority of Payments for so long as they remain so
designated for reinvestment; provided that, in each case where any of the conditions in paragraphs (a)
through (i) (inclusive) above are not satisfied as of the relevant Payment Date, all such funds shall be
paid into the Euro Principal Account or Class A-2 Currency Principal Account and disbursed in
accordance with the Principal Priority of Payments and at paragraph (C)(ii) thereof such funds shall
be applied only in redemption of the Notes in accordance with the Priorities of Payments following
the expiry of the Reinvestment Period.
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Designation for Reinvestment
The Investment Manager will notify the Issuer and the Collateral Administrator of the details of all
Sale Proceeds and other Principal Proceeds which it has designated for reinvestment on the next
following Payment Date:
(a) during the Reinvestment Period, on the Determination Date relating to such Payment Date;
and
(b) after expiry of the Reinvestment Period, upon receipt thereof and the Investment Manager
will confirm the extent to which such amounts remain (and are permitted pursuant to the
Investment Management Agreement) designated for reinvestment on the next following
Payment Date two Business Days prior to each Determination Date,
in which event such amounts shall not constitute Principal Proceeds which are to be paid into the
Payment Account and disbursed on such Payment Date in accordance with the Priorities of Payment,
provided that no such designation for reinvestment may continue in the event that any Coverage Test
is not satisfied on any Determination Date applicable to any Payment Date falling at least 15 months
after the date on which such Principal Proceeds were received.
The Investment Manager (acting on behalf of the Issuer) may, at its discretion, direct that:
(a) the proceeds of sale of any Collateral Debt Obligation which represents accrued interest be
designated as Euro Interest Proceeds or Class A-2 Currency Interest Proceeds and paid into
the Euro Interest Account or Class A-2 Currency Interest Account save for (i) Purchased
Accrued Interest and (ii) any interest received in respect of any Mezzanine Obligation for so
long as it is a Defaulted Deferring Mezzanine Obligation (other than Defaulted Mezzanine
Excess Amounts which the Investment Manager has not at its discretion designated as Euro
Principal Proceeds or Class A-2 Currency Principal Proceeds, as applicable) and (iii) proceeds
representing accrued interest received in respect of any Defaulted Obligation (other than a
Defaulted Deferring Mezzanine Obligation) unless and until (x) the principal of such
Defaulted Obligation has been repaid in full and (y) any Purchased Accrued Interest in
relation to such Defaulted Obligation has been paid);
(b) In addition, all or part of any Trading Gain received in respect of any Collateral Debt
Obligation may be designated as Interest Proceeds and paid into the Interest Account, subject
to (a) no Event of Default having occurred, (b) each of the Collateral Quality Tests and
Percentage Limitations being satisfied following such designation, (c) the applicable
Reinvestment Criteria relating to the disposal of the Collateral Debt Obligation which gave
rise to such Trading Gain having been satisfied at the time of such disposal, (d) each of the
coverage ratios relating to each Coverage Test following such designation being equal to or
greater than the coverage ratios applicable thereto based on the Target Par Amount, and (e) at
any time that such Trading Gains are designated as Interest Proceeds (A) the difference
between (1) the Class A/B Par Value Ratio, the Class C Par Value Ratio and the Class D Par
Value Ratio at such time, and (2) the value required to satisfy, as applicable, the Class A/B
Par Value Test, the Class C Par Value Test and the Class D Par Value Test, is equal to or
exceeds, in each case, as applicable (B) the difference between (y) the Class A/B Par Value
Ratio, the Class C Par Value Ratio and the Class D Par Value Ratio, in each case, as at the
Effective Date when recalculated assuming that the numerator of each such ratio is equal to
the Target Par Amount, and (z) the value required to satisfy, as applicable, the Class A/B Par
Value Test, the Class C Par Value Test and the Class D Par Value Test; and
(c) any Defaulted Mezzanine Excess Amounts are designated as Euro Principal Proceeds or
Class A-2 Currency Principal Proceeds and paid into the Euro Principal Account or Class A-2
Currency Principal Account (for the avoidance of doubt, otherwise such amounts shall be
Euro Interest Proceeds or Class A-2 Currency Interest Proceeds in accordance with
paragraph (a) above).
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Accrued Interest
Amounts included in the purchase price of any Collateral Debt Obligation comprising accrued interest
thereon may be paid from the Euro Interest Account or the Class A-2 Currency Interest Account or
the Euro Principal Account or the Class A-2 Currency Principal Account or the Unused Proceeds
Account at the discretion of the Investment Manager (acting on behalf of the Issuer) but subject to the
terms of the Investment Management Agreement and Condition 3(j) (Payments to and from the
Accounts). Notwithstanding the foregoing, in any Due Period, all payments of interest and proceeds
of sale received during such Due Period in relation to any Collateral Debt Obligation, in each case, to
the extent that such amounts represent accrued interest in respect of such Collateral Debt Obligation,
which was purchased at the time of acquisition thereof with Principal Proceeds and/or principal
amounts from the Unused Proceeds Account (excluding any such accrued interest that is paid for out
of the subscription proceeds of the Notes on the Issue Date) shall constitute “Purchased Accrued
Interest” and shall be deposited into the Euro Principal Account as Euro Principal Proceeds or the
Class A-2 Currency Principal Account as Class A-2 Currency Principal Proceeds.
Block Trades
The requirements described herein with respect to the Portfolio shall be deemed to be satisfied upon
any sale and/or purchase of Collateral Debt Obligations on any day in the event that such Collateral
Debt Obligations satisfy such requirements in aggregate rather than on an individual basis.
Eligible Investments
The Issuer or the Investment Manager (acting on behalf of the Issuer) may from time to time purchase
Eligible Investments out of the Balances standing to the credit of the Accounts (other than the
Payment Account). For the avoidance of doubt, Eligible Investments may be sold by the Issuer or the
Investment Manager (acting on behalf of the Issuer).
Collateral Enhancement Obligations
The Issuer or the Investment Manager (acting on behalf of the Issuer) may, from time to time, subject
to the final paragraph below, apply funds standing to the credit of the Euro Interest Account or the
Class A-2 Currency Interest Account to purchase Collateral Enhancement Obligations independently
or as part of a unit with the Collateral Debt Obligations being so purchased.
All interests of the Issuer in Collateral Enhancement Obligations will be held on trust by the Issuer for
the benefit of ICG (the “CEO Trust”), pursuant to the terms of the Investment Management
Agreement.
The Investment Manager (acting on behalf of the Issuer) may, at its discretion, fund the purchase or
exercise of rights in one or more Collateral Enhancement Obligations by making an Investment
Manager Advance to the Issuer.
Collateral Enhancement Obligations may be sold at any time by the Issuer at the direction of the
Investment Manager.
Notwithstanding any other provisions of the Investment Management Agreement or the Conditions
relating to the ability of the Investment Manager (on behalf of the Issuer) to purchase or exercise its
rights in a Collateral Enhancement Obligation, the Investment Management Agreement shall provide
that whilst any Coverage Test or the Reinvestment Test is not satisfied, the Investment Manager (on
behalf of the Issuer) may only fund the purchase or exercise its rights in a Collateral Enhancement
Obligation by making an Investment Manager Advance to the Issuer, provided that amounts standing
to the credit of the Euro Interest Account or the Class A-2 Currency Interest Account may also be so
applied if the Collateral Enhancement Obligation or the asset received as a consequence of such
purchase or exercise, on the same day of such purchase or exercise, is either sold or has its value
otherwise realised in cash.
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All monies payable by the Issuer to ICG in connection with any Collateral Enhancement Obligation
shall be paid forthwith upon receipt thereof and in accordance with the terms of the CEO Trust.
Collateral Enhancement Obligations and any income or return generated therefrom, that is not in the
form of cash, are not taken into account for the purposes of determining satisfaction of, any of the
Coverage Tests, Percentage Limitations or Collateral Quality Tests.
The Issuer is transferring the sum of its beneficial interest, present and future, in, to and under the
Collateral Enhancement Obligations, including all monies receivable (whether prior to or following
the exercise of any options or warrants or other rights comprised therein) in respect thereof or arising
therefrom (including all Collateral Enhancement Obligation Proceeds), from time to time, to ICG
pursuant to the CEO Declaration of Trust. All monies payable by the Issuer to ICG in connection with
any Collateral Enhancement Obligation shall be paid forthwith upon receipt thereof and in accordance
with the terms of the CEO Trust.
Exercise of Warrants and Options
The Investment Manager, acting on behalf of the Issuer, may at any time exercise a warrant or option
attached to a Collateral Debt Obligation or comprised in a Collateral Enhancement Obligation and
shall on behalf of the Issuer instruct the Account Bank to make any necessary payment pursuant to a
duly completed form of instruction.
Margin Stock
The Investment Management Agreement requires that the Investment Manager, on behalf of the
Issuer, will sell any Collateral Debt Obligation, Exchanged Equity Security or Collateral
Enhancement Obligation which is or at any time becomes Margin Stock (as defined under Regulation
U issued by The Board of Governors of the Federal Reserve System) as soon as practicable following
such event.
Class A-2 Advances
The Investment Manager (acting on behalf of the Issuer) in accordance with the Investment
Management Agreement may deliver a Class A-2 Advance Request requesting a Class A-2 Advance
from the Class A-2 Noteholders at any time.
Non - Euro Obligations
The Investment Manager shall be authorised to purchase, on behalf of the Issuer, Non-Euro
Obligations, provided that in the case of any Non-Euro Obligation, it is either:
(i) purchased with Class A-2 Currency proceeds or from Class A-2 Currency Issue
Proceeds from the Class A-2 Notes and/or amounts standing to the credit of the
Class A-2 Currency Principal Account or from Class A-2 Currency Principal
Account; or
(ii) hedged under an Asset Swap Transaction with one or more Asset Swap Counterparty
satisfying the applicable Rating Requirement;
as described in more detail under “Hedging Arrangements” below.
The currency risk between the payments from Class A-2 Currency Obligations which are not subject
to the Asset Swap Transactions entered into by the Issuer will be hedged naturally by the interest and
principal payments under the Class A-2 Currency Amount Outstanding of the Class A-2 Notes.
Synthetic Securities
The Issuer or the Investment Manager, acting on behalf of the Issuer, may from time to time acquire
Collateral Debt Obligations which are Synthetic Securities.
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Characteristics of Synthetic Securities
A Synthetic Security is a security which may be a swap transaction, debt security or other investment
purchased from or entered into by the Issuer with a Synthetic Counterparty, the return on which is
linked to the credit of a Reference Obligation but which may provide for a different maturity, payment
dates, interest rate, credit exposure or other credit or non-credit related characteristics than such
Reference Obligation.
The Synthetic Securities acquired by or on behalf of the Issuer may be one of the following:
(a) an Uncollateralised CLN; or
(b) a Collateralised Credit Default Swap; or
(c) a credit-linked note issued by a special purpose vehicle or trust which is secured on, or has
recourse to, collateral in a principal amount equal to the principal amount of such credit
linked note and which is not a Structured Finance Security (a “Secured Credit Linked
Note”);
in each case, principal payment in respect of which are linked to the credit of the issuer of a Reference
Obligation (the “Reference Entity”) and the value of such Reference Obligation following the
occurrence of certain specified credit events in respect of such Reference Entity. The obligation
deliverable under a Synthetic Security defined as a “Deliverable Obligation” therein shall satisfy the
Eligibility Criteria save for paragraph (c) thereof, subject otherwise to receipt of Rating Agency
Confirmation.
For the avoidance of doubt, such Synthetic Security and Reference Obligation shall themselves meet
the Eligibility Criteria, save for paragraphs (a) and (c) thereof which may be satisfied solely by the
Reference Obligation and paragraphs (h), (i), (k), (l), (r), (v) and (w) thereof which may be satisfied
solely by the Synthetic Security.
“Uncollateralised CLN” means a Synthetic Security that is a credit linked note issued by a corporate
entity that: (i) is not a special purpose vehicle or a trust and (ii) is not secured by any collateral.
The entry into, or acquisition of, any Synthetic Security will, save in the case of Form-Approved
Synthetic Securities, be subject to receipt of Rating Agency Confirmation and subject to, at the time
such Synthetic Security is acquired:
(a) the percentage of the Aggregate Collateral Balance (excluding Defaulted Obligations) that
represents Uncollateralised CLNs issued by any individual Synthetic Counterparty when
combined with the percentage of the Aggregate Collateral Balance (excluding Defaulted
Obligations) that represents Participations entered into by the Issuer with such Synthetic
Counterparty in its capacity as a Selling Institution not exceeding the individual third party
credit exposure limits set out in the Bivariate Risk Table determined by reference to the credit
rating of such Synthetic Counterparty (or any guarantor thereof) (and taking the lowest rating
assigned thereto by any Rating Agency); and
(b) the percentage of the Aggregate Collateral Balance that represents Uncollateralised CLNs and
Participations entered into by the Issuer with Synthetic Counterparties and Selling Institutions
(or any guarantor thereof) having the same or lower credit rating (taking the lowest rating
assigned thereto by any Rating Agency) will not exceed the aggregate percentage set out in
the Bivariate Risk Table.
All references herein to the acquisition or purchase of Collateral Debt Obligations and Substitute
Collateral Debt Obligations shall include provision by, or on behalf of, the issuer of Synthetic
Collateral in respect of Synthetic Securities so purchased or acquired.
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Synthetic Collateral
As part of the entry into or acquisition of any Synthetic Security which is a Collateralised Credit
Default Swap, the Issuer or the Investment Manager, acting on the Issuer’s behalf, shall be required to
either (i) provide Synthetic Collateral (which shall be in the form of cash or securities which satisfy
the requirements of the definition of “Eligible Investments” (including the requirement that it is
capable of being liquidated on demand at par without penalty) save for that relating to the Stated
Maturity thereof provided that the Stated Maturity thereof does not fall after the scheduled
termination of such Collateralised Credit Default Swap, in each case as permitted by the terms of the
applicable Synthetic Security), the principal amount of which is not less than 100 per cent. of the
maximum liability of the Issuer under such credit default swap transaction, which it will deposit in a
Synthetic Collateral Account as security for its payment obligations to the Synthetic Counterparty
under such Synthetic Security or (ii) ensure that at all times the Undrawn and Committed Amount
under the Class A 2 Note Purchase Agreement covers the full amount of such unfunded liability of
any Synthetic Security which is a Collateralised Credit Default Swap (taking into account any
Synthetic Collateral related to such Synthetic Security). Subject as provided below, the Issuer may
purchase such Synthetic Collateral. All references to the purchase price or acquisition cost of any
Synthetic Security shall include any Synthetic Collateral required to be deposited into a Synthetic
Collateral Account by the Issuer. The Issuer shall grant a first security interest in such Synthetic
Collateral to the Trustee for the benefit of the Secured Parties subject to any rights and prior security
interest of any Synthetic Counterparty in such Synthetic Collateral. Synthetic Collateral (or any
amount received upon liquidation thereof) in the form of cash which ceases to be subject to the first
priority security interest of a Synthetic Counterparty upon expiration, redemption, termination or sale
of a Synthetic Security shall be deemed to constitute:
(a) Sale Proceeds in the event that the Synthetic Security was sold, assigned or terminated at the
option of the Issuer or the Investment Manager, acting on its behalf; or
(b) Unscheduled Principal Proceeds in the event that the Synthetic Security was subject to an
early termination other than by the Issuer or the Investment Manager, acting on its behalf; or
(c) scheduled principal proceeds in the event that the Synthetic Security expires at its scheduled
maturity.
Interest received on the Synthetic Collateral (other than Purchased Accrued Interest and amounts
payable to a Synthetic Counterparty pursuant to the applicable Synthetic Security) shall constitute
Euro Interest Proceeds and shall be payable into the Euro Interest Account.
Upon any release of Synthetic Collateral in the form of security from the first priority security interest
in favour of the applicable Synthetic Counterparty upon termination or sale of such Synthetic Security
or otherwise, such Synthetic Collateral will (i) if in the form of cash, be deposited in the Euro
Principal Account or the Non-Euro Principal Account or (ii) if in the form of securities:
(i) to the extent that it satisfies the Eligibility Criteria and Reinvestment Criteria, at the discretion
of the Investment Manager (acting on behalf of the Issuer), be retained and shall constitute a
Collateral Debt Obligation; or
(ii) in all other circumstances be sold as soon as reasonably practicable.
For the purposes of the Coverage Tests, the Collateral Quality Tests (other than the Moody’s
Minimum Diversity Test and the S&P Minimum Weighted Average Recovery Rate Test) and the
Percentage Limitations (other than Percentage Limitation (a) in respect of Mezzanine Obligations and
Percentage Limitation (b) in respect of the maximum number of Obligors), a Synthetic Security shall
be included as a Collateral Debt Obligation having the relevant characteristics of the Synthetic
Security and not of the related Reference Obligation, unless the Investment Manager, acting on behalf
of the Issuer, determines otherwise and receives Rating Agency Confirmation in respect of such
determination.
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For the purposes of the Moody’s Minimum Diversity Test and the S&P Minimum Weighted Average
Recovery Rate Test, a Synthetic Security shall be included as a Collateral Debt Obligation having the
relevant characteristics of the related Reference Obligation and not of the Synthetic Security, unless
the Investment Manager (acting on behalf of the Issuer) determines otherwise and receives Rating
Agency Confirmation in respect of such determination.
The interest rate or coupon of a Collateralised Credit Default Swap shall be a fraction, expressed as a
percentage and annualised, the numerator of which is the current stated periodic payment of interest
or premium scheduled to be received by the Issuer from the related Synthetic Counterparty, together
with any interest accruing on any Synthetic Collateral and the denominator of which is the principal
amount on such Synthetic Collateral. The spread or margin of the Collateralised Credit Default Swap
is equal to the interest rate or coupon as determined above, less the floating rate by reference to which
the coupon payable on such Synthetic Collateral is determined.
Delayed Drawdown Obligations
The Issuer, or the Investment Manager acting on its behalf, may acquire Collateral Debt Obligations
which are Delayed Drawdown Obligations from time to time.
Each Delayed Drawdown Obligation will, pursuant to its terms, require the Issuer to make one or
more future advances or other extensions of credit (including extensions of credit made on an
unfunded basis pursuant to which the Issuer may be required to reimburse the provider of a guarantee
or other ancillary facilities made available to the Obligor thereof in the event of any default by the
Obligor thereof in respect of its reimbursement obligations in connection therewith). Such Delayed
Drawdown Obligation may not provide that it may be repaid and reborrowed from time to time by the
Obligor thereunder. Upon acquisition of any Delayed Drawdown Obligations, the Issuer shall either
(i) deposit into the relevant Delayed Drawdown Reserve Account and shall maintain from time to
time in such Delayed Drawdown Reserve Accounts amounts equal to the combined aggregate
principal amounts of the Unfunded Amounts under each of the Delayed Drawdown Obligations of
each Base Currency, or (ii) ensure that there is an Undrawn and Committed Amount available under
the Class A-2 Notes in an amount equal to the Unfunded Amounts. To the extent required, the Issuer,
or the Investment Manager acting on its behalf, may direct that amounts standing to the credit of the
relevant Delayed Drawdown Reserve Account be deposited with a third party from time to time as
collateral for any reimbursement or indemnification obligations owed by the Issuer to any other lender
in connection with a Delayed Drawdown Obligation and upon receipt of an Issuer Order the Trustee
shall release such amounts from the security granted thereover pursuant to the Trust Deed.
The Issuer shall be required to enter into an Asset Swap Transaction in respect of each Delayed
Drawdown Obligation which is a Non-Euro Obligation (other than where such Delayed Drawdown
Obligation has been purchased with a Class A-2 Advance). Each such Asset Swap Transaction shall
be entered into in respect of the full Principal Balance of such Delayed Drawdown Obligation
(including any Unfunded Amount thereof) and the interim payments payable thereunder shall,
pursuant to the terms of such Asset Swap Transaction, be subject to amendment on an ongoing basis
to reflect changes in the amount of coupon and/or commitment fees receivable by the Issuer in respect
of such Delayed Drawdown Obligation from time to time as amounts are drawn down thereunder.
Participations
The Issuer or the Investment Manager, acting on behalf of the Issuer, may from time to time acquire
Collateral Debt Obligations from Selling Institutions by way of Participation provided that at the time
such Participation is acquired:
(a) the percentage of the Aggregate Collateral Balance that represents Participations entered into
with a single Selling Institution will not exceed the individual and aggregate percentages set
out in the Bivariate Risk Table determined by reference to the credit rating of such Selling
Institution (or any guarantor thereof); and
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(b) the percentage of the Aggregate Collateral Balance that represents Participations entered into
with Selling Institutions (or any guarantor thereof) and Uncollateralised CLNs entered into
with Synthetic Counterparties, each having the same credit rating (taking the lowest rating
assigned thereto by any Rating Agency), will not exceed the aggregate third party credit
exposure limit set out in the Bivariate Risk Table for such credit rating,
and for the purpose of determining the foregoing, account shall be taken of each sub-participation
from which the Issuer, directly or indirectly derives its interest in the relevant Collateral Debt
Obligation.
Assignments
The Issuer or the Investment Manager, acting on behalf of the Issuer, may from time to time acquire
Collateral Debt Obligations from Selling Institutions by way of Assignment provided that at the time
such Assignment is acquired the Issuer or the Investment Manager (acting on behalf of the Issuer)
shall have complied, to the extent within its control, with any requirements relating to such
Assignment set out in the relevant loan documentation for such Collateral Debt Obligation (including,
without limitation, with respect to the form of such Assignment and obtaining the consent of any
person specified in the relevant loan documentation).
Bivariate Risk Table
The following is the bivariate risk table (the “Bivariate Risk Table”) and as referred to in
“Percentage Limitations”, “Synthetic Securities” and “Participations” above and for the purpose of
determining the foregoing, account shall be taken of each sub-participation from which the Issuer,
directly or indirectly derives its interest in the relevant Collateral Debt Obligation so that the Principal
Balance of any Participation which is a sub-participation through which the Issuer derives its interest
will be included in the relevant aggregate below.
Bivariate Risk Table
Long-Term Senior Unsecured
Debt Rating of Selling
Institution/Synthetic
Counterparty*
Long-Term Senior Unsecured
Debt Rating of Selling
Institution/Synthetic
Counterparty*
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Individual Third
Party Credit
Exposure Limit**
Aggregate Third
Party Credit
Exposure Limit**
Moody’s S&P
Aaa AAA 20 per cent. N/A
Aa1 AA+ 10 per cent. 20 per cent.
Aa2 AA 10 per cent. 20 per cent.
Aa3 AA- 10 per cent. 15 per cent.
A1 A+ 5 per cent. 10 per cent.
A2 A 5 per cent. 5 per cent.
A3 N/A 5 per cent. N/A
* Synthetic Counterparties of Uncollateralised CLNs only
** As a percentage of the Aggregate Collateral Balance (excluding Defaulted Obligations) the aggregate third party
credit exposure limit shall be determined by reference to the aggregate of the third party credit exposure of all such
Counterparties which share the same rating level or have a lower rating level, as indicated in the Bivariate Risk
Table.

Introduction
DESCRIPTION OF THE INVESTMENT MANAGEMENT AGREEMENT
The Issuer has appointed Intermediate Capital Managers Limited (“ICML” or the “Investment
Manager”) to provide investment management services pursuant to the Investment Management
Agreement.
The Issuer has, in the Investment Management Agreement, delegated to the Investment Manager the
discretion to select and manage the Portfolio. Pursuant to the Investment Management Agreement, the
Issuer will delegate authority to the Investment Manager to carry out certain of its functions in
relation to the Portfolio without the requirement for specific approval by the Issuer.
The duties of the Investment Manager include selecting the composition of the Portfolio of Collateral
Debt Obligations intended to be acquired on or before the Issue Date and during the Ramp-up Period,
and acting on behalf of the Issuer in connection with the sale of certain Collateral Debt Obligations
and (where permitted or required) the acquisition of Substitute Collateral Debt Obligations.
The Investment Manager is required to monitor the Collateral Debt Obligations with a view to seeking
to determine whether any Collateral Debt Obligation has become a Credit Improved Obligation, a
Credit Impaired Obligation or a Defaulted Obligation, provided that, if it fails to do so, except by
reason of acts constituting bad faith, wilful misconduct or negligence in the performance of its
obligations, no Noteholder shall have any recourse against any of the Issuer, the Investment Manager,
the Collateral Administrator, the Custodian or the Trustee for any loss suffered as a result of such
failure.
In providing services under the Investment Management Agreement, the Investment Manager may
employ third parties, including its Affiliates, to render advice (including investment advice and
assistance), provided however that the Investment Manager shall not be relieved of any of its duties
under the Investment Management Agreement regardless of the performance of any services by third
parties.
Fees
As compensation for its services under the Investment Management Agreement, the Investment
Manager (unless the Investment Manager is ICM, ICG or an Affiliate thereof in which case no
Investment Management fees will be paid) will be entitled to receive an Investment Management Fee,
which will consist of the Senior Investment Management Fee, the Subordinated Investment
Management Fee and the Incentive Investment Management Fee.
The Investment Manager will receive a fee (unless the Investment Manager is ICM, ICG or an
Affiliate thereof), payable in arrear on each Payment Date in accordance with the Priorities of
Payments. A proportion of this fee, equal to 0.125 per cent. per annum of the Average Aggregate
Principal Balance applicable to such Payment Date, (plus any value added tax payable thereon) (the
“Senior Investment Management Fee”) will be payable in priority to interest payments on the
Class A Notes, and the remainder of this fee, equal to 0.5 per cent. per annum of the Average
Aggregate Principal Balance applicable to such Payment Date, (plus any value added tax payable
thereon) (the “Subordinated Investment Management Fee”), will be subordinated to interest
payments on the Rated Notes and certain other amounts in accordance with the Priorities of Payments.
Unless the Investment Manager is ICM, ICG or an Affiliate thereof, in which case no Investment
Management Fees will be paid, any amounts of due but unpaid Senior Investment Management Fee
and Subordinated Investment Management Fee shall bear interest at a rate of EURIBOR plus two per
cent. per annum. The Senior Investment Management Fee, Subordinated Investment Management
Fee and any interest thereon shall be calculated on the basis of the actual number of days for which
such fees or interest are due but unpaid, divided by 360.
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The Incentive Investment Management Fee is an amount payable to the Investment Manager on each
Payment Date, in the event that the Incentive Fee Threshold is satisfied on the related Determination
Date, pursuant to Condition 3(c)(i) and Condition 3(c)(ii) (Priorities of Payment).
Termination and Resignation
Removal for Cause
The Investment Manager may be removed for cause upon ten days’ prior written notice to the
Investment Manager by the Issuer at its own discretion or by the Trustee (if so directed by an
Extraordinary Resolution of the Controlling Class provided that for the purposes of making any such
determination, Notes owned by or on behalf of the Investment Manager and/or one or more Affiliates
thereof and/or any account for which the Investment Manager or any Affiliate thereof acts as
investment adviser and for which the Investment Manager or such Affiliate has discretionary authority
shall be disregarded and be deemed not to be outstanding). For the purposes of the Investment
Management Agreement, “cause” means (i) certain Basic Termination Events (as defined therein)
applying to the Investment Manager, including, amongst others, (A) a failure by the Investment
Manager to comply with or perform any material agreement or obligation to be complied with or
performed in accordance with the Investment Management Agreement and such failure (if
remediable) is not remedied on or before the thirtieth day after written notice of such failure is given
to the Investment Manager, (B) a representation made or deemed to have been made by the
Investment Manager pursuant to the Investment Management Agreement proves to have been
incorrect or misleading in any material respect when made or deemed to have been made and
(C) certain bankruptcy and other insolvency events relating to the Investment Manager, and
(ii) certain Investment Manager Termination Events (as defined therein), including (A) the Investment
Manager or any of its senior executive officers being convicted by a court of competent jurisdiction of
any action that constitutes fraud whilst carrying out their investment management activities, (B) a
default in the payment of principal of or interest on the Notes when due and payable resulting from or
caused by a breach by the Investment Manager of its duties under the Investment Management
Agreement, which breach or default is not cured within any applicable grace period, and (C) on the
most recent Measurement Date, the Class A/B Par Value Ratio failing to equal or exceed 100 per cent.
(for so long as the Class A Notes and Class B Notes are Outstanding). Pursuant to Condition 7(h)
(Redemption upon termination of the Appointment of the Investment Manager) the Investment
Manager (acting in its sole and absolute discretion on behalf of the Issuer) within 90 days of receipt of
notice of termination of its appointment under the Investment Management Agreement, may elect to
redeem the Notes (in whole but not in part) at their respective Principal Amounts Outstanding on the
next following Payment Date. Following such 90 day period, the Trustee shall, as soon as reasonably
practicable, appoint an agent (the “Disposal Agent”) subject to receipt of Rating Agency
Confirmation. The Reinvestment Period will end on the earlier of (i) the date of the Disposal Agent is
appointed and (ii) the 90th day after receipt by the Investment Manager of notice of termination of the
appointment under the Investment Management Agreement. As a result, from such date any Principal
Proceeds and Interest Proceeds received will be applied in redemption of the Notes as specified in the
Conditions. The Disposal Agent will not be authorised to purchase Collateral Debt Obligations. The
Disposal Agent will however, be required to administer the Portfolio as specified in the Investment
Management Agreement and will be authorised to sell Defaulted Obligations, Exchanged Equity
Securities, Collateral Enhancement Obligations (to the extent that such obligations become Margin
Stock), or to exercise any warrant or option attached to a Collateral Debt Obligation or which is
comprised in a Collateral Enhancement Obligation. The Investment Manager undertakes in the
Investment Management Agreement that, should it be terminated for “cause” and a Disposal Agent be
appointed, it shall acting in good faith and in a commercially reasonable manner use all reasonable
endeavours to facilitate the redemption of the Notes either pursuant to a refinancing of the Issuer by
means of a secured loan or otherwise. For the avoidance of doubt whether the terms of any such
refinancing are acceptable to the Investment Manager shall be determined by it in its own discretion.
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Automatic Termination of the Investment Management Agreement
The Investment Management Agreement will automatically terminate upon the earlier to occur of (a)
the payment in full of the Notes and the termination of the Trust Deed in accordance with its terms
and (b) the liquidation of the Collateral and the final distribution of the proceeds of such liquidation as
provided in the Trust Deed, and the Pledge Agreement, if applicable.
Termination at Election of the Investment Manager
The Investment Manager may terminate the Investment Management Agreement by giving 10 days’
written notice to the Issuer on the occurrence (and subject to the continuance) of a Basic Termination
Event (as defined in the Investment Management Agreement) in respect of the Issuer.
Resignation
The Investment Manager may resign upon 45 days’ prior written notice to the Issuer, provided that no
such resignation shall become effective until a substitute investment manager shall have accepted its
appointment as investment manager in respect of the Portfolio.
Substitute Investment Manager
Upon any such removal or resignation of the Investment Manager while any of the Notes are
outstanding, the Issuer shall appoint a substitute investment manager which is an established
institution which (a) has demonstrated an ability to professionally and competently perform duties
similar to those falling to be performed by the Investment Manager and with a substantially similar
(or better) level of expertise, (b) is legally qualified and has the regulatory capacity to act as manager
under the Investment Management Agreement as successor to the Investment Manager in the
assumption of all of the responsibilities, duties and obligations of the Investment Manager thereunder,
(c) will perform its duties under the Investment Management Agreement without causing adverse tax
consequences to the Issuer, (d) has received Rating Agency Confirmation and (e) has been approved
in writing by each Class of Noteholders acting by Extraordinary Resolution and the Shareholder. The
Issuer shall appoint any substitute investment manager that satisfies the foregoing tests, provided that
each Class of Noteholders acting by Extraordinary Resolution and the Shareholder, do not reject the
appointment of such substitute investment manager within 30 days of such appointment.
Where each Class of Noteholders acting by Extraordinary Resolution and the Shareholder shall have
disapproved (within the 30 day time limit) of a proposed successor put forward by the Issuer, the
Issuer may, in its own discretion, within 30 days of such disapproval by the holders of the Controlling
Class, appoint a successor Investment Manager. Upon (i) the holders of the Controlling Class having
disapproved a second proposed successor put forward by the Issuer or (ii) the Issuer having not
proposed a successor Investment Manager within the initial 30-day period set out above or within the
second 30-day period set out above, the holders of the Controlling Class of Notes, acting by
Extraordinary Resolution, will be entitled to direct the Issuer to appoint a successor Investment
Manager, subject to the requirements relating to any successor Investment Manager referred to in (a),
(b), (c) and (d) above having been satisfied.
The Investment Management Fees may be adjusted at the discretion of the Issuer (with the consent of
the Trustee, Rating Agency Confirmation and an Extraordinary Resolution of each Class of
Noteholders) in the event of a replacement or substitute investment manager being appointed in place
of the Investment Manager.
Assignment and Transfer of Role of Investment Manager
The Investment Manager may upon 60 days’ notice to the Issuer, the Trustee, the Collateral
Administrator and the Controlling Class, transfer its rights and obligations under the Investment
Management Agreement to an Affiliate, provided that the Rating Agency Confirmation has been
received prior to and in respect of such transfer.
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Delegation by Investment Manager
The Investment Manager may perform any and all of its duties and exercise its rights and powers by
or through any one or more agents, including any of its Affiliates, selected by the Investment Manager
in accordance with the standard of care to which it is subject under the Investment Management
Agreement, subject to the Investment Manager ensuring that any such agent is subject to no less a
standard of care. For the avoidance of doubt, notwithstanding any use by the Investment Manager of
an agent, the Investment Manager will not be released from any of its obligations under the
Investment Management Agreement nor from any liabilities it would otherwise have thereunder.
Amendments Affecting the Investment Manager
The Issuer has agreed in the Investment Management Agreement that it will not permit any
amendment to the Notes, the Trust Deed, or any other Transaction Document that affects the
obligation, rights or interests of the Investment Manager under this Agreement or any other
Transaction Document including, without limitation, the amount or priority of any fees or other
amounts payable to the Investment Manager, to become effective unless the Investment Manager has
been given prior written notice of such amendment and has consented thereto in writing.
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DESCRIPTION OF THE CLASS A-2 NOTE PURCHASE AGREEMENT
The following, together with Condition 18 (Class A-2 Notes), is a summary of the principal terms of
the Class A-2 Note Purchase Agreement entered into by the Issuer on the Issue Date, which should
not be relied upon as an exhaustive description of the detailed provisions of such document (copies of
which are available from the specified offices of any Transfer Agent).
Noteholders should have regard to the principal terms of the Class A-2 Note Purchase Agreement
which are set out in Condition 18 (Class A-2 Notes) of the Conditions of the Notes. The terms of
Condition 18 are qualified in their entirety by, and should be read in conjunction with, the summary
provided below and the terms of the Class A-2 Note Purchase Agreement.
Purpose
The Class A-2 Note Facility shall only be used by the Issuer for funding the purchase, by or on behalf
of the Issuer, of Collateral Debt Obligations denominated in Euro or in a Class A-2 Currency.
Initial available commitment
The Euro Amount Outstanding of the aggregate amount which may be outstanding in respect of
principal under the Class A-2 Note Purchase Agreement is €195,000,000.
Interest
The rate of interest in respect of the Class A-2 Notes, in respect of the Class A-2 Currency Amount
Outstanding and the Euro Amount Outstanding from time to time will be determined by the
Calculation Agent in accordance with Condition 6(e) (Floating Rate of Interest).
Miscellaneous
The Class A-2 Note Purchase Agreement includes provisions for payments in respect of increased
costs, gross up amounts, expenses and indemnities and other provisions dealing in the matters
commonly dealt with in loan agreements by banks in the United Kingdom.
Special Provisions Applicable to CP Conduits
The Class A-2 Note Purchase Agreement provides for Advances under the Class A-2 Note Facility to
be made or funded directly or indirectly by commercial paper conduits.
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DESCRIPTION OF THE COLLATERAL ADMINISTRATOR
AND THE CALCULATION AGENT
DEUTSCHE BANK AG, LONDON BRANCH
Deutsche Bank Aktiengesellschaft (“Deutsche Bank” or the “Bank”) originated from the
reunification of Norddeutsche Bank Aktiengesellschaft, Hamburg, Rheinisch-Westfällische Bank
Aktiengesellschaft, Dusseldorf and Süddeutsche Bank Aktiengesellschaft, Munich; pursuant to the
Law on the Regional Scope of Credit Institutions, these had been disincorporated in 1952 from
Deutsche Bank which was founded in 1870. The merger and the name were entered in the
Commercial Register of the District Court Frankfurt am Main on 2 May 1957. Deutsche Bank is a
banking institution and a stock corporation incorporated under the laws of Germany under registration
number HRB 30 000. The Bank has its registered office in Frankfurt am Main, Germany. It
maintains its head office at Taunusanlage 12, 60325 Frankfurt am Main and branch offices in
Germany and abroad including in London, New York, Sydney, Tokyo and an Asia-Pacific Head
Office in Singapore which serve as hubs for its operations in the respective regions.
The Bank is the parent company of a group consisting of banks, capital market companies, fund
management companies, a real estate finance company, instalment financing companies, research and
consultancy companies and other domestic and foreign companies (the “Deutsche Bank Group”).
Deutsche Bank AG, London Branch
“Deutsche Bank AG London” is the London branch of Deutsche Bank AG. On 12 January 1973,
Deutsche Bank AG filed in the United Kingdom the documents required pursuant to Section 407 of
the Companies Act 1948 to establish a place of business within Great Britain. On 14 January 1993,
Deutsche Bank registered under Schedule 21A to the Companies Act 1985 as having established a
branch (Registration No. BR000005) in England and Wales. Deutsche Bank AG London is an
authorised person for the purposes of Section 19 of the Financial Services and Markets Act 2000. In
the United Kingdom, it conducts wholesale banking business and through its Private Wealth
Management division, it provides holistic wealth management advice and integrated financial
solutions for wealthy individuals, their families and selected institutions.
As of 30 September 2006, Deutsche Bank’s issued share capital amounted to Euro 1,334,735,508.48
consisting of 521,381,058 ordinary shares of no par value. The shares are fully paid up and in
registered form. The shares are listed for trading and official quotation on all the German Stock
Exchanges. They are also listed on the New York Stock Exchange. The Management Board has
decided to pursue delisting on certain stock exchanges other than Germany and New York in order to
benefit from the integration of financial markets. In respect of the stock exchanges Amsterdam,
Brussels, London, Luxembourg, Paris, Zurich and Tokyo, this decision has completely been
implemented.
As of 30 September 2006, Deutsche Bank Group had total assets of EUR 1,096,546 million, total
liabilities of EUR 1,065,496 million and total shareholders’ equity of EUR 31,050 million on the basis
of United States Generally Accepted Accounting Principles (“U.S. GAAP”).
Deutsche Bank’s long-term senior debt has been assigned a rating of AA- (outlook positive) by
Standard & Poor’s, Aa3 (outlook stable) by Moody’s Investors Services and AA- (outlook stable) by
Fitch Ratings.
Termination and Resignation of Appointment of the Collateral Administrator
Pursuant to the terms of the Collateral Administration Agreement, the Collateral Administrator may
be removed (a) without cause at any time upon 45 days’ prior written notice or (b) with cause
forthwith by the Issuer or the Trustee at its discretion or acting upon the directions of the holders of
each Class of Notes, acting independently by Ordinary Resolution, to the Collateral Administrator. In
addition the Collateral Administrator may also resign its appointment without cause on 90 days’ prior
written notice and with cause on 10 days’ prior written notice to the Issuer. No resignation or removal
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of the Collateral Administrator will be effective until a successor collateral administrator has been
appointed pursuant to the terms of the Collateral Administration Agreement.
Termination and Resignation of Appointment of the Calculation Agent
Pursuant to the terms of the Agency Agreement, the appointment of the Calculation Agent may be
terminated (a) by the Issuer on at least 45 days’ prior notice, (b) on the insolvency of the Calculation
Agent and (c) on the resignation of the Calculation Agent on at least 45 days’ prior written notice. In
the case of (a) above, such notice shall not be effective until a new Calculation Agent approved by the
Issuer has been appointed. In the case of paragraph (c) above, if a replacement Calculation Agent is
required and has not been duly appointed by the tenth day before the expiration of such notice, the
Calculation Agent may itself, with the prior written consent of the Trustee, appoint as its replacement
any reputable and experienced financial institution.
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1. MONTHLY REPORTS
DESCRIPTION OF THE REPORTS
The Collateral Administrator will, not later than the last calendar day of August 2007 in the
case of the first Monthly Report and thereafter no later than the final Business Day of each
month, on behalf of the Issuer and in consultation with the Investment Manager, compile and
provide to the Issuer, the Trustee, the Investment Manager, the Irish Transfer and Paying
Agent, the Liquidity Facility Provider and the Rating Agencies and, upon written request
therefor in the form set out in the Agency Agreement to such holder, a monthly report (the
“Monthly Report”), which shall contain the following information with respect to the
Collateral Debt Obligations, determined by the Collateral Administrator as of the last day of
the month:
1.1 Portfolio
(a) subject to any confidentiality obligations binding on the Issuer, the Aggregate
Collateral Balance and the Principal Balance, annual interest rate, stated maturity,
industry, rating as at the date of acquisition, current rating and rating as at the date of
the previous Report (if applicable) (but not any confidential credit estimate) of and
Obligor under each Collateral Debt Obligation, Eligible Investment and Collateral
Enhancement Obligation;
(b) subject to any confidentiality obligations binding on the Issuer, the identity of any
Collateral Debt Obligations, Collateral Enhancement Obligations and Exchanged
Equity Securities that were released for sale or other disposition from the Portfolio or
that were acquired into the Portfolio since the date of determination of the last
Monthly Report or Note Valuation Report, whichever is the most recent;
(c) subject to any confidentiality obligations binding on the Issuer, the purchase or sale
price of each Collateral Debt Obligation and Collateral Enhancement Obligation
acquired and/or sold since the date of determination of the last Monthly Report or the
Note Valuation Report, whichever is the most recent, and the identity of the
purchasers or sellers thereof, if any, that are Affiliates of the Issuer or the Investment
Manager;
(d) subject to any confidentiality obligations binding on the Issuer, the identity of each
Collateral Debt Obligation which became a Defaulted Obligation or in respect of
which an Exchanged Equity Security has been received since the date of
determination of the last Monthly Report or the Note Valuation Report, whichever is
the most recent;
(e) each payment made or received on behalf of the Issuer in relation to each Collateral
Debt Obligation, the Account from or into which it was paid, the transaction type and
the nature of such payment (including without limitation if it constitutes sale proceeds
or purchase price, purchased accrued interest, premium/discount, sold accrued
interest, fees and expenses, principal amounts or interest received);
1.2 Accounts
(a) the nature, source and amount of any funds standing to the credit of the Euro
Principal Account, the Class A-2 Currency Principal Account, the Euro Interest
Account and the Class A-2 Currency Interest Account received since the date of
determination of the last Monthly Report or Note Valuation Report, whichever is the
most recent;
(b) the amount of any funds standing to the credit of each of the other Accounts;
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1.3 Interest Rate Hedge Transactions
(a) the outstanding notional amount as defined in the applicable Interest Rate Hedge
Transaction;
(b) the amount scheduled to be received and paid by the Issuer in respect of each Interest
Rate Hedge Transaction on or about the next Payment Date;
1.4 Asset Swap Transactions
(a) the outstanding notional amount as defined in the applicable Asset Swap Transaction;
(b) the amount scheduled to be received and paid by the Issuer in respect of each Asset
Swap Transaction on or about the next Payment Date;
1.5 Portfolio Currency Hedge Transactions
(a) the outstanding notional amount as defined in the applicable Portfolio Currency
Hedge Transaction;
(b) the amount scheduled to be received and paid by the Issuer in respect of each
Portfolio Currency Hedge Transaction on or about the next Payment Date;
1.6 Liquidity Facility Agreement
(a) the Liquidity Facility Drawn Amount under the Liquidity Facility;
(b) the amount scheduled to be paid by the Issuer in respect of the Liquidity Facility
Agreement on or about the next Payment Date;
1.7 Coverage Tests, Reinvestment Test, Collateral Quality Tests and Percentage Limitations
(a) each Interest Coverage Ratio, the ratio required in order for such test to be satisfied
and a statement as to whether each Interest Coverage Test is satisfied;
(b) each Par Value Ratio, the ratio required in order for each Par Value Test to be
satisfied and a statement as to whether each Par Value Test and the Reinvestment
Test is satisfied;
(c) the ratio obtained by dividing (i) an amount equal to the Aggregate Collateral Balance
by (ii) the sum of the Principal Amount Outstanding of the Class A Notes (as
determined by the Collateral Administrator);
(d) details of the results of each Collateral Quality Test, the relevant level required in
order for each such test to be satisfied and a statement as to whether each such test is
satisfied;
(e) details of the composition of the Portfolio broken down by reference to each
Percentage Limitation and by reference to each type of obligation, characteristic or
requirement specified therein, the requirements imposed by each such Percentage
Limitation and a statement as to whether each limit of such Percentage Limitation is
satisfied;
(f) the Aggregate Principal Balance of any PIK Obligations or PIYC Obligations; and
(g) details of any Collateral Debt Obligation payments which are subject to any
withholding tax.
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2. NOTE VALUATION REPORT
The Collateral Administrator, on behalf of the Issuer and in consultation with the Investment
Manager, shall render a semi-annual report (the “Note Valuation Report”), prepared and
determined as of each Determination Date, and deliver it to the Investment Manager, the Irish
Transfer and Paying Agent, the Issuer, the Trustee, any holder of a beneficial interest in any
Note (upon written request therefor in the form set out in the Agency Agreement) and the
Rating Agencies not later than the second Business Day preceding the related Payment Date.
Upon issue of each Note Valuation Report, the Collateral Administrator, in the name and at
the expense of the Issuer, shall notify the Irish Stock Exchange of the aggregate principal
amount of the Notes of each Class outstanding after giving effect to the principal payments, if
any, on the next Payment Date. The Note Valuation Report shall contain the following
information:
3.1 Portfolio
3.2 Notes
(a) subject to any confidentiality provisions binding on the Issuer, the aggregate of the
Principal Balances of respectively, the Collateral Debt Obligations and Collateral
Enhancement Obligations as of the close of business on such Determination Date and
on the Effective Date;
(b) subject to any confidentiality provisions binding on the Issuer, a list of the Collateral
Debt Obligations and Collateral Enhancement Obligations indicating the Principal
Balance and Obligor of each;
(a) the Principal Amount Outstanding at the Issue Date, the Principal Amount
Outstanding immediately prior to the corresponding Payment Date, amounts to be
paid in redemption on such Payment Date, the Principal Amount Outstanding
immediately subsequent to such Payment Date and such Principal Amount
Outstanding expressed as a percentage of the Principal Amount Outstanding at the
Issue Date, for each Class of Notes.
(b) the interest payable in respect of each Class of Notes on the related Payment Date (in
the aggregate and by Class);
3.3 Payment Date Payments
(a) the amounts payable pursuant to Condition 3(c)(i) (Interest Priority of Payments),
Condition 3(c)(ii) (Principal Priority of Payments) and Condition 3(c)(iii) (Collateral
Enhancement Obligation Priority of Payments) on the related Payment Date;
(b) the Trustee Fees and Expenses and Administrative Expenses payable on the related
Payment Date on an itemised basis;
3.4 Accounts
(a) the amount standing to the credit of the Euro Principal Account, the Class A-2
Currency Principal Account, the Euro Interest Account and the Class A-2 Currency
Interest Account at the end of the related Due Period;
(b) the amount standing to the credit of the Euro Principal Account, the Class A-2
Currency Principal Account, the Euro Interest Account and the Class A-2 Currency
Interest Account immediately after all payments and deposits to be made on the next
Payment Date;
(c) the amount standing to the credit of the other Accounts at the end of the related Due
Period.
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3.5 Interest Rate Hedge Transactions
The information required pursuant to paragraphs (a) and (b) in the section entitled “Interest
Rate Hedge Transactions” in paragraph 1 (Monthly Reports).
3.6 Asset Swap Transactions and Portfolio Currency Hedge Transactions
The information required pursuant to paragraphs (a) and (b) in the section entitled “Asset
Swap Transactions” and “Portfolio Currency Hedge Transactions” in paragraph 1 (Monthly
Reports);
3.7 Coverage Tests, Reinvestment Test, Collateral Quality Tests and Percentage Limitations
The information required in respect of the Coverage Tests, Reinvestment Test, Collateral
Quality Tests and Percentage Limitations specified in paragraph 1 (Monthly Reports).
4. REPORTS
4.1 Portfolio
(a) the approximate aggregate market value (as determined by the Investment Manager)
of the Collateral Debt Obligations and Collateral Enhancement Obligations as of the
preceding month end;
(b) subject to any confidentiality obligations binding on the Issuer, the identity of each
Collateral Debt Obligation that became a Defaulted Obligation or that experienced a
rating change since the last such report;
4.2 Class A-1 Notes, Class A-2 Notes, Class A-3 Notes, Class B-1 Notes, Class B-2 Notes,
Class C Notes and Class D Notes
The Interest Amount payable in respect of the Class A-1 Notes, the Class A-2 Notes, the
Class A-3 Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes or the Class D
Notes.
4.3 Coverage Ratios
Each Interest Coverage Ratio and Par Value Ratio as of the close of business on the related
Measurement Date and as of the date of each purchase, sale or other disposition of Collateral
Debt Obligations since the date of determination of the last report.
4.4 Interest
All interest scheduled to be received in the Due Period prior to each Payment Date as well the
Balance standing to the credit of the Euro Interest Account and the Class A-2 Currency
Interest Account.
5. REPORTS UNDER THE GERMAN INVESTMENT TAX ACT
In addition to the above, in order for the Issuer to prepare a supplemental report for the
purposes of compliance with the minimum reporting requirements of the German
Investment Tax Act (Investmentsteuergesetz) if at all necessary, the Collateral Administrator
will use its reasonable endeavours to make available to the Issuer such other information
relating to the Portfolio as the Issuer may reasonably request (following prior consultation
with the Collateral Administrator) to the extent that such information is already in the
possession of the Collateral Administrator by virtue of its acting as Collateral Administrator
hereunder, and to the extent that the Collateral Administrator is legally permitted to provide
such information to the Issuer. Such data shall be in such format, (after consultation with the
Issuer) as the systems of the Collateral Administrator are capable of producing.
____________________________
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Each Report and any reports under the German Investment Tax Act shall state that it is for
informational purposes only, that certain information included in the Report is estimated,
approximated or projected and that the Report is provided without any representations or warranties
as to accuracy or completeness and that none of the Issuer, the Trustee, the Investment Manager, the
Initial Purchaser, the Agents or the Collateral Administrator will have any liability for such estimates,
approximations or projections.
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1. CURRENCY HEDGING
1.1 Hedging Requirements
HEDGING ARRANGEMENTS
The Issuer (or the Investment Manager on behalf of the Issuer) may purchase Non-Euro
Obligations which are other than Class A-2 Currency Obligations, provided that, with effect
from the settlement date of acquisition thereof, the Issuer enters into an Asset Swap
Transaction with a notional amount in the relevant currency equal to the aggregate principal
amount of such obligation.
The Issuer (or the Investment Manager on behalf of the Issuer) shall be authorised to purchase
Class A-2 Currency Obligations provided that they are purchased with Class A-2 Currency
Issue Proceeds from the Class A-2 Notes and/or amounts standing to the credit of the
Class A-2 Currency Principal Account. The exchange risk in respect of the remaining
Class A-2 Currency Obligations will be hedged by the Class A-2 Currency Amount
Outstanding and the Euro Amount Outstanding of the Class A-2 Notes which may be
increased and/or decreased pursuant to the terms of such Notes in accordance with the
Portfolio Currency Hedge Requirements.
1.2 Asset Swap Transactions
Pursuant to the terms of each Asset Swap Transaction, initial and final principal exchanges
will be made to fund the Issuer’s acquisition of the related Asset Swap Obligation and convert
the interest and principal proceeds received in respect thereof at the exchange rate specified
for such transaction. The entry into any such Asset Swap Transaction shall, save in the case
of Form-Approved Asset Swaps, be subject to receipt of Rating Agency Confirmation and
shall in addition be subject to there being no withholding or deduction for or on account of
any tax required in respect of any payments by either party to such Asset Swap Transaction at
the time of entry into such transaction.
Interest accrued on any PIK Obligation or any PIYC Obligation shall be the subject of an
Asset Swap Transaction to the extent accrued prior to the date of acquisition thereof and
purchased with Principal Proceeds, but not to the extent accrued at any time thereafter.
The Issuer shall only be obliged to pay to any relevant Asset Swap Counterparty such
amounts as it actually receives in respect of any Asset Swap Obligation and shall not under
any circumstances be obliged to pay any additional amounts to an Asset Swap Counterparty
in respect thereof.
The Investment Manager (acting on behalf of the Issuer) shall instruct the Administrator to
convert all amounts received by it in respect of any Non-Euro Obligation (other than any
Class A-2 Currency Obligation) which is not the subject of a related Asset Swap Transaction
into Euro promptly upon receipt thereof at the then applicable Spot Rate of Exchange and
shall procure that such amounts are paid into the Euro Principal Account or the Euro Interest
Account, as applicable, determined by reference to the nature of the payments so received.
For purposes of the Coverage Tests, the Percentage Limitations, the Minimum Weighted
Average Timely Spread Test, the Minimum Weighted Average PIK Test and the CDO
Monitor Test, an Asset Swap Obligation shall be included as a Collateral Debt Obligation
having the relevant characteristics of the related Asset Swap Transaction and not of the
related Asset Swap Obligation, unless the Investment Manager (acting on behalf of the Issuer)
determines otherwise and receives Rating Agency Confirmation in respect of such
determination.
For purposes of the Collateral Quality Tests other than the Minimum Weighted Average
Timely Spread Test, the Minimum Weighted Average PIK Test and the CDO Monitor Test,
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an Asset Swap Obligation shall be included as a Collateral Debt Obligation having the
relevant characteristics of the related Asset Swap Obligation and not of the related Asset
Swap Transaction, except to the extent needed to calculate the weighted averages, unless the
Investment Manager (acting on behalf of the Issuer), determines otherwise and receives
Rating Agency Confirmation in respect of such determination.
1.3 Replacement Asset Swap Transactions
In the event that any such Asset Swap Transaction terminates in whole at any time in
circumstances in which the applicable Asset Swap Counterparty is the “Defaulting Party” or
sole “Affected Party” (as defined in the applicable Asset Swap Transaction) the Issuer, or the
Investment Manager on its behalf, shall use commercially reasonable efforts to enter into a
Replacement Asset Swap Transaction on substantially the same terms as such Asset Swap
Transaction within 30 days of the termination thereof with a counterparty which (or whose
guarantor) satisfies the applicable Rating Requirement.
In the event of termination of an Asset Swap Transaction in the circumstances referred to
above, any Asset Swap Termination Receipts payable by the Asset Swap Counterparty to the
Issuer will be paid into the Hedge Termination Account and shall be applied towards the costs
of entry into a Replacement Asset Swap Transaction, together with, where necessary, Interest
Proceeds that are available for such purpose on any Payment Date pursuant to the Priorities of
Payments, subject to receipt of Rating Agency Confirmation, save:
(a) where the Issuer, following consultation with the Investment Manager, determines
not to replace such Asset Swap Transaction and Rating Agency Confirmation is
received in respect of such determination; or
(b) where termination of the Asset Swap Transaction occurs on a Redemption Date
pursuant to Conditions 7 (Redemption) or 10 (Events of Default); or
(c) to the extent that such Asset Swap Termination Receipts are not required for
application towards the costs of entry into such Replacement Asset Swap
Transaction,
in which event such Asset Swap Termination Receipts shall be withdrawn from the Hedge
Termination Account and paid into the Euro Principal Account and shall constitute
Unscheduled Principal Proceeds.
In the event that the Issuer receives any Asset Swap Replacement Receipt upon entry into a
Replacement Asset Swap Transaction, such amount shall be paid into the Hedge Termination
Account and applied directly by the Investment Manager (acting on behalf of the Issuer) in
payment of any Asset Swap Termination Payment payable upon termination of the Asset
Swap Transaction being so replaced. To the extent not fully paid out of Asset Swap
Replacement Receipts, any Asset Swap Termination Payment payable by the Issuer shall be
paid to the Asset Swap Counterparty on the next Payment Date in accordance with the
Priorities of Payments. To the extent not required for making any such Asset Swap
Termination Payment, such Asset Swap Replacement Receipts shall be withdrawn from the
Hedge Termination Account and paid into the Euro Principal Account and shall constitute
Principal Proceeds.
In the event that a Replacement Asset Swap Transaction cannot be entered into in such
circumstances, the Investment Manager, acting on behalf of the Issuer, shall sell the
applicable Asset Swap Obligation, pay the proceeds thereof to the Asset Swap Counterparty,
to the extent required pursuant to the terms of such Asset Swap Transaction and/or to the
extent not so required shall convert all or part of such proceeds, as applicable, into Euro and
shall pay them into the Euro Principal Account. In the event that such proceeds are
insufficient to pay any termination payment to an Asset Swap Counterparty in full, such
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amount, including any Defaulted Asset Swap Termination Payment, shall be paid out of
Interest Proceeds and Principal Proceeds on the next following Payment Date in accordance
with the Priorities of Payments.
1.4 Portfolio Currency Hedge Transactions
The exchange rate risk in relation to the Class A-2 Currency Obligations shall be hedged
using a combination of the currency flexibility in the Class A-2 Notes and certain portfolio
currency hedge transactions, which may be in the form of options or other derivative
instruments, entered into by the Issuer with the Portfolio Currency Hedge Counterparty or
from time to time in accordance with the Portfolio Currency Hedge Requirements set out in
the Investment Management Agreement.
Other than the Portfolio Currency Hedge Transactions set out in the Investment Management
Agreement, any additional or replacement portfolio currency hedge transactions proposed to
be entered into by the Issuer after the Issue Date shall be subject to Rating Agency
Confirmation.
2. INTEREST RATE HEDGING
2.1 Interest Rate Hedge Transactions
The Issuer, taking into account the advice of the Investment Manager, may enter into one or
more Interest Rate Hedge Transactions with an Interest Rate Hedge Counterparty (provided
that the Interest Rate Hedge Counterparty satisfies the applicable Rating Requirement) in
order to manage the interest rate and other risks in connection with the Issuer’s issuance of,
and making of payments on, the Notes and ownership and disposition of the Collateral Debt
Obligations. Interest Rate Hedge Transactions may be interest rate cap transactions (where
the Issuer purchases the right to receive payments based on a notional amount to the extent
the applicable floating rate index exceeds a pre-determined fixed rate interest rate) and
interest rate swap transactions (pursuant to which the Issuer will agree to pay a
pre-determined fixed interest rate and receive a floating rate of interest based on a notional
amount, or vice-versa).
The entry into any Interest Rate Hedge Transaction shall be subject to receipt of Rating
Agency Confirmation and shall in addition be subject to there being no withholding or
deduction for any tax required in respect of any payments by either party to such Interest Rate
Hedge Transaction at the time of entry into such transaction.
2.2 Replacement Interest Rate Hedge Transactions
In the event that any Interest Rate Hedge Transaction terminates in whole at any time in
circumstances in which the Interest Rate Hedge Counterparty is the “Defaulting Party” or sole
“Affected Party” (as defined in the applicable Interest Rate Hedge Transaction) the Issuer, or
the Investment Manager on its behalf, shall use commercially reasonable efforts to enter into
a Replacement Interest Rate Hedge Transaction on substantially the same terms as such
Interest Rate Hedge Transaction within 30 days of the termination thereof with a counterparty
which (or whose guarantor) satisfies the applicable Rating Requirement.
In the event of termination of an Interest Rate Hedge Transaction in the circumstances
referred to above, any Interest Rate Hedge Termination Receipts payable by the Interest Rate
Hedge Counterparty to the Issuer will be paid into the Hedge Termination Account and shall
be applied towards the costs of entry into a Replacement Interest Rate Hedge Transaction,
together with, where necessary, Interest Proceeds that are available for such purpose on any
Payment Date pursuant to the Priorities of Payments, subject to receipt of Rating Agency
Confirmation, save:
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(a) where the Issuer, following consultation with the Investment Manager, determines
not to replace such Interest Rate Hedge Transaction and Rating Agency Confirmation
is received in respect of such determination; or
(b) where termination of the Interest Rate Hedge Transaction occurs on a Redemption
Date pursuant to Conditions 7 (Redemption) or 10 (Events of Default); or
(c) to the extent that such Interest Rate Hedge Termination Receipts are not required for
application towards the costs of entry into such Replacement Interest Rate Hedge
Transaction,
in which event such Interest Rate Hedge Termination Receipts shall be withdrawn from the
Hedge Termination Account and paid into the Euro Principal Account and shall constitute
Unscheduled Principal Proceeds.
In the event that the Issuer receives any Interest Rate Hedge Replacement Receipt upon entry
into a Replacement Interest Rate Hedge Transaction, such amount shall be paid into the
Hedge Termination Account and applied directly by the Investment Manager (acting on
behalf of the Issuer) in payment of any Interest Rate Hedge Termination Payment payable
upon termination of the Interest Rate Hedge Transaction being so replaced. To the extent not
fully paid out of Interest Rate Hedge Replacement Receipts, any Interest Rate Hedge
Termination Payment payable by the Issuer shall be paid to the Interest Rate Hedge
Counterparty on the next Payment Date in accordance with the Priorities of Payments. To the
extent not required for making any such Interest Rate Hedge Termination Payment, such
Interest Rate Hedge Replacement Receipts shall be withdrawn from the Hedge Termination
Account and paid into the Euro Principal Account and shall constitute Principal Proceeds.
3. COUNTERPARTY RATING DOWNGRADE REQUIREMENTS
In the event that any Rated Notes remain Outstanding and the applicable ratings of the
Interest Rate Hedge Counterparty or any Asset Swap Counterparty (each, a “Swap
Counterparty”) at any time fall below the applicable Rating Requirement or are withdrawn,
the applicable Swap Counterparty shall, within 30 days of the date of such downgrade or
withdrawal, take such steps (such as the posting of collateral with the Issuer or the transfer of
its rights and obligations under the Interest Rate Hedge Transaction or any Asset Swap
Transaction to which it is party (each, a “Swap Transaction”) to another entity) as required
by the terms of the relevant Swap Transaction, subject to receipt of Rating Agency
Confirmation.
4. TRANSFER AND MODIFICATION OF ASSET SWAP TRANSACTIONS AND
INTEREST RATE HEDGE TRANSACTIONS
The Investment Manager, acting on behalf of the Issuer, may not modify any Asset Swap
Transaction or any Interest Rate Hedge Transaction without Rating Agency Confirmation in
relation to such modification. An Asset Swap Counterparty may transfer its obligations under
an Asset Swap Transaction and the Interest Rate Hedge Counterparty may transfer its
obligations under an Interest Rate Hedge Transaction to any institution provided however that
such entity satisfies the applicable Rating Requirement.
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DESCRIPTION OF THE LIQUIDITY FACILITY AGREEMENT
The Issuer, the Liquidity Facility Provider, the Investment Manager, the Trustee and the Collateral
Administrator will enter into the Liquidity Facility Agreement (the “Liquidity Facility”), pursuant to
which the Issuer (or the Investment Manager on behalf of the Issuer), subject to satisfaction of certain
conditions, may notify the Liquidity Facility Provider of the amounts it requires to draw under the
Liquidity Facility in order to pay amounts due and payable in respect of the Rated Notes pursuant to
the Interest Priority of Payments on any Payment Date including any payments required to be made
prior thereto in accordance with the Interest Priority of Payments.
The Liquidity Facility Provider must satisfy the applicable Rating Requirement from time to time.
The term of the Liquidity Facility is from the Issue Date to the date falling 364 calendar days after the
Issue Date (the “Liquidity Facility Commitment Period”), though the Liquidity Facility
Commitment Period may be extended at the request of the Issuer or the Investment Manager with the
consent of the Liquidity Facility Provider, until the Payment Date falling on or about 15 July 2024
and in accordance with the provisions of the Liquidity Facility Agreement.
The maximum amount which may be drawn by the Issuer under the Liquidity Facility is an amount
equal to (i) €30,000,000 (the “Liquidity Facility Commitment”) minus (ii) the aggregate amount in
Euro (for which purpose amounts drawn in a Class A-2 Currency which will be converted into Euro at
the Multi-Currency Exchange Rate) drawn under the Liquidity Facility, less any sums repaid in
respect thereof as of such date (such amount the “Liquidity Facility Available Commitment”).
Payments due to the Liquidity Facility Provider shall be made as permitted by the Conditions and/or
in accordance with the Priorities of Payments on subsequent Payment Dates until repaid in full, in
such amounts and in such manner as more specifically set out in the Liquidity Facility Agreement and
subject to amounts being available for the purpose.
Interest on drawings outstanding under the Liquidity Facility Agreement from time to time will be
payable as permitted by the Conditions and/or semi annually in arrear on each Payment Date and will
accrue at EURIBOR plus 0.60 per cent. per annum in respect of Liquidity Facility Drawn Amounts
denominated in Euro and at 0.60 per cent. per annum in respect of Liquidity Facility Drawn Amounts
denominated in a Class A-2 Currency.
Repayments of the Liquidity Facility Drawn Amounts and payments of interest thereon rank prior to
all amounts payable in respect of the Notes.
The obligation of the Liquidity Facility Provider to provide a drawdown on any drawdown date is
subject to the conditions precedent that on both the date of the drawdown request and the drawdown
date for that drawdown no default is outstanding or would result from such drawdown.
Extension of Initial Liquidity Facility Commitment Period
The Issuer or the Investment Manager on behalf of the Issuer (copied in each case to the Trustee) will
deliver, not more than 45 Business Days nor fewer than 20 Business Days before the expiry of a
Liquidity Facility Commitment Period, an irrevocable request that such Liquidity Facility
Commitment Period be extended (an “Extension Request”) to such future date as specified in such
Extension Request being either (a) a date falling no later than 364 days after the expiry of the then
existing Liquidity Facility Commitment Period or (b) if earlier, the Payment Date falling on or about
15 July 2024.
If the Liquidity Facility Provider wishes to accept such a request to extend the Liquidity Facility
Commitment Period, it shall, not later than the date that is 10 calendar days before the last day of the
then current Liquidity Facility Commitment Period, deliver to the Issuer (copied to the Trustee and
the Investment Manager) an irrevocable notice (a “Notice of Extension”) that it has consented to the
request contained in the Extension Request.
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If the Liquidity Facility Provider does not send a Notice of Extension, the Issuer or the Investment
Manager will deliver a Drawdown Request for the whole undrawn amount (copied to the Trustee).
Revolving Drawings
The Issuer (or the Investment Manager on behalf of the Issuer) may request that revolving drawings
be made on any day within the Liquidity Facility Commitment Period (and subject to the terms of the
Liquidity Facility Agreement) in an amount not exceeding the lesser of:
(i) the Liquidity Facility Available Commitment, taking into account any drawings scheduled to
be repaid prior to the drawdown date and subject to receipt of confirmation from the
Collateral Administrator that there will be sufficient amounts in the Euro Interest Account
and/or the Class A-2 Currency Interest Account to make such repayments in full on such date;
and
(ii) (A) in relation to a revolving Drawing in Euro, the Accrued Collateral Debt Obligation
Interest, in respect of Collateral Debt Obligations not denominated in a Class A-2 Currency,
and (B) in relation to a revolving Drawing in a Class A-2 Currency, the Accrued Collateral
Debt Obligation Interest, in respect of Collateral Debt Obligations denominated in a Class A-
2 Currency, in each case as of the Determination Date occurring immediately prior to such
Payment Date,
Standby Drawings
The Liquidity Facility Available Commitment may, subject to terms of the Liquidity Facility
Agreement, be utilised and drawn down by delivery to the Liquidity Facility Provider (copied to the
Collateral Administrator and the Trustee) by the Issuer or the Investment Manager, acting on its
behalf, of a duly completed drawdown request (the “Drawdown Request”) on two Business Days’
notice or in the case of a currency other than Euro, USD or GBP, three Business Days notice if:
(a) the Liquidity Facility Provider does not send a Notice of Extension following the delivery of
an Extension Request by the Issuer or the Investment Manager within the period specified
above; or
(b) on any day, the Liquidity Facility Provider no longer satisfies the Rating Requirement
applicable thereto (such Liquidity Facility Provider, the “Downgraded Liquidity Facility
Provider”) and a guarantee, a letter of credit or an indemnity in respect of the Downgraded
Liquidity Facility Provider’s obligations under the Liquidity Facility Agreement cannot be
provided by an entity meeting the Rating Requirement.
Each Drawdown Request for a standby drawing is irrevocable and will not be regarded as having been
duly completed unless:
(a) the proposed drawdown date is to be made is a Business Day within the applicable
commitment period; and
(b) the amount of the standby drawing is equal to the Liquidity Facility Available Commitment at
the date of such Drawdown Request.
The Liquidity Facility Provider shall advance the required amount to the Issuer through its facility
office forthwith upon receipt of a Drawdown Request and upon making a standby drawing, the Issuer
shall forthwith credit the standby drawing received to the relevant sub account of the Standby
Liquidity Account.
Amounts from time to time standing to the credit of the Standby Liquidity Account shall belong to the
Issuer. The Liquidity Facility Provider or, as the case may be, the Downgraded Liquidity Facility
Provider shall not have any proprietary or security interest save as permitted under the Trust Deed.
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Without prejudice thereto, the Issuer shall only make withdrawals from the Standby Liquidity
Account:
(a) in such circumstances and in such amount as it would otherwise have been able to make a
revolving drawing; and/or
(b) in order to repay a standby drawing,
but not otherwise, and the amount of the Liquidity Facility Provider’s standby drawing shall be
reduced by the amount of such withdrawals and any such withdrawal shall be deemed to be a
revolving drawing.
Any standby drawing (or part thereof) shall be repaid to the Downgraded Liquidity Facility Provider
or, in the event that a Notice of Extension was not sent, the Liquidity Facility Provider, together with
accrued interest thereon as follows:
(a) on the date on which all moneys and other liabilities due or owing by the Issuer in accordance
with the Trust Deed have been repaid in full;
(b) on the day when the amounts outstanding under the Liquidity Facility become accelerated and
repayable in full;
(c) where a Drawdown Request was delivered or was deemed to have been delivered, on the
second Business Day after the Downgraded Liquidity Facility Provider has given notice to the
Issuer, the Trustee and the Investment Manager that it satisfies the Rating Requirement in
full, provided that a Notice of Extension had been given by the Liquidity Facility Provider;
(d) where a Drawdown Request was delivered or was deemed to have been delivered, on the
second Business Day after the Downgraded Liquidity Facility Provider has caused an entity
meeting the Rating Requirement to guarantee or provide a letter of credit or an indemnity in
respect of its obligations, provided that a Notice of Extension had been given by the Liquidity
Facility Provider; and
(e) on any day on which the Liquidity Facility Commitment for the Liquidity Facility Provider is
transferred in accordance with the terms of the Liquidity Facility Agreement, in an amount
equal to the proportion of such Liquidity Facility Commitments so transferred,
provided that, if the repayment pursuant to paragraphs (c), (d) or (e) above would result in the Issuer
incurring breakage costs, then repayment shall occur on the first day following such day on which the
Issuer would not incur such breakage costs.
Termination/Assignment
The Liquidity Facility Agreement may only be terminated by the Liquidity Facility Provider if (a) the
Issuer fails to pay any amount due thereunder on its due date provided that where any non payment is
a result of a technical problem, such failure continues for a period of three Business Days of its due
date, (b) Enforcement Action is taken by the Trustee pursuant to Condition 11(b) (Enforcement), (c) if
it becomes unlawful for the Issuer to perform any of its obligations under the Liquidity Facility
Agreement or (d) the Issuer becomes subject to insolvency proceedings.
The Liquidity Facility Provider may transfer its interest under the Liquidity Facility Agreement
provided the transferee is a financial institution, and the prior consent of the Issuer and the Trustee is
obtained.
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General
TAX CONSIDERATIONS
Purchasers of Notes may be required to pay stamp taxes and other charges in accordance with the
laws and practices of the country of purchase in addition to the issue price of each Note.
Potential purchasers who are in any doubt about their tax position on purchase, ownership, transfer or
exercise of any Note should consult their own tax advisers. In particular, no representation is made
as to the manner in which payments under the Notes would be characterised by any relevant taxing
authority. Potential investors should be aware that the relevant fiscal rules or their interpretation may
change, possibly with retrospective effect, and that this summary is not exhaustive. This summary
does not constitute legal or tax advice or a guarantee to any potential investor of the tax consequences
of investing in the Notes.
United Kingdom Taxation
The following is a general summary of the Issuer’s understanding of current law and practice in the
United Kingdom relating to the taxation of the Notes. Except as mentioned below as regards
withholding tax and as regards stamp duty and stamp duty reserve tax, it relates only to the position of
persons who are the absolute beneficial owners of the Notes and, other than in relation to withholding
tax, may not apply to certain classes of persons such as dealers. The summary should therefore be
treated with appropriate caution. Noteholders who are in any doubt as to their tax position or who may
be subject to tax in a jurisdiction other than the United Kingdom should consult their professional
advisers.
United Kingdom Withholding Tax
While the Notes continue to be listed on a “recognised stock exchange” within the meaning of
section 1005 of the Income Tax Act 2007 (formerly section 841 of the Income and Corporation Taxes
Act 1988) (the Irish Stock Exchange is so recognised) payments of interest may be made without
withholding or deduction for or on account of United Kingdom income tax.
If the Notes cease to be listed, interest on the Notes may be paid subject to deduction or withholding
for or on account of United Kingdom income tax at the lower rate (currently 20 per cent.) subject to
such relief as may be available under the provisions of any applicable double taxation treaty. Certain
Noteholders including United Kingdom resident companies and exempt United Kingdom pension
funds will continue to be entitled to receive interest without deduction or withholding.
The Finance Bill 2007 (as brought from the House of Commons and ordered to be printed on 27 June
2007) contains provisions in clause 109 and Schedule 26 for a new revised statutory definition of the
expression “listed of a recognised stock exchange” to confirm this expression more closely with the
provisions relating to the market regulation of securities in the United Kingdom and other EU member
states (including the Admissions Directive (79/279/EEC)).
Whilst it does not appear to be the United Kingdom Government’s intention substantially to amend
the United Kingdom tax law relating to the “quoted Eurobond” exemption (in the case of securities
admitted by Irish Financial Services Regulatory Authority for trading on the main market of the Irish
Stock Exchange), Noteholders should be aware that the draft legislation is subject to amendment and
there is no guarantee that it will not be enacted in a form adverse to the interests of Noteholders,
although the Issuer has been advised that this result is highly unlikely.
Direct Assessment of Non-United Kingdom Resident Noteholders to United Kingdom Tax
Interest on the Notes may be within the charge to United Kingdom tax even if such payments are
made without withholding or deduction on account of United Kingdom income tax. By way of an
exception to this, such payments will not be chargeable to United Kingdom tax in the hands of a
Noteholder who is not resident for tax purposes in the United Kingdom unless such person carries on
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a trade, profession or vocation in the United Kingdom through a United Kingdom branch or agency or
(in the case of Companies) a permanent establishment in connection with which the income is
received or to which the Notes are attributable. Such payments may also be chargeable to United
Kingdom tax in the hands of certain holders There are exemptions for payments received by certain
categories of agent (such as some brokers and investment managers). An exemption from or reduction
of United Kingdom tax payable on such payments might be available in appropriate circumstances
under the provisions of an applicable double taxation convention.
Noteholders who are not United Kingdom Corporation Tax Payers
Where there is a transfer or redemption of a Note by a Noteholder who is not within the charge to
corporation tax and is resident or ordinarily resident in the United Kingdom or carrying on a trade in
the United Kingdom through a branch or agency with which the ownership of the Note is connected,
such Noteholder may be chargeable to United Kingdom tax on income on an amount (in some cases,
an amount deemed by HMRC to be just and reasonable) (by rules contained in Part 12 of the Income
Tax Act 2007) as representing interest accrued on the Note at the time of transfer.
United Kingdom Corporation Tax – Corporate Noteholders
Noteholders which are companies and are either resident in the United Kingdom for taxation purposes
or hold the Notes for the purposes of a trade carried on in the United Kingdom through a permanent
establishment in the United Kingdom, will, subject to such relief as may be available under the terms
of any applicable double tax treaty, be within the charge to United Kingdom corporation tax in respect
of the Notes. Such Noteholders will be subject to tax on all profits and gains (including interest and
any foreign exchange gains or losses) arising on the Notes broadly in accordance with their generally
accepted accounting practice. Such profits and gains will normally be charged to tax as income in
respect of each accounting period to which they are allocated for accounting purposes. Relief may be
available in respect of losses, and for related expenses, on a similar basis. Such Noteholders will also
be outside the application of the rules described in the paragraph headed “Noteholders who are not
United Kingdom Corporate Taxpayers” above and the paragraph headed “United Kingdom Capital
Gains Tax – Non-corporate Noteholders” below.
United Kingdom Capital Gains Tax – Non-corporate Noteholders
Under current HMRC practice the Notes will not constitute qualifying corporate bonds within the
meaning of section 117 of the Taxation of Chargeable Gains Act 1992 because such Notes are
denominated in Euro.
Therefore, a disposal (which includes a redemption) of any such instrument by its holder may give
rise to a chargeable gain or an allowable loss for the purposes of United Kingdom taxation of
chargeable gains.
Stamp Duty and Stamp Duty Reserve Tax
No United Kingdom stamp duty or stamp duty reserve tax is payable on the issue of the Global Notes,
or on the issue of a Note in definitive form.
EU Savings Directive
Under EC Council Directive 2003/48/EC on the taxation of savings income, Member States are
required, from 1 July 2005, to provide to the tax authorities of another Member State details of
payments of interest (or other similar income) paid by a person within its jurisdiction to or for an
individual in that other Member State. However, for a transitional period, Belgium, Luxembourg and
Austria are instead required (unless during that period they elect otherwise) to operate a withholding
system in respect of such payments.
The United Kingdom complies with this obligation by providing to the tax authorities in other
Member states (and certain non-EU countries and territories referred to in that directive) such details
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in respect of interest or other similar income paid by a person within the United Kingdom to an
individual (and certain other non-corporate entities) resident in that other country or territory.
Also with effect from 1 July 2005, a number of non-EU countries and certain dependent or associated
territories of certain Member States have agreed to adopt similar measures (either provision of
information or transitional withholding) in relation to payments made by a person within its
jurisdiction to or for an individual in a Member State. In addition, certain Member States have entered
into reciprocal provision of information or transitional withholding arrangement with certain of those
dependent or associated territories in relation to payments made by a person within its jurisdiction to
or for an individual in one of those territories.
Any paying agent or other person through whom interest (or other similar income) is paid to, or by
whom interest (or other similar income) is received on behalf of, broadly, an individual or partnership
where one or more of the partners is an individual (whether resident in the United Kingdom or
elsewhere) may be required to provide information (either under rules relating to the EC Directive or
under separate United Kingdom rules) in relation to the payment and the individual concerned to
HMRC.
United States Federal Income Taxation
General
The following summary describes the principal U.S. federal income tax consequences of the purchase,
ownership and disposition of the Notes to investors that acquire the Notes at original issuance for an
amount equal to the “Issue Price” of the relevant Class of Notes (for purposes of this section, with
respect to each such Class of Notes, the first price at which a substantial amount of Notes of such
Class are sold to the public (excluding bond houses, brokers, underwriters, placement agents, and
wholesalers) is referred to herein as the “Issue Price”). This summary does not purport to be a
comprehensive description of all the tax considerations that may be relevant to a particular investor’s
decision to purchase the Notes. In addition, this summary does not describe any tax consequences
arising under the laws of any state, locality or taxing jurisdiction other than the United States federal
income tax laws. In general, the summary assumes that a holder holds a Note as a capital asset and
not as part of a hedge, straddle, or conversion transaction, within the meaning of Section 1258 of the
Code (defined below).
U.S. Internal Revenue Service Circular 230 Disclosure
Pursuant to U.S. Internal Revenue Service Circular 230, we hereby inform you that the description set
forth herein with respect to U.S. federal tax issues was not intended or written to be used, and such
description cannot be used, by any taxpayer for the purpose of avoiding any penalties that may be
imposed on the taxpayer under the U.S. Internal Revenue Code. Such description was written to
support the marketing of the Notes (within the meaning of U.S. Internal Revenue Service Circular
230). Taxpayers should seek advice based on the taxpayer’s particular circumstances from an
independent tax advisor.
This summary is based on the U.S. Internal Revenue Code of 1986, as amended (the “Code”),
existing and proposed regulations thereunder, and current administrative rulings and court decisions,
each as available on the date of this Offering Memorandum. All of the foregoing are subject to
change or differing interpretation at any time, which change or interpretation may apply retroactively
and could affect the continued validity of this summary. Furthermore, there are no cases or rulings by
the Internal Revenue Service (“IRS”) addressing entities similar to the Issuer or securities similar to
the Notes. As a result, the IRS might disagree with all or part of the discussion below. No rulings will
be requested of the IRS regarding the issues discussed below or the U.S. federal income tax
characterisation of the Notes.
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PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSULT THEIR OWN TAX
ADVISORS AS TO U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE PURCHASE,
OWNERSHIP AND DISPOSITION OF THE NOTES, AND THE POSSIBLE APPLICATION OF
STATE, LOCAL, FOREIGN OR OTHER TAX LAWS.
This summary assumes that a U.S. Holder has a U.S. Dollar functional currency and the Issuer has a
non-U.S. Dollar functional currency. This summary also does not address the rules applicable to
certain types of investors that are subject to special U.S. federal income tax rules, including but not
limited to, dealers in securities or currencies, traders in securities, financial institutions, Certain
former citizens and long-term residents of the United States, tax-exempt entities, charitable remainder
trusts and their beneficiaries, insurance companies, persons or their qualified business units (“QBUs”)
whose functional currency is not the U.S. Dollar, persons that own (directly or indirectly) equity
interests in holders of Notes and subsequent purchasers of the Notes. As used in this section, the term
“U.S. Holder” includes a beneficial owner of a Note that is, for U.S. federal income tax purposes, a
citizen or individual resident of the United States of America, an entity treated for United States
federal income tax purposes as a corporation created or organised in or under the laws of the United
States of America or any state thereof or the District of Columbia, an estate the income of which is
includable in gross income for U.S. federal income tax purposes regardless of its source, or a trust if,
in general, a court within the United States of America is able to exercise primary supervision over its
administration and one or more U.S. Persons have the authority to control all substantial decisions of
such trust, and certain eligible trusts that have elected to be treated as United States persons.
The term “non-U.S. Holder” means a beneficial owner of the Notes that is neither a U.S. Holder nor
a partnership (or an entity treated as a partnership for U.S. federal income tax purposes).
If a partnership (or any other entity treated as a partnership for U.S. federal income tax purposes)
holds the Notes, the tax, the tax treatment of the partnership and a partner in such partnership
generally will depend on the status of the partner and the activities of the partnership. Such a partner
or partnership should consult its own tax advisor as to its consequences.
Tax Treatment of the Issuer
The Code and the U.S. Treasury regulations promulgated thereunder provide a specific exemption
from net income-based U.S. federal income tax to non-U.S. corporations that restrict their activities in
the United States to trading in stocks and securities (and any other activity closely related thereto) for
their own account, whether such trading (or such other activity) is conducted by the corporation or its
employees or through a resident broker, commission agent, custodian or other agent. See “The
Portfolio—Management of the Portfolio”. This particular exemption does not apply to non-U.S.
corporations that are engaged in activities in the United States other than trading in stocks and
securities (and any other activity closely related thereto) for their own account or that are dealers in
stocks and securities.
The Issuer intends to rely on the above exemption and does not intend to operate so as to be subject to
U.S. federal income taxes on its net income. Although no activity closely comparable to that
contemplated by the Issuer has been the subject of any Treasury regulation, administrative ruling or
judicial decision, under current law and assuming compliance with the Issuer’s relevant governing
documents, the Trust Deed, the Investment Management Agreement, the Agency Agreement and
other related documents, the Issuer believes that its permitted activities will not cause it to be engaged
in a trade or business in the United States, and consequently, that the Issuer’s profits will not be
subject to U.S. federal income tax on a net income basis. However, if the IRS were to successfully
assert that the Issuer were engaged in a United States trade or business and the Issuer had taxable
income that was effectively connected with such U.S. trade or business, the Issuer would be subject
under the Code to the regular U.S. corporate income tax on such effectively connected taxable income
(and possibly to the 30 per cent. branch profits tax as well). The imposition of such taxes would
materially affect the Issuer’s financial ability to make payments with respect to the Notes and could
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materially affect the yield of the Notes. In addition, the imposition of such taxes could constitute a
Collateral Tax Event. See “Terms and Conditions of the Notes – Definitions – Collateral Tax Event”.
Generally, foreign currency gains are sourced to the residence of the recipient. Thus, foreign currency
gains of a non-U.S. corporation are generally treated as foreign source income. However, if for this
purpose a non-United States corporation has a principal place of business in the United States (the
“U.S. business”), even if the corporation has another principal place of business outside the United
States, generally any foreign currency gain properly reflected as income of the U.S. business is treated
as U.S. source income. U.S. source foreign currency gains that are not derived from the sale of
property may be subject to U.S. withholding tax. A non-U.S. corporation could be considered to have
a U.S. business for this purpose even if it does not have any income effectively connected to a United
States trade or business for purposes of being subject U.S. taxation on its net income. The Issuer
intends to take the position that none of its foreign currency gains will be subject to U.S. withholding
tax. However, the application of these rules is unclear and the activities of the Issuer could cause it to
have foreign currency gains subject to U.S. withholding tax. In addition, the imposition of such taxes
could constitute a Collateral Tax Event.
United States Withholding Taxes
Although, based on the foregoing, the Issuer is not expected to be subject to U.S. federal income tax
on a net income basis, income derived by the Issuer may be subject to withholding taxes imposed by
the United States or other countries. Generally, U.S. source interest income received by a foreign
corporation not engaged in a trade or business within the United States is subject to U.S. withholding
tax at the rate of 30 per cent. of the amount thereof. The Code provides an exemption (the “portfolio
interest exemption”) from such withholding tax for interest paid with respect to certain debt
obligations issued after 18 July 1984, unless the interest constitutes a certain type of contingent
interest or is paid to a 10 per cent. shareholder of the payor (within the meaning of
Section E71(h)(3)(B) of the Code), to a controlled foreign corporation related to the payor (within the
meaning of Section 864(d)(4) of the Code), or to a bank with respect to a loan entered into in the
ordinary course of its business. In this regard, the Issuer is permitted to acquire a particular Collateral
Debt Obligation only if the payments thereon are exempt from U.S. withholding taxes at the time of
purchase or commitment to purchase (with the exception of commitment fees associated with
Collateral Debt Obligations constituting Delayed Drawdown Obligations) or the obligor is required to
make “gross-up” payments that offset fully any such tax on any such payments. Any commitment
fees associated with Collateral Debt Obligations constituting Delayed Drawdown Obligations may be
subject to U.S. withholding tax, which would reduce the Issuer’s net income from such activities.
However, the Issuer does not anticipate that it will otherwise derive material amounts of any other
items of income that would be subject to U.S. withholding taxes. Accordingly, assuming compliance
with the foregoing restrictions and subject to the foregoing qualifications, income derived by the
Issuer will be free of or fully “grossed up” for any material amount of U.S. withholding tax.
However, there can be no assurance that income derived by the Issuer will not generally become
subject to U.S. withholding tax as a result of a change in U.S. tax law or administrative practice,
procedure, or interpretations thereof. Any change in U.S. tax law or administrative practice,
procedure, or interpretations thereof resulting in the income of the Issuer becoming subject to U.S.
withholding taxes could constitute a Collateral Tax Event or a Note Tax Event. It is also anticipated
that the Issuer will acquire Collateral Debt Obligations that consist of obligations of non-U.S. issuers.
In this regard, the Issuer may only acquire a particular Collateral Debt Obligation if either the
payments thereon are not subject to foreign withholding tax (with the exception of commitment fees
associated with Collateral Debt Obligations constituting Delayed Drawdown Obligations) or the
obligor of the Collateral Debt Obligation is required to make “gross-up” payments.
Prospective investors should be aware that, under certain U.S. Treasury regulations, the IRS may
disregard the participation of an intermediary in a “conduit” financing arrangement and the
conclusions reached in the immediately preceding paragraph assume that such U.S. Treasury
regulations do not apply. Those U.S. Treasury regulations could require withholding of U.S. federal
income tax from payments to the Issuer of interest on the Collateral Debt Obligations. In order to
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prevent “conduit” classification, each holder and beneficial owner of a Note that is not a “United
States person” (as defined in Section 7701(a)(30) of the Code) will make, or by acquiring such Note
or an interest therein will be deemed to make, a representation to the effect that either (A) (i) it is not a
bank extending credit pursuant to a loan agreement entered into in the ordinary course of its trade or
business (within the meaning of Section 881(c)(3)(A) of the Code), or (ii) it is a person that is eligible
for benefits under an income tax treaty with the United States that eliminates U.S. federal income
taxation of U.S. source interest not attributable to a permanent establishment in the United States, and
(B) it is not purchasing the Note in order to reduce its U.S federal income tax liability pursuant to a
tax avoidance plan.
Tax Treatment of U.S. Holders of the Class A Notes, the Class B Notes, the Class C Notes and
the Class D Notes
Treatment of the Notes
The Issuer expects the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes to
be treated as debt for U.S. federal income tax purposes. This summary assumes that the foregoing
treatment of each Class of Notes is correct. For the remainder of this discussion on “Tax
Considerations”, the term “Notes” refers to the Class A Notes, the Class B Notes, the Class C Notes
and the Class D Notes. Further, the Issuer will treat, and each holder and beneficial owner of a Note
(by acquiring such Note or an interest in such Note) will agree to treat, such Note as debt for U.S.
federal income tax purposes. With regard to the characterisation for U.S. federal income tax purposes
of the Notes issued after the Issue Date, prospective investors should note that the characterisation of
an instrument as debt or equity for U.S. federal income tax purposes is highly factual and must be
based on the applicable law and the facts and circumstances existing at the time such instrument is
issued (which in the case of the Class A-2 Notes, would include the time of each Class A-2 Advance
on such Notes) and material changes from those existing on the Issue Date (e.g. a material decline in
the value of the Issuer’s assets and/or a material adverse change in the Issuer’s ability to repay the
Notes previously issued) could affect the characterisation of the Notes issued after (but not before)
such changes. Additionally, no ruling will be sought from the IRS regarding this, or any other, aspect
of the U.S. federal income tax treatment of the Notes. Accordingly, there can be no assurance that the
IRS will not contend, and that a court will not ultimately hold, that one or more Classes of the Notes
are equity in the Issuer. If any of the Classes of the Notes were treated as equity in, rather than debt
of, the Issuer for U.S. federal income tax purposes, the U.S. federal income tax consequences of
investing in those Notes would be different from those described below and could result in certain
adverse tax consequences upon sale, exchange, redemption, retirement or other taxable disposition of,
or the receipt of certain types of distributions on, the Notes of such Class or Classes by a U.S. Holder
of such Notes.
Interest or Original Issuer Discount on the Notes
Subject to the discussion below, U.S. Holders generally will include in gross income payments of
interest received on the Notes, in accordance with their usual method of accounting for U.S. federal
income tax purposes, as ordinary interest income from sources outside the United States.
If the Issue Price of the Notes is less than such Notes’ respective “stated redemption price at maturity”
by more than a de minimis amount, U.S. Holders will be considered to have purchased such Notes
with original issue discount (“OID”). The respective stated redemption price at maturity of such
Notes will be the sum of all payments to be received on such Notes, other than payments of stated
interest which is unconditionally payable in money at least annually during the entire term of a debt
instrument (“Qualified Stated Interest”). Prospective U.S. Holders should note that interest on the
Class C Notes and the Class D Notes may be added to the aggregate principal amount of such Notes
where non payment of such interest occurs by reason of non availability of funds (as described above
in “Description of the Notes-Interest-Deferral of Interest”). Consequently, such interest is not
unconditionally payable in cash or property at least annually and will not be treated as Qualified
Stated Interest). Therefore, all of the stated interest payments on the Class C Notes and the Class D
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Notes will be included in the stated redemption prices at maturity of such Notes, and as a result the
Class C Notes and the Class D Notes will be treated as issued with OID and must be accrued by U.S.
Holders pursuant to the rules described below.
A U.S. Holder of such Class of Notes issued with OID will be required to accrue and include in gross
income the sum of the daily portions of total OID on such Notes for each day during the taxable year
on which the U.S. Holder held such Notes, generally under a constant yield method, regardless of
such U.S. Holder’s usual method of accounting for U.S. federal income tax purposes. In addition,
U.S. Holder should include any de minimis OID in gross income proportionately as stated principal
payments are received. Such de minimis OID should be treated as gain from the sale or exchange of
property and may be eligible as capital gain if the Note is a capital asset in the hands of the U.S.
Holder.
In the case of Notes that provide for a floating rate of interest, the amount of OID to be accrued over
the term of such Notes will be based initially on the assumption that the floating rate in effect for the
first accrual period of the Notes will remain constant throughout their term. To the extent such rate
varies with respect to any accrual period, such variation will be reflected in an increase or decrease of
the amount of OID accrued for such period. Under the foregoing method, U.S. Holders of the Class C
Notes and the Class D Notes may be required to include in gross income increasingly greater amounts
of OID and may be required to include OID in advance of the receipt of cash attributable to such
income.
The Notes of a particular Class will be “variable rate debt instruments” if such Notes (a) have an issue
price that does not exceed the total non contingent principal payments on the Notes of such particular
Class by more than an amount equal to the lesser of: (i) 0.015 multiplied by the product of such total
non contingent principal payments and the number of complete years to maturity from the issue date
of such Notes; and (ii) 15 per cent. of the total non contingent principal payments on such Notes; (b)
provide for stated interest (compounded or paid at least annually) at the current value of one or more
qualified floating rates, including the EURIBOR and LIBOR rates on certain Classes of Notes; and (c)
do not provide for any principal payments that are contingent. Interest payments on certain “variable
rate debt instruments” may be considered qualified stated interest. To the extent the Class A Notes
and Class B-1 Notes are variable rate debt instruments, interest payments on such Notes may be
considered qualified stated interest. Please see the discussion above noting that the stated interest on
the Class C and Class D Notes will not be qualified stated interest.
Interest on the Notes received by a U.S. Holder will generally be treated as foreign source income for
foreign tax credit limitation purposes. The limitation on foreign taxes eligible for the U.S. foreign tax
credit is calculated separately with respect to specific “categories” of income. For this purpose, for
taxable years beginning before January 1, 2007, the interest on the Notes should generally constitute
“passive income”, or in the case of certain U.S. Holders, “financial services income”, and, for taxable
years beginning after December 31, 2006, the interest should generally constitute “passive category
income”, or in the case of certain U.S. Holders, “general category income”.
The Issuer intends to treat each Class of Notes issued with more than de minimis OID as being subject
to rules prescribed by section 1272(a)(6) of the Code using an assumption as to the prepayments on
such Class of Notes described further in this paragraph. A prepayment assumption applies to debt
instruments if payments under such debt instruments may be accelerated by reason of prepayments of
other obligations securing such debt instruments. Because principal repayments on these Notes are
subject to acceleration, the method by which OID on such Notes is required to be accrued is uncertain.
For purposes of accruing OID on these Notes under such circumstances, the Issuer intends to treat
these Notes as being subject to the “prepayment assumption method” prescribed by Sections 1271
through 1273 and 1275 of the Code. These rules require that the amount and rate of accrual of OID
be calculated based on a prepayment assumption and the anticipated reinvestment rate, if any, relating
to the Notes and prescribe a method for adjusting the amount and rate of accrual of the discount where
the actual prepayment rate differs from the prepayment assumption. Under the Code, the prepayment
assumption must be determined in the manner prescribed by the U.S. Treasury regulations, which
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have not yet been issued. The legislative history provides, however, that Congress intended the U.S.
Treasury regulations to require that the prepayment assumption be the prepayment assumption that is
used in determining the initial offering price of the Notes. The Issuer intends to assume that the
Collateral Debt Obligations will not prepay. No representation is made that the Notes will prepay at
the prepayment assumption or at any other rate.
A subsequent purchaser of a Note issued with OID who purchases such Note at a cost less than the
remaining stated redemption price at maturity will also be required to include in gross income the sum
of the daily portions of OID on such Note. In computing the daily portions of OID for a subsequent
purchaser of a Note (as well as an initial purchaser that purchases at a price higher than the adjusted
Issue Price, but less than the stated redemption price at maturity), however, the daily portion is
reduced by the amount that would be the daily portion for the day (computed in accordance with the
rules set out above) multiplied by a fraction, the number of which is the amount, if any, by which the
price paid by the U.S. Holder for such Note exceeds the following amount:
(a) the sum of the Issue Price plus the aggregate amount of OID that would have been includible
in the gross income of an original U.S. Holder (who purchased the Note at the Issue Price),
less
(b) any prior payments included in the stated redemption price at maturity,
and the denominator of which is the sum of the daily portions for such Note for all days beginning on
the date after the purchase date and ending on the maturity date computed under the prepayment
assumption.
A U.S. Holder who pays a premium for a Note (i.e., purchases the Note for an amount greater the
stated redemption price at maturity) may elect to amortise such premium under a constant yield
method over the life of such Note. The amortizable amount for any accrual period would offset the
amount of interest that must be included in the gross income of a U.S. Holder in such accrual period.
The U.S. Holder’s basis in such Note would be reduced by the amount of amortization. It is not clear
whether the prepayment assumption would be taken into account in determining the life of such Note
for the timing of the amortization of such premium for this purpose.
If the U.S. Holder acquires a Note at a discount to the adjusted Issue Price of the Note that is greater
than a specified de minimis amount, such discount is treated as market discount. Absent an election to
accrue into income currently, the amount of accrued market discount on a Note is included in income
as ordinary income when principal payments are received or the U.S. Holder disposes of the Note.
Market discount is accrued rateably unless the U.S. Holder elects to use a constant yield method for
accrual. For this purpose, the term “rateably” may be based on the term of the Note or a U.S. Holder
may be permitted to accrue market discount in proportion to interest on Notes issued without OID or
in proportion to OID on Notes issued with OID.
As a result of the complexity of the OID rules, each U.S. Holder of the Notes should consult its own
tax advisor regarding the impact of the OID rules on its investment in such Notes.
Election to Treat All Interest as OID
The OID rules permit a U.S. Holder of a Note to elect to accrue all interest, discount (including de
minimis market or original issue discount) and premium in income as interest, based on a constant
yield method. If an election to treat all interest as OID were to be made with respect to a Note with
market discount, the U.S. Holder of such Note would be deemed to have made an election to include
in income currently market discount with respect to all other debt instruments having market discount
that such U.S. Holder acquires during the year of the election or thereafter. Similarly, a U.S. Holder
that makes this election for a Note that is acquired at a premium will be deemed to have made an
election to amortise bond premium with respect to all debt instruments having amortizable bond
premium that such U.S. Holder owns or acquires. The election to accrue interest, discount and
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premium on a constant yield method with respect to a Note cannot be revoked without the consent of
the IRS.
Payments of Interest and OID in Foreign Currency
A U.S. Holder that uses the cash method of accounting for U.S. federal income tax purposes and
receives a payment of interest on a Note (other than OID) denominated in Euro or any A-2 Currency
(“Foreign Currency”) will be required to include in gross income the U.S. Dollar value of the
payment in Foreign Currency on the date such payment is received (based on the U.S. Dollar spot rate
for the Foreign Currency on the date such payment is received) regardless of whether the payment is
in fact converted to U.S. Dollars at that time. No exchange gain or loss will be recognised with
respect to the receipt of such payment.
A U.S. Holder that uses the accrual method of accounting for U.S. federal income tax purposes, or
that otherwise is required to accrue interest prior to receipt, will be required to include in gross
income the U.S. Dollar value of the amount of interest income that has accrued and is otherwise
required to be taken into account with respect to a Note during an accrual period. The U.S. Dollar
value of such accrued interest income will be determined by translating such interest income at the
average U.S. Dollar exchange rate for the Foreign Currency in effect during the accrual period or,
with respect to an accrual period that spans two taxable years, the partial period within the taxable
year. A U.S. Holder may elect, however, to translate such accrued interest income using the U.S.
Dollar spot rate for the Foreign Currency on the last day of the accrual period or, with respect to an
accrual period that spans two taxable years, on the last day of the taxable year. If the last day of an
accrual period is within five business days of the date of receipt of the accrued interest, a U.S. Holder
may translate such interest using the U.S. Dollar spot rate on the date of receipt. The above election
must be applied consistently to all debt instruments from year to year and may not be changed without
the consent of the IRS. Prior to making such an election, a U.S. Holder should consult its own tax
advisor.
A U.S. Holder that uses the accrual method of accounting for U.S. federal income tax purposes may
recognise exchange gain or loss with respect to accrued interest income on the date the payment of
such income is received. The amount of any such exchange gain or loss recognised will equal the
difference, if any, between the U.S. Dollar value of the payment in the Foreign Currency received
(based on the U.S. Dollar spot rate for the Foreign Currency on the date such payment is received)
with respect to such accrued interest and the U.S. Dollar value of the income inclusion with respect to
such accrued interest (computed as determined above). Any such exchange gain or loss will be
treated as ordinary income or loss, but generally will not be treated as an adjustment to interest
income, and will generally be treated as U.S. source income or loss, respectively.
The Issuer intends to take the position that OID for any accrual period on a Note will be determined in
Foreign Currency and then translated into U.S. Dollars in the same manner as stated interest accrued
by an accrual basis U.S. Holder, as described above. As described above, however, the treatment of
Notes issued with OID is subject to uncertainty, and it is possible that different rules would apply.
Applying this method, all payments on a Note (other than payments of Qualified Stated Interest) will
generally be viewed first as payments of previously-accrued OID (to the extent thereof), with
payments attributed first to the earliest-accrued OID, and then as payments of principal. Upon receipt
of a payment attributable to OID (whether in connection with a payment of interest or on the sale,
exchange, redemption, retirement or other taxable disposition of a Note), a U.S. Holder may recognise
exchange gain or loss as described above with respect to accrued interest income. Any such exchange
gain or loss will be treated as ordinary income or loss, but generally will not be treated as an
adjustment to interest income, and will generally be treated as U.S. source income or loss,
respectively.
Interest on the Notes received by a U.S. Holder will generally be treated as foreign source income for
foreign tax credit limitation purposes. The limitation on foreign taxes eligible for the U.S. foreign tax
credit is calculated separately with respect to specific “categories” of income. For this purpose, for
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taxable years beginning before January 1, 2007, the interest on the Notes should generally constitute
“passive income”, or in the case of certain U.S. Holders, “financial services income”, and, for taxable
years beginning after December 31, 2006, the interest should generally constitute “passive category
income”, or in the case of certain U.S. Holders, “general category income”.
The Class A-2 Notes
The treatment of the Class A-2 Notes is not entirely clear. The Class A-2 Notes might be properly
treated as variable rate debt instruments under applicable United States Treasury regulations with the
results described above. Alternatively, the Class A-2 Notes may be subject to certain United States
Treasury Regulations addressing the treatment of CPDIs with multi currency features (the “Multi
Currency CPDIs”). These rules could affect both the timing of income and the character of any gain
recognized by U.S. holders with respect to the Class A-2 Notes. Holders of the Class A-2 Notes are
urged to consult their tax advisors concerning the tax consequences that would arise if the Class A-2
Notes are treated as Multi Currency CPDIs.
Receipt of Foreign Currency
Foreign Currency received as payment on a Note or on a sale, exchange, redemption, retirement or
other taxable disposition of a Note will have a tax basis equal to its U.S. Dollar value at the time such
payment is received or at the time of such sale, exchange, redemption, retirement or other taxable
disposition, as the case may be. Foreign Currency that is purchased will generally have a tax basis
equal to the U.S. Dollar value of the Foreign Currency on the date of purchase. Any exchange gain or
loss recognised on a sale, exchange, redemption, retirement or other taxable disposition of the Foreign
Currency (including its use to purchase Notes or upon exchange for U.S. Dollars) will be ordinary
income or loss and will generally be treated as U.S. source income or loss, respectively.
Disposition of the Notes
In general, a U.S. Holder of a Note initially will have a basis in such Note equal to the cost of such
Note to such U.S. Holder, (a) increased by any amount includable in income by such U.S. Holder as
OID with respect to such Note (and as market discount if such U.S. Holder elected to accrue market
discount currently on the Note), and (b) reduced by any amortised premium and by payments on such
Note, other than payments of stated interest on a Class A Note or a Class B Notes. Upon a sale,
exchange, redemption, retirement or other taxable disposition of a Note, a U.S. Holder will generally
recognise gain or loss equal to the difference between the amount realised on the sale, exchange,
redemption, retirement or other taxable disposition (other than amounts attributable to accrued but
unpaid interest, which will be taxable as such, as described above) and the U.S. Holder’s tax basis in
such Note. Except to the extent of accrued interest or market discount not previously included in
income, gain or loss in excess of any foreign currency gain or loss (which will be taxable as described
below) from the disposition of a Note generally will be long-term capital gain or loss if the U.S.
Holder held the Note for more than one year at the time of disposition, provided that such Note is held
as a “capital asset” (generally, property held for investment) within the meaning of Section 1221 of
the Code, except to the extent of accrued market discount not previously included in income.
However, if the IRS or a court determines that the Notes constitute contingent payment debt
obligations subject to the noncontingent bond method, then a U.S. Holder generally will have a basis
in such Note equal to the cost of such Note to such U.S. Holder (a) increased by OID accrued with
respect to such Note (determined without regard to adjustments made to reflect the differences
between actual and projected payments), and (b) reduced by the amount of any non-contingent
payments and the projected amount of any contingent payments previously made on such Note. Any
gain recognised on the sale, exchange, redemption, retirement or other taxable disposition of such
Note will be treated as ordinary interest income. Further, in such a case, any loss will be treated as
ordinary loss to the extent of prior interest inclusions with respect to such Note, reduced by the total
net negative adjustments that the U.S. Holder has taken into account as ordinary loss with respect to
such Note; any remaining loss will be a capital loss.
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In certain circumstances, U.S. Holders that are individuals may be entitled to preferential treatment
for net long-term capital gains; however, the ability of U.S. Holders to offset capital losses against
ordinary income is limited.
Any gain recognised by a U.S. Holder on the sale, exchange, redemption, retirement or other taxable
disposition of a Note generally will be treated as from sources within the United States assuming that
such Notes are not held by a U.S. Holder through a non-U.S. branch.
Foreign Currency Gain or Loss on Purchase or Disposition
A U.S. Holder that purchases the Notes with Foreign Currency generally will recognise exchange gain
or loss in an amount equal to the difference (if any) between the U.S. Dollar fair market value of the
Foreign Currency used to purchase the Notes determined at the spot rate of exchange in effect on the
date of purchase of the Notes and such U.S. Holder’s tax basis in the Foreign Currency. If a U.S.
Holder receives Foreign Currency on a sale, exchange, redemption, retirement or other taxable
disposition of a Note, the amount realised will be based on the U.S. Dollar value of the Foreign
Currency on the date the payment is received or the date of disposition of the Note. Any gain or loss
realised upon the sale, exchange, redemption, retirement or other taxable disposition of the Note that
is attributable to fluctuations in currency exchange rates will be exchange gain or loss. Any gain or
any loss attributable to fluctuations in exchange rates will equal the difference between the U.S.
Dollar value of the principal amount of the Note, determined on the date such payment is received or
such Note is disposed based on the U.S. Dollar spot rate for the Foreign Currency on such date and
the U.S. Dollar value of principal amount of such Note, determined on the date the U.S. Holder
acquired such Note based on the U.S. Dollar spot rate for the Foreign Currency on such date. Such
exchange gain or loss will be recognised only to the extent of the total gain or loss realised by the U.S.
Holder on the sale, exchange, redemption, retirement or other taxable disposition of such Note. Any
exchange gain or loss will be treated as ordinary income or loss, but generally will not be treated as an
adjustment to interest income, and will generally be treated as U.S. source income or loss,
respectively.
As a result of the uncertainty regarding the U.S. federal income tax consequences to U.S. Holders
with respect to the Notes and the complexity of the foregoing rules, each U.S. Holder of a Note is
urged to consult its own tax advisor regarding the U.S. federal income tax consequences to the Holder
of the purchase, ownership and disposition of such Note.
Reportable Transaction Reporting
Under certain U.S. Treasury Regulations, U.S. Holders that participate in “reportable transactions” (as
defined in the regulations) must attach to their U.S. federal income tax returns a disclosure statement
on Form 8886. U.S. Holders should consult their own tax advisors as to the possible obligation to file
Form 8886 with respect to the ownership or disposition of the Notes, or any related transaction,
including without limitation, the disposition of any non-U.S. currency received as interest or as
proceeds from the sale or other disposition of the Notes. Under certain U.S. Treasury Regulations,
U.S. Holders that participate in “reportable transactions” (as defined in the regulations) must attach to
their U.S. federal income tax returns a disclosure statement on Form 8886. U.S. Holders should
consult their own tax advisors as to the possible obligation to file Form 8886 with respect to the
ownership or disposition of the Notes, or any related transaction, including without limitation, the
disposition of any non U.S. currency received as interest or as proceeds from the sale or other
disposition of the Notes.
Tax Treatment of Non-U.S. Holders of Notes
Subject to the discussion below under “Information Reporting and Backup Withholding Tax”,
payments, including interest, OID and any amounts treated as dividends (if applicable), on a Note to a
non U.S. Holder and gain realised on the sale, exchange, redemption, retirement or other taxable
disposition of the Notes by a non-U.S. Holder, will not be subject to U.S. federal income or
withholding tax, unless (a) such income is effectively connected with a trade or business conducted by
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such non-U.S. Holder in the United States, or (b) in the case of gain, such non-U.S. Holder is a
non-resident alien individual who holds the Notes as a capital asset and is present in the United States
for more than 182 days in the taxable year of the sale, exchange, redemption, retirement or other
taxable disposition and certain other conditions are satisfied.
Information Reporting and Backup Withholding Tax
Under certain circumstances, the Code requires “information reporting”, and may require “backup
withholding” with respect to certain payments made on the Notes and the payment of the proceeds
from the disposition of the Notes. Backup withholding generally will not apply to corporations,
tax-exempt organizations, qualified pension and profit sharing trusts, and individual retirement
accounts. Backup withholding will apply to a U.S. Holder if the U.S. Holder fails to provide certain
identifying information (such as the U.S. Holder’s taxpayer identification number) or otherwise
comply with the applicable requirements of the backup withholding rules. The application for
exemption from backup withholding for a U.S. Holder is available by providing a properly completed
IRS Form W-9.
A non-U.S. Holder of the Notes generally will not be subject to these information reporting
requirements or backup withholding with respect to payments of interest or distributions on the Notes
if (a) it certifies to the Trustee its status as a non-U.S. Holder under penalties of perjury on the
appropriate IRS Form W-8, and (b) in the case of a non-U.S. Holder that is a “nonwithholding foreign
partnership”, “foreign simple trust” or “foreign grantor trust” as defined in the applicable U.S.
Treasury regulations, the beneficial owners of such non-U.S. Holder also certify to the Trustee their
status as non-U.S. Holders under penalties of perjury on the appropriate IRS Form W-8.
The payments of the proceeds from the disposition of a Note by a non-U.S. Holder to or through the
U.S. office of a broker generally will not be subject to information reporting and backup withholding
if the non-U.S. Holder certifies its status as a non-U.S. Holder (and, if applicable, its beneficial
owners also certify their status as non-U.S. Holders) under penalties of perjury on the appropriate IRS
Form W-8, satisfies certain documentary evidence requirements for establishing that it is a non-U.S.
Holder or otherwise establishes an exemption. The payment of the proceeds from the disposition of a
Note by a non-U.S. Holder to or through a non-U.S. office of a non-U.S. broker will not be subject to
backup withholding or information reporting unless the non-U.S. broker has certain specific types of
relationships to the United States, in which case the treatment of such payment for such purposes will
be as described in the following sentence. The payment of proceeds from the disposition of a Note by
a non-U.S. Holder to or through a non-U.S. office of a U.S. broker or to or through a non-U.S. broker
with certain specific types of relationships to the United States generally will not be subject to backup
withholding but will be subject to information reporting unless the non-U.S. Holder certifies its status
as a non-U.S. Holder (and, if applicable, its beneficial owners also certify their status as non-U.S.
Holders) under penalties of perjury or the broker has certain documentary evidence in its files as to
the non-U.S. Holder’s foreign status and the broker has no actual knowledge to the contrary.
Backup withholding is not an additional tax and may be refunded (or credited against the U.S.
Holder’s or non-U.S. Holder’s U.S. federal income tax liability, if any); provided that certain required
information is furnished to the IRS. The information reporting requirements may apply regardless of
whether withholding is required.
Taxation in Germany
The information contained in this section is not intended as tax advice and does not purport to
describe all of the tax considerations that may be relevant to a prospective purchaser of the Notes. It is
based upon German tax laws (including tax treaties) in effect and applied as of the date hereof, which
are subject to change, potentially with retroactive effect.
Prospective purchasers of the Notes are advised to consult their own tax advisers as to the tax
consequences, under German tax laws and the tax laws of the country in which they are resident, of
purchasing, holding and disposing of the Notes and receiving payments under the Notes.
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A German resident Noteholder or a non-German resident Noteholder holding the Notes as a business
asset in a German permanent establishment could be taxed annually on the higher of (a) distributions,
undistributed so-called interim profits (Zwischengewinnne) and, in addition, 70 per cent. of the excess
of the last over the first redemption price, market price or stock exchange price of the Notes for the
calendar year; or if higher (b) 6 per cent. of the redemption price, market price or stock exchange
price computed last for the calendar year provided that the Notes qualify as “units in a foreign
investment fund” as defined by §§ 1 and 2 of the German Investment Act (Investmentgesetz) and § 1
of the German Investment Tax Act (Investmentsteuergesetz).
The Issuer has been advised that the Notes should not qualify as such units in a foreign investment
fund for the following reasons.
The German Investment Act only applies if the Issuer has invested in “securities” (or other qualifying
assets within the meaning of Sec. 2 (4) of the German Investment Act that are irrelevant in the context
of the transaction contemplated herein). Arguably, this criterion will not be fulfilled since the pool
may only consist of 5 per cent. (debt) securities. In any event, based on a circular of the German
ministry of finance (Bundesministerium der Finanzen) dated 2 June 2005 (BStBl. I 2005 page 728
(732), sec. 6), the Notes should not be classified as “units in a foreign investment fund” if “according
to the contractual conditions (Vertragsbedingungen), in addition to the substitution of debt securities
for the purpose of ensuring size, maturity profile and risk structure only up to 20 per cent. per annum
of the assets (Vermögen) of the Issuer may, be traded on a discretionary basis by the Issuer”. As set
out in “The Portfolio – Discretionary Sales during the Reinvestment Period” the Issuer will only be
able to “trade” annually up to 20 per cent. of the assets on a discretionary basis.
The Issuer has been advised that the tax authorities would be expected to follow the above
interpretation issued by the German Federal Ministry of Finance. The tax authorities may, however,
change their position with effect for the future or, although this is considered unlikely, with
retroactive effect. Furthermore, there is no case law on this issue and the German courts may or may
not share the view expressed by the German Ministry of Finance, if the issue were ever brought to
court.
Taxation of Investors Tax Resident in Germany and not Subject to the Investment Tax Act
Payments of interest (including accrued interest) on Notes not falling within the scope of the
Investment Tax Act paid to an investor who is resident in Germany for German tax purposes (a
“German Investor”) is subject to corporate income tax (Körperschaftsteuer) or income tax
(Einkommensteuer) (plus in both cases a solidarity surcharge thereon at a rate of 5.5 per cent.) and, if
the Notes are held as business assets, to trade tax (Gewerbesteuer) in Germany.
Any gains realised upon a sale or partial or final redemption of Notes (including accrued interest) over
their current book value or otherwise realised (“Capital Gains”) by a German Investor who holds
Notes as business assets are subject to income tax or corporate income tax (plus a solidarity surcharge
thereon at a rate of 5.5 per cent.) and, if the Notes form part of a permanent establishment maintained
in Germany by the German Investor, to trade tax. Tax treaties concluded by Germany generally
permit German tax authorities to impose a tax on such Capital Gains in this situation.
In case of German individual Investors who hold Notes as part of their private assets and to the extent
the Notes qualify as financial innovations in the meaning of the German Income Tax Act
(Einkommensteuergesetz), any gains realised upon a sale or partial or final redemption of Notes
(including accrued interest) over their acquisition costs or otherwise realised are subject to income tax
(plus a solidarity surcharge thereon at a rate of 5.5 per cent.).
To the extent Notes held by German individual Investors as part of their private assets do not qualify
as financial innovations, gains realised upon a sale or partial or final redemption of Notes (including
accrued interest) or otherwise realised are not subject to German taxes provided the individual
investor has held the Notes for a period of more than one year.
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If the Notes are held in a custodial account which the German Investor maintains with a German
Disbursing Agent, a 30 per cent. (or 35 per cent. in the case of over-the-counter transactions
(Tafelgeschäft)) withholding tax on interest payments (Zinsabschlagsteuer) plus a 5.5 per cent.
solidarity surcharge on such tax, will be levied. Withholding tax on interest is also imposed on interest
which has accrued up to the sale, transfer or redemption of Notes and been credited separately
(Stückzinsen).
Withholding tax and solidarity surcharge on interest payments (including accrued interest) are
credited as prepayments against the German income or corporate income tax and the solidarity
surcharge liability of the German Investor. Where interest (including accrued interest) is subject to
withholding tax, the Issuer is not required to gross up any payments made to a German Investor or to
otherwise compensate or indemnify such German Investor for withholding taxes levied in connection
with the Notes.
Where Capital Gains are taxable in Germany and the German Investor keeps the Notes in a custodial
account maintained with a German Disbursing Agent, withholding tax is deducted at a rate of 30 per
cent. (plus a solidarity surcharge thereon at a rate of 5.5 per cent.) of the amount by which the
proceeds from the sale or redemption of the Notes exceed the purchase price paid by such German
Investor. This is the case provided that since acquisition such Notes have been held by the German
Disbursing Agent in a custodial account; where the Notes have not been so held, withholding tax is
deducted at a rate of 30 per cent. (plus a solidarity surcharge thereon at a rate of 5.5 per cent.) based
on 30 per cent. of the proceeds derived from the sale or redemption of the Notes. In the case of
over-the-counter transactions, withholding tax will be levied at a rate of 35 per cent. (plus solidarity
surcharge thereon at a rate of 5.5 per cent.). Withholding tax is credited against the final liability of
the German Investor to income tax or corporate income tax. The Issuer is not required to gross up any
payments made to a German Investor or to otherwise compensate or indemnify such German Investor
for withholding taxes levied in connection with Capital Gains.
Taxation of Investors not Tax Resident in Germany and not Subject to the Investment Tax Act
Payments of interest (including accrued interest) on Notes not falling within the scope of the
Investment Tax Act paid to an investor who is not resident in Germany for tax purposes (a “Foreign
Investor”) and Capital Gains realised by a Foreign Investor are subject to German taxation and in
certain cases also to German withholding tax if the Notes form part of the business assets of a
permanent establishment (including a permanent representative) maintained in Germany by the
Foreign Investor or if a Foreign Investor physically presents the Notes at the office of a German
Disbursing Agent (an over-the-counter transaction).
Possible Introduction of a Flat Tax (Abgeltungsteuer) on Investment Income and Private Capital
Gains
On March 14, 2007 the German Federal Government presented a draft bill for a corporate income tax
reform, passed by the German Parliament (Bundestag) on May 25, 2007, providing, among others, for
the introduction of a flat tax (Abgeltungsteuer) on investment income and private capital gains.
The flat tax would be levied as a withholding tax, inter alia, on capital gains from the disposal of
securities held as non-business assets, irrespective of any holding period. The flat tax would satisfy
any income tax liability of the investor in respect of such private capital gains. The tax would be
levied at a rate of 25 per cent. (plus 5.5 per cent. solidarity surcharge thereon and, if applicable,
church tax) of the relevant gross income. However, taxpayers with a personal marginal tax rate of less
than 25 per cent. may opt for a tax assessment under certain circumstances so that the capital
investment income would only be subject to final tax at their personal marginal tax rate.
According to the draft bill, the flat tax would take effect from January 1, 2009. However the flat tax
would only be imposed on private capital gains from assets acquired after December 31, 2008, unless
the assets were to qualify as financial innovation (Finanzinnovation), in which case the new tax
regime would be applicable on private capital gains from the disposal after December 31, 2008 even if
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the assets were acquired prior to January 1, 2009. According to the plans of the German Federal
Government, the envisaged legislative changes should be implemented until summer 2007.
EU Directive on the Taxation of Savings Income
On 1 July 2005 a new EU directive regarding the taxation of savings income payments came into
effect. The directive obliges a Member State to provide to the tax authorities of another Member
State details of payments of interest or other similar income payments made by a person within its
jurisdiction for the immediate benefit of an individual or to certain non-corporate entities resident in
that other Member State (or for certain payments secured for their benefit). However, Austria,
Belgium and Luxembourg have opted out of the reporting requirements and are instead applying a
special withholding tax for a transitional period in relation to such payments of interest, deducting tax
at rates rising over time to 35 per cent. This transitional period commenced on 1 July 2005 and will
terminate at the end of the first fiscal year following agreement by certain non-EU countries to the
exchange of information relating to such payments.
Also with effect from 1 July 2005, a number of non-Euro countries and certain dependent or
associated territories of Member States have adopted similar measures (either provision of
information or transitional withholding) in relation to payments of interest or other similar income
payments made by a person in that jurisdiction for the immediate benefit of an individual or to certain
non-corporate entities in any Member State. The Member States have entered into reciprocal
provision of information or transitional special withholding tax arrangements with certain of those
dependent or associated territories. These apply in the same way to payments by persons in any
Member State to individuals or certain non-corporate residents of those territories.
253

CERTAIN EMPLOYEE BENEFIT PLAN CONSIDERATIONS
The advice below was not written and is not intended to be used and cannot be used by any taxpayer
for purposes of avoiding United States federal income tax penalties that may be imposed. The advice
is written to support the promotion or marketing of the transaction. Each taxpayer should seek advice
based on the taxpayer’s particular circumstances from an independent tax advisor.
The foregoing language is intended to satisfy the requirements under the new regulations in
Section 10.35 of Circular 230.
The U.S. Employee Retirement Income Security Act of 1974, as amended (“ERISA”) imposes
fiduciary standards and certain other requirements on employee benefit plans and other retirement
arrangements subject thereto, including collective investment funds, insurance company general and
separate accounts whose underlying assets are treated as if they were assets of such plans pursuant to
ERISA and the U.S. Department of Labor’s “plan assets” regulation, set out at 29 C.F.R. Section
2510.3-101 (the “Plan Assets Regulation”) and on those persons who are fiduciaries with respect to
such plans and arrangements. Investments by such plans and arrangements are subject to ERISA’s
general fiduciary requirements, including the requirement of investment prudence and diversification
and the requirement that such plan’s or arrangement’s investments be made in accordance with the
documents governing such plans and arrangements. The prudence of a particular investment will be
determined by the responsible fiduciary of such plans and arrangements by taking into account such
plan’s or arrangement’s particular circumstances and all of the facts and circumstances of the
investment including, but not limited to, the matters discussed above under “Risk Factors” and the
fact that in the future there may be no market in which such fiduciary will be able to sell or otherwise
dispose of the Notes.
In addition, Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions
involving the assets of a plan or arrangement subject to ERISA (as well as those plans that are not
subject to ERISA but which are subject to Section 4975 of the Code (collectively, “Plans”)) and
certain persons (referred to as “parties in interest” or “disqualified persons”) having certain
relationships to such Plans, unless a statutory or administrative exemption applies to the transaction.
In particular, a sale or exchange of property or an extension of credit between a Plan and a “party in
interest” or “disqualified person” may constitute a prohibited transaction. In the case of indebtedness,
the prohibited transaction provisions apply throughout the term of such indebtedness (and not only on
the date of the initial borrowing). A party in interest or disqualified person who engages in a
prohibited transaction may be subject to excise taxes or other liabilities under ERISA and the Code,
and the transaction may have to be rescinded.
Governmental plans, certain church plans and foreign plans, while not subject to the fiduciary
responsibility provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless
be subject to U.S. federal, state, local, non-U.S. or other laws or regulations that are substantially
similar to the foregoing provisions of ERISA and the Code (“Similar Laws”).
Under Section 3(42) of ERISA and a U.S. Department of Labor of regulation, 29 C.F.R. Section
2510.1-101 (the “Plan Asset Regulations”), if a Plan invests in an “equity interest” of an entity that is
neither a “publicly offered security” nor a security issued by an investment company registered under
the Investment Company Act, the Plan’s assets are deemed to include both the equity interest and an
undivided interest in each of the entity’s underlying assets, unless it is established that either (a) the
entity is an “operating company” or, (b) immediately after the most recent acquisition of any equity
interest in the entity, less than 25 per cent. of the total value of each class of equity interest in the
entity is held by “Benefit Plan Investors” (disregarding equity interests held by certain persons, other
than Benefit Plan Investors, with discretionary authority or control over the assets of the entity or who
provide investment advice with respect to such assets (such as the Investment Manager), or any
affiliates of such persons). Under Section 3(42) of ERISA a “Benefit Plan Investor” means (1) an
employee benefit plan (as defined in Section 3(3) of ERISA) subject to the provisions of part 4 of
subtitle B of Title I of ERISA, (2) a plan to which Section 4975 of the Code applies, or (3) any entity
254

whose underlying assets include “plan assets” by reason of any such plan’s investment in the entity,
but only to the extent of the percentage of the equity interests in such entity that are held by Benefit
Plan Investors.
The Issuer intends to treat the Notes as not constituting “equity interests” for purposes of ERISA and
the Plan Assets Regulation. This determination is based in part upon (a) the classification of the
Notes (including additional issuances of the Notes) as debt for U.S. federal income tax purposes when
issued and (b) the traditional debt features of the Notes, including the reasonable expectation of
purchasers of the Notes that they will be repaid when due, as well as the absence of conversion rights,
warrants and other typical equity features. However, changes of the applicable law or the facts and
circumstances may adversely affect the classification of additional issuances of the Notes as debt
without substantial equity features for purposes of ERISA and the Plan Asset Regulation.
Nevertheless, prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of
the Code may arise if the Notes are acquired by a Plan with respect to which the Issuer, the Initial
Purchaser or the Investment Manager or any of their respective Affiliates, is a party in interest or a
disqualified person. Similarly, prohibited transactions within the meaning of Section 406 of ERISA or
Section 4975 of the Code may arise if a person or entity which is a party in interest or disqualified
person with respect to a Plan acquires or holds 50 per cent. or more of the aggregate equity interest in
the Issuer. Certain exemptions from the prohibited transaction provisions of Section 406 of ERISA
and Section 4975 of the Code may apply depending in part on the type of ERISA fiduciary making
the decision to acquire a Note and the circumstances under which such decision is made. Included
among these exemptions are Prohibited Transaction Class Exemption (“PTCE”) 91-38 (relating to
investments by bank collective investment funds), PTCE 84-14, amended effective August 23, 2005
(relating to transactions effected by a “qualified professional asset manager”), PTCE 90-1 (relating to
investments by insurance company pooled separate accounts), PTCE 95-60 (relating to transactions
involving insurance company general accounts) and PTCE 96-23 (relating to transactions determined
by an in-house asset manager). There is also a statutory exemption that may be available under
Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code to a party in interest that is a
service provider to a Plan investing in the Offered Securities for adequate consideration, provided
such service provider is not (i) the fiduciary with respect to the Plan’s assets used to acquire the
Offered Securities or an affiliate of such fiduciary or (ii) an affiliate of the employer sponsoring the
Plan. Even if the conditions specified in one or more of these exemptions are met, the scope of the
relief provided by these exemptions might not cover all acts which might be construed as prohibited
transactions.
BY ITS PURCHASE OR HOLDING OF ANY NOTE, THE PURCHASER AND/OR HOLDER
THEREOF AND EACH TRANSFEREE WILL BE DEEMED TO HAVE REPRESENTED,
WARRANTED AND AGREED (1) EITHER THAT (A) IT IS NOT (AND FOR SO LONG AS IT
HOLDS SUCH NOTE OR INTEREST THEREIN WILL NOT BE, AND WILL NOT BE ACTING
ON BEHALF OF) A BENEFIT PLAN INVESTOR, OR A GOVERNMENTAL, CHURCH OR
NON-U.S. PLAN WHICH IS SUBJECT TO ANY SIMILAR LAWS, AND NO PART OF THE
ASSETS TO BE USED BY IT TO ACQUIRE OR HOLD SUCH NOTES OR ANY INTEREST
THEREIN CONSTITUTES THE ASSETS OF ANY BENEFIT PLAN INVESTOR OR SUCH A
GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, OR (B) ITS PURCHASE AND/OR
HOLDING OF A NOTE DOES NOT AND WILL NOT CONSTITUTE OR OTHERWISE RESULT
IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR
SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH OR
NON-U.S. PLAN, A NON-EXEMPT VIOLATION OF ANY SIMILAR LAWS) AND (II) IT WILL
NOT SELL OR OTHERWISE TRANSFER SUCH NOTES OR ANY INTEREST THEREIN
OTHERWISE THAN TO A PURCHASER OR TRANSFEREE THAT IS DEEMED TO
REPRESENT, WARRANT AND AGREE WITH RESPECT TO ITS ACQUISITION, HOLDING
AND DISPOSITION OF SUCH NOTES TO THE SAME EFFECT AS THE PURCHASERS
REPRESENTATIONS, WARRANTIES AND AGREEMENTS SET OUT IN THIS SENTENCE.
255

THE ISSUER, THE TRUSTEE AND THE INVESTMENT MANAGER SHALL BE ENTITLED TO
CONCLUSIVELY RELY UPON THE REPRESENTATIONS, WARRANTIES AND
AGREEMENTS DESCRIBED HEREIN BY PURCHASERS AND TRANSFEREES OF ANY
NOTES WITHOUT FURTHER INQUIRY.
THE PURCHASER AND ANY FIDUCIARY CAUSING IT TO ACQUIRE ANY INTEREST IN
ANY NOTES AGREES TO INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE
INVESTMENT MANAGER, THE TRUSTEE, AND THEIR RESPECTIVE AFFILIATES, FROM
AND AGAINST ANY COST, DAMAGE OR LOSS INCURRED BY ANY OF THEM AS A
RESULT OF ANY OF THE FOREGOING REPRESENTATIONS, WARRANTIES AND
AGREEMENTS BEING OR BECOMING FALSE.
ANY PURPORTED ACQUISITION OR TRANSFER OF ANY NOTE OR BENEFICIAL
INTEREST THEREIN TO A PURCHASER OR TRANSFEREE THAT DOES NOT COMPLY
WITH THE REQUIREMENTS DESCRIBED HEREIN SHALL BE NULL AND VOID AB INITIO.
Any fiduciary of an ERISA Plan or other employee benefit plan that is subject to Similar Laws that
proposes to cause an ERISA Plan or other employee benefit plan to purchase any Notes should
consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited
transaction provisions of ERISA and Section 4975 of the Code to such an investment, and to confirm
that such investment will not constitute or result in a non-exempt prohibited transaction or any other
non-exempt violation of an applicable requirement of ERISA or any Similar Laws.
The sale of any Notes to a Benefit Plan Investor is in no respect a representation by the Issuer, the
Initial Purchaser or the Investment Manager that such an investment meets all relevant legal
requirements with respect to investments by benefit plan investors generally or any particular Plan, or
that such an investment is appropriate for Benefit Plan Investors generally or any particular Benefit
Plan Investor.
256

PLAN OF DISTRIBUTION
The Royal Bank of Scotland (in its capacity as initial purchaser and placement agent, the “Initial
Purchaser”) has agreed with the Issuer, subject to the satisfaction of certain conditions, pursuant to
the Placement Agreement, to (a) subscribe and pay for each of the Rated Notes (other than the
Class A-2 Notes) and (b) solicit offers on behalf of the Issuer for €10,100,000 in principal amount of
the Class A-2 Notes, in each case at the issue price of 100 per cent. (less subscription and
underwriting fees to be agreed between the Issuer and Initial Purchaser). The Initial Purchaser may
offer the Notes at other prices as may be negotiated at the time of sale. The Placement Agreement
entitles the Initial Purchaser to terminate it in certain circumstances prior to payment being made to
the Issuer.
In connection with the offering, The Royal Bank of Scotland in its capacity as Stabilising Manager,
may over-allot or effect transactions with a view to supporting the market price of the Notes at a level
higher than that which might otherwise prevail for a limited period. However, there may be no
obligation on the Stabilising Manager to do this. Such stabilising, if commenced, may be discontinued
at any time and must be brought to an end after a limited period. Such stabilising shall be in
compliance with all applicable laws, regulations and rules. No such stabilising shall take place in or
from the United Kingdom.
It is a condition of the issue of the Notes of each Class that the Notes of each other Class be issued in
the following principal amounts: Class A-1 Notes: €104,000,000, Class A-2 Notes: €195,000,000,
Class A-3 Notes: €26,000,000, Class B-1 Notes €63,000,000, Class B-2 Notes €15,000,000, Class C
Notes: €78,000,000 and Class D Notes: €39,000,000.
The Issuer has agreed to indemnify the Initial Purchaser, the Investment Manager, the Collateral
Administrator, the Trustee and certain other participants against certain liabilities or to contribute to
payments they may be required to make in respect thereof.
Certain of the Collateral Debt Obligations may have been originally underwritten or placed by the
Initial Purchaser. In addition, the Initial Purchaser may have in the past performed and may in the
future perform investment banking services or other services for issuers of the Collateral Debt
Obligations. In addition, the Initial Purchaser and its Affiliates may from time to time as a principal or
through one or more investment funds that it or they manage, make investments in the equity
securities of one or more of the issuers of the Collateral Debt Obligations, with a result that one or
more of such issuers may be or may become controlled by the Initial Purchaser or its Affiliates.
No action has been or will be taken by the Issuer or the Initial Purchaser that would permit a public
offering of the Notes or possession or distribution of this Offering Memorandum or any other offering
material in relation to the Notes in any jurisdiction where action for the purpose is required. No offers,
sales or deliveries of any Notes, or distribution of this Offering Memorandum or any other offering
material relating to the Notes, may be made in or from any jurisdiction, except in circumstances
which will result in compliance with any applicable laws and regulations and will not impose any
obligations on the Issuer or the Initial Purchaser.
The Notes have not been and will not be registered under the Securities Act and may not be offered,
sold or delivered within the United States or to, or for the account or benefit of, U.S. Persons or to
U.S. residents (as determined for the purposes of the Investment Company Act) except in certain
transactions exempt from, or not subject to, the registration requirements of the Securities Act and in
the manner so as not to require the registration of the Issuer as an “investment company” pursuant to
the Investment Company Act.
The Issuer has been advised by the Initial Purchaser that the Initial Purchaser proposes to resell the
Notes (a) (i) outside the United States to non-U.S. Persons in offshore transactions in reliance on
Regulation S and (ii) in the United States (directly or through its U.S. broker-dealer affiliate) in
reliance on Rule 144A only to purchasers for their own account or for the accounts of QIBs, each of
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such purchasers or accountholders is a QP and (b) in accordance with all applicable securities law of
any states of the United States and any other applicable jurisdictions.
The Notes sold in reliance on Rule 144A will be issued in minimum denominations of €250,000 and
integral multiples of €1,000 in excess thereof. Any offer or sale of Rule 144A Notes in reliance on
Rule 144A will be made by broker-dealers who are registered as such under the Exchange Act. After
the Notes are released for sale, the offering price and other selling terms may from time to time be
varied by the Initial Purchaser.
The Initial Purchaser has acknowledged and agreed that it will not offer, sell or deliver any
Regulation S Notes to, or for the account or benefit of, any U.S. Person or U.S. resident (as
determined for the purposes of the Investment Company Act) (i) as part of their distribution at any
time or (ii) otherwise until 40 days after the later of the commencement of the Offering and the Issue
Date, within the United States or to, or for the account or benefit of, U.S. Persons, other than offers
and sales pursuant to Rule 144A, and that it will send to each distributor, dealer or person receiving a
selling concession, fee or other remuneration to which it sells Regulation S Notes during the
distribution compliance period (as defined in Regulation S) a confirmation or other notice setting
forth the prohibition on offers and sales of the Regulation S Notes within the United States or to, or
for the account or benefit of, any U.S. Person or U.S. resident (as determined for the purposes of the
Investment Company Act).
In addition, until 40 days after the commencement of the offering, an offer or sale of the Notes within
the United States by a dealer (whether or not participating in the offering) may violate the registration
requirements of the Securities Act if such offer or sale is made otherwise than in accordance with
Rule 144A or Regulation D under the Securities Act.
This Offering Memorandum has been prepared by the Issuer for use in connection with the offer and
sale of the Notes and for the listing of the Notes of each Class on the Irish Stock Exchange. The Issuer
and the Initial Purchaser reserve the right to reject any offer to purchase, in whole or in part, for any
reason, or to sell less than the principal amount of Notes which may be offered. This Offering
Memorandum does not constitute an offer to any person in the United States or to any U.S. Person
(except as provided herein). Distribution of this Offering Memorandum to any such U.S. Person or to
any person within the United States, other than in accordance with the procedures described above, is
unauthorised and any disclosure of any of its contents, without the prior written consent of the Issuer,
is prohibited.
The Initial Purchaser has represented and agreed that:
(a) (i) it is a person whose ordinary activities involve it in acquiring, holding, managing or
disposing of investments (as principal or agent) for the purposes of its business and (ii) it has
not offered or sold and will not offer or sell the Notes other than to persons whose ordinary
activities involve them in acquiring, holding, managing or disposing of investments (as
principal or agent) for the purposes of their businesses or who it is reasonable to expect will
acquire, hold, manage or dispose of investments (as principal or agent) for the purposes of
their businesses where the issue of the Notes would otherwise constitute a contravention of
Section 19 of the FSMA by the Issuer;
(b) it has only communicated or caused to be communicated and will only communicate or cause
to be communicated any invitation or inducement to engage in investment activity (within the
meaning of section 21 of the FSMA) received by or in connection with the issue or sale of the
Notes in circumstances in which section 21(1) of the FSMA does not apply to the Issuer; and
(c) it has complied and will comply with all applicable provisions of the FSMA with respect to
anything done by it in relation to the Notes in, from or otherwise involving the United
Kingdom.
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The Initial Purchaser has also agreed to comply with the following selling restrictions:
(a) Australia: This Offering Memorandum does not constitute a disclosure document or a
product disclosure statement for the purposes of the Corporations Act 2001 of the
Commonwealth of Australia (the “Corporations Act”) and has not been, and will not be,
lodged with the Australian Securities and Investments Commission. The Notes will be
offered to persons who receive offers in Australia only to the extent that both (a) those
persons are “wholesale clients” for the purposes of Chapter 7 of the Corporations Act; and (b)
such offers of Notes for issue or sale do not need disclosure to investors under Part 6D.2 of
the Corporations Act. Any offer of Notes received in Australia is void to the extent that it
needs disclosure to investors under the Corporations Act. In particular, offers for the issue or
sale of Notes will only be made, and this document may only be distributed, in Australia in
reliance on various exemptions from such disclosure to investors provided by section 708 of
the Corporations Act (“Section 708”) and where the investors are also “wholesale clients” as
described above.
As the offer for the issue of Notes will be made in Australia without disclosure under the
Corporations Act, the offer of those Notes for sale in Australia within 12 months of their issue
may, under section 707(3) or 1012C(6) of the Corporations Act, require disclosure to
investors under the Corporations Act if none of the exemptions under the Corporations Act
apply. Accordingly, any person to whom Notes are issued or sold pursuant to this document
must not, within 12 months after the issue, offer (or transfer, assign or otherwise alienate)
those Notes to investors in Australia except in circumstances where disclosure to investors is
not required under the Corporations Act or unless a compliant disclosure document or product
disclosure statement is prepared and lodged with the Australian Securities and Investments
Commission. Disclosure to investors would not generally be required:
(i) under Part 6D.2 of the Corporations Act where:
(A) the Notes are offered for sale on a stock exchange outside of Australia;
(B) the Notes are offered for sale to categories of “professional investors”
referred to in section 708(11) of the Corporations Act; or
(C) the Notes are offered to persons who are “sophisticated investors” that meet
the criteria set out in sections 708(8) or 708(10) of the Corporations Act; and
(ii) under Chapter 7 of the Corporations Act where the Notes are only offered to persons
who are “wholesale clients” within the meaning of section 761G of the Corporations
Act.
However, Chapter 6D and Chapter 7 of the Corporations Act is complex, and if in any doubt,
you should confer with your professional advisers regarding the position.
This document is intended to provide general information only and has been prepared without
taking into account any particular person’s objectives, financial situation or needs. Investors
should, before acting on this information, consider the appropriateness of this information
having regard to their personal objectives, financial situation or needs. Investors should
review and consider the contents of this document and obtain financial advice specific to their
situation before making any decision to make an application for the Notes.
Each of the Issuer and the Investment Manager does not hold an Australian financial services
licence.
An investor will not have cooling off rights.
(b) Belgium: The offer has not been notified to the Belgian Banking, Finance and Insurance
Commission (Commission Bancaire, Financière et des Assurances) by the offeror pursuant to
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article 18 of the Belgian law of 22 April 2003 on the Public Offering of Securities (the “Law
on Public Offerings”) nor by the Competent Authority of the Home Member State of the
Issuer pursuant to Article 18 of The Royal Decree of 16 June 2006 (the “Royal Decree”)
Directive 2003/71/EC (the “Prospectus Directive”). Accordingly no offer of the Notes may
be advertised and the Notes may not be offered or sold, and neither this document nor any
other information, document, brochure or similar document may be distributed, directly or
indirectly, to any person in Belgium other than (i) institutional investors listed in Article 10 of
the Royal Decree acting for their own account, or (ii) investors subscribing for a minimum
amount of EUR 50,000.00 each pursuant to article 3.1 of the Royal Decree.
(c) France: this Offering Memorandum is furnished to you solely for your information and may
not be reproduced or redistributed to any other person. It is solely destined for persons or
institutions to which it was initially supplied. This document does not constitute an offer or
an invitation to subscribe for or to purchase any securities and neither this document nor
anything contained herein shall form the basis of any contract or commitment whatsoever.
The information made available in the Offering Memorandum has not been prepared in the
context of a public offer of financial instruments in France and has therefore not been
submitted to the Autorité des Marchés Financiers for approval. It is made available solely for
information purposes and does not constitute an offer or invitation for the subscription or
purchase of the Notes. The Offering Memorandum is being furnished only to a limited circle
of investors (Cercle Restreint D’investisseurs) and/or qualified investors (Investisseurs
Qualifiés), on the condition that it shall not be passed on to any person nor reproduced (in
whole or in part) and that applicants undertake not to re-transfer, directly or indirectly, the
Notes to the public in France, other than in compliance with Articles l. 411-1, l. 11-2, l. 412-1
and l. 621-8 of the French Financial and Monetary Code.
(d) Germany: The Notes may not be offered or sold in the Federal Republic of Germany other
than in compliance with the restrictions contained in the German Securities Prospectus Act
(Wertpapierprospektgesetz), the German Investment Act (Investmentgesetz), respectively, and
any other laws and regulations applicable in the Federal Republic of Germany governing the
issue, the offering and the sale of securities.
The Notes may not actually be, or intended to be distributed by way of public offering, public
advertisement or in a similar manner within the meaning of the German Securities Prospectus
Act and the German Investment Act nor shall the distribution of the Offering Memorandum
or any other document relating to the Notes constitute such public offer. In addition, the
Initial Purchaser has agreed that it has offered, sold or advertised and that it will offer, sell or
advertise the Notes only to permitted institutional investors (“Institutional Investors”)
within the meaning of the leaflet of the German Federal Financial Supervisory Agency
(Bundesanstalt für Finanzdienstleistungsaufsicht – BaFin) dated April 2005 in the Federal
Republic of Germany and this Offering Memorandum may not be passed on to any other
person or entity in the Federal Republic of Germany. Furthermore, each subsequent
transferee/purchaser of the Notes will be deemed to represent that if it is a person or entity in
the Federal Republic of Germany it is an Institutional Investor and it agrees not to offer, sell
or advertise the Notes to any person or entity in the Federal Republic of Germany who is not
an Institutional Investor.
The distribution of the Notes has not been notified and the Notes are not registered or
authorised for public distribution in the Federal Republic of Germany. The Offering
Memorandum has not been filed or deposited with the German Federal Financial Supervisory
Agency.
Prospective German investors in the Notes are urged to seek independent tax advice and to
consult their professional advisors as to the legal and tax consequences that may arise from
the application of the German Investment Tax Act to the Notes and neither the Issuer (nor the
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Initial Purchaser) accepts any responsibility in respect of the German tax position of the
Notes.
(e) European Economic Area: In relation to each Member State of the European Economic
Area which has implemented Directive 2003/71/EC (each, a “Relevant Member State”) the
Initial Purchaser has represented and agreed that with effect from and including the date on
which Directive 2003/71/EC is implemented in that Relevant Member State (the “Relevant
Implementation Date”) it has not made and will not make an offer of Notes to the public in
that Relevant Member State prior to the publication of a Prospectus in relation to the Notes
which has been approved by the competent authority in that Relevant Member State or, where
appropriate, approved in another Relevant Member State and notified to the competent
authority in that Relevant Member State, all in accordance with Directive 2003/71/EC, except
that it may, with effect from and including the Relevant Implementation Date, make an offer
of Notes to the public in that Relevant Member State at any time:
(i) to legal entities which are authorised or regulated to operate in the financial markets
or, if not so authorised or regulated, whose corporate purpose is solely to invest in
securities;
(ii) to any legal entity which has two or more of (1) an average of at least 250 employees
during the last financial year; (2) a total balance sheet of more than €43,000,000 and
(3) an annual net turnover of more than €50,000,000, as shown in its last annual or
consolidated accounts; or
(iii) in any other circumstances which do not require the publication by the Issuer of a
prospectus pursuant to Article 3 of Directive 2003/71/EC.
For the purposes of this provision, the expression on “offer of Notes to the public” in relation
to any Notes in any Relevant Member State means the communication in any form and by
any means of sufficient information on the terms of the offer and the Notes to be offered so as
to enable an investor to decide to purchase or subscribe the Notes, as the same may be varied
in that Member State by any measure implementing Directive 2003/71/EC in that Member
State and the expression “Prospectus Directive” means Directive 2003/71/EC and includes
any relevant implementing measure in each Relevant Member State.
(f) Ireland: The Initial Purchaser has confirmed that:
(i) it will not underwrite the issue of, or place, the Notes otherwise than in conformity
with the provisions of the Irish Investment Intermediaries Act 1995, as amended,
including without limitation, Sections 9 and 23 thereof and any codes of conduct
rules made under Section 37 thereof and the provisions of the Investor Compensation
Act 1998;
(ii) it will not underwrite the issue of, or place, or offer, or sell the Notes except in
conformity with EC Directive 2003/ 71/ EC, the Irish Prospectus (Directive 2003/ 71/
EC) Regulations 2005 and the Irish Companies Acts 1963 to 2006; and
(iii) it has not and will not underwrite the issue of, or place, or offer, or sell the Notes
otherwise than in conformity with the Irish Market Abuse (Directive 2003/ 6/ EC)
Regulations 2005.
(g) Israel: This offer is intended solely for investors listed in the first supplement of the Israeli
Securities Law, 1968 as amended. This Offering Memorandum has not been prepared or
filed, and will not be prepared or filed, in Israel relating to the securities hereunder. The
Notes cannot be resold in Israel other than to entities who qualify for an exemption under
Section 15a(b) of the Israeli Securities Law, 1968.
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(h) New Zealand: The Notes may not be offered, sold or delivered, directly or indirectly, nor
may any Offering Memorandum or advertisement in relation to any offer of Notes be
distributed in New Zealand, other than:
(i) to persons whose principal business is the investment of money or who, in the course
of and for the purposes of their business, habitually invest money, or who in all the
circumstances can properly be regarded as having been selected other than as
members of the public; or
(ii) in other circumstances where there is no contravention of the Securities Act 1978 of
New Zealand.
(i) Portugal: No offer of the Notes has been registered with the Portuguese Securities Market
Commission (the “CMVM”). the Initial Purchaser will represent, warrant and agree, it has
not offered or sold, and it will not offer or sell any Notes in Portugal or to residents of
Portugal otherwise than in accordance with applicable Portuguese law.
No action has been or will be taken that would permit a public offering of any of the Notes in
Portugal. Accordingly, no Notes may be offered, sold or delivered except in circumstances
that will result in compliance with any applicable laws and regulations. in particular, the
Initial Purchaser will represent, warrant and agree that no offer has been addressed to more
than 200 (non-institutional) Portuguese investors; no offer has been preceded or followed by
promotion or solicitation to unidentified investors, or followed by publication of any
promotional material. The Notes are intended for institutional investors. Institutional investors
within the meaning of Article 30 of the Securities Code (“Código dos Valores Mobiliários”)
includes credit institutions, investment firms, insurance companies, collective investment
institutions and their respective managing companies, pension funds and their respective
pension fund-managing companies, other authorised or regulated financial institutions,
notably securitisation funds and their respective management companies and all other
financial companies, securitisation companies, venture capital companies, venture capital
funds and their respective management companies.
(j) Spain: The sale of the Notes described herein does not form part of any public offer of the
notes in Spain. Each investor in Spain has acknowledged and represented that it has entered
into an individual transaction that has been negotiated and/or agreed between it and the seller
of the Notes upon the request of such investor. Each investor in Spain acknowledges that it
has not received any advertising or marketing material from the seller of the Notes regarding
such transaction. Any subsequent transaction such investor executes regarding the Notes
(including requesting the registrar to transfer the notes on to any entity managed or controlled
by such investor) will be executed on the investor’s own behalf only and not on behalf of or
for the account of any other person.
These Notes may not be directly or indirectly sold, transferred or delivered in Spain in any
manner, at any time other than to qualified investors (Inversores Cualificados), which for the
purposes hereof shall include only pension funds (Fondos de Pensiones), collective
investment schemes (Instituciones de Inversión Colectiva), securitisation funds (Fondos de
Titulización), insurance companies (Compañías de Seguros), banks, saving banks and other
credit entities (Bancos, Cajas de Ahorro y Otras Entidades de Credito) and securities firms
(Sociedades y Agencias de Valores) and other investors classified by Spanish securities laws
and regulations as “qualified investors” (Inversores Cualificados).
The offering or sale of the Notes contemplated in the Offering Memorandum, or the
distribution of the Offering Memorandum or any other document relating to the Notes in
Spain shall not constitute, pursuant to the Article 30 bis 1 of Law 24/1988 of 28 July of the
Securities Markets (as amended by Royal Decree Law 5/2005 of 11 March), a public offering
of securities in Spain. As a consequence, the Offering Memorandum (and no other offering
circular or prospectus relating to the notes) has not been and is not envisaged to be approved
262

y, registered or filed with, or notified to the Comision Nacional del Mercado de Valores or
any other regulatory authority in Spain, and does not constitute a prospectus for the public
offering of securities in Spain.
(k) Sweden: Neither the offering of the Notes nor this Offering Memorandum is subject to any
registration or approval requirements in Sweden and this Offering Memorandum has not
been, nor will it be, registered or approved by Finansinspektionen.
Accordingly, the Notes may not, directly or indirectly, be offered or sold to any member of
the public in Sweden except in circumstances that will not result in a requirement to prepare a
prospectus pursuant to the provisions of the Swedish Financial Instruments Trading Act (Lag
(1991:980) om Handel med Finansiella Instrument).
This document may not be reproduced or directly not indirectly be distributed to any other
person other than the original recipient without the express consent of the Initial Purchaser.
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TRANSFER RESTRICTIONS
As a result of the following restrictions, purchasers are advised to consult legal counsel prior to
making any offer, resale, pledge or transfer of the Notes.
Rule 144A Notes
Each prospective purchaser of Rule 144A Notes, by accepting delivery of this Offering Memorandum,
will be deemed to have represented and agreed that such person acknowledges that this Offering
Memorandum is personal to it and does not constitute an offer to any other person or to the public
generally to subscribe for or otherwise acquire Notes other than pursuant to Rule 144A
(“Rule 144A”) under the U.S. Securities Act of 1933, as amended (the “Securities Act”) or in
offshore transactions in accordance with Regulation S (“Regulation S”) under the Securities Act.
Distribution of this Offering Memorandum, or disclosure of any of its contents to any person other
than such offeree and those persons, if any, retained to advise it with respect thereto is unauthorised
and any disclosure of any of its contents, without the prior written consent of the Issuer, is prohibited.
Each purchaser of Notes represented by a Rule 144A Global Certificate or a Class A-2 Rule 144A
Certificate, unless where otherwise specified, will be deemed to have represented and agreed as
follows:
1. The purchaser (a) is a qualified institutional buyer (“QIB”) as defined in Rule 144A, (b) is
aware that the sale of such Rule 144A Notes to it is being made in reliance on Rule 144A, (c)
is acquiring such Notes for its own account or for the account of a QIB as to which the
purchaser exercises sole investment discretion, and in a principal amount of not less than
€250,000 for the purchaser and for each such account and (d) will provide notice of the
transfer restrictions described in the “Notice to Investors” to any subsequent transferees.
2. The purchaser understands that such Rule 144A Notes have not been and will not be
registered under the Securities Act, and may be reoffered, resold or pledged or otherwise
transferred only (a) (i) to a person whom the purchaser reasonably believes is a QIB
purchasing for its own account or for the account of a QIB as to which the purchaser exercises
sole investment discretion in a transaction meeting the requirements of Rule 144A or (ii) in an
offshore transaction complying with Rule 903 or Rule 904 of Regulation S and (b) in
accordance with all applicable securities laws including the securities laws of any state of the
United States and any other applicable jurisdictions. The purchaser understands that the
Issuer has not been registered under the Investment Company Act, and that the Issuer is
exempt from registration as such by virtue of Section 3(c)(7) of the U.S. Investment Company
Act of 1940, as amended (the “Investment Company Act”). The purchaser understands that
before any interest in a Rule 144A Note may be offered, sold, pledged or otherwise
transferred to a person who takes delivery in the form of an interest in the Regulation S Notes,
the Registrar is required to receive a written certification from the purchaser (in the form
provided in the Trust Deed) as to compliance with the transfer restrictions described herein.
The purchaser understands and agrees that any purported transfer of the Rule 144A Notes to a
purchaser that does not comply with the requirements of this paragraph 2 shall be null and
void ab initio.
3. The purchaser is not purchasing such Rule 144A Notes with a view toward the resale,
distribution or other disposition thereof in violation of the Securities Act. The purchaser
understands that an investment in the Rule 144A Notes involves certain risks, including the
risk of loss of its entire investment in the Rule 144A Notes under certain circumstances. The
purchaser has had access to such financial and other information concerning the Issuer and
the Notes as it deemed necessary or appropriate in order to make an informed investment
decision with respect to its purchase of the Rule 144A Notes, including an opportunity to ask
questions of, and request information from, the Issuer.
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4. In connection with the purchase of the Rule 144A Notes (a) none of the Issuer, the Initial
Purchaser, the Trustee, the Investment Manager or the Collateral Administrator is acting as a
fiduciary or financial or investment manager for the purchaser, (b) the purchaser is not relying
(for purposes of making any investment decision or otherwise) upon any advice, counsel or
representations (whether written or oral) of the Issuer, the Initial Purchaser, the Trustee, the
Investment Manager or the Collateral Administrator other than in this Offering Memorandum
and any related Pricing Supplement for such Notes and any representations expressly set out
in a written agreement with such party, (c) none of the Issuer, the Initial Purchaser, the
Trustee, the Investment Manager or the Collateral Administrator has given to the purchaser
(directly or indirectly through any other person) any assurance, guarantee or representation
whatsoever as to the expected or projected success, profitability, return, performance, result,
effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or
otherwise) as to an investment in the Rule 144A Notes, (d) the purchaser has consulted with
its own legal, regulatory, tax, business, investment, financial and accounting advisors to the
extent it has deemed necessary, and it has made its own investment decisions (including
decisions regarding the suitability of any transaction pursuant to the Trust Deed) based upon
its own judgment and upon any advice from such advisors as it has deemed necessary and not
upon any view expressed by the Issuer, the Initial Purchaser, the Trustee, the Investment
Manager or the Collateral Administrator, (e) the purchaser has evaluated the rates, prices or
amounts and other terms and conditions of the purchase and sale of the Rule 144A Notes with
a full understanding of all of the risks thereof (economic and otherwise), and it is capable of
assuming and willing to assume (financially and otherwise) those risks; (f) the purchaser is a
sophisticated investor; and (g) if acquiring the Rule 144A Notes for an account, the purchaser
has not made any disclosure, assurance, guarantee or representation not consistent with the
provisions and requirements contained herein.
5. The purchaser and each account for which the purchaser is acquiring such Rule 144A Notes is
a qualified purchaser (“Qualified Purchaser”) for purposes of Section 3(c)(7) of the
Investment Company Act. The purchaser is acquiring the Rule 144A Notes in a principal
amount of not less than €250,000. The purchaser and each such account is acquiring the
Rule 144A Notes as principal for its own account for investment and not for sale in
connection with any distribution thereof. The purchaser and each such account: (a) was not
formed for the specific purpose of investing in the Rule 144A Notes (except when each
beneficial owner of the purchaser and each such account is a Qualified Purchaser for purposes
of Section 3(c)(7) of the Investment Company Act); (b) to the extent the purchaser is a private
investment company formed before 30 April 1996, the purchaser has received the necessary
consent from its beneficial owners; (c) is not a pension, profit sharing or other retirement trust
fund or plan in which the partners, beneficiaries or participants, as applicable, may designate
the particular investments to be made; and (d) is not a broker-dealer that owns and invests on
a discretionary basis less than U.S.$25,000,000 in securities of unaffiliated issues. Further,
the purchaser agrees with respect to itself and each such account: (x) that it shall not hold
such Rule 144A Notes for the benefit of any other person and shall be the sole beneficial
owner thereof for all purposes; (y) that it shall not sell participation interests in the Rule 144A
Notes or enter into any other arrangement pursuant to which any other person shall be entitled
to a beneficial interest in the distributions on the Rule 144A Notes; and (z) that the Rule 144A
Notes purchased directly or indirectly by it constitute an investment of no more than 40 per
cent. of the purchaser’s and each such account’s assets (except when each beneficial owner of
the purchaser and each such account is a Qualified Purchaser for purposes of Section 3(c)(7)
of the Investment Company Act). The purchaser understands and agrees that any purported
transfer of the Rule 144A Notes to a purchaser that does not comply with the requirements of
this paragraph 5 will be of no force and effect, will be void ab initio and the Issuer will have
the right to direct the purchaser to transfer its Rule 144A Notes to a Person who meets the
foregoing criteria. Such purchaser understands that the Issuer may receive a list of
participants holding positions in the Notes from one or more book-entry depositories.
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6. (a) With respect to the purchase, holding and disposition of any Note, or any interest
therein, (1) either (i) is not, and is not acting on behalf of (and for so long as it holds
any such Note or any interest therein will not be, and will not be acting on behalf of),
an employee benefit plan (as defined in Section 3(3) of the U.S. Employee
Retirement Income Security Act of 1974, as amended (“ERISA”)) subject to the
provisions of part 4 of subtitle B of Title I of ERISA, a plan to which Section 4975 of
the U.S. Internal Revenue Code of 1986, as amended (“Code”), applies, or any entity
whose underlying assets include “plan assets” by reason of such an employee benefit
plan’s or plan’s investment in such entity (each, a “Benefit Plan Investor”), or a
governmental, church or non-U.S. plan which is subject to any federal, state, local,
non-U.S. or other laws or regulations that are substantially similar to the fiduciary
responsibility or prohibited transaction provisions of ERISA or the provisions of
Section 4975 of the Code (“Similar Laws”), and no part of the assets to be used by it
to acquire or hold such Notes or any interest therein constitutes the assets of any such
Benefit Plan Investor or such plan, or (ii) its acquisition, holding and disposition of
such Note or interest therein does not and will not constitute or otherwise result in a
non-exempt prohibited transaction under Section 406 of ERISA and/or Section 4975
of the Code (or, in the case of a governmental, church or non-U.S. plan, a non-exempt
violation of any Similar Laws); and (2) it will not sell or otherwise transfer such Note
or any interest therein otherwise than to an acquirer or transferee that is deemed to
make these same representations, warranties and agreements with respect to its
acquisition, holding and disposition of such Notes. Any purported transfer of a Note,
or any interest therein, to a purchaser that does not comply with the requirements of
this paragraph 6(a) will be of no force and effect, and shall be null and void ab initio.
(b) The purchaser acknowledges that the Issuer, the Initial Purchaser, the Trustee, the
Investment Manager and the Collateral Administrator and their Affiliates, and others,
will rely upon the truth and accuracy of the foregoing acknowledgements,
representations and agreements.
7. The purchaser understands that pursuant to the terms of the Trust Deed, the Issuer has agreed
that the Rule 144A Global Certificates offered in reliance on Rule 144A will bear the legend
set out below, and will be represented by one or more Rule 144A Global Certificates, and the
Class A-2 Rule 144A Certificates offered in reliance on Rule 144A will bear the legend set
out below (other than the paragraphs which are specified as being not applicable to such
Class A-2 Notes). The Rule 144A Global Certificates and the Class A-2 Rule 144A
Certificates may not at any time be held by or on behalf of, within the United States, persons,
or outside the United States, U.S. Persons that are not both QIBs and Qualified Purchasers.
Before any interest in a Rule 144A Global Certificate or a Class A-2 Rule 144A Certificate
may be offered, resold, pledged or otherwise transferred to a person who takes delivery in the
form of an interest in a Regulation S Global Certificate or a Class A-2 Regulation S
Certificate, as applicable, the transferor will be required to provide the Trustee with a written
certification (in the form provided in the Trust Deed) as to compliance with the transfer
restrictions.
THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE
UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES
ACT”), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED
STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE
“INVESTMENT COMPANY ACT”). THE HOLDER HEREOF, BY PURCHASING THE
NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE
BENEFIT OF THE ISSUER THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED
OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER
REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER WITHIN THE
MEANING OF RULE 144A UNDER THE SECURITIES ACT (A “QUALIFIED
INSTITUTIONAL BUYER”) PURCHASING FOR ITS OWN ACCOUNT OR FOR THE
266

ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION
MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT IN
A PRINCIPAL AMOUNT OF NOT LESS THAN €250,000 FOR THE PURCHASER AND
FOR EACH ACCOUNT FOR WHICH IT IS ACTING OR (2) IN AN OFFSHORE
TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S OF
THE SECURITIES ACT IN A PRINCIPAL AMOUNT OF NOT LESS THAN €100,000
FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, IN
THE CASE OF (1), TO A PURCHASER THAT (V) IS A QUALIFIED PURCHASER FOR
THE PURPOSE OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W)
WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT
WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED
PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS
BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT
COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER
THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN
U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A
PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN
WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE,
MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A
TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE
INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL
APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES AND
ANY OTHER APPLICABLE JURISDICTIONS. ANY TRANSFER IN VIOLATION OF
THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO
AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE,
NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER,
THE TRUSTEE OR ANY INTERMEDIARY. IN ADDITION TO THE FOREGOING, THE
ISSUER MAINTAINS THE RIGHT TO DIRECT THE RESALE OF ANY NOTES
PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN
THE TRUST DEED) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF
THE TRUST DEED. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE
OF THE TRANSFER RESTRICTIONS SET OUT HEREIN AND IN THE TRUST DEED
TO ITS TRANSFEREE.
*EACH PURCHASER OF NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN
ISSUED UNDERSTANDS THAT THE ISSUER MAY RECEIVE A LIST OF
PARTICIPANTS HOLDING POSITIONS IN THE NOTES FROM ONE OR MORE
BOOK-ENTRY DEPOSITORIES. * Not Applicable for Class A-2 Rule 144A Certificates.
PRINCIPAL OF THIS NOTE IS PAYABLE AS SET OUT HEREIN. ACCORDINGLY,
THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS
THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING
THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY
OF THE TRUSTEE.
BY ACCEPTING THIS NOTE (OR ANY INTEREST IN THE NOTES REPRESENTED
HEREBY) EACH PURCHASER AND HOLDER HEREOF, IS DEEMED TO
REPRESENT, WARRANT AND AGREE (I) EITHER THAT (A) IT IS NOT, AND IT IS
NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR
ANY INTEREST HEREIN WILL NOT BE, AND WILL NOT BE ACTING ON BEHALF
OF), AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE
UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS
AMENDED (“ERISA”)), THAT IS SUBJECT TO THE PROVISIONS OF PART 4 OF
SUBTITLE B OF TITLE I OF ERISA, A PLAN TO WHICH SECTION 4975 OF THE
UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (“CODE”),
APPLIES, OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE “PLAN
267

ASSETS” BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN’S OR PLAN’S
INVESTMENT IN SUCH ENTITY (EACH, A “BENEFIT PLAN INVESTOR”) (OR A
GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WHICH IS SUBJECT TO ANY
FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAWS OR REGULATIONS THAT
ARE SUBSTANTIALLY SIMILAR TO THE FIDUCIARY RESPONSIBILITY OR THE
PROHIBITED TRANSACTION PROVISIONS OF ERISA AND/OR SECTION 4975 OF
THE CODE (“SIMILAR LAWS”)), AND NO PART OF THE ASSETS USED BY IT TO
ACQUIRE OR HOLD THIS NOTE OR ANY INTEREST HEREIN CONSTITUTES THE
ASSETS OF ANY BENEFIT PLAN INVESTOR OR SUCH A GOVERNMENTAL,
CHURCH OR NON-U.S. PLAN OR (B) THE ACQUISITION, HOLDING AND
DISPOSITION OF THIS NOTE OR ANY INTEREST HEREIN DOES NOT AND WILL
NOT CONSTITUTE OR OTHERWISE RESULT IN A NON-EXEMPT PROHIBITED
TRANSACTION UNDER SECTION 406 OF ERISA AND/OR SECTION 4975 OF THE
CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, A
NON-EXEMPT VIOLATION OF ANY SIMILAR LAWS); AND (II) IT WILL NOT SELL
OR OTHERWISE TRANSFER THIS NOTE OR ANY INTEREST HEREIN OTHERWISE
THAN TO AN ACQUIRER OR TRANSFEREE THAT IS DEEMED TO REPRESENT,
WARRANT AND AGREE WITH RESPECT TO ITS ACQUISITION, HOLDING AND
DISPOSITION OF THIS NOTE TO THE SAME EFFECT AS THE BENEFICIAL
OWNER’S REPRESENTATIONS, WARRANTIES AND AGREEMENTS SET OUT IN
THIS SENTENCE.
THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY PAYING
AGENT WITH THE APPLICABLE U.S. FEDERAL INCOME TAX CERTIFICATIONS
(GENERALLY, AN INTERNAL REVENUE SERVICE FORM W-9 (OR SUCCESSOR
APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS A “UNITED STATES
PERSON” WITHIN THE MEANING OF SECTION 7701(a)(30) OF THE CODE OR AN
APPLICABLE INTERNAL REVENUE SERVICE FORM W-8 (OR SUCCESSOR
APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS NOT A “UNITED
STATES PERSON” WITHIN THE MEANING OF SECTION 7701(a)(30) OF THE CODE)
MAY RESULT IN U.S. FEDERAL BACK-UP WITHHOLDING FROM PAYMENTS TO
THE HOLDER IN RESPECT OF THIS NOTE.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A NOTE, BY ACCEPTANCE
OF SUCH NOTE, OR ITS INTEREST IN A NOTE, AS THE CASE MAY BE, SHALL BE
DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH NOTE AS
DEBT OF THE ISSUER FOR UNITED STATES FEDERAL INCOME TAX PURPOSES.
THE CLASS C AND CLASS D NOTES ARE BEING ISSUED WITH ORIGINAL ISSUE
DISCOUNT (“OID”). THE ISSUE PRICE, TOTAL AMOUNT OF OID, ISSUE DATE
AND YIELD TO MATURITY MAY BE OBTAINED BY CONTACTING THE TRUSTEE
AT ONE GREAT WINCHESTER STREET LONDON EC2N 2DB.
EACH HOLDER AND BENEFICIAL OWNER OF A NOTE THAT IS NOT A “UNITED
STATES PERSON” (AS DEFINED IN SECTION 7701(a)(30) OF THE CODE) WILL
MAKE, OR BY ACQUIRING SUCH NOTE OR AN INTEREST THEREIN WILL BE
DEEMED TO MAKE, A REPRESENTATION TO THE EFFECT THAT (A) EITHER (I) IT
IS NOT A BANK EXTENDING CREDIT PURSUANT TO A LOAN AGREEMENT
ENTERED INTO IN THE ORDINARY COURSE OF ITS TRADE OR BUSINESS
(WITHIN THE MEANING OF SECTION 881(c)(3)(A) OF THE CODE), OR (II) IT IS A
PERSON THAT IS ELIGIBLE FOR BENEFITS UNDER AN INCOME TAX TREATY
WITH THE UNITED STATES THAT ELIMINATES U.S. FEDERAL INCOME
TAXATION OF U.S. SOURCE INTEREST NOT ATTRIBUTABLE TO A PERMANENT
ESTABLISHMENT IN THE UNITED STATES AND (B) IT IS NOT PURCHASING THE
NOTE IN ORDER TO REDUCE ITS U.S. FEDERAL INCOME TAX LIABILITY
PURSUANT TO A TAX AVOIDANCE PLAN.
268

8. The purchaser will not, at any time, offer to buy or offer to sell the Notes by any form of
general solicitation or advertising, including, but not limited to, any advertisement, article,
notice or other communication published in any newspaper, magazine or similar medium or
broadcast over television or radio or seminar or meeting whose attendees have been invited
by general solicitations or advertising.
9. Prospective purchasers are hereby notified that sellers of the Notes may be relying on the
exemption from the provisions of Section 5 of the Securities Act provided by Rule 144A.
10. Each holder and beneficial owner of a Rule 144 Note, by acceptance of its Rule 144 Note or
its interest in a Note, shall be deemed to understand and acknowledge that failure to provide
the Issuer, the Trustee or any Paying Agent with the applicable U.S. federal income tax
certifications (generally, a United States Internal Revenue Service Form W-9 (or successor
applicable form) in the case of a person that is a “United States person” within the meaning of
Section 7701(a)(30) of the Code or an appropriate United States Internal Revenue Service
Form W-8 (or successor applicable form) in the case of a person that is not a “United States
person” within the meaning of Section 7701(a)(30) of the Code) may result in U.S. federal
back-up withholding from payments in respect of such Note.
11. Each purchaser or subsequent transferee of a Note that is not a “United States person” (as
defined in Section 7701(a)(30) of the Code) will make, or by acquiring such note or an
interest therein will be deemed to make, a representation to the effect that (A) either (i) it is
not a bank extending credit pursuant to a loan agreement entered into in the ordinary course
of its trade or business (within the meaning of Section 881(c)(3)(A) of the Code) or (2) it is a
person that is eligible for benefits under an income tax treaty with the United States that
eliminates U.S. federal income taxation of U.S. source interest not attributable to a permanent
establishment in the United States and (B) it is not purchasing the Notes in order to reduce its
U.S. federal income tax liability pursuant to a tax avoidance plan.
Regulation S Notes
Each purchaser of Regulation S Notes represented by a Regulation S Global Certificate or a Class A-2
Regulation S Certificate, unless where otherwise specified, will be deemed to have made the
representations set out in paragraphs 4 and 6 above and to have further represented and agreed as
follows:
1. The purchaser is located outside the United States and is not a U.S. Person.
2. The purchaser understands that the Notes have not been and will not be registered under the
Securities Act and that the Issuer has not registered and will not register under the Investment
Company Act. It agrees, for the benefit of the Issuer, the Initial Purchaser and any of their
Affiliates, that, if it decides to resell, pledge or otherwise transfer such Notes (or any
beneficial interest or participation therein) purchased by it, any offer, sale or transfer of such
Notes (or any beneficial interest or participation therein) will be made in compliance with the
Securities Act and only (a) to a person (i) it reasonably believes is a QIB purchasing for its
own account or for the account of a QIB in a nominal amount of not less than €250,000 for it
and each such account, in a transaction that meets the requirements of Rule 144A and takes
delivery in the form of a Rule 144A Note and (ii) that constitutes a “qualified purchaser” for
the purposes of Section 3(c)(7) of the Investment Company Act; or (b) to a non-U.S. Person
in an offshore transaction in accordance with Rule 903 or Rule 904 (as applicable) under
Regulation S.
3. The purchaser understands that unless the Issuer determines otherwise in compliance with
applicable law, such Notes will bear a legend set out below.
THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE
UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES
269

ACT”), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED
STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE
“INVESTMENT COMPANY ACT”). THE HOLDER HEREOF, BY PURCHASING THE
NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE
BENEFIT OF THE ISSUER THAT THIS NOTE MAY BE OFFERED, SOLD, PLEDGED
OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER
REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER WITHIN THE
MEANING OF RULE 144A UNDER THE SECURITIES ACT (A “QUALIFIED
INSTITUTIONAL BUYER”) PURCHASING FOR ITS OWN ACCOUNT OR FOR THE
ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION
MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT IN
A PRINCIPAL AMOUNT OF NOT LESS THAN €250,000 FOR THE PURCHASER AND
FOR EACH ACCOUNT FOR WHICH IT IS ACTING OR (2) IN AN OFFSHORE
TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S OF
THE SECURITIES ACT IN A PRINCIPAL AMOUNT OF NOT LESS THAN €100,000
FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, TO
A PURCHASER THAT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSE OF
SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED
FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH
BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (X)
HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS
WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED
BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND
INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN
SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT
SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE
PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY
DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A
TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE
INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL
APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES AND
ANY OTHER APPLICABLE JURISDICTIONS. ANY TRANSFER IN VIOLATION OF
THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO
AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE,
NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER,
THE TRUSTEE OR ANY INTERMEDIARY. IN ADDITION TO THE FOREGOING, THE
ISSUER MAINTAINS THE RIGHT TO DIRECT THE RESALE OF ANY NOTES
PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN
THE TRUST DEED) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF
THE TRUST DEED. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE
OF THE TRANSFER RESTRICTIONS SET OUT HEREIN AND IN THE TRUST DEED
TO ITS TRANSFEREE.
*EACH PURCHASER OF THIS NOTE OR ANY BENEFICIAL INTEREST HEREIN
UNDERSTANDS THAT THE ISSUER MAY RECEIVE A LIST OF PARTICIPANTS
HOLDING POSITIONS IN THE NOTES FROM ONE OR MORE BOOK-ENTRY
DEPOSITORIES. * Not Applicable for Class A-2 Regulation S Certificates.
TRANSFERS OF THIS NOTE OR OF PORTIONS OF THIS NOTE SHOULD BE
LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET
OUT IN THE TRUST DEED REFERRED TO HEREIN.
PRINCIPAL OF THIS NOTE IS PAYABLE AS SET OUT HEREIN. ACCORDINGLY,
THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS
THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING
270

THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY
OF THE TRUSTEE.
BY ACCEPTING THIS NOTE (OR ANY INTEREST IN THE NOTES REPRESENTED
HEREBY) EACH PURCHASER AND HOLDER HEREOF, IS DEEMED TO
REPRESENT, WARRANT AND AGREE (I) EITHER THAT (A) IT IS NOT, AND IT IS
NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR
ANY INTEREST HEREIN WILL NOT BE, AND WILL NOT BE ACTING ON BEHALF
OF), AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE
UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS
AMENDED (“ERISA”)), THAT IS SUBJECT TO THE PROVISIONS OF PART 4 OF
SUBTITLE B OF TITLE I OF ERISA, A PLAN TO WHICH SECTION 4975 OF THE
UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (“CODE”),
APPLIES, OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE “PLAN
ASSETS” BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN’S OR PLAN’S
INVESTMENT IN SUCH ENTITY (EACH, A “BENEFIT PLAN INVESTOR”) (OR A
GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WHICH IS SUBJECT TO ANY
FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAWS OR REGULATIONS THAT
ARE SUBSTANTIALLY SIMILAR TO THE FIDUCIARY RESPONSIBILITY OR THE
PROHIBITED TRANSACTION PROVISIONS OF ERISA AND/OR SECTION 4975 OF
THE CODE (“SIMILAR LAWS”)), AND NO PART OF THE ASSETS USED BY IT TO
ACQUIRE OR HOLD THIS NOTE OR ANY INTEREST HEREIN CONSTITUTES THE
ASSETS OF ANY BENEFIT PLAN INVESTOR OR SUCH A GOVERNMENTAL,
CHURCH OR NON-U.S. PLAN OR (B) THE ACQUISITION, HOLDING AND
DISPOSITION OF THIS NOTE OR ANY INTEREST HEREIN DOES NOT AND WILL
NOT CONSTITUTE OR OTHERWISE RESULT IN A NON-EXEMPT PROHIBITED
TRANSACTION UNDER SECTION 406 OF ERISA AND/OR SECTION 4975 OF THE
CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, A
NON-EXEMPT VIOLATION OF ANY SIMILAR LAWS); AND (II) IT WILL NOT SELL
OR OTHERWISE TRANSFER THIS NOTE OR ANY INTEREST HEREIN OTHERWISE
THAN TO AN ACQUIRER OR TRANSFEREE THAT IS DEEMED TO REPRESENT,
WARRANT AND AGREE WITH RESPECT TO ITS ACQUISITION, HOLDING AND
DISPOSITION OF THIS NOTE TO THE SAME EFFECT AS THE BENEFICIAL
OWNER’S REPRESENTATIONS, WARRANTIES AND AGREEMENTS SET OUT IN
THIS SENTENCE.
THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY PAYING
AGENT WITH THE APPLICABLE U.S. FEDERAL INCOME TAX CERTIFICATIONS
(GENERALLY, AN INTERNAL REVENUE SERVICE FORM W-9 (OR SUCCESSOR
APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS A “UNITED STATES
PERSON” WITHIN THE MEANING OF SECTION 7701(a)(30) OF THE CODE OR AN
APPLICABLE INTERNAL REVENUE SERVICE FORM W-8 (OR SUCCESSOR
APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS NOT A “UNITED
STATES PERSON” WITHIN THE MEANING OF SECTION 7701(a)(30) OF THE CODE)
MAY RESULT IN U.S. FEDERAL BACK-UP WITHHOLDING FROM PAYMENTS TO
THE HOLDER IN RESPECT OF THIS NOTE.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A NOTE, BY ACCEPTANCE
OF SUCH NOTE, OR ITS INTEREST IN A NOTE, AS THE CASE MAY BE, SHALL BE
DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH NOTE AS
DEBT OF THE ISSUER FOR UNITED STATES FEDERAL INCOME TAX PURPOSES.
THE CLASS C AND CLASS D NOTES ARE BEING ISSUED WITH ORIGINAL ISSUE
DISCOUNT (“OID”). THE ISSUE PRICE, TOTAL AMOUNT OF OID, ISSUE DATE
AND YIELD TO MATURITY MAY BE OBTAINED BY CONTACTING THE TRUSTEE
AT ONE GREAT WINCHESTER STREET LONDON EC2N 2DB.
271

EACH HOLDER AND BENEFICIAL OWNER OF A NOTE THAT IS NOT A “UNITED
STATES PERSON” (AS DEFINED IN SECTION 7701(a)(30) OF THE CODE) WILL
MAKE, OR BY ACQUIRING SUCH NOTE OR AN INTEREST THEREIN WILL BE
DEEMED TO MAKE, A REPRESENTATION TO THE EFFECT THAT (A) EITHER (I) IT
IS NOT A BANK EXTENDING CREDIT PURSUANT TO A LOAN AGREEMENT
ENTERED INTO IN THE ORDINARY COURSE OF ITS TRADE OR BUSINESS
(WITHIN THE MEANING OF SECTION 881(c)(3)(A) OF THE CODE), OR (II) IT IS A
PERSON THAT IS ELIGIBLE FOR BENEFITS UNDER AN INCOME TAX TREATY
WITH THE UNITED STATES THAT ELIMINATES U.S. FEDERAL INCOME
TAXATION OF U.S. SOURCE INTEREST NOT ATTRIBUTABLE TO A PERMANENT
ESTABLISHMENT IN THE UNITED STATES AND (B) IT IS NOT PURCHASING THE
NOTE IN ORDER TO REDUCE ITS U.S. FEDERAL INCOME TAX LIABILITY
PURSUANT TO A TAX AVOIDANCE PLAN.
4. The purchaser acknowledges that the Issuer, the Initial Purchaser, the Trustee, the Investment
Manager or the Collateral Administrator and their Affiliates, and others will rely upon the
truth and accuracy of the foregoing acknowledgements, representations and agreements.
5. The purchaser understands that the Regulation S Notes may not, at any time, be held by, or on
behalf of, U.S. Persons.
6. Each holder and beneficial owner of a Regulation S Note, by acceptance of its Regulation S
Note or its interest in a Note, shall be deemed to understand and acknowledge that failure to
provide the Issuer, the Trustee or any Paying Agent with the applicable U.S. federal income
tax certifications (generally, a United States Internal Revenue Service Form W-9 (or
successor applicable form) in the case of a person that is a “United States person” within the
meaning of Section 7701(a)(30) of the Code or an appropriate United States Internal Revenue
Service Form W-8 (or successor applicable form) in the case of a person that is not a “United
States person” within the meaning of Section 7701(a)(30) of the Code) may result in U.S.
federal back-up withholding from payments in respect of such Note.
7. Each purchaser or subsequent transferee of a Note that is not a “United States person” (as
defined in Section 7701(a)(30) of the Code) will make, or by acquiring such note or an
interest therein will be deemed to make, a representation to the effect that (A) either (i) it is
not a bank extending credit pursuant to a loan agreement entered into in the ordinary course
of its trade or business (within the meaning of Section 881(c)(3)(A) of the Code) or (2) it is a
person that is eligible for benefits under an income tax treaty with the United States that
eliminates U.S. federal income taxation of U.S. source interest not attributable to a permanent
establishment in the United States and (B) it is not purchasing the Notes in order to reduce its
U.S. federal income tax liability pursuant to a tax avoidance plan.
A transferor who transfers an interest in a Regulation S Note to a transferee who will hold the interest
in the same form is not required to make any additional representation or certification; provided that
any transferee of such Note will be deemed to acknowledge, represent and agree with the Issuer, the
Trustee and the Registrar as to the matters set out in paragraph 6 above under Rule 144A Notes.
272

1. CLEARING SYSTEMS
GENERAL INFORMATION
The Notes of each Class (other than the Class A-2 Notes) have been accepted for clearance
through Euroclear and Clearstream, Luxembourg. The Common Code and International
Securities Identification Number (“ISIN”) for the Regulation S Notes of each Class (other
than the Class A-2 Notes) and the Common Code for the Rule 144A of each Class (other than
the Class A-2 Notes) is set out below.
Regulation S Notes Rule 144A Notes
ISIN Common Code ISIN Common Code
Class A-1 Notes XS0304177636 030417763 XS0304185571 030418557
Class A-3 Notes XS0304180424 030418042 XS0304190225 030419022
Class B-1 Notes XS0304183014 030418301 XS0304190902 030419090
Class B-2 Notes XS0304184764 030418476 XS0304192940 030419294
Class C Notes XS0304183287 030418328 XS0304191546 030419154
Class D Notes XS0304183790 030418379 XS0304192353 030419235
2. LISTING
The listing of the offered Notes of each Class on the Official List of the Irish Stock Exchange
is expected to be granted on or about 5 July 2007.
3. CONSENTS AND AUTHORISATIONS
The Issuer has obtained all necessary consents, approvals and authorisations in England and
Wales (if any) in connection with the issue and performance of the Notes. The issue of the
Notes was authorised by resolution of the board of Directors of the Issuer passed on 3 July
2007.
4. NO SIGNIFICANT OR MATERIAL CHANGE
There has been no significant change in the financial or trading position or prospects of the
Issuer since its incorporation on 1 December 2006 and there has been no material adverse
change in the financial position or prospects of the Issuer since its incorporation on 1
December 2006.
5. NO LITIGATION
The Issuer is not involved, and has not been involved, in any governmental, legal or
arbitration proceedings (including any such proceedings which are pending or threatened of
which the Issuer is aware) which may have or have had since the date of its incorporation a
significant effect on the Issuer’s financial position.
6. ACCOUNTS
Since the date of its incorporation the Issuer has not commenced operations other than in
respect of entering into the Warehouse Agreements in respect of the acquisition of certain
assets to be comprised in the Portfolio on or prior to the Issue Date and has not produced
Accounts.
So long as any Note remains outstanding, copies of the most recent annual audited financial
statements of the Issuer can be obtained by physical or electronic means at the specified
offices of the Transfer Agents during normal business hours. The first financial statements of
the Issuer will be in respect of the period from incorporation to 31 March 2007. The annual
accounts of the Issuer will be audited. The Issuer will not prepare interim financial
statements.
273

The Trust Deed requires the Issuer to provide written confirmation to the Trustee on an
annual basis and otherwise promptly on request that no Event of Default or Potential Event of
Default or other matter which is required to be brought to the Trustee’s attention has
occurred.
7. DOCUMENTS AVAILABLE
Copies of the following documents may be inspected (and, in the case of each of (a) to (l)
below, will be available for collection free of charge) by physical or electronic means at the
offices of the Transfer Agent in Ireland and at the registered offices of Issuer during usual
business hours on any weekday (Saturdays, Sundays and public holidays excepted) for the
term of the Notes.
(a) the Memorandum and Articles of Association of the Issuer;
(b) the Placement Agreement;
(c) the Trust Deed (which includes the form of each Note of each Class);
(d) the Agency Agreement;
(e) the Investment Management Agreement;
(f) the Collateral Administration Agreement;
(g) each Asset Swap Agreement;
(h) each Portfolio Currency Hedge Agreement;
(i) each Interest Rate Hedge Agreement;
(j) the Class A-2 Note Purchase Agreement;
(k) the Liquidity Facility Agreement;
(l) each Monthly Report;
(m) the Share Charge;
(n) each Note Valuation Report; and
(o) each Investment Tax Act Report.
8. ENFORCEABILITY OF JUDGMENTS
The Issuer is a company incorporated under the laws of England & Wales. None of the
directors of the Issuer are residents of the United States, and all or a substantial portion of the
assets of the Issuer and such persons are located outside of the United States. As a result, it
may not be possible for investors to effect service of process within the United States upon
the Issuer or such persons or to enforce against any of them in the United States courts
judgments obtained in United States courts, including judgments predicated upon civil
liability provisions of the securities laws of the United States or any State or territory within
the United States.
274

9. IRISH TRANSFER AND PAYING AGENT
Deutsche International Corporate Services (Ireland) Limited has been appointed as Irish
Transfer and Paying Agent for the Issuer and in such capacity will perform transfer and
paying agency services in relation to the Notes as set out in the Agency Agreement provided
however that, such paying agency duties and responsibilities shall be performed:
(a) only with respect to Notes held by residents of Ireland; and
(b) only in the event that no entity is performing the duties of principal paying agent in
relation to the Notes.
10. EXPENSES
The estimated total expenses related to the admission to trading is approximately €15,000.
275

£........................................................................ 72
€................................................................. xiv, 70
Account Bank.................................................... 48
Accounts ........................................................... 49
Accrued Collateral Debt Obligation Interest ....... 49
Administrative Expenses.............................. 49, 50
Affected Collateral........................................... 132
Affiliate............................................................. 50
Affiliated........................................................... 50
Agency Agreement ............................................ 48
Agent ................................................................ 51
Aggregate Collateral Balance............................. 51
Aggregate Industry Equivalent Unit Score........ 197
Aggregate Principal Balance .............................. 51
Allocation.......................................................... 51
Allocations ........................................................ 51
Anti-Dilution Percentage ................................. 159
Applicable Exchange Rate ................................. 51
Applicable Margin..................................... 51, 138
Asset Interest Rate Hedge Transaction ............... 51
Asset Swap Account .......................................... 51
Asset Swap Agreement ...................................... 52
Asset Swap Counterparty................................... 51
Asset Swap Counterparty Principal Exchange
Amount ............................................................. 51
Asset Swap Issuer Principal Exchange Amount.. 52
Asset Swap Obligation....................................... 52
Asset Swap Replacement Payment..................... 52
Asset Swap Replacement Receipt....................... 52
Asset Swap Termination Payment...................... 52
Asset Swap Termination Receipt........................ 52
Asset Swap Transaction ..................................... 52
Asset Swap Transaction Exchange Rate ............. 52
Assignment........................................................ 52
Assignments ...................................................... 30
AUD .......................................................... xiv, 52
Australian Dollars............................................. xiv
Authorised Denomination .................................. 52
Authorised Integral Amount............................... 52
Authorised Officer............................................. 52
Available Amount.............................................. 55
Average Aggregate Principal Balance ................ 52
Average Principal Balance ............................... 197
Balance ............................................................. 53
Bank................................................................ 225
Base Currency ................................................... 53
Beneficial Owner............................................. 174
Benefit Plan Investor ................ 254, 266, 268, 271
Bermudian Dollars............................................ xiv
Bivariate Risk Table ........................................ 219
BMD................................................................ xiv
Break Costs ....................................................... 53
Break-even Loss Rate ...................................... 196
Break-even Rate Cases..................................... 191
Business Day............................................... 53, 95
CAD................................................................. xiv
Calculation Agent.............................................. 48
Canadian Dollars .............................................. xiv
GLOSSARY OF TERMS
276
Capital Gains................................................... 251
Case 1 ............................................................... 55
Case 2 ............................................................... 55
Case 3 ............................................................... 56
CCC Market Value............................................ 53
CCC Obligation................................................. 54
CDO Monitor...........................................176, 196
CDO Monitor Test........................................... 196
CEO Trust..................................................54, 214
CERTAIN EMPLOYEE BENEFIT PLAN
CONSIDERATIONS......................................... vii
Certified Market Value ...................................... 71
CHF ............................................................xiv, 54
Class ................................................................. 54
Class A Noteholders.......................................... 54
Class A Notes............................................. i, ii, 48
Class A Redemption Method ............................. 54
Class A/B Coverage Tests ................................. 54
Class A/B Interest Coverage Ratio..................... 54
Class A/B Interest Coverage Test....................... 54
Class A/B Par Value Ratio................................. 54
Class A/B Par Value Test .................................. 54
Class A-1 Noteholders....................................... 57
Class A-1 Notes............................................. ii, 48
Class A-2 Additional Amounts .......................... 57
Class A-2 Advance.........................................3, 57
Class A-2 Advance Date.................................... 57
Class A-2 Advance Request............................... 57
Class A-2 Availability Period ............................ 57
Class A-2 Commitment Fee..........................3, 161
Class A-2 Commitment Holders ........................ 57
Class A-2 Commmitment Fee............................ 57
Class A-2 Currency ........................................... 57
Class A-2 Currency Advance............................. 57
Class A-2 Currency Amount Outstanding .......... 57
Class A-2 Currency Funding Mismatch.............. 57
Class A-2 Currency Interest Account ................. 58
Class A-2 Currency Interest Proceeds ................ 58
Class A-2 Currency Issue Proceeds.................... 58
Class A-2 Currency Obligation .......................... 58
Class A-2 Currency Principal Account............... 58
Class A-2 Currency Principal Proceeds .............. 58
Class A-2 Funding Notice.................................. 58
Class A-2 Interest Amount................................. 58
Class A-2 Interest Period ................................... 58
Class A-2 Maximum Commitment Amount ....... 58
Class A-2 Note Agent........................................ 49
Class A-2 Note Purchase Agreement...............3, 49
Class A-2 Noteholder Collateral Account........... 59
Class A-2 Noteholders....................................... 59
Class A-2 Notes............................................. ii, 48
Class A-2 Register............................................. 59
Class A-2 Regulation S Certificate..........v, 12, 168
Class A-2 Repayment ........................................ 59
Class A-2 Rule 144A Certificate............vi, 13, 168
Class A-3 Noteholders....................................... 59
Class A-3 Notes............................................. ii, 48
Class B Notes ................................................. i, 48

Class B-1 Noteholders ....................................... 59
Class B-1 Notes ...................................................ii
Class B-2 Noteholders ....................................... 59
Class B-2 Notes .............................................ii, 48
Class B-Notes......................................................ii
Class C Coverage Tests...................................... 59
Class C Interest Coverage Ratio ......................... 59
Class C Interest Coverage Test........................... 59
Class C Noteholders .......................................... 59
Class C Notes ................................................ii, 48
Class C Par Value Ratio..................................... 59
Class C Par Value Test....................................... 59
Class D Coverage Tests ..................................... 59
Class D Interest Coverage Ratio......................... 59
Class D Interest Coverage Test........................... 60
Class D Noteholders .......................................... 60
Class D Notes................................................ii, 48
Class D Par Value Ratio..................................... 60
Class D Par Value Test ...................................... 60
Class of Noteholders.......................................... 54
Class of Notes.................................................... 54
Clearing Systems......................................157, 173
Clearstream, Luxembourg.............................. v, 12
CMVM...................................................... xii, 262
Code......................................... 241, 266, 267, 271
Código dos Valores Mobiliários....................... 262
Código Dos Valores Mobiliários ........................xii
Collateral........................................................... 60
Collateral Acquisition Agreements..................... 60
Collateral Administration Agreement ................. 49
Collateral Administrator..................................... 49
Collateral Debt Obligation ................................. 60
Collateral Enhancement Account ....................... 60
Collateral Enhancement Obligation .................... 60
Collateral Enhancement Obligation Priority of
Payments........................................................... 61
Collateral Enhancement Obligation Proceeds 33, 61
Collateral Quality Tests ..................................... 61
Collateral Tax Event .......................................... 61
Collateralised Credit Default Swap..................... 61
Commitment Amount ........................................ 61
Commitment Fee .................................................4
Competent Authority..........................................i
Conditions of the Notes...................................... 48
Controlling Class............................................... 62
Corporations Act ...................................... viii, 259
Counterparty Downgrade Collateral ................... 62
Counterparty Downgrade Collateral Account ..... 62
Coverage Test.................................................... 62
Coverage Tests ................................................ 205
Credit Impaired Obligation ................................ 62
Credit Improved Obligation ............................... 63
Currency A...................................................... 104
Currency B ...................................................... 104
Currency Clean-Up Call............................... 6, 142
Current Pay Obligation ...................................... 63
Current Portfolio.............................................. 196
Custodian .......................................................... 48
Custody Account ............................................... 64
Defaulted Asset Swap Termination Payment ...... 64
277
Defaulted Asset Swap Termination Receipt........ 64
Defaulted Deferring Mezzanine Obligation........ 64
Defaulted Hedge Termination Payment.............. 64
Defaulted Interest Rate Hedge Termination
Payment ............................................................ 64
Defaulted Interest Rate Hedge Termination Receipt
......................................................................... 64
Defaulted Mezzanine Excess Amounts............... 64
Defaulted Obligation ......................................... 64
Defaulted Portfolio Currency Hedge Termination
Payment ............................................................ 65
Defaulted Portfolio Currency Hedge Termination
Receipt.............................................................. 65
Deferred Interest.........................................65, 136
Deferring Mezzanine Obligation........................ 66
Definitive Certificate ......................................... 66
Definitive Certificates........................................ 13
Delayed Drawdown Obligation.......................... 66
Delayed Drawdown Reserve Account ................ 66
Deliverable Obligation....................................... 66
Deliverable Obligations ................................... 216
Determination Date ........................................... 66
Deutsche Bank ................................................ 225
Deutsche Bank AG London ............................. 225
Deutsche Bank Group...................................... 225
Direct Participants........................................... 173
Directors ........................................................... 66
Discount Obligation........................................... 66
Disposal Agent...........................................66, 221
Distressed Exchange.......................................... 66
Distribution ....................................................... 66
Diversity Score................................................ 197
Diversity Score Table ...................................... 198
DKK ................................................................. 66
Downgraded Liquidity Facility Provider .......... 237
Drawdown Request ......................................... 237
DTC.................................................................. 21
Due Period ........................................................ 67
Effective Date ........................................9, 67, 185
Effective Date Rating Event............................... 67
Effective Date Requirements ............................. 67
Eligibility Criteria ......................................67, 186
Eligible Country................................................ 67
Eligible Investments .......................................... 67
Eligible Investments Minimum Long-Term Rating
......................................................................... 68
Eligible Investments Minimum Short-Term Rating
......................................................................... 68
Eligible Noteholder Collateral............................ 69
Enforcement Action....................................69, 149
Enforcement Notice....................................69, 150
Enforcement Threshold Determination........24, 150
Enterprise Act ................................................... 44
Equivalent Unit Score...................................... 197
ERISA ................................69, 254, 266, 267, 271
EUR............................................................xiv, 70
EUR Amount Outstanding................................. 70
EURIBOR......................................................... 70
Euro............................................................xiv, 70
Euro Interest Account........................................ 70

Euro Interest Proceeds ....................................... 70
Euro Principal Account...................................... 70
Euro Principal Proceeds ..................................... 70
Euroclear..................................................v, 12, 70
Euroclear Account ............................................. 21
Euroclear Pledge Agreement.............................. 70
Euroclear Pledged Account................................ 22
Euro-zone.......................................................... 70
Event of Default ........................................ 70, 147
Exchange Act ................................................... xiv
Exchange Date................................................. 171
Exchanged Equity Security ................................ 70
Exchanged Global Certificate........................... 170
Expected Net Proceeds....................................... 71
Extension Request ........................................... 236
Extraordinary Resolution ................................... 71
Financial Regulator ............................................i
Fixed Rate Collateral Debt Obligations .............. 71
Floating Rate Collateral Debt Obligations .......... 71
Floating Rate of Interest............................. 71, 136
foreign currency............................................... 247
Foreign Investor .............................................. 252
Form-Approved Asset Swap .............................. 71
Form-Approved Synthetic Security .................... 71
Funded Amount................................................. 72
Further Class A Notes...........................................i
Further Class B Notes ...........................................i
Further Class C Notes ...........................................i
Further Class D Notes...........................................i
Further Issuer Euro Shares ................................. 72
Further Notes.................................................. i, 72
GBP ........................................................... xiv, 72
German Investor .............................................. 251
Global Certificates........................................ vi, 12
Gross-Up Tax Amounts ................................... 141
Hedge Agreement .............................................. 72
Hedge Counterparty........................................... 72
Hedge Deferred Amounts................................... 72
Hedge Replacement Payment............................. 72
Hedge Replacement Receipt............................... 72
Hedge Termination Account .............................. 72
Hedge Termination Payment.............................. 72
Hedge Termination Receipt................................ 72
Hedge Transaction............................................. 72
Hedging Reserve Account.................................. 72
HKD ................................................................. 72
ICG ...................................................i, 2, 178, 181
ICM ............................................................. i, 181
ICML .............................................................. 220
Implied Moody’s Rating .................................. 204
Incentive Fee Threshold..................................... 72
Incentive Investment Management Fee............... 72
Indirect Participants ......................................... 173
Industry Diversity Score .................................. 198
Initial Class A-2 Noteholder........................... 3, 49
Initial Purchaser.......................................i, 73, 257
Initial Ratings .................................................... 73
Insolvency Act 2000.......................................... 44
Insolvency Law ............................................... 148
Institutional Investors................................... x, 260
278
Interest Accounts............................................... 73
Interest Amount..........................................73, 138
Interest Coverage Numerator ............................. 73
Interest Coverage Ratio ..................................... 74
Interest Coverage Test ................................74, 205
Interest Determination Date ............................... 74
Interest Period ................................................... 74
Interest Priority of Payments.............................. 74
Interest Proceeds ............................................... 74
Interest Rate Hedge Agreement.......................... 75
Interest Rate Hedge Counterparty ...................... 74
Interest Rate Hedge Replacement Payment ........ 74
Interest Rate Hedge Replacement Receipt .......... 74
Interest Rate Hedge Termination Payment ......... 75
Interest Rate Hedge Termination Receipt ........... 75
Interest Rate Hedge Transaction ........................ 75
Interest Spread................................................... 75
Investment Company Act . i, v, 2, 75, 264, 266, 270
Investment Management Agreement.................. 48
Investment Management Fees............................ 75
Investment Manager ................................i, 48, 220
Investment Manager Advance............................ 75
Irish Stock Exchange ......................................... 75
Irish Transfer and Paying Agent......................... 48
IRS ............................................................43, 241
ISIN ................................................................ 273
Issue Date ...................................................... i, 75
Issue Price....................................................... 241
Issuer ............................................................. i, 48
Issuer Euro Shares............................................. 75
Issuer Shares ..................................................... 75
Issuer Sterling Shares .....................................2, 75
JPY .................................................................. xiv
Law on Public Offerings..............................ix, 260
lender liability ................................................... 30
LIBOR .............................................................. 75
Liquidity Account Period................................... 76
Liquidity Facility............................................. 236
Liquidity Facility Agreement............................. 49
Liquidity Facility Available Commitment ........ 236
Liquidity Facility Commitment........................ 236
Liquidity Facility Commitment Period............. 236
Liquidity Facility Provider................................. 49
Liquidity Repayment Date................................. 76
Long Dated Obligation ...................................... 76
Loss Differential.............................................. 196
Mandatory Costs ............................................... 76
Market Value .................................................... 76
Maturity Date .................................................... 76
Measurement Date............................................. 76
Mezzanine Obligation........................................ 77
Minimum Denomination.................................... 77
Minimum Reporting Requirements .................... 46
Minimum Weighted Average PIK Test .....200, 201
Minimum Weighted Average Timely Spread Test
....................................................................... 200
Modified Following Business Day Convention .. 77
Monthly Report ..........................................77, 227
Moody’s......................................................... i, 77
Moody’s Collateral Value.................................. 77

Moody’s Maximum Weighted Average Rating
Factor Test ...................................................... 199
Moody’s Minimum Diversity Test ................... 197
Moody’s Minimum Weighted Average Recovery
Rate Test ......................................................... 199
Moody’s Rating......................................... 77, 203
Moody’s Rating Factor .............................. 77, 199
Moody’s Recovery Rate............................. 77, 199
Moody’s Tests Matrices................................... 194
Moody’s Weighted Average Rating ................. 199
Multi Currency CPDIs .................................... 248
Multi-Currency Exchange Rate .......................... 78
New Zealand Dollars ........................................ xiv
NOK .......................................................... xiv, 78
Non Call Period ................................................. 78
Non-Euro Currency ........................................... 78
Non-Euro Obligation ..................................... 8, 78
Non-Permitted Holder.................................. 42, 96
Norwegian Krona ............................................. xiv
Note Payment Sequence..................................... 78
Note Tax Event............................................ 46, 78
Note Valuation Report ............................... 78, 229
Noteholders ....................................................... 78
Notes.............................................................. i, 48
Notice of Default ............................................. 147
Notice of Extension ......................................... 236
NZD........................................................... xiv, 78
Obligor.............................................................. 79
Obligor Principal Balance ................................ 197
Offer ................................................................. 79
Offering.............................................................vii
Offering Memorandum ........................................ii
OID..................................................244, 268, 271
Ordinary Resolution........................................... 79
Original Issuer Euro Shares............................ 2, 79
Original Issuer Shares .................................... 2, 79
Outstanding ....................................................... 79
Par Coverage Amount........................................ 79
Par Value Ratio ................................................. 80
Par Value Test ........................................... 80, 205
parallel security ............................................... 203
Parent .............................................................. 178
Participants...................................................... 173
Participation ...................................................... 80
Participations..................................................... 30
Paying Agents ................................................... 48
Payment Account............................................... 80
Payment Date .................................................... 80
Percentage Limitations............................... 80, 189
person................................................................ 80
Person ............................................................... 80
PIK Fixed Obligation......................................... 81
PIK Floater Obligation....................................... 81
PIK Obligation .................................................. 81
PIK Obligations................................................. 81
PIYC Fixed Obligation ...................................... 81
PIYC Floater Obligation .................................... 81
PIYC Obligation................................................ 81
PIYC Obligations .............................................. 81
Placement Agreement ........................................ 81
279
Plan Asset Regulations .................................... 254
Plan Assets Regulation .................................... 254
Plans ............................................................... 254
Portfolio............................................................ 81
Portfolio Currency Hedge Agreement ................ 82
Portfolio Currency Hedge Counterparty............. 81
Portfolio Currency Hedge Replacement Payment 81
Portfolio Currency Hedge Replacement Receipt. 81
Portfolio Currency Hedge Requirements ............ 81
Portfolio Currency Hedge Termination Payment 81
Portfolio Currency Hedge Termination Receipt.. 82
Portfolio Currency Hedge Transaction ............... 82
portfolio interest exemption ............................. 243
Portfolio Weighted Average Maturity .............. 201
Potential Event of Default.................................. 82
Presentation Date............................................... 82
Principal Amount Outstanding........................... 82
Principal Balance............................................... 82
Principal Paying Agent ...................................... 48
Principal Priority of Payments ........................... 84
Principal Proceeds ............................................. 84
Priorities of Payments........................................ 84
pro rata.............................................................. 84
Pro Rata Amount............................................... 55
Pro Rata Share................................................... 84
Pro Rated Obligations........................................ 84
Proceedings..................................................... 164
Proposed Portfolio........................................... 196
Prospectus Directive.................................i, ix, 260
Prospectus Regulations.......................................iii
PTCE .............................................................. 255
Purchased Accrued Interest................................ 84
QBUs.............................................................. 242
QIB............................................................84, 264
QIB/QP............................................................. 84
QIBs ................................................................v, 2
QP..................................................................v, 84
QPs ..................................................................... 2
Qualified Institutional Buyer.....................266, 270
Qualified Purchaser ....................................84, 265
Qualified Purchasers.........................................v, 2
Qualified Stated Interest .................................. 244
Qualifying Country............................................ 84
quoted eurobonds .............................................. 45
Ramp-Up Interim Targets ................................ 202
Ramp-Up Interim Targets Table ...................... 202
Ramp-up Period .............................................9, 84
Rated Notes..............................................ii, 48, 84
Rating Agencies ............................................. i, 85
Rating Agency Confirmation ............................. 85
Rating Confirmation Plan ...........................85, 186
Rating Requirement........................................... 85
Receiver .......................................................... 148
Record Date ...................................................... 86
Redemption Date............................................... 86
Redemption Determination Date...................... 141
Redemption Price .............................................. 86
Redemption Threshold Amount ......................... 86
Reference Banks.........................................86, 137
Reference Entity.........................................86, 216

Reference Obligation ......................................... 86
Register ............................................................. 86
Registrar............................................................ 48
Regulation S....................................i, v, 2, 86, 264
Regulation S Definitive Certificates .................... vi
Regulation S Global Certificate...................... v, 12
Regulation S Global Certificates .................... v, 12
Regulation S Notes ........................................ v, 86
Reinvestment Criteria ................................ 86, 210
Reinvestment Period.......................................... 87
Reinvestment Test ............................................. 87
Related Entities.................................................. 40
Relevant Implementation Date ......................... 261
Relevant Member State.................................... 261
Relevant Period ................................................. 87
Relevant Persons ................................................ iv
Relevant Tax Event.......................................... 140
Remaining Euro Amount ................................... 56
Replacement Asset Swap Transaction ................ 87
Replacement Financing.........................24, 87, 144
Replacement Hedge Transaction ........................ 87
Replacement Interest Rate Hedge Transaction.... 87
Replacement Portfolio Currency Hedge
Transaction........................................................ 87
Replacement Rating Agency .............................. 85
Report ............................................................... 87
Required Diversion Amount............................. 211
Resolution ......................................................... 87
Roll-Up Margin ................................................. 87
RSA ...................................................................iii
Rule 144A..........................................v, 2, 87, 264
Rule 144A Definitive Certificates ....................... vi
Rule 144A Global Certificate......................... v, 12
Rule 144A Global Certificates ....................... v, 12
Rule 144A Notes ........................................... v, 88
S&P ............................................................... i, 88
S&P Average Recovery Rate ........................... 197
S&P Collateral Value......................................... 88
S&P Minimum Weighted Average Recovery Rate
Test ................................................................. 197
S&P Priority Category ....................................... 88
S&P Rating ............................................... 88, 202
S&P Recovery Rate ........................................... 88
S&P Tests Matrix ............................................ 191
Sale Proceeds .................................................... 88
Scenario Loss Rate .......................................... 196
Scheduled Periodic Asset Swap Counterparty
Payment ............................................................ 89
Scheduled Periodic Asset Swap Issuer Payment . 89
Scheduled Periodic Hedge Issuer Payment ......... 89
Scheduled Periodic Interest Rate Hedge
Counterparty Payment ....................................... 89
Scheduled Periodic Interest Rate Hedge Issuer
Payment ............................................................ 89
Scheduled Periodic Portfolio Currency Hedge
Issuer Payment .................................................. 89
Scheduled Principal Proceeds............................. 89
SEC................................................................... 42
Section 708............................................... viii, 259
Secured Credit Linked Note ............................. 216
280
Secured Parties.................................................. 90
Securities Act ................... i, v, 2, 90, 264, 266, 270
Security............................................................. 90
SEK ............................................................xiv, 90
Selling Institution .........................................30, 90
Senior Expenses Cap ......................................... 90
Senior Investment Management Fee............90, 220
Senior Investment Management Fee Cap............ 90
Senior Unsecured Debt Security ...................... 197
SGD............................................................xiv, 90
Share Charge..................................................... 90
Shareholder ....................................................2, 90
Shareholders...................................................2, 90
shortfall........................................................... 133
Similar Laws .............................254, 266, 268, 271
Singapore Dollars............................................. xiv
small companies................................................ 43
Special Redemption....................................90, 142
Special Redemption Amount ......................90, 142
Special Redemption Date............................90, 142
Specified Office ................................................ 90
Spot Rate of Exchange....................................... 91
Stabilising Manager.......................................... xiv
Standby Liquidity Account ................................ 91
Stated Maturity.................................................. 91
Step-Up Coupon Security .................................. 91
Sterling ............................................................ xiv
Structured Finance Security............................. 189
Subordinated Debt Security ............................. 197
Subordinated Investment Management Fee .91, 220
Sub-Participation Agreement ............................. 91
Subsequent Issue Date ....................................... 91
Substitute Collateral Debt Obligation................. 91
Swap Counterparty.......................................... 235
Swap Transaction ............................................ 235
Swedish Krona ................................................. xiv
Swiss Francs .................................................... xiv
Synthetic Collateral ........................................... 91
Synthetic Collateral Account ............................. 91
Synthetic Counterparty ...................................... 91
Synthetic Counterparty Default.......................... 92
Synthetic Security ............................................. 92
T+3 ................................................................. 174
Target Par Amount .....................................92, 185
TARGET System .............................................. 92
Tax Charges .................................................... 141
Timely Pay Obligation....................................... 92
Total Class A-2 Commitments........................... 92
Total Class A-2 Outstandings ............................ 93
Total Undrawn Amount..................................... 93
Transaction Documents ..................................... 93
Transaction Parties ............................................ 25
Transaction-Specific Cash Flow Model............ 176
Transfer Agents................................................. 48
Trust Collateral ............................................... 132
Trust Deed ..................................................... i, 48
Trustee ........................................................... i, 48
Trustee Fee Cap................................................. 93
Trustee Fees and Expenses ................................ 93
U.S. business................................................... 243

U.S. Dollars...................................................... xiv
U.S. GAAP...................................................... 225
U.S. Holder ..................................................... 242
U.S. Person........................................................ 94
U.S. Persons .................................................... v, 2
U.S. Trade or Business....................................... 43
U.S.$................................................................ xiv
Uncollateralised CLN ................................ 93, 216
Underlying Instrument ....................................... 93
Undrawn and Committed Amount...................... 93
Undrawn and Uncommitted Amount.................. 93
Unfunded Amount ............................................. 93
UNITED STATES TAXATION ........................vii
Unscheduled Principal Proceeds......................... 93
Unused Proceeds ............................................... 94
281
Unused Proceeds Account ................................. 94
Unused Proceeds Interest Subaccount ................ 94
Unused Proceeds Principal Subaccount.............. 94
USD.................................................................. 94
VAT.................................................................. 94
Warehousing Facility Agreement....................... 41
Warehousing Facility Provider........................... 41
Weighted Average Maturity Test ..................... 201
Weighted Average Moody’s Recovery Rate..... 199
Weighted Average PIK Spread ........................ 200
Weighted Average Timely Floater Spread........ 200
Written Resolution ............................................ 94
Yen .................................................................. xiv
YEN.................................................................. 94
Zero Coupon Security........................................ 94

COLLATERAL
ADMINISTRATOR, PRINCIPAL
PAYING AGENT, EXCHANGE
AGENT, CUSTODIAN AND
TRANSFER AGENT
Deutsche Bank AG,
London Branch
Winchester House
1 Great Winchester Street
London EC2N 2DB
IRISH TRANSFER AND PAYING
AGENT
Deutsche International Corporate
Services (Ireland) Limited
5 Harbourmaster Place
I.F.S.C.
Dublin 1
To the Initial Purchaser as to
English law and U.S. law
White & Case LLP
5 Old Broad Street
London
EC2N 1DW
IRISH LISTING AGENT
NCB
3 George’s Dock
IFSC
Dublin 1
REGISTERED OFFICE OF THE ISSUER
Intermediate Finance II PLC
20 Old Broad Street
London EC2N 1DP
INVESTMENT MANAGER
Intermediate Capital
Managers Limited
20 Old Broad Street
London EC2N 1DP
LIQUIDITY FACILITY PROVIDER
Deutsche Bank AG, London Branch
Winchester House
1 Great Winchester Street
London
EC2N 2DB
INITIAL PURCHASER
The Royal Bank of Scotland
135 Bishopsgate,
London
EC2M 3UR
LEGAL ADVISERS
To the Trustee as to English law
White & Case LLP
5 Old Broad Street
London
EC2N 1DW
TRUSTEE
Deutsche Trustee Company
Limited
Winchester House
1 Great Winchester Street
London EC2N 2DB
REGISTRAR
Deutsche Bank (Luxembourg)
S.A.
2 Boulevard Konrad Adenauer
L-1115 Luxembourg
To the Investment Manager as
to English law
Ashurst
Broadwalk House
5 Appold Street
London EC2 2HA
AUDITORS TO THE ISSUER
Deloitte and Touche LLP
180 Strand, London
WC2R 1BL