ZOO ABS 4 PLC. Secured mainly by a Portfolio consisting primarily of Collateral Debt Securities managed by P&G SGR S.p.A. (the Collateral Manager ).

Transcription

1 ZOO ABS 4 PLC (a public limited company incorporated under the laws of Ireland) 100,000,000 Class A-1R Senior Secured Revolving Floating Rate Notes due ,000,000 Class A-1A Senior Secured Floating Rate Notes due ,700,000 Class A-1B Senior Secured Floating Rate Notes due ,000,000 Class A-2 Senior Secured Floating Rate Notes due ,000,000 Class B Senior Secured Floating Rate Notes due ,000,000 Class C Mezzanine Deferrable Floating Rate Notes due ,000,000 Class D Mezzanine Deferrable Floating Rate Notes due ,500,000 Class E Mezzanine Deferrable Floating Rate Notes due ,000,000 Class F Subordinated Notes due ,000,000 Class P Combination Notes due The Class A-1R Notes will be denominated in Euro and may be drawn in Euro or Sterling from time to time, as further described herein. The Class P Combination Notes referred to above consist of two Components, a Class C Component and a Class P Subordinated Component (each as defined herein). Secured mainly by a Portfolio consisting primarily of Collateral Debt Securities managed by P&G SGR S.p.A. (the Collateral Manager ). ZOO ABS 4 PLC (the Issuer ) will issue 100,000,000 Class A-1R Senior Secured Revolving Floating Rate Notes due 2096 (the Class A-1R Notes ), 150,000,000 Class A-1A Senior Secured Floating Rate Notes due 2096 (the Class A-1A Notes ), 115,700,000 Class A-1B Senior Secured Floating Rate Notes due 2096 (the Class A-1B Notes and together with the Class A-1A Notes, the Class A-1 Notes ), 27,000,000 Class A-2 Senior Secured Floating Rate Notes due 2096 (the Class A-2 Notes and together with the Class A-1R Notes and the Class A-1 Notes, the Class A Notes ), 30,000,000 Class B Senior Secured Floating Rate Notes due 2096 (the Class B Notes and together with the Class A Notes, the Senior Notes ), 35,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2096 (the Class C Notes ), 28,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2096 (the Class D Notes ), 8,500,000 Class E Mezzanine Deferrable Floating Rate Notes due 2096 (the Class E Notes and together with the Class C Notes and the Class D Notes, the Mezzanine Notes ), 20,000,000 Class F Subordinated Notes due 2096 (the Subordinated Notes ) and 8,000,000 Class P Combination Notes due 2096 (the Class P Combination Notes and together with the Senior Notes, the Mezzanine Notes and the Subordinated Notes, the Notes ). Each of the A-1R Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, the Subordinated Notes and the Class P Combination Notes are separately referred to herein as a Class. The Notes will be issued and secured pursuant to a trust deed (the Trust Deed ) dated 30 April 2007 (the Issue Date ) between, inter alios, the Issuer and Deutsche Trustee Company Limited as trustee (the Trustee ). The terms and conditions of the Notes (the Conditions ) are set out herein under Conditions of the Notes. The Class A-1R Notes will be issued subject to a Class A-1R Note purchase agreement (the Class A-1R Note Purchase Agreement ). ISSUE PRICE OF THE CLASS A-1R NOTES: 100 per cent. ISSUE PRICE OF THE CLASS A-1A NOTES: 100 per cent. ISSUE PRICE OF THE CLASS A-1B NOTES: 100 per cent. ISSUE PRICE OF THE CLASS A-2 NOTES: 100 per cent. ISSUE PRICE OF THE CLASS B NOTES: 100 per cent. ISSUE PRICE OF THE CLASS C NOTES: 100 per cent. ISSUE PRICE OF THE CLASS D NOTES: 100 per cent. ISSUE PRICE OF THE CLASS E NOTES: 100 per cent. ISSUE PRICE OF THE SUBORDINATED NOTES: 100 per cent. ISSUE PRICE OF THE CLASS P COMBINATION NOTES: 100 per cent. It is a condition of the issue and sale of the Notes that the Notes (except for the Subordinated 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 Fitch Ratings Ltd ( Fitch and, together with S&P, the Rating Agencies ): the Class A-1R Notes, AAA from S&P and AAA from Fitch; the Class A-1A Notes, AAA from S&P and AAA from Fitch; the Class A-1B Notes, AAA from S&P and AAA from Fitch; the Class A-2 Notes, AAA from S&P and AAA from Fitch; the Class B Notes, AA from S&P and AA from Fitch; the Class C Notes, A from S&P and A from Fitch; the Class D Notes, BBB- from S&P and BBB- from Fitch, the Class E Notes, BB- from S&P and BB- from Fitch and the Class P Combination Notes, BBB from Fitch with respect to the ultimate receipt of the Rated Balance of the Class P Combination Notes. The ratings on the Class P Combination Notes will address only the ultimate receipt of the Rated Balance. With respect to the Class P Combination Notes, for the purposes of their ratings only, any distribution received in respect of the related Components will be considered to reduce the Rated Balance of such Class P Combination Notes. For the avoidance of doubt and for rating purposes only, once the Rated Balance of the Class P Combination Notes has been reduced to zero, Fitch will deem the Rated Balance of the Class P Combination Notes to have been received and, at its discretion, may not maintain a rating on the Class P Combination Notes beyond that point in time. The Subordinated Notes will not be rated. A 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. Each credit rating should be evaluated independently of any other rating. See Ratings of the Notes for a description of the meaning of such ratings. THE NOTES ARE LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER AND ARE PAYABLE SOLELY FROM THE MORTGAGED PROPERTY OF THE ISSUER WHICH SECURES THE NOTES. THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE TRUSTEE, THE ARRANGER, THE COLLATERAL ADMINISTRATOR, THE COLLATERAL MANAGER, THE AGENTS, EACH HEDGE COUNTERPARTY, ANY INVESTOR IN THE NOTES OR ANY OF THEIR RESPECTIVE AFFILIATES. THE NOTES OFFERED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT ) OR UNDER THE APPLICABLE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR ANY OTHER RELEVANT JURISDICTION. THE NOTES MAY NOT BE OFFERED OR SOLD WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT ( REGULATION S )) EXCEPT PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT. ACCORDINGLY, THE NOTES ARE BEING OFFERED AND SOLD ONLY OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS IN COMPLIANCE WITH REGULATION S AND THE APPLICABLE LAWS OF THE JURISDICTIONS WHERE THOSE OFFERS AND SALES OCCUR. SEE TRANSFER RESTRICTIONS AND SUBSCRIPTION AND SALE. THE NOTES ARE SUBJECT TO OTHER RESTRICTIONS ON TRANSFERABILITY AND RESALE, INCLUDING THAT NO SALE, PLEDGE, TRANSFER OR EXCHANGE MAY BE MADE IN A DENOMINATION LESS THAN THE REQUIRED AUTHORISED DENOMINATION. THE NOTES ARE OFFERED BY BNP PARIBAS, LONDON BRANCH (THE ARRANGER ) WHEN, AS AND IF ISSUED BY THE ISSUER AND DELIVERED TO THE ARRANGER AND WILL BE SUBJECT TO THE ARRANGER S RIGHT TO REJECT ORDERS IN WHOLE OR IN PART. See Risk Factors for a discussion of certain factors to be considered in connection with an investment in the Notes. Application will be made to the Irish Financial Services Regulatory Authority (the IFSRA ) as competent authority (the Competent Authority ) under Directive 2003/71/EC for the Prospectus to be approved. Application will be made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. Such approval relates only to 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. It is anticipated that listing will take place on or about the Issue Date. There can be no assurance that such listing will be granted. This document constitutes a Prospectus for the purposes of Directive 2003/71/EC. The Index of Defined Terms appearing at the end of this Prospectus contains references to the pages in this Prospectus where definitions are found. BNP PARIBAS Arranger This Prospectus is dated 30 April 2007

2 The Issuer accepts responsibility for all the information contained in this Prospectus other than the Collateral Manager Information. To the best of the knowledge and belief of the Issuer (having taken all reasonable care to ensure that such is the case), the information contained in this Prospectus for which the Issuer is responsible is in accordance with the facts and does not omit anything likely to affect the import of such information. The Issuer accepts responsibility accordingly. The Collateral Manager accepts responsibility for the information contained in the section entitled The Collateral Manager (the Collateral Manager Information ). To the best of the knowledge and belief of the Collateral Manager (having taken all reasonable care to ensure that such is the case), the Collateral Manager Information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Collateral Manager accepts responsibility accordingly. No representation, warranty or undertaking, express or implied, is made and no responsibility or liability is accepted by the Collateral Manager as to the accuracy or completeness of any information contained in this Prospectus (other than the Collateral Manager Information) or any other information supplied in connection with the Notes or their distribution. Other than in respect of the Collateral Manager Information, the Collateral Manager has not separately verified the information contained herein and no representation, warranty or undertaking, express or implied, is made and no liability accepted by the Collateral Manager as to the accuracy or completeness of such information. Each person receiving this Prospectus acknowledges that such person has not relied on the Collateral Manager or any of its Affiliates in connection with its investigation of the information contained herein (other than the Collateral Manager Information). IN CONNECTION WITH THIS ISSUE, BNP PARIBAS, LONDON BRANCH (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. UNITED KINGDOM ANY INVITATION OR INDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OF SECTION 21 OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (THE FSMA )) IN CONNECTION WITH THE ISSUE OR SALE OF ANY NOTES MAY ONLY BE COMMUNICATED OR CAUSED TO BE COMMUNICATED IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FSMA DOES NOT APPLY TO THE ISSUER. EACH PURCHASER OF THE NOTES MUST 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. NOTICE TO RESIDENTS OF IRELAND THE ARRANGER HAS AGREED THAT IT HAS NOT AND WILL NOT DO ANYTHING IN IRELAND IN CONNECTION WITH THE NOTES WHICH MIGHT CONSTITUTE A BREACH OF SECTION 9(1), 23(1), 23(6) OR 23(7) OF THE INVESTMENT INTERMEDIARIES ACT THIS PROSPECTUS AND THE INFORMATION CONTAINED HEREIN IS CONFIDENTIAL AND 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 2

3 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. NOTICE TO RESIDENTS OF FRANCE THE INFORMATION MADE AVAILABLE IN THIS PROSPECTUS 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. THIS PROSPECTUS IS CONFIDENTIAL AND BEING FURNISHED ONLY TO 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 , L , L AND L OF THE FRENCH FINANCIAL AND MONETARY CODE. ITALY THE OFFERING OF THE NOTES HAS NOT BEEN CLEARED BY THE COMMISSIONE NAZIONALE PER LE SOCIETÀ E LA BORSA ( CONSOB ) (THE ITALIAN SECURITIES AND EXCHANGE COMMISSION) AND NO ACTION HAS BEEN OR WILL BE TAKEN IN ITALY THAT WOULD PERMIT AN OFFERING OF THE NOTES IN ITALY PURSUANT TO ITALIAN SECURITIES LEGISLATION. ACCORDINGLY, NO NOTES MAY BE OFFERED, SOLD OR DELIVERED, NOR MAY COPIES OF THIS PROSPECTUS OR OF ANY OTHER OFFERING MATERIAL RELATING TO THE NOTES BE DISTRIBUTED IN THE REPUBLIC OF ITALY, OTHER THAN: (A) TO PROFESSIONAL INVESTORS (OPERATORI QUALIFICATI), AS DEFINED IN ARTICLE 31, SECOND PARAGRAPH, OF CONSOB REGULATION NO OF 1 JULY 1998, AS AMENDED; OR (B) IN CIRCUMSTANCES WHICH ARE EXEMPTED FROM THE RULES ON SOLICITATION OF INVESTMENTS PURSUANT TO ARTICLE 100 OF ITALIAN LEGISLATIVE DECREE NO. 58 OF 24 FEBRUARY 1998 (THE FINANCIAL SERVICES ACT ) AND ARTICLE 33, FIRST PARAGRAPH, OF CONSOB REGULATION NO OF 14 MAY 1999, AS AMENDED, PROVIDED THAT, IN ANY CASE, THE OFFER OR SALE OF THE NOTES IN ITALY SHALL BE EFFECTED IN ACCORDANCE WITH ALL RELEVANT ITALIAN SECURITIES, TAX AND EXCHANGE CONTROL AND OTHER APPLICABLE LAWS AND REGULATIONS. MOREOVER AND SUBJECT TO THE FOREGOING, ANY OFFER, SALE OR DELIVERY OF THE NOTES OR DISTRIBUTION OF COPIES OF THIS PROSPECTUS OR ANY OTHER DOCUMENT RELATING TO THE NOTES IN THE REPUBLIC OF ITALY MUST BE: (A) (B) MADE BY AN INVESTMENT FIRM, BANK OR FINANCIAL INTERMEDIARY PERMITTED TO CONDUCT SUCH ACTIVITIES IN THE REPUBLIC OF ITALY IN ACCORDANCE WITH THE FINANCIAL SERVICES ACT AND THE ITALIAN LEGISLATIVE DECREE NO. 385 OF 1 SEPTEMBER 1993 (THE BANKING ACT ); AND IN COMPLIANCE WITH ARTICLE 129 OF THE BANKING ACT PURSUANT TO WHICH THE BANK OF ITALY MAY REQUIRE THE ISSUER OR OFFERORS OF SECURITIES TO SUBMIT POST ALLOCATION NOTICES (VIVE PERIODICHE A CARATTERE CONSUNTIVO) DETAILING DATA AND INFORMATION ON THE SECURITIES ISSUED OR OFFERED IN THE REPUBLIC OF ITALY, OR ABROAD BY ITALIAN ISSUERS, IN ORDER TO ACQUIRE INFORMATION ON THE 3

4 DEVELOPMENT OF THE CHARACTERISTICS OF THE SECURITIES AND FINANCIAL MARKETS; (C) IN COMPLIANCE WITH THE BANKING TRANSPARENCY REQUIREMENTS SET FORTH IN THE BANKING ACT AND THE IMPLEMENTING REGULATIONS AND DECREES; AND (D) IN COMPLIANCE WITH ANY OTHER APPLICABLE REQUIREMENT OR LIMITATION WHICH MAY BE IMPOSED FROM TIME TO TIME BY CONSOB OR THE BANK OF ITALY. INSOFAR AS THE REQUIREMENTS ABOVE ARE BASED ON LAWS WHICH ARE SUPERSEDED AT ANY TIME PURSUANT TO THE IMPLEMENTATION OF DIRECTIVE 2003/71/EC, SUCH REQUIREMENTS SHALL BE REPLACED BY THE APPLICABLE REQUIREMENTS UNDER DIRECTIVE 2003/71/EC. In this Prospectus, references to, pounds, pounds Sterling or Sterling are to the lawful currency for the time being of the United Kingdom of Great Britain and Northern Ireland and references to Eur,, EUR Euro or euro are to the currency introduced at the start of the third stage of the European economic and monetary union pursuant to the Treaty establishing the European Community, as amended. 4

5 TABLE OF CONTENTS Page SUMMARY OF TERMS...6 RISK FACTORS...25 CONDITIONS OF THE NOTES...49 USE OF PROCEEDS FORM OF THE NOTES RATINGS OF THE NOTES THE ISSUER DESCRIPTION OF PORTFOLIO AND OTHER MORTGAGED PROPERTY DESCRIPTION OF THE MACRO INTEREST RATE SWAP AGREEMENT THE COLLATERAL MANAGEMENT AGREEMENT THE COLLATERAL MANAGER DESCRIPTION OF THE REPORTS DESCRIPTION OF THE CLASS A-1R NOTES TAX CONSIDERATIONS TRANSFER RESTRICTIONS BOOK-ENTRY CLEARANCE PROCEDURES RELATING TO GLOBAL NOTES SUBSCRIPTION AND SALE LISTING AND GENERAL INFORMATION APPENDIX I S&P RECOVERY RATE AND S&P RATING APPENDIX II FITCH INDUSTRY CATEGORY APPENDIX III NOTCHING GLOSSARY

6 SUMMARY OF TERMS 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 Prospectus and related documents referred to herein. Capitalised terms not specifically defined in this Summary have the meanings set out in Condition 1 (Definitions) under the Conditions below or are defined elsewhere in this Prospectus. An index of defined terms appears at the back of this Prospectus. References to a Condition are to the specified Condition in the Conditions below and references to the Conditions are to 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 Arranger Collateral Manager ZOO ABS 4 PLC a public limited company incorporated under the laws of Ireland. BNP Paribas, London Branch. P&G SGR S.p.A. Notes Class of Notes Principal Amount Stated Interest Rate 1 S&P Rating 2 Fitch Rating 2 Stated Maturity Initial Offer Price 3 Class A-1R 100,000,000 Floating Rate (6-months EURIBOR/LIBOR plus 0.21 per cent. per annum) Class A-1A 150,000,000 Floating Rate (6-months EURIBOR plus 0.21per cent. per annum) Class A-1B 115,700,000 Floating Rate (6-months EURIBOR plus 0.24 per cent. per annum) Class A-2 27,000,000 Floating Rate (6-months EURIBOR plus 0.34 per cent. per annum) Class B 30,000,000 Floating Rate (6-months EURIBOR plus 0.45 per cent. per annum) Class C 35,000,000 Floating Rate (6-months EURIBOR plus 0.70 per cent. per annum) Class D 28,000,000 Floating Rate (6-months EURIBOR plus 1.85 per cent. per annum) Class E 8,500,000 Floating Rate (6-months EURIBOR plus 4.50 per cent. per annum) AAA AAA per cent. AAA AAA per cent. AAA AAA per cent. AAA AAA per cent. AA AA per cent. A A per cent. BBB- BBB per cent. BB- BB per cent. Subordinated Notes 20,000,000 On an available funds basis Not Rated Not Rated per cent. Class P Combination Notes 8,000,000 Permitted Class P Combination Coupon N/A BBB per cent. 1 Subject to available Interest Proceeds. See Condition 3(c) (Pre Enforcement Priorities of Payments). 6

7 2 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. 3 The Arranger may offer the Notes at other prices as may be negotiated at the time of sale. Class P Combination Notes Trustee Collateral Administrator, Custodian, Principal Paying Agent, Account Bank, Calculation Agent and Class A-1R Note Agent Irish Paying Agent Originator Each Class P Combination Note consists of two Components, the Class C Component having an aggregate initial principal amount of 6,000,000 which represents an equal initial principal amount of Class C Notes, and a Class P Subordinated Component having an aggregate initial amount of 2,000,000 which represents an equal initial principal amount of Subordinated Notes. Deutsche Trustee Company Limited. Deutsche Bank AG, London Branch. Deutsche International Corporate Services (Ireland) Limited. P&G SGR S.p.A. Distributions on the Notes Payment Dates: Stated Note Interest: Semi-annually on 10 May and 10 November in each year, commencing on 10 November 2007 (subject to adjustment for non- Business Days). Interest on each Class of Notes will be payable semi-annually in arrear on each Payment Date in accordance with the Interest Proceeds Priority of Payments. Interest on the Subordinated Notes is only payable on an available funds basis on each Payment Date out of Interest Proceeds, subject to prior payment in accordance with the Priorities of Payments of certain fees, expenses and interest payable in respect of the other Classes of Notes. Interest on the Class P Combination Notes will be payable on the same terms as the Classes of Notes to which the Components of the Class P Combination Notes correspond. See Conditions 6(h) (Interest on the Class P Combination Notes), 8(f) (Payments on Class P Combination Notes). On each Payment Date on which payments of interest are made in respect of a Component, a portion of such payment relating to such Component shall be allocated to each Class P Combination Note which includes such Component. Except as provided in Conditions 8(f) (Payments on Class P Combination Notes) and 7(q) (Redemption of the Class P Combination Notes), no other interest payments will be made on the Class P Combination Notes. Payments on the Class P Combination Notes: On each Payment Date, the holders of the Class P Combination Notes will receive an amount of interest and principal paid in respect of the Class C Component and the Class P Subordinated Component in the proportion that the principal amounts of such Components bear to the Class C Notes and the Subordinated 7

8 Notes respectively. On each Payment Date, an amount equal to the principal paid in respect of the Class C Component shall be treated as redemption of principal on the Class P Combination Notes until the Class P Combination Notes are fully redeemed. Any remaining principal paid in respect of the Class C Component shall be paid as excess income. In respect of the interest paid in respect of the Class C Component and all amounts received on the Class P Subordinated Component of the Class P Combination Notes, on each Payment Date: (a) (b) (c) (d) an amount equal to six month EURIBOR plus 2.00 per cent. of the Principal Amount Outstanding of the Class P Combination Notes at the beginning of the relevant Due Period (the Permitted Class P Combination Coupon ) shall be characterised as a payment of interest on the Class P Combination Notes; to the extent that there are insufficient Interest Proceeds available for payment of the Permitted Class P Combination Coupon or proportion thereof (as the case may be) due and payable on any Payment Date in respect of the Class P Combination Notes, an amount of interest equal to such shortfall in payment of such Interest Amount due and payable on such Payment Date shall not be deferred. An interest amount equal to such shortfall will be extinguished on such Payment Date and the affected Class P Combination Noteholder will have no claim against the Issuer in respect thereof; to the extent that the interest receipts from the Components of the Class P Combination Notes exceed the Permitted Class P Combination Coupon (such excess the Class P Note Excess Interest ), such Class P Note Excess Interest shall be treated as redemption of principal of the Class P Combination Notes until the Class P Combination Notes are redeemed to 1; and to the extent that the amounts received from the Components of the Class P Combination Notes exceed the Permitted Class P Combination Coupon and the aggregate Principal Amount Outstanding of the Class P Combination Notes, such remaining Class P Note Excess Interest shall be paid as excess income in respect of the Class P Combination Notes. After the Principal Amount Outstanding in respect of the Class P Combination Notes has been reduced as per (c) above, each holder of a Class P Combination Note will subsequently receive in aggregate all distributions made in respect of the Components of the Class of Combination Notes in the proportion that the principal amounts of such Components bear to the Class C Notes and the Subordinated Notes respectively. To the extent that the Principal Amount Outstanding of the Class P Combination Notes has been redeemed to EUR 1 following redemption in whole or in part of the Class C Component and/or the Class P Subordinated Component, any subsequent interest and/or principal receipts from the Components of the Class P Combination Notes shall be treated as the payment of additional 8

9 interest on the Class P Combination Notes. The reduction of the Principal Amount Outstanding in respect of the Class P Combination Notes shall not affect the Issuer s obligation to make such payments of additional interest on the Class P Combination Notes. Deferral of Interest: If interest payments on the Class C Notes and/or the Class D Notes and/or Class E Notes cannot be made on any Payment Date as a result of there being insufficient Interest Proceeds available for such purpose, then such unpaid interest will be deferred and will itself accrue interest at the rate of interest applicable to such Notes. See Condition 6(d) (Payment of Deferred Interest). Any non-payment of amounts due and payable on the Class C Notes, the Class D Notes and/or the Class E Notes as a result of the insufficiency of available Interest Proceeds will not constitute an Event of Default and such due and payable amounts will be deferred and interest will accrue thereon at the applicable Floating Rate of Interest. See Condition 6(c) (Deferral of Interest). Non payment of interest on Subordinated Notes as a result of the non-availability of Interest Proceeds and Principal Proceeds will not constitute an Event of Default in any circumstance. Non-payment of interest on the Class P Combination Notes will only affect such Class P Combination Notes to the extent that the corresponding Components of the Class P Combination Notes are affected as described above. Principal Payments on the Notes: Principal payments on the Notes will be made on a Payment Date in the following circumstances, subject in each case to the Priorities of Payments: (a) (b) (c) (d) the earlier of the Stated Maturity and, after the end of the Reinvestment Period, the day on which the Aggregate Collateral Balance is reduced to zero; if any of the Coverage Tests has not been satisfied in respect of any Payment Date falling on or after the Effective Date, to the extent required to cause the Coverage Tests to be satisfied; to the extent that on any Determination Date in respect of a Payment Date during the Reinvestment Period there are any Unreinvested Redemption Amounts on such Payment Date, the Collateral Manager (acting on behalf of the Issuer) may, in its sole discretion, apply Principal Proceeds equal to such Unreinvested Redemption Amounts, in accordance with the Principal Proceeds Priority of Payments, to redeem the Notes in accordance with the Note Payment Sequence until finally redeemed or, if earlier, until the Unreinvested Redemption Amounts have been reduced to zero; if as at the second Business Day prior to the Payment Date following the Effective Date and thereafter as at each Payment Date (to the extent required) an Effective Date Rating Event has occurred and is continuing; 9

10 (e) (f) (g) (h) (i) (j) (k) after the Reinvestment Period, out of Principal Proceeds; subject to certain conditions, after the Non-Call Period, at the direction of the holders of the Subordinated Notes, acting by Extraordinary Resolution; subject to certain conditions, on or after the Auction Date, provided the Auction Call Redemption Amount (as defined in Condition 7(g)(iii)) is reached; after the Reinvestment Period, to the payment of principal on the Class E Notes equal to 20 per cent of the remaining Interest Proceeds (after the payment of all amounts prior thereto in accordance with the Priorities of Payments) to the Class E Notes until redeemed in full (the Class E Turbo Principal Distribution Amount ); subject to certain conditions, at the direction of the holders of the Subordinated Notes acting by Extraordinary Resolution following the occurrence of a Collateral Tax Event or, at the direction of the Controlling Class acting by Extraordinary Resolution following the occurrence of a Note Tax Event; subject to certain conditions, on any Payment Date selected by the Collateral Manager which occurs on or after the Payment Date on which the Principal Amount Outstanding of all Classes of Notes is less than or equal to 10 per cent. of the Principal Amount Outstanding of all Classes of Notes as of the Issue Date, the Notes will be redeemed, in whole but not in part, in accordance with the Priorities of Payments pursuant to a clean-up call; and the Class A-1R Advances may be prepaid on any Business Day at the Collateral Manager s option, acting on behalf of the Issuer in accordance with the provisions of Condition 7(r) (Repayment of Class A-1R Advances and Reduction of Class A-1R Commitment), each as described in further detail below. Each Note to be redeemed in accordance with Condition 7 (Redemption and Purchase) shall be redeemed at its applicable Redemption Price (together with Deferred Interest (if any)). The Class P Combination Notes shall be redeemed in accordance with and as described in Condition 7(q) (Redemption of the Class P Combination Notes). Non Call Period: The period from (and including) the Issue Date to (but excluding) the Payment Date falling in 10 May Auction Date: The Payment Date falling in10 May Stated Maturity: The Payment Date falling in 10 May Redemption Prices: The Redemption Price of each Class of Notes (other than the Class A-1R Notes and the Class P Combination Notes) will be 100 per cent. of the Principal Amount Outstanding, or, in the case of the Subordinated Notes, their pro rata share of any proceeds remaining after the liquidation of the Mortgaged Property and following the 10

11 payment of all other amounts due in accordance with the Priorities of Payments. Any payments on the Subordinated Notes in excess of 100 per cent. of the original principal amount of such Subordinated Notes shall constitute payments of interest. The Redemption Price of each Class A-1R Note will be 100 per cent. of the Class A-1R Drawn Amount. The Redemption Price of any Class P Combination Note shall, in the event of any redemption of the Notes, be an amount equal to the sum of the Redemption Prices payable in respect of the relevant Classes of Notes corresponding to the Components of which the Class P Combination Note is comprised. Priorities of Payments Interest Proceeds and Principal Proceeds (together with amounts received under any Asset Swap Transaction and Interest Rate Swap Transaction) will be applied on each Payment Date in accordance with the Priorities of Payments. The Interest Proceeds Priority of Payments and Principal Proceeds Priority of Payments are each represented in diagrammatic form below and any terms used herein are abbreviated for the purposes of these diagrams. Please see Condition 3(c)(i) (Application of Interest Proceeds) and Condition 3(c)(ii) (Application of Principal Proceeds) for a full description. The distribution of the net proceeds of the enforcement of security over the Mortgaged Property will be made in the manner described in Condition 11(b) (Enforcement of the Security). Payments specified at each level will be paid on a pro rata basis unless otherwise specified. General Terms of the Class A-1R Notes Class A-1R Commitments: The Class A-1R Notes will be a revolving Class of Notes under which amounts (up to a maximum aggregate outstanding amount of 100,000,000 (of which a maximum amount of 68,105,000 may be drawn in Sterling converted at the Initial Spot Rate), as reduced from time to time as described below (the Class A-1R Commitment )) may be borrowed, repaid and reborrowed, subject to the conditions specified in Condition 7(r) (Repayment of Class A-1R Advances and Reduction of the Class A-1R Commitment) pursuant to the Class A-1R Note Purchase Agreement, dated on or about the Issue Date (the Class A-1R Note Purchase Agreement ), between, among others, the Issuer, the Collateral Manager, Deutsche Bank Luxembourg SA (in such capacity, the Class A-1R Note Registrar ), Deutsche Bank AG, London Branch (in such capacity, the Class A-1R Note Agent ) and the holders from time to time of the Class A-1R Notes. Each Class A- 1R Noteholder will be obligated to make Class A-1R advances to the Issuer upon request (the aggregate of all advances by Class A- 1R Noteholders, the Class A-1R Drawn Amount ), in an aggregate principal amount at any one time outstanding of up to the full amount of its Class A-1R Commitment (provided that any Class A-1R Allocated Commitment may only be drawn for the purposes described below). Advances may be drawn in Euro (each, a Class A-1R Euro Advance ) or Sterling (each, a Class A-1R Sterling Advance and, together with the Class A-1R Euro Advances, the Class A-1R Advances and each a Class A-1R Advance ). The portion of a Class A-1R Advance applicable to 11

12 each Class A-1R Note shall be the pro rata share of the Class A- 1R Commitment represented by such Class A-1R Note. Class A-1R Ceiling Amount: At any time the available commitment for drawing in respect of the acquisition of Collateral Debt Security(ies) and Eligible Investments under the Class A-1R Notes shall be the greater of (a) zero and (b) the ceiling amount (the Class A-1R Ceiling Amount ) as calculated below, less the Class A-1R Drawn Amount. The Class A-1R Ceiling Amount for the next Payment Date and from time to time shall be calculated by the Collateral Manager, as follows: (i) (ii) during the Reinvestment Period, the Class A-1R Ceiling Amount shall be the greater of (A) zero and (B) the Class A-1R Commitment less the sum of (without double counting) (x) such amount of the Class A-1R Commitment which is undrawn and equals the Principal Amount Outstanding of the Class A1 Notes to be redeemed and the Class A-1R Notes to be repaid on the next Payment Date (y) an amount which equals Sale Proceeds and recoveries on Defaulted Securities which are or were not permitted to be made available for reinvestment under the Reinvestment Criteria in the related Due Period and (z) an amount required to cover any Unfunded Amounts not cash collateralised into the Revolving Reserve Account from time to time; and after the end of the Reinvestment Period, the Class A-1R Ceiling Amount shall be the greater of (A) zero and (B) the Class A-1R Commitment less the sum of (without double counting) (x) all Principal Proceeds (excluding Unscheduled Principal Proceeds) received since the last Determination Date (y) such amount of the Class A-1R Commitment which is undrawn and equals the principal amount of the Class A1 Notes to be redeemed and the Class A-1R Notes to be repaid on the next Payment Date and (z) an amount required to cover any Unfunded Amounts not cash collateralised into the Revolving Reserve Account from time to time. The available commitment for drawing (the Class A-1R Undrawn Amount ) in respect of all purposes under the Class A- 1R Note Purchase Agreement shall equal the Class A-1R Commitment less the Class A-1R Drawn Amount. Class A-1R Allocated Commitment: In the event that the Collateral Manager, acting on behalf of the Issuer, acquires any Revolving Obligation at any time it shall procure that either: (a) (b) an amount equal to the Unfunded Amounts in the Base Currency applicable to such Revolving Obligation is paid into the Revolving Reserve Account; and/or in the case of any Revolving Obligation whose Base Currency is Euro or Sterling, an amount of the Class A-1R Undrawn Amount is reserved for allocation towards payment of such Unfunded Amounts in the future, 12

13 so that, (a) in the case of any Revolving Obligation whose Base Currency is Euro, the aggregate of the Balance standing to the credit of the Revolving Reserve Account and the Class A-1R Allocated Commitment each denominated in Euro, at least equals the aggregate of all Unfunded Amounts in respect of all Revolving Obligations whose Base Currency is Euro and (b) in the case of any Revolving Obligation whose Base Currency is Sterling, the aggregate Balance standing to the credit of the Revolving Reserve Account and the Class A1-R Allocated Commitment each denominated in Sterling at least equals the aggregate of all Unfunded Amounts in respect of all Revolving Obligations whose Base Currency is Sterling. The Class A-1R Allocated Commitment may only be allocated (with such allocation to take place on the purchase date of the relevant Revolving Obligation) to fund payments of the Unfunded Amounts in respect of a Revolving Obligation (a) if the minimum drawing period in respect of such Revolving Obligation exceeds the Class A-1R Notes Draw Period and (b) if the Base Currency of such Revolving Obligation is Euro or Sterling. Class A-1R Advances: Interest on Class A-1R Notes: Subject to compliance with the borrowing conditions set out in the Class A-1R Note Purchase Agreement, the proceeds of each Class A1-R Advance will be applied by the Collateral Manager, acting on behalf of the Issuer, (a) to purchase additional Collateral Debt Securities and/or Eligible Investments, (b) to reduce the aggregate Class A-1R Allocated Commitment by paying such proceeds into the Revolving Reserve Account or (c) to fund Unfunded Amounts in respect of Revolving Obligations in respect of which any Class A-1R Allocated Commitment has been reserved. Class A-1R Sterling Advances will be applied in the purchase of Revolver Hedged Collateral Debt Securities denominated in Sterling. Class A-1R Euro Advances may be applied in the purchase of Collateral Debt Securities denominated in a Qualifying Currency, but where the non-euro Qualifying Currency is a currency other than Sterling, such Collateral Debt Security shall be the subject of an Asset Swap Transaction and, furthermore, any Sterling denominated Collateral Debt Securities purchased other than with the proceeds of a Class A-1R Sterling Advance shall also be the subject of an Asset Swap Transaction. The Principal Proceeds of any Revolver Hedged Collateral Debt Security shall be applied either (i) to reinvest in substitute Revolver Hedged Collateral Debt Securities; (ii) to redeem the Class A-1R Sterling Advance, or part thereof; (iii) to deposit such Principal Proceeds into the Revolving Reserve Account to reduce the Class A-1R Allocated Commitment denominated in Sterling; or (iv) to payment to the Principal Collection Account to be applied in accordance with the Priorities of Payments. Interest on the Class A-1R Notes shall be payable on each Payment Date and shall be composed of Class A-1R Euro Interest Amounts and Class A-1R Sterling Interest Amounts in respect of such Payment Date (if any). Class A-1R Euro Interest Amounts on each Class A-1R Euro Advance for each Class A-1R Advance Interest Period will accrue at the rate per annum determined by the Class A-1R Note Agent to be the Applicable EURIBOR plus the Class A-1R Euro Margin and will be computed on the basis of a 360-day year and the actual 13

14 number of days elapsed, all as more fully set out in Condition 6(f) (Interest on the Class A-1R Notes). Class A-1R Sterling Interest Amounts on each Class A-1R Sterling Advance for each Class A-1R Advance Interest Period will accrue at the rate per annum determined by the Class A-1R Note Agent to be the Applicable LIBOR plus the Class A-1R Sterling Margin and will be computed on the basis of a 365- day year and the actual number of days elapsed, all as more fully set out in Condition 6(f) (Interest on the Class A-1R Notes). Payment of interest on Class A-1R Advances and of Class A-1R Commitment Fee will be made on each Payment Date, subject to and in accordance with the Priorities of Payments on a basis that is pari passu with, inter alia, payments of interest on the Class A-1 Notes. Class A-1R Commitment Fee: Repayments and Prepayments of Class A-1R Advances: Redemption of Class A-1R Notes: A commitment fee (the Class A-1R Commitment Fee ) will accrue on the Class A-1R Average Undrawn Amount for each Interest Period at a rate per annum equal to per cent. during such Interest Period on the basis of a 360-day year and the actual number of days elapsed. The Class A-1R Commitment Fee will be payable by the Issuer to the Class A-1R Noteholders in Euro in arrear on each Payment Date and will rank pari passu with, inter alia, payments of interest on the Class A-1 Notes, the Class A-1R Euro Interest Amount and the Class A-1R Sterling Interest Amount. Principal in respect of any Class A-1R Advance may be prepaid upon three Business Days notice, on any Business Day (at the option of the Collateral Manager acting on behalf of the Issuer (save where the Class A-1R Notes are to be redeemed in full, in which event the principal shall be immediately repayable and shall be repaid out of Interest Proceeds and Principal Proceeds in accordance with the Priorities of Payments) provided that any principal repaid on a Payment Date shall be repaid subject to and in accordance with, the Priorities of Payments. See Condition 3(c) (Pre Enforcement Priorities of Payments), Condition 7(r) (Repayment of Class A-1R Advances and Reduction of the Class A- 1R Commitment) and Condition 11 (Enforcement). In circumstances where on any Payment Date any Principal Amount Outstanding of Class A-1A Notes and/or Class A-1B Notes is repaid, then the Class A-1R Commitment shall be reduced by such amount as would ensure the ratio of the Class A-1R Commitment to the then Principal Amount Outstanding of Class A- 1A Notes and the Class A-1B Notes after such repayment equals the ratio thereto as at the Issue Date such ratio being per cent. Upon any redemption of the Notes pursuant to Condition 7(f) (Optional Redemption of the Notes on or after the Non-Call Period), Condition 7(g) (Redemption of the Notes on or after the Auction Date), Condition 7(h) (Optional Redemption Clean-Up Call) or Condition 7(i) (Optional Redemption Upon Withholding Tax Event), the Aggregate Class A-1R Commitments shall be reduced to zero and cancelled on the applicable Redemption Date. Class A-1R Noteholders At all times prior to the date on which no Class A-1R Allocated Commitment is outstanding, each Class A-1R Noteholder, 14

15 Committed Liquidity Provider and prospective transferee of a Class A-1R Note will be required to satisfy the Class A-1R Rating Criteria. If any Class A-1R Noteholder or Committed Liquidity Provider fails to satisfy the Class A-1R Rating Criteria at any time any Class A-1R Commitment is outstanding, it shall either at its sole expense (i) use commercially reasonable efforts to transfer all of its rights and obligations in respect of the Class A-1R Notes held by it to an entity that meets such Class A-1R Rating Criteria or (ii) within 30 calendar days thereafter deposit or cause to be deposited Class A- 1R Collateral in an amount equal to the related Noteholder's Class A-1R Undrawn Amount (any cash and Eligible Investments deposited in respect of the relevant holder's proportional Class A- 1R Allocated Commitment in respect of any Sterling denominated Revolving Obligation shall be denominated in Sterling) in the Class A-1R Collateralising Noteholder Account or (iii) subject to receipt of Rating Agency Confirmation, have its obligations guaranteed by an entity which satisfies the Class A-1R Rating Criteria or (iv) subject to receipt of Rating Agency Confirmation, enter into a liquidity facility with a Committed Liquidity Provider which satisfies the Class A-1R Rating Criteria. Any Class A-1R Euro Interest Amounts, Class A-1R Sterling Interest Amounts and Class A-1R Commitment Fee due to a Class A-1R Noteholder which is a Defaulting Noteholder shall be paid into the Class A-1R Collateralising Noteholder Account whilst such Class A-1R Noteholder remains a Defaulting Noteholder. Any such amounts together with any Class A-1R Collateral deposited by a Class A-1R Noteholder which fails to fund a Class A-1R Advance when required shall be initially deposited into the Class A-1R Collateralising Noteholder Account and shall thereafter be transferred to the Principal Collection Account to be applied to fund such Defaulting Noteholder's Defaulted Class A- 1R Advances and shall be converted, if required, to the currency of the Defaulted Class A-1R Advance at the then prevailing Spot Rate. 15

16 INTEREST PROCEEDS Taxes Trustee Expenses below Senior Fee Cap Administrative Expenses below Senior Fee Cap Senior Collateral Management Fee plus VAT (if applicable) below Senior Collateral Management Fee Cap Deferred Origination Fee Scheduled Periodic Asset Swap Issuer Payments and Scheduled Periodic Interest Rate Swap Issuer Payments (other than under Macro Interest Rate Swap Agreement) Interest Rate Swap Issuer Termination Payments and Asset Swap Issuer Termination Payments (1) Interest Amounts on the Class A-1A Notes and the Class A-1B Notes (2) interest on the Class A-1R Euro Interest and Class A-1R Sterling Interest, (3) the Class A-1R Commitment Fees to the Class A-1R Interest Amounts on the Class A-2 Notes Class B Note Interest Amounts Scheduled Periodic Interest Rate Swap Issuer Payments under Macro Interest Rate Swap Agreement Effective Date Rating Event Occurs Sequential Note redemption in accordance with Note Payment Sequence until tests satisfied Interests Due on Class C Notes then Deferred Interests on Class C Notes Pass Senior Overcollateralisation Test Fail Sequential Senior Notes redemption in accordance with Note Payment Sequence until test satisfied Interest Due on Class D Notes then Deferred Interests on Class D Notes Pass Class C Coverage Tests Fail Sequential Senior Note and Class C Notes redemption in accordance with Note Payment Sequence until tests satisfied Interests Due on Class E Notes, then Deferred Interests on Class E Notes Pass Class D Overcollateralisation Test Fail Sequential Senior Notes, Class C Notes and Class D Notes redemption in accordance with Note Payment Sequence until test satisfied Pass Class E Overcollateralisation Test Fail Sequential Senior Notes, Class C Notes, Class D Notes and Class E Notes redemption in accordance with Note Payment Sequence until test satisfied After the Reinvestment Period Class E Turbo Principal Distribution Amount Trustee Expenses above Senior Fee Cap Administrative expenses above Senior Fee Cap Senior Collateral Management Fee plus VAT (if applicable) above Collateral Management Fee Cap Subordinated Collateral Management Fee plus VAT (if applicable) Defaulted Interest Rate Swap Issuer Termination Payments and any Defaulted Asset Swap Issuer Termination Payments 100% to Subordinated Note interests below the IRR Threshold After the Subordinated exceeds the IRR Threshold 10% to Incentive Collateral Management Fee 90 % to the Subordinated Notes 16

17 PRINCIPAL PROCEEDS Payments due and unpaid under Interest Proceeds Priority of Payments down to and including Scheduled Periodic Interest Rate Swap Issuer Payments on the Macro Interest Rate Swap Agreement Yes Partial Redemption No If Rating Event/any Overcollateralisation Test Breach: Sequential Redemption of the Notes until Rating Event no longer applicable/ Overcollateralisation Test repaired Yes During Reinvestment Period No Sequential Redemption of the Notes up the unreinvested amount Purchase Substitute Collateral Asset Balance >75% Par Principal of all Rated Notes, pari passu Asset Balance =<75% Par Sequential Note redemption in accordance with Note Payment Sequence Trustee Expenses above Senior Fee Cap Administrative Expenses above Senior Fee Cap Senior Collateral Management Fee plus VAT (if applicable) above Collateral Management Fee Cap Subordinated Collateral Management Fee plus VAT (if applicable) Defaulted Interest Rate Swap Issuer Termination Payment and any Defaulted Asset Swap Issuer Termination Payment If full redemption, redemption of the Subordinated Notes 100% to Subordinated Notes Interests below the IRR Threshold After the Subordinated exceeds the IRR Threshold 10 per cent to Incentive Collateral Management Fee 90 per cent. to the Subordinated Notes 17

18 Collateral Management Fees Senior Collateral Management Fee: 0.10 per cent. per annum of the weighted average daily Aggregate Principal Balance plus value added tax (if applicable). See the definition of Senior Collateral Management Fee in Condition 1 and The Collateral Management Agreement. Subordinated Collateral Management Fee: per cent. per annum of the weighted average daily Aggregate Principal Balance plus value added tax (if applicable) until 10 May 2012 and thereafter 0.3 per cent. per annum of the weighted average daily Aggregate Principal Balance plus value added tax (if applicable). See the definition of Subordinated Collateral Management Fee in Condition 1 and The Collateral Management Agreement. Incentive Collateral Management Fee: Security for the Notes 10 per cent. of all amounts of Interest Proceeds and Principal Proceeds payable in respect of the Subordinated Notes once a 10 per cent. Subordinated IRR Threshold has been reached, plus value added tax (if applicable). See the definition of Incentive Collateral Management Fee IRR Threshold in Condition 1 and The Collateral Management Agreement. The Notes will be secured by security over a portfolio of Collateral Debt Securities predominantly consisting of Euro denominated asset-backed securities, collateralised debt securities and Synthetic Securities (including collateralised synthetic obligations). The Notes will also be secured by various of the Issuer s other rights, including its rights under certain of the agreements described herein. The Class P Combination Notes will be secured solely to the extent to which the Classes of Notes corresponding to the Components of which the Class P Combination Notes are comprised are secured. See Description of Portfolio and Other Mortgaged Property. Purchase of Collateral Debt Securities Origination: As at the Issue Date: During Reinvestment Period: Reinvestment Period: Pursuant to the Collateral Management Agreement, the Issuer shall pay to the Originator, the Deferred Origination Fee (as defined in Condition 1 (Definitions)). It is anticipated that the Issuer will have purchased or will have entered into binding commitments to purchase Collateral Debt Securities with an Aggregate Principal Balance of approximately 490,000,000 by the Issue Date, representing approximately 98 per cent. of the Target Par Amount referred to below. The Collateral Manager (on behalf of the Issuer ) will use commercially reasonable efforts to invest in Collateral Debt Securities up to an Aggregate Principal Balance equal to or greater than the Target Par Amount on or before the Effective Date subject to and in accordance with the terms of the Collateral Management Agreement. See Description of Portfolio and Other Mortgaged Property. The period from (and including) the Issue Date to (but excluding) the Payment Date falling in 10 May