ALADDIN SYNTHETIC CDO II SPC

(a segregated portfolio company incorporated with limited liability under the laws of the Cayman Islands)

ALADDIN SYNTHETIC CDO II (DELAWARE) LLC USD 45,000,000 Series B-1 Floating Rate Notes Due 2013 USD 15,000,000 Series C-1 Floating Rate Notes Due 2013 USD 35,000,000 Series C-2 Floating Rate Notes Due 2013 USD 5,000,000 Series C-3 Fixed Rate Notes Due 2013 JPY 3,000,000,000 Series C-4 Floating Rate Notes Due 2013
and any Additional Notes of such Series and any Additional Series of Notes issued from time to time
Aladdin Synthetic CDO II SPC (the Company) is an exempted company incorporated with limited liability under the laws of the Cayman Islands and registered as a segregated portfolio company pursuant to Part XIV of the Companies Law (2004 Revision) of the Cayman Islands. As a segregated portfolio company, the Company will segregate substantially all of its assets and liabilities into separate segregated portfolios (each, a Portfolio"), and the assets of one Portfolio will not be available to meet the obligations of any other Portfolio. The Company acting for the account of one or more Portfolios (each, an Issuer), either alone or together with Aladdin Synthetic CDO II (Delaware) LLC (the Co-Issuer) may periodically issue one or more series (each, a Series) of notes (the Notes) as described herein. The obligations of the relevant Issuer in relation to a Series of Notes will be allocated to the specific Portfolio for such Series of Notes (the "Segregated Portfolio" for such Series of Notes) and only the assets allocated to such Segregated Portfolio will be available to meet the obligations of the relevant Issuer under such Series of Notes, the related Indenture and any other transaction documents with respect to such Series of Notes. Each Series of Notes will be limited recourse debt obligations of the related Issuer and the Co-Issuer, payable solely from the Collateral pledged by such Issuer to the Trustee under the related Indenture to secure its obligations in respect of such Series. The Company acting for the account of the Series B-1 Segregated Portfolio (the Series B-1 Issuer), together with the Co-Issuer, has determined to issue, and is offering hereby, USD 45,000,000 Series B-1 Floating Rate Notes Due 2013 (the "Series B-1 Notes"). The Company acting for the account of the Series C-1 Segregated Portfolio (the Series C-1 Issuer), together with the Co-Issuer, has determined to issue, and is offering hereby, USD 15,000,000 Series C-1 Floating Rate Notes Due 2013 (the "Series C-1 Notes"). The Company acting for the account of the Series C-2 Segregated Portfolio (the Series C-2 Issuer), together with the Co-Issuer, has determined to issue, and is offering hereby, USD 35,000,000 Series C-2 Floating Rate Notes Due 2013 (the "Series C-2 Notes"). The Company acting for the account of the Series C-3 Segregated Portfolio (the Series C-3 Issuer), together with the Co-Issuer, has determined to issue, and is offering hereby, USD 5,000,000 Series C-3 Fixed Rate Notes Due 2013 (the "Series C-3 Notes"). The Company acting for the account of the Series C-4 Segregated Portfolio (the Series C-4 Issuer), together with the CoIssuer, has determined to issue, and is offering hereby, JPY 3,000,000,000 Series C-4 Floating Rate Notes Due 2013 (the "Series C-4 Notes" and together with the Series B-1 Notes, the Series C-1 Notes, the Series C-2 Notes and the Series C-3 Notes, the "Offered Notes").
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THE OFFERED NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, AND THE ISSUERS AND THE CO-ISSUER (AS DEFINED HEREIN) WILL NOT BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. THE OFFERED NOTES MAY NOT BE OFFERED OR SOLD WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS SUCH TERMS ARE DEFINED UNDER THE SECURITIES ACT) EXCEPT PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT. ACCORDINGLY, THE OFFERED NOTES ARE BEING OFFERED HEREBY ONLY TO (A) IN THE CASE OF OFFERED NOTES OTHER THAN SERIES C-4 NOTES, (1) (a) QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) or (b) ACCREDITED INVESTORS (AS DESCRIBED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT) WHO ARE (2) QUALIFIED PURCHASERS FOR PURPOSES OF SECTION 3(c)(7) UNDER THE INVESTMENT COMPANY ACT AND (B) NON-U.S. PERSONS OUTSIDE THE UNITED STATES IN RELIANCE ON REGULATION S UNDER THE SECURITIES ACT. THE SERIES C-4 NOTES MAY NOT BE OFFERED OR SOLD IN THE UNITED STATES OR TO U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT). PURCHASERS AND SUBSEQUENT TRANSFEREES OF DEFINITIVE NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER A LETTER CONTAINING CERTAIN REPRESENTATIONS AND AGREEMENTS, AND PURCHASERS AND SUBSEQUENT TRANSFEREES OF BOOK-ENTRY NOTES WILL BE DEEMED TO HAVE MADE SUCH REPRESENTATIONS AND AGREEMENTS, AS SET FORTH UNDER "NOTICE TO INVESTORS." THE OFFERED NOTES ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED UNDER "NOTICE TO INVESTORS." The Offered Notes, other than the Series C-4 Notes, are being offered in the United States, (i) in reliance on Rule 144A under the Securities Act, to qualified institutional buyers (as defined in Rule 144A under the United States Securities Act of 1933, as amended (the "Securities Act")) (Qualified Institutional Buyers) or (ii) pursuant to Section 4(2) of the Securities Act, to accredited investors (as described in Rule 501(a) of Regulation D under the Securities Act) (Accredited Investors), in each case, that are also "qualified purchasers" for purposes of Section 3(c)(7) under the United States Investment Company Act of 1940, as amended (the "Investment Company Act") (Qualified Purchasers). The Offered Notes are also being offered hereby outside the United States to non U.S. Persons in offshore transactions in reliance on Regulation S ("Regulation S") under the Securities Act. See "Underwriting." See "Risk Factors" for a discussion of certain factors to be considered in connection with an investment in the Offered Notes. This Offering Circular constitutes a Securities Note (the "Securities Note ") for the purposes of Directive 2003/71/EC (the "Prospectus Directive"). This Securities Note shall be read in conjunction with the Registration Document dated 12 October 2007 with regard to the Issuer (the "Registration Document"). Application has been made to the Irish Financial Services Regulatory Authority, as competent authority under the Prospectus Directive, for the Securities Note to be approved. Any foreign language text that is included within this document is for convenience purposes only and does not form part of the Securities Note. Application has been made to the Irish Stock Exchange for the Offered Notes to be admitted to the official list and to trading on its regulated market. There can be no assurance that such application will be granted. It is expected that the Series B-1 Notes will be issued with a rating of at least "AA" by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"); that the Series C-1 Notes will be issued with a rating of at least "A" by S&P; that the Series C-2 Notes will be issued with a rating of at least "A2" by Moodys Investors Service, Inc. ("Moody's"); that the Series C-3 Notes will be issued with a rating of at least "A2" by Moody's; and that the Series C-4 Notes will be issued with a rating of at least "A" by S&P. A credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. See "Ratings of the Offered Notes." See "Underwriting" for a discussion of the terms and conditions of the purchase of the Offered Notes by the Initial Purchasers. The Offered Notes are being offered by Goldman, Sachs & Co. and Goldman Sachs International (each an "Initial Purchaser" and together the "Initial Purchasers"), in each case, as specified herein, subject to its right to reject any order in whole or in part, in one or more negotiated transactions or otherwise at varying prices to be determined at the time of sale plus accrued interest, if any, from the Closing Date (as defined herein) (or, solely in the case of the Series C-4 Notes, from December 22, 2006).

Goldman, Sachs & Co.

Goldman Sachs International

Offering Circular dated 12 October 2007.

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THE ASSETS OF EACH ISSUER WITH RESPECT TO THE SERIES OF OFFERED NOTES ISSUED BY IT ARE THE SOLE SOURCE OF PAYMENTS ON SUCH OFFERED NOTES. THE OFFERED NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE HOLDERS OF THE OFFERED NOTES, THE PORTFOLIO MANAGER (AS DEFINED HEREIN), THE SWAP COUNTERPARTY (AS DEFINED HEREIN), GOLDMAN, SACHS & CO. OR GOLDMAN SACHS INTERNATIONAL (AS INITIAL PURCHASERS (AS DEFINED HEREIN)), THE COMPANY ADMINISTRATOR (AS DEFINED HEREIN), THE AGENTS (AS DEFINED HEREIN), THE TRUSTEE, THE SHARE TRUSTEE (AS DEFINED HEREIN) OR ANY OF THEIR RESPECTIVE AFFILIATES. In addition to the Offered Notes, the Issuers and the Co-Issuer may from time to time issue additional Notes of the same Series as the Offered Notes ("Additional Notes") and the Company, acting for the account of one or more Portfolios other than the Series B-1 Segregated Portfolio, the Series C-1 Segregated Portfolio, the Series C-2 Segregated Portfolio, the Series C-3 Segregated Portfolio and the Series C-4 Segregated Portfolio, may from time to time issue additional Series of Notes in addition to the Offered Notes ("Additional Series"), as described herein. The Offered Notes and any Additional Notes will be issued in the relevant currency specified above. Any Additional Series of Notes may be issued in any currency specified by the relevant Issuer at the time of issue. It is expected that the Offered Notes (other than Offered Notes sold to Accredited Investors) will be ready for delivery in book entry form only in New York, New York, on or about the applicable Closing Date (as defined herein), through the facilities of DTC and, in the case of the Offered Notes sold outside the United States, Euroclear Bank S.A./N.V., as operator of the Euroclear System ("Euroclear") and Clearstream Banking, socit anonyme ("Clearstream"), against payment therefor in immediately available funds. It is expected that the Offered Notes sold to Accredited Investors will be ready for delivery in definitive form in New York, New York on the applicable Closing Date, against payment therefor in immediately available funds. The term "Closing Date" means (i) in the case of the Offered Notes other than the Series C-4 Notes, December 19, 2006 and (ii) in the case of the Series C-4 Notes, December 21, 2006. The Offered Notes offered and sold in reliance on Rule 144A will be issued in minimum denominations of USD1,000,000 and integral multiples of USD100,000 in excess thereof. The Offered Notes offered and sold to Accredited Investors will be issued in minimum denominations of USD250,000 and integral multiples of USD1,000 in excess thereof. The Offered Notes (other than the Series C-4 Notes) offered and sold in reliance on Regulation S will be issued in minimum denominations of USD 1,000,000 and integral multiples of USD 100,000 in excess thereof. The Series C-4 Notes will be issued in minimum denominations of JPY1,000,000,000 and integral multiples of JPY100,000,000 in excess thereof. Each Series of Offered Notes will be issued pursuant to the Indenture, dated as of December 19, 2006, among the relevant Issuer, the Co-Issuer, each other Issuer party thereto, The Bank of New York, as trustee (the "Trustee") and Goldman Sachs Capital Markets, L.P., as disposal agent (the Disposal Agent), as supplemented by a Supplemental Indenture for such Series, dated as of the relevant Closing Date, among the relevant Issuer, the Co-Issuer, the Trustee and the Disposal Agent (such Indenture and the relevant Supplemental Indenture, the "Indenture" with respect to such Series). The Company may, on the account of one or more Segregated Portfolios issue additional Series of Notes or may issue additional Notes of existing Series, in each case, without notice to or the consent of the holders of any outstanding Notes (including the Offered Notes), as described herein.

Each Series of Offered Notes will constitute limited recourse obligations of the relevant Issuer and the Co-Issuer. All amounts payable in respect of each Series of Offered Notes will be payable solely from and to the extent of the available proceeds from the Collateral pledged by the relevant Issuer and the CoIssuer to the Trustee under the related Indenture to secure its obligations in respect of such Series of Offered Notes. No Series of Notes will be payable from, or secured by, the Collateral for any other Series of Notes. To the extent the applicable Collateral for any Series of Notes is insufficient to pay all amounts due in respect of such Series of Notes, the relevant Issuer and the Co-Issuer will have no further obligations in respect of such Series of Notes and any sums outstanding and unpaid in respect of such Series of Notes shall be extinguished. The Company, acting for the account of one or more Segregated Portfolios, and Aladdin Capital Management LLC ("Aladdin") will enter into a Portfolio Management Agreement (the "Portfolio Management Agreement") to be dated as of December 19, 2006. Each Issuer of the Offered Notes will become a party to the Portfolio Management Agreement pursuant to a joinder agreement executed on the applicable Closing Date for such Series of Notes. Pursuant to the Portfolio Management Agreement, Aladdin, as Portfolio Manager, will agree to manage two portfolios of synthetic corporate credit exposures under the relevant Credit Default Swap for each Series of Notes, consisting of Reference Entities (as defined herein) in the LT Specified Portfolio and the ST Specified Portfolio (as defined herein), as such Reference Entities may be replaced from time to time in accordance with the applicable Credit Default Swap and the Indenture for such Series. Under each Credit Default Swap, the relevant Issuer will be acting as credit protection seller with respect to the LT Specified Portfolio and as credit protection buyer with respect to the ST Specified Portfolio. Each Series of Offered Notes will be linked to certain levels of exposure to the LT Specified Portfolio and will benefit from any Credit Events (as defined herein) with respect to the ST Specified Portfolio. Interest will be payable on each Series of the Offered Notes in arrears (i) in the case of the Offered Notes other than the Series C-3 Notes, on the 20th day of each March, June, September and December, and (ii) in the case of the Series C-3 Notes, on the 20th day of each March and September, or, in any case, if any such date is not a Business Day (as defined herein), the immediately following Business Day (each such date, a "Payment Date") commencing on March 20, 2007. The Series B-1 Notes will bear interest at a per annum rate equal to LIBOR plus 0.85% for each Interest Accrual Period. The Series C-1 Notes will bear interest at a per annum rate equal to LIBOR plus 1.25% for each Interest Accrual Period. The Series C-2 Notes will bear interest at a per annum rate equal to LIBOR plus 1.25% for each Interest Accrual Period. The Series C-3 Notes will bear interest at a per annum rate equal to 6.35% for each Interest Accrual Period. The Series C-4 Notes will bear interest at a per annum rate equal to JPY LIBOR plus 1.34% for each Interest Accrual Period. Payments on each Series of Offered Notes will be made from proceeds of the relevant Collateral for such Series that are available in accordance with the Priority of Payments (as defined herein). The Offered Notes sold in reliance on Rule 144A under the Securities Act ("Rule 144A") will be evidenced by one or more global notes (the "Rule 144A Global Notes") in fully registered form without coupons, deposited with a custodian for, and registered in the name of, a nominee of The Depository Trust Company ("DTC"). Beneficial interests in the Rule 144A Global Notes will trade in DTC's Same Day Funds Settlement System, and secondary market trading activity in such interests will therefore settle in immediately available funds. Except as described herein, beneficial interests in the Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants. The Offered Notes that are being offered hereby in reliance on the exemption from registration under Regulation S (the "Regulation S Notes") have not been and will not be registered under the Securities Act and the Issuers and the Co-Issuer will not be registered under the Investment Company Act. The Regulation S Notes of other Series (other than the Series C-4 Notes) may not be offered or sold within the United States or to U.S. Persons (as defined in Regulation S) unless the purchaser certifies or is deemed to have certified that it is either (i) a Qualified Institutional Buyer or (ii) an Accredited Investor and, in either case (i) or (ii), a Qualified Purchaser, and takes delivery in the form of an interest in a Rule

144A Global Note (if the purchaser is a Qualified Institutional Buyer) or a Definitive Note (if the purchaser is an Accredited Investor). The Series C-4 Notes may not be offered or sold within the United States or to U.S. Persons (as defined in Regulation S). See "Description of the Offered Notes" and "Underwriting." This Offering Circular is being furnished by each Issuer of the Offered Notes in connection with an offering exempt from registration under the Securities Act, solely for the purpose of enabling a prospective investor to consider the purchase of the Offered Notes described herein. The information contained in this Offering Circular has been provided by the Issuers and other sources identified herein. Except in respect of the information contained under the heading "The Portfolio Manager" (other than the information contained under the subheading "General") for which the Portfolio Manager accepts sole responsibility to the extent described in such section, no representation or warranty, express or implied, is made by the Initial Purchasers, the Portfolio Manager, the Swap Counterparty (or any guarantor thereof), the Trustee or the Agents as to the accuracy or completeness of such information, and nothing contained in this Offering Circular is, or shall be relied upon as, a promise or representation by the Initial Purchasers, the Trustee, the Portfolio Manager, the Swap Counterparty (or any guarantor thereof), or the Agents. Any reproduction or distribution of this Offering Circular, in whole or in part, and any disclosure of its contents or use of any information herein for any purpose other than considering an investment in the Offered Notes is prohibited. Each offeree of the Offered Notes, by accepting delivery of this Offering Circular, agrees to the foregoing.
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THE SECURITIES OFFERED HEREBY HAVE NOT BEEN RECOMMENDED BY ANY UNITED STATES FEDERAL OR STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. The distribution of this Offering Circular and the offering and sale of the Offered Notes in certain jurisdictions may be restricted by law. The Issuers and the Initial Purchasers require persons into whose possession this Offering Circular comes to inform themselves about and to observe any such restrictions. For a further description of certain restrictions on offering and sales of the Offered Notes, see "Underwriting." This Offering Circular does not constitute an offer of, or an invitation to purchase, any of the Offered Notes in any jurisdiction in which such offer or invitation would be unlawful.

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 ANNOTATED ("RSA 421-B") WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR 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.

No invitation may be made to the public in the Cayman Islands to subscribe for the Offered Notes.
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Each of the Initial Purchasers has represented, warranted and agreed that: (i) 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 Financial Services and Markets Act 2000 ("FSMA")) received by it in connection with the issue or sale of any Offered Notes in circumstances in which section 21(1) of the FSMA does not apply to the Issuers or the Co-Issuer; and (ii) it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the Offered Notes in, from or otherwise involving the United Kingdom. See "Underwriting."
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The Offered Notes may not be offered or sold by means of any document other than to persons whose ordinary business is to buy or sell shares or debentures, whether as principal or agent, or in circumstances which do not constitute an offer to the public within the meaning of the Companies Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or document relating to the Offered Notes may be issued, whether in Hong Kong or elsewhere, which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to Offered Notes which are or are intended to be disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder.
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This Offering Circular has not been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, this Offering Circular and any other document or material in connection with the offer or sale, or invitation or subscription or purchase, of the Offered Notes may not be circulated or distributed, nor may the Offered Notes be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than under circumstances in which such offer, sale or invitation does not constitute an offer or sale, or invitation for subscription or purchase, of the Offered Notes to the public in Singapore.
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The Offered Notes have not been and will not be registered under the Securities and Exchange Law of Japan (the Securities and Exchange Law) and each Initial Purchaser has agreed that it will not offer or sell any Offered Notes, directly or indirectly, in Japan or to, or for the benefit of, any resident of Japan (which term as used herein means any person resident in Japan, including any corporation or other entity organized under the laws of Japan), or to others for re-offering or resale, directly or indirectly, in Japan or to a resident of Japan, except pursuant to an exemption from the registration requirements of, and otherwise in compliance with, the Securities and Exchange Law and any other applicable laws, regulations and ministerial guidelines of Japan. NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND THIS OFFERING CIRCULAR DOES NOT CONSTITUTE AN INVITATION TO THE PUBLIC TO PURCHASE OR SUBSCRIBE FOR ANY SECURITIES AND NEITHER IT NOR ANY FORM OF APPLICATION WILL BE ISSUED, CIRCULATED OR DISTRIBUTED TO THE PUBLIC. THIS OFFERING CIRCULAR 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.

In this Offering Circular, references to "USD," "U.S. Dollars," "$" and "U.S.$" are to United States dollars; references to "EUR", "euro" or "" are to the currency introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty establishing the European Communities, as amended; and references to "JPY", "yen" or "" are to Japanese yen. Each Issuer of the Offered Notes and, with respect to the information contained in this Offering Circular under the heading "The Portfolio Manager" (other than the information contained under the subheading "General") the Portfolio Manager (to the extent described in such section), having made all reasonable inquiries, confirms that the information contained in this Offering Circular is true and correct in all material respects and is not misleading, that the opinions and intentions expressed in this Offering Circular are honestly held and that there are no other facts the omission of which would make any such information or the expression of any such opinions or intentions misleading. Each Issuer of the Offered Notes and, with respect to the information in this Offering Circular under the heading "The Portfolio Manager" (other than the information contained under the subheading "General") the Portfolio Manager (to the extent described in such section), takes responsibility accordingly. No person has been authorized to give any information or to make any representation other than those contained in this Offering Circular, and, if given or made, such information or representation must not be relied upon as having been authorized. This Offering Circular does not constitute an offer to sell or the solicitation of an offer to buy any securities other than the securities to which it relates, or an offer to sell or the solicitation of an offer to buy such securities by any person in any circumstances in which such offer or solicitation is unlawful. Neither the delivery of this Offering Circular nor any sale hereunder shall, under any circumstances, create any implication that the information contained herein is correct as of any time subsequent to the date of this Offering Circular. NOTWITHSTANDING ANY OTHER EXPRESS OR IMPLIED AGREEMENT TO THE CONTRARY, EACH RECIPIENT OF THIS OFFERING CIRCULAR AGREES AND ACKNOWLEDGES THAT THE ISSUERS HAVE AGREED THAT EACH OF THEM AND THEIR EMPLOYEES, REPRESENTATIVES AND OTHER AGENTS MAY DISCLOSE, IMMEDIATELY UPON COMMENCEMENT OF DISCUSSIONS, TO ANY AND ALL PERSONS THE TAX TREATMENT AND TAX STRUCTURE OF THE OFFERED NOTES, THE TRANSACTIONS DESCRIBED HEREIN AND ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT ARE PROVIDED TO ANY OF THEM RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE EXCEPT WHERE CONFIDENTIALITY IS REASONABLY NECESSARY TO COMPLY WITH THE SECURITIES LAWS OF ANY APPLICABLE JURISDICTION. PROSPECTIVE INVESTORS SHOULD READ THIS OFFERING CIRCULAR CAREFULLY BEFORE DECIDING WHETHER TO INVEST IN THE OFFERED NOTES AND SHOULD PAY PARTICULAR ATTENTION TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS". INVESTMENT IN THE OFFERED NOTES IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. INVESTORS SHOULD UNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPT THEM FOR AN EXTENDED PERIOD OF TIME.

NOTICE TO INVESTORS Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or other transfer of the Offered Notes offered hereby. Each purchaser who has purchased Offered Notes that are Book-Entry Notes will be deemed to have represented and agreed, and each purchaser of Offered Notes that are Definitive Notes will be required to represent and agree, in each case, with respect to such Offered Notes, as follows (terms used herein that are defined in Rule 144A or Regulation S are used herein as defined therein): 1. In the case of Offered Notes sold in reliance on Rule 144A (the "Rule 144A Notes"), the purchaser of such Rule 144A Notes (i) is a qualified institutional buyer (as defined in Rule 144A) (a "Qualified Institutional Buyer"), (ii) is aware that the sale of Offered Notes to it is being made in reliance on Rule 144A, (iii) is acquiring the Rule 144A Notes for its own account or for the account of a Qualified Institutional Buyer as to which the purchaser exercises sole investment discretion, and in a principal amount of not less than relevant Minimum Denomination and (iv) will provide notice of the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. 2. In the case of Offered Notes sold to Accredited Investors pursuant to Section 4(2) of the Securities Act (the "Accredited Investor Notes"), the purchaser of such Accredited Investor Notes (i) is an accredited investor (as defined in Rule 501(a) of Regulation D under the Securities Act) (an "Accredited Investor"), (ii) is aware that the sale of Offered Notes to it is being made in reliance on Section 4(2) of the Securities Act, (iii) is acquiring the Accredited Investor Notes for its own account or for the account of an Accredited Investor, and in a principal amount of not less than the relevant Minimum Denomination and (iv) will provide notice of the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. 3. In the case of Series C-4 Notes, the purchaser of such Notes understands that the Series C-4 Notes may not be offered or sold in the United States or to U.S. Persons (as defined in Regulation S under the Securities Act). 4. The purchaser understands that the Offered Notes have not been and will not be registered or qualified under the Securities Act or any applicable state securities laws or the securities laws of any other jurisdiction, are being offered only in a transaction not involving any public offering, and may only be reoffered, resold or pledged or otherwise transferred (A) (i) in the case of the Offered Notes other than the Series C-4 Notes, (a) to a person whom the purchaser reasonably believes is a Qualified Institutional Buyer and is purchasing for its own account or for the account of a Qualified Institutional Buyer as to which the purchaser exercises sole investment discretion in a transaction meeting the requirements of Rule 144A or (b) to an Accredited Investor who is purchasing for its own account or for the account of an Accredited Investor or (ii) in the case of any Series of Offered Notes, to a non-U.S. Person in an offshore transaction complying with Rule 903 or Rule 904 of Regulation S, and who shall have satisfied, and shall have represented, warranted, covenanted and agreed in the case of Definitive Notes, or shall be deemed to have satisfied, and shall otherwise be deemed to have represented, warranted, covenanted and agreed that it will continue to comply with, all requirements for transfer of the Offered Notes specified in this Offering Circular, the applicable Indenture, and, in the case of any Definitive Notes, in the Purchase and Transfer Letter, and all other requirements for it to qualify for an exemption from registration under the Securities Act and (B) in accordance with all applicable securities laws of the states of the United States. 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 a Regulation S Global Note, the transferor will be required to provide the Registrar with a written certification (in the form provided in the related Indenture) as to compliance with the transfer restrictions described herein. Before any interest in a Definitive Note may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the relevant Issuer and the Registrar with a letter substantially in the form attached to this Offering Circular as Appendix C (the "Purchase and Transfer Letter"). The purchaser understands and agrees that any purported transfer of Offered Notes to a purchaser that does

not comply with the requirements of this paragraph (2) will, in the case of the Book-Entry Notes, be null and void ab initio, and in the case of the Definitive Notes, not be permitted or registered by the Registrar. The purchaser further understands that the relevant Issuer has the right to compel any beneficial owner of Offered Notes that is a U.S. Person and is neither a Qualified Institutional Buyer nor an Accredited Investor to sell its interest in such Offered Notes, or such Issuer may sell such Offered Notes on behalf of such owner. 5. The purchaser of such Offered Notes also understands that the Issuers and the CoIssuer have not been registered under the Investment Company Act. In the case of the Rule 144A Notes described in paragraph (1) above or Accredited Investor Notes described in paragraph (2) above, the purchaser and each account for which the purchaser is acquiring such Offered Notes is a qualified purchaser for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser"). The purchaser is acquiring Offered Notes in a principal amount of not less than the relevant Minimum Denomination, in each case, for the purchaser and for each such account. The purchaser (or if the purchaser is acquiring Offered Notes for any account, each such account) is acquiring the Offered 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 Offered Notes (except when each beneficial owner of the purchaser and each such account is a Qualified Purchaser), (b) to the extent the purchaser is a private investment company formed before April 30, 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 issuers. Further, the purchaser agrees with respect to itself and each such account: (i) that it shall not hold such Offered Notes for the benefit of any other person and shall be the sole beneficial owner thereof for all purposes and (ii) that it shall not sell participation interests in the Offered 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 Offered Notes. The purchaser understands and agrees that any purported transfer of Offered Notes to a purchaser that does not comply with the requirements of this paragraph (5) will, in the case of the Book-Entry Notes, be null and void ab initio, and in the case of the Definitive Notes, not be permitted or registered by the Registrar. The purchaser further understands that the relevant Issuer has the right to compel any beneficial owner of Offered Notes that is a U.S. Person and is not a Qualified Purchaser to sell its interest in such Offered Notes, or such Issuer may sell such Offered Notes on behalf of such owner. 6. The purchaser understands that the Offered Notes may not be sold or transferred unless such sale or transfer will not constitute or result in a non-exempt "prohibited transaction" under ERISA (as defined herein) or Section 4975 of the Code (as defined herein). The purchaser also understands that the Offered Notes may not be sold or transferred to any Plan (as defined herein), or to any person acting on behalf of, or with "plan assets" of, any Plan, or to any other "benefit plan investor" (as defined in Section 3(42) of ERISA) including an insurance company general account, except in accordance with the restrictions described herein. 7. The purchaser is not purchasing the Offered 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 Offered Notes involves certain risks, including the risk of loss of its entire investment in the Offered Notes under certain circumstances. The purchaser has had access to such financial and other information concerning the Issuers and the Co-Issuer and the Offered Notes as it deemed necessary or appropriate in order to make an informed investment decision with respect to its purchase of the Offered Notes, including an opportunity to ask questions of, and request information from, the Issuers and the Co-Issuer. 8. In connection with the purchase of the Offered Notes: (i) none of the Issuers, Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Trustee, the Agents, the Swap Counterparty (or any guarantor thereof), the Company Administrator or the Share Trustee (as defined herein) is acting as a fiduciary or financial or investment adviser for the purchaser; (ii) 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 Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Trustee, the Agents, the Swap Counterparty (or any guarantor thereof), the Company Administrator or the Share Trustee other than in this Offering Circular for such Offered Notes and any representations expressly set forth in a written agreement with such party; (iii) none of the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Trustee, the Agents, the Swap Counterparty (or any guarantor thereof), the Company Administrator or the Share Trustee 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, results, effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) as to an investment in the Offered Notes; (iv) 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 applicable Indenture) 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 Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Trustee, the Agents, the Swap Counterparty (or any guarantor thereof), the Company Administrator or the Share Trustee; (v) the purchaser has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Offered Notes with a full understanding of all of the risks thereof (economic and otherwise), and is capable of assuming and willing to assume (financially and otherwise) those risks; and (vi) the purchaser is a sophisticated investor. 9. Pursuant to the terms of each Indenture, unless otherwise determined by the relevant Issuer in accordance with such Indenture, Book-Entry Notes (the "Book-Entry Notes") will bear a legend to the following effect: THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), THE ISSUER AND THE CO-ISSUER HAVE 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 AND THE CO-ISSUER THAT THE OFFERED NOTES MAY ONLY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED (A)(1) IN THE CASE OF OFFERED NOTES OTHER THAN THE SERIES C-4 NOTES, TO (a) A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, 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 OR (b) AN ACCREDITED INVESTOR AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR THE ACCOUNT OF ANOTHER ACCREDITED INVESTOR WHO TAKES DELIVERY IN THE FORM OF A DEFINITIVE NOTE OR (2)] TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND IN A PRINCIPAL AMOUNT NOT LESS THAN THE APPLICABLE MINIMUM DENOMINATION FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, WHO, IN THE CASE OF A PURCHASER DESCRIBED IN CLAUSE (1), (V) IS A QUALIFIED PURCHASER FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER AND THE CO-ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL

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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. EACH HOLDER HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE (AS DEFINED HEREIN). ANY TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE NULL AND VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE CO-ISSUER, THE REGISTRAR OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER HAS THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTEREST ON BEHALF OF SUCH OWNER. [NON-REGULATION S NOTES ONLY] THIS NOTE MAY NOT BE SOLD OR TRANSFERRED UNLESS SUCH SALE OR TRANSFER WILL NOT CONSTITUTE OR RESULT IN A NONEXEMPT PROHIBITED TRANSACTION UNDER ERISA OR SECTION 4975 OF THE CODE. THIS NOTE MAY NOT BE SOLD OR TRANSFERRED TO ANY PLAN SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, TO ANY PERSON ACTING ON BEHALF OF OR WITH "PLAN ASSETS" OF ANY SUCH PLAN, OR TO ANY OTHER "BENEFIT PLAN INVESTOR" (AS DEFINED IN SECTION 3(42) OF ERISA), INCLUDING AN INSURANCE COMPANY GENERAL ACCOUNT, EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. [REGULATION S NOTES ONLY] THIS NOTE MAY NOT BE SOLD OR TRANSFERRED TO ANY PLAN SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, TO ANY PERSON ACTING ON BEHALF OF OR WITH "PLAN ASSETS" OF ANY SUCH PLAN, OR TO ANY OTHER "BENEFIT PLAN INVESTOR" (AS DEFINED IN SECTION 3(42) OF ERISA), INCLUDING AN INSURANCE COMPANY GENERAL ACCOUNT. [ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE ISSUER, THE CO-ISSUER OR THEIR AGENTS FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.).] [TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE.]

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PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL AMOUNT 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 OUTSTANDING PRINCIPAL AMOUNT BY INQUIRY OF THE PAYING AGENT. 10. Pursuant to the terms of each Indenture, unless otherwise determined by the relevant Issuer in accordance with such Indenture, the Definitive Notes will bear a legend to the following effect: THIS NOTE HAS 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 OFFERED NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUER THAT THE OFFERED NOTES MAY ONLY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED (A)(1) IN THE CASE OF OFFERED NOTES OTHER THAN THE SERIES C-4 NOTES TO (a) A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, 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 OR (b) AN ACCREDITED INVESTOR AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT PURCHASING FOR ITS ACCOUNT OR THE ACCOUNT OF ANOTHER ACCREDITED INVESTOR OR (2) TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND IN A PRINCIPAL AMOUNT OF NOT LESS THAN THE APPLICABLE MINIMUM DENOMINATION FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, WHO, IN THE CASE OF A PURCHASER DESCRIBED IN CLAUSE (1), (V) IS A QUALIFIED PURCHASER FOR PURPOSES 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. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE REGISTRAR. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE REGISTRAR A PURCHASE AND TRANSFER LETTER SUBSTANTIALLY IN THE FORM ATTACHED TO THE INDENTURE.

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THIS NOTE MAY NOT BE SOLD OR TRANSFERRED UNLESS SUCH SALE OR TRANSFER WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER ERISA OR SECTION 4975 OF THE CODE. THIS NOTE MAY NOT BE SOLD OR TRANSFERRED TO ANY PLAN SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, TO ANY PERSON ACTING ON BEHALF OF OR WITH "PLAN ASSETS" OF ANY SUCH PLAN, OR TO ANY OTHER "BENEFIT PLAN INVESTOR" (AS DEFINED IN SECTION 3(42) OF ERISA), INCLUDING AN INSURANCE COMPANY GENERAL ACCOUNT, EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED IN THE OFFERING CIRCULAR AND THE INDENTURE. TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH 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 PAYING AGENT. 11. The purchaser acknowledges that it is its intent and that it understands it is the intent of the relevant Issuer that, for purposes of U.S. federal income, state and local income and franchise tax and any other income taxes, the relevant Issuer will be treated as a corporation and the Offered Notes will be treated as indebtedness of the relevant Issuer; the purchaser agrees to such treatment and agrees to take no action inconsistent with such treatment. 12. The purchaser understands that the Issuers, the Co-Issuer, the Trustee, the Agents, the Initial Purchasers, the Portfolio Manager and their counsel will rely upon the accuracy and truth of the foregoing representations, and the purchaser hereby consents to such reliance. 13. The purchaser is not purchasing the Offered Notes in order to reduce any United States federal income tax liability or pursuant to a tax avoidance plan with respect to United States federal income taxes within the meaning of U.S. Treasury Regulation Section 1.881-3(a)(4). 14. The purchaser agrees to treat the Offered Notes as debt for United States federal, state and local income taxes. The Offered Notes that are being offered hereby in reliance on the exemption from registration under Regulation S (the "Regulation S Notes") have not been and will not be registered under the Securities Act and none of the Issuers or Co-Issuer will not be registered under the Investment Company Act. The Regulation S Notes may not be offered or sold within the United States or to U.S. Persons (as defined in Regulation S) unless (in the case of the Offered Notes other than the Series C-4 Notes) the purchaser certifies or is deemed to have certified that it is either a qualified institutional buyer as defined in Rule 144A (a "Qualified Institutional Buyer") or an accredited investor as described in Rule 501(a) of Regulation D under the Securities Act (an "Accredited Investor") and, in each case, a "qualified purchaser" for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser") and takes delivery in the form of a Definitive Note or, in the case of a purchaser who is a Qualified Institutional Buyer, an interest in a Rule 144A Global Note in an amount at least equal to the minimum denomination applicable to the Rule 144A Notes. The Series C-4 Notes may not be offered or sold in the United States or to U.S. Persons (as defined in Regulation S). See "Description of the Offered Notes" and "Underwriting." EACH ISSUER OF THE OFFERED NOTES ACCEPTS RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR OTHER THAN THE INFORMATION PROVIDED IN THE SECTION ENTITLED "THE PORTFOLIO MANAGER" (BUT INCLUDING THE INFORMATION CONTAINED UNDER SUBHEADING GENERAL). TO THE BEST OF THE KNOWLEDGE AND THE BELIEF OF EACH ISSUER OF THE OFFERED NOTES, 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. THE PORTFOLIO MANAGER ACCEPTS RESPONSIBILITY FOR THE INFORMATION PROVIDED IN "THE PORTFOLIO MANAGER" SECTION (OTHER THAN THE INFORMATION CONTAINED UNDER THE SUBHEADING "GENERAL"). TO THE BEST OF THE KNOWLEDGE AND THE BELIEF OF THE PORTFOLIO MANAGER, SUCH INFORMATION IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. EACH PURCHASER OF THE OFFERED 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 CIRCULAR 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 ISSUERS, THE CO-ISSUER, THE INITIAL PURCHASERS, THE PORTFOLIO MANAGER, THE SWAP COUNTERPARTY (OR ITS GUARANTOR) OR THEIR AGENTS SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR. AVAILABLE INFORMATION To permit compliance with Rule 144A in connection with the resale of the Offered Notes, each Issuer will be required under the applicable Indenture to furnish upon request to a holder or beneficial owner of an Offered Note and to a prospective investor who is a Qualified Institutional Buyer designated by such holder or beneficial owner, the information required to be delivered under Rule 144A(d)(4) if, at the time of the request such Issuer is not a reporting company under Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as amended (the "Exchange Act"), and is not exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. To the extent the Trustee delivers any annual or other periodic report to the Holders of the Offered Notes, the Trustee will include in such report a reminder that (a) each holder (other than those holders who are not U.S. Persons and have purchased their Offered Notes outside the United States pursuant to Regulation S) is required to be (i) a Qualified Institutional Buyer or an Accredited Investor and (ii) a Qualified Purchaser, in each case, that can make all of the representations in the related Indenture applicable to a holder that is a U.S. Person; (b) the Offered Notes can only be transferred (i) in the case of the Offered Notes other than the Series C-4 Notes, to a transferee that is (a) a Qualified Institutional Buyer or an Accredited Investor and (b) a Qualified Purchaser that can make all of the representations in the related Indenture applicable to a holder who is a U.S. Person or (ii) in the case of any Series of Offered Notes, to a non-U.S. Person in an offshore transaction complying with Rule 903 or 904 under Regulation S; and (c) the relevant Issuer has the right to compel any holder who does not meet the transfer restrictions set forth in the related Indenture to transfer its interest in the Offered Notes to a person designated by such Issuer or sell such interests on behalf of the holder.

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Table of Contents

Summary....................................................................................................................... 16 Risk Factors .................................................................................................................. 29 Description of the Offered Notes ................................................................................... 40 Use of Proceeds............................................................................................................ 62 Ratings of the Offered Notes......................................................................................... 62 Security for the Offered Notes....................................................................................... 62 The Portfolio Manager................................................................................................... 76 The Portfolio Management Agreement.......................................................................... 76 The Issuers ................................................................................................................... 79 The Co-Issuer ............................................................................................................... 80 Income Tax Considerations........................................................................................... 80 ERISA Considerations................................................................................................... 89 Certain Legal Investment Considerations...................................................................... 92 Listing and General Information .................................................................................... 93 Underwriting .................................................................................................................. 94 Index of Defined Terms ................................................................................................. 97 Appendix A Certain Definitions ......................................................................................................A-1 Appendix B Form of Credit Default Swap ......................................................................................B-1 Appendix C Form of Purchase and Transfer Letter ...................................................................... C-1 Appendix D Series Supplements .................................................................................................. D-1

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SUMMARY The following summary is qualified in its entirety by the detailed information appearing elsewhere in this Offering Circular. For definitions of certain terms used in this Offering Circular see "Appendix A Certain Definitions" and for the location of the definitions of those and other terms, see "Index of Defined Terms." For a discussion of certain factors to be considered in connection with an investment in the Offered Notes, see "Risk Factors." The Company ........................................ Aladdin Synthetic CDO II SPC, an exempted company incorporated with limited liability under the laws of the Cayman Islands, and registered as a segregated portfolio company pursuant to Part XIV of the Companies Laws (2004 Revision) of the Cayman Islands. The authorized share capital of the Company consists of 50,000 ordinary shares, par value U.S.$1.00 per share ("Ordinary Shares"), 250 of which have been issued. The Ordinary Shares and all of the outstanding common equity of the Co-Issuer will be held by Maples Finance Limited, a licensed trust company incorporated in the Cayman Islands (the "Company Administrator") as the trustee pursuant to the terms of a declaration of trust (the "Share Trustee"). The Issuers ............................................ Aladdin Synthetic CDO II SPC, acting for the account of the Series B-1 Segregated Portfolio (the "Series B-1 Issuer"). Aladdin Synthetic CDO II SPC, acting for the account of the Series C-1 Segregated Portfolio (the "Series C-1 Issuer"). Aladdin Synthetic CDO II SPC, acting for the account of the Series C-2 Segregated Portfolio (the "Series C-2 Issuer"). Aladdin Synthetic CDO II SPC, acting for the account of the Series C-3 Segregated Portfolio (the "Series C-3 Issuer"). Aladdin Synthetic CDO II SPC, acting for the account of the Series C-4 Segregated Portfolio (the "Series C-4 Issuer" and together with the Series B-1 Issuer, the Series C-1 Issuer, the Series C-2 Issuer, the Series C-3 Issuer and the Series C-4 Issuer, the "Issuers"). Under the terms of each Indenture, the activities of the relevant Issuer will be limited to (i) offering, issuing and selling the related Series of Notes, (ii) acquiring Collateral Securities and/or other Collateral relating to such Series of Notes, (iv) entering into and performing its obligations under the Credit Default Swap in respect of such Series of Notes, (v) pledging the relevant Collateral Securities and/or other Collateral and its rights under the relevant Credit Default Swap and other Transaction Documents (as defined herein) to the Trustee (for the benefit of the Secured Parties of the such Series of Notes) pursuant to such Indenture and (vi) engaging in other activities incidental to the foregoing as permitted by the Transaction Documents. Under the law of the Cayman Islands, the Company, as a segregated portfolio company, is permitted to create one or more segregated portfolios (each, a "Portfolio") and to segregate the assets and liabilities of the Company held 16

within or on behalf of one Portfolio from the assets and liabilities of the Company held within or on behalf of any other Portfolio or the assets and liabilities of the Company that are not designated to any particular Portfolio. A separate Portfolio (each, a "Segregated Portfolio") will be established in respect of each Series of Notes. Under this legal structure, the collateral pledged in respect of a particular Series of Notes may only be used to meet liabilities arising from, or in connection with, such Series of Notes, and is not available to be used to meet liabilities arising in respect of another Series of Notes (unless two or more Series of Notes are expressly given rights in the same collateral). As a result, the collateral pledged in respect of a Series will be the only source of funds available to the relevant Issuer to make payments on such Series. The Co-Issuer ........................................ Aladdin Synthetic CDO II (Delaware) LLC (the "Co-Issuer"). The Co-Issuer is a limited liability company formed under the laws of the State of Delaware for the sole purpose of coissuing the Notes (other than any additional Series of Notes that will not be co-issued by the Co-Issuer). Aladdin Capital Management LLC, a Delaware limited liability company ("Aladdin"), will perform certain portfolio management activities with respect to the LT Specified Portfolio and the ST Specified Portfolio under each of the Credit Default Swaps pursuant to a portfolio management agreement to be dated as of December 19, 2006 (the "Portfolio Management Agreement") between the Company, acting for the account of one or more Segregated Portfolios, and Aladdin, as Portfolio Manager (in such capacity, the "Portfolio Manager"). Aladdin is a registered investment adviser under the United States Investment Advisers Act of 1940, as amended. Each Issuer of the Offered Notes will become a party to the Portfolio Management Agreement with respect to the related Series of Notes. See "The Portfolio Manager." Goldman Sachs Capital Markets, L.P. ("GSCM"), a subsidiary of The Goldman Sachs Group, Inc. ("Goldman Group") and an affiliate of the Initial Purchasers, will enter into the Credit Default Swaps with the Issuers. All of GSCM's obligations under the Credit Default Swaps will be guaranteed by Goldman Group (the "CDS Guarantor"). Offered Notes ........................................ On the applicable Closing Date, the Series B-1 Issuer and the Co-Issuer will issue USD 45,000,000 original principal amount of Series B-1 Floating Rate Notes Due 2013 (the "Series B-1 Notes"); the Series C-1 Issuer and the Co-Issuer will issue USD 15,000,000 original principal amount of Series C-1 Floating Rate Notes Due 2013 (the "Series C-1 Notes"); the Series C-2 Issuer and the Co-Issuer will issue USD 35,000,000 original principal amount of Series C-2 Floating Rate Notes Due 2013 (the "Series C-2 Notes"); the Series C3 Issuer and the Co-Issuer will issue USD 5,000,000 original principal amount of Series C-3 Fixed Rate Notes Due 2013 17

The Portfolio Manager ..........................

The Swap Counterparty........................

(the "Series C-3 Notes"); and the Series C-4 Issuer and the Co-Issuer will issue JPY 3,000,000,000 original principal amount of Series C-4 Floating Rate Notes Due 2013 (the "Series C-4 Notes" and, together with the Series B-1 Notes, Series C-1 Notes, Series C-2 Notes and Series C-3 Notes, the "Offered Notes"), each pursuant to the Indenture, dated as of December 19, 2006, among the relevant Issuer, the CoIssuer, each other Issuer party thereto, The Bank of New York, as trustee (the "Trustee") and Goldman Sachs Capital Markets, L.P., as disposal agent (the Disposal Agent), as supplemented by a Supplemental Indenture for such Series, dated as of the relevant Closing Date, among the relevant Issuer, the Co-Issuer, the Trustee and the Disposal Agent (such Indenture and the relevant Supplemental Indenture, the "Indenture" with respect to such Series). Under each Indenture, BNY will also act as registrar (the "Registrar"), as calculation agent (the "Note Calculation Agent") and as paying agent for the Offered Notes (the "Paying Agent" and, together with the Registrar, the Note Calculation Agent and the Listing Agent and the Irish Paying Agent (each, as defined herein), the "Agents"). Each Issuer and the Co-Issuer may issue Additional Notes (as defined below) from time to time on or after the applicable Closing Date, as described herein. In addition, the Company may, on the account of one or more Segregated Portfolios, issue additional Series of Notes and Other Secured Obligations (as defined herein) from time to time, without notice to or the consent of the holders of any outstanding Notes (including the Offered Notes). The Paying Agent and any other paying agents appointed from time to time under the Indentures are collectively referred to as the "Paying Agents." The Indentures, the Portfolio Management Agreement, the Credit Default Swaps and the Administration Agreement are collectively referred to as the "Transaction Documents." Currencies ............................................. The Notes of any Series may be denominated in USD, EUR, JPY and any other currency specified by the relevant Issuer on the date of issue thereof (the "Settlement Currency" in respect of such Series). The Settlement Currency of the Offered Notes other than the Series C-4 Notes is USD. The Settlement Currency of the Series C-4 Notes is JPY. Closing Date .......................................... December 19, 2006, with respect to the Offered Notes other than the Series C-4 Notes. December 21, 2006, with respect to the Series C-4 Notes. Scheduled Maturity Date ...................... Status of the Offered Notes.................. December 20, 2013. Each Series of Offered Notes will be limited recourse obligations of the relevant Issuer and the Co-Issuer. All amounts payable in respect of a Series of Notes will be paid solely from and to the extent of the available proceeds of the 18

Collateral in respect of such Series of Notes. The Notes of one Series will not be secured by, or payable from, the Collateral for any other Series. To the extent the applicable Collateral for a Series of Notes is insufficient to pay all amounts due on such Series of Notes, the relevant Issuer and the Co-Issuer shall have no further obligations in respect of such Series of Notes and any sums outstanding and unpaid in respect of such Series of Notes will be extinguished. Claims of the Noteholders, the Swap Counterparty and the other Secured Parties in respect of each Series of Offered Notes will rank in accordance with the priorities described under "Description of the Offered Notes Status and Security" and "Priority of Payments." Additional Notes.................................... Each Indenture permits the relevant Issuer to issue additional Notes of the same Series as any outstanding Series of Notes of such Issuer ("Additional Notes"), in each case, without notice to, or the consent of, the holders of the Offered Notes or any other Notes, as described herein. Any Additional Notes issued with respect to any existing Series will be constituted and secured by the same Indenture as any outstanding Notes of that Series. Such Additional Notes and the outstanding Notes of the same Series will be secured by the Collateral relating to that Series and such additional security as is provided by the relevant Issuer in connection with the issuance of such Additional Notes. Only the Offered Notes are offered hereby. Any descriptions of other Series of Notes contained herein are included herein only to assist in understanding the terms of the Offered Notes. Additional Series and Other Secured Obligations ............................................ The Company may, on the account of one or more Segregated Portfolios, issue Additional Series of Notes and other secured obligations ("Other Secured Obligations") from time to time, without notice to or the consent of, the holders of any outstanding Notes (including the Offered Notes). Such Additional Series of Notes and Other Secured Obligations will not be secured by, or payable from, any of the Collateral that secures the Offered Notes. Other Secured Obligations may include, without limitation, obligations that reference the Specified Portfolios or different portfolios of obligations or entities which may or may not be managed by the Portfolio Manager or other parties on behalf of the Company or the relevant Segregated Portfolio. The net proceeds associated with the offering of the Offered Notes (other than the Series C-4 Notes) are expected to equal approximately USD 100,000,000 and the net proceeds associated with the offering of the Series C-4 Notes are expected to equal approximately JPY 3,000,000,000. The net proceeds of each Series of Offered Notes will be used by the relevant Issuer to purchase on the applicable Closing Date the initial Collateral Securities and/or other Collateral with respect to such Series of Offered Notes having an aggregate principal balance of approximately USD 45,000,000 in the case of the Series B-1 Notes, USD 15,000,000 in the case of the Series C-1 Notes, USD 19

Use of Proceeds ....................................

35,000,000 in the case of the Series C-2 Notes, USD 5,000,000 in the case of the Series C-3 Notes and JPY 3,000,000,000 in the case of the Series C-4 Notes. See "Use of Proceeds." Interest Payments ................................. The Offered Notes (other than the Series C-4 Notes) will accrue interest from the applicable Closing Date. The Series C-4 Notes will accrue interest from December 22, 2006. Interest on the Offered Notes will be payable in arrears (i) in the case of the Offered Notes other than the Series C-3 Notes on the 20th day of each March, June, September and December, and (ii) in the case of the Series C-3 Notes, on the 20th day of each March and September, or, in any case, if any such date is not a Business Day, the immediately following Business Day (each such date, a "Payment Date") commencing on March 20, 2007. All payments on each Series of the Offered Notes will be made from proceeds of the applicable Collateral for such Series of Offered Notes in accordance with the Priority of Payments. The Series B-1 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at a per annum rate (the "Series B-1 Note Interest Rate") equal to LIBOR for such Interest Accrual Period plus 0.85%, calculated on the Average Outstanding Principal Amount of the Series B-1 Notes for such Interest Accrual Period. The Series C-1 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at a per annum rate (the "Series C-1 Note Interest Rate") equal to LIBOR for such Interest Accrual Period plus 1.25%, calculated on the Average Outstanding Principal Amount of the Series C-1 Notes for such Interest Accrual Period. The Series C-2 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at a per annum rate (the "Series C-2 Note Interest Rate") equal to LIBOR for such Interest Accrual Period plus 1.25%, calculated on the Average Outstanding Principal Amount of the Series C-2 Notes for such Interest Accrual Period. The Series C-3 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at a per annum rate (the "Series C-3 Note Interest Rate") equal to 6.35% for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-3 Notes for such Interest Accrual Period. The Series C-4 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at a per annum rate (the "Series C-4 Note Interest Rate") equal to JPY LIBOR for such Interest Accrual Period plus 1.34% for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-4 Notes for such Interest Accrual Period.

20

The Series B-1 Note Interest Rate, the Series C-1 Note Interest Rate, the Series C-2 Note Interest Rate, the Series C-3 Note Interest Rate and the Series C-4 Note Interest Rate are collectively referred to herein as the "Note Interest Rates." In addition, each Series of Offered Notes will bear interest on a daily basis from and including the Scheduled Maturity Date to but excluding the Final Maturity Date at the Deposit Rate or the Eligible Investment Rate, as provided in the related Indenture, in each case, as determined by the Note Calculation Agent. LIBOR for the first Interest Accrual Period with respect to the Series B-1 Notes, the Series C-1 Notes and the Series C-2 Notes will be 5.365%. JPY LIBOR for the first Interest Accrual Period with respect to the Series C-4 Notes will be set two Business Days prior to the commencement of such Interest Accrual Period. Calculations of interest on each Series of the Offered Notes (other than the Series C-3 Notes) will be made on the basis of a 360-day year and the actual number of days in each Interest Accrual Period. Calculations of interest on the Series C-3 Notes will be made on the basis of a 360-day year comprised of twelve 30-day months. The "Interest Accrual Period" with respect to the Offered Notes and any Payment Date is the period commencing on, and including, the immediately preceding Payment Date (or, in the case of the first Interest Accrual Period for the Offered Notes other than the Series C-4 Notes, the applicable Closing Date, and in the case of the first Interest Accrual Period for the Series C-4 Notes, December 22, 2006) and ending on, and including, the day immediately preceding such Payment Date. The "Average Outstanding Principal Amount" of any Series of Offered Notes in respect of any Interest Accrual Period will equal the sum of the Outstanding Principal Amount (as defined herein) of such Series of Offered Notes as at 5 p.m. (New York City time) on each day during such Interest Accrual Period divided by the number of calendar days in such Interest Accrual Period. Principal Payments ............................... The "Original Principal Amount" of each Series of Offered Notes is set forth on the cover page of this Offering Circular. The "Outstanding Principal Amount" of any Series of Offered Notes as of any date of determination will equal (i) the Original Principal Amount of such series of Offered Notes, plus (ii) the aggregate original principal amount of any Additional Notes of such Series that are issued by the relevant Issuer following the applicable Closing Date and on or prior to such date of determination, less (iii) any Collateral Principal Amounts (as defined herein) calculated with respect to such Series of Notes on or prior to such date, less (iv) any payments of principal made by the relevant Issuer in respect of such Series of Notes on or prior to such date.

21

The principal of each Series of Offered Notes will be payable on the Scheduled Maturity Date and, if one or more Pending Credit Events has occurred, the Final Maturity Date (each as defined herein), unless such Offered Notes are previously redeemed as described under "Early Redemption" below. Early Redemption.................................. If there is a payment default under any Collateral with respect to a Series of Offered Notes or amounts become due under any Collateral with respect to a Series of Offered Notes prior to the stated date of maturity of such Collateral as the result of an event of default and subsequent acceleration thereof, all of the Offered Notes of that Series will be deemed to have become immediately repayable as described under "Description of the Offered NotesMandatory Redemption". If a Tax Imposition (as defined herein) occurs and (a) such Tax Imposition is not a result of certain disqualified events, (b) the relevant Issuer cannot arrange for its substitution as principal debtor in accordance with the applicable Indenture, (c) the Swap Counterparty does not elect to gross up (or otherwise discharge such Tax Imposition) and (d) such Issuer's obligation to redeem is not disapplied by an Extraordinary Resolution of the related Series of Offered Notes, such Issuer will redeem all of such Series of Offered Notes as described under "Description of the Offered NotesRedemption for Taxation Reasons". If the Credit Default Swap in respect of a Series of Offered Notes is terminated in whole for any reason then the relevant Issuer will redeem all of such Series of Offered Notes unless otherwise directed by an Extraordinary Resolution of the Holders of such Series of Offered Notes as described under "Description of the Offered NotesRedemption Upon Termination of Credit Default Swaps". The amount payable as the final payment in respect of the Offered Notes of any Series in connection with any early redemption as described above will be the Early Redemption Amount (as defined herein) of such Series of Offered Notes. See "Description of the Offered NotesEarly Redemption." Zero Redemption Option ...................... A Noteholder may, upon 10 Business Days' prior written notice to the relevant Issuer, tender all or some of its Offered Notes to such Issuer for redemption at a redemption amount of zero. For each such Offered Note redeemed by the relevant Issuer at zero, such Issuer will pay to the Swap Counterparty an amount equal to the Zero Redemption Amount. To fund such payment, such Issuer will at the option of such Noteholder, deliver Collateral Securities or other Collateral for the applicable Series of Offered Notes or withdraw from the applicable Collateral Securities or otherwise redeem or liquidate Collateral Securities or any other Collateral for such Series of Notes, in each case, in a principal amount equal to the aggregate Outstanding Principal Amount of such Offered Notes redeemed, on the 22

next date upon which such delivery may be effected or such amount may be withdrawn or otherwise liquidated. See "Description of the Offered NotesZero Redemption Option." Security for the Offered Notes ............. Under the terms of each Indenture, the relevant Issuer and the Co-Issuer will grant to the Trustee, for the benefit and security of the Trustee on behalf of the Noteholders of the related Series of Notes, the Portfolio Manager, the Agents, save for the Irish Paying Agent and the Listing Agent, and the Swap Counterparty (together the "Secured Parties"), to secure such Issuer's or the Co-Issuer's (as the case may be) obligations under such Series of Notes, the related Indenture, the related Credit Default Swap and the Portfolio Management Agreement as it relates to such Series of Notes (the "Secured Obligations"), a first priority security interest in (i) the related Collateral Account established for such Series of Notes under such Indenture; (ii) any Collateral Securities and other Collateral deposited in such Collateral Account; (iii) such Issuer's rights under the Credit Default Swap in respect of such Series of Notes; (iv) such Issuer's rights under the Portfolio Management Agreement in respect of such Series of Notes and (v) certain other property specified in such Indenture (collectively, the "Collateral" for such Series of Notes). The Collateral pledged under the relevant Indenture in respect of any Series of Offered Notes will not be available to make payments in respect of any other Series of Notes or Other Secured Obligations. To the extent the proceeds of such Collateral are insufficient to make all payments in respect of such Series of Offered Notes and the related Transaction Documents, the relevant Issuer and the Co-Issuer will not have any other source of funds to make such payments. Credit Default Swaps ............................ On the applicable Closing Date, each Issuer and the Swap Counterparty will enter into a credit default swap (each, a "Credit Default Swap") in respect of the applicable Series of Offered Notes issued by such Issuer, pursuant to a 1992 ISDA Master Agreement (MulticurrencyCross Border), including the Schedule thereto (together, the "Master Agreement"), and a Confirmation for such Series that incorporates the Standard CDS Terms set forth in Appendix B hereto (together, the "CDS Confirmation"). Appendix B does not form part of the Securities Note prepared for the purpose of the application to list the Offered Notes on the official list of the Irish Stock Exchange. The 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement and the 2005 Monoline Supplement thereto (together, the "Credit Derivatives Definitions") will apply to, and be incorporated by reference into, each Credit Default Swap, except as amended therein. See "Security for the Offered NotesCredit Default Swaps." Each Credit Default Swap relating to a Series of Offered Notes will terminate by its terms no later than December 20, 2013 (the "Scheduled Termination Date") unless the 23

termination date is extended as described herein. Under certain circumstances specified in the Master Agreement, the relevant Issuer or the Swap Counterparty may terminate a Credit Default Swap in respect of a Series of Offered Notes, in which event such Issuer or the Swap Counterparty may be required to make termination payments and such Series of Offered Notes will be redeemed as described herein. Each Credit Default Swap in respect of a Series of Offered Notes will relate to two portfolios of Reference Entities (the "LT Specified Portfolio" and the "ST Specified Portfolio", respectively, and together, the "Specified Portfolios"). Under each Credit Default Swap, the relevant Issuer will act as protection seller with respect to Reference Entities in the LT Specified Portfolio under such Credit Default Swap (the "LT Reference Entities") and as protection buyer with respect to Reference Entities in the ST Specified Portfolio under such Credit Default Swap (the "ST Reference Entities"). As of the Closing Date, each Credit Default Swap in respect of a Series of Offered Notes will have the characteristics described herein under "Security for the Offered Notes Credit Default Swaps" and as more fully set forth in Appendix B hereto. LT Reference Entities and ST Reference Entities may be added and deleted from the Specified Portfolios at the direction of the Portfolio Manager, at any time and from time to time during the Trading Period (as defined herein), under the circumstances and subject to the limitations described under "Security for the Offered NotesCredit Default SwapsTrading of Reference Entities". Such trading activity may result in different LT Specified Portfolios and different ST Specified Portfolios under each Credit Default Swap. Each Series of the Offered Notes will bear the risk that Credit Events will occur with respect to LT Reference Entities ("LT Credit Events"), and will benefit from any Credit Events that occur with respect to ST Reference Entities ("ST Credit Events"), as described herein. To the extent that LT Credit Events occur, the Conditions to Settlement are satisfied and associated LT Loss Amounts (as defined herein) arise with respect to those LT Credit Events, such LT Loss Amounts will increase the Aggregate Loss Amount (as defined herein) under each Credit Default Swap and may result in the Outstanding Principal Amounts of one or more Series of Offered Notes being reduced as described herein. To the extent that ST Credit Events occur and the Conditions to Settlement are satisfied under the Credit Default Swaps, the Swap Counterparty will calculate and apply a positive Threshold Adjustment Amount (as defined herein) under each Credit Default Swap. The Portfolio Manager will be authorized to engage in trading activity with respect to the LT Specified Portfolio and the ST Specified Portfolio by adding and/or removing Reference Entities to or from the Specified Portfolios (each, a "Replacement") as described herein at any time during the Trading Period under the circumstances and subject to the 24

limitations described under "Security for the Offered Notes Credit Default SwapsPortfolio Management Terms". Any trading losses resulting from Replacements will result in a negative Threshold Adjustment Amount under each relevant Credit Default Swap, while any trading gains that result from Replacements will result in a positive Threshold Adjustment Amount under each relevant Credit Default Swap. The Effective Date for each Credit Default Swap in respect of a Series of Offered Notes (other than the Series C-4 Notes) will be November 29, 2006, and the Effective Date for the Credit Default Swap in respect of the Series C-4 Notes will be December 9, 2006. The Aggregate Loss Amount under any Credit Default Swap will be determined by reference to LT Credit Events that occur on or after the applicable Effective Date. Accordingly, the Aggregate Loss Amount for each Credit Default Swap having the same Effective Date will be the same. The Series Threshold (as defined herein) with respect to each Credit Default Swap will take into account any positive Threshold Adjustment Amounts arising from any ST Credit Events and any positive or negative Threshold Adjustment Amounts that result from trading gains and trading losses that result from Replacements with respect to the relevant Specified Portfolios after the applicable Effective Date of such Credit Default Swap. Additional Series of Notes may be secured by one or more Credit Default Swaps that reference portfolios that are the same as, or different from, the Specified Portfolios and which may be subject to portfolio management terms that are the same as, or different from, the Portfolio Management Terms set forth in the Credit Default Swaps in respect of the Offered Notes. Collateral Securities and Other Collateral ................................................ The net proceeds of the offering of each Series of Offered Notes will be applied by the relevant Issuer on the applicable Closing Date to acquire Collateral Securities and/or other Collateral for such Series. Such Collateral Securities and/or other Collateral will be deposited in the Collateral Account established by the relevant Issuer under the applicable Indenture to secure such Issuer's obligations under such Indenture, the Offered Notes of such Series, the Credit Default Swap in respect of such Series and the other related Transaction Documents. The Collateral Securities in respect of the Series B-1 Notes will consist of a guaranteed investment contract, dated as of December 19, 2006 (the "Series B-1 Investment Agreement"), among the Series B-1 Issuer, the Trustee and Ambac Capital Funding, Inc., as investment agreement provider (the "Investment Agreement Provider"), as further described in the relevant Supplement attached hereto as Appendix D-1. The Collateral Securities in respect of the Series C-1 Notes will consist of another guaranteed investment contract, dated as of December 19, 2006 (the "Series C-1 Investment Agreement" and together with the Series B-1 Investment

25

Agreement, the "Investment Agreements"), among the Series C-1 Issuer, the Trustee and the Investment Agreement Provider, as further described in the relevant Supplement attached hereto as Appendix D-2. The obligations of the Investment Agreement Provider under each of the Series B-1 Investment Agreement and the Series C-1 Investment Agreement will be guaranteed by Ambac Assurance Corporation (the "Investment Agreement Guarantor"). See Appendix D-1 and Appendix D-2. The Collateral Securities in respect of the Series C-2 Notes will consist of certain USD-denominated floating rate medium-term notes issued by General Electric Capital Corporation, as further described in the relevant Supplement attached hereto as Appendix D-3. The Collateral Securities in respect of the Series C-3 Notes will consist of certain USD-denominated floating rate medium-term notes issued by General Electric Capital Corporation, as further described in the relevant Supplement attached hereto as Appendix D-4. The Collateral Securities in respect of the Series C-4 Notes will consist of certain JPY-denominated floating rate mediumterm notes issued by The Goldman Sachs Group, Inc., as further described in the relevant Supplement attached hereto as Appendix D-5. BIE Option.............................................. Subject to the satisfaction of certain conditions described herein, a BIE Eligible Noteholder (as defined herein) may request (i) an exchange of its Offered Notes for new Notes secured by new assets or (ii) if such Noteholder is a 100% Noteholder, a substitution of new assets for any existing Collateral Securities for such Offered Notes. A report will be made available to the Holders of the Offered Notes and will provide information on the Credit Default Swaps and payments to be made in accordance with the Priority of Payments (each, a "Payment Report") beginning in March 2007. See "Security for the Offered NotesReports." The Offered Notes are being offered to non-U.S. Persons in offshore transactions in reliance on Regulation S, and in the United States to persons who are (i) Qualified Institutional Buyers purchasing in reliance on the exemption from registration under Rule 144A or (ii) Accredited Investors purchasing pursuant to Section 4(2) of the Securities Act. Each purchaser who is a U.S. Person must also be a Qualified Purchaser. See "Description of the Offered Notes Form of the Offered Notes," "Underwriting" and "Notice to Investors." The Offered Notes offered and sold in reliance on Rule 144A will be issued in minimum denominations of USD1,000,000 and integral multiples of USD100,000 in excess thereof. The Offered Notes offered and sold to Accredited Investors will be issued in minimum denominations of USD250,000 and integral multiples of USD1,000 in excess thereof. The Offered Notes (other than the Series C-4 Notes) offered and sold in reliance on Regulation S will be issued in minimum 26

Reports...................................................

The Offering........................................

Minimum Denominations ..................

denominations of USD 1,000,000 and integral multiples of USD 100,000 in excess thereof. The Series C-4 Notes will be issued in minimum denominations of JPY1,000,000,000 and integral multiples of JPY100,000,000 in excess thereof. Each relevant minimum denomination set forth above is the "Minimum Denomination" for the applicable Series of Offered Notes. Form of the Offered Notes................. Each Series of Offered Notes sold in offshore transactions in reliance on Regulation S will initially be represented by one or more temporary global notes (each, a "Temporary Regulation S Global Note"). Each Temporary Regulation S Global Note will be deposited on the applicable Closing Date with BNY as custodian for, and registered in the name of Cede & Co. as nominee of The Depository Trust Company ("DTC") for the respective accounts of, or will be deposited on the applicable Closing Date with a common depository for, Euroclear Bank S.A./N.V., as operator of the Euroclear System ("Euroclear"), and Clearstream Banking, socit anonyme ("Clearstream"). Beneficial interests in a Temporary Regulation S Global Note may be held only through Euroclear or Clearstream and may not be held at any time by a U.S. Person ("U.S. Person") (as such term is defined in Regulation S under the Securities Act). Each Series of Rule 144A Notes will be issued in the form of one or more global notes in fully registered form (the "Rule 144A Global Notes" and, together with the Temporary Regulation S Global Notes and the Regulation S Global Notes, the "Global Notes"), deposited with BNY as custodian for, and registered in the name of Cede & Co. as nominee of, DTC, which will credit the account of each of its participants with the principal amount of Offered Notes being purchased by or through such participant. Beneficial interests in the Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants. The Offered Notes that are sold to Accredited Investors will be evidenced by one or more notes in definitive, fully registered form, registered in the name of the owner thereof (each, a "Definitive Note"). Beneficial interests in the Global Notes and the Definitive Notes may not be transferred except in compliance with the transfer restrictions described herein. The Series C-4 Notes may not be offered or sold in the United States or to U.S. Persons (as defined in Regulation S). See "Description of the Offered NotesForm of the Offered Notes" and "Notice to Investors." Governing Law ................................... The Indentures relating to the Offered Notes, the Offered Notes, the Credit Default Swaps and the Portfolio Management Agreement will be governed by the laws of the State of New York.

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Listing and Trading............................

There is currently no market for the Offered Notes and there can be no assurance that such a market will develop. See "Risk FactorsLimited Liquidity and Restrictions on Transfer." Application will be made to the Irish Stock Exchange to admit the Offered Notes to the Official List and to trading on the Irish Stock Exchange. There can be no assurance that such admission will be granted. See "Listing and General Information." It is expected that the Series B-1 Notes will be issued with a rating of at least "AA" by S&P; that the Series C-1 Notes will be issued with a rating of at least "A" by S&P; that the Series C-2 Notes will be issued with a rating of at least "A2" by Moody's; that the Series C-3 Notes will be issued with a rating of at least "A2" by Moody's; and that the Series C-4 Notes will be issued with a rating of at least "A" by S&P. A credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. See "Ratings of the Offered Notes." Each Issuer of the Offered Notes intends to treat the Offered Notes and, by its acceptance of an Offered Note, each holder of an Offered Note will be deemed to have agreed to treat the Offered Notes as debt instruments for U.S. federal income tax purposes. This position is not binding on the IRS, and no tax opinion has been received by the Issuers with respect to this issue. Each prospective purchaser of an Offered Note should consult its own tax advisors concerning the tax consequences of the purchase, ownership and disposition of the Offered Notes under U.S. federal income tax law (including but not limited to the advisability of making a protective qualified electing fund ("QEF") election). See "Income Tax ConsiderationsUnited States Tax ConsiderationsU.S. Holders." See "ERISA Considerations."

Ratings ................................................

Tax Status ...........................................

ERISA Considerations .......................

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RISK FACTORS Prior to making an investment decision, prospective investors should carefully consider, in addition to the matters set forth elsewhere in this Offering Circular, the following factors: Limited Liquidity and Restrictions on Transfer. There is currently no market for the Offered Notes. Although each Initial Purchaser has advised the Issuers that it intends to make a market in the Offered Notes, the Initial Purchasers are not obligated to do so, and any such market making with respect to the Offered Notes may be discontinued at any time without notice. There can be no assurance that any secondary market for any of the Offered Notes will develop or, if a secondary market does develop, that it will provide the Holders of the Offered Notes with liquidity of investment or that it will continue for the life of such Offered Notes and consequently a purchaser must be prepared to hold the Offered Notes until maturity. In addition, no sale, assignment, participation, pledge or transfer of the Offered Notes may be effected if, among other things, it would require any of the Issuers, Co-Issuer or any of their 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 Offered Notes will not be registered under the Securities Act or any state securities laws or the laws of any other jurisdiction, and the Issuers and Co-Issuer have no plans, and are under no obligation, to register the Offered Notes under the Securities Act or any state securities laws or under the laws of any other jurisdiction. The Offered Notes are subject to certain transfer restrictions and can be transferred only to certain transferees as described herein under "Description of the Offered NotesForm of the Offered Notes" and "Notice to Investors." Such restrictions on the transfer of the Offered Notes may further limit their liquidity. Application will be made to the Irish Stock Exchange to admit the Offered Notes to the Official List and to trading on the Irish Stock Exchange. However, there can be no assurance that such admission will be granted. Limited Recourse Obligations. The Offered Notes of each Series will be limited recourse obligations of the relevant Issuer and the Co-Issuer, in each case, payable solely from the related Collateral pledged by the relevant Issuer and the Co-Issuer under the related Indenture, to secure such Series of Notes. None of the Portfolio Manager, the Holders of the Offered Notes, the Initial Purchasers, the Trustee, the Company Administrator, the Agents, the Swap Counterparty or any affiliates of any of the foregoing or the affiliates of the Issuers or Co-Issuer or any other person or entity will be obligated to make payments on the Offered Notes. Consequently, Holders of the Offered Notes of each Series must rely solely on distributions on the Collateral included in the related Segregated Portfolio pledged to secure such Series of Offered Notes for the payment of principal, interest and premium, if any, thereon. If distributions on the pledged Collateral are insufficient to make payments on a Series of Offered Notes, no other assets (and, in particular, no assets of any other Issuer, the Portfolio Manager, the Holders of the Offered Notes, the Initial Purchasers, the Trustee, the Company Administrator, the Agents, the Swap Counterparties or any affiliates of any of the foregoing) will be available for payment of the deficiency, and following realization of the Collateral allocated to a particular Portfolio and pledged to secure such Series of Offered Notes, the obligation of the relevant Issuer and the Co-Issuer to pay such deficiency shall be extinguished. Subordination of the Offered Notes. Payments of principal and interest on the Offered Notes are subject to the Priority of Payments provisions described herein. Each Series of Offered Notes is subordinated to payment of amounts due to the Swap Counterparty under the related Credit Default Swap (except in the event of a Swap Counterparty Default (as defined herein)) as described herein. See "Description of the Offered Notes Priority of Payments." Credit Exposure to the Specified Portfolios. Prospective investors who consider purchasing Offered Notes should reach an investment decision only after carefully considering the suitability of the Offered Notes in light of their particular circumstances, particularly the risks associated with the Specified Portfolios associated with each Series. 29

The creditworthiness and/or performance of the Specified Portfolios may be dependent upon economic, political, financial and social events locally and globally. There can be no assurance that such factors will not adversely affect any Reference Entity's creditworthiness and/or performance and, in turn, the performance of the Offered Notes. The concentration of the Specified Portfolios in any one industry or geographic region will subject the Offered Notes to a greater degree of risk of loss resulting from defaults within such industry or geographic region. Prospective purchasers of the Offered Notes should consider and determine for themselves the likely levels of Credit Events during the term of the Offered Notes and the impact of such Credit Events on their investment. Generally, the Reference Entities in the Specified Portfolios will be subject to Credit Events as determined by reference to market standards for such Reference Entities, to the extent applicable. Such market standards may vary from time to time. In addition, certain Reference Entities may not be traded regularly in the credit default swap market and, accordingly, there may be no agreed market standard for such entities. In addition, the Portfolio Manager, on behalf of the Issuers, may instruct the Swap Counterparty from time to time, pursuant to the terms of the Portfolio Management Agreement, to replace any Reference Entity within the LT Specified Portfolios or the ST Specified Portfolios with a Replacement Reference Entity. Any such Replacements may result in material changes to the composition of the Specified Portfolios, subject to compliance with the Rating Agency Conditions (as defined herein), compliance with or waiver of the Replacement Conditions (as defined herein) and compliance with or waiver (as applicable) of any additional restrictions. If a Proposed Replacement does not satisfy one or more of the Replacement Conditions and such Replacement Conditions are not waived by the Swap Counterparty, the Proposed Replacement will not take effect. The Swap Counterparty, in its sole and absolute discretion, may determine whether to waive any Replacement Condition in connection with any Proposed Replacement. The Specified Portfolios under the Credit Default Swaps relating to one or more Series of Notes may be different from the Specified Portfolios under the Credit Default Swaps relating to one or more other Series of Notes as the result of, among other things, Replacements that the Portfolio Manager may elect to effect with respect to some Specified Portfolios but not others and Replacements that may be permitted under the Rating Agency Conditions, Replacement Conditions and Replacement Restrictions contained in some Credit Default Swaps but not others. Fixed Recovery for LT Reference Entities. If a Credit Event occurs with respect to an LT Reference Entity in an LT Specified Portfolio and the Conditions to Settlement are satisfied with respect thereto, a fixed recovery rate of 50% will be used as the Final Price for purposes of determining the Loss Amount under each related Credit Default Swap. This fixed recovery may be greater or lesser than actual market recovery rates for the relevant Reference Entity and/or recovery values which might otherwise have been obtained had such recovery been determined on the basis of the valuation procedures set forth in the Credit Derivatives Definitions for cash settled credit default swap transactions. Accordingly, the use of a fixed recovery rate for LT Reference Entities may affect the timing and magnitude of any losses to Noteholders occurring as the result of Credit Events with respect to such entities. Credit Risk of Swap Counterparty and Collateral Obligors. The ability of the relevant Issuer and, as applicable, the Co-Issuer to meet their respective obligations in respect of a Series of Offered Notes will depend on the receipt by such Issuer of payments owed to the such Issuer by the Swap Counterparty under the related Credit Default Swap as well as receipt by such Issuer of payments of interest and principal under the Collateral for that Series (including the Collateral Securities and any other Collateral held in the related Collateral Account). Consequently, the Holders of the Offered Notes are exposed not only to the occurrence of Credit Events in respect of any of the Reference Entities in the Specified Portfolios, but also to the ability of the Swap Counterparty and the obligors under the applicable Collateral Securities and other Collateral (the "Collateral Obligors") to perform their respective obligations to make payments to the relevant Issuer.

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The insolvency of the Swap Counterparty or a default by it under a Credit Default Swap may result in a termination of the Credit Default Swaps and an Early Redemption of the related Series of Offered Notes as described under "Description of the Offered NotesRedemption Upon Termination of Credit Default Swaps". In addition, a default by a Collateral Obligor under the Collateral for any Series of Offered Notes for whatever reason may result in such Series of Offered Notes being redeemed as described under "Description of the Offered NotesMandatory Redemption". Any such insolvency of the Swap Counterparty or default on amounts due under the Collateral is likely to result in a loss to investors in such Series of Offered Notes. In addition, any early redemption of a Series of Notes (whether or not a default or insolvency has occurred with respect to the Swap Counterparty or any Collateral Obligor) will expose investors to market risk if and to the extent that the relevant Collateral is required to be liquidated to meet claims against the relevant Issuer and the Co-Issuer and make payments on such Offered Notes. Early Termination of Credit Default Swaps. In the circumstances specified in "Security for the Offered NotesCredit Default SwapsEarly Termination", the relevant Issuer or the Swap Counterparty may terminate a Credit Default Swap prior to its scheduled termination date. Upon any such termination, the relevant Issuer or the Swap Counterparty may be liable to make a termination payment to the other (regardless, if applicable, of which of such parties may have caused such termination). Noteholders of the related Series of Offered Notes may as a consequence of such early termination be exposed to the creditworthiness of the Reference Entities comprised in the Specified Portfolios for such Series even if no Credit Event has occurred under the related Credit Default Swap. Following the effective designation of an Early Termination Date with respect to a Credit Default Swap, no further payments, other than a termination payment (if any), will be required to be made by either the relevant Issuer or the Swap Counterparty under such Credit Default Swap, and the Offered Notes of the related Series may be redeemed as described under "Description of the Offered NotesRedemption upon Termination of Credit Default Swaps". Except in the case of a Swap Counterparty Default, payment of the claims of the Swap Counterparty under a Credit Default Swap will rank senior to all payments in respect of the related Series of Offered Notes. Swap termination payments will be determined by the Swap Counterparty except in limited circumstances (such as a default by the Swap Counterparty), and such swap termination payments may be substantial. If a swap termination payment is payable by the relevant Issuer, such payment may reduce the amounts available to pay the related Series of Offered Notes and the amount payable upon any redemption thereof. In addition, if a Credit Default Swap is terminated and a termination payment is payable by the Swap Counterparty to the relevant Issuer, there can be no assurance that such termination payment, together with the proceeds of the other Collateral for the related Series of Offered Notes, will be sufficient to repay the principal amount due to be paid in respect of such Series of Offered Notes and any other amounts due thereon. Risks of Collateral Securities. The Collateral Securities with respect to each Series of Offered Notes may be subject to credit, liquidity and interest rate risks. To the extent a default occurs with respect to any Collateral Securities or the related Collateral Obligor securing any Series of Offered Notes and the Trustee sells or otherwise disposes of such Collateral Securities, it is not likely that the proceeds of such sale or disposition will be equal to the unpaid principal and interest thereon. Even in the absence of a default with respect to any of the Collateral Securities (or the related Collateral Obligor) securing a Series of Offered Notes, due to potential market volatility, the market value of such Collateral Securities at any time will vary, and may vary substantially, from the price at which such Collateral Securities were initially purchased and from the principal amount of such Collateral Securities. Accordingly, no assurance can be given as to the amount of proceeds of any sale, disposition or liquidation, or the amount received or recovered upon maturity, of such Collateral Securities securing any Series of Offered Notes, or that the proceeds of any such sale, disposition or liquidation would be sufficient to repay principal of and interest on such Series of Offered Notes and amounts payable prior thereto. In the event of an insolvency of a Collateral Obligor, various insolvency and related laws applicable to such Collateral Obligor may limit the amount that the relevant Issuer or Trustee may recover.

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Leveraged Investments. Holders of each Series of Offered Notes are exposed to significantly leveraged exposure to the performance of the Specified Portfolios because the notional amounts of the Specified Portfolios are significantly larger than the principal amount of such Notes. Following the occurrence of a Credit Event with respect to an LT Reference Entity and the Satisfaction of the Conditions to Settlement under the Credit Default Swaps, the Outstanding Principal Amount of one or more Series of Offered Notes may be reduced (and, where so reduced, on a leveraged basis). If the Outstanding Principal Amount of a Series of Offered Notes is so reduced, the investor may lose amounts invested. In addition, interest amounts payable on such Series of Offered Notes will also be reduced. The maximum loss for the investor is 100% of the initial investment in addition to all unpaid interest amounts in respect thereof. No Legal or Beneficial Interest in Obligations of Reference Entities. Investment in the Offered Notes does not constitute a purchase or other acquisition or assignment of any interest in any obligation of any Reference Entity. Neither the investor nor any Issuer will as a consequence of such investment have recourse against any Reference Entities. None of the Holders of the Offered Notes, the Issuers, the Co-Issuer, the Trustee, the Portfolio Manager or any other entity will as a consequence of such investment have any security interest in, or right to acquire any interest in, any obligation of any Reference Entity. The Issuers shall be obligated to make payments of LT Cash Settlement Amounts (as defined herein) to the Swap Counterparty regardless of the existence or amount of the parties' credit exposure to any Reference Entity, and the Swap Counterparty need not suffer any loss nor provide evidence of any loss as a result of the occurrence of a Credit Event. The Offered Notes represent synthetic exposure to the credit of the Reference Entities in the Specified Portfolios, which exposure does not replicate the exposure of a cash investment in obligations of the Reference Entities. Accordingly, the risks and returns of an investment in the Offered Notes may differ significantly from a cash investment in obligations of the Reference Entities. Market Risk of the Offered Notes. Although the Specified Portfolios are expected to be managed with the objective of minimizing Tranche Incurred Loss Amounts rather than with a view to correlation management, the market value of Offered Notes of any Series may be sensitive to changes in spreads of Reference Entities. The effect of such changes in spreads on the market value of the Offered Notes may depend in part on the credit derivative pricing models used by market participants and investors in credit-linked obligations relating to Reference Entities or similar entities, including assumptions in those models. To the extent that such models use market price as a measure of credit risk, their reliability may be affected by unexpected changes in supply and demand for credit-linked securities. Dependence of the Issuers on the Portfolio Manager. The Company has no employees and is dependent on the employees of the Portfolio Manager to advise the Issuers in accordance with the terms of the related Indentures and the Portfolio Management Agreement. Consequently, the loss of one or more of the individuals employed by the Portfolio Manager to manage the Specified Portfolios or to provide related services to the Issuers could have an adverse effect, which effect may be material, on the performance of the Issuers. See "The Portfolio Manager" and "The Portfolio Management Agreement." Risks Relating to the Management of the Specified Portfolios. The performance of any investment in the Offered Notes will be in part dependent on the financial and managerial expertise of the investment professionals of the Portfolio Manager. However, the Swap Counterparty retains the sole discretion to make determinations as to whether certain Replacement Conditions are satisfied or to waive the Replacement Conditions, which will affect whether the Specified Portfolios will in fact include Reference Entities recommended by the Portfolio Manager. As a result, the Specified Portfolios will not necessarily include all Reference Entities proposed by the Portfolio Manager. The Issuers are reliant on the employees of the Portfolio Manager to make day to day decisions on their

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behalf with respect to the Specified Portfolios in accordance with the guidelines provided in the relevant Credit Default Swaps and the Portfolio Management Agreement. The Portfolio Manager has informed the Issuers that these investment professionals are also actively involved in other investment activities and will not be able to devote all of their time to the Issuers' business and affairs. Investment professionals employed by the Portfolio Manager have left and may leave the Portfolio Manager's employ for a variety of possible reasons. The loss of one or more of the individuals employed by the Portfolio Manager to manage the Specified Portfolios could have a material adverse effect on the Specified Portfolios. In addition, individuals not currently associated with the Portfolio Manager may become associated with the Portfolio Manager, and the performance of the Specified Portfolios may also depend on the financial and managerial experience of such individuals. See "The Portfolio Manager". Furthermore, the Portfolio Manager may resign or be removed under the circumstances described under "The Portfolio Management Agreement" herein. The Portfolio Manager is given limited authority in the Portfolio Management Agreement to manage the Specified Portfolios and to act in specific circumstances in relation to the Specified Portfolios on behalf of the Issuers pursuant to, and in accordance with, the Portfolio Management Agreement. In undertaking this role, the Portfolio Manager may make such investigation into any Reference Entity as it considers appropriate in its absolute discretion. Such investigations may be limited to a review of readily available public information and may not include due diligence of the kind common in relation to primary securities offerings. The duties of the Portfolio Manager under the Portfolio Management Agreement include adding and removing Reference Entities to or from the Specified Portfolios on behalf of the Issuers. Because the composition of the Specified Portfolios will vary over time, the performance of the Specified Portfolios will depend on, among other things, the ability of the Portfolio Manager to analyze, to select and to manage the Reference Entities which are added to, or removed from, the Specified Portfolios, subject to the rights of the Swap Counterparty to determine whether the Replacement Conditions are satisfied or to waive such Replacement Conditions, in its sole discretion. In exercising such rights and making such determinations, the Swap Counterparty is not required to consider the interests of the Issuers or Noteholders and may be subject to conflicts of interest described below. No assurance can be made with respect to the future performance of the Specified Portfolios or the Portfolio Manager. In particular, any merger of the Portfolio Manager with any entity could have a material adverse effect on the ability of the Portfolio Manager to perform its obligations under the Portfolio Management Agreement. The Portfolio Manager is not required to devote all of its time to the management of the Specified Portfolios and will continue to advise in connection with, and to manage, other investments in the future. In addition, the nature of, and risks associated with, the Reference Entities included in the Specified Portfolios may differ materially from those associated with previous investments or portfolios managed by the Portfolio Manager or investment professionals associated with the Portfolio Manager, including by reason of the diversity and other parameters required by the Portfolio Management Agreement and the Credit Default Swaps. Prior investment results and returns achieved for accounts managed by the Portfolio Manager may not necessarily be indicative of the results and returns on the Specified Portfolios. During certain periods or in certain specified circumstances, the Portfolio Manager may be unable to cause Replacements to occur or to take other actions which it might consider in the best interests of the Issuers and the Holders of the Offered Notes as a result of the restrictions set forth in the Credit Default Swaps, determinations made by the Swap Counterparty with respect to the Replacement Conditions or other factors. The Portfolio Manager may find that, as a practical matter, there are limited opportunities to effect Replacements with respect to the Specified Portfolios for a variety of reasons, including market limitations. If the Swap Counterparty refuses to allow a Proposed Replacement on the basis that the relevant Replacement Conditions have not been satisfied or waives the satisfaction of any Replacement Condition, then such determination will be conclusive and binding on all parties in all circumstances without liability to the Swap Counterparty, the Portfolio Manager (subject, in respect of the Portfolio Manager, to the terms of the Portfolio Management Agreement) or the CDS Calculation Agent. Neither

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the Swap Counterparty nor the CDS Calculation Agent will have any liability whatsoever for the actions or inactions of the Portfolio Manager or any responsibility whatsoever for the monitoring of the performance of the Portfolio Manager or compliance with the Replacement Restrictions. The Swap Counterparty and the CDS Calculation Agent may assume that the Portfolio Manager is acting with the full authority of the Issuers and in compliance with all applicable legal, regulatory, contractual and corporate requirements and authorizations. Trading Activity May Result in Losses Under the Portfolio Management Agreement, the Portfolio Manager's duties include the management of the Specified Portfolios by adding and/or removing Reference Entities to or from the Specified Portfolios (each, a "Replacement") on behalf of the Issuers. Such Replacements may result in material changes to the composition of the Specified Portfolios. Trading gains and losses may arise in connection with any such additions and/or removals of Reference Entities to or from the Specified Portfolios. With respect to any Series of Offered Notes, the Threshold Amount, at any time on any day, will be equal to the Original Threshold Amount (as defined in the related Credit Default Swap) for that Series of Offered Notes plus the sum of all related Threshold Adjustment Amounts (whether positive or negative) (if any) calculated under the related Credit Default Swap in relation to each Replacement. Accordingly, trading activities of the Portfolio Manager, and any corresponding Threshold Adjustment Amounts calculated by the CDS Calculation Agent as a result of such trades, will increase or decrease the subordination for one or more Series of Offered Notes and thereby increase or decrease the likelihood that the holders of such Series of Offered Notes will suffer a loss. Noteholders may not be able to verify independently factors used in the calculation of Threshold Adjustment Amounts. Certain Conflicts of Interest. Various actual and potential conflicts of interest may arise from the overall advisory, investment and other activity of the Portfolio Manager and its affiliates and their respective clients and from the conduct by Goldman, Sachs & Co., Goldman Sachs International, Goldman, Sachs Capital Markets, L.P. and their affiliates acting (without limitation) in their respective capacities as Initial Purchasers, as the Swap Counterparty and as the Swap Guarantor. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. Portfolio Manager. The Issuers are not the Portfolio Manager's only clients. The Portfolio Manager and its affiliates are in no way prohibited from spending, and intend to spend, substantial business time in connection with other businesses and activities, including, but not limited to, managing investments, advising or managing entities whose investment objectives are the same as or overlap with those of the Issuers, providing consulting, merger and acquisition, structuring or financial advisory services, including with respect to actual, contemplated or potential Reference Entities under the Credit Default Swap, or acting as a director, officer or creditors' committee member of, advisor to, or participant in any corporation, partnership, trust or other business entity. The Portfolio Manager and its affiliates may, and expect to, receive fees or other compensation from third parties for any of these activities, which fees will be for the benefit of their own account and not for the account of the Issuers. The Portfolio Manager and any of its affiliates may invest for their own accounts or for the accounts of others in securities or obligations of Reference Entities and may enter into credit derivative transactions with respect to entities that would be appropriate to be included in the Specified Portfolios as Reference Entities and have no duty in making such investments or entering into such transactions in a way that is favorable to the Issuers or holders of the Offered Notes. The Portfolio Manager serves as the collateral manager or investment advisor for other collateralized debt obligation vehicles as well as high yield bond and loan portfolios that invest primarily in obligations and assets of entities similar to the Reference Entities. The Portfolio Manager and its affiliates may have ongoing relationships with Reference Entities or companies whose securities or obligations are pledged as Collateral with respect to the Offered Notes that may include, without limitation, serving as credit risk manager for, investing in, lending to, or being affiliated with Reference Entities, such other obligors and other trusts and pooled investment vehicles that acquire interests in, provide financing to, or otherwise deal with Reference

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Entities or such other obligors. As a result, officers or affiliates of the Portfolio Manager may possess information relating to Reference Entities and/or such other obligors which is not known to individuals at the Portfolio Manager responsible for monitoring the Specified Portfolios and the collateral for the Offered Notes and performing other obligations under the Portfolio Management Agreement. Furthermore, such information may restrict the Portfolio Manager from adding or removing such Reference Entities to or from the Specified Portfolios or increasing or decreasing the exposure of itself or its clients (including the Issuers) to such entities, or otherwise using such information for the benefit of its clients (including the Issuers) or itself. In addition, affiliates and clients of the Portfolio Manager (including investment funds managed by the Portfolio Manager or its affiliates) may invest in securities of Reference Entities or in securities that are senior to, or have interests different from or adverse to, the Collateral Securities and other Collateral that are pledged to secure the Offered Notes, or take different, even contrary, risk positions with respect to Reference Entities than it is taking for the Issuers through the Credit Default Swaps. The Portfolio Manager and its affiliates may serve as a general partner or manager of limited partnerships, limited liability companies or other similar entities organized to issue collateralized debt obligations secured by credit default swaps similar to the Credit Default Swaps and/or other investments similar to the Collateral Securities and/or other Collateral for the Offered Notes. Accounts for which the Portfolio Manager and/or its affiliates act as investment advisor may at times own a portion of one or more Series of the Offered Notes. The Portfolio Manager may engage in other business and furnish investment management and advisory services to its other clients, its own account or affiliates (including investment funds managed by the Portfolio Manager or its affiliates) (the "Related Entities"). The Portfolio Manager may make recommendations or effect transactions which differ from those effected with respect to the Credit Default Swaps and other Collateral for the Offered Notes and 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 securities of the Reference Entities. In addition, the Swap Counterparty may from time to time enter into credit default swaps and other derivative transactions with investors and counterparties (other than the Issuers) which reference the Specified Portfolios or other portfolios managed by the Portfolio Manager or its affiliates and for which the Portfolio Manager and/or its affiliates may receive compensation. The Portfolio Manager and its affiliates may from time to time incur expenses on behalf of the Issuers and Related Entities. Although the Portfolio Manager and its affiliates will attempt to allocate such expenses on the basis they consider equitable, there can be no assurance that such expenses will in all cases be allocated equally. In performing its duties under the Portfolio Management Agreement, the Portfolio Manager may be influenced by its relationships with other clients (including Reference Entities) and Related Entities. In providing services to other clients, the Portfolio Manager and its Related Entities may recommend activities that would compete with or otherwise adversely affect the Issuers. The Portfolio Manager, its affiliates and such Related Entities may from time to time come into possession of information that may limit the ability of the Portfolio Manager to recommend that a Reference Entity be added to the Specified Portfolios, and the ability of the Portfolio Manager to perform some of its duties may be constrained as a consequence of the Portfolio Manager's inability to use such information for advisory purposes or otherwise to take actions that would be in the best interests of the Issuers and the Noteholders. Neither the Portfolio Manager nor any of its affiliates is under any obligation to offer investment opportunities of which they become aware to the Issuers or to account to the Issuers (or share with the Issuers or inform the Issuers of any such transaction or any benefit received by them from any such transaction or inform the Issuers of) any such transaction or any benefit received by them from any such transaction or to inform the Issuers of any investments before offering any investments to other funds or accounts that the Portfolio Manager and/or its affiliates manage or advise. Furthermore, the Portfolio Manager and/or its affiliates may make an investment on behalf of any account that they manage or advise without offering the investment opportunity or making any investment on behalf of the Issuers. The Portfolio Manager and/or its affiliates have no affirmative obligation to offer any investments to the

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Issuers or to inform the Issuers of any investments before offering any investments to other funds or accounts that the Portfolio Manager and/or its affiliates manage or advise. Furthermore, the Portfolio Manager or any of its affiliates may make an investment on its own behalf without offering the investment opportunity to, or the Portfolio Manager making any investment on behalf of, the Issuers. Affirmative obligations may exist or may arise in the future, whereby the Portfolio Manager and/or its affiliates are obligated to offer certain investments to funds or accounts that they manage or advise before or without the Portfolio Manager offering those investments to the Issuers. The Portfolio Manager has no affirmative obligation to offer any investments to the Issuers or to inform the Issuers of any investments before engaging in any investments for themselves. The Portfolio Manager may enter into credit default swaps or make investments on behalf of the Issuers in securities or other assets, that it has declined to invest in for its own account, the account of any of its affiliates or the account of its other clients. In addition, the amounts held in the Collateral Accounts may be invested in funds managed or administered by the Portfolio Manager. In the event that amounts held in the Collateral Accounts are invested in funds managed or administered by the Portfolio Manager, in addition to the Portfolio Management Fee earned by the Portfolio Manager, the Portfolio Manager will receive a fee from such funds. The Portfolio Manager's relationship with such funds creates potential conflicts of interest for the Portfolio Manager and may result in securities laws restrictions on the Portfolio Manager, including, without limitation, restrictions on securities transactions for the Issuers. The Portfolio Manager will endeavor to resolve conflicts with respect to investment opportunities in a manner which it deems equitable to the extent possible under the prevailing facts and circumstances. Offered Notes held by or for the benefit of the Portfolio Manager and its affiliates and Offered Notes over which the Portfolio Manager or its affiliates have discretionary voting authority will have no voting rights with respect to any vote in connection with the removal of the Portfolio Manager and will be deemed not to be outstanding in connection with any such vote. However, such Offered Notes will be entitled to vote with respect to certain other matters as to which the holders of Offered Notes are entitled to vote, subject to certain limitations described under "Description of the Portfolio Management Agreement." Swap Counterparty and Initial Purchasers. Each of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates are acting in a number of capacities in connection with the Offered Notes. Each of the Swap Counterparty and the Initial Purchasers (and its respective affiliates) acting in such capacities will have only the duties and responsibilities expressly agreed to in the relevant capacity and will not, by virtue of its or any of its affiliates acting in any other capacity or otherwise, be deemed to have other duties or responsibilities or be deemed to be held to a standard of care other than as expressly provided with respect to each such capacity. The Swap Counterparty, in its capacity as counterparty to the Credit Default Swaps, may, in seeking to maximize its economic return, have interests adverse to the interests of the Issuers and the Noteholders from time to time. For example, the Swap Counterparty may decide, in its sole and absolute discretion, whether to waive any Replacement Condition in connection with a Proposed Replacement and may make its decision whether to do so on the basis of its own best interests and without regard to the interests of the Issuers or the Noteholders. Any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may commence and develop commercial relationships with any Reference Entity or any affiliate of any Reference Entity. In particular, any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may be an investor in, a lender to or other secured or unsecured creditor of any Reference Entity and, in such capacity, it may make decisions in such capacity regardless of whether any such action might have an adverse effect on the Noteholders, on any Reference Entity or otherwise (including, without limitation, any action which might constitute or give rise to a Credit Event). Any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may engage in derivative transactions with any Reference Entity or the Issuers (including credit derivative transactions) and may provide investment banking and other financial services to any Reference Entity, for which the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may derive significant fees. Any of the Swap Counterparty, the Initial Purchasers and/or one or more of

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their respective affiliates may hold long or short positions with respect to securities or obligations of any Reference Entity or the Issuers. Any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may act with respect to such transactions and may exercise or enforce, or refrain from exercising or enforcing, any or all of its rights and powers in connection with the Issuers or any Reference Entity as if the Swap Counterparty had not entered into the Credit Default Swaps and without regard to whether any such action might have an adverse effect on the Issuers, any Noteholder, any Reference Entity or any obligation of the Issuers or any Reference Entity. Any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates may acquire Offered Notes for their own portfolio and/or buy or sell exposure to the Offered Notes in synthetic form from or to other parties. In addition, the Swap Counterparty may from time to time enter into credit default swaps and other derivative transactions with investors and counterparties (other than the Issuers) which reference the Specified Portfolios or other Specified Portfolios managed by the Portfolio Manager or its affiliates and for which the Portfolio Manager and/or its affiliates may receive compensation. If any of the Swap Counterparty, the Initial Purchasers and/or one or more of their respective affiliates hold claims against the Issuers or any Reference Entity, such party's interest as a creditor may be in conflict with the interests of the Noteholders. Business Relationships of Various Parties. Each of the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee or the Agents, save for the Irish Paying Agent and the Listing Agent, (or any affiliate thereof) may have existing or future business relationships with the Swap Counterparty (or its guarantor), the Collateral Obligors or any Reference Entity (including, but not limited to, lending, depository, risk management, advisory and banking relationships), and will pursue actions and take steps that they deem or it deems necessary or appropriate to protect their or its interests arising therefrom without regard to the consequences for a holder of Offered Notes. Furthermore, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee or the Agents, save for the Irish Paying Agent and Listing Agent, (or any affiliate thereof) may buy, sell or hold positions in obligations of, or act as investment or commercial bankers, advisers or fiduciaries to, or hold directorship and officer positions in, any Collateral Obligor or Reference Entity. Limited Provision of Information. None of the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee or the Agents (or any affiliate thereof) makes any representation as to the credit quality of the Swap Counterparty, the Collateral Obligors or any Reference Entity. Any of the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee or the Agents (or any affiliate thereof) may have acquired, or during the term of the Offered Notes may acquire, non-public information with respect to the Swap Counterparty, the Collateral Obligors or any Reference Entity that is relevant to an investment decision in the Offered Notes. None of the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee or the Agents (or any affiliate thereof) is under any obligation to make available any information relating to, or keep under review on the investors' behalf, the business, financial conditions, prospects, creditworthiness or status of affairs of the Swap Counterparty, the Collateral Obligors or any Reference Entity or conduct any investigation or due diligence into the Swap Counterparty, the Collateral Obligors or any Reference Entity. The Swap Counterparty will have no obligation to keep the Issuers, the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Swap Counterparty, the Trustee, the Agents or the Noteholders informed as to matters arising in relation to any Reference Entity, including whether or not circumstances exist under which there is a possibility of the occurrence of a Credit Event. Credit Ratings. The credit rating of any entity (or obligation, as the case may be) represents the rating agencies' opinions regarding such entity's (or the particular obligation's) credit quality and are not a guarantee of

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quality. Rating agencies attempt to evaluate the likelihood of payment of principal and interest and do not evaluate the risks of fluctuations in market value. Therefore, the ratings assigned to an entity by the rating agencies may not fully reflect, for example, the true risks that the relevant Issuer is assuming by entering into a credit default swap transaction related to such entity. Also, the rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an entity's current financial condition may be better or worse than a rating indicates. In addition, the ratings assigned to an entity by each rating agency may be downgraded or withdrawn at any time. Evolving Nature of the Credit Default Swap Market. Credit default swaps are relatively new instruments in the market. While the International Swaps and Derivatives Association, Inc. (ISDA) has published and supplemented the Credit Derivatives Definitions in order to facilitate transactions and promote uniformity in the credit default swap market, the credit default swap market is expected to change, and the Credit Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. Past events have shown that the views of market participants may differ as to how the Credit Derivatives Definitions operate or should operate. In response, the Credit Derivatives Definitions are expected to continue to evolve. There can be no assurances that changes to the Credit Derivatives Definitions and other terms applicable to credit derivatives generally will be predictable or favorable to the Issuers. Amendments or supplements to the Credit Derivatives Definitions that are published by ISDA will only apply to the Credit Default Swaps if the Issuers and the Swap Counterparty agree to amend the Credit Default Swaps to incorporate such amendments or supplements. Markets in different jurisdictions have also already adopted and may continue to adopt different practices with respect to the Credit Derivative Definitions. Furthermore, the Credit Derivatives Definitions may contain ambiguous provisions that are subject to interpretation and may result in consequences that are adverse to the Issuers. Therefore, in addition to the credit risk of the Reference Entities and the credit risk of the Swap Counterparty, the Issuers are also subject to the risk that the Credit Derivatives Definitions could be interpreted in a manner that would be adverse to the Issuers or that the credit derivatives market generally may evolve in a manner that would be adverse to the Issuers. Additionally, certain parameters with respect to each Reference Entity in the Specified Portfolios (such as Credit Events, Obligations, Reference Obligations and other terms) will be determined by reference to the applicable Market Standard Terms specified for such Reference Entity in the Credit Default Swaps. The Market Standard Terms for each type of Reference Entity will incorporate any future amendments or updates to such Market Standard Terms as published by ISDA from time to time in the "Credit Derivative Physical Settlement Matrix". Accordingly, for any Reference Entity as of any date, the relevant parameters set forth in the applicable Market Standard Terms will be those that are in effect as of such date. No Gross-Up; Redemption for Taxation Reasons. Under current tax law of the United States and other jurisdictions, payments made by the Swap Counterparty under the Credit Default Swaps and the Collateral Obligors under the Collateral Securities and Eligible Investments are not expected to be subject to the imposition of U.S. federal or other withholding tax. There can be no assurance, however, that payments by the Swap Counterparty under the Credit Default Swaps or the relevant Collateral Obligors on any Collateral Security or Eligible Investment might not be or become subject to U.S. federal or other withholding tax. If any payment by the Swap Counterparty to the relevant Issuer under a Credit Default Swap is subject to any deduction or withholding for or on account of any tax, duty, assessment or other governmental charge, the Swap Counterparty will not be obligated to gross-up such payment for any such deduction or withholding. As described in "Description of the Offered NotesRedemption for Taxation Reasons", if an Issuer receives payments in respect of the related Credit Default Swap or other Collateral after deduction on account of tax and without a full gross up such that such Issuer is unable to make payment of the full amount due in respect of the related Series of Offered Notes on the next Payment Date, an early redemption of that Series of Offered Notes may result.

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Lack of Operating History. The Company is a recently incorporated Cayman Islands entity with no prior operating history, prior business or employees. The relevant Issuer and the Co-Issuer for each Series of Offered Notes will have no material assets other than Collateral relating to such Series that will be pledged to the related Trustee in connection with the related Series. Under the terms of the relevant Indenture the activities of each Issuer will be limited to (i) offering, issuing and selling the related Series of Offered Notes and any Additional Notes of such Series, (ii) purchasing the Collateral related to such Series of Offered Notes, (iii) entering into and performing its obligations under the related Credit Default Swap and the Portfolio Management Agreement, (iv) pledging the relevant Collateral to the Trustee (for the benefit of the Secured Parties of such Series of Offered Notes) pursuant to such Indenture and (v) engaging in other activities incidental to the foregoing as permitted by the related Transaction Documents. Because the Company is a Cayman Islands company, it may not be possible for investors to enforce against the relevant Issuer in United States courts judgments predicated upon the civil liability provisions of the United States securities laws. Legislation and Regulations In Connection With the Prevention of Money Laundering. The Uniting and Strengthening America By Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the USA PATRIOT Act), signed into law on and effective as of October 26, 2001, imposes anti-money laundering obligations on different types of financial institutions, including banks, broker-dealers and investment companies. The USA PATRIOT Act requires the Secretary of the U.S. Department of the Treasury (the Treasury) to prescribe regulations to define the types of investment companies subject to the USA PATRIOT Act and the related anti-money laundering obligations. It is not clear whether Treasury will require entities such as the Company or the Issuers to enact anti-money laundering policies. It is possible that Treasury will promulgate regulations requiring the Dealers, in connection with the establishment of anti-money laundering procedures, to share information with governmental authorities with respect to investors in the Offered Notes. Such legislation and/or regulations could require the Issuers to implement additional restrictions on the transfer of the Offered Notes. As may be required, the Company and the Issuers reserve the right to request such information and take such actions as are necessary to enable it to comply with the USA PATRIOT Act. Legal Opinions. Legal opinions relating to the Offered Notes will be obtained on issue with respect to the laws of New York and the Cayman Islands but no such opinions will be obtained with respect to any other laws and no investigations will be made into the validity or enforceability of the laws of any other jurisdiction in respect of the obligations under the Offered Notes. Any such legal opinions will not be addressed to, and may not be relied on by, holders of the Offered Notes. In particular, except as described above, no legal opinions will be obtained in relation to: (i) the laws of the country of incorporation of any Reference Entity or any obligor with respect to the Collateral Securities, the Eligible Investments and/or other collateral; (ii) the laws of the country in which any obligations of any Reference Entity, the Collateral Securities and/or other Collateral are situated; or (iii) the laws of the country which are expressed to govern any obligations of any Reference Entity, the Collateral Securities and/or other Collateral. Such laws may affect, among other things, the validity and legal and binding effect of the obligations of any Reference Entity, the Collateral Securities and/or any other Collateral. Consequently, no responsibility is accepted by the Issuers or the Co-Issuer in relation to such matters. Tax Considerations. See "Income Tax Considerations".

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The Issuers may issue Additional Notes. Even though the Additional Notes may be treated for non-tax purposes as a single series with the originally issued Offered Notes, the Additional Notes may be treated as a separate series for U.S. federal income tax purposes (because of differences in the original issue discount characteristics of the originally issued Offered Notes and the Additional Notes). In such case, the fair market value of the originally issued Offered Notes may be adversely affected (if the original issue discount characteristics of the Additional Notes are less favorable than those of the originally issued Offered Notes) since the Additional Notes may be indistinguishable from the originally issued Offered Notes and, therefore, may trade based on the original issue discount characteristics of the Additional Notes. ERISA Considerations. See "ERISA Considerations". Suitability of Investment. This Offering Circular identifies in a general way some of the information that a prospective purchaser should consider prior to making an investment in the Offered Notes of any Series. This Offering Circular does not purport, however, to provide all of the information or the comprehensive analysis necessary to evaluate the economic and other consequences of investing in the Offered Notes. Accordingly, a prospective purchaser should conduct its own thorough analysis (including its own accounting, legal and tax analysis) prior to deciding whether to invest in the Offered Notes. Because any evaluation of whether an investment in the Offered Notes is suitable depends upon a prospective purchasers particular financial and other circumstances, as well as on the specific terms of the Offered Notes, this Offering Circular does not purport to be investment advice. A prospective purchaser should make an investment in a Series of Offered Notes only after it has determined that such investment is suitable for its financial investment objectives. Determining whether an investment in a Series of Offered Notes is suitable is a prospective purchasers responsibility, even if the prospective purchaser has received information from the relevant Issuer, the Co-Issuer or the Initial Purchasers, as applicable, or other Persons to assist it in making the determination. If a prospective purchaser does not have experience in financial, business and investment matters sufficient to permit it to make such a determination, the prospective purchaser should consult with its financial advisor prior to deciding to make an investment in a Series of Offered Notes. DESCRIPTION OF THE OFFERED NOTES Each Series of Offered Notes will be issued by the relevant Issuer and the Co-Issuer, pursuant to the related Indenture. The following summary describes certain provisions of the Offered Notes and the Indentures. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Offered Notes and the Indentures. Copies of the Indentures may be obtained by prospective purchasers of the Offered Notes upon request in writing to the related Trustee at 101 Barclay Street, Floor 4 East, New York, New York 10286, Attention: Global Structured Finance. Status and Security Each Series of Offered Notes will be limited recourse obligations of the related Issuer and the CoIssuer, secured as described below. Under the terms of each Indenture, the relevant Issuer and the CoIssuer will grant to the Trustee, with respect to the related Segregated Portfolio, for the benefit and security of the Trustee on behalf of each Series of the Offered Notes, the Portfolio Manager, the Agents and the Swap Counterparty (collectively, the "Secured Parties") in respect of such Series of Offered Notes, a first priority security interest in (i) the Collateral Account established for such Series of Offered Notes under such Indenture; (ii) any Collateral Securities and Eligible Investments deposited in such Collateral Account; (iii) the relevant Issuer's rights under the Credit Default Swap in respect of such Series of Offered Notes; (iv) the relevant Issuer's rights under the Portfolio Management Agreement in respect of such Series of Offered Notes and (v) certain other property (collectively, the "Collateral" for such Series of Offered Notes) as specified in such Indenture.

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Payments of interest on and principal of each Series of the Offered Notes will be made solely from the proceeds of the Collateral for such Series of Offered Notes in accordance with the Priority of Payments described herein and as set forth in the related Indenture. No Series of Notes will be payable from, or secured by, the Collateral for any other Series of Notes. To the extent the applicable Collateral for any Series of Notes is insufficient to pay all amounts due in respect of such Series of Notes, the related Issuer and the Co-Issuer will have no further obligations in respect of such Series of Offered Notes and any sums outstanding and unpaid in respect of such Series of Offered Notes will be extinguished. The Notes of any Series may be denominated in USD, EUR, JPY and any other Settlement Currency specified by the relevant Issuer on the date of issue thereof. The Settlement Currency for the Offered Notes (other than the Series C-4 Notes) will be USD. The Settlement Currency for the Series C-4 Notes will be JPY. Additional Notes of the same Series as any outstanding Series of Notes (including the Offered Notes) may be issued on one or more dates occurring after the applicable Closing Date without notice to, or the consent of, the holders of any Notes issued prior to such Additional Notes. The Indentures set forth the conditions that must be satisfied before Additional Notes may be issued. Additional Notes will be issued by means of a supplement to the Indenture for the relevant Series of Notes. Upon issuance of such Additional Notes, the Additional Notes and the existing Notes of the relevant Issuer will form a single Series and be secured by the Collateral for that Series, provided by the relevant Issuer in respect of such Additional Notes). In addition, the Company may, on the account of one or more Segregated Portfolios, issue additional Series of Notes from time to time, without notice to or the consent of the holders of any outstanding Notes (including the Offered Notes). Any such additional Series of Notes will be issued under and constituted by separate Indentures and will not be secured by any Collateral pledged to secure outstanding Notes. Each additional Series of Notes may include one or more classes of Notes (each, a Class) that will be entitled to principal distributions with disproportionate, nominal or no interest distributions, or to interest distributions with disproportionate, nominal or no principal distributions. The rights of any Class of Notes may be senior or subordinate to the rights of any other Class of Notes in the same Series. Any additional Series of Notes may include two or more Classes of Notes which differ as to the timing, order or priority of payment, interest rate or amount of distributions of principal or interest or both, set forth in the relevant Indenture. The Company may also, on the account of one or more Segregated Portfolios, issue or incur Other Secured Obligations from time to time, without notice to or the consent of, the holders of any outstanding Notes (including the Offered Notes). Other Secured Obligations may include, without limitation, obligations that reference the Specified Portfolios or different portfolios of obligations or entities which may or may not be managed by the Portfolio Manager or other parties on behalf of the Company or the relevant Segregated Portfolio. Interest The Series B-1 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at the Series B-1 Note Interest Rate for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series B-1 Notes for such Interest Accrual Period. The Series C-1 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at the Series C-1 Note Interest Rate for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-1 Notes for such Interest Accrual Period. The Series C-2 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at the Series C-2 Note Interest Rate for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-2 Notes for such Interest Accrual Period. The Series C-3 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at the Series C-3 Note Interest Rate for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-3 Notes for such Interest

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Accrual Period. The Series C-4 Notes will bear interest during each Interest Accrual Period ending on or prior to the Scheduled Maturity Date at the Series C-4 Note Interest Rate for such Interest Accrual Period, calculated on the Average Outstanding Principal Amount of the Series C-4 Notes for such Interest Accrual Period. In addition, each Series of Offered Notes will bear interest on a daily basis from and including the Scheduled Maturity Date to but excluding the Final Maturity Date at the Deposit Rate or the Eligible Investment Rate, as provided in the related Indenture, in each case, as determined by the Note Calculation Agent. Interest with respect to the Offered Notes will be payable quarterly (or, in the case of to the Series C-3 Notes, semi-annually) in arrears, commencing on the March 20, 2007 Payment Date. LIBOR for the first Interest Accrual Period with respect to the Series B-1 Notes, the Series C-1 Notes and the Series C-2 Notes will be 5.365%. JPY LIBOR for the first Interest Accrual Period with respect to the Series C-4 Notes will be set two Business days prior to the commencement of such Interest Accrual Period. Calculations of interest on the Offered Notes (other than the Series C-3 Notes) will be made based on a 360-day year and the actual number of days in each Interest Accrual Period. Calculations of interest on the Series C-3 Notes will be made on the basis of a 360-day year comprised of twelve 30-day months. The "Interest Accrual Period" with respect to any Payment Date is the period commencing on and including the immediately preceding Payment Date ((or, in the case of the first Interest Accrual Period for the Offered Notes other than the Series C-4 Notes, the applicable Closing Date, and in the case of the first Interest Accrual Period for the Series C-4 Notes, December 22, 2006) and ending on and including the day immediately preceding such Payment Date. Determination of Interest Rates and Other Calculations For purposes of calculating each of the Note Interest Rates, each Issuer will appoint as agent BNY (in such capacity, the "Note Calculation Agent"). The Note Interest Rate for each Series of Offered Notes and each Interest Accrual Period will be determined in the manner specified herein, and in the case of each Series of Offered Notes (other than the Series C-3 Notes) the provisions below relating to ISDA Determination or Screen Rate Determination will apply, depending upon which is specified in the relevant Supplement attached hereto as Exhibit E. For purposes of the following provisions, the term "Benchmark" means (i) LIBOR, in the case of the Series B-1 Notes, the Series C-1 Notes and the Series C-2 Notes and (ii) JPY LIBOR, in the case of the Series C-4 Notes: (a) ISDA Determination for Notes

Where ISDA Determination is specified in the relevant Supplement as the manner in which the Note Interest Rate is to be determined for a Series of Offered Notes, the Benchmark for such Series of Offered Notes for each Interest Accrual Period will be determined by the Note Calculation Agent as a rate equal to the relevant ISDA Rate. For the purposes of this subparagraph (a), "ISDA Rate" for an Interest Accrual Period means a rate equal to the Floating Rate that would be determined by the Note Calculation Agent under a Swap Transaction under the terms of an agreement incorporating the ISDA Definitions (as defined herein) and under which (i) the Floating Rate Option is as specified in the relevant Supplement, (ii) the Designated Maturity is a period specified in the relevant Supplement, (iii) the relevant Reset Date is the first day of that Interest Accrual Period unless otherwise specified in the relevant Supplement and (iv) Negative Interest Rate Method is applicable. For the purposes of this subparagraph (a), "Floating Rate", "Floating Rate Option", "Designated Maturity", "Reset Date", "Negative Interest Rate Method", and "Swap Transaction" have the meanings given to those terms in the ISDA Definitions. (b) Screen Rate Determination for Notes

Where Screen Rate Determination is specified in the relevant Supplement as the manner in which the Note Interest Rate is to be determined for a Series of Offered Notes, the Benchmark for such Series of Offered Notes for each Interest Accrual Period will be determined by the Note Calculation Agent at or about the Relevant Time (as defined herein) on the Interest Determination Date (as defined herein) in respect of each Interest Accrual Period as follows:

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(i) if the Primary Source for the Floating Rate is a Page (each, as defined herein), except as provided below, the Benchmark will be: (A) the Relevant Rate (as defined herein) (where such Relevant Rate on such Page is a composite quotation or is customarily supplied by one entity); or (B) the arithmetic mean of the Relevant Rates of the persons whose Relevant Rates appear on that Page, in each case appearing on such Page at the Relevant Time on the Interest Determination Date; (ii) (B) if the Page specified in the relevant Supplement as Primary Source permanently ceases to quote the Relevant Rate(s) but such quotation(s) is/are available from another page, section or other part of such information service as notified in writing by the relevant Issuer to the CDS Calculation Agent by the Note Calculation Agent (the "Replacement Page"), the Replacement Page shall be substituted as the Primary Source for Note Interest Rate quotations and if no Replacement Page exists but such quotation(s) is/are available from a page, section or other part of a different information service selected by the relevant Issuer and as notified in writing by the relevant Issuer to the Note Calculation Agent (the "Secondary Replacement Page"), the Secondary Replacement Page shall be substituted as the Primary Source for Note Interest Rate quotations; the Note Calculation Agent may conclusively reply on any notice from the Issuer concerning any Replacement Page or Secondary Replacement Page;; (iii) if the Primary Source for the Floating Rate is Reference Banks (as defined herein) or if subparagraph (i)(A) above applies and no Relevant Rate appears on the Page at the Relevant Time on the Interest Determination Date or if subparagraph (i)(B) applies and fewer than two Relevant Rates appear on the Page at the Relevant Time on the Interest Determination Date, subject as provided below, the Benchmark will be (subject to paragraph (iv) below) the arithmetic mean of the Relevant Rates that each of the Reference Banks is quoting to major banks in the Relevant Financial Centre (as defined herein) at the Relevant Time on the Interest Determination Date, as determined by the Note Calculation Agent; (iv) if paragraph (iii) above applies and the Note Calculation Agent determines that fewer than two Reference Banks are so quoting Relevant Rates, subject as provided below, the Benchmark will be the arithmetic mean of the rates per annum (expressed as a percentage) that the Note Calculation Agent determines to be the rates (being the nearest equivalent to the index rate) in respect of a Representative Amount (as defined herein) of the Relevant Currency (as defined herein) that at least two out of five leading banks selected by the Note Calculation Agent in the principal financial centre of the country of the Relevant Currency or, if the Relevant Currency is euro, in the Euro-zone as selected by the Note Calculation Agent (the "Principal Financial Centre") are quoting at or about the Relevant Time on the date on which such banks would customarily quote such rates for a period commencing on the first day of the relevant Interest Accrual Period (or such other date as is specified in the relevant Supplement) for a period equivalent to the Specified Duration (as defined herein) (A) to leading banks carrying on business in Europe, or (if the Note Calculation Agent determines that fewer than two of such banks are so quoting to leading banks in Europe) (B) to leading banks carrying on business in the Principal Financial Centre; except that, if fewer than two of such banks are so quoting to leading banks in the Principal Financial Centre, the Benchmark will be the rate determined on the previous Interest Determination Date. Calculations The amount of interest payable in respect of any Note for any period will be calculated as described above. The Note Calculation Agent is required, no later than 3.00 p.m. (New York City time) on the Business Day immediately preceding each Payment Date or as soon as reasonably practicable thereafter, to give notice to the Trustee of the amount of interest payable in respect of each Series of Offered Notes on such following Payment Date.

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As soon as practicable after such time on such date as the Note Calculation Agent may be required to calculate any redemption amount, obtain any quotation or make any determination or calculation, the Note Calculation Agent will determine the Note Interest Rates for the relevant Interest Accrual Period and calculate the amount of interest due in respect of each Series of Offered Notes for the relevant Payment Date, calculate the redemption amount, obtain such quotation or make such determination or calculation, as the case may be, and give notice of the Note Interest Rates and the interest amounts for each Interest Accrual Period and the relevant Payment Date and, if required to be calculated, the redemption amount to the Trustee, the Issuer, each of the Paying Agents other than the Irish Paying Agent and the Portfolio Manager, and, if the Notes are listed on the Irish Stock Exchange and the rules of such exchange so require, such exchange as soon as practicable after their determination but in no event later than (a) the commencement of the relevant Interest Accrual Period, if determined prior to such time, in the case of notification to such exchange of a Note Interest Rate and interest amount, or (b) in all other cases (except as provided in the relevant Indenture), the fourth Business Day after such determination. Where any Payment Date is subject to adjustment pursuant to the applicable Business Day Convention, the interest amounts and the Payment Date so published may subsequently be amended (or appropriate alternative arrangements by way of adjustment) without notice in the event of an extension or shortening of the Interest Accrual Period. The Note Calculation Agent may be removed by the Issuers at the direction of the Swap Counterparty at any time. If the Note Calculation Agent is unable or unwilling to act as such or is removed by the Issuers, or if the Note Calculation Agent fails to determine the applicable calculations for any Interest Accrual Period, the Issuers will promptly appoint a replacement Note Calculation Agent. The Note Calculation Agent may not resign its duties without a successor having been duly appointed. In addition, for so long as any Offered Notes are listed on the Irish Stock Exchange and the rules of such exchange so require, notice of the appointment of any Note Calculation Agent will be furnished to such stock exchange. For so long as any of the Offered Notes remain outstanding, there will at all times be a Note Calculation Agent for the purpose of calculating the applicable calculations. The determination of the applicable calculations by the Note Calculation Agent shall (in the absence of manifest error) be final and binding upon all parties. If the Note Calculation Agent does not at any time for any reason determine or calculated the applicable calculations for any Interest Accrual Period, the Trustee will do so (or will appoint an agent on its behalf to do so) and such determination or calculation will be deemed to have been made by the Note Calculation Agent. Principal Unless previously redeemed as described below under "Early Redemption", principal of each Series of the Offered Notes will be paid on: (a) the Scheduled Maturity Date; and

(b) if one or more Pending Credit Events has occurred with respect to an LT Reference Entity, the Final Maturity Date, such later date, the "Maturity Date". "Final Maturity Date" means the second Business Day following the date upon which each Pending Credit Event has either (i) been the subject of a Loss Amount (as defined herein) calculation under the Credit Default Swaps and the related Cash Settlement Date (as defined herein) has occurred or (ii) been determined as having no Event Determination Date (as defined herein) by the Final Notice Date. "Pending Credit Event" means (i) any Potential Failure to Pay (as defined in the Credit Derivatives Definitions), if applicable, that occurs on or prior to the Cut-Off Date or (ii) any Credit Event with respect to which a Credit Event Notice (as defined herein) has been delivered under the Credit Default Swaps on or prior to the Cut-Off Date but with respect to which the related Cash Settlement Date has not occurred prior to the Cut-Off Date.

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"Cut-Off Date" means the date that is two Business Days prior to the Scheduled Maturity Date. "Final Notice Date" means the date that is 12 calendar days following the Scheduled Maturity Date. The amount of principal of any Series of Offered Notes to be paid on the Scheduled Maturity Date will be an amount equal to the greater of (a) the Outstanding Principal Amount of such Series of Offered Notes minus the Maximum Potential Loss Amount (as defined herein) for such Series of Offered Notes and (b) zero (such amount, the "Initial Redemption Amount" for such Series of Offered Notes). The amount of principal of any Series of Offered Notes to be paid on the Final Maturity Date will be equal to the Outstanding Principal Amount of such Series of Offered Notes on such Final Maturity Date. If, notwithstanding the foregoing, the Note Calculation Agent determines that the Outstanding Principal Amount of a Series of Offered Notes will be equal to zero following the payment of the Initial Redemption Amount for such Series of Offered Notes, the Maturity Date for such Series of Offered Notes will be the Scheduled Maturity Date and no further payments in respect of principal of such Series of Offered Notes will be due from the relevant Issuer or the Co-Issuer. The "Outstanding Principal Amount" of any Series of Offered Notes as of any date of determination will equal (i) the Original Principal Amount of such series of Offered Notes, plus (ii) the aggregate original principal amount of any Additional Notes of such Series that are issued by the relevant Issuer following the applicable Closing Date and on or prior to such date of determination, less (iii) any Collateral Principal Amounts (as defined herein) calculated with respect to such Series of Notes on or prior to such date, less (iv) any payments of principal made by the relevant Issuer in respect of such Series of Notes on or prior to such date (including any Initial Redemption Amount paid on the Scheduled Maturity Date). If at any time the Outstanding Principal Amount of a Series of Offered Notes is reduced to zero, upon payment of any outstanding amounts due in respect of such Series of Offered Notes, each Offered Note within such Series of Offered Notes will become void and no further payment will be made in respect of it. Collateral Principal Amounts, if any, arising from any Credit Event with respect to the LT Specified Portfolio under the Credit Default Swaps will be determined, and will be subtracted from the Outstanding Principal Amount of the applicable Series of Offered Notes, on the applicable Calculation Date (as defined herein) for such Credit Event. Principal will be payable on each Series of Offered Notes in accordance with the Priority of Payments as described under "Description of the Offered NotesPriority of Payments". Early Redemption Mandatory Redemption If there is a payment default under the Collateral in respect of any Series of Offered Notes (and a payment default under any related guaranty or insurance policy in respect of such Collateral), or amounts become due under the Collateral in respect of a Series of Offered Notes prior to the stated date of maturity of such Collateral as the result of an event of default and subsequent acceleration thereof, all of the Collateral in respect of that Series of Offered Notes will be deemed to have become immediately repayable, the relevant Issuer will give notice as soon as reasonably practicable to the Swap Counterparty, the Portfolio Manager and the Trustee and upon the giving of notice of redemption to the Holders of such Series of Offered Notes, or on the date specified in such notice, all of such Series of Offered Notes will become due and payable and be redeemed at the applicable Early Redemption Amount in accordance with the Priority of Payments.

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Redemption for Taxation Reasons (a) If the relevant Issuer, on the occasion of the next payment due in respect of a Series of Offered Notes, would be required by law to withhold or deduct on account of tax or would be subject to tax in respect of its income (or otherwise) so that it would be unable to make payment of the full amount due or, as a result of any change (or proposed change) in tax laws or regulations or the official interpretation thereof (which change or amendment becomes effective on or after the applicable Closing Date), would receive or has received payments in respect of any Collateral or the Credit Default Swap in respect of that Series after deduction on account of tax and without a full gross up such that it would be unable to make payment of the full amount due, or (where such payments were, immediately prior to such change or proposed change in tax laws or regulations or the official interpretation thereof, subject to tax) after deduction on account of a higher rate of tax such that it would be unable to make payment of the full amount due (each, a "Tax Imposition"), the relevant Issuer will promptly inform the Trustee, the Portfolio Manager and the Swap Counterparty and use its reasonable efforts to arrange the substitution of a company incorporated in another jurisdiction, with the consent of the Swap Counterparty and the Portfolio Manager (such consent not to be unreasonably withheld), as the principal debtor which would not result in such a Tax Imposition. (b) If, up to (but excluding) the 15th Business Day prior to the day upon which the next payment is due in respect of the relevant Series of Offered Notes, the relevant Issuer has not been able to arrange such substitution, the Swap Counterparty may elect, in its sole discretion, (pursuant to the relevant Credit Default Swap or otherwise) to pay to the relevant Issuer such amounts as will enable such Issuer (after any such Tax Imposition) to pay (and in such event, such Issuer will be obliged to pay) to the Noteholders the amounts which they would have received in the absence of such Tax Imposition. Notwithstanding paragraph (c) below, the Swap Counterparty may elect to pay such additional amounts at any time up to the date of the next payment due in respect of the Offered Notes and, having exercised such right, the Swap Counterparty will be under no obligation to continue to pay such additional amounts in respect of future payments in respect of such Series of Offered Notes. (In the event that the Swap Counterparty ceases to or elects not to pay such additional amounts, the provisions described in paragraph (c) below will apply.) (c) If the relevant Issuer is unable to arrange a substitution as described in paragraph (a) above and the Swap Counterparty does not elect to pay such Issuer such additional amounts as described in paragraph (b) above, all of such Series of Offered Notes shall become due and payable and will be redeemed by the relevant Issuer at the applicable Early Redemption Amount in accordance with the Priority of Payments, unless an Extraordinary Resolution (as defined herein) of the holders of the relevant Series of Notes otherwise directs. Redemption upon Termination of Credit Default Swap If the Credit Default Swap in respect of a Series of Offered Notes is terminated in whole for any reason, then the relevant Issuer is required to give not more than 45 nor less than 15 days' notice thereof (or such other notice period as indicated in the relevant Indenture) to the Trustee, the Portfolio Manager, the Swap Counterparty and, if the relevant Series of Notes is rated by Moodys, Moodys (which notice shall be irrevocable), and on the date specified in such notice is required to redeem all of such Series of Offered Notes at the applicable Early Redemption Amount in accordance with the Priority of Payments, unless an Extraordinary Resolution of the holders of the relevant Series of Offered Notes otherwise directs. Early Redemption Amount The "Early Redemption Amount" payable upon a redemption of any Series of Offered Notes as described under "Description of the Offered NotesEarly Redemption" and as described under "Description of the Offered NotesEvents of Default" will be an amount, determined by the Note Calculation Agent, equal to the greater of (a) the Disposal Collateral Proceeds (as defined herein) of the Collateral with respect to such Series of Offered Notes plus the ETA (as defined below) with respect to

46

such Series of Offered Notes and (b) zero, provided that if such Series of Offered Notes is redeemed early following a Swap Counterparty Default, the relevant Issuer's obligation to pay the Early Redemption Amount in respect of such Series of Offered Notes will be satisfied by (i) the payment to the Holders of such Series of Offered Notes of the ETA as determined by the Note Calculation Agent and (ii) the delivery to the Holders of such Series of Offered Notes of the balance of the relevant Collateral as at the date of redemption, with such delivery to occur within five Business Days of the surrender by the Holders of the relevant Offered Notes, together with a completed and executed Delivery Instruction Certificate (as defined below) at the specified office of the Trustee. The "ETA" in respect of the early redemption of any Series of Offered Notes mean an amount equal to the aggregate of any amounts payable by or to the relevant Issuer under the relevant Credit Default Swap upon early termination of such Credit Default Swap, which will be expressed as a positive number if such amount is payable to the relevant Issuer and a negative number of such amount is payable by the relevant Issuer, provided that if ETA is a negative number and the relevant Credit Default Swap is terminated early as a result of a Swap Counterparty Default, the ETA will be deemed to be zero. If the relevant Issuer has insufficient funds to pay any associated delivery costs (including any applicable taxes) of the relevant Collateral, it shall apply the ETA (if any and if positive) in payment thereof and, if the ETA is insufficient to cover such costs, an applicable amount of Collateral will be sold. Delivery of any Collateral to which a Noteholder in payment of the Early Redemption Amount is entitled will be made in accordance with the instructions of the Noteholder set out in a delivery instruction certificate (a "Delivery Instruction Certificate") substantially in the form attached to the related Indenture. The relevant Issuer shall not be required to deliver any Collateral in respect of an Offered Note unless the Offered Note, together with a completed and executed Delivery Instruction Certificate relating to the Offered Note, has been presented for endorsement and surrendered at the specified office of the Trustee. The relevant Issuer will, within five Business Days of surrender of the relevant Offered Note, along with a completed and executed Delivery Instruction Certificate at the specified office of the Trustee, deliver or cause to be delivered, the relevant portion of the Collateral for the Offered Note of a Series so presented or surrendered to the relevant clearing system specified in the relevant Delivery Instruction Certificate. For the purposes of this Section, "delivery" means the satisfaction of any obligation of the relevant Issuer to complete all matters necessary to transfer the relevant Collateral to the Noteholder (or the first-named of joint holders) and where the context so requires will be deemed to include payment of any moneys. Accordingly, and for the avoidance of doubt, there shall be no obligation on the relevant Issuer to concern itself with any formalities or requirements that shall be placed on the Noteholder (or the first-named of joint holders) as the transferee of the Collateral in connection with the acquisition by the Noteholder (or the first-named of joint holders) of the Collateral. If such Delivery Instruction Certificate is not received by or on behalf of the relevant Issuer within 30 Business Days following the date for early redemption, the relevant Collateral in respect of such Offered Note will be held in a separate custody account of such Issuer with such custodian of appropriate standing as it shall appoint from time to time and at the expense of the relevant Noteholder (which expense shall be reasonable in the light of then prevailing market practice) until such time as a valid Delivery Instruction Certificate is delivered. Notice of Redemption All Offered Notes in respect of which any notice of redemption is given shall be redeemed on the date specified in such notice in accordance with the relevant Indenture. Purchases If the relevant Issuer has made arrangements for the realization of no more than the equivalent proportion of the relevant Collateral and for the purchase of such Notes and preserving the economic equivalent of the relevant Credit Default Swap, which transaction will leave such Issuer with no net liabilities in respect thereof, it may at any time purchase any Series of Offered Notes in the open market or otherwise at any price.

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Cancellation All Offered Notes purchased by or on behalf of the relevant Issuer shall be surrendered for cancellation by surrendering each such Offered Note to, or to the order of, the Trustee and, will, together with all Offered Notes redeemed by such Issuer, be cancelled. Any Offered Notes so surrendered for cancellation may not be reissued or resold and the obligations of the relevant Issuer in respect of any such Offered Notes will be discharged. Zero Redemption Option A Noteholder may, upon 10 Business Days' prior written notice to the relevant Issuer, tender all or some of its respective Offered Notes to such Issuer for redemption at a redemption amount of zero. For each such Offered Note redeemed by the relevant Issuer at zero, such Issuer will pay to the Swap Counterparty an amount equal to the Zero Redemption Amount (as defined herein). To fund such payment, such Issuer will at the option of such Noteholder deliver Collateral Securities or other Collateral for such Series of Offered Notes or withdraw amounts from the relevant Collateral Securities or otherwise exercise any early redemption option or liquidate such Collateral Securities or other Collateral in respect of that Series of Offered Notes, in each case, in a principal amount equal to the aggregate Outstanding Principal Amount of such Offered Notes redeemed, on the next date upon which such delivery may be effected or such amount may be withdrawn or otherwise liquidated. BIE Option By delivery of a BIE Request Notice at any time a BIE Eligible Noteholder may request: (a) the exchange of its BIE Tendered Notes for an equal aggregate principal amount of BIE New Notes secured by BIE Proposed New Assets that are BIE Eligible New Assets (each, as defined herein) (a "BIE Exchange"); or (b) if such Noteholder is a 100% Noteholder of the applicable Series of Offered Notes, substitution of the relevant Collateral Securities with BIE Proposed New Assets that are BIE Eligible New Assets (a "BIE Substitution"). A Noteholder who is not a BIE Eligible Noteholder may not exercise the BIE Option. Within 5 New York Business Days of receiving a BIE Request Notice, the Note Calculation Agent will, on the relevant Issuer's behalf, determine (i) whether the BIE Proposed New Assets are BIE Eligible New Assets and, if so (ii) the BIE Transaction Cost (as defined herein) applicable upon such substitution or exchange. If the Note Calculation Agent determines that: (a) the BIE Proposed New Assets are not BIE Eligible New Assets, it will notify the Trustee, who will deliver a BIE Refusal Notice to the Noteholder, and the BIE Request Notice will be deemed void and of no further effect; (b) the BIE Proposed New Assets are BIE Eligible New Assets, it will notify the Trustee, who will deliver a BIE Acceptance Notice to the Noteholder. Upon receipt of a BIE Acceptance Notice (as defined herein) a Noteholder may, at any time in the BIE Exercise Period: (a) deposit the BIE Tendered Notes at the office of the Trustee, and as soon as practicable following receipt within such period the Trustee will deliver to the Note Calculation Agent a notice confirming such receipt within such period; (b) deliver to the Trustee (or a custodian or collateral agent on the Trustee's behalf) the BIE Eligible New Assets specified in the BIE Acceptance Notice, and as soon as practicable following receipt within such period the Trustee will deliver to the Note Calculation Agent a notice confirming such receipt within such period; and

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(c) pay to the Trustee the BIE Transaction Cost specified in the BIE Acceptance Notice, and as soon as practicable following receipt within such period the Trustee will deliver to the Note Calculation Agent a notice confirming such receipt within such period. Upon receipt by the Note Calculation Agent of all of the notices described in the immediately preceding paragraph, the relevant Issuer will be obliged (subject to the prior written consent of the Portfolio Manager (such consent not to be unreasonably withheld) and a confirmation from the Rating Agency that the proposed BIE Substitution or BIE Exchange (as the case may be) will not adversely affect the current credit rating of the Offered Notes of the applicable Series) to perform the BIE Substitution or BIE Exchange (as the case may be) and will cause the Note Calculation Agent to direct: (a) the Trustee to deliver the relevant Collateral Securities to such account as is specified in the BIE Request Notice; (b) the Trustee to deliver the BIE Tendered Notes or BIE New Notes (as the case may be) to such account as is specified in the BIE Request Notice and, in the case of a BIE Exchange, cancel the BIE Tendered Notes which are the subject of the BIE Request Notice; and the Trustee will take such actions for value on the BIE Effective Date. If either (i) any of the BIE Tendered Notes, BIE Eligible New Assets or the BIE Transaction Costs are not received; or (ii) any of the BIE Tendered Notes, BIE Eligible New Assets or the BIE Transaction Costs are received, but only following expiry of the BIE Exercise Notice Period: (a) the purported exercise of the BIE Option will be deemed null and void; and

(b) as soon as practicable any BIE Tendered Notes, BIE Eligible New Assets or BIE Transaction Costs held by the Trustee will be returned to such of the Noteholder's accounts as are specified in the BIE Request Notice with no requirement to account for interest on such sum of any description. Payments Payments on any Payment Date in respect of principal of and interest on the Offered Notes will be made to the person in whose name the relevant Offered Note is registered as the owner of such Note as of the Record Date (as defined herein). Payments on the Notes will be payable by wire transfer in immediately available funds to the registered holder thereof (or its nominee) to the extent practicable or otherwise by check to each registered holder at its address appearing in the applicable register. Final payments in respect of principal on the Offered Notes will be made only against surrender of the Offered Notes at the office of any paying agent other than the Irish Paying Agent. None of the Issuers, the CoIssuer, the Securities Intermediary, the Trustee, the Agents, the Portfolio Manager or the Swap Counterparty will have any responsibility or liability for any aspects of the records maintained by any Clearing System (as defined herein) or its nominee or any of its participants relating to, or for payments made thereby on account of beneficial interests in, a Global Note. The Issuers and the Co-Issuer expect that the applicable Clearing System or its nominee, upon receipt of any payment of principal or interest in respect of a Global Note will credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in such Global Notes as shown on the records of such Clearing System or its nominee. The Issuers and the Co-Issuer also expect that payments by participants to owners of beneficial interests in such Global Notes held through such participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. Such payments will be the responsibility of such participants. If any payment on an Offered Note is due on a day that is not a Business Day, then payment will not be made until the next succeeding Business Day without any interest or other sum in respect of such postponed payment.

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For so long as the Offered Notes of any Series are listed on the Irish Stock Exchange and the guidelines of such exchange so require, the relevant Issuer will have a paying agent (the "Irish Paying Agent") for such Offered Notes. In the event that the Irish Paying Agent is replaced at any time during such period, notice of the appointment of any replacement will be given to the Irish Stock Exchange as long as any Offered Notes are listed thereon. All payments of principal and interest in respect of the Offered Notes will 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 thereon unless such withholding or deduction is required by law. In that event, the relevant Issuer or Paying Agent, as the case may be, will make such payment after such withholding or deduction has been made and will account to the relevant authorities for the amount so required to be withheld or deducted. Subject to the provisions described above under "Description of the NotesEarly RedemptionRedemption for Taxation Reasons," neither the relevant Issuer nor the Paying Agent will be obliged to make any additional payments to Noteholders in respect of any such withholding or deduction. Priority of Payments Prior to the occurrence of an Event of Default under the relevant Indenture for a Series of Offered Notes, on each Payment Date and Cash Settlement Date (if such date is not a Payment Date) or any other date on which payment is due in respect of that Series of Offered Notes, if the relevant Issuer has insufficient funds from the related Collateral to fulfill its obligations to the Swap Counterparty and the Noteholders in respect of that Series, the relevant Issuer is required to pay the amounts due the Swap Counterparty in full under the Credit Default Swap in respect of that Series (other than in the event of a Swap Counterparty Default) and thereafter paying any amounts due under the Notes of that Series and thereafter in the event of a Swap Counterparty Default paying any remaining amounts due to the Swap Counterparty in full under the Credit Default Swap in respect of that Series. After the occurrence and during the continuation of an Event of Default under the relevant Indenture in respect of a Series of Offered Notes, the Trustee shall, in respect of such Series, apply all moneys received by it in accordance with the provisions of such Indenture in connection with the realization or enforcement of the security constituted thereby in the following order of priority: i. in payment or satisfaction of the fees, costs, charges, expenses and liabilities incurred by the Trustee or any receiver in connection with the Indenture (including any taxes required to be paid, the costs of realizing any security and the Trustees remuneration); (other than in the event of a Swap Counterparty Default) in meeting the claims (if any) of the Swap Counterparty under the Master Agreement and the Credit Default Swap for such Series of Notes; ratably, to the payment of the claims (if any) of the holders of the Offered Notes of such Series (if the moneys received by the Trustee are not enough to pay such amounts in full, the Trustee shall apply them, pro rata, on the basis of the amount due to each party entitled to such payment); (in the event of a Swap Counterparty Default) to the payment of the claims (if any) of the Swap Counterparty under the Master Agreement and the Credit Default Swap for such Series of Offered Notes; to the payment of the claims (if any) of the Portfolio Manager under the Portfolio Management Agreement in respect of such Series of Offered Notes to the extent not previously satisfied on behalf of the relevant Issuer; and in payment of the balance (if any) to the relevant Issuer.

ii.

iii.

iv.

v.

vi.

Upon payment in full of the last outstanding Offered Note of the applicable Series, the relevant Issuer (or the Disposal Agent on behalf of such Issuer) will liquidate any remaining Collateral in the Collateral Account. The net proceeds of such liquidation and all available cash (other than the U.S.$250 of capital contributed by the owners of the Ordinary Shares in accordance with the Company's Memorandum and Articles of Association and U.S.$250 representing a transaction fee to the Company)

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will be distributed to the Swap Counterparty, and all of such Series of Offered Notes will be canceled. The Indentures The following summary describes certain provisions of the Indentures. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indentures. Events of Default and Acceleration. An "Event of Default" with respect to any Series of the Offered Notes under the Indenture includes: i. if default is made for a period of 14 days or more in the payment of any sum due or delivery in respect of such Series of Offered Notes or any of them (provided that if an analogous event occurs in relation to the Collateral for such Series of Offered Notes, such period shall be the longer of 14 days and the grace period applicable to such Collateral); or if the relevant Issuer fails to perform or observe any of its other obligations under such Series of Offered Notes or the related Indenture and such failure continues for a period of 30 days (or such longer period as the Trustee may permit) following the service by the Trustee on such Issuer of notice requiring the same to be remedied unless, in the opinion of the Trustee, such failure is incapable of remedy, in which case no notice shall be required; or if any order shall be made by any competent court or any resolution passed for the winding up or dissolution of the relevant Issuer or the appointment of an examiner, liquidator or similar official in relation to such Issuer, other than for the purposes of amalgamation, merger, consolidation, reorganization or other similar arrangement on terms previously approved by the Trustee or by an Extraordinary Resolution; or if the relevant Issuer or the Collateral for such Series of Offered Notes becomes an investment company required to be registered under the Investment Company Act.

ii.

iii.

iv.

If an Event of Default should occur and be continuing with respect to a Series of Offered Notes, the Trustee may and will at the direction of the Holders of at least a Majority (as defined herein) of such Series of Offered Notes declare the principal of and accrued and unpaid interest on such Series of Offered Notes, to be immediately due and payable (except that in the case of an Event of Default described in clause (iii) above, such an acceleration will occur automatically and shall not require any action by the Trustee or any Noteholder). Upon any such acceleration of a Series of Offered Notes, such Series of Offered Notes will immediately become due and payable at the Early Redemption Amount for such Series of the Offered Notes. The Series of Offered Notes are not cross-defaulted with each other. Accordingly, the occurrence of an Event of Default with respect to one or more Series of Offered Notes will not necessarily trigger an Event of Default with respect to any other Series of Offered Notes. Liquidation of Collateral If an Event of Default has occurred with respect to a Series of Offered Notes, the Holders of a Majority of such Series of Offered Notes will have the right to direct the Trustee in writing in the conduct of any proceedings or in the sale of any or all of the Collateral for such Series of Notes, but only if (i) such direction will not conflict with any rule of law or the related Indenture (including the limitations described in the paragraph above), (ii) except in the case of a Swap Counterparty Default, such direction from the Holders of a Majority of such Series of Offered Notes will not conflict with the directions of the Swap Counterparty provided to the Trustee, (iii) the Trustee determines that such action will not involve it in liability (unless the Trustee has received an indemnity which is reasonably acceptable to the Trustee

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against any such liability) and (iv) any direction to the Trustee to undertake a sale of the Collateral shall be by at least 66-2/3% of the Outstanding Principal Amount of such Series of Offered Notes. In the event that Collateral is to be liquidated, the Trustee or the Disposal Agent will use its reasonable efforts to solicit offers to purchase the Collateral in accordance with the terms of the relevant Indenture. The Disposal Agent may itself make an offer to purchase the Collateral. Subject to the provisions of the relevant Indenture relating to the duties of the Trustee, in case an Event of Default with respect to a Series of Offered Notes occurs and is continuing, the Trustee is under no obligation to exercise any of the rights or powers under the Indentures at the request of any Holders of such Series of Offered Notes, unless such Holders have offered to the Trustee reasonable security or an indemnity which is reasonably acceptable to the Trustee. The Holders of a Majority of such Series of Offered Notes may waive any default with respect to such Series of Offered Notes with (except in the case of a Swap Counterparty Default) the consent of the Swap Counterparty, except (a) a default in the payment of principal or interest on any Offered Note; (b) certain events of bankruptcy or insolvency with respect to the relevant Issuer; or (c) a default in respect of a provision of the Indentures that cannot be modified or amended without the waiver or consent of the Holder of each Offered Note of the relevant Series adversely affected thereby. Furthermore, any declaration of acceleration of maturity of a Series of Offered Notes may be revoked and annulled by the Holders of a Majority of such Series of Offered Notes (with the consent of the Swap Counterparty, except in the case of a Swap Counterparty Default) before a judgment or decree for the payment of money has been obtained by the Trustee or the relevant Collateral has been sold or foreclosed in whole or in part, by notice to the relevant Issuer, the Trustee and the Swap Counterparty, if (a) the relevant Issuer has paid or deposited with the Trustee a sum sufficient to pay, in accordance with the Priority of Payments, the principal and accrued interest (including all interest thereon) or other unpaid amounts with respect to the outstanding Offered Notes of such Series and any other administrative expenses, fees or other amounts that, under the Transaction Documents and pursuant to the Priority of Payments, are payable prior to the payment of the principal of and interest on the outstanding Offered Notes of such Series, and (b) the Trustee has determined that all Events of Default, other than the nonpayment of the interest on or principal of the outstanding Offered Notes of such Series that have become due solely by such acceleration, have been cured and the Holders of a Majority of such Series of Offered Notes by notice to the Trustee have agreed with such determination (which agreement shall not be unreasonably withheld) or waived such Event of Default in accordance with the provisions set forth in the related Indenture. Only the Trustee may pursue the remedies available under the Indenture and the Offered Notes of any Series and no Holder of an Offered Note will have the right to institute any proceeding with respect to such Indenture, its Offered Note, or otherwise unless (i) such Holder previously has given to the Trustee written notice of a continuing Event of Default with respect to the relevant Series of Offered Notes; (ii) except in the case of a default in the payment of principal or interest, the Holders of at least 25%, by aggregate outstanding principal amount, of such Series of Offered Notes have made a written request upon the Trustee to institute such proceedings in its own name as Trustee and such Holders have offered the Trustee an indemnity which is reasonably acceptable to the Trustee; (iii) the Trustee has for 30 days failed to institute any such proceeding; and (iv) no direction inconsistent with such written request has been given to the Trustee during such 30-day period by the Holders of a Majority of such Series of Offered Notes or, except in the case of a Swap Counterparty Default, the Swap Counterparty. In determining whether the Holders of the requisite percentage of a Series of Offered Notes have given any direction, notice or consent, Offered Notes owned by the relevant Issuer or any affiliate thereof shall be disregarded and deemed not to be outstanding. Shortfall After Application of Proceeds. If the net proceeds of realization of the Collateral for a Series of Offered Notes are not sufficient for the relevant Issuer to make all payments due in respect of such Notes and obligations due to the relevant Secured Parties, the other assets of such Issuer (whether or not in respect of other Series of Notes) will not be available for payment of any such shortfall. Such shortfall will be borne by the relevant Issuer and the Secured Parties in reverse order of the Priority of

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Payments as described above under "Priority of Payments". The relevant Issuer will not be obliged to make any further payment in excess of the net proceeds of realization of the Collateral and accordingly no debt will be owed by such Issuer in respect of any such shortfall remaining after realization of such Collateral and application of the net proceeds in accordance with the relevant Indenture. None of the Trustee, the Agents, the Swap Counterparty, the Portfolio Manager, any Noteholder or any other Secured Party may take any further action against the relevant Issuer to recover such shortfall. Notices. Notices to the Holders of the Offered Notes will be given by first-class mail, postage prepaid, to each Noteholder at the address appearing in the applicable note register. In addition, for so long as any of the Offered Notes are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notices to the Holders of such Offered Notes shall also be filed by the Irish Paying Agent with the Companies Announcement Office of the Irish Stock Exchange. Modification of the Indenture. Except as provided below, with the consent of the Holders of at least a Majority, by Outstanding Principal Amount, of the applicable Series of Offered Notes affected thereby, voting together as a single class, the Trustee, the relevant Issuer and the Co-Issuer may execute a supplemental Indenture to add provisions to, or change in any manner or eliminate any provisions of, the Indenture or modify in any manner the rights of the Holders of such Series of Offered Notes; provided that, in the case of any Series of Notes rated by S&P, the Rating Agency Condition with respect to S&P would be satisfied after such addition, change or elimination. The Trustee may, consistent with the written advice of legal counsel, at the expense of the relevant Issuer, determine whether or not the Holders of any Series of Offered Notes would be materially and adversely affected by such change. Such determination shall be conclusive and binding on all present and future Holders. Without the consent of the Holders of each adversely affected Offered Note and the Swap Counterparty, and unless the Rating Agency Condition is satisfied with respect to S&P (in the case of any Series of Notes rated by S&P), no supplemental indenture may be entered into which would (i) change the Scheduled Maturity Date or the Final Maturity Date of any Offered Note or the due date of any installment of interest on an Offered Note; reduce the principal amount thereof or the rate of interest thereon, or the applicable redemption price with respect thereto; change the earliest date on which an Offered Note may be redeemed; change the provisions of the related Indenture relating to the application of proceeds of any Collateral to the payment of principal of or interest on Offered Notes or change any place where, or the coin or currency in which, Offered Notes or the principal thereof or interest thereon are payable; or impair the right to institute suit for the enforcement of any such payment on or after the maturity thereof (or, in the case of redemption, on or after the applicable redemption date); (ii) reduce the percentage in aggregate principal amount of Holders of the Offered Notes of each Series whose consent is required for the authorization of any supplemental indenture or for any waiver of compliance with certain provisions of the related Indenture or certain defaults thereunder or their consequences; (iii) impair or adversely affect the related Collateral except as otherwise permitted by the related Indenture; (iv) permit the creation of any security interest ranking prior to or on a parity with the security interest created by related Indenture with respect to any part of the related Collateral or terminate such security interest on any property at any time subject thereto or deprive the Holder of any Offered Note, the Trustee or any other Secured Party of the security afforded by the related Indenture; (v) reduce the percentage of Holders of the Offered Notes whose consent is required to request the Trustee to rescind the Trustee's election to sell or liquidate the Collateral for a Series of Offered Notes pursuant to the related Indenture; (vi) modify any of the provisions of the related Indenture with respect to supplemental indentures, except to increase the percentage of outstanding Offered Notes whose Holders' consent is required for any such action or to provide that other provisions of the related Indenture cannot be modified or waived without the consent of the Holder of each outstanding Offered Note adversely affected thereby; (vii) modify the definition of the term "Outstanding" or the Priority of Payments set forth in the related Indenture; (viii) modify any of the provisions of the related Indenture in such a manner as to affect the calculation of the amount of any payment of interest or discount on or principal of any Offered Note on any Payment Date or to affect the right of the Holders of the Offered Notes or the Trustee to the benefit of any provisions for the redemption of such Offered Notes contained therein; (ix) amend any provision of the related Indenture or any other agreement entered into by the relevant Issuer with respect to the transactions contemplated by the related Indenture relating to the institution of proceedings for the

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relevant Issuer to be adjudicated as bankrupt or insolvent, or the consent of the relevant Issuer to the institution of bankruptcy or insolvency proceedings against it, or the filing with respect to the relevant Issuer of a petition or answer or consent seeking reorganization, arrangement, moratorium or liquidation proceedings, or other proceedings under the United States Bankruptcy Code or any similar laws, or the consent of the relevant Issuer to the filing of any such petition or the appointment of a receiver, liquidator, assignee, trustee or sequestrator (or other similar official) of the relevant Issuer or any substantial part of its property; (x) amend any provision of the related Indenture or any other agreement entered into by the relevant Issuer with respect to the transactions contemplated thereby that provides that the obligations of such Issuer are limited recourse obligations payable solely from the Collateral in accordance with the terms of the related Indenture; (xi) at the time of execution of such supplemental indenture, cause the relevant Issuer, the Swap Counterparty, the Portfolio Manager or any Paying Agents to become subject to withholding or other taxes, fees or assessments or cause the relevant Issuer to be 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; or (xii) at the time of execution of such supplemental indenture, result in a deemed sale or exchange of any of the Offered Notes under Section 1001 of the Code. Except as provided above, the Trustee, the relevant Issuer and the Co-Issuer may also enter into one or more supplemental indentures, without obtaining the consent of Holders of the Offered Notes of any Series but with satisfaction of the Rating Agency Condition with respect to S&P (in the case of any Series of Notes rated by S&P), (i) if such supplemental indentures would have no material adverse effect on any of the Holders of such Series of Offered Notes (as evidenced by an officer's certificate delivered by the relevant Issuer, or the Portfolio Manager on behalf of the relevant Issuer, to the Trustee) or (ii) for any of the following purposes: (a) to evidence the succession of any person to such Issuer or the CoIssuer and the assumption by any such successor of the covenants of such Issuer or the Co-Issuer in the Offered Notes and the related Indenture; (b) to add to the covenants of such Issuer, the Co-Issuer or the Trustee for the benefit of the Holders of the Offered Notes or to surrender any right or power conferred upon such Issuer or the Co-Issuer; (c) to convey, transfer, assign, mortgage or pledge any property to the Trustee; (d) to evidence and provide for the acceptance of appointment by a successor trustee and to add to or change any of the provisions of the related Indenture as shall be necessary to facilitate the administration of the trusts under the related Indenture by more than one Trustee; (e) to correct or amplify the description of any property at any time subject to the security interest created by the related Indenture, or to better assure, convey, and confirm unto the Trustee any property subject or required to be subject to the security interest created by the related Indenture (including, without limitation, any and all actions necessary or desirable as a result of changes in law or regulations) or subject to the security interest created by the related Indenture any additional property; (f) to otherwise correct any inconsistency or cure any ambiguity; (g) to take any action necessary or advisable to prevent the relevant Issuer, the Trustee or any Paying Agent from becoming subject to withholding or other taxes, fees or assessments or to prevent such Issuer from being treated as engaged in a United States trade or business or otherwise being subject to United States federal, state or local income tax on a net income basis; (h) to conform the related Indenture to the descriptions thereof in the final Offering Circular; (i) to comply with any reasonable requests made by any stock exchange in order to list or maintain the listing of any Offered Notes on such stock exchange; (j) to add to the conditions, limitations or restrictions on the authorized amount, terms and purposes of the issue, authentication and delivery of the Offered Notes or to provide for the terms and conditions of Additional Notes of the same Series to be issued after the initial Closing Date; or (k) to enter into any additional agreements not expressly prohibited by any of the related Indenture or the other Transaction Documents, as well as any amendment, modification or waiver if the relevant Issuer determines that entering into such an agreement or such amendment, modification or waiver thereof would not, upon or after becoming effective, materially and adversely affect the rights or interests of Holders of any Series of Offered Notes. The Trustee may, consistent with the written advice of counsel or an officer's certificate, at the expense of the relevant Issuer, determine whether or not the Holders of Offered Notes, the Portfolio Manager or the Swap Counterparty would be adversely affected or materially adversely affected by such change (after giving notice of such change to the Holders of Offered Notes, the Portfolio Manager or the Swap Counterparty, it being understood that after the giving of such a notice, only those Series and parties that affirmatively respond on or before the return date indicated in such notice that they would be adversely affected or materially adversely affected, as applicable, by such change will be deemed to be adversely affected or materially adversely affected, as applicable, by such

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change and all Series and parties that fail to respond to any such notice on or before the return date indicated in such notice shall be deemed to be not adversely affected or materially adversely affected by such change and the Trustee and any opinion of counsel may rely on the results of any such notice) and may require the delivery of an opinion of counsel or an officer's certificate delivered by the relevant Issuer to the Trustee, reasonably satisfactory to it, at the expense of such Issuer, that such amendment or modification is permitted under the terms of the related Indenture. Such determination shall be conclusive and binding on all present and future Holders of Offered Notes, the Portfolio Manager and the Swap Counterparty. Notwithstanding anything to the contrary herein, the Issuers will not consent to enter into any supplemental indenture or any supplement or amendment to any to any other document related thereto unless and until the Portfolio Manager and the Swap Counterparty have received written notice of such proposed amendment or supplement and (i) if any such supplement or amendment could reasonably be expected to have a material adverse effect on the Swap Counterparty, the Swap Counterparty, has consented in writing thereto (which consent shall not be unreasonably withheld) and (ii) if such amendment affects the Portfolio Managers rights or duties, liabilities to third parties, fees or expenses payable to it or otherwise adversely affects the Portfolio Manager, the Portfolio Manager has expressly consented thereto in writing. Under the Indenture, the Trustee will, for so long as any of the Offered Notes of the related Series are outstanding and rated by the Rating Agency, deliver a copy of any proposed supplemental indenture (whether or not required to be approved by the Holders of any Offered Notes) to each applicable Rating Agency and the Swap Counterparty not later than 10 Business Days prior to the execution of such proposed supplemental indenture, and if the Outstanding Note of any Series are rated by S&P, no such supplemental indenture shall be entered into unless the Rating Agency Condition with respect to S&P is met; provided that the Trustee shall, with the consent of the Holders of 100% of the aggregate outstanding amount of such Series of Offered Notes and the Swap Counterparty, enter into any such supplemental indenture notwithstanding any potential reduction or withdrawal of the ratings of such Series of Offered Notes. The Trustee must provide notice of any amendment or modification of the related Indenture (whether or not required to be approved by the Holders of the related Series of Offered Notes) to the Holders of the related Series of Offered Notes, the Swap Counterparty and, for so long as any Offered Notes are listed on the Irish Stock Exchange, the Irish Paying Agent, promptly upon the execution of such supplemental indenture. In connection with any amendment, the Trustee may require the delivery of an opinion of counsel satisfactory to it, at the expense of the relevant Issuer, that such amendment is permitted under the terms of the applicable Indenture. Jurisdictions of Incorporation and Formation. Under the Indenture, the relevant Issuer will be required to maintain its rights and franchises as a company incorporated under the laws of the Cayman Islands, to comply with the provisions of its organizational documents and to obtain and preserve its qualification to do business as a foreign corporation in each jurisdiction in which such qualification is or shall be necessary to protect the validation and enforceability of such Indenture, the applicable Series of Offered Notes or any of the Collateral; provided, however, that such Issuer shall be entitled to change its jurisdiction of incorporation from the Cayman Islands to any other jurisdiction reasonably selected by such Issuer, and approved by its common shareholders, so long as (i) such Issuer does not believe such change is disadvantageous in any material respect to such entity or the Holders of any Series of Offered Notes or the Swap Counterparty; (ii) written notice of such change shall have been given by such Issuer to the Trustee, the Paying Agents, the Portfolio Manager, the Swap Counterparty, the Holders of the related Series of Offered Notes and each of the Rating Agencies at least thirty (30) Business Days prior to such change of jurisdiction; and (iii) on or prior to the 25th Business Day following such notice the Trustee shall not have received written notice from Holders of a Majority of such Series of Offered Notes, the Portfolio Manager or the Swap Counterparty or, so long as any such Offered Notes are listed thereon, any stock exchange, objecting to such change.

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Petitions for Bankruptcy. The Indenture will provide that neither (i) the Swap Counterparty, the Paying Agents, the Registrar or the Trustee, in its own capacity, or on behalf of any Noteholder of the related Series of Offered Notes, nor (ii) the Noteholders of the related Series of Offered Notes may, prior to the date which is one year and one day (or, if longer, the applicable preference period then in effect) after the payment in full of all Notes of such Series, institute against, or join any other person in instituting against, the related Issuer and the Co-Issuer any bankruptcy, reorganization, arrangement, moratorium, liquidation or similar proceedings under the laws of any jurisdiction. Satisfaction and Discharge of the Indentures. The Indenture will be discharged with respect to the related Collateral securing the related Series of Offered Notes upon delivery to the Paying Agent for cancellation all of the Offered Notes of such Series, or, within certain limitations (including the obligation to pay principal and interest), upon deposit with the Trustee of funds sufficient for the payment or redemption thereof and the payment by the relevant Issuer of all other amounts due under such Indenture. Trustee and Agents. The Bank of New York ("BNY") will initially serve as Trustee under the Indenture in respect of the Offered Notes. The Trustee maintains its designated corporate trust offices at 101 Barclay Street, Floor 4 East, New York, New York 10286. The corporate trust business, including municipal, corporate and structured finance trusteeships of BNY have been recently acquired by BNY from JPMorgan Chase & Co., in exchange for select portions of BNY's consumer, small-business and middle-market banking businesses. The payment of the fees and expenses of the Trustee relating to each Series of Offered Notes is solely the obligation of the Swap Counterparty or an affiliate thereof. The Trustee and/or its affiliates may receive compensation in connection with the Trustee's investment of trust assets in certain Eligible Investments as provided in the related Indenture. The Indenture contain provisions for the indemnification of the Trustee for any loss, liability or expense incurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration of such Indenture. The Trustee will not be bound to take any action unless indemnified for such action. The Noteholders of each Series of Offered Notes will together have the power, exercisable by Extraordinary Resolution, to remove the Trustee as set forth in the related Indenture. The removal of the Trustee shall not become effective until the later of the effective date of the appointment of a successor trustee and the acceptance of appointment by a successor trustee. If the Trustee is removed without cause, costs and expenses of the Trustee incurred in connection with the transfer to the successor Trustee shall be paid by the successor Trustee or the relevant Issuer. BNY will also be the Paying Agent, the Registrar, the Note Calculation Agent and the Registrar under the Indenture in respect of the Offered Notes. The payment of the fees and expenses of the Paying Agent, the Registrar, the Note Calculation Agent and the Registrar relating to each Series of Offered Notes is solely the obligation of the Swap Counterparty or an affiliate thereof. The Issuers and their affiliates may maintain other banking relationships in the ordinary course of business with BNY. Irish Paying Agent. For so long as any of the Offered Notes are listed on the Irish Stock Exchange and the guidelines of such exchange shall so require, each Issuer will have a Listing Agent (the "Listing Agent") and a Paying Agent (which shall be the "Irish Paying Agent") for the relevant Series of Offered Notes. The Issuers and their affiliates may maintain other relationships in the ordinary course of business with the Irish Paying Agent. The payment of the fees and expenses of the Listing Agent and the Irish Paying Agent relating to each Series of Offered Notes is solely the obligation of the Swap Counterparty or an affiliate thereof. Consolidation, Merger or Transfer of Assets. Except under the limited circumstances set forth in the relevant Indenture, the Company will not be permitted to consolidate with or merge into, any other corporation, partnership, trust or other person or other entity and no Issuer will be permitted to transfer or convey all or substantially all of its assets to any other entity.

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Governing Law of the Offered Notes and Certain Transaction Documents The Offered Notes, each Indenture, each Credit Default Swap and the Portfolio Management Agreement will be governed by, and construed in accordance with, the laws of the State of New York applicable to agreements made and to be performed therein without regard to the conflict of laws principles thereof. Under each Indenture, each Credit Default Swap and the Portfolio Management Agreement, the Company, the relevant Issuer and the Co-Issuer have submitted irrevocably to the nonexclusive jurisdiction of the courts of the State of New York and the courts of the United States of America in the State of New York (in each case sitting in the County of New York) for the purposes of hearing and determining any suit, action or proceedings or settling any disputes arising out of or in connection with the Offered Notes or such Indenture, Credit Default Swap or Portfolio Management Agreement. Form of the Offered Notes The Offered Notes. Each Series of Offered Notes that are USD Notes sold in reliance on Rule 144A under the Securities Act will be represented by one or more Rule 144A Global Notes and will be deposited with BNY as custodian for DTC and registered in the name of Cede & Co., a nominee of DTC. The Offered Notes (other than the Series C-4 Notes) sold in offshore transactions in reliance on Regulation S will initially be represented by Temporary Regulation S Global Notes deposited on the applicable Closing Date with BNY as custodian for DTC and registered in the name of Cede & Co., a nominee of DTC, for the respective accounts of Euroclear and Clearstream. The Series C-4 Notes sold in offshore transactions in reliance on Regulation S will initially be represented by Temporary Regulation S Global Notes deposited on the applicable Closing Date with a common depository for the respective accounts of Euroclear and Clearstream. Beneficial interests in Temporary Regulation S Global Notes may be held only through Euroclear or Clearstream. Beneficial interests in each Temporary Regulation S Global Note will be exchanged for beneficial interests in a permanent Regulation S Global Note for the related Series of Offered Notes in definitive, fully registered form upon the later of (i) the expiration of the Distribution Compliance Period and (ii) the first date on which the requisite certifications (in the form provided in the related Indenture) are provided to the Trustee. The permanent Regulation S Global Notes will be registered in the name of Cede & Co., a nominee of DTC, and deposited with BNY as custodian for DTC, or will be deposited with a common depository for Euroclear and Clearstream, in each case, for credit to the accounts of Euroclear and Clearstream for the respective accounts of the Holders of such Offered Notes. Beneficial interests in permanent Regulation S Global Notes may be held only through Euroclear or Clearstream. Each of the Offered Notes that are sold to Accredited Investors will be issued in definitive fullyregistered form, registered in the name of the owner thereof (Definitive Notes). The Notes will be subject to certain restrictions on transfer as set forth under Notice to Investors. A beneficial interest in a Regulation S Global Note or a Temporary Regulation S Global Note (other than the Series C-4 Notes) may be transferred, whether before or after the expiration of the Distribution Compliance Period, to a U.S. Person only (i) in the case of Offered Notes that are to be transferred to Qualified Institutional Buyers, in the form of a beneficial interest in a Rule 144A Global Note, and (ii) in the case of Offered Notes that are to be transferred to Accredited Investors, in the form of a Definitive Note and upon receipt by the relevant Issuer and the Trustee of a duly completed Purchase and Transfer Letter. In addition, any such transfers of a beneficial interest in a Regulation S Global Note or Temporary Regulation S Global Note may occur only in denominations greater than or equal to the minimum denominations applicable to the relevant Rule 144A Global Notes or Accredited Investor Notes. The Series C-4 Notes may not be transferred to U.S. Persons. Any beneficial interest in one of the Global Notes that is transferred to the person who takes delivery in the form of an interest in another Global Note will, upon transfer, cease to be an interest in such Global Note and become an interest in the other Global Note and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to beneficial interests in such other Global Note for as long as it remains such interest.

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Except in the limited circumstances described herein, owners of beneficial interests in any Global Note will not be entitled to receive a Definitive Note. The Offered Notes are not issuable in bearer form. The Offered Notes offered and sold in reliance on Rule 144A will be issued in minimum denominations of USD1,000,000 and integral multiples of USD100,000 in excess thereof. The Offered Notes offered and sold to Accredited Investors will be issued in minimum denominations of USD250,000 and integral multiples of USD1,000 in excess thereof. The Offered Notes (other than the Series C-4 Notes) offered and sold in reliance on Regulation S will be issued in minimum denominations of USD 1,000,000 and integral multiples of USD 100,000 in excess thereof. The Series C-4 Notes will be issued in minimum denominations of JPY1,000,000,000 and integral multiples of JPY100,000,000 in excess thereof. Global Notes. Upon the issuance of the Global Notes, DTC, Euroclear or Clearstream, as applicable (each, a "Clearing System"), or its custodian, will credit, on its internal system, the respective aggregate original principal amount of the individual beneficial interests represented by such Global Notes to the accounts of persons who have accounts with such Clearing System. Such accounts initially will be designated by or on behalf of the Initial Purchasers. Ownership of beneficial interests in Global Notes will be limited to persons who have accounts with the applicable Clearing System ("participants") or persons who hold interests through participants. Ownership of beneficial interests in a Global Note will be shown on, and the transfer of that ownership will be effected only through, records maintained by the applicable Clearing System or its nominee (with respect to interests of participants) and the records of participants (with respect to interests of persons other than participants). So long as the applicable Clearing System, or its nominee, is the registered owner or Holder of the Global Notes, such Clearing System or such nominee, as the case may be, will be considered the sole owner or Holder of each Series of the Offered Notes represented by such Global Notes for all purposes under the related Indenture and such Offered Notes. Unless the applicable Clearing System notifies the relevant Issuer that it is unwilling or unable to continue as depositary for a global note or ceases to be a "Clearing Agency" registered under the Exchange Act, owners of the beneficial interests in the Global Notes will not be entitled to have any portion of such Global Notes registered in their names, will not receive or be entitled to receive physical delivery of Offered Notes in certificated form and will not be considered to be the owners or Holders of any Offered Notes under the related Indenture. In addition, no beneficial owner of an interest in the Global Notes will be able to transfer that interest except in accordance with the applicable Clearing System's applicable procedures (in addition to those under the Indenture referred to herein). Investors may hold their interests in a Regulation S Global Note or a Temporary Regulation S Global Note directly through Clearstream or Euroclear, if they are participants in these systems, or indirectly through organizations which are participants in these systems. Clearstream and Euroclear will hold interests in the Regulation S Global Notes on behalf of their participants through their respective depositaries. Investors may hold their interests in a Rule 144A Global Note directly through DTC if they are participants in the system, or indirectly through organizations which are participants in the system. Payments of the principal of and interest on the Global Notes will be made to the applicable Clearing System or its nominee, as the registered owner thereof. None of the Issuers, Co-Issuer, the Trustee nor any Agent will have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in the Global Notes or for any notice permitted or required to be given to Holders of Offered Notes or any consent given or actions taken by the applicable Clearing System as Holder of Offered Notes. The Issuers expect that the applicable Clearing System or its nominee, upon receipt of any payment of principal or interest in respect of a Global Note representing any Offered Notes held by it or its nominee, will immediately credit participants' accounts with payments in amounts proportionate to their respective interests in the principal amount of such Global Notes as shown on the records of such Clearing System or its nominee. The Issuers also expect that payments by participants to owners of interests in such Global Notes held through such participants

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will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. Such payments will be the responsibility of such participants. Transfers between participants will be effected in the ordinary way in accordance with the rules of the applicable Clearing System and will be settled in same-day funds. The laws of some jurisdictions require that certain persons take physical delivery of securities in definitive form. Consequently, the ability to transfer beneficial interests in Global Notes to these persons may be limited. Because the applicable Clearing System can only act on behalf of participants, who in turn act on behalf of indirect participants and certain banks, the ability of a person having a beneficial interest in Global Notes to pledge its interest to persons or entities that do not participate in the applicable Clearing System, or otherwise take actions in respect of its interest, may be affected by the lack of a physical certificate of the interest. Transfers between account holders in Euroclear and Clearstream will be effected in the ordinary way in accordance with their respective rules and operating procedures. Subject to compliance with the transfer restrictions applicable to the Offered Notes described above, cross-market transfers between DTC participants, on the one hand, and, directly or indirectly through Euroclear or Clearstream account holders, on the other, will be effected in DTC in accordance with DTC rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depositary; however, these cross-market transactions will require delivery of instructions to Euroclear or Clearstream, as the case may be, by the counterparty in the system in accordance with its rules and procedures and within its established deadlines (Brussels time). Euroclear or Clearstream, as the case may be, will, if the transaction meets its settlement requirements, deliver instructions to its respective depositary to take action to effect final settlement on its behalf by delivering or receiving interests in a Temporary Regulation S Global Note or a Regulation S Global Note in DTC, and making or receiving payment in accordance with normal procedures for a same-day funds settlement applicable to DTC. Clearstream and Euroclear account holders may not deliver instructions directly to the depositaries for Clearstream or Euroclear. Because of time zone differences, the securities account of a Euroclear or Clearstream participant purchasing an interest in a Global Note from a DTC participant will be credited during the securities settlement processing day (which must be a Business Day for Euroclear or Clearstream, as the case may be) immediately following the DTC settlement date and the credit of any transactions in interests in a Global Note settled during the processing day will be reported to the relevant Euroclear or Clearstream participant on that day. Cash received in Euroclear or Clearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream participant to a DTC participant will be received with value on the DTC settlement date but will be available in the relevant Euroclear or Clearstream cash account only as of the Business Day following settlement in DTC. The Clearing Systems have advised the Issuers that they will take any action permitted to be taken by a Holder of the Offered Notes (including the presentation of the applicable Offered Notes for exchange as described below) only at the direction of one or more participants to whose account interests in a Global Offered Note are credited and only in respect of that portion of the aggregate principal amount of the Offered Notes as to which the participant or participants has or have given direction. The giving of notices and other communications by the applicable Clearing Systems to participants, by participants to persons who hold accounts with them and by such persons to Holders of beneficial interests in a Global Note will be governed by arrangements between them, subject to any statutory or regulatory requirements as may exist from time to time. DTC has advised the Issuers as follows: DTC is a limited purpose trust company organized under the laws of the State of New York, a member of the Federal Reserve System, a "clearing corporation" within the meaning of the Uniform Commercial Code and a "Clearing Agency" registered pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold securities for its participants and facilitate the clearance and settlement of securities transactions between participants through electronic book-entry changes in accounts of its participants, thereby eliminating the need for physical movement of certificates. Participants include securities brokers and dealers, banks, trust

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companies and clearing corporations and may include certain other organizations. Indirect access to the DTC system is available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a participant, either directly or indirectly ("indirect participants"). Clearstream. Clearstream Banking, socit anonyme, was incorporated as a limited liability company under Luxembourg law. Clearstream is owned by Cedel International, socit anonyme, and Deutsche Brse AG. The shareholders of these two entities are banks, securities dealers and financial institutions. Clearstream holds securities for its customers and facilitates the clearance and settlement of securities transactions between Clearstream customers through electronic book-entry changes in accounts of Clearstream customers, thus eliminating the need for physical movement of certificates. Clearstream provides to its customers, among other things, services for safekeeping, administration, clearance and settlement of internationally traded securities, securities lending and borrowing and Portfolio Management. Clearstream interfaces with domestic markets in a number of countries. Clearstream has established an electronic bridge with Euroclear Bank S.A./N.V., the operator of the Euroclear System, to facilitate settlement of trades between Clearstream and Euroclear. As a registered bank in Luxembourg, Clearstream is subject to regulation by the Luxembourg Commission for the Supervision of the Financial Sector. Clearstream customers are recognized financial institutions around the world, including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations. In the United States, Clearstream customers are limited to securities brokers and dealers and banks and may include the Initial Purchasers. Other institutions that maintain a custodial relationship with a Clearstream customer may obtain indirect access to Clearstream. Clearstream is an indirect participant in DTC. Distributions with respect to the Offered Notes held beneficially through Clearstream will be credited to cash accounts of Clearstream customers in accordance with its rules and procedures, to the extent received by Clearstream. The Euroclear System. The Euroclear System was created in 1968 to hold securities for participants of the Euroclear System and to clear and settle transactions between Euroclear participants through simultaneous electronic book-entry delivery against payment, thus eliminating the need for physical movement of certificates and risk from lack of simultaneous transfers of securities and cash. Transactions may now be settled in many currencies, including U.S. Dollars and Japanese Yen. The Euroclear System provides various other services, including securities lending and borrowing and interfaces with domestic markets in several countries generally similar to the arrangements for crossmarket transfers with DTC described above. The Euroclear System is operated by Euroclear Bank S.A./N.V. (the "Euroclear Operator"), under contract with Euroclear Clearance System plc, a U.K. corporation (the "Euroclear Clearance System"). The Euroclear Operator conducts all operations, and all Euroclear securities clearance accounts and Euroclear cash accounts are accounts with the Euroclear Operator, not the Euroclear Clearance System. The Euroclear Clearance System establishes policy for the Euroclear System on behalf of Euroclear participating organizations. Euroclear participants include banks (including central banks), securities brokers and dealers and other professional financial intermediaries and may include the Initial Purchasers. Indirect access to the Euroclear System is also available to other firms that clear through or maintain a custodial relationship with a Euroclear participant, either directly or indirectly. Euroclear is an indirect participant in DTC. The Euroclear Operator is a Belgian bank. The Belgian Banking Commission regulates and examines the Euroclear Operator. The Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System and applicable Belgian law govern securities clearance accounts and cash accounts with the Euroclear Operator. Specifically, these terms and conditions govern: (a) transfers of securities and cash within the Euroclear System;

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(b) (c)

withdrawal of securities and cash from the Euroclear System; and receipts of payments with respect to securities in the Euroclear System.

All securities in the Euroclear System are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts. The Euroclear Operator acts under the terms and conditions only on behalf of Euroclear participants and has no record of or relationship with persons holding securities through Euroclear participants. Distributions with respect to Offered Notes held beneficially through Euroclear will be credited to the cash accounts of Euroclear participating organizations in accordance with the Euroclear Terms and Conditions, to the extent received by the Euroclear Operator and by Euroclear. Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of interests in the Regulation S Global Notes and in the Rule 144A Global Notes among participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform these procedures, and the procedures may be discontinued at any time. None of the Issuers, the Co-Issuer nor the Trustee will have any responsibility for the performance by DTC, Clearstream, Euroclear or their respective participants or indirect participants of their respective obligations under the rules and procedures governing their operations. Payments; Certifications by Holders of Temporary Regulation S Global Notes. A Holder of a beneficial interest in a Temporary Regulation S Global Note must provide Clearstream or Euroclear, as the case may be, with a certificate in the form required by the relevant Indenture certifying that the beneficial owner of the interest in such Global Note is not a U.S. Person (as defined in Regulation S), and Clearstream or Euroclear, as the case may be, must provide to the Trustee a certificate in the form required by the Indenture prior to (i) the payment of interest or principal with respect to such Holder's beneficial interest in the Temporary Regulation S Global Note and (ii) any exchange of such beneficial interest for a beneficial interest in a Regulation S Global Note. Individual Definitive Notes. The Offered Notes that are sold to Qualified Institutional Buyers in reliance on Rule 144A under the Securities Act and the Offered Notes that are sold to non-U.S. Persons in reliance on Regulation S will be initially issued in global form. Global Notes are exchangeable for Definitive Notes, if and only if DTC, Euroclear or Clearstream (or any alternative clearing system on behalf of which the related Global Notes may be held) is closed for business for a continuous period of 14 days or more (other than by reason of legal holidays) or announces an intention permanently to cease business or does in fact do so. Upon receipt of such notice from the applicable Clearing System, the relevant Issuer will use its best efforts to make arrangements with such Clearing System for the exchange of interests in the Global Notes for individual Definitive Notes and cause the requested individual Definitive Notes to be executed and delivered in sufficient quantities and authenticated by or on behalf of the Trustee for delivery to Holders of the Offered Notes. Persons exchanging interests in a Global Note for individual Definitive Notes will be required to provide to the Trustee, through DTC, Clearstream or Euroclear, (i) written instructions and other information required by the relevant Issuer and the Trustee to complete, execute and deliver such individual Definitive Notes, (ii) in the case of an exchange of an interest in a Rule 144A Global Note, such certification as to Qualified Institutional Buyer status and that such Holder is a Qualified Purchaser, as the relevant Issuer shall require and (iii) in the case of an exchange of an interest in a Regulation S Global Note, such certification as the relevant Issuer shall require as to non-U.S. Person status. In all cases, individual Definitive Notes delivered in exchange for any Global Note or beneficial interests therein will be registered in the names, and issued in denominations in compliance with the minimum denominations specified for the applicable Global Notes, requested by the applicable Clearing System. The Offered Notes that are sold to Accredited Investors will be issued as Definitive Notes. Individual Definitive Notes will bear, and be subject to, such legend as the relevant Issuer requires in order to assure compliance with any applicable law. Individual Definitive Notes will be transferable subject to the minimum denomination applicable to such Notes, in whole or in part, and exchangeable for individual Definitive Notes of the same Series at the office of the Paying Agent or the

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Registrar, upon compliance with the requirements set forth in the Indenture including, without limitation, delivery of the applicable Purchase and Transfer Letter to the relevant Issuer and the Registrar. Upon transfer of any individual Definitive Note in part, the Registrar will issue in exchange therefor to the transferee one or more individual Definitive Notes in the amount being so transferred and will issue to the transferor one or more individual Definitive Notes in the remaining amount not being transferred. No service charge will be imposed for any registration of transfer or exchange, but payment of a sum sufficient to cover any tax or other governmental charge may be required. The Holder of a restricted individual Definitive Note may transfer such Offered Note, subject to compliance with the provisions of the legend thereon. Upon the transfer, exchange or replacement of Offered Notes bearing the legend, or upon specific request for removal of the legend on an Offered Note, the relevant Issuer will deliver only Offered Notes that bear such legend, or will refuse to remove such legend, as the case may be, unless there is delivered to the relevant Issuer such satisfactory evidence, which may include an opinion of counsel, as may reasonably be required by such Issuer that neither the legend nor the restrictions on transfer set forth therein are required to ensure compliance with the provisions of the Securities Act and the Investment Company Act. Payments of principal and interest on individual Definitive Notes shall be payable by the Paying Agents on any Payment Date by wire transfer in immediately available funds to the person in whose name the relevant Note is registered as of the close of business 10 Business Days prior to such Payment Date. USE OF PROCEEDS The net proceeds associated with the offering of the Offered Notes (other than the Series C-4 Notes) are expected to equal approximately USD 100,000,000 and the net proceeds associated with the offering of the Series C-4 Notes are expected to equal approximately JPY 3,000,000,000. The net proceeds of each Series of Offered Notes will be used by the relevant Issuer to purchase on the applicable Closing Date the initial Collateral Securities and/or other Collateral with respect to such Series of Offered Notes having an aggregate principal balance of approximately USD 45,000,000 in the case of the Series B-1 Notes, USD 15,000,000 in the case of the Series C-1 Notes, USD 35,000,000 in the case of the Series C-2 Notes, USD 5,000,000 in the case of the Series C-3 Notes and JPY 3,000,000,000 in the case of the Series C-4 Notes. RATINGS OF THE OFFERED NOTES It is expected that the Series B-1 Notes will be issued with a rating of at least "AA" by S&P; that the Series C-1 Notes will be issued with a rating of at least "A" by S&P; that the Series C-2 Notes will be issued with a rating of at least "A2" by Moody's; that the Series C-3 Notes will be issued with a rating of at least "A2" by Moody's; and that the Series C-4 Notes will be issued with a rating of at least "A" by S&P. A rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time. The ratings of the Offered Notes by S&P address solely the likelihood of timely payment of the interest on the Offered Notes and the ultimate payment of the principal amount of the Offered Notes. The ratings are directly linked to the average credit quality of the Reference Entities and will change with changes to the credit quality of the Reference Entities or with changes to the Reference Entities. Any future ratings assigned to the Offered Notes following the removal of a Reference Entity will address the ultimate receipt of interest and principal on the then remaining principal amount of the Offered Notes. A rating is not a recommendation to purchase, hold or sell securities, in as much as such rating does not comment as to market price or suitability for a particular investor and may be subject to revision or withdrawal at any time by the assigning rating organization. SECURITY FOR THE OFFERED NOTES Under the terms of each Indenture, the relevant Issuer and the Co-Issuer will grant to the related Trustee, for the benefit of such Series of Offered Notes and the Secured Parties in respect of such Series, a first priority perfected security interest in the relevant Collateral for such Series of Offered Notes, including the relevant Collateral Securities or other Collateral and the relevant Issuer's rights under the relevant Credit Default Swap, that is free of any adverse claim, to secure such Issuer's obligations under

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such Series of Offered Notes and such Indenture, the related Credit Default Swap and the Portfolio Management Agreement as it relates to such Series of Offered Notes. Collateral Securities and Other Collateral The net proceeds of the offering of each Series of Offered Notes will be applied by the relevant Issuer to acquire Collateral Securities and/or other Collateral for such Series. Such Collateral Securities and/or other Collateral will be deposited in the Collateral Account established by the relevant Issuer under the applicable Indenture to secure the relevant Issuer's obligations under such Indenture, the Offered Notes of such Series, the Credit Default Swap in respect of such Series and the other related Transaction Documents. The Collateral Securities in respect of the Series B-1 Notes will consist of a guaranteed investment contract, dated as of December 19, 2006 (the "Series B-1 Investment Agreement"), among the Series B-1 Issuer, the Trustee and the Investment Agreement Provider, as further described in the relevant Supplement attached hereto as Appendix D-1. The Collateral Securities in respect of the Series C-1 Notes will consist of another guaranteed investment contract, dated as of December 19, 2006 (the "Series C-1 Investment Agreement" and together with the Series B-1 Investment Agreement, the "Investment Agreements"), among the Series C-1 Issuer, the Trustee and the Investment Agreement Provider, as further described in the relevant Supplement attached hereto as Appendix D-2. The obligations of the Investment Agreement Provider under each of the Series B-1 Investment Agreement and the Series C-1 Investment Agreement will be guaranteed by Ambac Assurance Corporation (the "Investment Agreement Guarantor"). See Appendix D-1 and Appendix D-2. The Collateral Securities in respect of the Series C-2 Notes will consist of certain USDdenominated floating rate medium-term notes issued by General Electric Capital Corporation, as further described in the relevant Supplement attached hereto as Appendix D-3. General Electric Capital Corporation has notes admitted on the London Stock Exchange's Gilt Edged and Fixed Interest Market. The Collateral Securities in respect of the Series C-3 Notes, will consist of certain USDdenominated floating rate medium-term notes issued by General Electric Capital Corporation, as further described in the relevant Supplement attached hereto as Appendix D-4. General Electric Capital Corporation has notes admitted on the London Stock Exchange's Gilt Edged and Fixed Interest Market. The Collateral Securities in respect of the Series C-4 Notes will consist of certain JPYdenominated floating rate medium-term notes issued by The Goldman Sachs Group, Inc., as further described in the relevant Supplement attached hereto as Appendix D-5. The Goldman Sachs Group, Inc. is listed on the New York Stock Exchange. Credit Default Swaps The following is a summary of certain features of each Credit Default Swap to be entered into in respect of each Series of Offered Notes and is qualified by reference to the detailed provisions of such Credit Default Swap as the same may be amended from time to time. The following summary does not purport to be complete and prospective investors must refer to the relevant documentation the form of which is attached to this Offering Circular as Appendix B for detailed information regarding the Credit Default Swaps. Appendix B does not form part of the Securities Note prepared for the purpose of the application to list the Offered Notes on the official list of the Irish Stock Exchange. General; Specified Portfolios On the applicable Closing Date, the relevant Issuer will enter into a Credit Default Swap in respect of each Series of Offered Notes. Each Credit Default Swap will be entered into under the Master Agreement and a separate CDS Confirmation that incorporates the Standard CDS Terms attached as Appendix B to this Offering Circular. The CDS Confirmation with respect to a Series of Offered Notes, together with the Master Agreement, constitute the "Credit Default Swap" for such Series of Offered Notes.

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Each Credit Default Swap will relate to two Specified Portfolios: i. an LT Specified Portfolio, as to which the relevant Issuer will be the protection seller and the Swap Counterparty will be the protection buyer; and ii. an ST Specified Portfolio, as to which the Swap Counterparty will be the protection seller and the relevant Issuer will be the protection buyer. Under each Credit Default Swap, as described below, the relevant Issuer (and therefore the Holders of the Offered Notes) will have credit exposure to the Reference Entities in the LT Specified Portfolio under such Credit Default Swap (the "LT Reference Entities") and will benefit from credit events with respect to the Reference Entities in the ST Specified Portfolio under such Credit Default Swap the "ST Reference Entities"). The Specified Portfolios under the Credit Default Swaps relating to one or more Series of Notes may be different from the Specified Portfolios under the Credit Default Swaps relating to one or more other Series of Notes as the result of, among other things, Replacements that the Portfolio Manager may elect to effect with respect to some Specified Portfolios but not others and Replacements that may be permitted under the Rating Agency Conditions and Replacement Restrictions, Replacement Conditions contained in some Credit Default Swaps but not others. Each Reference Entity will be assigned to a particular market convention category (e.g., Latin America Corporate, North American Corporate, Emerging European & Middle Eastern Sovereign) (as more fully described in Appendix B) which will establish the parameters for Credit Events, Obligations, Reference Obligations and other terms for the particular Reference Entity as set forth in the Credit Default Swaps (the "Market Standard Terms" for such Reference Entity). The parameters set forth in the Market Standard Terms will incorporate any future amendments or updates to such Market Standard Terms as published by ISDA from time to time in the "Credit Derivatives Physical Settlement Matrix" and, accordingly, the applicable parameters for any Reference Entity as of any date shall be determined by reference to the Market Standard Terms as it may have been amended and/or updated on or prior to such date. If any Reference Entity is subject to an event such as a merger, consolidation, amalgamation, transfer of assets or liabilities, demerger, spinoff or other event in which one entity succeeds to the obligations of another entity (a "Succession Event"), the CDS Calculation Agent will determine a successor Reference Entity (a "Successor") in a manner consistent with the applicable provisions of the Credit Derivatives Definitions and market practice that preserves the economic equivalent of the payment obligations of the relevant Issuer and the Swap Counterparty as such payment obligations existed prior to the Succession Event. In the event that a Credit Event occurs with respect to a Reference Entity, the Reference Entity will be deleted from the LT Specified Portfolios or the ST Specified Portfolios, as applicable, on the related Calculation Date. LT Specified Portfolio Under each Credit Default Swap, the relevant Issuer may be required to make credit protection payments to the Swap Counterparty if a Credit Event occurs with respect to an LT Reference Entity and the Conditions to Settlement (as set forth in such Credit Default Swap) are satisfied with respect thereto. In such case, the CDS Calculation Agent will calculate the Loss Amount with respect to such LT Reference Entity (the "LT Loss Amount") which, in each case, will equal 50% of the Reference Entity Notional Amount of such LT Reference Entity. If the aggregate of the LT Loss Amounts with respect to LT Reference Entities (the "Aggregate Loss Amount") exceeds the Series Threshold for a Series of Offered Notes, (i) the relevant Issuer will be required to make a payment on the related LT Cash Settlement Date to the Swap Counterparty in an amount equal to the relevant LT Cash Settlement Amount, if any, under the relevant Credit Default Swap for such Series of Offered Notes (calculated as described below) and (ii) the Outstanding Principal Amount of such Series of Offered Notes will be reduced by the applicable Collateral Principal Amount (as defined below) for such Series of Offered Notes, if any, on the related Calculation Date. The "Tranche Incurred Loss Amount" with respect to an LT Reference Entity and any Series of Offered Notes will be an amount calculated on the Calculation Date

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equal to the lowest of (a) the LT Loss Amount applicable with respect to such LT Reference Entity, (b) the greater of (i) the Aggregate Loss Amount (including the addition thereto in respect of such LT Reference Entity) less the relevant Series Threshold and (ii) zero and (c) the Outstanding Tranche Notional Amount (as defined herein) (prior to any reduction thereto in respect of such Reference Entity) of such Credit Default Swap. The "LT Cash Settlement Amount" with respect to any Series of Offered Notes and any LT Credit Event as to which a Tranche Incurred Loss Amount has been calculated under the related Credit Default Swap will equal the Collateral Proceeds (as defined herein) of the redemption or liquidation of the relevant Collateral for such Series of Offered Notes having a principal amount equal to the relevant Collateral Principal Amount calculated with respect to such Series of Offered Notes. The "Collateral Principal Amount" with respect to a Series of Offered Notes will equal an outstanding principal amount of Collateral Securities or other Collateral (or any combination thereof) for such Series of Offered Notes (rounded, if necessary, to the nearest amount such that the relevant outstanding principal amount is divisible by the lowest denomination (half a denomination being rounded up)) equal to the Transaction Percentage (as defined herein) of the Tranche Incurred Loss Amount under the relevant Credit Default Swap, provided that if the LT Cash Settlement Date relating to such Tranche Incurred Loss Amount falls on or after the Scheduled Termination Date, no such rounding will occur and the Collateral Principal Amount for such Series of Offered Notes will be an amount equal to the Transaction Percentage of such Tranche Incurred Loss Amount. ST Specified Portfolio Under each Credit Default Swap, if a Credit Event occurs with respect to an ST Reference Entity and the Conditions to Settlement (as set forth in such Credit Default Swap) are satisfied with respect thereto, the Swap Counterparty will in good faith and in a commercially reasonable manner, determine any applicable positive Threshold Adjustment Amount under such Credit Default Swap that would result from such ST Credit Event in the manner described herein on the relevant Calculation Date. See "Security for the Offered NotesCredit Default SwapsCalculation of Threshold Adjustment Amounts." If the Calculation Date for any LT Credit Event occurs on the same day as the Calculation Date for any ST Credit Event, the CDS Calculation Agent will apply the positive Threshold Adjustment Amounts arising from such ST Credit Event prior to calculating any Tranche Incurred Loss Amounts arising from such LT Credit Event. Series Thresholds The "Series Threshold" for any Series of Offered Notes as of any date of calculation will equal the Series Threshold as of the applicable Closing Date plus any Threshold Adjustment Amounts (whether positive or negative) calculated on or prior to such date. The initial Series Thresholds corresponding to each Series of Offered Notes under the relevant Credit Default Swap will be as follows: Series of Offered Notes Initial Series Threshold
(expressed as a percentage of the Initial Notional Amount of the LT Specified Portfolio)

B-1 C-1 C-2 C-3 C-4

5.15% 4.65% 4.60% 4.60% 4.65%

For a description of the calculation of Threshold Adjustment Amounts in connection with Replacements of Reference Entities or ST Credit Events, see "Calculation of Threshold Adjustment Amounts" below.

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Portfolio Management Terms The Portfolio Manager, acting on behalf of the Issuers pursuant to the terms of the Portfolio Management Agreement and the Credit Default Swaps, may, from time to time, in accordance with the procedures set forth in the Credit Default Swaps (the "Notification Procedures"), (a) instruct the Swap Counterparty to replace any LT Reference Entity (each an "Old LT Reference Entity") in the LT Specified Portfolio with another entity (each a "Replacement LT Reference Entity") selected by the Portfolio Manager (each such instruction, a "Proposed LT Replacement"), (b) instruct the Swap Counterparty to replace any ST Reference Entity (each an "Old ST Reference Entity") in the ST Specified Portfolio with one or more entities (each a "Replacement ST Reference Entity", with each Replacement LT Reference Entity and each Replacement ST Reference Entity constituting a "Replacement Reference Entity") selected by the Portfolio Manager (each such instruction, a "Proposed ST Replacement"), (c) instruct the Swap Counterparty to effect an LT Removal or ST Removal where "ST Removal" means the removal of an ST Reference Entity from the ST Specified Portfolio (each such instruction, a "Proposed LT Removal" or a "Proposed ST Removal," as applicable) or (d) instruct the Swap Counterparty to effect an LT Addition or ST Addition where "LT Addition" means the addition of an LT Reference Entity to the LT Specified Portfolio and "ST Addition" means the addition of an ST Reference Entity to the ST Specified Portfolio (each such instruction, a "Proposed LT Addition" or a "Proposed ST Addition", as applicable). As used herein, the term "Proposed Replacement" means any Proposed LT Replacement, Proposed ST Replacement, Proposed LT Removal, Proposed ST Removal, Proposed LT Addition or Proposed ST Addition. For all purposes (including, for the avoidance of doubt, for the purposes of determining whether an LT Removal, LT Addition, ST Removal or ST Addition will breach the Turnover Limit (as defined herein)), (i) an LT Removal will be treated as an LT Replacement where the removed LT Reference Entity is treated as an Old LT Reference Entity in respect of which a corresponding Replacement LT Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and a New Spread (as defined herein) equal to zero (and, for the avoidance of doubt, all provisions relating to Old LT Entities and corresponding Replacement Reference Entities will be construed accordingly), (ii) an LT Addition will be treated as an LT Replacement where the additional LT Reference Entity is treated as a Replacement LT Reference Entity in respect of which a corresponding Old LT Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and an Old Spread (as defined herein) equal to zero (and, for the avoidance of doubt, all provisions relating to Replacement LT Reference Entities and corresponding Old LT Reference Entities will be construed accordingly), (iii) an ST Removal will be treated as an ST Replacement where the removed ST Reference Entity is treated as an Old ST Reference Entity in respect of which a corresponding Replacement ST Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and a New Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Old ST Reference Entities and corresponding Replacement ST Reference Entities will be construed accordingly) and (iv) an ST Addition will be treated as an ST Replacement where the additional ST Reference Entity is treated as a Replacement ST Reference Entity in respect of which a corresponding Old ST Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and an Old Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Replacement ST Reference Entities and corresponding Old ST Reference Entities will be construed accordingly). A Proposed Replacement will be effected only if (i) the Replacement satisfies the Replacement Restrictions, (ii) the Rating Agency Condition is satisfied and (iii) the Replacement Conditions are satisfied (provided that the Swap Counterparty may in its sole and absolute discretion waive any Replacement Restrictions at the request of the Portfolio Manager, it being expressly understood that the Swap Counterparty is under no obligation to do so). The "Replacement Restrictions", as set forth in each Credit Default Swap for the Offered Notes (subject to the considerations described below under "Other Restrictions and Conditions"), will be satisfied with respect to a Proposed Replacement if:

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(a) following the Proposed Replacement, the Remaining Subordination is greater than the Subordination Adjustment Floor (as defined herein); (b) in the case of a Proposed LT Replacement, the S&P Rating of the Replacement LT Reference Entity is "BB-" or above, provided that, if immediately prior to the Proposed LT Replacement, the S&P Rating of the Old LT Reference Entity is below "BB-", then the S&P Rating of the Replacement LT Reference Entity must be higher than or equal to the S&P Rating of the Old LT Reference Entity; (c) following the Proposed Replacement, the aggregate Reference Entity Notional Amounts of all LT Reference Entities that have an S&P Rating of "BB+" or lower must not exceed 12% of the Outstanding Specified Portfolio Notional Amount for LT Reference Entities, provided that, if immediately prior to the Proposed Replacement, this test is not satisfied, such test need not be satisfied following such Proposed Replacement if, following such Proposed Replacement, such test will be no further from being satisfied; (d) following the Proposed Replacement or a series of Proposed Replacements performed at the same time (determined by the CDS Calculation Agent in its sole discretion), there will be no change to the Outstanding Specified Portfolio Notional Amount for LT Reference Entities; (e) following the Proposed Replacement, no Reference Entity is included in both the LT Specified Portfolio and the ST Specified Portfolio; and (f) the relevant Replacement Reference Entity is an entity that is traded on Market Standard Terms as specified in the Credit Default Swap and is either (i) a corporate entity (a "Corporate Market Reference Entity") that is not a special purpose vehicle or direct issuer of asset backed securities or a Sovereign, Sovereign Agency (each as defined in the Credit Default Swap) or supranational organization or (ii) a Sovereign, Sovereign Agency or supranational organization (a "Sovereign Market Reference Entity"). The "Replacement Conditions", as set forth in each Credit Default Swap for the Offered Notes, will be satisfied with respect to a Proposed Replacement if: (a) (b) (c) the Notification Procedure has been complied with; the Liquid Market Condition is satisfied; the Proposed Replacement will not breach the Turnover Limit;

(d) in the case of a Proposed LT Replacement, the bid-side spread of the Replacement LT Reference Entity is not greater than 5.00% and in the case of a Proposed ST Replacement, the offer-side spread of the Replacement ST Reference Entity is not greater than 5.00%; (e) following the Proposed Replacement, the Obligor Percentage of the Replacement LT Reference Entity or Replacement ST Reference Entity, as applicable, will not be less than 0.50% and the Obligor Percentage of each ST Reference Entity in the ST Reference Portfolio will not exceed 1.00%; (f) following the Proposed Replacement, (i) the Obligor Percentage of any LT Reference Entity in the LT Specified Portfolio with an S&P Rating of "BB+" or lower will not be greater than 1.00%; and (ii) the Obligor Percentage of any other LT Reference Entity in the LT Specified Portfolio will not be greater than 1.50%; (g) following the Proposed Replacement, there will be at least 80 LT Reference Entities in the LT Specified Portfolio but no more than 120 LT Reference Entities in the LT Specified Portfolio;

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(h) no Credit Event exists in relation to the relevant Old Reference Entity or the relevant Replacement Reference Entity; (i) the Outstanding Specified Portfolio Notional Amount for all ST Reference Entities in the ST Specified Portfolio, after taking such Proposed Replacement into account, does not exceed 10% of the Outstanding Specified Portfolio Notional Amount in respect of all LT Reference Entities as of the applicable Closing Date; and (j) following the Proposed Replacement, the aggregate Reference Entity Notional Amount of all Sovereign Market Reference Entities in the Specified Portfolios does not exceed 10% of the initial Outstanding Specified Portfolio Notional Amount of the LT Reference Entities. Rating Agency Condition The "Rating Agency Condition" as set forth in the Credit Default Swaps, will be satisfied (subject to the considerations described below under "Other Restrictions and Conditions") with respect to any Proposed Replacement if (i) in the case of Credit Default Swaps relating to any Series of Notes rated by S&P, (A) the S&P SROC CDO Evaluator Test will be satisfied following such Proposed Replacement; provided that if immediately prior to the Proposed Replacement, the S&P SROC CDO Evaluator Test is not satisfied, such test need not be satisfied following such Proposed Replacement if the Portfolio Manager, acting on behalf of the Issuer, determines, in its sole and absolute discretion, that, following such Proposed ST Replacement, such test will be no further from being satisfied, and (B) with respect to any Proposed ST Replacement, as step-up model run from the S&P CDO Evaluator version 3.3_Beta6a1, or a later version thereof, will be satisfied following such Proposed ST Replacement, and (ii) in the case of Credit Default Swaps relating to any Series of Notes rated by Moody's, (A) the Moody's Model Test 2 will be satisfied following the Proposed Replacement (as verified by the Swap Counterparty) and (B) following the Proposed Replacement, the Replacement Reference Entity has a Moody's Rating. Other Restrictions and Conditions One or more Series of Notes may be rated by one or more rating agencies in addition to S&P or Moody's, in which case the Credit Default Swaps in respect of such Series of Notes may contain Replacement Restrictions and Rating Agency Conditions that are modified or amended versions of, or are in lieu of and/or in addition to, those specified above under "Portfolio Management Terms" and " Rating Agency Condition". As a result, the composition of the Specified Portfolios under such Credit Default Swaps may diverge from the Specified Portfolios under the Credit Default Swaps that are not subject to such different Replacement Conditions and Rating Agency Conditions, insofar as certain Proposed Replacements may be not permissible under such Credit Default Swaps as a result of such different restrictions and conditions. Calculation of Threshold Adjustment Amounts In connection with any LT Replacement or ST Replacement, the Swap Counterparty will, in good faith and in a commercially reasonable manner, determine any applicable Threshold Adjustment Amount under the Credit Default Swaps (a "Trading Adjustment") that would result from such LT Replacement or ST Replacement (such that there is no change to the net present value of the Credit Default Swaps, having taken into account the associated Swap Counterparty Costs, following the application of a Trading Adjustment or series of Trading Adjustments applied at the same time (as determined by the Swap Counterparty in its sole discretion)). If a Credit Event occurs with respect to an ST Reference Entity and the Conditions to Settlement are satisfied under the Credit Default Swaps, on the relevant Calculation Date, the Swap Counterparty will, in good faith and in a commercially reasonable manner, determine any applicable positive Threshold Adjustment Amount (the "ST Credit Event Adjustment") that would result from such ST Credit Event (such that there would be no change to the net present value of the Credit Default Swaps, having taken into account the associated Swap Counterparty Costs), disregarding for this purpose the Subordination Adjustment Floor.

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The Swap Counterparty will provide notice of any Trading Adjustments and any ST Credit Event Adjustments to the Portfolio Manager in accordance with the Notification Procedures. The Swap Counterparty will determine (a) negative Threshold Adjustment Amounts, if any, only in connection with Replacements that result in trading losses to the Issuers and (b) positive Threshold Adjustment Amounts only in connection with Replacements that result in trading gains to the Issuers or in connection with ST Credit Events. On the effective date of each Proposed Replacement resulting in a trading loss to the Issuers, such trading loss must be applied by the Portfolio Manager as a negative Threshold Adjustment Amount to decrease the Threshold Amounts under the Credit Default Swaps, provided that trading losses in connection with Proposed Replacements may not be applied as negative Threshold Adjustment Amounts if, with respect to the Offered Notes, the Remaining Subordination is less than or equal to 1.5% of the LT Specified Portfolio Notional Amount (the "Subordination Adjustment Floor"), or otherwise to the extent that such negative Threshold Adjustment Amounts would cause the relevant Remaining Subordination to be less than the Subordination Adjustment Floor. If, as a result of a Proposed Replacement, the relevant Remaining Subordination would be less than the Subordination Adjustment Floor, such Proposed Replacement will not be permitted. On the effective date of each Proposed Replacement resulting in a trading gain to the Issuers, such trading gain must be applied by the Portfolio Manager as a positive Threshold Adjustment Amount to increase the Threshold Amounts under the Credit Default Swaps. Credit Events Under the Credit Default Swaps, as described above, an LT Cash Settlement Amount will be calculated upon the occurrence of any Credit Event with respect to any LT Reference Entity and the satisfaction of the Conditions to Settlement. A positive Threshold Adjustment Amount will be calculated upon the occurrence of any Credit Event with respect to any ST Reference Entity and the satisfaction of the Conditions to Settlement. In general, a "Credit Event" will be deemed to occur with respect to a Reference Entity upon the occurrence of one of the following events as long as such event is specified as an applicable Credit Event in the relevant Market Standard Terms: (i) Bankruptcy, (ii) Failure to Pay, (iii) Restructuring, (iv) Obligation Acceleration, or (v) Repudiation/Moratorium. The obligations that may be used to determine whether a Credit Event has occurred with respect to a Reference Entity will also depend upon the Market Standard Terms to which such Reference Entity is assigned. If "All Guarantees" is indicated to be applicable to a particular Reference Entity in accordance with the applicable Market Standard Terms, the Obligations (as defined in the Credit Derivatives Definitions) of each Reference Entity will include obligations of such Reference Entity for which it provides a Qualifying Guarantee (as defined in the Credit Default Swap). The Credit Events applicable to the Reference Entities may generally include one or more of the following, subject to the relevant Market Standard Terms applicable to such Reference Entity and any amendments set forth in the relevant Credit Default Swap: "Bankruptcy" means a Reference Entity (a) is dissolved (other than pursuant to a consolidation, amalgamation or merger); (b) becomes insolvent or is unable to pay its debts or fails or admits in writing in a judicial, regulatory or administrative proceeding or filing its inability generally to pay its debts as they become due; (c) makes a general assignment, arrangement or composition with or for the benefit of its creditors; (d) institutes or has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation, and, in the case of any such proceeding or petition instituted or presented against it, such proceeding or petition (i) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (ii) is not dismissed, discharged, stayed or restrained in each case, within thirty calendar days of the institution or presentation thereof; (e) has a resolution passed for its windingup, official management or liquidation (other than pursuant to a consolidation, amalgamation or merger); (f) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all of its assets; (g) has a

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secured party take possession of all or substantially all of its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all of its assets and such secured party maintains possession, or any such process is not dismissed, discharged, stayed or restrained, in each case, within thirty calendar days thereafter; or (h) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in clauses (a) to (g) (inclusive). "Failure to Pay" means, after the expiration of any applicable Grace Period (as defined in the Credit Derivatives Definitions) (after the satisfaction of any conditions precedent to the commencement of such Grace Period), the failure by a Reference Entity to make, when and where due, any payments in an aggregate amount of not less than U.S.$1,000,000 (or its equivalent in the currency in which the relevant Obligation is denominated as of the date of the occurrence of the related Credit Event) under one or more Obligations, in accordance with the terms of such Obligations at the time of such failure. "Restructuring" means that, with respect to one or more Obligations, and in relation to an aggregate amount of not less than U.S.$10,000,000 (or its equivalent in the currency in which the relevant Obligation is denominated as of the date of the occurrence of the related Credit Event), any one or more of the following events occurs in a form that binds all holders of such Obligation, is agreed between the Reference Entity or a Governmental Authority (as defined in the Credit Derivatives Definitions) and a sufficient number of holders of such Obligation to bind all holders of the Obligation or is announced (or otherwise decreed) by a Reference Entity or a Governmental Authority in a form that binds all holders of such Obligation, and such event is not expressly provided for under the terms of such Obligation in effect as of the later of the Trade Date (as defined in the Credit Derivatives Definitions) and the date as of which such Obligation is issued or incurred: (i) a reduction in the rate or amount of interest payable or the amount of scheduled interest accruals; (ii) a reduction in the amount of principal or premium payable at maturity or at scheduled redemption dates; (iii) a postponement or other deferral of a date or dates for either (a) the payment or accrual of interest or (b) the payment of principal or premium; (iv) a change in the ranking in priority of payment of any Obligation, causing the Subordination (as defined in the Credit Derivatives Definitions) of such Obligation to any other Obligation; or (v) any change in the currency or composition of any payment of interest or principal to any currency which is not a Permitted Currency (as defined in the Credit Derivatives Definitions); provided that, the Credit Default Swaps in respect of the Series C-2 Notes and the Series C-3 Notes provide that "Restructuring" (as defined in the Credit Derivatives Definitions) in relation to any Reference Entity in the related Specified Portfolios will only constitute a Credit Event with respect to such Reference Entity if (a) the market price of the Reference Obligation for such Reference Entity falls below 80% of its par value at any time following the occurrence of the Restructuring Credit Event, as determined by the CDS Calculation Agent in good faith and in commercially reasonable manner or (b) two (2) protection buyers or protection sellers that are neither affiliated with the credit protection buyer under the Credit Default Swaps nor affiliated with each other have delivered credit event notices to such credit protection buyer under non-digital credit default swaps with respect to the Restructuring in relation to such Reference Entity. Notwithstanding the foregoing, none of the following events will constitute a Restructuring Credit Event:

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(a) the payment in euros of interest or principal in relation to an Obligation denominated in a currency of a Member State of the European Union that adopts or has adopted the single currency in accordance with the Treaty establishing the European Community, as amended by the Treaty on European Union; (b) the occurrence of, agreement to or announcement of any of the events described in clauses (i) through (v) above due to an administrative adjustment, accounting adjustment or tax adjustment or other technical adjustment occurring in the ordinary course of business; and (c) the occurrence of, agreement to or announcement of any of the events described in clauses (i) through (v) above in circumstances where such event does not directly or indirectly result from a deterioration in the creditworthiness or financial condition of the Reference Entity. "Obligation Acceleration" means one or more Obligations in an aggregate amount of not less than the Default Requirement have become due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event (however described), other than a failure to make any required payment, in respect of a Reference Entity under one or more Obligations. "Repudiation/Moratorium" means the occurrence of both of the following events: (i) an authorized officer of a Reference Entity or a Governmental Authority (x) disaffirms, disclaims, repudiates or rejects, in whole or in part, or challenges the validity of, one or more Obligations in an aggregate amount of not less than the Default Requirement (as defined in the Credit Derivatives Definitions) or (y) declares or imposes a moratorium, standstill, roll-over or deferral, whether de facto or de jure, with respect to one or more Obligations in an aggregate amount of not less than the Default Requirement and (ii) a Failure to Pay, determined without regard to the Payment Requirement (as defined in the Credit Derivatives Definitions), or a Restructuring, determined without regard to the Default Requirement, with respect to any such Obligation occurs on or prior to the Repudiation/Moratorium Evaluation Date (as defined in the Credit Derivatives Definitions). If the occurrence of an event would otherwise constitute a Credit Event, such event will constitute a Credit Event whether or not such event arises directly or indirectly from (i) any lack or alleged lack of authority or capacity of a Reference Entity to enter into any obligation or, as applicable, an underlying obligor to enter into any underlying obligation, (ii) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any obligation, however described, (iii) any applicable law, order, regulation, decree or notice however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (iv) the imposition of or any change in any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority, however described. Conditions to Settlement If a Credit Event occurs with respect to a Reference Entity on or prior to the Scheduled Termination Date, the Swap Counterparty may deliver to the Issuers (in the case of any LT Reference Entity or ST Reference Entity) or the Issuers (or the Portfolio Manager on behalf of the Issuers) may deliver to the Swap Counterparty (in the case of any ST Reference Entity), as applicable, (1) a "Credit Event Notice" containing a description in reasonable detail of the facts relevant to the determination that a Credit Event has occurred and (2) a "Notice of Publicly Available Information," in which information from at least two public sources are identified with respect to the Reference Entity and the occurrence of the related Credit Event. If such notices are effectively delivered during the period from and including the Effective Date (as defined in the Credit Derivatives Definitions) to and including the second Business Day immediately preceding the Scheduled Termination Date (such period, the "Notice Delivery Period"), the first date on which such notices are both delivered will be the "Calculation Date." The delivery of the Credit Event Notice and the Notice of Publicly Available Information will be conditions to the obligation of the Issuers to pay an LT Cash Settlement Amount in respect of any LT Reference Entity to the Swap Counterparty and to the obligation of the Swap Counterparty to calculate and apply positive Threshold

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Adjustment Amounts under the Credit Default Swaps in respect of any ST Reference Entity (the "Conditions to Settlement"). To satisfy the Conditions to Settlement, the delivery of such notices for any Credit Event will be required to be made during the Notice Delivery Period. If a Credit Event is caused by a Restructuring, multiple Credit Event Notices may be delivered, each of which may relate to a portion of the relevant Reference Entity Notional Amount that is not less than the minimum exercise amount specified in the Credit Default Swap. Modification and Amendment of Credit Default Swaps Each Indenture permits the relevant Issuer to enter into amendments of the related Credit Default Swap (1) in connection with the issuance of Additional Notes, on terms no less favorable for any single Series than those of the then current Credit Default Swaps (other than the payment of additional upfront amounts to preserve the economic equivalent of the Credit Default Swaps), (2) to correct clerical errors, without the consent of any Noteholders or satisfaction of the Rating Agency Condition or (3) in connection with any other amendment, waiver or modification, with the consent of the Majority Noteholders of the relevant Series of Offered Notes and satisfaction of the Rating Agency Condition. Periodic Payments by the Swap Counterparty and the Series C-3 Issuer The Swap Counterparty will be required to make periodic payments under each Credit Default Swap (the "Series Fixed Amounts") with respect to the related Series of Offered Notes to the relevant Issuer on each Payment Date. Under each Credit Default Swap related to the Offered Notes (other than the Series C-3 Notes), the Series Fixed Amounts payable by the Swap Counterparty in respect of each Payment Date will equal (a) the interest accrued on the related Series of Offered Notes during the related Interest Accrual Period minus (b) the sum of any payments the Issuer is entitled to receive by way of interest in respect of the related Collateral Securities during such Interest Accrual Period. Under the Credit Default Swap related to the Series C-3 Notes, (i) the Swap Counterparty will pay a Series Fixed Amount to the relevant Issuer on each Payment Date in an amount equal to the interest accrued on the Series C-3 Notes during the related Interest Accrual Period and (ii) the Series C-3 Issuer will pay to the Swap Counterparty, on each interest payment date in respect of the relevant Collateral Securities for the Series C-3 Notes, an amount equal to interest accrued and payable in respect of such Collateral Securities. Such payments representing Series Fixed Amounts will be deposited in the Collateral Account for the related Series of Offered Notes. If a Series Fixed Amount is subject to any deduction or withholding for or on account of certain taxes, duties, assessments or other governmental charges, the Swap Counterparty will not be obligated to gross-up such Series Fixed Amount to adjust for any such deduction or withholding so that the return to the relevant Issuer is not diminished. Under such circumstances, the relevant Issuer may terminate the Credit Default Swap and the relevant Issuer may be obligated to make a termination payment to the Swap Counterparty. Termination of Credit Default Swaps Each Credit Default Swap will terminate on the Scheduled Termination Date unless terminated earlier in accordance with the terms thereof. A Credit Default Swap may be terminated early in one or more of the following circumstances: (i) at the option of the Swap Counterparty, if some or all of the relevant Series of Offered Notes become repayable prior to their stated maturity and the relevant Collateral is liquidated; (ii) at the option of the relevant Issuer or the Swap Counterparty, if there is a failure by the other party to pay any amounts due under the Credit Default Swap or if the other party is subject to certain bankruptcy related events; (iii) if (subject as provided in the Credit Default Swap) withholding taxes are imposed on payments made by the relevant Issuer or the Swap Counterparty under the Credit Default Swap or it

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becomes illegal for either party to perform its obligations under the Credit Default Swap (see "Transfer to Avoid Termination Event" below); and (iv) at the option of the relevant Issuer, if the Swap Guarantor is subject to certain bankruptcy-related events or fails to perform under the relevant guarantee. Notwithstanding the foregoing, if the Swap Counterparty has prepaid in full all of its payment obligations under a Credit Default Swap, the transaction may only be terminated by the relevant Issuer if it becomes illegal for either party to perform its obligations thereunder or certain tax events occur, each as described in clause (iii) above. Consequences of Early Termination Upon any such early termination of a Credit Default Swap, either the relevant Issuer or the Swap Counterparty may be liable to make a termination payment to the other, provided that if such early termination is due to a Swap Counterparty Default, amounts owing to the Swap Counterparty under the Credit Default Swap will be subordinated to payments due on the related Series of Offered Notes. The termination payment due under a Credit Default Swap will generally be based on the total costs (or gain) in connection with the termination of the Credit Default Swap, including any loss of bargain, cost of funding or loss or cost incurred as a result of terminating, liquidating, obtaining or reestablishing any hedge or related trading position (or any gain resulting from any of them). In cases of early termination other than by reason of a default by the Swap Counterparty or certain limited circumstances set forth in the Master Agreement, the termination payment will be determined by the Swap Counterparty acting in good faith. Any such termination payment may be substantial. Upon an early termination of a Credit Default Swap, there is no assurance that the termination payment payable by the Swap Counterparty to the relevant Issuer (if any) together with the proceeds of sale or redemption of the related Collateral will be sufficient to repay the principal amount due to be paid in respect of the relevant Series of Offered Notes and any other amounts thereof that are due. Neither can there be any assurance that the realizable value of any such Collateral delivered to Holders of such Series of Offered Notes in satisfaction of the relevant Issuer's payment obligations under such Offered Notes will equal the principal amount outstanding of such Offered Notes. Any termination payments payable by the relevant Issuer to the Swap Counterparty under a Credit Default Swap will reduce amounts available to pay the related Series of Offered Notes and result in losses to the Noteholders. The claims of the Holders of any Series of Offered Notes and the Swap Counterparty under the related Credit Default Swap in respect of the relevant Collateral shall rank in accordance with the priorities described herein and specified in the related Indenture. Taxation Neither the relevant Issuer nor the Swap Counterparty is obliged under any Credit Default Swap to gross up any payment to be made under the Credit Default Swap if withholding taxes are imposed. The Swap Counterparty may, however, elect to gross up any payment to be made by it under a Credit Default Swap if withholding taxes are imposed or certain other Tax Impositions arise (as provided for in the Credit Default Swap). Transfer to Avoid Termination Event If withholding taxes are imposed on payments to be made by the relevant Issuer or the Swap Counterparty under a Credit Default Swap, then the Swap Counterparty will, at its sole option (but subject to the next paragraph), have the right to require the related Issuer: (i) to transfer all of its interests and obligations under the Credit Default Swap together with its interests and obligations under all Collateral for the related Series of Offered Notes, the related Indenture and the Portfolio Management Agreement to another entity, whether or not in the same tax jurisdiction as the relevant Issuer, as would not have any obligation to withhold or deduct (if the relevant Issuer is or would be required to make such deduction or withholding) or to which the Swap Counterparty

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would be entitled to make payments free from the relevant deduction or withholding (if the Swap Counterparty is or would otherwise be required to make such withholding or deduction), subject to receipt of Rating Agency Confirmation; or (ii) to transfer its residence for tax purposes to another jurisdiction, subject to receipt of Rating Agency Confirmation. If the relevant Issuer is unable to transfer its interests to another party or transfer its tax residence in accordance with the preceding provisions prior to the 30th day following the date of imposition of such withholding taxes, or if earlier, the 10th day prior to the first date on which it or the Swap Counterparty would otherwise be required to make a payment net of withholding taxes, the Swap Counterparty may terminate the Credit Default Swaps, provided that, subject to certain conditions in the Credit Default Swaps, the Swap Counterparty must first use all reasonable efforts (which will not require it to incur a loss, excluding immaterial, incidental expenses) for a period of 30 days to transfer all its rights and obligations under the Credit Default Swap in respect of the affected swap transaction to another of its offices or affiliates so that such withholding event ceases to exist. Miscellaneous The payment obligations of the Swap Counterparty under each Credit Default Swap will be direct, contractual obligations of the Swap Counterparty. The payment obligations of the relevant Issuer under each Credit Default Swap will be secured by a grant by such Issuer to the Trustee of a first priority security interest in the relevant Collateral. The Swap Counterparty will not have any claim against any Holder of the Offered Notes of any Series in the event that the proceeds of the related Collateral are not sufficient to pay any amounts owed to the Swap Counterparty under any Credit Default Swap. If the proceeds of the related Collateral are insufficient to make such payments, no other assets will be available for payment of the deficiency, and following liquidation of such Collateral, the obligation to pay such deficiency shall be extinguished. The Swap Counterparty will not have any recourse to the general assets of the Company or the Collateral for any other Series of Offered Notes in respect of such deficiency. The Swap Counterparty will agree under each Credit Default Swap that it will not petition for the bankruptcy or insolvency of any Issuer at any time prior to one year and one day following the payment in full of all Series of Notes or, if longer, the preference period then in effect. Whenever the CDS Calculation Agent is required to act or to exercise judgment under a Credit Default Swap, it will do so in good faith and in a commercially reasonable manner. The calculations and determinations of the CDS Calculation Agent will be final and binding on all parties in the absence of manifest error. Except as stated under "Transfer to Avoid Termination Event" above, the relevant Issuer is not permitted, except in connection with the enforcement by the Trustee of its security interest in the Collateral under the related Indenture or pursuant to a merger, reorganization or certain analogous events where Rating Agency Confirmation has been obtained, assign, novate or transfer as a whole or in part any of its rights, obligations or interests under any Credit Default Swap. The Swap Counterparty may assign, novate or transfer as a whole or in part any of its rights, obligations or interests under any Credit Default Swap (i) to any of its affiliates, provided that certain conditions set out in the Credit Default Swap are met and (ii) to any other third party pursuant to a merger, reorganization or analogous events provided that Rating Agency Confirmation has been obtained with respect to such transfer. The Credit Default Swaps contain certain amendments to the Credit Derivatives Definitions for purposes of, among other things, conforming certain aspects of the Credit Derivatives Definitions to other provisions of the Credit Default Swaps (for example, the cash settlement mechanism and the nature of the Credit Default Swaps as portfolio, instead of single-name, credit default swaps).

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Collateral Accounts Pursuant to each Indenture, the related Issuer will cause there to be opened and at all times maintained a separate Collateral Account for the related Series of Offered Notes, each of which will be a segregated account established with the Securities Intermediary in the name of the Trustee for the benefit of the Holders of the applicable Series of Offered Notes and the Secured Parties as further described in such Indenture. Each Account is required to be maintained by the Trustee or by another financial institution that is an Eligible Depositary. Within each Collateral Account, the Trustee may establish and maintain a separate Interest Subaccount and a separate Principal Subaccount, to which interest proceeds and principal proceeds, respectively, of the relevant Collateral may be credited. Amounts retained in the Collateral Account, to the extent not otherwise invested in Collateral Securities, will be invested in Eligible Investments. Swap Counterparty The Swap Counterparty under the Credit Default Swaps is Goldman Sachs Capital Markets, L.P. The address of the Swap Counterparty is 85 Broad Street, New York, NY 10004, Attn: Credit Derivatives Middle Office. The swap guarantor with respect to the Credit Default Swaps (the "Swap Guarantor") is The Goldman Sachs Group, Inc., a Delaware corporation (the "GS Group"), which is the CDS Guarantor and an affiliate of the Swap Counterparty. The Goldman Sachs Group, Inc. is listed on the New York Stock Exchange. The address of the CDS Guarantor is One New York Plaza, New York, NY 10004. The most recent Annual Report on Form 10-K, the Quarterly Reports on Form 10-Q and the Current Reports on Form 8-K filed by GS Group with the SEC (other than, in each case, documents or information deemed to have been furnished and not filed in accordance with SEC rules) are incorporated by reference into this Offering Circular. GS Group, together with its subsidiaries, is a global investment banking, securities and investment management firm that provides financial services worldwide to clients that includes corporations, financial institutions, governments and high net-worth individuals. Any statement contained in a document incorporated or deemed to be incorporated by reference into this Offering Circular, or contained in this Offering Circular, will be deemed to be modified or superseded for purposes of this Offering Circular to the extent that a statement contained herein or in any other subsequently filed document which also is or is deemed to be incorporated by reference herein, modifies or supersedes such statement. Any such statement so modified or superseded will not be deemed, except as so modified or superseded, to constitute a part of this Offering Circular. Any documents incorporated by references into this Offering Circular do not form part of the Securities Note prepared pursuant to the Prospetus Directive for the purpose of the application to list the Offered Notes on the official list of the Irish Stock Exchange. GS Group's filings with the SEC are available to the public through the SEC's Internet site at http://www.sec.gov, and through the New York Stock Exchange, 20 Broad Street, New York, New York 10005, on which GS Group's common stock is listed. The Offered Notes do not represent an obligation of, and will not be insured or guaranteed by, GS Group or any of its subsidiaries and investors will have no rights or recourse against GS Group or any of its subsidiaries. Reports A report will be made available to the Holders of the Offered Notes and will provide information on the Collateral as well as information with respect to payments made on the related Payment Date (each, a "Payment Report"), beginning in March 2007. The information in each Payment Report will be prepared as of the second Business Day preceding the related Payment Date and will set out, among other things, the amounts payable in

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accordance with the Priority of Payments on such Payment Date. The relevant Issuer will instruct the Trustee to transfer the amounts set forth in such Payment Report in the manner specified in, and in accordance with, the Priority of Payments. THE PORTFOLIO MANAGER The information appearing in this section (other than the information contained under the subheading "General") has been prepared by the Portfolio Manager and has not been independently verified by the Initial Purchasers or the Issuers. Neither the Initial Purchasers nor the Issuers assume any responsibility for the accuracy, completeness or applicability of such information. General Certain management, administrative and advisory functions with respect to the Credit Default Swaps and the Collateral will be performed by Aladdin Capital Management LLC, a Delaware limited liability company ("Aladdin"), as the Portfolio Manager under a Portfolio Management Agreement between the Company, acting for the account of one or more Segregated Portfolios, and Aladdin dated as of December 19, 2006 (the "Portfolio Management Agreement"). Each Issuer in respect of the Offered of Notes will become a party to the Portfolio Management Agreement with respect to the related Series. Pursuant to the Portfolio Management Agreement, the Portfolio Manager will (i) select the initial Specified Portfolios; (ii) effect Replacements of Reference Entities forming part of the Specified Portfolios in accordance with the Credit Default Swaps, subject to compliance with the Rating Agency Conditions and compliance with the Replacement Conditions (or waiver by the Swap Counterparty in accordance with the Standard CDS Terms); and (iii) perform such other duties and obligations with respect to the Offered Notes as are specifically set forth in the Portfolio Management Agreement and the other Transaction Documents. The Portfolio Manager will perform its duties in accordance with the requirements set forth in the Indentures and in accordance with the provisions of the Portfolio Management Agreement. The Portfolio Manager is also subject to certain other conflicts of interest. See "Risk FactorsCertain Conflicts of Interest" and "Risk FactorsBusiness Relationships of Various Parties." Aladdin Capital Management LLC Aladdin was established in 1999 and began operations in 2000. Since the commencement of operations, Aladdin has managed various types of credit funds with various types of investment strategies. Presently, the credit funds managed by Aladdin, including the Landmark CDO Series, various investment funds and separate accounts, total approximately U.S.$16.0 billion in assets. Aladdin is registered as investment adviser under the Advisers Act. Additional information regarding Aladdin is contained in their most recent Forms ADV, Part I of which have been filed with the SEC. Part II of such Forms ADV are available upon request from the Issuers, the Portfolio Manager or the Initial Purchasers. Aladdin's principal offices are located at Six Landmark Square, Stamford, Connecticut 06901. THE PORTFOLIO MANAGEMENT AGREEMENT General The Portfolio Manager will perform certain investment management and administrative functions on behalf of the Issuers in accordance with the applicable provisions of the Indentures and the Portfolio Management Agreement. The Portfolio Manager and its members and their respective directors, officers, stockholders and employees (collectively, the "Portfolio Manager Affiliates") will not be liable to the Issuers, the Trustee, the holders of the Offered Notes or any other person, for any loss incurred as a result of the actions taken or recommended or for any omissions by the Portfolio Manager, its members, officers, stockholders or employees under the Portfolio Management Agreement or the Indentures or for any decrease in the value of the Collateral, except by reason of acts constituting bad faith, willful misconduct or gross negligence in the performance of, or reckless disregard of, its duties thereunder.

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The Portfolio Management Agreement may not be amended or modified without satisfaction of the Rating Agency Condition and the prior written consent of the Swap Counterparty. The Portfolio Manager may be removed for cause, in respect of all (and not less than all) Series of Notes, upon not less than 20 days' prior written notice by (i) the Trustee or (ii) the Issuers, acting together, in either case acting at the direction of either (a) holders of a Majority of each Series of Notes, voting separately, or (b) holders of all Series of Notes then outstanding representing at least a Majority of the Aggregate Outstanding Principal Amount of all Series of Notes in the aggregate, voting together. For purposes of the Portfolio Management Agreement, "cause" will mean (i) the Portfolio Manager commits a material breach or violation of any provision of the Portfolio Management Agreement or any other Transaction Document applicable to it and fails to cure such breach or violation within 45 days of becoming aware of, or receiving notice from any Issuer or the Trustee of, such breach or violation; (i) the failure of any representation, warranty, certification or statement made or delivered by the Portfolio Manager in or pursuant to the Portfolio Management Agreement or any Transaction Document to be correct in any material respect when made if such failure (x) has a material adverse effect on any Issuer or the holders of any Series of Notes and (y) if such failure can be cured, such failure is not cured within 60 days after the Portfolio Manager becomes aware of, or receives notice from any Issuer or the Trustee of such failure; (iii) (a) the Portfolio Manager ceases to be able to, or admits in writing its inability to, pay its debts when and as they become due, (b) files, or consents by answer or otherwise to the filing against it of, a petition for relief or reorganization or arrangement or any other petition in bankruptcy, for liquidation or seeks relief as a debtor under any bankruptcy, insolvency, reorganization, moratorium or other similar law of any jurisdiction, (c) makes an assignment for the benefit of its creditors, (d) consents to the appointment of a receiver, trustee or other officer with similar powers with respect to it or with respect to any substantial part of its property or (e) is finally and non-appealably adjudicated by a court of competent jurisdiction as insolvent or to be liquidated; or (iv) the Portfolio Manager commits an act which constitutes fraud or criminal activity in the performance of its obligations under the Portfolio Management Agreement or the Portfolio Manager or it or any of its officers or directors is convicted of a criminal offense materially related to its business of providing investment advisory services. If any of the events specified in this paragraph shall occur, the Portfolio Manager will be required to give prompt written notice thereof to the Issuers, the Trustee and the Swap Counterparty upon becoming aware of the occurrence of such event. For all purposes of the termination for "cause" and assignment of the Portfolio Management Agreement by the Portfolio Manager, any Notes held by, on behalf of, or for the benefit of (whether directly or indirectly) the Portfolio Manager or any affiliate of the Portfolio Manager (the "Portfolio Manager Notes") will be deemed not to be outstanding. For purposes of appointment of a successor of the Portfolio Manager, all Portfolio Manager Notes will be deemed not to be outstanding (i) in connection with any vote to approve a Replacement Manager that is an affiliate of the Portfolio Manager and (ii) in any other circumstance, if the holders of the Portfolio Manager Notes are the sole objectors to a proposed Replacement Manager. The Portfolio Manager and its affiliates, and each of their respective partners, shareholders, members, officers, directors, managers, employees, agents, accountants and attorneys will be entitled to indemnification by the Issuers from and against any claims that may be made against such party by third parties and any damages, losses, claims, liabilities, costs or expenses (including all reasonable legal and other expenses) which such party may incur or become subject to as a result of, or in connection with, any act or omission in the performance by or on behalf of the Portfolio Manager of the Portfolio Manager's obligations and services under the Portfolio Management Agreement, except for liability that is directly attributable to willful misconduct, bad faith, gross negligence or reckless disregard of the obligations of the Portfolio Manager under the Portfolio Management Agreement and the Indentures. The Portfolio Manager may resign in respect of all Series of Notes then outstanding upon 60 days' prior written notice to the Issuers, the relevant Rating Agencies, the Trustee and the Swap Counterparty; provided that the Portfolio Manager may resign with immediate effect if, due to any change of applicable law or regulation, the performance by the Portfolio Manager of its duties under the Portfolio Management Agreement would violate such law or regulation.

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The Portfolio Management Agreement will terminate automatically in the event the Offered Notes are redeemed or cancelled in their entirety, or in the event of its assignment by the Portfolio Manager in violation of the Portfolio Management Agreement. No removal, termination or resignation of the Portfolio Manager or termination of the Portfolio Management Agreement will be effective unless (i) a successor Portfolio Manager is appointed by the relevant Issuer and agrees in writing to assume all of the Portfolio Manager's duties and obligations under the Portfolio Management Agreement in relation to each such Series of Notes, (ii) Rating Agency Confirmation has been obtained with respect to such appointment, (iii) the appointment or, as the case may be, identification for appointment is not objected to by the Swap Counterparty within 30 days of its receipt notice of such appointment or identification and (iv) the appointment or, as the case may be, identification for appointment is not objected to in writing within 30 days of receipt of notice of such appointment or identification by the holders of a Majority of the Aggregate Outstanding Principal Amount of all Series of Notes in the aggregate, voting together. (g) In the event that the Portfolio Manager has been removed, terminated or resigned and a successor manager meeting the Replacement Manager Conditions has not been appointed on or prior to (i) in the case of removal of the Portfolio Manager for cause, the date that is 60 days following the date of delivery of the notice of removal and (ii) in the case of any resignation of the Portfolio Manager, the date of removal specified in the relevant notice, the resigning or removed Portfolio Manager will be entitled to appoint a successor Portfolio Manager and shall so appoint a replacement manager satisfying the Replacement Manager Conditions within 60 days thereafter. In lieu thereof, or if the successor Portfolio Manager appointed by the resigning or removed Portfolio Manager is not approved, the resigning or removed Portfolio Manager may petition any court of competent jurisdiction for the appointment of a replacement manager satisfying the successor Replacement Manager Conditions, but such appointment shall not require the consent of, nor be subject to the disapproval of, the Issuers or any Noteholder. Upon the appointment of a successor Portfolio Manager satisfying the Replacement Manager Conditions and the written acceptance of such appointment by the successor Portfolio Manager, all authority and power of the Portfolio Manager under the Portfolio Management Agreement will be automatically vested in the successor Portfolio Manager. The Portfolio Manager may only assign its rights or responsibilities under the Portfolio Management Agreement in accordance with the terms of the Portfolio Management Agreement. Compensation As compensation for the performance of its obligations under the Portfolio Management Agreement, the Portfolio Manager will be entitled to receive a fee (the "Portfolio Management Fee") with respect to each Series of Offered Notes, payable in arrears on each Payment Date, at the applicable rate per annum set forth below accrued on the Average Outstanding Principal Amount of such Series of Offered Notes during the related Interest Accrual Period. Series of Offered Notes B-1 C-1 C-2 C-3 C-4 Portfolio Management Fee Rate 0.20% 0.30% 0.30% 0.30% 0.30%

The Portfolio Management Fee in respect to a Series of Notes will be calculated on the basis of a the same day count fraction as such Series of Offered Notes. The Portfolio Management Fee with respect to a Series of Offered Notes will cease to accrue on the earliest to occur of (i) the Scheduled Maturity Date, (ii) the Early Redemption Date and (iii) the first Calculation Date on which a positive Tranche Incurred Loss Amount is calculated with respect to such

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Series of Offered Notes under the related Credit Default Swap (provided that the Portfolio Manager will be entitled to receive the Portfolio Management Fee accrued up to and including such Calculation Date). THE ISSUERS General Aladdin Synthetic CDO II SPC (the "Company") was incorporated on 15 November, 2006 under the laws of the Cayman Islands with the registered number 177388. The Company is an exempted company incorporated under the laws of the Cayman Islands and registered as a segregated portfolio company pursuant to Part XIV of the Companies Law (2004 Revision) of the Cayman Islands. As a segregated portfolio company, the Company will segregate substantially all of its assets and liabilities into separate segregated portfolios (each, a Segregated Portfolio), and the assets of one Segregated Portfolio will not be available to meet the obligations of any other Segregated Portfolio. The Company acting for the account of one or more Segregated Portfolios (in such capacity an "Issuer") will periodically issue one or more Series of Notes in amounts, at prices and on terms to be determined at the time of the sale. Each Series of Notes may include one or more classes of Notes that will be entitled to principal distributions with disproportionate, nominal or no interest distributions, or to interest distributions with disproportionate, nominal or no principal distributions. The rights of any class of Notes within a Series may be senior or subordinate to the rights of any other class of Notes in the same Series. The registered office of the Company is at the offices of Maples Finance Limited, P.O. Box 1093 GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. The Company has no prior operating history. The Company's Memorandum of Association sets out the objects of the Company, which are unrestricted and therefore include the business to be carried out by each relevant Issuer in connection with the Offered Notes. The authorized share capital of the Company consists of 50,000 ordinary shares, U.S.$1.00 par value per share (the "Ordinary Shares"), 250 of which have been issued and will be held by the Share Trustee under the terms of a declaration of trust. For so long as any of the Notes are outstanding, no beneficial interest in the Ordinary Shares of the Company will be registered to a U.S. Person. Capitalization The initial proposed capitalization of the Company as of the applicable Closing Date after giving effect to the issuance of the Offered Notes and the Ordinary Shares is set forth below. Series B-1 Notes Series C-1 Notes Series C-2 Notes Series C-3 Notes Series C-4 Notes Ordinary Shares Total Equity Total Capitalization Amount USD 45,000,000 USD 15,000,000 USD 35,000,000 USD 5,000,000 JPY 3,000,000,000 USD250 USD250 USD100,000,000 JPY3,000,000,000

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Business Under the terms of each Indenture, the activities of the relevant Issuer will be limited to (i) offering, issuing and selling the relevant Series of Notes, (ii) acquiring Collateral Securities and/or other Collateral relating to each Series of Notes, (iii) entering into and performing its obligations under the Credit Default Swap relating to such Series of Notes, (iv) pledging the Collateral and its rights under the relevant Credit Default Swap and other Transaction Documents (as defined herein) to the Trustee (for the benefit of the Secured Parties of the related Series of Notes) pursuant to such Indenture and (v) engaging in other activities incidental to the foregoing as permitted by the Transaction Documents. The Company Administrator will act as the administrator of the Company. The office of the Company Administrator will serve as the registered office of the Company. Through this office and pursuant to the terms of an agreement to be dated on or about December 19, 2006 by and between the Company Administrator and the Company (the "Administration Agreement"), the Company Administrator will perform various management functions on behalf of each of the Issuers, including communications with shareholders and the general public, and the provision of certain clerical, administrative and other services until termination of the Administration Agreement. In consideration of the foregoing, the Company Administrator will receive various fees and other charges payable by the Company at rates agreed upon from time to time plus expenses. The directors of the Company listed below are also officers and/or employees of the Company Administrator and may be contacted at the address of the Company Administrator. The Company Administrator will be subject to the overview of the Company's Board of Directors. The Administration Agreement may be terminated by either the Company or the Company Administrator upon 3 months' written notice (or, upon the occurrence of certain events, 14 days' written notice). If the Administrator resigns or is removed, the Company will appoint a successor. The Company Administrator's principal office is: Maples Finance Limited, P.O. Box 1093 GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. Directors The Directors of the Company are: Steven O'Connor and Hugh Thompson, each having an address at Maples Finance Limited, P.O. Box 1093 GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. THE CO-ISSUER The Co-Issuer was formed on December 11, 2006 under the laws of the State of Delaware. The registered office of the Co-Issuer is at Donald J. Puglisi, Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711. The Co-Issuer has no prior operating history. The formation documents of the Co-Issuer set out the purposes of the Co-Issuer, which include the business to be carried out by the Co-Issuer in connection with the issuance of the Notes. INCOME TAX CONSIDERATIONS United States Tax Considerations The following is a summary of certain of the United States federal income tax consequences of an investment in the Offered Notes by purchasers that acquire their Offered Notes in the initial offering and does not purport to be a comprehensive description of all of the tax considerations that may be relevant to a decision to purchase the Offered Notes. The discussion and the opinion referenced below are based upon laws, regulations, rulings and decisions in effect and available on the date hereof, all of which are subject to change, possibly with retroactive effect. Prospective investors should note that no rulings have been or are expected to be sought from the United States Internal Revenue Service (the "IRS") with respect to any of the United States federal income tax considerations discussed below, and no assurance can be given that the IRS or a court will not take contrary positions. Further, the following

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summary does not deal with all United States federal income tax considerations applicable to any given investor; nor does it address the United States federal income tax considerations applicable to investors which are subject to special taxing rules (whether or not such investors qualify as U.S. Holders), such as, banks, insurance companies, RICs, REITs, expatriates, tax-exempt organizations, dealers or traders in securities or currencies, partnerships, natural persons, cash method taxpayers, S corporations, estates and trusts, investors that hold the Offered Notes as part of a hedge, straddle, or an integrated or conversion transaction, or investors whose "functional currency" is not the U.S. dollar. Furthermore, it generally does not address estate or gift tax consequences, alternative minimum tax consequences or the indirect effects on the holders of equity interests in either a U.S. Holder or a Non-U.S. Holder (as defined below). In addition, this summary is generally limited to investors that will hold the Offered Notes as "capital assets" within the meaning of Section 1221 of the Internal Revenue Code of 1986 (the "Code"). Investors should consult their own tax advisors to determine the United States federal, state, local and other tax consequences of the purchase, ownership and disposition of the Offered Notes. As used herein, "U.S. Holder" means a beneficial owner of an Offered Note that is an individual citizen or resident of the United States for United States federal income tax purposes, a corporation or other entity taxable as a corporation created or organized in or under the laws of the United States or any state thereof (including the District of Columbia), an estate the income of which is subject to United States federal income taxation regardless of its source or a trust where a court within the United States is able to exercise primary supervision over the administration of the trust and one or more United States persons (as defined in the Code) have the authority to control all substantial decisions of the trust (or a trust that has made a valid election under U.S. Treasury Regulations to be treated as a domestic trust). "Non-U.S. Holder" means any owner (or beneficial owner) of an Offered Note that is not a U.S. Holder other than a partnership. If a partnership holds Offered Notes, the tax treatment of a partner will generally depend upon the status of the partner and upon the activities of the partnership. Partners of partnerships holding the Offered Notes should consult their own tax advisors regarding the tax consequences of an investment in the Offered Notes (including their status as U.S. Holders or Non-U.S. Holders). United States Federal Income Tax Consequences to each Issuer of the Offered Notes Upon the issuance of the Offered Notes on the Closing Date, Orrick, Herrington & Sutcliffe LLP, U.S. tax counsel to each Issuer of the Offered Notes ("Offered Note Issuer"), will deliver an opinion generally to the effect that under current law, and assuming compliance with the Transaction Documents and based on certain factual representations made by each Offered Note Issuer and others, although it is not aware of any authoritative guidance dealing with entities that engage in the same activities as those engaged in by the Offered Note Issuers, and thus while the matter is not free from doubt, the permitted activities of each Offered Note Issuer will not cause such Issuer to be engaged in the conduct of a trade or business in the United States under the Code. In addition, by its acceptance of an Offered Note, each holder thereof will be deemed to have represented that it will not take any position inconsistent with the Offered Note Issuers' position that, for United States federal income tax purposes, the Offered Note Issuers are not engaged in a trade or business in the United States for United States federal income tax purposes. Accordingly, the Offered Note Issuers do not expect to be subject to net income taxation in the United States. Prospective investors should be aware that opinions of counsel are not binding on the IRS and the IRS might seek to treat the Offered Note Issuers as engaged in a United States trade or business. If an Offered Note Issuer were viewed as so engaged, among other consequences, the Offered Note Issuer would be subject to net income taxation in the United States on such of its income as was effectively connected with such trade or business (as well as a branch profits tax). The levying of such taxes would materially affect such Offered Note Issuer's financial ability to discharge its payment obligations with respect to the relevant Offered Notes. The opinion of U.S. tax counsel is subject to various considerations. First, if the Company issues any Additional Notes or additional Series of Notes, it is assumed that the Company will obtain an opinion of counsel that the issuance of such notes and the transactions contemplated thereby will not result in the Issuer of such notes being treated as engaged in trade or business for U.S. federal income tax purposes (and assumes the accuracy of any such opinion except in instances where Orrick, Herrington & Sutcliffe, LLP is rendering the opinion). Second, the United States Treasury Department and the IRS recently announced that they are considering taxpayer requests for specific guidance on, among other things,

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whether a foreign person may be treated as engaged in a trade or business in the United States by virtue of entering into credit default swaps such as the Credit Default Swaps. No guidance has been issued to date. If any future guidance concludes that foreign persons entering into certain credit default swaps will be treated as engaged in a trade or business in the United States, such guidance would adversely impact the Offered Note Issuers' ability to make payments on the Offered Notes. Third, gain or loss on a disposition by a foreign person of a United States real property interest may be subject to United States federal income tax as if the foreign person were engaged in a United States trade or business (even if the foreign person is not, in fact, so engaged). The determination of whether an asset constitutes a United States real property interest is made periodically and, therefore, it is possible that an asset that was not a United States real property interest at the time it was acquired by an Offered Note Issuer could, thereafter, become a United States real property interest. Finally, if an Offered Note Issuer accepted a new security in exchange for an existing security or if the terms of an existing security were modified, the new or modified security might cause the Offered Note Issuer to become engaged in a United States trade or business for United States federal income tax purposes. Each Offered Note Issuer intends to take the position that it is a corporation for United States federal income tax purposes and does not expect to derive material amounts of income that will be subject to United States withholding taxes. Thus, each Offered Note Issuer intends to enter into the relevant Credit Default Swap and acquire the Collateral Securities, the payments on which are not expected to be subject to United States federal withholding tax or withholding tax imposed by any other country (unless grossed-up). However, certain aspects of the taxation of the credit default swaps are uncertain and, thus, there can be no assurance that payments will be received free of withholding tax. Moreover, while it is not expected that there will be any United States withholding tax on the Offered Note Issuers' payments under the Credit Default Swaps, if withholding were to apply the Swap Counterparty would be entitled to terminate the relevant Credit Default Swap, in which event the relevant Offered Note Issuer might owe a termination payment to the Swap Counterparty. Any withholding or obligation to make such a termination payment would materially and adversely affect the relevant Offered Note Issuers financial ability to discharge its respective payment obligations with respect to the Offered Notes. If withholding or deduction of any taxes from payments on the Offered Notes is required by law in any jurisdiction, the Offered Note Issuers are under no obligation to make any additional payments to the holders of the Offered Notes. U.S. Holders Classification and Tax Treatment of the Offered Notes Each Offered Note Issuer has agreed and, by its acceptance of an Offered Note, each holder of an Offered Note will be deemed to have agreed, to treat the Offered Notes as debt of such Offered Note Issuer for United States federal income tax purposes, although this does not prevent a Noteholder from making a protective QEF election or filing forms under Section 6038, 6038B and/or 6046 of the Code on a protective basis (as described below under "U.S. HoldersAlternative Characterizations of the Offered NotesEquity Interest in a Non-U.S. Corporation" and "Information Reporting Requirements"). However, no tax opinion is being delivered with respect to the classification of the Offered Notes for United States federal income tax purposes, and prospective investors in the Offered Notes should consult with their own tax advisors since there can be no assurance that the IRS will not seek to characterize the Offered Notes (or certain Series of Offered Notes) as other than indebtedness. However, except as provided under " U.S. HoldersAlternative Characterization of the Offered Notes," below, the balance of this discussion assumes that the Offered Notes will be characterized as debt of the relevant Offered Note Issuer for United States federal income tax purposes. The Offered Notes may be issued with original issue discount ("OID") because the Outstanding Principal Amount of each Series of Offered Notes may be decreased upon the occurrence of a Credit Event under the Credit Default Swap applicable to such Series with respect to the LT Reference Entities, and because the rate of interest payable on each Series of Offered Notes through the Scheduled Maturity Date is not the same rate of interest as is payable from the Scheduled Maturity Date to the Final Maturity Date. As a result, a U.S. Holder of an Offered Note may be required to include OID in gross income as it

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accrues under a constant yield method, based on the original yield to maturity of the Offered Note and, hence, may be required to include OID in income prior to the receipt of the cash attributable to such income. In this regard, it is possible the OID on the Offered Notes would be accruable under the special rules set forth in Section 1272(a)(6) of the Code (which are applicable to debt instruments that may be accelerated by reason of the prepayment of other debt obligations securing such debt instruments) or under the rules applicable to contingent payment debt instruments ("CPDIs"). In general, CPDIs are taxed as indebtedness (with all interest included in income as OID on the accrual method regardless of a taxpayer's normal method of accounting). However, among other consequences, any gain on the sale or exchange (or other taxable disposition) of the Offered Notes would be ordinary income, and any loss thereon would be ordinary to the extent of prior interest inclusions (and capital thereafter). Prospective investors should consult their own tax advisors regarding the potential application of Section 1272(a)(6) of the Code to the Offered Notes and the rules governing CPDIs. In general, a U.S. Holder of an Offered Note will have a basis in such Offered Note equal to the cost of the Offered Note, increased by any OID and any market discount that the U.S. Holder has elected to include in income on a current basis and reduced by any amortized premium. Upon a sale, exchange or other disposition of an Offered Note (which would include any exercise of the BIE Option), a U.S. Holder will generally recognize gain or loss equal to the difference between the amount realized on the sale, exchange or other disposition (less any accrued and unpaid interest not previously included in income as OID, which amount will be taxable as interest income) and the U.S. Holder's adjusted tax basis in the Offered Note (excluding any interest described in the preceding parenthetical). Such gain or loss generally will be long term capital gain or loss (other than accrued market discount if the U.S. Holder has not elected to include such discount in income on a current basis) assuming that the U.S. Holder has held the Offered Note for more than one year at the time of disposition. 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. Alternative Characterizations of the Offered Notes U.S. Holders should recognize that there is considerable uncertainty regarding the appropriate classification of instruments such as the Offered Notes. It is possible, for example, that the IRS may contend that the Offered Notes (or that certain Series of Offered Notes) should be treated as equity interests in a non-U.S. corporation (which conceivably might be viewed as the Company rather than the relevant Offered Note Issuer). It is also possible that the IRS may contend that the holders of the Offered Notes (or a particular Series of Offered Notes) should be treated as if they owned their pro rata share of the Collateral applicable to such Series (and, hence, were subject to their pro rata share of the obligations arising under the Credit Default Swap applicable to such Series) or, alternatively, as if they owned equity interests in a partnership (which may be a U.S. partnership) that holds the Collateral applicable to such Series (and, hence, is subject to the obligations arising under the Credit Default Swap applicable to such Series). Such recharacterizations might affect the timing, character and source of income on the Offered Notes, and, in general, may result in material adverse tax consequences to U.S. Holders. In particular, and without limitation, income on such Offered Notes may be subject to tax in the hands of otherwise taxexempt investors (see "U.S. HoldersAlternative Characterization of the Offered NotesPro Rata Interest in Assets and Liabilities of the Relevant Offered Note Issuer", and "U.S. HoldersAlternative Characterization of the Offered NotesEquity Interest in a U.S. Partnership" below). Equity Interest in a Non-U.S. Corporation If U.S. Holders of any Series of Offered Notes were treated as owning equity interests in a nonU.S. corporation, such U.S. Holders might be required to treat payments on the Offered Notes as dividends to the extent of the current or accumulated earnings and profits of the relevant Issuer (or, possibly, the Company). Payments characterized as dividends would be taxable at regular marginal income tax rates applicable to ordinary income, and would not be entitled to the benefit of the dividends received deduction or any reduction in tax rates that may be available for certain dividends. Distributions in excess of such earnings and profits would be non-taxable to the extent of, and would be applied

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against and reduce, the U.S. Holder's adjusted tax basis in the Offered Notes and, to the extent in excess of such basis, would be taxable as gain from the sale or exchange of property. The tax consequences discussed in the preceding paragraph are likely to be significantly modified as a result of the application of the passive foreign investment company ("PFIC") and controlled foreign corporation ("CFC") rules discussed below. Thus, U.S. Holders of any Series of Offered Notes that is characterized as equity in a non-U.S. corporation for U.S. federal income tax purposes would be viewed as owning stock in a PFIC and, possibly, in a CFC (depending, in the latter instance, on the percentage of voting equity that is acquired and held by certain U.S. Holders). If applicable, the rules pertaining to CFCs would generally override those pertaining to PFICs, although in certain circumstances both set of rules could apply simultaneously. Under the PFIC rules, U.S. Holders of stock in a PFIC (and, hence, under this characterization, U.S. Holders of the Offered Notes), other than U.S. Holders of PFIC stock that make a timely qualified electing fund ("QEF") election as described below, are subject to special rules relating to the taxation of "excess distributions." In general, Section 1291 of the Code provides that the amount of any excess distribution is to be allocated ratably to each day of the U.S. Holder's holding period for its PFIC stock. The amount allocated to the current year is to be included in the U.S. Holder's gross income for the current year as ordinary income. With respect to amounts allocated to prior years, the tax imposed for the current year is to be increased by the "deferred tax amount," which is an amount calculated with respect to each prior year by multiplying the amount allocated to such year by the highest rate of tax in effect for such year, together with an interest charge as though the amounts of tax were overdue. For purposes of the foregoing, an excess distribution is defined as the amount by which distributions to a PFIC stockholder for a taxable year exceed 125 percent of the average distribution in respect of the PFIC stock during the three preceding taxable years (or, if shorter, the investor's holding period for the PFIC stock). Additionally, any gain recognized upon disposition (or deemed disposition) of stock in a PFIC (and, hence, of the Offered Notes under this characterization) will be treated as an excess distribution and taxed as described above, i.e., it will not be taxable as capital gain. For this purpose, a U.S. Holder that uses an Offered Note as security for an obligation may be treated as having disposed of the Offered Note. In order to avoid the application of the PFIC rules, each U.S. Holder should consider making a QEF election provided in section 1295 of the Code on a "protective" basis (although such a protective election may not be respected by the IRS because current regulations do not specifically authorize protective elections for debt that may be recharacterized as equity). If a U.S. Holder of PFIC stock (and, hence, if a U.S. Holder of Offered Notes that is characterized as equity in a non-U.S. corporation for United States federal income tax purposes) makes a QEF election, the U.S. Holder will be required to include its pro rata share of the PFIC's ordinary income and net capital gains in income (as ordinary income and long-term capital gain, respectively) for each taxable year, and pay tax thereon even if such income and gain is not distributed to the U.S. Holder by the PFIC. In addition, any losses of the PFIC will not be deductible by such U.S. Holder. However, a U.S. Holder that makes the QEF election generally may elect to defer the payment of tax on undistributed income (until such income is distributed or the PFIC stock is disposed of) provided the U.S. Holder agrees to pay interest on such deferred tax liability. For this purpose, a U.S. Holder that uses an Offered Note as security for an obligation may be treated as having disposed of the Offered Note. If a PFIC later distributes the income or gain on which the U.S. Holder has already paid taxes pursuant to the QEF election, amounts so distributed to the U.S. Holder will not be further taxable to the U.S. Holder. A U.S. Holder's tax basis in the Offered Notes will be increased by the amount included in such U.S. Holder's income as a result of the QEF election, and decreased by the amount of nontaxable distributions. On the disposition (including redemption or retirement) of the Offered Notes, a U.S. Holder making the QEF election generally will recognize capital gain or loss equal to the difference, if any, between the amount realized upon such disposition and its adjusted tax basis in the Offered Notes. Prospective investors should be aware that the amount of income that is allocated to U.S. Holders (under the QEF rules as well as under the CFC rules discussed below) will not necessarily bear any particular relationship in any year to the amount of cash that is distributed on the Offered Notes, and in any given year such allocated income may be substantially greater.

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The QEF election will be effective with respect to the applicable Offered Note Issuer only if certain required information is made available by the Offered Note Issuer. Each Offered Note Issuer will undertake to comply with the IRS information requirements necessary to permit Noteholders to make a protective QEF election. Nonetheless, there can be no assurance that such information will always be available. In general, a QEF election should be made on or before the due date for filing a U.S. Holder's federal income tax return for the first taxable year for which a U.S. Holder held an Offered Note. Where a QEF election is not timely made by a U.S. Holder for the year in which it acquired its Offered Notes, but it is made for a later year, the excess distribution rules can be avoided with respect to future years by making an election to recognize gain from a deemed sale of the Offered Notes at the time when the QEF election becomes effective, which gain will be treated as an excess distribution and taxed as described above. A U.S. Holder of an Offered Note should consult its own tax advisors regarding whether it should make a QEF election on a protective basis (and, if it failed to make an initial election, whether it should make an election in a subsequent taxable year). U.S. tax law also contains special provisions relating to controlled foreign corporations ("CFCs"). A foreign corporation is a CFC if "U.S. Shareholders" in the aggregate own, directly or indirectly, more than 50% of the voting power or value of the stock of such corporation. For this purpose, a U.S. Holder of the Offered Notes (assuming that the Offered Notes are characterized as a voting equity interest in a nonU.S. corporation) that owns, directly or indirectly, ten percent or more of the voting stock of the relevant Issuer will be considered a "U.S. Shareholder" with respect to the Issuer. U.S. Holders are urged to consult their own tax advisors as to their status as U.S. Shareholders with respect to the Issuers. If any Series of Offered Notes were characterized as equity in a non-U.S. corporation that is a CFC, a U.S. Shareholder holding Offered Notes in such Series would generally be subject to current U.S. tax on its pro rata share of the income of the corporation (taxable as ordinary income), regardless of cash distributions from the relevant Issuer. Earnings subject to tax to a U.S. Shareholder under the CFC rules will generally not be taxed again when they are distributed to the U.S. Shareholder. In addition, all or a portion of the income that would otherwise be characterized as capital gain upon a sale of a CFC's stock by a U.S. Shareholder may be classified as ordinary income. Certain income generated by a corporation conducting a banking, financing, insurance, or other similar business would not be includible in a holder's income under the CFC rules. However, each holder of an Offered Note will agree not to take the position that the relevant Offered Note Issuer is engaged in such a business. Accordingly, if the CFC rules apply and the Offered Notes are characterized as a voting equity interest in a non-U.S. corporation, a U.S. Shareholder would generally be subject to tax on its share of all of the income of the corporation. Prospective investors should be aware that in computing a non-U.S. corporation's earnings for purposes of the CFC rules, losses on disposition of securities in bearer form may not be allowed, while in computing the ordinary earnings and net capital gains of such a corporation for purposes of the PFIC rules, losses on disposition of securities in bearer form may not be allowed and any gain on such securities may be ordinary rather than capital. Pro Rata Interest in Assets and Liabilities of the Relevant Offered Note Issuer In the event that the IRS recharacterized U.S. Holders of any Series of Offered Notes as owning an undivided ownership interest in the assets and liabilities of the relevant Offered Note Issuer, each such U.S. Holder would be deemed to own a pro rata share of the Collateral applicable to the Series of Offered Notes so recharacterized (and, hence, be subject to a pro rata share of the obligations arising under the Credit Default Swap applicable to that Series). In such an event, the U.S. Holder would be required include in income the interest payable on the Collateral Securities and Eligible Investments applicable to the Series so recharacterized in accordance with the Holder's regular method of accounting for United States federal income tax purposes (unless any of such investments were issued with original issue discount, in which case the U.S. Holder would be required to accrue such discount in income on an accrual basis - regardless of the Holder's regular method of tax accounting). Also, if the Offered Notes are viewed as an ownership interest in the assets and liabilities of the relevant Offered Note Issuer, a U.S. Holder would be taxed with respect to the Credit Default Swap in the manner indicated below under "U.S. Holders Classification of the Credit Default Swaps." However, because credit default swaps generally give rise to ordinary income and deductions (although it is possible that any payment arising

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under the Credit Default Swap as a result of the occurrence of a Credit Event might be characterized as capital rather than as ordinary) the deductions attributable to the Credit Default Swap will generally be deductible by individual U.S. Holders only to the extent they (together with other miscellaneous itemized deductions) exceed 2% of the individual's adjusted gross income, and may be further limited if the individual's adjusted gross income exceeds a specified threshold (and are not deductible at all in determining the individual's alternative minimum taxable income). As a result, the Offered Notes (or a particular Series of Offered Notes) may not be a suitable investment for individuals in the event that the Offered Notes (or the particular Series of Offered Notes) are properly characterized as an ownership interest in the assets and liabilities of the relevant Issuer. Moreover, even if any payment resulting under the Credit Default Swap from a Credit Event with respect to the LT Reference Entities is characterized as capital loss (and, hence, not subject to the limitations described above in the case of individual U.S. Holders), the loss would be subject, in the hands of all U.S. Holders of any Series of Offered Notes that are treated as owning an undivided ownership interest in the assets and liabilities of the relevant Offered Note Issuer, and not just those U.S. Holders that are individuals, to the normal United States federal income tax limitations that apply to capital losses. In addition, if the Offered Notes (or any particular Series of Offered Notes) were recharacterized as such an ownership interest, the income from the Offered Notes (or the particular Series of Offered Notes) could be subject to tax in the hands of otherwise tax-exempt investors (especially if the IRS were to determine that credit default swaps constitute insurance for United States federal income tax purposes or otherwise give rise to trade or business income, if the proposed regulations relating to swaps that provide for contingent nonperiodic payments, discussed below, were to be finalized in their current form, if certain Series of the Offered Notes were characterized as equity in the Company with the remaining Series being characterized as debt of the Company or if any Credit Default Swap were viewed an containing an embedded loan to the relevant Issuer). See "United States Federal Income Tax Consequences to the Issuer" and "U.S. Holders Classification of the Credit Default Swaps". Accordingly, the Offered Notes may not be a suitable investment for U.S. Holders that are tax-exempt. Equity Interest in a U.S. Partnership If U.S. Holders of any Series of Offered Notes were treated as owning equity interests in a U.S. partnership that owns the Collateral applicable to the Series of Offered Notes so recharacterized (and, hence, subject to the obligations arising under the Credit Default Swap applicable to that Series), U.S. Holders generally would be taxed as indicated above, under "U.S. HoldersAlternative Characterization of the Offered NotesPro Rata Interest in Assets and Liabilities of the Relevant Offered Note Issuer" (such that an investment in the Offered Notes may not be a suitable investment for U.S. Holders that are individuals or tax-exempt) except that, among other consequences, (i) the relevant Offered Note Issuer would be required to account for its income and deductions at the Issuer level (not necessarily taking into account any particular U.S. Holder's circumstances, including any difference between the U.S. Holder's basis in its Offered Notes and the Issuer's basis in its assets) and (ii) each such U.S. Holder would be required to separately take into account such Holder's distributive share of the income and deductions of the relevant Offered Note Issuer for each taxable year of the Offered Note Issuer ending with or within the U.S. Holder's taxable year. Classification of the Credit Default Swaps The characterization, for United States federal income tax purposes, of the Credit Default Swaps is uncertain. Each Offered Note Issuer intends to take the position that its applicable Credit Default Swap constitutes a notional principal contract (an NPC) for U.S. federal income tax purposes, and will keep its books and records under that assumption. Under the rules applicable to NPCs, periodic payments should give rise to ordinary income or deductions, with the parties to an NPC recognizing the ratable daily portion of the periodic payments for the taxable year to which the portion relates, while nonperiodic payments are included in income or deducted, as the case may be, in a manner that reflects the economic substance of the NPC. It is anticipated that any payment made by the Offered Note Issuers upon the happening of a Credit Event with respect to the LT Reference Entities will generally be accounted for by the Offered Note Issuers at that time (probably as an ordinary deduction but possibly as a capital loss).

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Notwithstanding the Offered Note Issuers' treatment of the Credit Default Swaps as NPCs, the Credit Default Swaps could be analyzed in different fashions. For example, a Credit Default Swap could be treated for United States federal income tax purposes as one or more options (or in part as an NPC and in part as one or more options), a guarantee, insurance or reinsurance, or as some other type of financial contract. If a Credit Default Swap were characterized as other than an NPC, the relevant Offered Note Issuer might be subject to income tax in the United States or be subject to U.S. excise taxes. Such taxes would materially affect the Offered Note Issuer's financial ability to discharge its payment obligations with respect to its Offered Notes. In addition, if the Credit Default Swap were characterized as other than an NPC, the timing and character of the income, deduction, gains and losses of the Credit Default Swap might differ materially from that anticipated by the relevant Issuer. The United States Treasury Department has recently proposed regulations applicable to swaps that provide for contingent nonperiodic payments. If these regulations were finalized in their current form, they could alter the taxation of certain NPCs such as the Credit Default Swaps. Prospective investors in the Offered Notes should consult with their own tax advisors regarding the impact that these proposed regulations may have on their investment in the Offered Notes. In very general terms, if the proposed regulations applied to the Credit Default Swaps, the Offered Note Issuers and Swap Counterparty would be required to accrue deductions and income over the term of each Credit Default Swap based on a reasonable projection of the payment that would be due upon the occurrence of a Credit Event under that Credit Default Swap. In the event that the Offered Notes were recharacterized as equity in a non-U.S. corporation, these accrued deductions with respect to the LT Reference Entities may provide a United States federal income tax benefit to U.S. Holders that have made a QEF election or that are subject to the CFC rules (especially if the deductions are in excess of the accrued income with respect to the ST Reference Entities). However, the application of these rules in such a case could severely limit the marketability of the Offered Notes (inasmuch as subsequent holders might be required to recapture deductions that had been claimed by prior holders of the Offered Notes or might lose the ability to deduct a portion of their actual loss if a Credit Event were to occur with respect to the LT Reference Entities). In addition, in the event that any Series of Offered Notes were recharacterized as a pro rata interest in the Credit Default Swap and other Collateral applicable to that Series (or, alternatively, as an equity interest in a partnership that holds such assets), the deductions generated by the Credit Default Swap would be a miscellaneous itemized deduction subject to the limitations described above under "U.S. Holders Alternative Characterization of the Offered NotesPro Rata Interest in Assets and Liabilities of the Relevant Offered Note Issuer" in the case of U.S. Holders that are individuals, and the income from the Credit Default Swap could be subject to tax in the hands of otherwise tax-exempt investors. As a result, an investment in a Series of Offered Notes that is recharacterized as an ownership interest in the relevant Offered Note Issuer's underlying assets and liabilities applicable to such Series (or alternatively, as an equity interest in a partnership that holds such assets) may not be a suitable investment for U.S. Holders that are individuals or tax-exempt. Information Reporting Requirements Information reporting to the IRS may be required with respect to payments on the Offered Notes and with respect to proceeds from the sale of the Offered Notes to Holders other than corporations and certain other exempt recipients. A "backup" withholding tax may also apply to those payments if a Holder fails to provide certain identifying information (such as the Holder's taxpayer identification number or an attestation to the status of the Holder as a Non-U.S. Holder). Backup withholding is not an additional tax and may be refunded (or credited against the Holder's U.S. federal income tax liability, if any) provided that certain required information is furnished to the IRS in a timely manner. Prospective investors should consult with their own tax advisors regarding whether they are required to file an IRS Form 8886 in respect of this transaction (relating to certain "reportable transactions"). Thus, for example, if a U.S. Holder were to sell its Offered Notes at a loss, it is possible that this loss could constitute a reportable transaction and need to be reported on Form 8886 As another example, a transaction may be reportable if it is offered under conditions of confidentiality. In this regard, each Holder and beneficial holder of an Offered Note (and each of their respective employees,

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representatives or other agents) is hereby advised that it is permitted to disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions described herein and all materials of any kind (including opinions or other tax analyses) that are provided to any of them relating to such tax treatment and tax structure except where confidentiality is reasonably necessary to comply with the securities laws of any applicable jurisdiction. Significant penalties apply for failure to file Form 8886 when required, and Holders are therefore urged to consult their own tax advisors. If the Offered Notes are properly characterized as an equity interest in a non-U.S. corporation, U.S. Holders of Offered Notes may be required to file forms with the IRS under the applicable reporting provisions of the Code. Thus, for example, under Section 6038, 6038B and/or 6046 of the Code, U.S. Holders of Offered Notes may need to supply the IRS certain information regarding the U.S. Holder, other U.S. Holders and the relevant Offered Note Issuer if (i) such person owns at least 10% of the total value or 10% of the combined voting power of all classes of stock of the Offered Note Issuer entitled to vote or (ii) the acquisition, when aggregated with certain other acquisitions that may be treated as related under applicable regulations, exceeds U.S.$100,000. Upon request, the relevant Offered Note Issuer will provide U.S. Holders of the Offered Notes with information about the Offered Note Issuer and its shareholders that is reasonably available to such Issuer and may be needed by a U.S. Holder to complete any such required forms. In the event a U.S. Holder fails to file a form with the IRS when required to do so, the U.S. Holder may be subject to substantial tax penalties. Non-U.S. Holders Assuming that the Offered Notes are characterized for U.S. federal income tax purposes as debt of or equity in a non-U.S. corporation, a Non-U.S. Holder of an Offered Note that has no connection with the United States will generally not be subject to United States withholding tax on the payments made by the applicable Offered Note Issuer with respect to the Offered Notes and should not be subject to United States federal income tax on gains recognized in connection with the sale or other disposition of the Offered Notes provided, in each case, that the Non-U.S. Holder makes certain tax representations regarding the identity of the beneficial owner of the Offered Notes (and, with respect to gain recognized in connection with the sale or other disposition of Offered Notes by a non-resident alien individual, such individual is not present in the United States for 183 days or more in the taxable year of the sale or other disposition). As discussed above under "U.S. HoldersAlternative Characterization of the Offered Notes," the Offered Notes may be characterized as other than debt or equity in a non-U.S. corporation. Non-U.S. Holders are urged to consult their own tax advisors as to the United States federal income tax consequences that would result to them under alternative characterizations of the Offered Notes. Circular 230 Under 31 C.F.R. part 10, the regulations governing practice before the Internal Revenue Service (Circular 230), each Offered Note Issuer and its tax advisors are (or may be) required to inform investors that: Any advice contained herein, including any opinions of counsel referred to herein, is not intended or written to be used, and cannot be used by any taxpayer, for the purpose of avoiding penalties that may be imposed on the taxpayer; Any such advice is written to support the promotion or marketing of the Offered Notes and the transactions described herein (or in such opinion or other advice); and Each taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor.

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Cayman Islands Tax Considerations The following discussion of certain Cayman Islands income tax consequences of an investment in the Offered Notes is based on the advice of Maples and Calder as to Cayman Islands law. The discussion is a general summary of present law, which is subject to prospective and retroactive change. It assumes that each Issuer will conduct its affairs in accordance with assumptions made by, and representations made to, counsel. It is not intended as tax advice, does not consider any investor's particular circumstances, and does not consider tax consequences other than those arising under Cayman Islands law. Under existing Cayman Islands laws: (i) payments of principal and interest in respect of the Offered Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on such payments to any Holder of an Offered Note and gains derived from the sale of Offered Notes will not be subject to Cayman Islands income or corporation tax. The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax; and (ii) the Holder of any Offered Note (or the legal personal representative of such Holder) whose Offered Note is brought into the Cayman Islands may in certain circumstances be liable to pay stamp duty imposed under the laws of the Cayman Islands in respect of such Offered Note. In addition, an instrument transferring title to an Offered Note, if bought or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty. The Company has been incorporated under the laws of the Cayman Islands as an exempted company with limited liability and, as such, has applied for and obtained an undertaking from the Governor In Cabinet of the Cayman Islands in the following form: THE TAX CONCESSIONS LAW (1999 REVISION) UNDERTAKING AS TO TAX CONCESSIONS In accordance with Section 6 of the Tax Concessions Law (1999 Revision) the Governor in Cabinet undertakes with Aladdin Synthetic CDO II SPC (the "Company"): (a) that no law which is hereafter enacted in the Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Company or its operations; and (b) in addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable (i) on or in respect of the shares, debentures or other obligations of the Company; or

(ii) by way of the withholding in whole or in part of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision). These concessions shall be for a period of twenty years from the 29th day of November 2006. ERISA CONSIDERATIONS The U.S. Employee Retirement Income Security Act of 1974, as amended ("ERISA"), imposes certain requirements on "employee benefit plans" (as defined in Section 3(3) of ERISA) subject to Title I of ERISA, including entities such as collective investment funds and separate accounts whose underlying assets include the assets of such plans (collectively, "ERISA Plans"), and on those persons who are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are subject to ERISA's general fiduciary requirements, including the requirement of investment prudence and diversification and the requirement that an ERISA Plan's investments be made in accordance with the documents governing the

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ERISA Plan. The prudence of a particular investment must be determined by the responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan'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 Offered Notes. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those plans that are not subject to Title I of ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts (together with ERISA Plans, "Plans")) and certain persons (referred to as "parties in interest" under ERISA or "disqualified persons" under the Code (collectively, "Parties in Interest")) having certain relationships to such Plans, unless a statutory, regulatory or administrative exemption is applicable to the transaction. A Party in Interest who engages in a non-exempt prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and Section 4975 of the Code. Prohibited transactions may arise under Section 406 of ERISA or Section 4975 of the Code if Offered Notes are acquired with Plan Assets (as defined herein) with respect to which the Company, the Issuers, the Initial Purchasers, the Portfolio Manager, or any of their respective affiliates, is a Party in Interest. Certain exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, however, including a statutory exemption under Section 408(b)(17) of ERISA for transactions involving "adequate consideration" with persons who are Parties in Interest solely by reason of their (or their affiliate's) status as a service provider to the Plan involved and none of whom is a fiduciary with respect to the Plan Assets involved (or an affiliate of such a fiduciary). In addition, an administrative exemption may be available, depending in part on the type of Plan fiduciary making the decision to acquire a Security and the circumstances under which such decision is made. Included among these exemptions are: DOL Prohibited Transaction Class Exemption ("PTCE") 96-23, regarding transactions effected by certain "in-house asset managers"; PTCE 95-60, regarding investments by insurance company general accounts; PTCE 91-38, regarding investments by bank collective investment funds; PTCE 90-1, regarding investments by insurance company pooled separate accounts; and PTCE 84-14, regarding transactions effected by independent "qualified professional asset managers." There can be no assurance that any class or other exemption will be available with respect to any particular transaction involving the Offered Notes, or that, if available, the exemption would cover all possible prohibited transactions. Governmental plans and certain church and other plans, while not necessarily subject to the fiduciary responsibility provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless be subject to state or other federal laws that are substantially similar to the foregoing provisions of ERISA and the Code. Fiduciaries of any such plans should consult with their counsel before purchasing any Offered Notes. Any insurance company proposing to invest assets of its general account in the Offered Notes should consider the extent to which such investment would be subject to the requirements of ERISA in light of the U.S. Supreme Court's decision in John Hancock Mutual Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993), and the enactment of Section 401(c) of ERISA. In particular, such an insurance company should consider the retroactive and prospective exemptive relief granted by the DOL for transactions involving insurance company general accounts in PTCE 95-60 and the regulations issued by the DOL, 29 C.F.R. Section 2550.401c-1 (January 5, 2000). Certain additional information regarding general accounts is set forth below. The U.S. Department of Labor ("DOL") has promulgated a regulation, 29 C.F.R. Section 2510.3101, describing what constitutes the assets of a Plan ("Plan Assets") with respect to the Plan's investment in an entity for purposes of applying ERISA and Section 4975 of the Code. Section 3(42) of ERISA also describes what constitutes Plan Assets. Section 3(42) of ERISA and 29 C.F.R. Section 2510.3-101 are collectively referred to as the "Plan Asset Regulation." Under the Plan Asset Regulation, 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 include both the equity interest and an undivided interest in each of the entity's underlying assets, unless it is established

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that the entity is an "operating company" or that equity participation in the entity by Benefit Plan Investors is not "significant." Section 3(42) of ERISA modified the Plan Asset Regulation to exclude plans not subject to Title I of ERISA or Section 4975 of the Code from the Benefit Plan Investor definition. An equity interest is defined under the Plan Asset Regulation as any interest in an entity other than an instrument which is treated as indebtedness under applicable local law and which has no substantial equity features. Although there is no authority directly on point, the Offered Notes may be treated as equity interests for purposes of the Plan Asset Regulation. An exception under the Plan Asset Regulation provides that an investing Plan's assets will not include any of the underlying assets of an entity if equity participation in the entity by "benefit plan investors" is not "significant." The Plan Asset Regulation define a "benefit plan investor" as including (i) an employee benefit plan (as defined in Section 3(3) of ERISA), that is subject to Title I of ERISA; (ii) a plan described in and subject to Section 4975 of the Code; and (iii) an entity whose underlying assets include "plan assets" by reason of a Plan's investment in the entity (a "Benefit Plan Investor"). The Plan Asset Regulation provide that equity participation in an entity by Benefit Plan Investors is "significant" if, immediately after the most recent acquisition of any equity interest in the entity, 25% or more of the value of any class of equity interests in the entity is held by Benefit Plan Investors. For purposes of determining whether this 25% threshold has been met or exceeded, the value of any equity interests held by a person (other than a Benefit Plan Investor) who has discretionary authority or control with respect to the assets of the entity, or any person (other than a Benefit Plan Investor) who provides investment advice for a fee (directly or indirectly) with respect to such assets, or any affiliate (other than a Benefit Plan Investor) of such person (a "Controlling Person"), is disregarded. Accordingly, except as set forth below, the Offered Notes may not be acquired or behalf of, or with "plan assets" of, any Plan or other Benefit Plan Investor, including company general account any portion of the assets of which constitute "plan assets." Offered Notes may be acquired and held by or on behalf of, or with "plan assets" of, a Benefit Plan Investor if: held by or on an insurance However, the Plan or other

(a) (1)(A) The investor is purchasing the Offered Notes with assets of an "insurance company general account" (within the meaning of DOL Prohibited Transaction Class Exemption ("PTCE") 95-60) (a "General Account"); (B) the investor's purchase and holding of the Offered Notes are eligible for the exemptive relief afforded under Section I of PTCE 95-60; (C) less than 25% of the assets of such General Account constitute "plan assets" of Benefit Plan Investors; and (D) if, after the initial acquisition of the Offered Notes, during any calendar quarter 25% or more of the assets of such General Account (as determined by such insurance company) constitute "plan assets" of any Plan or other Benefit Plan Investor and no exemption or exception from the prohibited transaction rules applies such that the continued holding of the Offered Notes would not result in violations of Section 406 of ERISA or Section 4975 of the Code, then such investor will dispose of all of the Offered Notes then held in such General Account by the end of the next following calendar quarter; or (2) the investor's purchase and holding of the Offered Notes are eligible for the exemptive relief afforded under any of Section 408(b)(17) of ERISA or PTCE 9623, 91-38, 90-1 or 84-14; and (b) after giving effect to such purchase and all other purchases occurring simultaneously therewith, less than 25% of each Series of Offered Notes (excluding Offered Notes held by Controlling Persons) will be held by Benefit Plan Investors. Benefit Plan Investors and Controlling Persons will not be permitted to purchase Regulation S Offered Notes. Each purchaser of Regulation S Offered Notes will be deemed to represent that it is not, and will not become, a Benefit Plan Investor or Controlling Person. By its purchase of the Offered Notes (other than Regulation S Offered Notes), each purchaser and transferee will be required (or deemed, if applicable) to represent and warrant to and agree with the Company, the relevant Issuer and the Trustee that (i) its purchase and holding of such Offered Notes will satisfy the ERISA requirements with respect to the 25% limitation described above and (ii) it will not assign or transfer the Offered Notes unless (1) the proposed assignee or transferee delivers a letter to the

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relevant Issuer and the Trustee evidencing its agreement to the foregoing ERISA representations and covenants with respect to its purchase, holding and transfer of such Offered Notes and (2) if the investor: (a) is not (and is not acting on behalf of) a Benefit Plan Investor, the assignee or transferee will also not be a Benefit Plan Investor; or (b) is (or is acting on behalf of) a General Account, the assignee or transferee will be accurately identified in such letter as either another General Account or a person who is not (and is not acting on behalf of) a Benefit Plan Investor; or (c) is (or is acting on behalf of or with "plan assets" of) a Benefit Plan Investor (other than a General Account), the assignee or transferee will be accurately identified in such letter as either a General Account, another Benefit Plan Investor who is eligible (with respect to such assignment or transfer) for the exemptive relief afforded under any of Section 408(b)(17) of ERISA or PTCE 96-23, 91-38, 90-1 or 84-14, or a person who is not (and is not acting on behalf of) any Benefit Plan Investor. Each holder of the Offered Notes (other than Regulation S Offered Notes), by its acquisition thereof, shall be deemed to represent to the Company, the relevant Issuer and the Trustee that either (a) no part of the funds being used to pay the purchase price for such Offered Notes constitutes "plan assets" of any Plan or other Benefit Plan Investor, or (b) if the funds being used to pay the purchase price for the Offered Notes include "plan assets" of any Plan or other Benefit Plan Investor, (1) either (i) the holder is an insurance company and such funds include only assets of its general account, and its acquisition and holding of such Offered Notes are eligible for the exemptive relief available under Section I of PTCE 95-60, or (ii) its acquisition and holding of such Offered Notes are eligible for the exemptive relief available under any of Section 408(b)(17) of ERISA or PTCE 96-23, 91-38, 90-1 or 84-14; and (2) the ERISA restrictions with respect to the 25% limitation set forth above have been satisfied. Any person proposing to invest assets of any Plan in the Offered Notes should consult with its counsel to confirm that such investment will not constitute or result in any non-exempt prohibited transaction and will satisfy the other requirements of ERISA and Section 4975 of the Code. The sale of any Offered Note to a Plan, or to a person using Plan Assets to effect its purchase of any Security, is in no respect a representation by the Issuers, the Initial Purchasers or the Portfolio Manager that such an investment meets all relevant legal requirements with respect to investments by Plans generally or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan. CERTAIN LEGAL INVESTMENT CONSIDERATIONS Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to restrictions on investments in the Offered Notes. Any such institution should consult its legal advisors in determining whether and to what extent there may be restrictions on its ability to invest in the Offered Notes. Without limiting the foregoing, any financial institution that is subject to the jurisdiction of the Comptroller of Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of Thrift Supervision, the National Credit Union Administration, any state insurance commission, or any other federal or state agencies with similar authority should review any applicable rules, guidelines and regulations prior to purchasing the Offered Notes. Depository institutions should review and consider the applicability of the Federal Financial Institutions Examination Council Supervisory Policy Statement on Securities Activities, which has been adopted by the respective federal regulators. None of the Issuers, the Co-Issuer or the Initial Purchasers makes any representation as to the proper characterization of the Offered Notes for legal investment or other purposes, or as to the ability of

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particular investors to purchase the Offered Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Offered Notes under applicable investment restrictions. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Offered Notes) may affect the liquidity of the Offered Notes. Accordingly, all institutions whose activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult their own legal advisors in determining whether and to what extent the Offered Notes are subject to investment, capital or other restrictions. LISTING AND GENERAL INFORMATION 1 Application will be made to the Irish Stock Exchange to admit the Offered Notes to the Official List and to trading on the Irish Stock Exchange. It is expected that the total expenses relating to the application for admission of the Notes to the Official List of the Irish Stock Exchange and to trading on its regulated market will be approximately 7,380. There can be no assurance that such admission will be granted. 2 The Company is not required by Cayman Islands law, and the Company does not intend, to publish annual reports and accounts. Each Indenture, however, requires the relevant Issuer to deliver to the Trustee a Director's Certificate stating, as to each signatory thereof, that (a) a review of the activities of the relevant Issuer during the prior year and of the relevant Issuer's performance under the relevant Indenture has been made under his supervision; and (b) to the best of his knowledge, based on such review, each Issuer has fulfilled all of its obligations under the Indenture throughout the prior year, or, if there has been a default in the fulfillment of any such obligation, specifying each such default known to him and the nature and status thereof. 3 The issuance of the Offered Notes was authorized by the Board of Directors of the Company acting for the account of the relevant Issuers by resolutions passed on or about December 19, 2006. The issuance of the Offered Notes was authorized by the sole manager of the Co-Issuer by resolutions passed on or about December 19, 2006. 4 Since incorporation, as applicable, the Company has not commenced trading or established any accounts, except as disclosed herein or accounts used to hold amounts received with respect to share capital and fees. 5 The information relating to Ambac Assurance Corporation (including the consolidated financial statements for the periods December 31, 2005 and 2006) contained within the prospectus for the National Collegiate Student Loan Trust 2007-3 dated October 3, 2007 is hereby incorporated by reference into this Securities Note. The following non-exhaustive cross-reference lists are included in order to enable investors to easily identify where the specific items of information listed appear in the relevant document incorporated by reference. Ambac Assurance Corporation Information on Ambac Assurance Corporation as "The Note Insurer" From pages 4 - 6 From "The Note Insurer" on Page 72, as far as the paragraph ending "subsidiaries from 31st December 2006" on page 73. From pages 220 - 258

Consolidated Financial Statements, December 31, 2006 and 2005

No other information included in the prospectus for the National Collegiate Student Loan Trust 2007-3 dated October 3, is incorporated into this Securities Note. Any other documents incorporated by reference into this Offering Circular do not form part of the Securities Note prepared pursuant to the Prospectus

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Directive for the purpose of the application to list the Offered Notes on the official list of the Irish Stock Exchange. 6 Maples and Calder Listing Services Limited, as the Irish Listing Agent, is acting solely in its capacity as listing agent for the Company in connection with the Offered Notes and is not itself seeking admission of the Offered Notes to the official list of the Irish Stock Exchange or to trading on the Irish Stock Exchange for the purposes of the Prospectus Directive. 7 The Offered Notes sold in offshore transactions in reliance on Regulation S and represented by the Regulation S Global Offered Notes have been accepted for clearance through Clearstream and Euroclear under the Common Codes indicated below. The CUSIP Numbers and International Securities Identification Numbers ("ISIN") for the Offered Notes represented by Regulation S Global Notes and Rule 144A Global Notes are as indicated below: Regulation S Global Notes Series B-1 Series C-1 Series C-2 Series C-3 Series C-4 CUSIP N/A N/A N/A N/A N/A ISIN US01072NAA81 US01072NAB64 US01072NAC48 US01072NAD21 XS0280574079 Rule 144A Global Notes CUSIP 01072N AA 8 01072N AB 6 01072N AC 4 01072N AD 2 N/A

UNDERWRITING The Offered Notes will be offered by Goldman, Sachs & Co. and Goldman Sachs International (each an "Initial Purchaser" and together the "Initial Purchasers"), from time to time at varying prices in negotiated transactions subject to prior sale, when, as and if issued. Subject to the terms and conditions set forth in the Purchase Agreement (the "Purchase Agreement") dated as of December 19, 2006 among Goldman, Sachs & Co., Goldman Sachs International, the Issuers and the Co-Issuer, the Issuers and the Co-Issuer have agreed to sell to the Initial Purchasers and the Initial Purchasers have agreed to purchase all of the Offered Notes. Under the terms and conditions of the Purchase Agreement, the Initial Purchasers are committed to take and pay for all the Offered Notes to be offered by them, if any are taken. The Offered Notes purchased from the Issuers and the Co-Issuer by the Initial Purchasers will be offered by them from time to time for sale in negotiated transactions or otherwise at varying prices to be determined at the time of sale plus accrued interest, if any, from the applicable Closing Date (and, solely in the case of the Series C-4 Notes, from December 22, 2006). The Offered Notes have not been and will not be registered under the Securities Act for offer or sale as part of their distribution and may not be offered or sold within the United States or to, or for the account or benefit of, a U.S. Person or a U.S. resident (as determined for purposes of the Investment Company Act, a "U.S. Resident") except in certain transactions exempt from, or not subject to, the registration requirements of the Securities Act. The Issuers and the Co-Issuer have been advised by each of the Initial Purchasers that (a) it proposes to resell the Offered Notes outside the United States (in part, by Goldman, Sachs & Co., through its selling agent) in offshore transactions in reliance on Regulation S and in accordance with applicable law and (b) it proposes to resell the Offered Notes in the United States only to (1) Qualified Institutional Buyers in reliance on Rule 144A purchasing for their own accounts or for the accounts of Qualified Institutional Buyers or (2) Accredited Investors pursuant to Section 4(2) of the Securities Act purchasing for their own accounts or for the accounts of Accredited Investors, each of which Qualified Institutional Buyers or Accredited Investors or accounts is also a Qualified Purchaser.

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Each Initial Purchaser has acknowledged and agreed that it will not offer, sell or deliver any Regulation S Notes purchased by it to, or for the account or benefit of, any U.S. Person or U.S. Resident (as determined for purposes of the Investment Company Act) as part of its distribution at any time 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 purchased by it 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. With respect to the Offered Notes initially sold pursuant to Regulation S, until the expiration of 40 days after the commencement of the distribution of the offering of the Offered Notes by either Initial Purchaser, with respect to offers or sales of the Offered Notes, an offer or sale of Offered Notes within the United States by a dealer that is 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 pursuant to another exemption from registration under the Securities Act. Each Initial Purchaser has represented, warranted and agreed that: (i) 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 Financial Services and Markets Act 2000 ("FSMA")) received by it in connection with the issue or sale of any Offered Notes in circumstances in which section 21(1) of the FSMA does not apply to the Issuers or Co-Issuer; and (ii) it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the Offered Notes in, from or otherwise involving the United Kingdom. The Offered Notes may not be offered or sold by means of any document other than to persons whose ordinary business is to buy or sell shares or debentures, whether as principal or agent, or in circumstances which do not constitute an offer to the public within the meaning of the Companies Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or document relating to the Offered Notes may be issued, whether in Hong Kong or elsewhere, which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to Offered Notes which are or are intended to be disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder. This Offering Circular has not been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, this Offering Circular and any other document or material in connection with the offer or sale, or invitation or subscription or purchase, of the Offered Notes may not be circulated or distributed, nor may the Offered Notes be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than under circumstances in which such offer, sale or invitation does not constitute an offer or sale, or invitation for subscription or purchase, of the Offered Notes to the public in Singapore. The Offered Notes have not been and will not be registered under the Securities and Exchange Law of Japan (the Securities and Exchange Law) and each Initial Purchaser has agreed that it will not offer or sell any Offered Notes, directly or indirectly, in Japan or to, or for the benefit of, any resident of Japan (which term as used herein means any person resident in Japan, including any corporation or other entity organized under the laws of Japan), or to others for re-offering or resale, directly or indirectly, in Japan or to a resident of Japan, except pursuant to an exemption from the registration requirements of, and otherwise in compliance with, the Securities and Exchange Law and any other applicable laws, regulations and ministerial guidelines of Japan. Each Initial Purchaser has agreed that it has not made and will not make any invitation to the public in the Cayman Islands to purchase any of the Offered Notes. Buyers of Regulation S Notes sold by the selling agent of Goldman, Sachs & Co. or Goldman Sachs International may be required to pay stamp taxes and other charges in accordance with the laws and practice of the country of purchase in addition to the purchase price.

95

No action has been or will be taken in any jurisdiction that would permit a public offering of the Offered Notes, or the possession, circulation or distribution of this Offering Circular or any other material relating to the Issuers, the Co-Issuer or the Offered Notes, in any jurisdiction where action for such purpose is required. Accordingly, the Offered Notes may not be offered or sold, directly or indirectly, and neither this Offering Circular nor any other offering material or advertisements in connection with the Offered Notes may be distributed or published, in or from any country or jurisdiction except under circumstances that will result in compliance with any applicable rules and regulations of any such country or jurisdiction. The Offered Notes are a new issue of securities with no established trading market. The Issuers and the Co-Issuer have been advised by each Initial Purchaser that each Initial Purchaser may make a market in the Offered Notes it is offering but is not obligated to do so and may discontinue market making at any time without notice. No assurance can be given as to the liquidity of the trading market for the Offered Notes. There can be no assurance that any secondary market for any of the Offered Notes will develop, or, if a secondary market does develop, that it will provide the Holders of the Offered Notes with liquidity of investment or that it will continue for the life of the Offered Notes. Application will be made to the Irish Stock Exchange to admit the Offered Notes to the Official List and to trading on the Irish Stock Exchange. There can be no assurance that such admission will be granted. The Issuers have agreed to indemnify the Initial Purchasers, the Portfolio Manager, the Company Administrator and the Trustee against certain liabilities, including in the case of the Initial Purchasers, liabilities under the Securities Act, or to contribute to payments they may be required to make in respect thereof. In addition, the Issuers have made certain representations and warranties to the Initial Purchasers and have agreed to reimburse the Initial Purchasers for certain of their expenses. The Initial Purchasers may, from time to time as principal or through one or more investment funds that it manages, make investments in the equity securities of one or more of the issuers of Collateral with the result that one or more of such issuers may be or may become controlled by the Initial Purchasers.

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INDEX OF DEFINED TERMS

$ ........................................................................7 ........................................................................7 ........................................................................7 Accredited Investor ..................................4, 8, 13 Accredited Investor Notes ..................................8 Additional EL ......................................................1 Additional Notes ...........................................3, 19 Additional Series ................................................3 Adjustment Calculation Date..............................3 Administration Agreement................................80 Agents ..............................................................17 Aggregate Loss Amount...................................64 Aladdin ...................................................4, 17, 76 Approved CDS Dealer........................................1 Assigned Moody's Rating...................................1 Average Outstanding Principal Amount ...........21 Average Outstanding Tranche Notional Amount ...........................................................1 Bankruptcy .......................................................69 Benefit Plan Investor ........................................91 BIE Acceptance Notice ......................................1 BIE Credit Criteria ..............................................1 BIE Economic Cost ............................................1 BIE Effective Date ..............................................1 BIE Eligible New Assets.....................................1 BIE Eligible Noteholder ......................................2 BIE Exchange ..............................................48, 2 BIE Exercise Period ...........................................2 BIE Expenses Cost ............................................2 BIE New Notes...................................................2 BIE Option ..........................................................2 BIE Proposed New Assets .................................2 BIE Refusal Notice .............................................2 BIE Request Notice............................................2 BIE Substitution............................................48, 2 BIE Tendered Notes...........................................2 BIE Transaction Cost .........................................2 BNY ..............................................................56, 2 Board of Directors ..............................................2 Book-Entry Notes .............................................10 Business Day .....................................................3 Calculation Date...............................................71 Cash Settlement Amount .................................65 Cash Settlement Date ........................................3 cause................................................................77 CDS Calculation Agent ......................................3 CDS Confirmation ............................................23 CDS Guarantor ................................................17 CFC ..................................................................84 CFCs ................................................................85 Class ................................................................41 Clearing System...............................................58 Clearstream..................................................3, 27 97

Closing Date ................................................ 3, 18 Code ................................................................ 81 Co-Issuer ..................................................... 1, 17 Collateral.................................................... 23, 40 Collateral Account.............................................. 3 Collateral Obligors ........................................... 30 Collateral Principal Amount ............................. 65 Collateral Proceeds ........................................... 3 Collateral Rate ................................................... 3 Company................................................1, 79, 89 Company Administrator ................................... 16 Conditions to Settlement.................................. 72 Controlling Person ........................................... 91 Corporate Market Reference Entity ................. 67 CPDIs............................................................... 83 Credit Default Swap ...................................23, 63 Credit Derivatives Definitions........................... 23 Credit Event Notice .......................................... 71 Cut-Off Date..................................................... 45 Default Requirement.......................................... 3 Definitive Note.................................................. 27 Definitive Notes................................................ 57 Delivery Instruction Certificate ......................... 47 Deposit Rate ...................................................... 3 Disposal Agent............................................. 3, 17 Disposal Collateral Proceeds............................. 3 Distribution Compliance Period ......................... 3 DOL.................................................................. 90 DTC.............................................................. 4, 27 Early Redemption Amount............................... 46 EI Minimum Long-Term Rating.......................... 3 EI Minimum Short-Term Rating ......................... 3 Eligible Depositary ............................................. 4 Eligible Investment............................................. 4 Eligible Investment Rate .................................... 5 ERISA .............................................................. 89 ERISA Plans .................................................... 89 ETA .................................................................. 47 EUR ................................................................... 7 euro.................................................................... 7 Euro zone........................................................... 5 Euroclear...................................................... 3, 27 Euroclear Clearance System ........................... 60 Euroclear Operator .......................................... 60 Event Determination Date.................................. 5 Event of Default ............................................... 51 Exchange Act................................................... 14 Extraordinary Resolution ................................... 5 Failure to Pay................................................... 70 Final Maturity Date........................................... 44 Final Notice Date ......................................... 45, 5 Final Payment Date ........................................... 5 FSMA ........................................................... 6, 95

General Account ..............................................91 Global Notes ....................................................27 Goldman Group................................................17 Governmental Authority .....................................5 Grace Period ......................................................5 GS Group .........................................................75 GSCM...............................................................17 Holder.................................................................6 Hurdle MM..........................................................6 Indenture ......................................................3, 17 indirect participants ..........................................60 Initial Purchaser ...............................................94 Initial Purchasers..............................................94 Initial Redemption Amount ...............................45 Interest Accrual Period...............................21, 42 Interest Determination Date ...............................6 Investment Agreement Guarantor..............25, 63 Investment Agreement Provider ......................25 Investment Agreements .............................25, 63 Investment Company Act ...................................1 Irish Paying Agent ............................................56 IRS ...................................................................80 ISDA Definitions .................................................6 ISDA Rate ........................................................42 Issue Date ..........................................................1 Issuer............................................................1, 79 Issuers..............................................................16 JPY.....................................................................7 Liquid Market Condition .....................................6 Listing Agent ....................................................56 local time ..........................................................11 Loss Amount ......................................................6 LT Addition .......................................................66 LT Credit Events ..............................................24 LT Loss Amount ...............................................64 LT Reference Entities.................................23, 64 LT Specified Portfolio .......................................23 Majority...............................................................6 Market Standard Terms ...................................64 Master Agreement............................................23 Maturity Date....................................................44 Maximum Potential Loss Amount ......................6 Minimum Denomination ...................................26 MM .....................................................................6 Moodys ..............................................................6 Moody's ..............................................................1 Moody's Metric ...................................................6 Moody's Model ...................................................6 Moody's Model Test 2 ........................................6 Moody's Notched Rating Limitation....................9 Moody's Rating...................................................7 New Spread .......................................................9 Non-U.S. Holder...............................................81 Note Calculation Agent ..............................17, 42 Note Interest Rates ..........................................21 Noteholder..........................................................6

Notes.................................................................. 1 Notice Delivery Period ..................................... 71 Notice of Publicly Available Information .......... 71 Notification Procedures.................................... 66 NPC ................................................................. 86 Obligation Acceleration.................................... 71 Obligations ......................................................... 9 Obligor Percentage ............................................ 9 Offered Note Issuer.......................................... 81 Offered Notes............................................... 1, 17 OID................................................................... 82 Old LT Reference Entity .................................. 66 Old Spread......................................................... 9 Old ST Reference Entity .................................. 66 Ordinary Shares.........................................16, 79 Original Principal Amount ................................ 21 Other Secured Obligations .............................. 19 Outstanding Principal Amount ................... 21, 45 Outstanding Specified Portfolio Notional Amount ........................................................... 9 Outstanding Tranche Notional Amount ............. 9 Page................................................................... 9 participants....................................................... 58 Parties in Interest ............................................. 90 Paying Agent.................................................... 17 Paying Agents.................................................. 18 Payment Date .............................................. 4, 20 Payment Report ......................................... 26, 75 Payment Requirement ..................................... 10 Pending Credit Event ....................................... 44 Pending Credit Event Collateral Principal Amount ......................................................... 10 Pending Credit Event Reference Entity ........... 10 Permitted Currency.......................................... 10 PFIC................................................................. 84 Plan Asset Regulation ..................................... 90 Plan Assets ...................................................... 90 Plans ................................................................ 90 Portfolio........................................................ 1, 16 Portfolio Management Agreement .........4, 17, 76 Portfolio Management Fee .............................. 78 Portfolio Manager............................................. 17 Portfolio Manager Affiliates.............................. 76 Portfolio Manager Information ......................... 10 Portfolio Manager Notes .................................. 77 Post-Trade MM ................................................ 10 Pre-Trade MM.................................................. 10 Primary Source ................................................ 10 Principal Financial Centre................................ 43 Priority of Payments......................................... 10 Proposed LT Addition ...................................... 66 Proposed LT Removal ..................................... 66 Proposed Replacement ................................... 66 Proposed ST Addition...................................... 66 Proposed ST Removal..................................... 66 Proposed ST Replacement.............................. 66

98

PTCE..........................................................90, 91 Purchase Agreement .......................................94 Purchase and Transfer Letter ............................8 QEF ............................................................28, 84 Qualified Institutional Buyer .....................4, 8, 13 Qualified Purchaser..................................4, 9, 13 Qualifying Country............................................10 Rating Agency..................................................10 Rating Agency Condition............................68, 10 Record Date .....................................................10 Reference Banks..............................................10 Reference Entity...............................................10 Reference Entity Notional Amount...................11 Registrar...........................................................17 Regulation S.......................................................1 Regulation S Notes ......................................4, 13 Related Entities ................................................35 Relevant Currency ...........................................11 Relevant Financial Centre................................11 Relevant Rate ..................................................11 Relevant Time ..................................................11 Remaining Subordination.................................11 Replacement ..............................................24, 34 Replacement Conditions ..................................67 Replacement LT Reference Entity ...................66 Replacement Page...........................................43 Replacement Reference Entity ........................66 Replacement Restrictions ................................66 Replacement ST Reference Entity...................66 Representative Amount....................................11 Repudiation/Moratorium...................................71 Reset Date .......................................................12 Reset Period ....................................................12 Restructuring....................................................70 RSA 421-B .........................................................5 Rule 144A...........................................................4 Rule 144A Global Notes...............................4, 27 Rule 144A Notes ................................................8 S&P ....................................................................1 S&P ..................................................................11 S&P CDO Evaluator.........................................11 S&P Rating.......................................................11 S&P Scenario Loss Rate..................................11 S&P SROC.......................................................11 S&P SROC CDO Evaluator Test .....................12 Scheduled Maturity Date..................................18 Scheduled Termination Date ...........................23 Secondary Replacement Page ........................43 Secured Obligations.........................................23 Secured Parties..........................................23, 40 Securities Act .....................................................1 Segregated Portfolio ..............................1, 16, 79 Series ...........................................................1, 12 Series B-1 Investment Agreement .............25, 63 Series B-1 Issuer..........................................1, 16

Series B-1 Note Interest Rate.......................... 20 Series B-1 Notes.......................................... 1, 17 Series C-1 Investment Agreement............. 25, 63 Series C-1 Issuer ......................................... 1, 16 Series C-1 Note Interest Rate.......................... 20 Series C-1 Notes.......................................... 1, 17 Series C-2 Issuer ......................................... 1, 16 Series C-2 Note Interest Rate.......................... 20 Series C-2 Notes.......................................... 1, 17 Series C-3 Issuer ......................................... 1, 16 Series C-3 Note Interest Rate.......................... 20 Series C-3 Notes.......................................... 1, 17 Series C-4 Issuer ......................................... 1, 16 Series C-4 Note Interest Rate.......................... 20 Series C-4 Notes.......................................... 1, 17 Series Fixed Amounts...................................... 72 Series Threshold.............................................. 65 Settlement Currency ........................................ 18 Share Trustee .................................................. 16 Sovereign Market Reference Entity ................. 67 Specified Duration............................................ 12 Specified Portfolios .......................................... 23 ST Addition ...................................................... 66 ST Credit Event Adjustment ............................ 68 ST Credit Events.............................................. 24 ST Reference Entities................................ 23, 64 ST Removal ..................................................... 66 ST Specified Portfolio ...................................... 23 Subordination Adjustment Floor ...................... 69 Succession Event ............................................ 64 Successor ........................................................ 64 Swap Counterparty Costs................................ 12 Swap Counterparty Default.............................. 12 Swap Guarantor............................................... 75 Tax Imposition.................................................. 46 Temporary Regulation S Global Note.............. 27 Trading Adjustment.......................................... 68 Trading Period ................................................. 12 Tranche Incurred Loss Amount ....................... 64 Transaction Documents................................... 18 Transaction Percentage................................... 12 Treasury........................................................... 12 Trustee......................................................... 3, 17 Turnover Limit .................................................. 12 U.S. Dollars........................................................ 7 U.S. Holder ...................................................... 81 U.S. Person...................................................... 27 U.S. Resident................................................... 94 U.S. Shareholder ............................................. 85 U.S.$ .................................................................. 7 USD ................................................................... 7 USD Notes ....................................................... 13 Vendor ............................................................. 13 yen ..................................................................... 7 Zero Redemption Amount................................ 13

99

APPENDIX A CERTAIN DEFINITIONS Additional EL means the default probability derived from Moody's "Idealized" Default Rate table, based on the number of years to the Scheduled Maturity Date and the current rating of the Collateral Securities. "Approved CDS Dealer" means a Reference Dealer which has executed a credit derivative transaction (on then applicable standard market terms) with respect to the relevant Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) at least twice in each month for the preceding six months or, if shorter, each month since such Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) came into existence whether following a Succession Event or otherwise. For the avoidance of doubt, the Liquid Market Condition will not be satisfied if the relevant Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) is trading on an up-front premium only basis. "Assigned Moody's Rating" means the (i) monitored publicly available rating expressly assigned to a debt obligation (or facility) by Moody's that addresses the full amount of the principal and interest promised, (ii) the monitored estimated rating expressly assigned to a debt obligation (or facility) by Moody's that addresses the full amount of the principal and interest promised or (iii) the private rating expressly assigned to a debt obligation (or facility) by Moody's. No Assigned Moody's Rating may be based on a rating assigned by S&P or any other nationally recognized rating agency unless such rating is a monitored public rating expressly assigned by S&P or such other nationally recognized rating agency. "Average Outstanding Tranche Notional Amount" means, with respect to a Credit Default Swap and an Interest Accrual Period, the arithmetic average of the Outstanding Tranche Notional Amount of such Credit Default Swap for each day of such Interest Accrual Period. "BIE Acceptance Notice" means a notice from the Trustee specifying (i) the BIE Effective Date; (ii) the BIE Transaction Cost; (iii) the Trustee's account into which the BIE Eligible New Assets must be delivered; and (iv) the Trustee's account into which the BIE Transaction Cost must be paid. "BIE Credit Criteria" means, in respect of any BIE Proposed New Assets, that (i) in respect of Rated Notes, such assets have a rating (from the same rating agency) at least equal to the rating applicable as of the Issue Date (as defined in the related Confirmation) (the "Issue Date") to the Collateral Securities underlying the BIE Tendered Notes; and (ii) each Secured Party ranking senior to the Noteholders consents to the identity and creditworthiness of the obligor of such BIE Proposed New Assets (such consent not to be unreasonably withheld). "BIE Economic Cost" means the aggregate cost to the relevant Issuer, as determined by the CDS Calculation Agent, of partially or fully terminating, adjusting, re-collateralizing or entering into any credit default swaps in respect of the BIE Tendered Notes or any BIE New Notes as a result of the exercise of the BIE Option (including any adjustments made as a result of any reduction in the value of the relevant Collateral to the Swap Counterparty). "BIE Effective Date" means the date determined by the Note Calculation Agent on which the BIE Substitution or BIE Exchange (as the case may be) will be effective (which may be no earlier than 15 Business Days following delivery of the BIE Request Notice and no later than the earlier of (i) 30 Business Days following delivery of the BIE Request Notice and (ii) 5 Business Days prior to the Maturity Date). "BIE Eligible New Assets" means assets that (i) are denominated in the same currency as the Collateral Securities and the Offered Notes of a related Series; (ii) have a minimum denomination that (A) the minimum denomination of the Offered Notes is integrally divisible by and (B) is integrally divisible by the minimum denomination of the Collateral Securities or that the minimum denomination of the Collateral Securities is integrally divisible into and (iii) meet the BIE Credit Criteria.

A-1

"BIE Eligible Noteholder" means an entity which is not the vendor to the relevant Issuer of Collateral Securities in respect of the relevant Series of Offered Notes (the Vendor), is not controlled by the Vendor, does not control the Vendor and is not under common control with the Vendor. For this purpose, control means direct or indirectly exercising ownership of a majority of the voting power of the entity. "BIE Exchange" means the exercise by any BIE Eligible Noteholder of a BIE Option to exchange its BIE Tendered Notes for an equal aggregate principal amount of BIE New Notes secured by BIE Proposed New Assets as described herein under "Description of the Offered NotesRedemption, Purchase and OptionsBIE Option". "BIE Exercise Period" means the period from and including the delivery of a BIE Acceptance Notice to but excluding the day two Business Days prior to the BIE Substitution Date specified in such Notice. "BIE Expenses Cost" means the aggregate of the Expenses of the relevant Issuer and each of the Transaction Counterparties (including legal costs and Taxes) that will be incurred as a result of the exercise of the BIE Option, as determined by the CDS Calculation Agent. "BIE New Notes" means Offered Notes of a new series having terms substantially similar to the BIE Tendered Notes but having a security interest in the BIE Proposed New Assets. "BIE Option" means an option permitting a BIE Eligible Noteholder to exchange its beneficial interests in the Collateral Securities securing its Offered Notes for a beneficial interest in BIE Eligible New Assets as described herein under "Description of the Offered NotesBIE Option". "BIE Proposed New Assets" means assets specified as such in a BIE Request Notice. "BIE Refusal Notice" means a notice from the Trustee to a Noteholder notifying that the exercise of the BIE Option set out in such Noteholder's BIE Request Notice has been refused as described herein under "Description of the Offered NotesBIE Option". "BIE Request Notice" means, a notice from a BIE Eligible Noteholder to the Trustee and the Note Calculation Agent requesting the relevant Issuer's consent to (a) exchange such Noteholder's entire holding of Offered Notes for an equal aggregate principal amount of BIE New Notes or (b) if such Noteholder is a 100% Noteholder and the notice so specifies, substitute 100 per cent of the Collateral Securities with BIE Proposed New Assets. Such notice will certify that such Noteholder is not a United States resident and will specify (i) the Noteholder's identity; (ii) contact details and details of cash and securities accounts for such Noteholder; (iii) the identity and nominal amount of the BIE Proposed New Assets and (iv) a proposed date for such substitution. "BIE Substitution" means the exercise by a 100% Noteholder of a BIE Option to substitute the relevant Collateral Securities with BIE Proposed New Assets as described herein under "Description of the Offered NotesBIE Option". "BIE Tendered Notes" means, in respect of any Noteholder who has delivered a BIE Request Notice, such Noteholder's entire holding of Offered Notes. "BIE Transaction Cost" means, in respect of any exercise of the BIE Option, the aggregate of (i) the BIE Economic Cost and (ii) the BIE Expenses Cost. "BNY" means The Bank of New York. "Board of Directors" means, with respect to the Company, the directors of the Company duly appointed by the shareholders or the directors of the Company.

A-2

"Business Day" mean any day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in London, New York and, in the case of the Series C-4 Notes, Tokyo. "Cash Settlement Date" means with respect to any LT Reference Entity, (a) if Puttable Collateral Securities (as defined in the related Indenture) are not applicable (as specified in the relevant Confirmation), the Cash Settlement Date will be 10 Business Days following the relevant Calculation Date; (b) if Puttable Collateral Securities are applicable (as specified in the relevant Confirmation) and the relevant Calculation Date falls on or before the Scheduled Termination Date, the Cash Settlement Date will be the next succeeding Collateral Put Date (as defined in the Indenture) following such Calculation Date, provided that if such Calculation Date (an "Adjustment Calculation Date") falls within a 10 Business Day period prior to such Collateral Put Date, the Cash Settlement Date will be (i) the second Collateral Put Date following such Adjustment Calculation Date, or (ii) if there is no such second succeeding Collateral Put Date, the date which is 10 Business Days following the Adjustment Calculation Date; and (c) if Puttable Collateral Securities are applicable and the applicable Calculation Date falls after the Scheduled Termination Date, the Cash Settlement Date will be 10 Business Days following such Calculation Date. "CDS Calculation Agent" means Goldman Sachs Capital Markets, L.P. "Collateral Account" means, with respect to any Series, a segregated non-interest bearing trust account, including all sub-accounts thereof, held in the name of the Trustee into which Collateral for such Series will be deposited from time to time. "Collateral Proceeds" means (i) with respect to any Collateral Securities consisting of Puttable Collateral Securities, the proceeds of the exercise of the put option in respect of such Puttable Collateral Securities, excluding any accrued interest, (ii) with respect to any Collateral Securities consisting of cash, the amount of such cash; (iii) with respect to any Collateral Securities consisting of guaranteed investment agreements, the proceeds of a principal withdrawal thereunder (net of any breakage, fees or other costs, expenses or deductions in respect of such withdrawal under such investment agreement), excluding any accrued interest, or (iv) with respect to any other Collateral Securities, the proceeds of the sale (net of any incidental costs of such sale (including taxes)) of the relevant portion of such Collateral Securities required to be sold pursuant to the Indenture, excluding any accrued interest. "Collateral Rate" has the meaning specified in the applicable Credit Default Swap. "Default Requirement" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap. "Deposit Rate" has the meaning, with respect to any Series of Offered Notes, given to such term in the related Indenture. "Disposal Collateral Proceeds" means the proceeds of the sale, redemption, liquidation or other disposal (net of any incidental costs (including taxes) of such sale) of the relevant portion of the Collateral Securities or any other Collateral with respect to the relevant Series of Offered Notes, in each case, required to be sold, liquidated or otherwise disposed of pursuant to the Indenture, including any accrued interest. "Distribution Compliance Period" with respect to the Offered Notes ends 40 days after the later of (i) the commencement of the offering of the Offered Notes and (ii) the applicable Closing Date. "EI Minimum Long-Term Rating" means a long-term debt credit rating of "AAA" from S&P and "Aaa" from Moody's (and, in the case of money market funds and similar funds, "AAAm" from S&P and "Aaa/MR1+" from Moody's). "EI Minimum Short-Term Rating" means a short-term credit rating of "A-1+" from S&P and "P-1" from Moody's.

A-3

"Eligible Depositary" shall be a financial institution organized under the laws of the United States or any state thereof, authorized to accept deposits, having a combined capital and surplus of at least U.S.$200,000,000, and having a long-term debt rating of at least "A" and a short-term debt rating of at least "A-1" by S&P and a long-term debt rating of at least Baa2 from Moodys. "Eligible Investment" means, with respect to any Series of Offered Notes, cash and any Settlement Currency denominated investment that is one or more of the following obligations or securities: (a) direct obligations of, and obligations the timely payment of principal of and interest under which is fully and expressly guaranteed by, a Qualifying Country or any agency or instrumentality of a Qualifying Country, the obligations of which are fully and expressly guaranteed by such Qualifying Country; (b) demand and time deposits in, certificates of deposit of and bankers' acceptances issued by, any depository institution or trust company incorporated under the laws of a Qualifying 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 the contractual commitment providing for such investment have a long-term credit rating of not less than the EI Minimum Long-Term Rating or a short-term credit rating of not less than the EI Minimum Short-Term Rating, provided that in the case of commercial paper and short-term debt obligations with 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 EI Minimum Long-Term Rating; (c) subject to receipt of written confirmation from S&P and Moody's that such investment will not result in the reduction or withdrawal of its then-current ratings of the Notes, unleveraged repurchase obligations with respect to: (i) any obligation described in sub-Clause (a) above; or

(ii) any other security issued or guaranteed by an agency or instrumentality of a Qualifying 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 EI Minimum Long-Term Rating or whose short-term debt obligations are rated not less than the EI Minimum Short-Term Rating at the time of such investment 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 EI 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 a Qualifying Country that have a long-term credit rating of not less than the EI Minimum Long-Term Rating at the time of such investment or the contractual commitment providing for such investment; (e) commercial paper or other short-term obligations having, at the time of such investment, a short-term credit rating of not less than the EI 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 EI Minimum Long-Term Rating; (f) off-shore funds investing in the money markets rated at all times not less than the EI Minimum Long-Term Rating; and

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(g)

any other investment similar to those described in paragraphs (a) to (f) (inclusive) above:

(i) in respect of which written confirmation has been received from S&P and Moody's that such investment will not result in the reduction or withdrawal of its then-current ratings, if any, of the Notes; 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 EI 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 EI Minimum Short-Term Rating, provided, however, that Eligible Investments shall not include any investment which is subject to stamp duty or stamp duty reserve tax, directly or upon reissuance or transfer thereof, mortgage backed security, interest-only security, investment subject to withholding or similar taxes or that does not contain an obligation on the relevant issuer to gross up if such a tax is imposed, security rated with a p, pi, q, r or t subscript by S&P, security purchased at a price in excess of 100% of par or any security whose return is inversely proportional to the movement of any index or indices or whose repayment is subject to substantial non-credit related risk. Each such Eligible Investment shall mature no later than the Business Day immediately preceding the Payment Date next following the date such investment is made. "Eligible Investment Rate" has the meaning, with respect to any Series of Offered Notes, given to such term in the related Indenture. "Euro zone" means the region comprised of member states of the European Union that adopt the single currency in accordance with the Treaty establishing the European Community, as amended by the Treaty on European Union. "Event Determination Date" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap. "Extraordinary Resolution" means, in respect of a Series of Offered Notes, a resolution passed by the Holders of Notes representing not less than 66-2/3% of the Aggregate Outstanding Principal Amount of such Series of Offered Notes. "Final Notice Date" means the day that is 12 calendar days following the later of (a) the Scheduled Maturity Date, if a Notice of Publicly Available Information has not been delivered on or prior to the Cut-Off Date in accordance with item (ii) of the definition of "Pending Credit Event", (b) the Grace Period Extension Date, if item (i) of the definition of "Pending Credit Event" is applicable and if (A) Grace Period Extension is applicable to the relevant Reference Entity, (B) the Credit Event that is the subject of the Credit Event Notice is a Failure to Pay that occurs after the Cut-Off Date and (C) the Potential Failure to Pay with respect to such Failure to Pay occurs on or prior to the Cut-Off Date and (c) the Repudiation/Moratorium Evaluation Date, if item (i) of the definition of "Pending Credit Event" is applicable and if (A) the Credit Event that is the subject of the Credit Event Notice is a Repudiation/Moratorium that occurs after the Cut-Off Date, (B) the Potential Repudiation/Moratorium with respect to such Repudiation/Moratorium occurs on or prior to the Cut-Off Date and (C) the Repudiation/Moratorium Extension Condition is satisfied. "Final Payment Date" means a Payment Date in connection with the Maturity Date or redemption due to an Event of Default resulting in acceleration of the Offered Notes and liquidation of the Collateral. "Governmental Authority" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap. "Grace Period" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap.

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"Holder" or "Noteholder" means, with respect to any Offered Note the person in whose name such Offered Note is registered, or, for purposes of voting, the granting of consents and other similar determinations under the Indentures, and with respect to any Offered Notes in global form, a beneficial owner thereof. "Hurdle MM" means Moody's Metric corresponding to the initial rating of the Series assigned to it on the applicable Issue Date. "Interest Determination Date" means, with respect to an Interest Rate and Interest Accrual Period, the date specified as such in the relevant Indenture or, if none is so specified, (a) the first day of such Interest Accrual Period if the Relevant Currency is Sterling or (b) the day falling two Business Days in London for the Relevant Currency prior to the first day of such Interest Accrual Period if the Relevant Currency is neither Sterling nor euro. "ISDA Definitions" means the 2000 ISDA Definitions, as published by the International Swaps and Derivatives Association, Inc. and as amended and updated as at the Issue Date of the first Offered Notes, unless otherwise specified herein. "Liquid Market Condition" means a test that, with respect to any Proposed LT Replacement or Proposed ST Replacement, will be satisfied if (i) the Swap Counterparty determines, in good faith and in a commercially reasonable manner, that liquidity exists with respect to both the Old LT Reference Entity and the Replacement LT Reference Entity (in the case of an LT Replacement) or with respect to both the Old ST Reference Entity and the Replacement ST Reference Entity (in the case of an ST Replacement); or (ii) the Portfolio Manager has obtained bid or offer side spread quotations on the applicable Market Standard Terms from at least one Approved CDS Dealer in respect of the Old LT Reference Entity or Old ST Reference Entity (as applicable), and both bid and offer side spread quotations on the applicable Market Standard Terms from at least 3 Approved CDS Dealers for at least two maturities, in respect of the Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable). The first such quotation shall have a maturity date of one year from the Proposed LT Replacement Date or Proposed ST Replacement Date (as applicable) and the second such quotation shall have a maturity date equal to the Scheduled Termination Date, provided that if there are less than two years remaining between the Proposed LT Replacement Date or Proposed ST Replacement Date (as applicable) and the Scheduled Termination Date, then one quotation with a bid and offer spread with a maturity date equal to the Scheduled Termination Date will be required. "Loss Amount" has the meaning given to such term in the Credit Default Swap. "Majority" means with respect to any Series of Offered Notes, the Holders of more than 50% of the aggregate outstanding principal amount of such Series of Offered Notes. "Maximum Potential Loss Amount" means, with respect to any Series of Offered Notes, the sum of the Pending Credit Event Collateral Principal Amounts with respect to each Pending Credit Event LT Reference Entity. "Moody's Metric" or "MM" means the numerical equivalent of an alpha-numerical rating deduced from the tranche Expected Loss ("EL") and the tranche number of years to the Scheduled Maturity Date (linearly interpolated and expressed to 2 decimals) and taking into account the Additional EL. The MM measure is time independent. All MMs are output by the model where necessary. "Moodys" means Moodys Investors Service, Inc. or any successor thereto. "Moody's Model" means the licensed Moody's CDOROM model in the form provided by Moody's. The Moody's Model may be updated by Moody's from time to time and in such cases the Portfolio Manager will be notified. "Moody's Model Test 2" means a test that will be satisfied if either of the following conditions are met:

A-6

(1) (2) MM.

if the Pre-Trade MM is less than or equal to the Hurdle MM + 6; or if the Post-Trade MM is less than or equal to (i) the Hurdle MM + 3, or (ii) the Pre-Trade

"Moody's Rating" means that, with respect to any Reference Entity as of any date of determination, the rating determined in accordance with the following, in the following order of priority: (a) if the obligor has a senior unsecured obligation with an Assigned Moody's Rating, such Assigned Moody's Rating (as defined herein); (b) if the preceding clauses do not apply, but the obligor has a subordinated obligation with an Assigned Moody's Rating, then (i) if such Assigned Moody's Rating is at least "B3" (and, if rated "B3," not on watch for downgrade), the Moody's Rating shall be the rating which is one rating subcategory higher than such Assigned Moody's Rating, or (ii) if such Assigned Moody's Rating is less than "B3" (or rated "B3" and on watch for downgrade), the Moody's Rating shall be such Assigned Moody's Rating; (c) if the preceding clauses do not apply, but the obligor has a senior secured obligation with an Assigned Moody's Rating, then: (i) if such Assigned Moody's Rating is at least "Caa3" (and, if rated "Caa3," not on watch for downgrade), the Moody's Rating shall be the rating which is one subcategory below such Assigned Moody's Rating, or (ii) if such Assigned Moody's Rating is less than "Caa3" (or rated "Caa3" and on watch for downgrade), then the Moody's Rating shall be "C"; (d) if the preceding clauses do not apply, but such obligor has a corporate family rating from Moody's, the Moody's Rating shall be one rating subcategory below such corporate family rating; (e) if the preceding clauses do not apply, but the obligor has a senior unsecured obligation (other than a bank loan) with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations) that addresses the full amount of principal and interest promised, then the Moody's Rating shall be: (i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, (ii) two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or (iii) otherwise determined as follows: the Portfolio Manager on behalf of the relevant Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; (f) if the preceding clauses do not apply, but the obligor has a subordinated obligation (other than a bank loan) with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations, that addresses the full amount of principal and interest promised), the Moody's Rating shall be deemed to be:

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(i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, (ii) two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or (iii) otherwise determined as follows: the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; (g) if the preceding clauses do not apply, but the obligor has a senior secured obligation with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations) that addresses the full amount of principal and interest promised, the Moody's Rating shall be deemed to be: (i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, (ii) two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or (iii) otherwise determined as follows: the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; (h) if the preceding clauses do not apply, the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; (i) if the preceding clauses do not apply and each of the following clauses (i) through (viii) do apply, the Moody's Rating will be "Caa1": (i) neither the obligor nor any of its Affiliates is subject to reorganization or bankruptcy proceedings, (ii) no debt securities or debt obligations of the obligor are in default,

(iii) neither the obligor nor any of its Affiliates has defaulted on any debt during the preceding two years, (iv) (v) the obligor has been in existence for the preceding five years, the obligor is current on any cumulative dividends,

(vi) the fixed-charge ratio for the obligor exceeds 125% for each of the preceding two fiscal years and for the most recent quarter, (vii) quarter, and the obligor had a net profit before tax in the past fiscal year and the most recent

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(viii) the annual financial statements of such 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; (j) if the preceding clauses do not apply but each of the following clause (i) and (ii) do apply, the Moody's Rating will be "Caa3": (i) neither the Obligor nor any of its Affiliates is subject to reorganization or bankruptcy proceedings; and (ii) no debt security or debt obligation of such obligor has been in default during the past two years; and (k) if the preceding clauses do not apply and a debt security or debt obligation of the obligor has been in default during the past two years, the Moody's Rating will be "Ca." Notwithstanding the foregoing, if the Moody's rating or ratings used to determine the Moody's Rating are on watch for downgrade or upgrade by Moody's, such rating or ratings will be adjusted down one subcategory (if on watch for downgrade) or up one subcategory (if on watch for upgrade). Notwithstanding the foregoing, no more than 10.0% of the Reference Entities in the LT Reference Portfolio by Reference Entity Notional Amount, may be given a Moody's Rating based on a rating given by S&P as provided in clauses (e), (f) and (g) above (the "Moody's Notched Rating Limitation"). "Moody's Sector" has the meaning given to such term in the Credit Default Swap. "New Spread" has the meaning given to such term in the Credit Default Swap. "Obligations" means the type of obligations for each category of Market Standard Terms that will be used to determine if a Credit Event has occurred. "Obligor Percentage" means, with respect to any LT Reference Entity or ST Reference Entity, the applicable Reference Entity Notional Amount divided by the LT Reference Portfolio Notional Amount. "Old Spread" has the meaning given to such term in the Credit Default Swap. "Outstanding Specified Portfolio Notional Amount" means, at any time, the sum of the applicable Reference Entity Notional Amounts with respect to the LT Specified Portfolio or ST Specified Portfolio (as applicable) at such time (for the avoidance of doubt, the Reference Entity Notional Amount of each LT Reference Entity or ST Reference Entity (as applicable) in respect of which the Conditions to Settlement have been satisfied shall be deemed to be zero); "Outstanding Tranche Notional Amount" means, with respect to the Credit Default Swap relating to any Series of Offered Notes, at any time on any day, the greater of (a) the Original Tranche Notional Amount of such Credit Default Swap less the sum of all Tranche Incurred Loss Amounts (if any) determined in respect of such Credit Default Swap up to, and including, such time; and (b) zero. The Outstanding Tranche Notional Amount of any Credit Default Swap will be reduced by any Tranche Incurred Loss Amount with respect to a Credit Event in respect of an LT Reference Entity on the relevant Determination Date relating to such Credit Event. "Page" means such page, section, caption, column or other part of a particular information service (including, but not limited to, the Reuters Markets 3000 (Reuters) and Bridge/Telerate (Telerate)) as may be specified for the purpose of providing a Relevant Rate, or such other page, section, caption, column or other part as may replace it on that information service or on such other information service, in each case as may be nominated by the person or organization providing or sponsoring the information appearing there for the purpose of displaying rates or prices comparable to that Relevant Rate.

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"Payment Requirement" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap. "Pending Credit Event Collateral Principal Amount" means, with respect to any Series of Offered Notes, an amount equal to the product of the relevant Transaction Percentage and the Tranche Incurred Loss Amount under the related Credit Default Swap, as determined by the Note Calculation Agent on the Scheduled Maturity Date, calculated in respect of each Pending Credit Event LT Reference Entity assuming (a) the applicable Calculation Date were the Scheduled Maturity Date and (b) the Loss Amount with respect to each such Pending Credit Event LT Reference Entity is equal to the product of 50% and the relevant Reference Entity Notional Amount. "Pending Credit Event LT Reference Entity" means each LT Reference Entity in respect of which a Pending Credit Event has occurred but, as at the Scheduled Maturity Date, the Calculation Date has not occurred. "Permitted Currency" has the meaning given to such term in the Credit Derivatives Definitions, as amended by the applicable Credit Default Swap. "Portfolio Manager Information" means the section entitled "The Portfolio Manager" in this Offering Circular. "Post-Trade MM" means the MM obtained after giving effect to all proposed Replacements to the Specified Portfolios. "Pre-Trade MM" means the MM obtained prior to the removal of the Old Reference Entity/Entities from the Specified Portfolios. "Primary Source" has the meaning given to such term in the related Indenture. "Priority of Payments" means the priority of payments described under "Description of the Offered NotesPriority of Payments". "Qualifying Country" means a country having a foreign currency issuer credit rating of "AA" or above by S&P and "Aa2" or above by Moody's or otherwise approved by S&P and Moody's; provided that with respect to any Series of Notes with a rating of "AAA" by S&P, "Qualifying Country" shall mean a country having a foreign currency issuer credit rating of "AAA" or above by S&P. "Rating Agency" means S&P, Moodys or any other rating agency then rating a Series of Offered Notes. "Rating Agency Condition" means, with respect to any action taken or to be taken under the Transaction Documents, a condition that is satisfied when each Rating Agency has confirmed in writing to the relevant Issuer and the Portfolio Manager that such action will not result in the immediate withdrawal, reduction or other adverse action with respect to any then-current rating of any Series of Offered Notes. Record Date means, in respect of any Payment Date, the last day of the calendar month preceding the month in which such Payment Date occurs. "Reference Banks" means the institutions specified as such in the relevant Indenture or, if none, four major banks selected by the Note Calculation Agent in the inter-bank market (or, if appropriate, money, swap or over-the-counter index options market) that is most closely connected with the relevant rate (which if EURIBOR is the relevant Benchmark, shall be the Euro-Zone). "Reference Entity" means, subject to any LT Replacement effected in accordance with the Portfolio Management Terms, each LT Reference Entity set out in Schedule 1(a) of the CDS Confirmation and, subject to any ST Replacement effected in accordance with the Portfolio Management Terms, each ST Reference Entity set out in Schedule 1(b) of the CDS Confirmation and any Successor (as such term is defined in the CDS Confirmation).

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"Reference Entity Notional Amount" means, with respect to any Reference Entity, the amount set out in Schedule 1 of the Standard CDS Terms as the Reference Entity Notional Amount with respect to such Reference Entity (subject to amendment in accordance with the Standard CDS Terms). "Relevant Currency" means the currency specified on the relevant Note or, if none is specified, the currency in which the relevant Notes are denominated. "Relevant Financial Centre" means, with respect to any Floating Rate to be determined on an Interest Determination Date, the financial centre as may be specified as such in the relevant Indenture or, if none is so specified, the financial centre with which the relevant rate is most closely connected (which, in the case of EURIBOR, shall be the Euro-zone) or, if none is so connected, London. "Relevant Rate" means the Benchmark, for a Representative Amount of the Relevant Currency for a period equal to the Specified Duration commencing on the effective date of such rate. "Relevant Time" means, with respect to any Interest Determination Date, the local time in the Relevant Financial Centre or, if none is specified, the local time in the Relevant Financial Centre at which it is customary to determine bid and offered rates in respect of deposits in the Relevant Currency in the inter-bank market in the Relevant Financial Centre and for this purpose "local time" means with respect to Euro-Zone, as a Relevant Financial Centre, Central European Time. "Remaining Subordination" means with respect to any Series or series of Offered Notes the Threshold Amount less the Aggregate Loss Amount in respect of all LT Reference Entities. "Representative Amount" means, with respect to any Floating Rate to be determined on an Interest Determination Date, the amount specified as being representative for a single transaction in the relevant market at the time. "S&P" means Standard & Poors Ratings Services, a division of The McGraw-Hill Companies, Inc., or any successor thereto. "S&P CDO Evaluator" means a dynamic, analytical computer program developed by S&P to be used by the Portfolio Manager (acting in good faith and in a commercially reasonable manner) to determine the risk of Credit Events occurring under the LT Specified Portfolio and ST Specified Portfolio and provided to the Portfolio Manager, as such program may be modified by S&P from time to time; "S&P Rating" means, with respect to any LT Reference Entity or any ST Reference Entity (as applicable), if such LT Reference Entity or such ST Reference Entity or the guarantor who unconditionally and irrevocably guarantees the relevant Reference Obligation or any pari passu ranked obligation is rated by S&P, the issuer credit rating assigned by S&P to the LT Reference Entity, ST Reference Entity or such guarantor (as applicable). "S&P Scenario Loss Rate" means an estimate of the cumulative loss rate for the LT Specified Portfolio, consistent with the initial rating by S&P with respect to the Transaction, determined by application of the S&P CDO Evaluator version 3.2 (GS) at such time which shall include, amongst other things, the S&P Ratings and S&P recovery rate in respect of the LT Reference Entities and ST Reference Entities (as applicable) "S&P SROC" means, at any time, the percentage amount calculated by the S&P CDO Evaluator in accordance with the formula below:

A ( A * B) SROC = AC
where:

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A= the applicable Outstanding Specified Portfolio Notional Amount in respect of all LT Reference Entities; B= C= the S&P Scenario Loss Rate as calculated by the S&P CDO Evaluator; the greater of (a) Remaining Subordination and (b) zero;

"S&P SROC CDO Evaluator Test" means a test that will be satisfied if following the LT Replacement or ST Replacement (as applicable), the S&P SROC is a positive figure greater than or equal to 100%, or if the S&P SROC immediately prior to the LT Replacement or ST Replacement (as applicable) is less than 100%, such LT Replacement or ST Replacement (as applicable) does not cause the S&P SROC to be a smaller percentage. This will be determined using the S&P CDO Evaluator. "Series" with respect to the Offered Notes, Series B-1, Series C-1, Series C-2, Series C-3 and Series C-4, and with respect to any other Notes of the Company issued on account of one or more Segregated Portfolios, any other series of Notes designated as a "Series" and issued in respect of Segregated Assets of the Company. "Specified Duration" means, with respect to any Floating Rate to be determined on an Interest Determination Date, the duration specified in the relevant Indenture or, if none is specified, a period of time equal to the relevant Interest Accrual Period. "Swap Counterparty" means initially, Goldman Sachs Capital Markets, L.P., and any permitted successors and assigns. "Swap Counterparty Costs" means, in respect of an LT Replacement, an ST Replacement or any ST Reference Entity as to which an ST Credit Event has occurred and the Conditions to Settlement have been satisfied, an amount that the Swap Counterparty determines in good faith and in a commercially reasonable manner to be its total losses and costs in connection with such LT Replacement, ST Replacement or ST Credit Event, including without limitation, any loss of bargain, cost of funding or, at the election of the Swap Counterparty but without duplication, loss or cost incurred as a result of its terminating, liquidating, obtaining or re-establishing any hedge or related trading position. "Swap Counterparty Default" means (i) An "Event of Default" (as defined in the Master Agreement relating to the Credit Default Swap) with respect to which the Swap Counterparty is the "Defaulting Party" or (ii) a "Termination Event" (other than a "Tax Event" or "Illegality") (each as defined in the Master Agreement relating to the Credit Default Swap) with respect to which the Swap Counterparty is the sole "Affected Party" (as defined in the Master Agreement relating to the Credit Default Swap). "Trading Period" means the period from and including the Effective Date to but excluding the date that is 30 calendar days prior to the Scheduled Maturity Date. "Transaction Percentage" has the meaning given to such term in the Credit Default Swap. "Treasury" means the United States Department of the Treasury. "Turnover Limit" means a test that will not be breached by a Proposed Replacement if the (i) the aggregate Reference Entity Notional Amounts of all Replacement LT Reference Entities and Replacement ST Reference Entities effected pursuant to LT Replacements or ST Replacements, as applicable, during the relevant Reset Period does not exceed 25% of the Outstanding Specified Portfolio Notional Amount as of the beginning of the Reset Period and (ii) the aggregate number of both LT Replacements and ST Replacements effected in the relevant Reset Period is less than or equal to 25, where "Reset Period" means, with respect to any Proposed Replacement, the period from and including the immediately preceding Reset Date (or, in relation to the first such period, the Issue Date) to, but excluding, the next succeeding Reset Date; and "Reset Date" means each anniversary of the Closing Date; provided that, solely for purposes of determining compliance with the Turnover Limit, any series of multiple LT Replacements effected at the same time on the same date shall count as only as single LT Replacement and any series of multiple ST Replacements effected at the same time on the same date shall count as only as single ST Replacement.

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"USD Notes" means any Notes that are denominated in USD. "Vendor" means in relation to any Series of Offered Notes, the vendor of the Collateral Securities to the relevant Issuer in respect of that Series of Notes. "Zero Redemption Amount" means, in relation to Offered Notes to be redeemed as described under "Description of the Offered NotesZero Redemption Option", the sum of (a) an amount equal to the aggregate Outstanding Principal Amount of all the Offered Notes so redeemed plus (b) interest accrued, paid or payable in respect of Collateral in an amount equal to such principal amount during the period from, and including, the Zero Redemption Date to, but excluding, the Zero Redemption Payment Date; plus (c) in respect of any amounts credited to the relevant Collateral Account in accordance with the relevant Indenture, as such relates to such proceeds and accrued interest, any interest accrued thereon in accordance with such Indenture.

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APPENDIX B Standard CDS Terms and Form of Credit Default Swap STANDARD TERMS OF CDS CONFIRMATION The following is the text of the terms and conditions (the "Standard CDS Terms") that, subject to execution of a Credit Default Swap between the relevant Issuer and the Swap Counterparty in relation to a particular Series of Notes, shall be incorporated by reference into the terms of that Credit Default Swap. References in these Standard CDS Terms to a "Transaction" or "Confirmation" are to the Credit Default Swap for the relevant Series and the Confirmation relating thereto as supplemented by the terms and conditions set out in these Standard CDS Terms. References in these Standard CDS Terms to the "Notes" are to the relevant Series of Notes identified in the relevant Confirmation. References in this section to a "Schedule" are to the corresponding Schedule to the Standard CDS Terms. Italicized text set forth herein is set forth for information purposes only. The definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement and, in the case of a Reference Entity in respect of which the U.S. Monoline Convention Market Standard Terms in the Annexes to Schedule 1 are specified to be applicable, the "Additional Provisions for Physically Settled Default Swaps Monoline Insurer as Reference Entity (published on January 21, 2005)" (the "2005 Monoline Supplement"), in each case as published by the International Swaps and Derivatives Association, Inc. ("ISDA"), as amended in accordance with Schedule 6 (as so amended and supplemented, the "Definitions") hereof, are incorporated into the Standard CDS Terms. In the event of any inconsistency between the Definitions and the Standard CDS Terms, the Standard CDS Terms will govern. All capitalized terms that are not defined in the Standard CDS Terms, the applicable Confirmation or in the Definitions will have the meaning given to them in the relevant Indenture. With respect to each Reference Entity and for the purposes of construing any definition or provision in any Annex to Schedules 1(a) and 1(b), the definitions, provisions, supplements and amendments contained in or specified in the Applicable Definitions (as each capitalized term is defined below) are incorporated into the Standard CDS Terms. For such purposes, in the event of any inconsistency between the Standard CDS Terms and the Applicable Definitions, the Standard CDS Terms will govern. The Swap Counterparty and the Portfolio Manager, on behalf of each Issuer, shall designate each Reference Entity as either a "Long Trade Reference Entity" (an "LT Reference Entity") or a "Short Trade Reference Entity" (an "ST Reference Entity") at the time of its inclusion in the LT Specified Portfolio in Schedule 1(a) or in the ST Specified Portfolio in Schedule 1(b) respectively. Unless otherwise specified to the contrary, all determinations and calculations shall be made by the Calculation Agent. The parties agree and acknowledge that the Transaction to which the Standard CDS Terms relate contemplates that there may be more than one Credit Event and accordingly more than one Cash Settlement Amount and more than one Cash Settlement Date and that the Definitions (and in particular, the definition of "Termination Date" therein) should, for the purposes of the Standard CDS Terms and relevant Confirmation, be interpreted accordingly. The terms of the particular Transaction to which the Standard CDS Terms relates are as follows: 1. General Terms: (a) with respect to any LT Reference Entity, the Issuer and (b) with respect to any ST Reference Entity, the Swap Counterparty. the Swap Counterparty. (a) with respect to any LT Reference Entity, the Issuer and (b) with respect to any ST Reference Entity, the Swap

Floating Rate Payer:

Fixed Rate Payer: Seller:

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Counterparty. Buyer: (a) with respect to any LT Reference Entity, the Swap Counterparty and (b) with respect to any ST Reference Entity, the Issuer. The Bank of New York in its capacity as trustee under the Indenture. the Indenture dated as of December 19, 2006, as supplemented by any relevant Supplemental Indenture(s) for the Notes dated the relevant Issue Date(s) (as defined in the Confirmation) between, inter alios, the Issuer and the Trustee relating to the Notes, as it may be further amended and supplemented in accordance with its terms, including any such amendment or supplement entered into in connection with an increase in the issued principal amount of the Notes. Aladdin Capital Management LLC and any successor thereto in its capacity as portfolio manager pursuant to the terms of the Portfolio Management Agreement. Any reference herein (including, for the avoidance of doubt, in the Portfolio Management Terms set forth in Schedule 2 hereto) to any action taken by the Portfolio Manager is a reference to such action taken by the Portfolio Manager acting on behalf of the Issuer pursuant to the terms of the Portfolio Management Agreement. The portfolio management agreement relating to the Notes dated as of December 19, 2006, between, inter alios, the Issuer and the Portfolio Manager, as it may be supplemented or amended from time to time in accordance with its terms, including any such amendment or supplement entered into in connection with an increase in the issued principal amount of the Notes. Goldman Sachs Capital Markets, L.P. New York. Not Applicable London and New York City. Modified Following (which, unless specified to the contrary and subject to Sections 1.4 and 1.6 of the Definitions, shall apply to any date, including any Fixed Rate Payer Payment Date, referred to in this Confirmation that falls on a day that is not a Business Day and Section 2.11 of the Definitions shall be construed accordingly). means, subject to any Replacement effected in accordance with the Portfolio Management Terms set out in Schedule 2, each LT Reference Entity set out in Schedule 1(a) and each ST Reference Entity set out in Schedule 1(b) (as each of Schedule 1(a) and Schedule 1(b) may be amended from time to time pursuant to Paragraph 8 of Schedule 2 (collectively "Schedule 1"), which, for the avoidance of doubt, shall be deemed to include the Schedule 1 Footnotes) and any Successor (each, a "Reference Entity").

Trustee:

Indenture:

Portfolio Manager:

Portfolio Management Agreement:

Calculation Agent: Calculation Agent City: Valuation Business Day: Business Day: Business Day Convention:

Reference Entities:

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Successor:

has, with respect to each Reference Entity, the meaning given to that term in the Applicable Definitions. means, with respect to each Reference Entity, the Obligation, if any, identified in Schedule 1 with respect to such Reference Entity. means, with respect to each Reference Entity, the Annex to Schedule 1 (which may be amended and supplemented from time to time) corresponding to the annex specified with respect to that Reference Entity in the column headed "Market Standard Terms" in Schedule 1. means, with respect to each Reference Entity, the definitions and provisions published by ISDA (or any successor thereto, or similar organization) that are referred to in the relevant Annex to Schedule 1, as amended in accordance with Schedule 6 (Amendments to Definitions) hereof as supplemented by the supplementary provisions (if any) to such definitions and provisions published by ISDA (or any successor thereto, or similar organization), that are referred to in the relevant Annex to Schedule 1 (as each of Schedule 1 and Schedule 6 may be amended from time to time pursuant to Paragraph 8 of Schedule 2). means the guaranteed investment agreements, notes, bonds or other securities which are specified as Collateral Securities in the Confirmation, together with any Eligible Investments on deposit in the Collateral Account established under the Indenture and the Supplemental Indenture. means, if specified as "Applicable" in the relevant Confirmation, Collateral Securities (if any) which provide for redemption prior to their respective maturity dates at the option of their holders. means, if specified as "Applicable" in the relevant Confirmation, any total return swap transaction entered into between the Issuer and the Swap Counterparty in respect of the Notes. means, if a Total Return Swap is specified as "Applicable" in the relevant Confirmation, Collateral Securities which are subject to such Total Return Swap in respect of the Notes.

Reference Obligations:

Annex to Schedule 1:

Applicable Definitions:

Collateral Securities:

Puttable Collateral Securities:

Total Return Swap:

TRS Collateral Securities:

2. Fixed Payments: A. Initial Fixed Amount In addition to any other obligation to pay Fixed Amounts pursuant to this Transaction, the Initial Fixed Amount Payer (as specified in the relevant Confirmation) (the "Initial Fixed Amount Payer") shall on the Initial Fixed Payment Date pay to the other party the Initial Fixed Amount corresponding to that Initial Fixed Payment Date.

Initial Fixed Amount:

B.

Fixed Amount Each Interest Payment Date (as defined in the Indenture).

Fixed Rate Payer Payment Dates:

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For the avoidance of doubt, no Fixed Amount shall be payable with respect to any period following the Scheduled Termination Date. Fixed Rate Payer Calculation Period: means each period from, and including, one Fixed Rate Payer Payment Date to, but excluding, the next following Fixed Rate Payer Payment Date, except that (a) the initial Fixed Rate Payer Calculation Period will commence on, and include, the Issue Date of the initial issuance of Notes and (b) the final Fixed Rate Payer Calculation Period will end on, but exclude, the Scheduled Termination Date. with respect to each Fixed Rate Payer Calculation Period, an amount equal to A minus B, where: A means the sum of the Interest Payment Amounts (as defined in the Indenture) payable by the Issuer in respect of the Notes on the Fixed Rate Payer Payment Date immediately following the relevant Fixed Rate Payer Calculation Period; and means an amount equal to the sum of the amounts of any payments which the Issuer is entitled to receive (i) (if the Collateral comprises Collateral Securities) by way of interest in respect of Collateral Securities; or (ii) (if the Collateral comprises TRS Collateral) by way of Floating Rate Coupon Payments (without regard to any netting of such amounts) under the terms of the Total Return Swap, during the relevant Fixed Rate Payer Calculation Period.

Fixed Amount:

In the event that the result of such calculation is negative, a consequential payment shall be made from the Issuer to the Swap Counterparty. Fixed Rate Day Count Fraction: 3. Floating Payment(s): Credit Event Notice Notifying Party: The Swap Counterparty (in the case of any LT Reference Entity or any ST Reference Entity) or the Issuer or the Portfolio Manager on behalf of the Issuer (in the case of any ST Reference Entity). Notice of Publicly Available Information: Applicable. For the avoidance of doubt, the parties agree that Conditions to Settlement may be satisfied more than once under this Transaction, but other than as specified in this Confirmation, and/or the Applicable Definitions (including, for the avoidance of doubt, Section 2.2 and Section 3.9 of the Definitions), only once with respect to any Reference Entity. The Notifying Party shall provide copies of any Credit Event Notice and any Notice of Publicly Available Information to the Trustee under the Notes, to each Rating Agency and, if the means the Day Count Fraction applicable to the Notes.

Conditions to Settlement:

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Notifying Party is the Swap Counterparty, to the Portfolio Manager. Notice Delivery Period: means, the period from, and including, the Issue Date to, and including, the date that is two Business Days prior to the Scheduled Termination Date (the "Cut-Off Date"), provided that if (i) a Credit Event Notice has been delivered that is effective in the period from, and including, the Effective Date to, and including, the Cut-Off Date but the corresponding Notice of Publicly Available Information has not been delivered in such period; or (ii) a Potential Failure to Pay or Potential Repudiation/Moratorium has occurred on or prior to the CutOff Date, the Notice Delivery Period shall end on, and include, the day that is 12 calendar days following the later of (a) if clause (i) is applicable and for the purpose only of delivering such Notice of Publicly Available Information, the Scheduled Termination Date, and (b) if clause (ii) is applicable, the later of (1) the Grace Period Extension Date if (A) Grace Period Extension is applicable to the relevant Reference Entity, (B) the Credit Event that is the subject of the Credit Event Notice is a Failure to Pay that occurs after the Cut-Off Date and (C) the Potential Failure to Pay with respect to such Failure to Pay occurs on or prior to the Cut-Off Date; and (2) the Repudiation/Moratorium Evaluation Date if (A) the Credit Event that is the subject of the Credit Event Notice is a Repudiation/Moratorium that occurs after the Cut-Off Date, (B) the Potential Repudiation/Moratorium with respect to such Repudiation/Moratorium occurs on or prior to the Cut-Off Date and (C) the Repudiation/Moratorium Extension Condition is satisfied. means with respect to any Reference Entity, the Credit Events specified in the relevant Annex to Schedule 1. For the purposes of determining whether or not a Credit Event has occurred with respect to any Reference Entity, each of the provisions (e.g. Grace Period Extension Applicable, Payment Requirement, Default Requirement, Multiple Holder Obligation) in the relevant Annex to Schedule 1 shall apply as so specified. Obligation(s): means, with respect to any Reference Entity, (i) the Reference Obligation for such Reference Entity and (ii) each obligation of such Reference Entity (either directly or as provider of a Qualifying Affiliate Guarantee or a Qualifying Policy or, if All Guarantees is specified as applicable in the relevant Annex to Schedule 1, as provider of any Qualifying Guarantee) described by the Obligation Category, having the Obligation Characteristics and satisfying any other applicable provisions (e.g. All Guarantees Applicable), in each case specified in the relevant Annex to Schedule 1. means, with respect to any Reference Entity, each obligation, if any, of such Reference Entity of a type that satisfies the criteria for Excluded Obligations specified in the relevant Annex to Schedule 1.

Credit Events:

Excluded Obligations:

4.

Settlement Terms for LT Reference Entities: Cash Settlement.

Settlement Method:

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Transaction Percentage:

An amount, at any time on any day, (expressed as a percentage) calculated by reference to the following formula: Notes Notional Amount / Original Tranche Notional Amount

Cash Settlement Date:

shall be determined, in respect of any LT Reference Entity as to which a Tranche Incurred Loss Amount has been determined, as follows: (a) if Puttable Collateral Securities are not applicable (as specified in the relevant Confirmation) (including, for the avoidance of doubt, where the Collateral comprises TRS Collateral), the Cash Settlement Date shall be 10 Business Days following the relevant Determination Date; (b) if Puttable Collateral Securities are applicable (as specified in the relevant Confirmation) and the relevant Determination Date falls on or before the Scheduled Termination Date, the Cash Settlement Date shall be the next succeeding Collateral Put Date (as defined in the Indenture) following such Determination Date, provided that if such Determination Date (an "Adjustment Determination Date") falls within a 10 Business Day period prior to such Collateral Put Date, the Cash Settlement Date shall be (i) the second Collateral Put Date following such Adjustment Determination Date, or (ii) if there is no such second succeeding Collateral Put Date, the date which is 10 Business Days following the Adjustment Determination Date; and (c) regardless of whether Puttable Collateral Securities are applicable or not applicable, if the applicable Determination Date falls after the Scheduled Termination Date, the Cash Settlement Date shall be 10 Business Days following such Determination Date.

Cash Settlement Amount:

means, with respect to an LT Reference Entity in respect of which a Tranche Incurred Loss Amount has been calculated: (a) where the related Cash Settlement Date falls before the Scheduled Termination Date, an amount (expressed in the Settlement Currency) equal to the relevant Collateral Proceeds plus the related Accrued Interest (as defined herein), together with any Interest on Interest (as defined herein) thereon, in respect of Collateral Securities or TRS Collateral Securities (as applicable) being sold, in relation to such Cash Settlement Date, with a principal amount outstanding equal to the related Collateral Principal Amount; and where the related Cash Settlement Date falls on or after the Scheduled Termination Date, an amount (expressed in the Settlement Currency) equal to the relevant Collateral Principal Amount plus the related Accrued Interest, together with any Interest on Interest thereon.

(b)

For the avoidance of doubt, no Cash Settlement Amounts shall be payable in respect of any ST Reference Entities. Upon the

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satisfaction of the Conditions to Settlement in respect of any ST Reference Entity, the Swap Counterparty shall calculate a positive Threshold Adjustment Amount as set forth below under "Threshold Adjustment Amounts". Collateral Proceeds: means (i) with respect to any Collateral Securities consisting of Puttable Collateral Securities, the proceeds of the exercise of the put option in respect of such Puttable Collateral Securities, excluding any accrued interest, (ii) with respect to any Collateral Securities consisting of cash, the amount of such cash; (iii) with respect to any Collateral Securities consisting of guaranteed investment agreements, the proceeds of a principal withdrawal thereunder (net of any breakage, fees or other costs, expenses or deductions in respect of such withdrawal under such investment agreement), excluding any accrued interest, (iv) with respect to any other Collateral Securities, the proceeds of the sale (net of any incidental costs of such sale (including taxes)) of the relevant portion of such Collateral Securities required to be sold pursuant to the Indenture, excluding any accrued interest; or (v) with respect to TRS Collateral, the proceeds of the sale (net of any incidental costs of such sale (including taxes)) of the relevant portion of TRS Collateral Securities required to be sold pursuant to the Indenture, excluding any accrued interest, plus any Floating Rate RO Termination Payments (as defined in the Total Return Swap) received, and minus any Total Return RO Termination Payments (as defined in the Total Return Swap) payable, by the Issuer under the Total Return Swap. means, with respect to each LT Reference Entity in respect of which a Tranche Incurred Loss Amount has been calculated, an outstanding principal amount of Collateral Securities or TRS Collateral Securities (as applicable), calculated as described below (rounded, if necessary, to the nearest amount such that the relevant outstanding principal amount is divisible by the lowest denomination (half a denomination being rounded up)) equal to the Transaction Percentage of the Tranche Incurred Loss Amount, provided that if the Cash Settlement Date relating to such Tranche Incurred Loss Amount falls on or after the Scheduled Termination Date, no such rounding shall occur and the Collateral Principal Amount will be an amount equal to the Transaction Percentage of the Tranche Incurred Loss Amount. means, from time to time, either (a) (if the Collateral comprises Collateral Securities) the aggregate principal amount of Collateral Securities held by, or on behalf of, the Issuer; or (b) (if the Collateral comprises TRS Collateral) the aggregate principal amount of TRS Collateral Securities held by, or on behalf of, the Issuer together with the rights and interests of the Issuer under the Total Return Swap. means, with respect to an LT Reference Entity, an amount calculated on the relevant Determination Date equal to the lowest of: (a) the Loss Amount applicable with respect to such Reference Entity; the greater of (i) the Aggregate Loss Amount

Collateral Principal Amount:

Collateral:

Tranche Incurred Loss Amount:

(b)

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(including the addition thereto in respect of such Reference Entity) less the Threshold Amount and (ii) zero; and (c) the Outstanding Tranche Notional Amount (prior to any reduction thereto in respect of such Reference Entity).

For the avoidance of doubt, no Tranche Incurred Loss Amounts shall be calculated in respect of any ST Reference Entities. Threshold Amount: means, as calculated by the Calculation Agent, at any time on any day, the Original Threshold Amount plus the sum of all Threshold Adjustment Amounts (whether positive or negative) (if any) in relation to each Replacement and ST Reference Entity as to which the Conditions to Settlement have been satisfied. means, at any time on any day, the sum of the Loss Amounts calculated for each LT Reference Entity. means (i) with respect to any Replacement, an amount (which may be positive or negative) as determined by the Swap Counterparty pursuant to Paragraph 6.1 on the corresponding Replacement Effective Date and (ii) with respect to any ST Reference Entity as to which the Conditions to Settlement have been satisfied, a positive amount as determined by the Swap Counterparty pursuant to Paragraph 6.1 on the corresponding Determination Date and, in each case, notified to the Portfolio Manager in accordance with Schedule 2. means, at any time on any day, the greater of:

Aggregate Loss Amount:

Threshold Adjustment Amount:

Outstanding Tranche Notional Amount:

(a)

the Original Tranche Notional Amount less the sum of all Tranche Incurred Loss Amounts (if any), determined up to, and including, such time; and zero.

(b)

The Outstanding Tranche Notional Amount shall be reduced by the Tranche Incurred Loss Amount with respect to a Credit Event in respect of an LT Reference Entity on the relevant Determination Date relating to such Credit Event. Accrued Interest: means: (a) (if the Collateral comprises Collateral Securities) the amount of interest accrued, paid or payable in respect of a principal amount of Collateral Securities, or the redemption proceeds thereof, equal to the applicable Collateral Principal Amount; or (if the Collateral comprises TRS Collateral) the aggregate of the Floating Rate Coupon Payments that the Issuer is entitled to receive under the Total Return Swap assuming that for such purpose, "Daily Average of the Notional Amount" shall equal the applicable Collateral Principal Amount,

(b)

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in respect of the period from, and including, the relevant Event Determination Date to, but excluding, the relevant Cash Settlement Date or Disposal Date (as defined in the Indenture), as applicable. Interest on Interest: means in respect of any amounts credited to the Collateral Account in accordance with the relevant terms of the Indenture, as such relates to the Collateral Proceeds and Accrued Interest (or, in either case, a portion thereof), investment earnings thereon in accordance with the relevant terms of the Indenture.

5.

Settlement Provisions Applicable to All Reference Entities and Calculation of "Final Price": means with respect to any LT Reference Entity, an amount calculated on the Determination Date equal to (100% - Final Price) multiplied by the relevant Reference Entity Notional Amount (converted if necessary to the Settlement Currency on the Notification Date by the Calculation Agent). means with respect to any Reference Entity, the Event Determination Date. means with respect to any Reference Entity, the Calculation Date in respect of such Reference Entity. means, notwithstanding Section 7.4 of the Definitions, with respect to each LT Reference Entity, 50%. means, with respect to any Reference Entity, the amount set out in Schedule 1 with respect to such Reference Entity (subject to amendment in accordance with the Applicable Definitions). if any day is a Determination Date and/or a Replacement Effective Date with respect to more than one Reference Entity, the Loss Amount, the Aggregate Loss Amount, the Outstanding Tranche Notional Amount and the Tranche Incurred Loss Amount with respect to each Reference Entity shall be calculated in the order of delivery of the relevant Credit Event Notices (or, as the case may be, notices of Replacements) or if any such notices are delivered at the same time, in a sequential order determined by the Calculation Agent, acting in good faith and in a commercially reasonable manner, and each of such calculations shall be performed as if the Credit Events or Replacements for which the calculations have not yet been performed had not occurred; provided that if a Loss Amount would otherwise arise in respect of one or more LT Reference Entities and one or more positive Threshold Adjustment Amounts would be calculated for ST Reference Entities as to which the Determination Date would be the same date, then such positive Threshold Adjustment Amounts shall be applied to the Threshold Amount prior to calculating any Tranche Incurred Loss Amounts resulting from such Loss Amounts.

Loss Amount:

Calculation Date:

Determination Date:

Final Price:

Reference Entity Notional Amount:

Multiple Replacements or Determination Dates on the Same Day:

6.

Trading Adjustments:

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6.1

In connection with any Replacement, the Swap Counterparty will, in good faith and in a commercially reasonable manner determine any applicable Threshold Adjustment Amount (the "Trading Adjustment") that would result from such Replacement, in good faith and in a commercially reasonable manner (such that there is no change to the net present value of the Transaction, having taken into account the associated Swap Counterparty Costs, following the application of a Trading Adjustment or series of Trading Adjustments applied at the same time (as determined by the Swap Counterparty in its sole discretion)). If a Credit Event occurs with respect to an ST Reference Entity and the Conditions to Settlement are satisfied, on the relevant Calculation Date, the Swap Counterparty will, in good faith and in a commercially reasonable manner, determine any applicable positive Threshold Adjustment Amount (the "ST Credit Event Adjustment") that would result from such Credit Event and the removal of such ST Reference Entity from the ST Specified Portfolio (such that there would be no change to the net present value of the Transaction, having taken into account the associated Swap Counterparty Costs), disregarding for this purpose the Subordination Adjustment Floor (as defined below). The Swap Counterparty shall provide notice of any Trading Adjustment and any ST Credit Event Adjustment to the Portfolio Manager in accordance with Schedule 2, provided that the Swap Counterparty will determine (a) negative Threshold Adjustment Amounts, if any, only in connection with Replacements that result in trading losses to the Issuer and (b) positive Threshold Adjustment Amounts, if any, only in connection with Replacements that result in trading gains to the Issuer and in connection with ST Credit Events.

6.2

On each Replacement Effective Date with respect to a Replacement resulting in a trading loss to the Issuer, such trading loss must be applied by the Portfolio Manager (subject to Paragraph 6.4 below) as a negative Threshold Adjustment Amount to decrease the Threshold Amount. On each Replacement Effective Date with respect to a Replacement resulting in a trading gain to the Issuer, such trading gain must be applied by the Portfolio Manager (subject to Paragraph 6.4 below), as a positive Threshold Adjustment Amount to increase the Threshold Amount. Trading losses in connection with a Proposed Replacement may not be applied as negative Threshold Adjustment Amounts if, with respect to the Notes, the Remaining Subordination for such Notes is less than or equal to 1.5% of the LT Reference Portfolio Notional Amount (the "Subordination Adjustment Floor"), or otherwise to the extent that such negative Threshold Adjustment Amounts would cause the relevant Remaining Subordination to be less than the Subordination Adjustment Floor. If, as a result of such Proposed Replacement, the relevant Remaining Subordination would be less than the Subordination Adjustment Floor, such Proposed Replacement shall not be permitted. "Remaining Subordination" means the Threshold Amount less the Aggregate Loss Amount.

6.3

6.4

6.5

"Swap Counterparty Costs" means, in respect of a Replacement or an ST Credit Event Adjustment, an amount the Swap Counterparty determines in good faith and in a commercially reasonable manner to be its total costs in connection with such Replacement or ST Credit Event is determined, including without limitation, any loss of bargain, cost of funding or, at the election of the Swap Counterparty but without duplication, loss or cost incurred as a result of its terminating, liquidating, obtaining or re-establishing any hedge or related trading position. Notification: The Calculation Agent will inform the Swap Counterparty, the Issuer and the Portfolio Manager (with a copy to the Trustee and the Rating Agency): (a) as soon as reasonably practicable following the determination of the applicable Loss Amount, irrespective of whether or not the applicable Aggregate Loss Amount is less

7. 7.1

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than or equal to the applicable Threshold Amount, of the amount of any Loss Amount in respect of an LT Reference Entity; (b) as soon as reasonably practicable following the determination of any Tranche Incurred Loss Amount in respect of an LT Reference Entity, of the amount of such Tranche Incurred Loss Amount; and as soon as reasonably practicable following the determination of any Trading Adjustments or any ST Credit Event Adjustments, the amount of such Trading Adjustments or ST Credit Event Adjustments, as applicable.

(c)

7.2

For the avoidance of doubt, any failure of the Calculation Agent to provide any notice described in Paragraph 7.1 shall not constitute a default or breach in respect of the Swap Counterparty under any agreement. Prepayments: In the event that the rating assigned to the long-term, unsecured, unsubordinated indebtedness of the Swap Counterparty or its Credit Support Provider falls below (1) AA- by Standard and Poors or (2) "Aa3" by Moodys, the Swap Counterparty shall: (a) within 15 days of such downgrade, pay to the Issuer an amount equal to the Fixed Amount which would otherwise be payable on the next succeeding Fixed Rate Payer Payment Date, as calculated by the Calculation Agent on the basis of the outstanding principal amount of the Notes and the Collateral Securities for the TRS Collateral, as the case may be, as at the date of such calculation; and pay to the Issuer on each succeeding Fixed Rate Payer Payment Date an amount equal to the Fixed Amount which would otherwise be payable on the next succeeding Fixed Rate Payer Payment Date, as calculated by the Calculation Agent on the basis of the outstanding principal amount of the Notes and the Collateral Securities for the TRS Collateral, as the case may be, as at the date of such calculation, each such payment an "Advance Fixed Amount".

8. 8.1

(b)

8.2

Subject to Paragraph 8.5 below, if an Advance Fixed Amount is paid at the start of, or during, a Fixed Rate Payer Calculation Period, unless such amount has become repayable pursuant to Paragraphs 9.1 or 9.2, without prejudice to the Swap Counterparty's obligation to pay any further Advance Fixed Amounts to Seller in accordance with Paragraph 8.1, the Fixed Amount that would, but for Paragraph 8.1(a), have been payable on the Fixed Rate Payer Payment Date falling after the end of such Fixed Rate Payer Calculation Period shall not be due or payable. Any calculation, pursuant to this Paragraph 8, of amounts which would otherwise be due and payable by the Swap Counterparty (including the calculation of any "Fixed Rate Payer Calculation Amount") shall be made on the basis of the relevant notional amounts and rates as at the date of such calculation. [Intentionally Omitted]. In the event that the Notes Notional Amount is increased pursuant to a further fungible issue, if the Swap Counterparty has paid an Advance Fixed Amount in respect of the Fixed Rate Payer Calculation Period in which the Issue Date of the additional Notes falls, the Swap Counterparty shall on such Issue Date pay an additional amount, as determined by the Calculation Agent, equal to the difference between the Advanced Fixed Amount actually paid and the Advanced Fixed Amount that would have been paid had the increase in the Notes Notional Amount been taken into account when calculating such Advance Fixed Amount. [Intentionally Omitted].

8.3

8.4 8.5

8.6

B-11

8.7

Notwithstanding any provision to the contrary contained in the Agreement, any Advance Fixed Amounts and/or amounts calculated pursuant to Paragraph 8.5 shall be paid by the Swap Counterparty to the Trustee for deposit in the Collateral Account on behalf of the Issuer. Additional Payments: In the event that the Swap Counterparty has paid an Advance Fixed Amount to the Issuer, the Issuer shall, on the third Business Day following (i) the applicable Determination Date upon which a positive Tranche Incurred Loss Amount is calculated; (ii) a Zero Redemption Payment Date; (iii) the date on which the Notes are redeemed in full and/or (iv) the date on which the Margin (as defined in the Indenture) is decreased pursuant to any amendment of the Indenture, pay to the Swap Counterparty an amount equal to the portion of the Advance Fixed Amount which would not have been required to be paid if the parties had known, at the time of payment, that the event referred to in clause (i), (ii), (iii) or (iv) of this Paragraph 9.1, as applicable, would occur (the "Repayment Amount") together with interest accrued on such amount pursuant to the terms of the Indenture. On the third Business Day following the date that any applicable rating downgrade under Paragraph 8.1 is no longer in effect, the Issuer shall pay to the Swap Counterparty the most recent Advance Fixed Amount, together with accrued investment earnings on any such Advance Fixed Amount pursuant to the terms of the Indenture. Following payment of any Advance Fixed Amount, the Issuer shall pay to the Swap Counterparty on each Fixed Rate Payer Payment Date, an amount equal to any accrued investment earnings on such Advance Fixed Amount since the immediately preceding Fixed Rate Payer Payment Date (or, in the case of the first Fixed Rate Payer Payment Date, the Effective Date) pursuant to the terms of the Indenture, in each case excluding any amounts paid pursuant to Paragraph 9.2. Additional Provisions: If the Outstanding Tranche Notional Amount reaches a value of zero, and so long as neither party has any outstanding or future (conditional or unconditional) payment obligations to the other party hereunder, this Transaction shall terminate without payment of any Settlement Amount, break cost or other amount representing the future value of such Transaction. In the event that a Noteholder elects to exercise its right under Section 9.9 of the Indenture (Zero Redemption Option) to put its Notes at zero (a "Zero Redemption" and the date of such exercise, the "Zero Redemption Date"), the Issuer shall be obliged to pay to the Swap Counterparty an amount (the "Zero Redemption Amount") equal to the sum of: (i) the relevant Collateral Proceeds of Collateral Securities or TRS Collateral Securities (as applicable) in an outstanding principal amount equal to the aggregate Outstanding Principal Amount of all the Notes so redeemed; plus (ii) either (A) (if the Collateral comprises Collateral Securities) interest accrued, paid or payable in respect of such principal amount of Collateral Securities; or (B) (if the Collateral comprises TRS Collateral) the aggregate of the Floating Rate Coupon Payments received by the Issuer under the Total Return Swap, in each case during the period from, and including, the Zero Redemption Date to, but excluding, the Zero Redemption Payment Date; plus (iii) in respect of any amounts credited to the Collateral Account in accordance with the Indenture as such relates to such proceeds and accrued interest, any investment earnings accrued thereon in accordance with the Indenture. The Zero Redemption Amount shall be payable on the date (the "Zero Redemption Payment Date") determined pursuant to the Cash Settlement Date provisions above on the basis that the Zero Redemption Date were the Determination Date. In the event of the occurrence of an Early Termination Date in connection with a mandatory redemption pursuant to Section 9.2 of the Indenture, the Loss incurred by the Swap Counterparty shall be calculated by reference to the amounts that would have been payable in respect of the Collateral but for such Early Termination. No Actual Loss Required. The parties agree and acknowledge that (i) the obligation of Seller to pay amounts hereunder is not contingent on whether Buyer suffers a loss or is exposed to

9. 9.1

9.2

9.3

10. 10.1

10.2

10.3

10.4

B-12

the risk of loss upon the occurrence of a Credit Event or the risk of loss with respect to any Reference Entity or any Obligation of a Reference Entity generally, and such obligation exists regardless of whether Buyer has any legal or beneficial interest in any Obligation of a Reference Entity, (ii) Buyer is not obligated to own, or have any interest (whether legal, equitable or economic) in, any Obligation of any Reference Entity and, if Buyer owns or has an interest in any such Obligation at any time, it may in its sole discretion determine whether to retain, sell or otherwise dispose of such interest, and (iii) Seller will have not rights of subrogation under the Transaction with respect to any payments made by it hereunder. 10.5 Notional Principal Contract. It is the intention of the parties that the Transaction be characterized as a notional principal contract (and not a surety bond, guarantee, insurance or similar contract) for all legal, regulatory and tax purposes. The terms of the Transaction shall be interpreted to further this intention of the parties. Further, each of the parties shall treat the Transaction accordingly for all legal, regulatory and tax reporting purposes and each party waives any right to assert any claim or defense that is inconsistent with this intention of the parties. No liability: For the avoidance of doubt: (a) if the Swap Counterparty (acting in good faith and in a commercially reasonable manner, where applicable) refuses to allow a Proposed Replacement on the basis that the relevant Replacement Conditions have not been satisfied or waives the satisfaction of any Replacement Condition, then such determination shall be conclusive and binding on all parties in all circumstances without liability to the Swap Counterparty, the Portfolio Manager (subject, in respect of the Portfolio Manager, to the terms of the Portfolio Management Agreement including the standard of care set forth therein) or the Calculation Agent; [reserved]; neither the Swap Counterparty nor the Calculation Agent shall have any liability whatsoever for the actions or inactions of the Portfolio Manager; neither the Swap Counterparty nor the Calculation Agent shall have any responsibility whatsoever for the monitoring of the performance of the Portfolio Manager or compliance with the Replacement Restrictions; and the Swap Counterparty and the Calculation Agent may assume that the Portfolio Manager is acting with the full authority of the Issuer and in compliance with all applicable legal, regulatory, contractual and corporate requirements and authorizations.

11. 11.1

(b) (c) (d)

(e)

12.

Notice and Account Details:

Telephone, Telex and/or Facsimile Numbers and Contact Details for Notices: Swap Counterparty: Goldman Sachs Capital Markets, L.P. 85 Broad Street New York, New York 10004 Attention: Credit Derivatives Middle Office Tel: (212) 357-2610 Fax: (212) 428-9189 Aladdin Synthetic CDO II SPC acting for the account of the [Name of Segregated Portfolio] P.O. Box 1093 GT Queensgate House

Issuer:

B-13

South Church Street Grand Cayman, Cayman Islands Attention: The Directors Tel: +345 945 7099 Fax: +345 945 7100 Portfolio Manager: Aladdin Capital Management LLC Six Landmark Square Stamford, CT 06901 Attention: Joseph Breslin Tel: (203) 487-6771 Fax: (203) 326-7903 Standard & Poor's (if applicable) Standard & Poor's 55 Water Street, 41st Floor New York, New York 10041 Telephone: (212) 438-2000 Telecopy: (212) 438-2664 Attention: Asset-backed Surveillance Group/CBO-CDO Email: CDO_Surveillance@sandp.com Moody's Investors Service (if applicable) 99 Church Street New York, New York 10007 Attention: CBO/CLO Monitoring (e-mail: cdomonitoring@moodys.com) Telephone: (212) 533-7856 Fax: (212) 553-0355 Account Details of: Swap Counterparty: (USD) U.S. DOLLARS For the Account of: Name of Bank: Account BIC: Account No: (JPY) JAPANESE YEN SWIFT Code: Name of Bank: Account BIC: Account No: Issuer: (USD) U.S. DOLLARS For the Account of: Name of Bank: ABA# Account Name: Account No: Further Credit: Ref:

Rating Agency:

Goldman Sachs Capital Markets, L.P. CITIBANK, NEW YORK CTMUS 40670834

SMBCJPJT SUMITOMO MITSUI BANKING CORPORATION, TOKYO SKMJP 3338

Aladdin Synthetic CDO II SPC acting for the account of the [Name of Segregated Portfolio] The Bank of New York 021-000-018 INTERNATIONAL ABS SUSPENSE ACCT GLA111565 180706 Aladdin CDO Series [insert relevant Series of Notes] - Attn: Joe Constantino

(JPY) JAPANESE YEN SWIFT Code: Name of Bank:

IRVTJPX The Bank of New York

B-14

Account No: Ref:

4820053950 Aladdin CDO II

In all other cases, as specified in the relevant Confirmation.

B-15

Schedule 1(a) The LT Specified Portfolio (LT Reference Entities) Reference Entity Notional Amount Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Hutchison Whampoa Limited Coupon Maturity

1. 2.

100,000,000 100,000,000

Hutchison Whampoa Limited Noble Group Limited RELIANCE INDUSTRIES LIMITED VEDANTA RESOURCES PLC JSC "GAZPROM" SBERBANK Republic of South Africa

Asia Corporate Convention Asia Corporate Convention

Guarantor Issuer

Noble Group Limited RELIANCE INDUSTRIES LIMITED VEDANTA RESOURCES PLC Gaz Capital S.A. SBERBANK Republic of South Africa

6.500 6.625

13-Feb-13 17-Mar-15

USG4672QAA25 USG6542TAB73

3.

100,000,000

Asia Corporate Convention

Issuer

10.375

24-Jun-16

US759470AC16

4. 5. 6.

100,000,000 100,000,000 100,000,000

Asia Corporate Convention EEMEA Corporate C (Russia) Convention EEMEA Corporate C (Russia) Convention Emerging European and Middle Eastern Sovereign Convention Emerging European and Middle Eastern Sovereign Convention European (Insurer SubDebt) Convention

Issuer Guarantor Issuer

JSC "GAZPROM"

6.625 7.800 6.480

22-Feb-10 27-Sep-10 15-May-13

XS0206424672 XS0176996956 XS0253322886

7.

100,000,000

Issuer

8.500

23-Jun-17

US836205AD62

8. 9.

100,000,000 100,000,000

State of Israel AVIVA PLC COMPAGNIA ASSICURATRICE UNIPOL S.P.A.

Issuer Issuer

State of Israel AVIVA PLC COMPAGNIA ASSICURATRIC E UNIPOL S.P.A.

5.125 5.750

1-Mar-14 14-Nov-21

US46513EHJ47 XS0138717953

10.

100,000,000

European (Insurer SubDebt) Convention

Issuer

7.000

15-Jun-21

XS0130717134

B-16

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Gerling-Konzern Allgemeine VersicherungsAktiengesellscha ft Guarantor Coupon Maturity

11.

100,000,000

Gerling-Konzern Allgemeine VersicherungsAktiengesellschaft

European (Insurer SubDebt) Convention

Issuer

12.

100,000,000

Muenchener RueckversicherungsGesellschaft Aktiengesellschaft in Muenchen PRUDENTIAL PUBLIC LIMITED COMPANY

European (Insurer SubDebt) Convention

Guarantor

13.

100,000,000

European (Insurer SubDebt) Convention

Issuer

Munich Re Finance B.V. PRUDENTIAL PUBLIC LIMITED COMPANY

Muenchener Rueckversich erungsGesellschaft Aktiengesells chaft in Muenchen

7.000

12-Aug-24

XS0198106238

6.750

21-Jun-23

XS0166965797

14.

100,000,000

Swiss Reinsurance Company Zurich Insurance Company Aktiebolaget Volvo BANCO SANTANDER CENTRAL HISPANO, S.A.

European (Insurer SubDebt) Convention European (Insurer SubDebt) Convention European Corporate Convention

Guarantor

Swiss Reinsurance Company Zurich Finance (USA), Inc. -

15. 16.

100,000,000 100,000,000

Guarantor Guarantor

SCHWEIZER ISCHE RUECKVER SICHERUNG SGESELLSCH AFT Zurich Insurance Company Aktiebolaget Volvo BANCO SANTANDE R CENTRAL HISPANO, S.A.

6.875

20-Jan-23

XS0140197582

3.250

21-Nov-21

XS0138467401

5.750 5.375

20-Oct-23 26-Jan-10

XS0177601811 XS0157960815

17.

100,000,000

European Corporate Convention

Guarantor

6.000

14-Mar-11

XS0125754324

B-17

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer BRITISH TELECOMMUNI CATIONS public limited company Centrica Plc COMPASS GROUP PLC DEXIA CREDIT LOCAL ENEL S.P.A. FRANCE TELECOM GKN HOLDINGS PLC Guarantor Coupon Maturity

18. 19. 20. 21. 22. 23. 24. 25. 26. 27.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

BRITISH TELECOMMUNICAT IONS public limited company Centrica Plc COMPASS GROUP PLC DaimlerChrysler AG Deutsche Telekom AG DEXIA CREDIT LOCAL ENDESA, S.A. ENEL S.P.A. FRANCE TELECOM GKN HOLDINGS PLC Glencore International AG

European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention

Issuer Issuer Issuer Guarantor Guarantor Issuer Guarantor Issuer Issuer Issuer

DaimlerChry sler AG Deutsche Telekom AG ENDESA, S.A. Glencore International AG

5.750 5.875 6.375 6.500 8.125 5.865 5.375 4.250 7.250 7.000

7-Dec-28 2-Nov-12 29-May-12 15-Nov-13 29-May-12 19-Dec-11 21-Feb-13 12-Jun-13 28-Jan-13 14-May-12

XS0097283096 XS0137672381 XS0148362501 US233835AW75 XS0148956559 XS0140012989 XS0162878903 XS0170342868 FR0000471948 XS0147740335

28.

100,000,000

Guarantor

5.375

30-Sep-11

XS0202202957

B-18

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor HELLENIC TELECOMM UNICATION S ORGANISAT ION SOCIETE ANONYME Coupon Maturity

29. 30. 31. 32. 33.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

HELLENIC TELECOMMUNICAT IONS ORGANISATION SOCIETE ANONYME Kaupthing banki hf. KINGFISHER PLC Koninklijke DSM N.V. Koninklijke KPN N.V. NORSKE SKOGINDUSTRIER ASA PEARSON plc PEUGEOT SA SWEDISH MATCH AB TELECOM ITALIA SPA TELEFONICA, S.A.

European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention

Guarantor Issuer Issuer Issuer Issuer

Kaupthing banki hf. KINGFISHER PLC Koninklijke DSM N.V. Koninklijke KPN N.V. NORSKE SKOGINDUSTRI ER ASA PEARSON plc GIE PSA TRESORERIE SWEDISH MATCH AB TELECOM ITALIA SPA -

5.000 5.550 5.625 4.000 8.000

5-Aug-13 1-Dec-09 15-Dec-14 10-Nov-15 1-Oct-10

XS0173549659 XS0206352824 XS0178322474 XS0235117891 US780641AG12

34. 35. 36. 37. 38. 39.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

Issuer Issuer Guarantor Issuer Issuer Guarantor B-19

PEUGEOT SA

7.625 7.000 5.875 6.125

15-Oct-11 27-Oct-14 27-Sep-11 1-Oct-06 29-Jan-19 2-Feb-16

USR80036AN77 XS0102793642 FR0000487159 XS0102264651 XS0184373925 XS0241946630

TELEFONIC A, S.A.

5.375 4.375

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Coupon Maturity

40. 41. 42. 43.

100,000,000 100,000,000 100,000,000 100,000,000

THOMSON Unilever N.V. VALEO VIVENDI VODAFONE GROUP PUBLIC LIMITED COMPANY KB Home SHAW COMMUNICATIONS INC. AIFUL CORPORATION Petroleos Mexicanos United Mexican States

European Corporate Convention European Corporate Convention European Corporate Convention European Corporate Convention

Issuer Guarantor Issuer Issuer

THOMSON VALEO VIVENDI VODAFONE GROUP PUBLIC LIMITED COMPANY KB Home SHAW COMMUNICATI ONS INC. AIFUL CORPORATION United Mexican States

Unilever N.V. -

1.000 7.125 2.375 3.875

1-Jan-08 1-Nov-10 1-Jan-11 15-Feb-12

FR0000188369 US904764AG27 FR0010007468 FR0010160929

44. 45.

100,000,000 100,000,000

European Corporate Convention U.S. High Yield Corporate Convention U.S. High Yield Corporate Convention Japan Corporate Convention Latin America Corporate Convention Latin America Sovereign Convention

Issuer Issuer

5.000 5.750

4-Jun-18 1-Feb-14

XS0169888558 US48666KAH23

46. 47. 48. 49.

100,000,000 100,000,000 100,000,000 100,000,000

Issuer Issuer Guarantor Issuer

Petroleos Mexicanos American Axle & Manufacturin g Holdings, Inc.

8.250 1.740 9.500 7.500

11-Apr-10 28-May-13 15-Sep-27 8-Apr-33

US82028KAC53 JP310504B356 US706451BD26 US91086QAN88

50.

100,000,000

American Axle & Manufacturing Holdings, Inc.

U.S. Corporate Convention

Issuer

American Axle & Manufacturing, Inc.

5.250

11-Feb-14

US02406PAE07

B-20

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Coupon Maturity

51. 52. 53. 54. 55. 56. 57. 58. 59.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

ArvinMeritor, Inc. AutoZone, Inc. BOMBARDIER INC. Boston Scientific Corporation BRUNSWICK CORPORATION Centex Corporation CHEMTURA CORPORATION CIT Group Inc. CONOCOPHILLIPS Countrywide Home Loans, Inc. Credit Suisse (USA), Inc. D.R. Horton, Inc. Embarq Corporation

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer Issuer Issuer Issuer Issuer Issuer

ArvinMeritor, Inc. AutoZone, Inc. BOMBARDIER INC. Boston Scientific Corporation BRUNSWICK CORPORATION Centex Corporation CHEMTURA CORPORATION CIT Group Inc. CONOCOPHILLI PS Countrywide Home Loans, Inc. Credit Suisse (USA), Inc. D.R. Horton, Inc. Embarq Corporation

8.750 5.875 6.750 5.450 6.750 5.250 9.875

1-Mar-12 15-Oct-12 1-May-12 15-Jun-14 15-Dec-06 15-Jun-15 1-Aug-12 2-Apr-12 15-Oct-12

US043353AA92 US053332AC61 USC10602AG20 US101137AB33 US117043AF61 US152312AQ77 US227116AE04 US125581AB41 US20825CAE49

7.750 4.750

60. 61. 62. 63.

100,000,000 100,000,000 100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer

4.000 6.500 5.375 7.082

22-Mar-11 15-Jan-12 15-Jun-12 1-Jun-16

US22237LPA43 US22541LAC72 US23331AAX72 US29078EAB11

B-21

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Coupon Maturity

64.

100,000,000

65.

100,000,000

EXPEDIA, INC. Federal Home Loan Mortgage Corporation General Electric Capital Corporation HEALTH CARE PROPERTY INVESTORS, INC. IAC/InterActiveCorp Lehman Brothers Holdings Inc. Lennar Corporation Louisiana-Pacific Corporation MeadWestvaco Corporation Merrill Lynch & Co., Inc. MGIC Investment Corporation Mobil Corporation

U.S. Corporate Convention

Issuer

U.S. Corporate Convention

Issuer

66.

100,000,000

U.S. Corporate Convention

Issuer

67. 68.

100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer

EXPEDIA, INC. Federal Home Loan Mortgage Corporation General Electric Capital Corporation HEALTH CARE PROPERTY INVESTORS, INC. IAC/InterActiveC orp Lehman Brothers Holdings Inc. Lennar Corporation Louisiana-Pacific Corporation MeadWestvaco Corporation Merrill Lynch & Co., Inc. MGIC Investment Corporation Mobil Corporation

7.456

15-Aug-18

US30212PAA30

5.080

7-Feb-19

US3128X2UC78

6.000

15-Jun-12

US36962GYY42

6.450 7.000

25-Jun-12 15-Jan-13

US421915EB13 US902984AD51

69. 70. 71. 72. 73.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer Issuer

6.625 5.950 8.875 6.850 6.000

18-Jan-12 1-Mar-13 15-Aug-10 1-Apr-12 17-Feb-09

US52517PSC67 US526057AG99 US546347AB19 US583334AA59 US590188JP48

74. 75.

100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention

Issuer Guarantor B-22

6.000 8.625

15-Mar-07 15-Aug-21

US552845AF69 US607059AT90

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Mohawk Industries, Inc. Morgan Stanley Motorola, Inc. Norbord Inc. OWENS CORNING (REORGANIZE D) INC. Packaging Corporation of America Pfizer Inc. PHH Corporation Pulte Homes, Inc. RadioShack Corporation REALOGY CORPORATION Residential Capital Corporation Guarantor Coupon Maturity

76. 77. 78. 79.

100,000,000 100,000,000 100,000,000 100,000,000

Mohawk Industries, Inc. Morgan Stanley Motorola, Inc. Norbord Inc. OWENS CORNING (REORGANIZED) INC. Packaging Corporation of America Pfizer Inc. PHH Corporation Pulte Homes, Inc. RadioShack Corporation REALOGY CORPORATION Residential Capital Corporation

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer

7.200 6.600 6.500 7.250

15-Apr-12 1-Apr-12 1-Sep-25 1-Jul-12

US608190AF11 US617446HC69 US620076AK59 US65333NAB64

80.

100,000,000

U.S. Corporate Convention

Issuer

6.500

1-Dec-16

US690743AB56

81. 82. 83. 84. 85. 86.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer Issuer Issuer

5.750 4.650 7.125 7.875 7.375 6.150

1-Aug-13 1-Mar-18 1-Mar-13 1-Aug-11 15-May-11 15-Oct-11

US695156AM11 US717081AQ68 US693320AF08 US745867AL56 US750438AB90 US75605EAD22

87.

100,000,000

U.S. Corporate Convention

Issuer

6.375

30-Jun-10

US76113BAC37

B-23

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Sabre Holdings Corporation Temple-Inland Inc. The Gap, Inc. The PMI Group, Inc. The Stanley Works TYCO INTERNATIONA L LTD. United Parcel Service of America, Inc. UST Inc. Vornado Realty L.P. Weyerhaeuser Company Guarantor Coupon Maturity

88. 89. 90. 91. 92.

100,000,000 100,000,000 100,000,000 100,000,000 100,000,000

Sabre Holdings Corporation Temple-Inland Inc. The Gap, Inc. The PMI Group, Inc. The Stanley Works TYCO INTERNATIONAL LTD. United Parcel Service of America, Inc. UST Inc. Vornado Realty L.P. Weyerhaeuser Company AMBAC ASSURANCE CORPORATION Financial Security Assurance Inc.

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Issuer Issuer Issuer Issuer Issuer

7.350 7.875 9.550 6.000 4.900

1-Aug-11 1-May-12 15-Dec-08 15-Sep-16 1-Nov-12

US785905AA83 US879868AH09 US364760AG36 US69344MAH43 US854616AJ88

93.

100,000,000

U.S. Corporate Convention

Issuer

United Parcel Service, Inc. -

0.000

17-Nov-20

US902124AC04

94. 95. 96. 97.

100,000,000 100,000,000 100,000,000 100,000,000

U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention U.S. Corporate Convention

Guarantor Issuer Issuer Issuer

8.375 6.625 4.750 6.750

1-Apr-30 15-Jul-12 1-Dec-10 15-Mar-12

US911308AB04 US902911AM82 US929042AB56 US962166BP84

98. 99.

100,000,000 100,000,000

U.S. Monoline Convention U.S. Monoline Convention

Reference Entity Only Reference Entity Only

B-24

Reference Entity Notional Amount

Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Coupon Maturity

100. 100,000,000

MBIA Insurance Corporation

U.S. Monoline Convention

Reference Entity Only

Schedule 1(a) Footnotes 1. The Swap Counterparty has used reasonable efforts to verify the names of the Reference Entities and details of the Reference Obligations contained in this Schedule 1(a). Such information has been verified for each Reference Entity by reference to publicly available information. Publicly available information can be inaccurate or outdated, and as a result, corrections to the details of Reference Entities and Reference Obligations may need to be made from time to time. The Swap Counterparty may, subject to the consent of the Portfolio Manager (such consent not to be unreasonably withheld), make such changes to such information as in its sole discretion, acting in good faith and in a commercially reasonable manner, it considers to be necessary to reflect the intentions of the parties, including (but without limitation) market-accepted amendments, completion of omitted information and correction of manifest errors, that shall be deemed to be amendments of a technical nature. The columns under the heading "Reference Obligation" refer to the specified details as at the issue date of the relevant obligation and do not take account of any subsequent changes. The "Issuer/Guarantor" column identifies the Reference Entity as a guarantor with respect to a Reference Obligation in cases where the Reference Obligation is an obligation of the Reference Entity by virtue of a guarantee. It does not necessarily identify all guarantors of that Reference Obligation. The "Market Standard Terms" column indicates the Annex to this Schedule 1(a) applicable with respect to such Reference Entity for the purposes of calculating Old Spread on an LT Replacement, for determining Obligations and Deliverable (Valuation) Valuation Obligations and for all other relevant purposes under the Standard CDS Terms.

2. 3.

4.

B-25

Schedule 1(b) The ST Specified Portfolio (ST Reference Entities) Reference Entity Notional Amount Reference Obligation Reference Entity Market Standard Terms Is Reference Entity Issuer or Guarantor? ISIN Issuer Guarantor Coupon Maturity

1. 2. Schedule 1(b) Footnotes 1. The Swap Counterparty has used reasonable efforts to verify the names of the Reference Entities and details of the Reference Obligations contained in this Schedule 1(b). Such information has been verified for each Reference Entity by reference to publicly available information. Publicly available information can be inaccurate or outdated, and as a result, corrections to the details of Reference Entities and Reference Obligations may need to be made from time to time. The Swap Counterparty may, subject to the consent of the Portfolio Manager (such consent not to be unreasonably withheld), make such changes to such information as in its sole discretion, acting in good faith and in a commercially reasonable manner, it considers to be necessary to reflect the intentions of the parties, including (but without limitation) market-accepted amendments, completion of omitted information and correction of manifest errors, that shall be deemed to be amendments of a technical nature. 2. The columns under the heading "Reference Obligation" refer to the specified details as at the issue date (or effective date) of the relevant obligation and do not take account of any subsequent changes. The "Issuer/Guarantor" column identifies the Reference Entity as a guarantor with respect to a Reference Obligation in cases where the Reference Obligation is an obligation of the Reference Entity by virtue of a guarantee. It does not necessarily identify all guarantors of that Reference Obligation. The "Market Standard Terms" column indicates the Annex to this Schedule 1(b) applicable with respect to such Reference Entity for the purposes of calculating Old Spread on an ST Replacement, for determining Obligations and Deliverable (Valuation) Valuation Obligations and for all other relevant purposes under the Standard CDS Terms.

3.

4.

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ANNEXES Market Standard Terms - European Corporate Convention All Guarantees: Credit Events: Applicable Bankruptcy Failure to Pay Restructuring Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation: Applicable

Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics:

Borrowed Money None Specified Bond or Loan Not Subordinated Specified Currency Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement:

Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-27

Market Standard Terms European (Insurer Sub Debt) Convention

All Guarantees: Credit Events:

Applicable Bankruptcy Failure to Pay Restructuring

Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics:

Borrowed Money None Specified Bond or Loan Not Subordinated Specified Currency Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement:

Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-28

Market Standard Terms U.S. Corporate Convention

All Guarantees: Credit Events:

Not Applicable Bankruptcy Failure to Pay Restructuring

Restructuring Maturity Limitation and Fully Transferable Obligation: Applicable

Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics:

Borrowed Money None Specified Bond or Loan Not Subordinated Specified Currency Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement:

Not Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-29

Market Standard Terms U.S. High Yield Corporate Convention

All Guarantees: Credit Events:

Not Applicable Bankruptcy Failure to Pay Restructuring

Restructuring Maturity Limitation and Fully Transferable Obligation: Applicable

Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics:

Borrowed Money None Specified Bond or Loan Not Subordinated Specified Currency Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement:

Not Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-30

Market Standard Terms U.S. Monoline Convention

All Guarantees: Credit Events:

Not Applicable Bankruptcy Failure to Pay Restructuring

Restructuring Maturity Limitation and Fully Transferable Obligation: Applicable

Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics:

Borrowed Money None Specified Bond or Loan Not Subordinated Specified Currency Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement: Additional Provisions for Physically Settled Default Swaps Monoline Insurer as Reference Entity (January 21, 2005)

Not Applicable Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-31

Market Standard Terms Asia Corporate Convention

All Guarantees: Credit Events:

Applicable Bankruptcy Failure to Pay Restructuring

Obligation Category: Obligation Characteristics:

Bond or Loan Not Subordinated Not Sovereign Lender Not Domestic Currency Not Domestic Law Not Domestic Issuance

Deliverable Obligation Category: Deliverable Obligation Characteristics:

Bond or Loan Not Subordinated Specified Currency Not Sovereign Lender Not Contingent Not Domestic Law Not Domestic Issuance Assignable Loan Transferable Maximum Maturity: 30 years Not Bearer

60 Business Day Cap on Settlement:

Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-32

Market Standard Terms Japan Corporate Convention All Guarantees: Conditions to Settlement: Applicable Section 3.9 of the Definitions shall be excluded Section 3.3 of the Definitions shall be amended by replacing Greenwich Mean Time with Tokyo time Notice of Publicly Available Information: Applicable Credit Events: Bankruptcy Failure to Pay Payment Requirement: If the Floating Rate Payer Calculation Amount is in JPY, JPY 100,000,000 or its equivalent in the relevant Obligation Currency as of the occurrence of the relevant Failure to Pay. In all other cases, USD 1,000,000 or its equivalent in the relevant Obligation Currency as of the occurrence of the relevant Failure to Pay.

Restructuring Multiple Holder Obligation: Not Applicable Default Requirement: If the Floating Rate Payer Calculation Amount is in JPY, JPY 1,000,000,000 or its equivalent in the relevant Obligation Currency as of the occurrence of the relevant Credit Event. In all other cases, USD 10,000,000 or its equivalent in the relevant Obligation Currency as of the occurrence of the relevant Credit Event. Obligation Category: Obligation Characteristics: Deliverable Obligation Category: Deliverable Obligation Characteristics: Borrowed Money Not Subordinated Bond or Loan Not Subordinated Standard Specified Currencies Not Contingent Assignable Loan Consent Required Loan Transferable Maximum Maturity: 30 years Not Bearer

B-33

60 Business Day Cap on Settlement:

Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-34

Market Standard Terms EEMEA Corporate C (Russia) Convention

Business Days:

If the Original Swap Notional Amount is denominated in (i) USD: London, Moscow, New York and (i) EUR: London, Moscow, New York & TARGET Applicable Bankruptcy Failure to Pay Grace Period Extension: Applicable Obligation Acceleration Repudiation/Moratorium Restructuring Multiple Holder Obligation: Not Applicable with respect to Obligation Category Bonds Applicable with respect to Obligation Category Loans Notwithstanding the above, Multiple Holder Obligation will be Not Applicable in respect of a Reference Obligation or an Underlying Loan (as defined herein).

All Guarantees: Credit Events:

Obligation Category: Obligation Characteristics:

Bond or Loan Not Subordinated Not Domestic Currency Not Domestic Law Not Domestic Issuance

Additional Terms Applicable to Reference Entities subject to EEMEA Corporate C: If GAZPROM is a Reference Entity, the following terms will apply along with EEMEA Corporate (Russia) Convention:

(A) Each Reference Obligation will be an Obligation notwithstanding anything to the contrary in the Credit Derivatives Definitions, including but not limited to Sections 2.14, and in particular, notwithstanding that the Reference Obligation is not an obligation of the Reference Entity. (B) The Not Subordinated Obligation Characteristic will be applied as if no Reference Obligation were specified in the related Confirmation. (C) For the avoidance of doubt with respect to any LPN Reference Obligation that specifies an Underlying Loan or an Underlying Finance Instrument, the

B-35

outstanding principal balance shall be determined by reference to the Underlying Loan or Underlying Finance Instrument (as applicable) relating to such LPN Reference Obligation. (D) Each of the obligations set out in (1) below, any Additional LPN as determined in accordance with (2) below and each Additional Obligation set out in (3) below shall be a Reference Obligation. (1) Obligations:

(a) OAO Gazprom 9.125% Loan Participation Notes issued by Salomon Brothers AG, maturing on 25 April 2007, ISIN XS0146655104; (b) OAO Gazprom 10.5% Loan Participation Notes issued by Salomon Brothers AG, maturing on 21 October 2009, ISIN XS0156366378; (c) OAO Gazprom 7.8% Loan Participation Notes issued by Gazprom Capital S.A., maturing on 27 September 2010, ISIN XS0176996956; (d) OAO Gazprom 9.625% Loan Participation Notes issued by Morgan Stanley Bank AG, maturing on 1 March 2013, ISIN XS0164067836 Reg S, ISIN US368287AA60 Reg 144A; (e) OAO Gazprom 5.875% Loan Participation Notes issued by Gazprom Capital S.A., maturing on 1 June 2015 ISIN XS0220790934 Reg S, ISIN US368266AB80 Reg 144A; (f) OAO Gazprom 8.625% Loan Participation Notes issued by Gazprom Capital S.A., maturing on 28 April 2034, puttable on 28 April 2014, ISIN XS0191754729 Reg S, ISIN US368266AA08 Reg 144A. Each of the above together with any Additional LPN, as defined in Section 2 below, shall be a LPN Reference Obligation.

(2) Additional LPN means any Bond (LPN) issued by an entity (the Issuer) for the sole purpose of providing funds for the Issuer to (a) finance a loan to the Reference Entity (the Underlying Loan); or (b) provide finance to the Reference Entity by way of a deposit, loan or other Borrowed Money instrument (the Underlying Finance Instrument); provided that (i) either (a) in the event that there is an Underlying Loan with respect to such LPN the Underlying Loan satisfies the Obligation Characteristics specified in respect of the Reference Entity; or (b) in the event that there is an Underlying Finance Instrument with respect to such LPN the Underlying Finance Instrument

B-36

satisfies the Not Subordinated, Not Domestic Law and Not Domestic Currency Obligation Characteristics and (ii) the Issuer has, as of the issue date of such LPN, granted a First Ranking Interest over or in respect of certain of its rights in relation to the relevant Underlying Loan or Underlying Finance Instrument (as applicable) for the benefit of the holders of the LPNs; First Ranking Interest means a charge, security interest (or other type of interest having similar effect) (an Interest), which is expressed as being first ranking, first priority, or similar (First Ranking) in the document creating such Interest (notwithstanding that such Interest may not be First Ranking under any insolvency laws of any relevant insolvency jurisdiction of the Issuer). For the avoidance of doubt, any change to the issuer of an LPN Reference Obligation in accordance with its terms shall not prevent such LPN Reference Obligation constituting a Reference Obligation. Each LPN Reference Obligation specified in Section 1 above is issued for the sole purpose of providing funds for the Issuer to finance a loan to the Reference Entity. For the purposes of this Transaction each such loan shall be an Underlying Loan.

(3)

Each of the following shall be an Additional Obligation:

US$ 1,250,000,000 7.201% Structured Export Notes due February 1, 2020, issued by Gazprom International S.A. maturing on 1st February, 2020. ISIN : XS0197695009 If SBERBANK is a Reference Entity, the following terms will apply along with EEMEA Corporate (Russia) Convention: In addition, each Reference Obligation will be an Obligation notwithstanding anything to the contrary in the Credit Derivatives Definitions, including but not limited to Section 2.14, and in particular, notwithstanding that the obligation is not an obligation of the Reference Entity. For the avoidance of doubt with respect to any LPN Reference Obligation (as defined below) that specifies an Underlying Loan or an Underlying Finance Instrument, the outstanding principal balance shall be determined by reference to the Underling Loan or Underlying Finance Instrument (as applicable) relating to such LPN Reference Obligation. The Not Subordinated Obligation Characteristic shall be construed as if no Reference Obligation was specified in respect of the Reference Entity. Each of the obligations set out in 1) below, any Additional LPN as determined in accordance with 2) below and each Additional Obligation set out in 3) below shall be a Reference Obligation. (1) (a) Obligations: SBERBANK FRN Loan Participation Notes issued by UBS Luxembourg SA, Maturing on October 24, 2006 ISIN XS0178949946;

B-37

(b)

SBERBANK 6.48% Loan Participation Notes issued by SB Capital SA, maturing on May 15, 2013, ISIN XS0253322886.

Each of the above together with any Additional LPN, as defined in Section 2 below, shall be a LPN Reference Obligation (2) Additional LPN means any Bond (LPN) issued by an entity (the Issuer) for the sole purpose of providing funds for the Issuer to (a) finance a loan to the Reference Entity (the Underlying Loan); or (b) provide finance to the Reference Entity by way of a deposit, loan or other Borrowed Money instrument (the Underlying Finance Instrument); provided that (i) either (a) in the event that there is an Underlying Loan with respect to such LPN the Underlying Loan satisfies the Obligation Characteristics specified in respect of the Reference Entity; or (b) in the event that there is an Underlying Finance Instrument with respect to such LPN the Underlying Finance Instrument satisfies the Not Subordinated, Not Domestic Law and Not Domestic Currency Obligation Characteristics and (ii) the Issuer has, as of the issue date of such LPN, granted a First Ranking Interest over or in respect of certain of its rights in relation to the relevant Underlying Loan or Underlying Finance Instrument (as applicable) for the benefit of the holders of the LPNs; First Ranking Interest means a charge, security interest (or other type of interest having similar effect) (an Interest), which is expressed as being first ranking, first priority, or similar (First Ranking) in the document creating such Interest (notwithstanding that such Interest may not be First Ranking under any insolvency laws of any relevant insolvency jurisdiction of the Issuer). For the avoidance of doubt, any change to the issuer of an LPN Reference Obligation in accordance with its terms shall not prevent such LPN Reference Obligation constituting a Reference Obligation. Each LPN Reference Obligation specified in Section 1 above is issued for the sole purpose of providing funds for the Issuer to finance a loan to the Reference Entity. For the purposes of this Transaction each such loan shall be an Underlying Loan. All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-38

Market Standard Terms Latin America Corporate

All Guarantees: Credit Events:

Applicable Bankruptcy Failure to Pay Grace Period Extension: Applicable Obligation Acceleration Repudiation/Moratorium Restructuring Multiple Holder Obligation: Not Applicable

Obligation Category: Obligation Characteristics:

Bond Not Subordinated Not Domestic Currency Not Domestic Law Not Domestic Issuance Bond Not Subordinated Specified Currency Not Domestic Law Not Contingent Not Domestic Issuance Transferable Not Bearer

Deliverable Obligation Category: Deliverable Obligation Characteristics:

60 Business Day Cap on Settlement:

Not Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-39

Market Standard Terms Latin America Sovereign

All Guarantees: Credit Events:

Applicable Failure to Pay Grace Period Extension: Applicable Obligation Acceleration Repudiation/Moratorium Restructuring Multiple Holder Obligation: Not Applicable

Obligation Category: Obligation Characteristics:

Bond Not Subordinated Not Domestic Currency Not Domestic Law Not Domestic Issuance

Deliverable Obligation Category: Deliverable Obligation Characteristics:

Bond Not Subordinated Specified Currency Not Domestic Law Not Contingent Not Domestic Issuance Transferable Not Bearer

60 Business Day Cap on Settlement:

Not Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-40

Market Standard Terms Emerging European & Middle Eastern Sovereign

All Guarantees: Credit Events:

Applicable Failure to Pay Grace Period Extension: Applicable Obligation Acceleration Repudiation/Moratorium Restructuring Multiple Holder Obligation: Not Applicable

Obligation Category: Obligation Characteristics:

Bond Not Subordinated Not Domestic Currency Not Domestic Law Not Domestic Issuance

Deliverable Obligation Category: Deliverable Obligation Characteristics:

Bond Not Subordinated Specified Currency Not Domestic Law Not Contingent Not Domestic Issuance Transferable Not Bearer

60 Business Day Cap on Settlement:

Not Applicable

All references to "Definitions" mean the 2003 ISDA Credit Derivatives Definitions, as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, and the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. Capitalized terms used in this Credit Derivatives Physical Settlement Matrix and not defined here have the meanings given to such terms in the Definitions.

B-41

Schedule 2 Portfolio Management Terms 1. The Portfolio Manager, acting on behalf of the Issuer and pursuant to the terms of the Portfolio Management Agreement and in accordance with the procedure (the "Notification Procedure") set out in Schedule 4, may, from time to time, (a) instruct the Swap Counterparty to replace any LT Reference Entity (each an "Old LT Reference Entity") in the portfolio of LT Reference Entities as set out in Schedule 1(a) (as amended from time to time) (the "LT Specified Portfolio") with another entity (each a "Replacement LT Reference Entity") selected by the Portfolio Manager, acting on behalf of the Issuer (each such instruction, a "Proposed LT Replacement"), (b) instruct the Swap Counterparty to effect an LT Removal where "LT Removal" means the removal of an LT Reference Entity from the LT Specified Portfolio and, for all purposes in these Standard CDS Terms (including, for the avoidance of doubt, for the purposes of determining whether an LT Removal will breach the Turnover Limit), an LT Removal shall be treated as an LT Replacement where the removed LT Reference Entity is treated as an Old LT Reference Entity in respect of which a corresponding Replacement LT Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and a New Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Old LT Reference Entities and corresponding Replacement LT Reference Entities shall be construed accordingly), (c) instruct the Swap Counterparty to effect an LT Addition where "LT Addition" means the addition of an LT Reference Entity to the LT Specified Portfolio and, for all purposes in these Standard CDS Terms (including, for the avoidance of doubt, for the purposes of determining whether an LT Addition will breach the Turnover Limit), an LT Addition shall be treated as an LT Replacement where the additional LT Reference Entity is treated as a Replacement LT Reference Entity in respect of which a corresponding Old LT Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and an Old Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Replacement LT Reference Entities and corresponding Old LT Reference Entities shall be construed accordingly), (d) instruct the Swap Counterparty to replace any ST Reference Entity (each an "Old ST Reference Entity") in the portfolio of ST Reference Entities as set out in Schedule 1(b) (as amended from time to time) (the "ST Specified Portfolio") with one or more entities (each a "Replacement ST Reference Entity", with each Replacement LT Reference Entity and each Replacement ST Reference Entity constituting a "Replacement Reference Entity") selected by the Portfolio Manager, acting on behalf of the Issuer (each such instruction, a "Proposed ST Replacement"), (e) instruct the Swap Counterparty to effect an ST Removal where "ST Removal" means the removal of an ST Reference Entity from the ST Specified Portfolio and, for all purposes in these Standard CDS Terms (including, for the avoidance of doubt, for the purposes of determining whether an ST Removal will breach the Turnover Limit), an ST Removal shall be treated as an ST Replacement where the removed ST Reference Entity is treated as an Old ST Reference Entity in respect of which a corresponding Replacement ST Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and a New Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Old ST Reference Entities and corresponding Replacement ST Reference Entities shall be construed accordingly) or (f) instruct the Swap Counterparty to effect an ST Addition where "ST Addition" means the addition of an ST Reference Entity to the ST Specified Portfolio and, for all purposes in these Standard CDS Terms (including, for the avoidance of doubt, for the purposes of determining whether an ST Addition will breach the Turnover Limit), an ST Addition shall be treated as an ST Replacement where the additional ST Reference Entity is treated as a Replacement ST Reference Entity in respect of which a corresponding Old ST Reference Entity is deemed to exist with a Reference Entity Notional Amount equal to zero and an Old Spread equal to zero (and, for the avoidance of doubt, all provisions relating to Replacement ST Reference Entities and corresponding Old ST Reference Entities shall be construed accordingly). As used herein, the term "Proposed Replacement" as used herein means either a Proposed LT Replacement or a Proposed ST Replacement and the term "Replacement" means either an LT Replacement or an ST Replacement, in each case as the context requires. Each Proposed Replacement (and any related Replacement) shall be carried out in accordance with the Notification Procedure and subject to the conditions set out in this Schedule 2 and shall apply in respect of the Transaction evidenced by this Confirmation. For

B-42

the avoidance of doubt, these Standard CDS Terms shall not apply to any new transaction that is entered into between an Issuer and the Swap Counterparty which references the LT Specified Portfolio or the ST Specified Portfolio but is evidenced by a confirmation that contains replacement conditions in respect of LT Replacements or ST Replacements that are different from or additional to the replacement conditions contained in Paragraph 11 of this Schedule 2. 2. The Portfolio Manager, acting on behalf of the Issuer shall only undertake a Proposed Replacement if the conditions (the "Rating Agency Conditions") set out in Paragraph 15 of this Schedule 2 would be satisfied following the related Replacement. Receipt of a Proposed Replacement instruction shall constitute conclusive evidence to the Swap Counterparty that the Rating Agency Conditions have been duly satisfied, provided that in the case of Credit Default Swaps relating to any Series of Notes rated by Moody's, the Swap Counterparty shall be required to verify that the Moody's Model Test 2 will be satisfied following such Proposed Replacement. Upon receipt of a Proposed Replacement instruction, the Swap Counterparty shall perform the obligations specified with respect to it in the Notification Procedure. If the Portfolio Manager, acting on behalf of the Issuer, does not accept the Old Spread and/or the New Spread notified to it by the Swap Counterparty in connection with a Proposed Replacement, then such spreads will be determined in accordance with the procedure (the "Spread Determination Procedure") set out in Schedule 3. Subject to (a) the satisfaction of (i) the conditions set out in Paragraph 11 of this Schedule 2 (as amended in accordance with Paragraph 1 of this Schedule 2) (the "Replacement Conditions") (or waiver thereof in accordance with Paragraph 7 of this Schedule 2), which satisfaction shall be determined by the Swap Counterparty, acting in good faith and in a commercially reasonable manner and (ii) the restrictions (the "Replacement Restrictions") set out in Paragraph 12 of this Schedule 2, which satisfaction shall be determined (for the purposes of these Standard CDS Terms), and notified to the Swap Counterparty, by the Portfolio Manager; and (b) the agreement of the Portfolio Manager to the Old Spread, the New Spread and the applicable Trading Adjustment(s), a Proposed LT Replacement shall constitute an "LT Replacement" or a Proposed ST Replacement shall constitute an "ST Replacement", as the case may be, in each case with effect from the relevant Replacement Effective Date: (a) in the case of an LT Replacement, the Old LT Reference Entity shall, if the applicable Reference Entity Notional Amount is reduced to zero, cease to be, and the Replacement LT Reference Entity shall become, an LT Reference Entity for the purposes of this Transaction; in the case of an ST Replacement, the Old ST Reference Entity shall, if the applicable Reference Entity Notional Amount is reduced to zero, cease to be, and the Replacement ST Reference Entity shall become, an ST Reference Entity for the purposes of this Transaction; as applicable, the LT Specified Portfolio set out in Schedule 1(a) shall be deemed to have been amended to reflect such LT Replacement or the ST Specified Portfolio set out in Schedule 1(b) shall be deemed to have been amended to reflect such ST Replacement; and the Threshold Amount will be adjusted as provided in Paragraph 6.

3.

4.

5.

6.

(b)

(b)

(c)

"Obligor Percentage" means, with respect to any LT Reference Entity or ST Reference Entity, the applicable Reference Entity Notional Amount divided by the LT Reference Portfolio Notional Amount.

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"LT Reference Portfolio Notional Amount" means the sum of the initial Reference Entity Notional Amounts of all the LT Reference Entities in the LT Specified Portfolio as at the Effective Date. 7. The Swap Counterparty, acting in its sole and absolute discretion, may waive satisfaction of any Replacement Condition with respect to any Replacement. For the avoidance of doubt, any prior waiver of a Replacement Condition with respect to any Proposed Replacement shall not have the effect of waiving, nor create any obligation on the Swap Counterparty to waive, such Replacement Condition in respect of any future Proposed Replacements. If, as determined as of any Replacement Date and with respect to the relevant Replacement LT Reference Entity or Replacement ST Reference Entity, none of the Annexes to Schedule 1 (as supplemented by the Applicable Definitions) accurately reflect the Market Standard Terms applicable with respect to such Replacement LT Reference Entity or Replacement ST Reference Entity, the Swap Counterparty acting in good faith and in a commercially reasonable manner, shall prepare (or procure the preparation of) an appropriate Annex to Schedule 1 (and if necessary a new Schedule 6 (Amendments to the Definitions)) and shall forward copies of the same to the Issuer, the Portfolio Manager and the Calculation Agent. Notwithstanding the delivery of such copies, the relevant Confirmation shall be deemed to have been amended by the incorporation of such new Annex to Schedule 1 and, if applicable, such new Schedule 6 (Amendments to the Definitions) (each as determined by the Swap Counterparty, acting in good faith and in a commercially reasonable manner) with effect from the relevant Replacement Date. At the time that the Moody's Model Test 2 is conducted for any Replacement, the new Market Standard Terms must be included in the Moody's Model. If such Market Standard Terms are not included in the Moody's Model, the Swap Counterparty and the Portfolio Manager must consult Moody's. The Swap Counterparty will provide monthly reports on the first Business Day of every month to the Portfolio Manager and the Rating Agencies that include the following information: (1) the names of the current Reference Entities; (2) the Moody's and S&P ratings for each Reference Entity; (3) the indicative CDS spread for each Reference Entity; (4) current Moody's Model data for the Specified Portfolios (including Pre-Trade MM, Post-Trade MM, the initial Reference Entity Notional Amount, and the current Reference Entity Notional Amount for each Replacement); (5) the Moody's Model (excel file); (6) the positive and negative Threshold Adjustment Amounts, if any, in connection with Replacements during the relevant period; (7) the positive Threshold Adjustment Amounts, if any in connection with ST Credit Events during the relevant period; and (8) for each Reference Entity, its Domicile, Moody's Industry Category and its senior unsecured public rating by Moody's. As used in this Schedule 2 and in the Notification Procedures: (a) "LT Replacement Effective Date" means: with respect to both the removal of the Old LT Reference Entity and the addition of the Replacement LT Reference Entity, the calendar day following the LT Replacement Date, or such other date (determined in accordance with the Market Standard Terms applicable to the Replacement LT Reference Entity) which would be the "Effective Date" if the "Trade Date" were the LT Replacement Date. For the avoidance of doubt, in respect of an LT Replacement, the removal of the Old LT Reference Entity and addition of the Replacement LT Reference Entity shall occur on the same date. (b) "ST Replacement Effective Date" means: with respect to both the removal of the Old ST Reference Entity and the addition of the Replacement ST Reference Entity, the calendar day following the ST Replacement Date, or such other date (determined in accordance with the Market Standard Terms applicable to the Replacement ST Reference Entity) which would be the "Effective Date" if the "Trade Date" were the ST Replacement Date.

8.

9.

10.

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For the avoidance of doubt, in respect of an ST Replacement, the removal of the Old ST Reference Entity and addition of the Replacement ST Reference Entity shall occur on the same date. (c) "Market Standard Terms" means, with respect to any Old LT Reference Entity, Replacement LT Reference Entity, Old ST Reference Entity or Replacement ST Reference Entity, as the case may be, the standard terms customarily applied, as determined by the Swap Counterparty, acting in good faith and in a commercially reasonable manner, between counterparties in the inter-bank market with respect to credit derivative transactions in relation to such Old LT Reference Entity, Replacement LT Reference Entity, Old ST Reference Entity or Replacement ST Reference Entity, as the case may be, as at: (I) in the case of any Old LT Reference Entity, the Trade Date or, as the case may be, the LT Replacement Date on which such Old LT Reference Entity was treated as such; or in the case of any Replacement LT Reference Entity, the LT Replacement Date on which such Replacement LT Reference Entity was treated as such; or in the case of any Old ST Reference Entity, the Trade Date or, as the case may be, the ST Replacement Date on which such Old ST Reference Entity was treated as such; or in the case of any Replacement ST Reference Entity, the ST Replacement Date on which such Replacement ST Reference Entity was treated as such.

(II)

(III)

(IV)

(d)

"New Spread" means (i) with respect to a Replacement LT Reference Entity, the bid side spread determined in accordance with Spread Determination Procedures and (ii) with respect to a Replacement ST Reference Entity, the offer side spread determined in accordance with the Spread Determination Procedures. "Old Spread" means, with respect to (i) an Old LT Reference Entity, the offer side spread determined in accordance with the Spread Determination Procedures and (ii) with respect to an Old ST Reference Entity, the bid side spread determined in accordance with the Spread Determination Procedures. "LT Replacement Date" means the day upon which the Portfolio Manager, acting on behalf of the Issuer, agrees the LT Replacement with the Swap Counterparty save that, where the Old Spread and New Spread are determined in accordance with the Spread Determination Procedures, such day shall be the day upon which the Swap Counterparty executes the relevant credit default swap with the applicable Reference Dealer. For the avoidance of doubt, the Old Spread and the New Spread must be agreed simultaneously. "ST Replacement Date" means the day upon which the Portfolio Manager, acting on behalf of the Issuer, agrees the ST Replacement with the Swap Counterparty save that, where the Old Spread and New Spread are determined in accordance with the Spread Determination Procedures, such day shall be the day upon which the Swap Counterparty executes the relevant credit default swap with the applicable Reference Dealer. For the avoidance of doubt, the Old Spread and the New Spread must be agreed simultaneously. Each LT Replacement Date and each ST Replacement Date shall constitute a "Replacement Date". "Spread Determination Procedures" means the procedures for spread determination set out in Schedule 3.

(e)

(f)

(g)

(h)

B-45

(i)

"Specified Portfolio" means in respect of a Series of Notes the LT Specified Portfolio and the ST Specified Portfolio.

11.

The "Replacement Conditions" shall be satisfied, with respect to any Proposed Replacement if: (a) (b) (c) (d) the Notification Procedure has been complied with; the Liquid Market Condition is satisfied; the Proposed Replacement will not breach the Turnover Limit; in the case of a Proposed LT Replacement, the bid-side spread of the Replacement LT Reference Entity is not greater than 5.00% and, in the case of a Proposed ST Replacement, the offer-side spread of the Replacement ST Reference Entity is not greater than 5.00%; following the Proposed Replacement, the Obligor Percentage of the Replacement LT Reference Entity or Replacement ST Reference Entity, as applicable, will not be less than 0.50% and the Obligor Percentage of each ST Reference Entity in the ST Reference Portfolio will not exceed 1.00%; following the Proposed Replacement, (i) the Obligor Percentage of any LT Reference Entity in the LT Specified Portfolio with an S&P Rating of "BB+" or lower will not be greater than 1.00%; and (ii) the Obligor Percentage of any other LT Reference Entity in the LT Specified Portfolio will not be greater than 1.50%; following the Proposed Replacement, there will be at least 80 LT Reference Entities in the LT Specified Portfolio but no more than 120 LT Reference Entities in the LT Specified Portfolio; no Credit Event exists in relation to the relevant Old Reference Entity or the relevant Replacement Reference Entity; [reserved]; the Outstanding Specified Portfolio Notional Amount for all ST Reference Entities in the ST Specified Portfolio, after taking such Proposed Replacement into account, does not exceed 10% of the Outstanding Specified Portfolio Notional Amount in respect of all LT Reference Entities as of the Closing Date; [reserved]; and following the Proposed Replacement, the aggregate Reference Entity Notional Amount of all Sovereign Market Reference Entities in the Specified Portfolios would not exceed 10% of the initial Outstanding Specified Portfolio Notional Amount of the LT Reference Entities.

(e)

(f)

(g)

(h)

(i) (j)

(k) (l)

12.

The "Replacement Restrictions" shall be satisfied with respect to any Proposed Replacement if: (a) following the Proposed Replacement, the Remaining Subordination is greater than the Subordination Adjustment Floor; in the case of a Proposed LT Replacement, the S&P Rating of the Replacement LT Reference Entity is "BB-" or above provided that, if immediately prior to the Proposed LT Replacement, the S&P Rating of the Old LT Reference Entity is below "BB-", then the S&P Rating of the Replacement LT Reference Entity must be higher than or equal to the S&P Rating of the Old LT Reference Entity;

(b)

B-46

(c)

following the Proposed Replacement, the aggregate Reference Entity Notional Amounts of all Reference Entities that have an S&P Rating of "BB+" or lower must not exceed 12% of the Outstanding Specified Portfolio Notional Amount for Reference Entities, provided that, if immediately prior to the Proposed Replacement, the such test is not satisfied, such test need not be satisfied following such Proposed Replacement if, following such Proposed Replacement, this test will be no further from being satisfied; following the Proposed Replacement or a series of Proposed Replacements performed at the same time (determined by the Calculation Agent in its sole discretion), there will be no change to the Outstanding Specified Portfolio Notional Amount for LT Reference Entities; "Outstanding Specified Portfolio Notional Amount" means, at any time, the sum of the applicable Reference Entity Notional Amounts with respect to the LT Specified Portfolio or ST Specified Portfolio (as applicable) at such time (for the avoidance of doubt, the Reference Entity Notional Amount of each LT Reference Entity or ST Reference Entity (as applicable) in respect of which the Conditions to Settlement have been satisfied shall be deemed to be zero);

(d)

(e)

following the Proposed Replacement, no Reference Entity is included in both the LT Specified Portfolio and the ST Specified Portfolio; and the relevant Replacement Reference Entity is an entity that is traded on Market Standard Terms in Annex 1 to Schedule 2 and is either (i) a corporate entity that is not a special purpose vehicle or direct issuer of asset backed securities or a Sovereign, Sovereign Agency or supranational organization (a "Corporate Market Reference Entity") or (ii) a Sovereign, Sovereign Agency or supranational organization (a "Sovereign Market Reference Entity").

(f)

13.

"Liquid Market Condition" means a test that, with respect to any Proposed Replacement, will be satisfied if (i) the Swap Counterparty determines, in good faith and in a commercially reasonable manner, that liquidity exists with respect to both the Old LT Reference Entity and the Replacement LT Reference Entity (in the case of an LT Replacement) or with respect to both the Old ST Reference Entity and the Replacement ST Reference Entity (in the case of an ST Replacement); or (ii) the Portfolio Manager has obtained bid or offer side spread quotations on the applicable Market Standard Terms from at least one Approved CDS Dealer in respect of the Old LT Reference Entity or Old ST Reference Entity (as applicable), and both bid and offer side spread quotations on the applicable Market Standard Terms from at least 3 Approved CDS Dealers for at least two maturities, in respect of the Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable). The first such quotation shall have a maturity date of one year from the Proposed LT Replacement Date or Proposed ST Replacement Date (as applicable) and the second such quotation shall have a maturity date equal to the Scheduled Termination Date, provided that if there are less than two years remaining between the Proposed LT Replacement Date or Proposed ST Replacement Date (as applicable) and the Scheduled Termination Date, then one quotation with a bid and offer spread with a maturity date equal to the Scheduled Termination Date will be required. The term "Approved CDS Dealer" means a Reference Dealer which has executed a credit derivative transaction (on then applicable standard market terms) with respect to the relevant Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) at least twice in each month for the preceding six months or, if shorter, each month since such Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) came into existence whether following a Succession Event or otherwise. For the avoidance of doubt, the Liquid Market Condition will not be satisfied if the relevant Replacement LT Reference Entity or Replacement ST Reference Entity (as applicable) is trading on an upfront premium only basis.

B-47

14.

A Proposed Replacement will not breach the "Turnover Limit" if the (i) the aggregate Reference Entity Notional Amounts of all Proposed Replacement LT Reference Entities and Replacement ST Reference Entities effected pursuant to LT Replacements or ST Replacements, as applicable, during the relevant Reset Period does not exceed 25% of the Outstanding Specified Portfolio Notional Amount as of the beginning of the Reset Period and (ii) the aggregate number of both LT Replacements and ST Replacements effected in the relevant Reset Period is less than or equal to 25, where: (a) "Reset Period" means, with respect to any Proposed Replacement, the period from and including the immediately preceding Reset Date (or, in relation to the first such period, the Issue Date) to, but excluding, the next succeeding Reset Date; and "Reset Date" means each anniversary of the Issue Date of the first Tranche of Notes;

(b)

provided that, solely for purposes of determining compliance with the Turnover Limit, any series of multiple LT Replacements effected at the same time on the same date shall count as only as single LT Replacement and any series of multiple ST Replacements effected at the same time on the same date shall count as only as single ST Replacement. 15. The "Rating Agency Conditions" shall be satisfied, with respect to any Proposed Replacement if (i) in the case of Credit Default Swaps relating to any Series of Notes rated by S&P, (A) the S&P SROC CDO Evaluator Test will be satisfied following such Proposed Replacement; provided that if immediately prior to the Proposed Replacement, the S&P SROC CDO Evaluator Test is not satisfied, such test need not be satisfied following such Proposed Replacement if the Portfolio Manager, acting on behalf of the Issuer, determines, in its sole and absolute discretion, that, following such Proposed ST Replacement, such test will be no further from being satisfied, and (B) with respect to any Proposed ST Replacement, as step-up model run from the S&P CDO Evaluator version 3.3_Beta6a1, or a later version thereof, will be satisfied following such Proposed ST Replacement, and (ii) in the case of Credit Default Swaps relating to any Series of Notes rated by Moody's, (A) the Moody's Model Test 2 will be satisfied following the Proposed Replacement (as verified by the Swap Counterparty) and (B) following the Proposed Replacement, the Replacement Reference Entity has a Moody's Rating. "S&P Rating" means, with respect to any LT Reference Entity or any ST Reference Entity (as applicable), if such LT Reference Entity or such ST Reference Entity or the guarantor who unconditionally and irrevocably guarantees the relevant Reference Obligation or any pari passu ranked obligation is rated by S&P, the issuer credit rating assigned by S&P to the LT Reference Entity, ST Reference Entity or such guarantor (as applicable). The "S&P SROC CDO Evaluator Test" will be satisfied if following a Replacement, the S&P SROC is a positive figure greater than or equal to 100%, or if the S&P SROC immediately prior to the Replacement is less than 100%, such Replacement does not cause the S&P SROC to be a smaller percentage. This will be determined using the S&P CDO Evaluator. (a) "S&P SROC" means, at any time, the percentage amount calculated by the S&P CDO Evaluator in accordance with the formula below:

16.

17.

A ( A * B) SROC = AC
where: A= the applicable Outstanding Specified Portfolio Notional Amount in respect of all LT Reference Entities; B= C= the S&P Scenario Loss Rate as calculated by the S&P CDO Evaluator; the greater of (a) Remaining Subordination and (b) zero;

B-48

(b)

"S&P CDO Evaluator" means a dynamic, analytical computer program developed by S&P to be used by the Portfolio Manager (acting in good faith and in a commercially reasonable manner) to determine the risk of Credit Events occurring under the LT Specified Portfolio and ST Specified Portfolio and provided to the Portfolio Manager, as such program may be modified by S&P from time to time; and "S&P Scenario Loss Rate" means, an estimate of the cumulative loss rate for the LT Specified Portfolio, consistent with the initial rating by S&P with respect to the Transaction, determined by application of the S&P CDO Evaluator version 3.0 (GS) at such time which shall include, amongst other things, the S&P Ratings and S&P recovery rate in respect of the LT Reference Entities and ST Reference Entities (as applicable).

(c)

18.

"Moody's Rating" means that, with respect to any Reference Entity as of any date of determination, the rating determined in accordance with the following, in the following order of priority: (a) if the obligor has a senior unsecured obligation with an Assigned Moody's Rating, such Assigned Moody's Rating (as defined herein); if the preceding clauses do not apply, but the obligor has a subordinated obligation with an Assigned Moody's Rating, then (i) if such Assigned Moody's Rating is at least "B3" (and, if rated "B3," not on watch for downgrade), the Moody's Rating shall be the rating which is one rating subcategory higher than such Assigned Moody's Rating, or if such Assigned Moody's Rating is less than "B3" (or rated "B3" and on watch for downgrade), the Moody's Rating shall be such Assigned Moody's Rating;

(b)

(ii)

(c)

if the preceding clauses do not apply, but the obligor has a senior secured obligation with an Assigned Moody's Rating, then: (i) if such Assigned Moody's Rating is at least "Caa3" (and, if rated "Caa3," not on watch for downgrade), the Moody's Rating shall be the rating which is one subcategory below such Assigned Moody's Rating, or if such Assigned Moody's Rating is less than "Caa3" (or rated "Caa3" and on watch for downgrade), then the Moody's Rating shall be "C";

(ii)

(d)

if the preceding clauses do not apply, but such obligor has a corporate family rating from Moody's, the Moody's Rating shall be one rating subcategory below such corporate family rating; if the preceding clauses do not apply, but the obligor has a senior unsecured obligation (other than a bank loan) with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations) that addresses the full amount of principal and interest promised, then the Moody's Rating shall be: (i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or otherwise determined as follows: the Portfolio Manager on behalf of the relevant Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's

(e)

(ii)

(iii)

B-49

Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; (f) if the preceding clauses do not apply, but the obligor has a subordinated obligation (other than a bank loan) with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations, that addresses the full amount of principal and interest promised), the Moody's Rating shall be deemed to be: (i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or otherwise determined as follows: the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3";

(ii)

(iii)

(g)

if the preceding clauses do not apply, but the obligor has a senior secured obligation with a monitored public rating from S&P (without any postscripts, asterisks or other qualifying notations) that addresses the full amount of principal and interest promised, the Moody's Rating shall be deemed to be: (i) one rating subcategory below the Moody's equivalent of such S&P rating if it is "BBB" or higher, two rating subcategories below the Moody's equivalent of such S&P rating if it is "BB+" or lower, or otherwise determined as follows: the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3";

(ii)

(iii)

(h)

if the preceding clauses do not apply, the Portfolio Manager on behalf of the Issuer, may present the Reference Entity to Moody's for an estimate of the Reference Entity's rating factor, from which its corresponding Moody's Rating may be determined. After it is presented and pending receipt from Moody's of the estimate, if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that the estimate will be at least "B3," then the Reference Entity shall have a Moody's Rating of "B3"; if the preceding clauses do not apply, the Moody's Rating will be "Caa1": (i) neither the obligor nor any of its Affiliates is subject to reorganization or bankruptcy proceedings, no debt securities or debt obligations of the obligor are in default, neither the obligor nor any of its Affiliates has defaulted on any debt during the preceding two years,

(i)

(ii) (iii)

B-50

(iv) (v) (vi)

the obligor has been in existence for the preceding five years, the obligor is current on any cumulative dividends, the fixed-charge ratio for the obligor exceeds 125% for each of the preceding two fiscal years and for the most recent quarter, the obligor had a net profit before tax in the past fiscal year and the most recent quarter, and the annual financial statements of such 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;

(vii)

(viii)

(j)

if the preceding clauses do not apply but each of the following clause (i) and (ii) do apply, the Moody's Rating will be "Caa3": (i) (ii) neither the Obligor nor any of its Affiliates is subject to reorganization or bankruptcy proceedings; and no debt security or debt obligation of such obligor has been in default during the past two years; and

(k)

if the preceding clauses do not apply and a debt security or debt obligation of the obligor has been in default during the past two years, the Moody's Rating will be "Ca."

Notwithstanding the foregoing, if the Moody's rating or ratings used to determine the Moody's Rating are on watch for downgrade or upgrade by Moody's, such rating or ratings will be adjusted down one subcategory (if on watch for downgrade) or up one subcategory (if on watch for upgrade). Notwithstanding the foregoing, no more than 10.0% of the Reference Entities in the LT and ST Reference Portfolios as a percentage of the LT Reference Portfolio, by Reference Entity Notional Amount may be given a Moody's Rating based on a rating given by S&P as provided in clauses (e), (f) and (g) above (the "Moody's Notched Rating Limitation"). "Assigned Moody's Rating" means the (i) monitored publicly available rating expressly assigned to a debt obligation (or facility) by Moody's that addresses the full amount of the principal and interest promised, (ii) the monitored estimated rating expressly assigned to a debt obligation (or facility) by Moody's that addresses the full amount of the principal and interest promised or (iii) the private rating expressly assigned to a debt obligation (or facility) by Moody's. No Assigned Moody's Rating may be based on a rating assigned by S&P or any other nationally recognized rating agency unless such rating is a monitored public rating expressly assigned by S&P or such other nationally recognized rating agency. 19. "Moody's Model Test 2" means a test that will be satisfied if either of the following conditions are met: (1) if the Pre-Trade MM is less than or equal to the Hurdle MM + 6; and

(2) if the Post-Trade MM is less than or equal to (i) the Hurdle MM + 3, or (ii) the Pre-Trade MM. For the purpose of running the Moody's Model Test 2: I. all Moody's Model parameters must be entered in accordance with "Moody's CDOROM User Guide" provided by Moody's; II. all amounts in the "Amount" field on the "Portfolio" worksheet of Moody's Model with respect to ST Reference Entities, must be entered as negative values; and

B-51

III. all the ST Reference Entities must be included in Table 4 ("Credit Event Definition") on the "Calculation" worksheet of Moody's Model with the corresponding symbol of "N/A" in the column entitled "Credit Event Type". The "Moody's Model" is the licensed Moody's CDOROM model in the form provided by Moody's. The Moody's Model may be updated by Moody's from time to time and in such cases the Portfolio Manager will be notified. "Moody's Metric" or "MM" means the numerical equivalent of an alpha-numerical rating deduced from the tranche Expected Loss ("EL") and a tranche number of years to the Scheduled Maturity Date (as defined in the Confirmation) (linearly interpolated and expressed to 2 decimals) and taking into account the Additional EL. The MM measure is time independent. All MMs are output by the model where necessary. Additional EL means the default probability derived from Moody's "Idealized" Default Rate table, based on the number of years to the Scheduled Maturity Date (as defined in the Confirmation) and the current rating of the Collateral Securities. "Hurdle MM" means Moody's Metric corresponding to the initial rating of the Series assigned to it on the Issue Date. "Pre-Trade MM" means the MM obtained prior to the removal of the Old Reference Entity/Entities from the Specified Portfolios. "Post-Trade MM" means the MM obtained after giving effect to all proposed Replacements to the Specified Portfolios. "Moody's Industry Category" means each of the sectors listed below: Moody's Industry Category 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Sector Name Aerospace & Defense Automobile Banking Beverage, Food & Tobacco Buildings & Real Estate Chemicals, Plastics & Rubber Containers, Packaging & Glass Personal & Nondurable Consumer Products (Manufacturing Only) Diversified/Conglomerate Manufacturing Diversified/Conglomerate Service Diversified Natural Resources, Precious Metals & Minerals Ecological Electronics Finance Farming & Agriculture Grocery Healthcare, Education & Childcare Home & Office Furnishings, Housewares & Durable Consumer Products Hotels, Motels, Inns and Gaming Insurance Leisure, Amusement, Entertainment Machinery (Nonagriculture, Nonconstruction, Nonelectronic) Mining, Steel, Iron & Nonprecious Metals Oil & Gas

B-52

Moody's Industry Category 25 26 27 28 29 30 31 32 33 34

Sector Name Personal, Food & Misc. Services Printing & Publishing Cargo Transport Retail Stores Telecommunications Textiles & Leather Personal Transportation Utilities Broadcasting & Entertainment Sovereign

B-53

Schedule 3 Spread Determination Procedures 1. Old Spreads and New Spreads shall be determined by the Swap Counterparty, acting in good faith and in a commercially reasonable manner, or, if the Portfolio Manager does not agree, the spreads determined by the Swap Counterparty by reference to market quotations obtained by the Portfolio Manager, acting on behalf of the Issuer, from a Reference Dealer on the basis of Market Standard Terms. Old Spreads and New Spreads must be determined simultaneously. For the purpose of determining any Old Spread and/or New Spread, the applicable Market Standard Terms shall include the following terms (subject to amendment with the prior consent of the Swap Counterparty): (a) the relevant "Reference Entity" is the relevant Old LT Reference Entity, Replacement LT Reference Entity, Old ST Reference Entity or Replacement ST Reference Entity, as the case may be; in the case of any Old LT Reference Entity or Replacement LT Reference Entity and in the case of any Old ST Reference Entity or Replacement ST Reference Entity, the "Floating Rate Payer Calculation Amount" is an amount up to the relevant Reference Entity Notional Amount (as determined by the Swap Counterparty and notified in advance to the Portfolio Manager, such amount being the "Relevant Size"); in the case of any Old LT Reference Entity or Replacement LT Reference Entity, the "Scheduled Termination Date" is the Scheduled Termination Date of the Transaction and, in the case of any Old ST Reference Entity or Replacement ST Reference Entity, the "Scheduled Termination Date" is the Scheduled Termination Date of the Transaction.

2. 3.

(b)

(c)

4.

Where the Portfolio Manager seeks quotations from a Reference Dealer, the Portfolio Manager shall inform the Swap Counterparty of any quotations obtained and if (i) the Portfolio Manager procures that the Swap Counterparty is able to execute a single-name credit default swap in respect of the relevant Old LT Reference Entity, Replacement LT Reference Entity, Old ST Reference Entity and/or Replacement ST Reference Entity, as the case may be, in the Relevant Size with such Reference Dealer on the basis of such quotation and (ii) the Swap Counterparty has executed such credit default swap, then the Old Spread or New Spread, as the case may be, shall be calculated on the basis of the quotations provided by the Reference Dealer. As used in this Schedule, "Reference Dealer" means such specified market counterparties dealing, on Market Standard Terms, in respect of the relevant Reference Entity that have entered into appropriate collateral arrangements (if the Swap Counterparty so requires) (such as an ISDA Credit Support Annex with the Swap Counterparty) on or before the LT Replacement Date or ST Replacement Date (as applicable) and, at such time quotations are to be sought, no restrictions (as determined by the Swap Counterparty in good faith and in a commercially reasonable manner) preventing an equivalent credit default swap transaction between the Swap Counterparty and such counterparty exist. The Swap Counterparty shall promptly notify the Portfolio Manager of the existence of such restrictions where the Portfolio Manager seeks quotations from such counterparty pursuant to this Confirmation.

5.

B-54

Schedule 4 Notification Procedures 1. In respect of a Proposed Replacement, the Portfolio Manager, acting on behalf of the Issuer, shall between 9.00 a.m. (New York time) and 5.00 p.m. (New York time) on any Notification Business Day (or at such other time or times as the Swap Counterparty, acting in its absolute discretion, may permit) notify the Swap Counterparty of (i) in the case of a Proposed LT Replacement, (a) the relevant Old LT Reference Entity and (b) the relevant Replacement LT Reference Entity, (ii) in the case of a Proposed ST Replacement, (a) the relevant Old ST Reference Entity and (b) the relevant Replacement ST Reference Entity. As soon as is practicable, but by no later than 3.00 p.m. New York time on the Notification Business Day following the Notification Date, the Swap Counterparty shall: (a) in the case of a Proposed LT Replacement: (i) if the Old LT Reference Entity is trading on an up-front premium only basis, notify the Portfolio Manager, acting on behalf of the Issuer, of the applicable Old Spread, New Spread and Trading Adjustment(s) that would result if the Proposed LT Replacement took effect; or notify the Portfolio Manager, acting on behalf of the Issuer, that the LT Replacement Conditions have not been met for such Proposed LT Replacement;

2.

(ii)

(b)

in the case of a Proposed ST Replacement: (i) if the Old ST Reference Entity is trading on an up-front premium only basis, notify the Portfolio Manager, acting on behalf of the Issuer, of the applicable Old Spread, New Spread and Trading Adjustment(s) that would result if the Proposed ST Replacement took effect; or notify the Portfolio Manager, acting on behalf of the Issuer, that the ST Replacement Conditions have not been met for such Proposed ST Replacement;

(ii)

3.

On each LT Replacement Effective Date, each ST Replacement Effective Date and each Calculation Date in respect of an ST Reference Entity, notify the Portfolio Manager, acting on behalf of the Issuer, of any Trading Adjustments or ST Credit Event Adjustments. As soon as practicable after any LT Replacement Effective Date or any ST Replacement Effective Date, and without prejudice to any amendment made on such date, the Swap Counterparty shall deliver to the Portfolio Manager a written copy of or an electronic message containing: (a) (b) (c) a notice (the "Specified Portfolio Amendment Notice"), substantially in the form set out in Schedule 5; the revised Schedule 1 reflecting the relevant LT Replacement or ST Replacement; and if applicable, any new Annex to Schedule 1 or Schedule 6 required in accordance with Paragraph 8 or Paragraph 11 of Schedule 2,

4.

each of which shall be countersigned by the Portfolio Manager, acting on behalf of the Issuer, and delivered to the Swap Counterparty to reflect such Replacement. 5. Unless stated to the contrary, any notice, notification or amendment referred to in these Notification Procedures may be oral (including by telephone). As used in this Schedule:

6.

B-55

(a)

"Financial Centre" mean, with respect to any entity, the financial centre determined by the Swap Counterparty (acting in good faith and in a commercially reasonable manner) most closely associated with the principal place for trading a credit default swap with respect to such entity; "Notification Business Day" means any day within the Notification Period on which commercial banks and foreign exchange markets are generally open to settle payments in London and in the Financial Centre relating to each of the Old LT Reference Entity and the Replacement LT Reference Entity or Old ST Reference Entity and the Replacement ST Reference Entity (as applicable); "Notification Date" means, the Notification Business Day on which notification under Paragraph 1 of this Schedule 3 is received by the Swap Counterparty provided that any notification received by the Swap Counterparty at, or after, 5.00 p.m. (New York time) on a Notification Business Day shall be deemed to have been received by the Swap Counterparty at 9.00 a.m. (New York time) on the next following Notification Business Day; "Notification Period" means from, and including, the Issue Date to, and including, the 30th calendar day prior to the Scheduled Termination Date; and

(b)

(c)

(d)

terms used, and not otherwise defined, in this Schedule shall have the meanings given thereto elsewhere in the Standard CDS Terms (including the other Schedules thereto).

B-56

Schedule 5 Specified Portfolio Amendment Notice [On Swap Counterparty Letterhead] Aladdin Synthetic CDO II SPC acting for the account of the [Name of Segregated Portfolio] Segregated Portfolio(the "Issuer") P.O. Box 1093 GT Queensgate House South Church Street Grand Cayman, Cayman Islands Attention: The Directors Aladdin Capital Management LLC Six Landmark Square Stamford, Connecticut 06901 Attn: [______] [Date] [LT / ST] Specified Portfolio Amendment Notice This communication relates to the Swap Confirmation(s) between Goldman Sachs Capital Markets, L.P. and the Issuer relating to the following Series of Notes: [__] (being the "Swap(s)"). Except as otherwise provided herein, capitalized terms used in this letter shall have the meanings given to them, or incorporated by reference, in the Swap Confirmation(s). The purpose of this communication is to record the amendments and additional information in respect of an [LT Replacement/ST Replacement] which has been made to the [LT Specified Portfolio / ST Specified Portfolio] pursuant to the Swap Confirmations as follows: For LT Replacements (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) Replacement Date: LT Replacement Effective Date: Name of the Old LT Reference Entity: Old Spread: Name of the Replacement LT Reference Entity: New Spread: Aggregate Loss Amount as at the LT Replacement Effective Date: positive/negative Threshold Adjustment Amount (if any): Threshold Amount as at the LT Replacement Effective Date (following adjustment in respect of the relevant Threshold Adjustment Amount(s)):

For ST Replacements (i) (ii) (iii) (iv) Replacement Date: ST Replacement Effective Date: Name of the Old ST Reference Entity: Old Spread:

B-57

(v) (vi) (vii) (viii) (ix)

Name of the Replacement ST Reference Entity: New Spread: Aggregate Loss Amount as at the ST Replacement Effective Date: positive/negative Threshold Adjustment Amount (if any): Threshold Amount as at the ST Replacement Effective Date (following adjustment in respect of the relevant Threshold Adjustment Amount(s)):

The amended Schedule 1 to the Swap Confirmations is attached hereto in its entirety. This communication shall be governed by and construed in accordance with the laws of the State of New York (without regard to conflicts of law principles thereof). GOLDMAN SACHS CAPITAL MARKETS, L.P.

By:

We agree that the details contained herein in respect of the LT Replacement/ST Replacement are correct. ALADDIN CAPITAL MANAGEMENT LLC (as Portfolio Manager) By:

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Schedule 6 Amendments to Definitions For the purposes of this Transaction, the 2003 Credit Derivatives Definitions and the Applicable Definitions (if such Applicable Definitions are the 2003 Credit Derivatives Definitions) are hereby amended as follows: 1. Section 1.10 shall be amended by the deletion of the words from, and including, "For purposes of the two preceding" in the sixth line thereof to, and including, the words "delivered to the other party." in the last line thereof; Sections 1.11 and 1.12 shall be amended by replacing all references to "Scheduled Termination Date" with the words "Cut-Off Date"; Section 1.18 shall be deleted in its entirety and replaced by the following language: "Section 1.18 ISDA Master Agreement. The terms "Additional Termination Event", "Affected Party", "Affected Transaction" and "Market Quotation" shall have the meanings given to those terms in the 1992 ISDA Master Agreement (MulticurrencyCross Border) (the "1992 ISDA Master Agreement") between the parties. The terms "Affiliate", "Stamp Tax" and "Tax" shall have the meanings given to those terms in the standard form 2002 ISDA Master Agreement (the "2002 ISDA Master Agreement"); 4. Section 2.1 shall be amended by the insertion of the words "including in each case, any Successor thereto determined pursuant to Section 2.2" immediately following the word "Confirmation" in the second line thereof and by the deletion of the second sentence thereof in its entirety; Sections 2.2(a)(i) and (ii) shall be amended by the deletion of the words "for the entire Credit Derivative Transaction" at the end of those sections and their replacement with the words "with respect to that Reference Entity"; Sections 2.2(a)(iii) and (iv) shall be amended by the deletion of the words "for a New Credit Derivative Transaction determined in accordance with the provisions of Section 2.2(e)" at the end of those sections and their replacement with the words "with respect to that Reference Entity"; the definition of "Succession Event" in Section 2.2 (b) shall be amended by the insertion of the words "after the Effective Date or, as the case may be, the LT Replacement Effective Date or the ST Replacement Effective Date (as applicable) with respect to the relevant Reference Entity" after the words "or pursuant to any agreement" in the third and fourth lines thereof; Section 2.2(d) shall be amended by (a) the deletion from sub-section (i) of the words "Credit Derivative Transaction" and their replacement with the words "Reference Entity"; the insertion in sub-section (iii) of the words "specified in relation to the relevant Reference Entity" after the words "the Reference Obligation" and; the deletion following sub-section (iii) of the words "Credit Derivative Transaction" and their replacement with the word "Successor";

2.

3.

5.

6.

7.

8.

(b)

(c)

9.

Section 2.2(e) shall be deleted in its entirety and replaced by the following language: "Where, pursuant to Section 2.2(a) above, one or more Successors have been identified in relation to a particular Reference Entity: (i) each such Successor will be a Reference Entity (each a Successor Reference Entity) for the purposes of this Credit Derivative Transaction (and,

B-59

for the avoidance of doubt, the original Reference Entity shall cease to be a Reference Entity except where it is a Successor Reference Entity); and (ii) the Reference Entity Notional Amount in respect of each such Successor Reference Entity shall be the Reference Entity Notional Amount in respect of the original Reference Entity divided by the number of Successor Reference Entities.";

10. 11.

Section 2.9 shall be amended by the deletion of the words "the earlier to occur of" in the fifth line thereof and of the words "and the Event Determination Date" in the sixth line thereof; Section 2.10 shall be amended by the deletion of the words "provided that if an Event Determination Date occurs, the earlier of the Termination Date and the first Settlement Date with respect to the Credit Event to which such Event Determination Date relates shall be the final Fixed Rate Payer Payment Date" in the second to fifth lines thereof; Section 2.19(b)(i)A shall be amended by the insertion of: (a) (b) (c) the words "of the relevant Reference Entity" immediately after the words "most senior Reference Obligation" in the second line thereof; the words "with respect to such Reference Entity" immediately after the words "Reference Obligation is specified" in the third line thereof; and the word "relevant" immediately before the words "Reference Entity" in the fifth line thereof;

12.

13.

Section 2.30(e) shall be amended by the deletion of the words "in relation to a Credit Derivative Transaction" in the sixth line thereof and their replacement with the words "in relation to a Reference Entity"; in Section 2.19(b)(i)(A): references to "the Trade Date" shall be read and construed as references to "the Trade Date or, as the case may be, the relevant LT Replacement Date or ST Replacement Date"; Section 3.2(b)(i) shall be amended by the insertion of the words "(with a copy to the Trustee, the Rating Agency and the Portfolio Manager, provided that non-delivery of such copies shall not prevent satisfaction of the Credit Event Notice Condition to Settlement)" between the words "to Seller" and "that is effective" in the third line thereof; Section 3.2(c) shall be amended by the insertion of the words "(with a copy to the Trustee, the Rating Agency and the Portfolio Manager, provided that non-delivery of such copies shall not prevent satisfaction of the Notice of Publicly Available Information Condition to Settlement)" between the words "to the other party" and "that is effective" in the third line thereof; Sections 3.3, 3.6 and 4.6(e) shall be amended by the deletion of the words "(which may be by telephone)" in the second and third lines thereof, as applicable; in relation to all Replacement LT Reference Entities and to all Replacement ST Reference Entities, Section 3.3 of the Definitions shall be amended by the deletion of the words "Effective Date" in the third line thereof and their replacement with the words "LT Replacement Effective Date" and "ST Replacement Effective Date" respectively; Section 3.9 shall be deleted in its entirety and replaced by the following language: "Upon the occurrence of a Restructuring Credit Event with respect to a Reference Entity during the Term of the Credit Derivative Transaction: (a) a Notifying Party may deliver multiple Credit Event Notices with respect to such Reference Entity, each such Credit Event Notice setting forth the amount of the

14.

15.

16.

17. 18.

19.

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Reference Entity Notional Amount for such Reference Entity to which such Credit Event Notice applies (the "Exercise Amount"); (b) if the Notifying Party has delivered a Credit Event Notice that specifies an Exercise Amount that is less than the then Reference Entity Notional Amount for such Reference Entity (after taking into account any previous Exercise Amounts in relation to such Reference Entity), upon satisfaction of the Conditions to Settlement with respect to the Credit Event specified in such Credit Event Notice, settlement will occur in accordance with the applicable Settlement Method as if the Reference Entity Notional Amount were the Exercise Amount with respect to such Reference Entity, and upon satisfaction of such Conditions to Settlement, without prejudice to the foregoing provisions of this paragraph, the Reference Entity Notional Amount will be an amount equal to the Reference Entity Notional Amount outstanding prior to such Credit Event Notice minus the Exercise Amount to which the current Credit Event Notice relates; the Exercise Amount in connection with any Credit Event Notice describing a Credit Event in relation to a Reference Entity other than a Restructuring must be equal to the then outstanding Reference Entity Notional Amount for such Reference Entity (and not a portion thereof); and the Exercise Amount in connection with a Credit Event Notice describing a Restructuring must be in an amount that is at least 1,000,000 units of the Settlement Currency or an integral multiple thereof or the entire then outstanding Reference Entity Notional Amount with respect to such Reference Entity."

(c)

(d)

20.

Section 4.6(d) shall be amended by the deletion of the words "described in clause (a) of the definition of Notice Delivery Period" and their replacement with the words "from and including the Issue Date to, and including, the date that is 12 calendar days following the Scheduled Termination Date". Section 5.4 shall be amended by the deletion of the words "the earlier to occur of" in the seventh line thereof and of the words "and the Event Determination Date" in the eighth line thereof; and the Definitions shall be amended by the addition of new Sections 9.1(c), 9.1(d) and 9.1(e) as follows: "(c) Buyer and Seller shall each be deemed to represent to the other party on the Trade Date of a Credit Derivative Transaction that such Credit Derivative Transaction is not and is not intended to be a contract of surety, insurance, assurance, guarantee or indemnity. Buyer and Seller shall each be deemed to represent to the other party on the Trade Date of a Credit Derivative Transaction that it is entering such Credit Derivative Transaction for investment, financial intermediation, hedging or other commercial purposes. Buyer and Seller hereby agree that, so long as either party has or may have any obligation (whether present, future, contingent or otherwise) under a Transaction, subject to the occurrence of a Credit Event and satisfaction of the Conditions to Settlement, Cash Settlement Amounts shall be payable hereunder irrespective of the existence or amount of either party's credit exposure to any Reference Entity and Buyer need not suffer any loss or provide evidence of any loss as a result of the occurrence of a Credit Event."

21.

22.

(d)

(e)

28.

The final sentence in the definition of "Qualifying Policy" in paragraph (a) of the 2005 Monoline Supplement shall be deleted. Paragraph (c)(iv) of the 2005 Monoline Supplement shall be deleted.

29.

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30. 31.

Paragraph (e) of the 2005 Monoline Supplement shall be deleted. Paragraph (j) of the 2005 Monoline Supplement shall be deleted and replaced with the following: "(j) Other Provisions. For the purposes of Sections 2.15(a)(ii), 4.1 and 9.1 as well as Section 3(a)(iv) of the Novation Agreement, references to the Underlying Obligation and the Underlying Obligor shall be deemed to include Insured Instruments and the Insured Obligor, respectively."

B-62

FORM OF CDS CONFIRMATION SERIES [___] CONFIRMATION DATE: TO: [______] Aladdin Synthetic CDO II SPC acting for the account of the [______] Segregated Portfolio. The Directors [______] [______] Goldman Sachs Capital Markets, L.P. [______] [______] Credit Derivative Transaction relating to the [__] Notes due [__] (the "Notes") issued by Issuer on [__] (the "Issue Date") referenced to the Series [__] "Series [_____] Tranche [_____]" [______]

ATTENTION: TELEPHONE: FACSIMILE: FROM: TELEPHONE: FACSIMILE: SUBJECT:

REF. NAME: REF NO:

Ladies and Gentlemen: The purpose of this communication is to set forth the terms and conditions of the Credit Derivative Transaction (the "Transaction") entered into on the Trade Date specified below between Goldman Sachs Capital Markets, L.P. ("Swap Counterparty"), guaranteed by The Goldman Sachs Group, Inc., and Aladdin Synthetic CDO II SPC acting for the account of the [_____] Segregated Portfolio ("Issuer"). This communication constitutes a "Confirmation" as referred to in the Swap Agreement specified below. [This Confirmation amends and restates in its entirety the confirmation dated [_____] between Swap Counterparty and Issuer relating to the Notes.][include for fungible issues] The definitions and provisions contained in the "Standard CDS Terms" attached hereto as Exhibit A (the "Standard CDS Terms"), are incorporated into this Confirmation. In the event of any inconsistency between the Standard CDS Terms and this Confirmation, this Confirmation will govern. Paragraph numbering below is not consecutive so as to reflect the paragraph numbering after taking into account provisions of this Confirmation that are included in the Standard CDS Terms. This Confirmation (as amended and supplemented from time to time) supplements, forms a part of, and is subject to, the ISDA Master Agreement dated as of December 19, 2006, as amended and supplemented from time to time (the "Swap Agreement") between Aladdin Synthetic CDO II SPC and Swap Counterparty. All provisions contained in the Swap Agreement govern this Confirmation except as expressly modified in this Confirmation.

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1.

General Terms: [______] [______], which date shall not be subject to adjustment in accordance with any Business Day Convention. [Different Effective Date if different Specified Portfolio] [______] As defined in the Standard CDS Terms [Amend for varying currency/collateral] As defined in the Standard CDS Terms [Amend for varying currency/collateral]

Trade Date: Effective Date:

Scheduled Termination Date: Business Day: Business Day Convention: 2. [A. [ [Initial Fixed Amount: [Initial Fixed Amount Payment Date: 4. Settlement Terms: Fixed Payments

Initial Fixed Amount [Payment upon tap issue]] [Issuer][Swap Counterparty][Not applicable]] [______] [zero]] [______]]

Settlement Currency: Type of Collateral: Collateral Securities:

[EUR][USD][JPY] [Collateral Securities] / [TRS Collateral] [means the [______] in principal amount of the [______] due [______] issued by [______] [Insert aggregate figure as increased for tap issues], Eligible Investments and the credit balance (if any) of the Collateral Account.][Inapplicable] [Applicable] [Not Applicable] [Applicable] [Not Applicable] [______]. [______].

Total Return Swap: Puttable Securities: Original Series Notional Amount: Original Threshold Amount:

14.

Procedure for Execution: Issuer hereby agrees: (a) (b) to check this Confirmation carefully and immediately upon receipt so that errors or discrepancies can be promptly identified and rectified; to confirm that the foregoing correctly sets forth the terms of the agreement between Issuer and Swap Counterparty with respect to the Transaction to which this Confirmation

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relates, by manually signing this Confirmation and immediately returning an executed copy to Swap Administration, Facsimile No. [______]. 16. Non-Standard Terms Notwithstanding the Standard CDS Terms, the following provisions shall apply in respect of the Transaction: 16.1 [Not applicable.]

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Very truly yours, GOLDMAN SACHS CAPITAL MARKETS, L.P. By: Name: Title:

Agreed and Accepted by: ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE [______] SEGREGATED PORTFOLIO By: Name: Title:

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APPENDIX C FORM OF PURCHASE AND TRANSFER LETTER

[________] [________] [________] Attention: [________] Aladdin Synthetic CDO II SPC Re: Aladdin Synthetic CDO II SPC Series [ ] Notes (the Notes)

Dear Sirs: Reference is hereby made to the above-referenced Notes issued by Aladdin Synthetic CDO II SPC acting for the account of the Series [__] Segregated Portfolio (the "Issuer"), described in the Offering Circular dated December 18, 2006 ("Offering Circular") to be purchased and held by us in definitive certificated form. We (the "Purchaser") are purchasing [USD/JPY] [__________] of the Notes (the "Purchaser's Notes"). Terms defined or referenced in the Offering Circular and not otherwise defined or referenced herein shall have the meanings set forth in the Offering Circular. The Purchaser hereby represents, warrants and covenants for the benefit of the Issuer that: (a) If the Purchasers Notes are Series B-1 Notes, Series C-1 Notes, Series C-3 Notes or Series C-3 Notes, (i) the Purchaser is (check one) (x) __ a qualified institutional buyer (as defined in Rule 144A under the Securities Act of 1933, as amended (the "Securities Act")) (a "Qualified Institutional Buyer") (y) __ an accredited investor (as defined in Rule 501(a) of Regulation D under the Securities Act) (an Accredited Investor) or (z) __ a non-U.S. Person (as defined in Regulation S under the Securities Act) that is acquiring the Purchaser's Notes in an offshore transaction complying with Rule 903 or Rule 904 of Regulation S of the Securities Act; (ii) the Purchaser, in the case of clause (x) or (y) above, is a "qualified purchaser" for the purposes of Section 3(c)(7) of the Investment Company Act of 1940, as amended (the "Investment Company Act") (a "Qualified Purchaser"); (iii) the Purchaser is aware that the sale of the Purchaser's Notes to the Purchaser is being made in reliance on an exemption from registration under the Securities Act; (iv) the Purchaser is acquiring not less than [USD/JPY/][______] of Notes; (v) with respect to any transferee, the Purchaser also understands that, in conjunction with any transfer of the Purchaser's ownership of any Purchaser's Notes purchased hereunder, it will not transfer or cause the transfer of such Purchaser's Notes without obtaining from the transferee a certificate substantially in the form of this Purchase and Transfer Letter; and (vi) the Purchaser will provide notice of the transfer restrictions described to any subsequent transferees. If the Purchasers Notes are Series C-4 Notes, (i) the Purchaser is a non-U.S. Person (as defined in Regulation S under the Securities Act) that is acquiring the Purchaser's Notes in an offshore transaction complying with Rule 903 or Rule 904 of Regulation S of the Securities Act; (ii) the Purchaser is aware that the sale of the Purchaser's Notes to the Purchaser is being made in reliance on an exemption from registration under the Securities Act; (iii) the Purchaser is acquiring not less than [USD/JPY/][______] of Notes; (iv) with respect to any transferee, the Purchaser also understands that, in conjunction with any transfer of the Purchaser's ownership of any Purchaser's Notes purchased hereunder, it will not transfer or cause the transfer of such Purchaser's Notes without obtaining from the transferee a certificate substantially in the form of this Purchase and Transfer Letter; and (v) the Purchaser will provide notice of the transfer restrictions described to any subsequent transferees.

C-1

The Purchaser is purchasing the Purchaser's Notes in an amount equal to or exceeding the minimum permitted amount thereof for its own account (or, if the Purchaser is a Qualified Institutional Buyer, for the account of another Qualified Institutional Buyer with respect to which the Purchaser exercises sole investment discretion) for investment purposes only and not for sale in connection with any distribution thereof, but nevertheless subject to the understanding that the disposition of its property shall at all times be and remain within its control (subject to the restrictions set forth in the Offering Circular and the Indenture). The Purchaser understands that the Purchaser's Notes have not been and will not be registered or qualified under the Securities Act or any applicable state securities laws or the securities laws of any other jurisdiction and are being offered only in a transaction not involving any public offering within the meaning of the Securities Act, are being offered only in a transaction not involving any public offering, and may be reoffered, resold or pledged or otherwise transferred only in accordance with the restrictions on transfer set forth herein and in the Indenture. The Purchaser understands and agrees that any purported transfer of the Purchasers Notes to a purchaser that does not comply with the requirements herein will not be permitted or registered by the Registrar. The Purchaser further understands that the Issuer has the right to compel any beneficial owner of Notes that is a U.S. Person and is not (a) either a Qualified Institutional Buyer or an Accredited Investor and (b) a Qualified Purchaser, to sell its interest in such Notes, or the Issuer may sell such Notes on behalf of such owner. If the Purchaser or any account for which the Purchaser is purchasing the Purchaser's Notes is a U.S. Person (as defined in Regulation S under the Securities Act) the following representations shall be true and correct: The Purchaser (or if the Purchaser is acquiring the Purchaser's Notes for any account, each such account) is acquiring the Purchaser's 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 Notes (except when each beneficial owner of the Purchaser and each such account is a Qualified Purchaser), (b) to the extent the Purchaser is a private investment company formed before April 30, 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 issuers. Further, the Purchaser agrees: (i) that neither it nor such account shall hold the Purchaser's Notes for the benefit of any other person and such purchaser of such account shall be the sole beneficial owner thereof for all purposes; and (ii) that neither it nor such account shall sell participation interests in the Purchaser's 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 Purchaser's Notes. The Purchaser understands and agrees that any purported transfer of the Purchaser's Notes to a Purchaser that does not comply with the requirements of this clause (d) will not be permitted or registered by the Registrar. In connection with the purchase of the Purchaser's Notes: (i) none of the Issuer, the Initial Purchasers, the Portfolio Manager or the Company Administrator is acting as a fiduciary or financial or investment adviser for the Purchaser; (ii) 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 Purchasers, the Portfolio Manager or the Company Administrator other than in the Offering Circular and any representations expressly set forth in a written agreement with such party; (iii) none of the Issuer, the Initial Purchasers, the Portfolio Manager or the Company 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 Purchaser's Notes; (iv) the Purchaser has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary, and it has made its own investment decisions (including decisions regarding the suitability of any

C-2

transaction pursuant to the Indenture) based upon its own judgment and upon any advice from such advisers as it has deemed necessary and not upon any view expressed by the Issuer, the Initial Purchasers, the Portfolio Manager or the Company Administrator; (v) the Purchaser has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Purchaser's 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; and (vi) the Purchaser is a sophisticated investor. The certificates in respect of the Notes will bear a legend to the following effect unless the Issuer determines otherwise in compliance with the Indenture and applicable law: THIS NOTE HAS 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 OFFERED NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED (A)(1) IN THE CASE OF OFFERED NOTES OTHER THAN THE SERIES C-4 NOTES, TO (a) A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, 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 OR (b) AN ACCREDITED INVESTOR AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR THE ACCOUNT OF ANOTHER ACCREDITED INVESTOR WHO TAKES DELIVERY IN THE FORM OF A DEFINITIVE NOTE OR (2) TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND IN A PRINCIPAL AMOUNT NOT LESS THAN THE APPLICABLE MINIMUM DENOMINATION FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, WHO, IN THE CASE OF A PURCHASER DESCRIBED IN CLAUSE (1), (V) IS A QUALIFIED PURCHASER FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER AND THE COISSUER (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. EACH HOLDER HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE (AS DEFINED HEREIN). ANY

C-3

TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE NULL AND VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE CO-ISSUER, THE REGISTRAR OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER HAS THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE OFFERED NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF OF SUCH OWNER. EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE REGISTRAR A PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE INDENTURE. THIS NOTE MAY NOT BE SOLD OR TRANSFERRED UNLESS SUCH SALE OR TRANSFER WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER ERISA OR SECTION 4975 OF THE CODE. THIS NOTE MAY NOT BE SOLD OR TRANSFERRED TO ANY PLAN SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, TO ANY PERSON ACTING ON BEHALF OF OR WITH "PLAN ASSETS" OF ANY SUCH PLAN, OR TO ANY OTHER "BENEFIT PLAN INVESTOR" (AS DEFINED IN SECTION 3(42) OF ERISA), INCLUDING AN INSURANCE COMPANY GENERAL ACCOUNT, EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED IN THE OFFERING CIRCULAR AND THE INDENTURE. TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFER MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH 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 PAYING AGENT. With respect to the Notes transferred or purchased on or after the applicable Closing Date, the Purchaser understands and agrees that the representations and agreements made in this paragraph (g) will be deemed made on each day from the date hereof through and including the date on which the Purchaser disposes of the Notes. (x) The Purchaser is __ is not __ [check one] (i) 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 Title I of ERISA, (ii) a "plan" described in and subject to Section 4975 of the U.S. Internal Revenue Code of 1986, as amended (the "Code"), or (iii) an entity whose underlying assets include assets of any such employee benefit plan or plan (for purposes of ERISA or Section 4975 of the Code) by reason of a plan's investment in the entity (such persons and entities described in clauses (i) through (iii) being referred to herein as "Benefit Plan Investors"); and (y) if the Purchaser is a Benefit Plan Investor, the Purchaser's purchase and holding of the Purchaser's Notes do not and will not constitute or result in a prohibited transaction under Section 406 of ERISA or Section 4975 of the Code for which an exemption is not available.

C-4

If the Purchaser is an entity described in (iii) above, then ____% of its assets constitute assets of Benefit Plan Investors, and the Purchaser shall immediately notify the Issuer if such percentage changes. The Purchaser is __ is not __ [check one] the Issuer or any other person (other than a Benefit Plan Investor) that has discretionary authority or control with respect to the assets of the Issuer, a person who provides investment advice for a fee (direct or indirect) with respect to the assets of the Issuer, or any "affiliate" (within the meaning of 29 C.F.R. Section 2510.3101(f)(3)) of any such person (any such person described in this paragraph being referred to as a "Controlling Person"). If the Purchaser is an insurance company acting on behalf of its general account ____ [check if true], then (i) not more than ____% [complete by entering a percentage], (the "Maximum Percentage") of the assets of such general account constitutes assets of Benefit Plan Investors for purposes of the "plan assets" regulations under ERISA, and (ii) without limiting the remedies that may otherwise be available, the Purchaser agrees that it shall (x) immediately notify the Issuer if the Maximum Percentage is exceeded, and (y) dispose of all or a portion of its Notes as may be instructed by the Issuer (including, in the discretion of the Issuer, a disposition back to the Issuer or an affiliate thereof (or other person designated by the Issuer) for the then value of the Notes as reasonably determined by the Issuer, in any case in which the Purchaser cannot otherwise make a disposition it has been instructed by the Issuer to make). The Purchaser understands and acknowledges that neither the Issuer nor the Trustee will register any purchase or transfer of Notes either to a proposed initial purchaser or to a proposed subsequent transferee of Notes that has, in either case, represented that it is a Benefit Plan Investor or a Controlling Person if, after giving effect to such proposed transfer, persons that have represented that they are Benefit Plan Investors would own 25% or more of the outstanding Notes. For purposes of this determination, Notes held by the Portfolio Manager, the Trustee, any of their respective affiliates and persons that have represented that they are Controlling Persons will be disregarded and will not be treated as outstanding. The Purchaser understands and agrees that any purported purchase or transfer of the Purchaser's Notes to a Purchaser that does not comply with the requirements of this clause (h) will not be permitted or registered by the Registrar. The purchaser is not purchasing the Purchaser's 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 Purchaser's Notes involves certain risks, including the risk of loss of its entire investment in the Purchaser's Notes under certain circumstances. The Purchaser has had access to such financial and other information concerning the Issuer and the Purchaser's Notes as it deemed necessary or appropriate in order to make an informed investment decision with respect to its purchase of the Purchaser's Notes, including an opportunity to ask questions of, and request information from, the Issuer. The Purchaser is not purchasing the Purchaser's Notes in order to reduce any United States federal income tax liability or pursuant to a tax avoidance plan. The Purchaser agrees to treat the Purchaser's Notes as debt for United States federal, state and local income tax purposes. The Purchaser acknowledges that due to money laundering requirements operating in the Cayman Islands, the Issuer and Registrar may require further identification of the Purchaser before the purchase application can proceed. The Issuer and the Registrar shall be held harmless and indemnified by the Purchaser against any loss arising from the failure to process the application if such information as has been required from the Purchaser has not been provided by the Purchaser. C-5

The Purchaser agrees to complete any other instrument of transfer as required under Cayman Islands law. The Purchaser is not a member of the public in the Cayman Islands. We acknowledge that you and other persons will rely upon our confirmation, acknowledgments, representations, warranties, covenants and agreements set forth herein, and we hereby irrevocably authorize you and such other persons to produce this letter or a copy hereof to any interested party in any administrative or legal proceeding or official inquiry with respect to the matters covered hereby. THIS LETTER SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK. Very truly yours, [ By: Name: Title:

C-6

APPENDIX D-1

SUPPLEMENT dated as of December 19, 2006 ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE SERIES SERIES B-1 SEGREGATED PORTFOLIO

Issue of USD 45,000,000 Aggregate Principal Amount of Series B-1 Notes due 2013

Initial Purchasers Goldman, Sachs & Co. Goldman Sachs International

D-1-1

GENERAL TERMS OF NOTES 1 Issuers: Aladdin Synthetic CDO II SPC acting for the account of the Series B-1 Segregated Portfolio Aladdin Synthetic CDO II (Delaware) LLC 2 3 4 Series No: Tranche No: ISIN: CUSIP: 5 6 7 8 9 Settlement Currency: Initial Aggregate Principal Amount of Notes: Original Tranche Notional Amount: Transaction Percentage: Effective Date: Series B-1 1 US01072NAA81 01072N AA 8 USD USD 45,000,000 100,000,000. As defined in the Standard CDS Terms. November 29, 2006. (Noteholder is at risk to Credit Events occurring on or after the Effective Date) 10 11 12 Issue Date: Denomination(s): Additional Offering Restrictions: December 19, 2006. As described in the Offering Circular. Not Applicable.

PROVISIONS RELATING TO INTEREST PAYABLE 13 14 Interest Commencement Date: Interest Payment Date(s): Issue Date. Each March 20, June 20, September 20 and December 20, commencing on March 20, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention.

15

Interest Rate Provisions (a) Benchmark: LIBOR.

D-1-2

(b) (b) (c)

Margin: Screen Rate Determination: ISDA Determination: (i) Floating Rate Option: (ii) Designated Maturity:

0.85% Not Applicable. Applicable. USD-LIBOR-BBA 3 months. Actual/360.

(d)

Day Count Fraction

PROVISIONS RELATING TO REDEMPTION 16 Scheduled Maturity Date: December 20, 2013, subject to adjustment in accordance with the Modified Following Business Day Convention. Yes. Not Applicable. As described in the Offering Circular. As described in the Offering Circular. Applicable. As described in the Offering Circular.

17 18 19 20 21

Redemption for Taxation Reasons permitted on days other than Interest Payment Dates: Maximum/Minimum Redemption Amount: Early Redemption Amount: Notice requirement for early redemption of the Notes: Zero Redemption Option:

GENERAL PROVISIONS APPLICABLE TO THE NOTES 22 23 24 25 BIE Option: Additional Business Centres: Details of any other additions or variations to Offering Circular (if applicable): Additional Transaction Documents (if applicable): Not Applicable. Not Applicable. Not Applicable. Not Applicable.

PROVISIONS RELATING TO THE SALE, LISTING AND RATING OF THE NOTES 26 27 Details of any additions or variations to the selling restrictions: Listing of Notes: Not Applicable. Application will be made for listing on the Irish Stock Exchange.

D-1-3

28 29 30 31 32

Dealers Commission: Purchase Price: Net Proceeds of Notes: Method of issue of Notes: The following Dealer is subscribing the Notes: Rating:

Not Applicable. 100% USD 45,000,000 Individual Dealer.

Goldman Sachs & Co. It is anticipated that the Series B-1 Notes will be rated "AA" by S&P on the Issue Date. 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.

33

COLLATERAL SECURITIES 34 Type: Collateralized Investment Agreement (Series B-1 Notes) dated as of December 19, 2006, between Ambac Capital Funding, Inc., The Bank of New York Trust Company, National Association, as trustee, and Issuer. The Legal Final Maturity of the Collateralized Investment Agreement (Series B-1 Notes) is December 20, 2013. The Collateralized Investment Agreement (Series B-1 Notes) is governed by and construed in accordance with the laws of the State of New York (including Section 5-1401 of the New York General Obligations Law but excluding all other choice-of-law and conflicts of law rules). Ambac Capital Funding, Inc. (See "The investment Agreement The Investment Agreement Guarantor" below). Not Applicable. Not Applicable. Not Applicable.

35

Obligor:

36 37 38

Issue: Puttable Securities: Minimum Puttable Amount:

D-1-4

39

Insurer/Guarantor:

Ambac Assurance Corporation. (See "The Investment Agreement Provider The Investment Agreement Guarantor" below). LIBOR minus 0.04%. Not Applicable. Not Applicable. Not Applicable.

40 41 42 43 44

Collateral Securities Interest Rate: Listing of Collateral Securities: Other Collateral: Other Security Document: Disposal Agent may make an offer to purchase the Collateral: Application of Proceeds (if other than as set out in the Offering Circular): Other Provisions:

Applicable. As described in the Offering Circular. The Issuer shall not agree to any modification of the Investment Agreement unless such modification satisfies of the Rating Agency Condition.

45 46

OTHER AGENTS OR PARTIES 47 48 49 50 Swap Counterparty: Swap Guarantor: CDS Calculation Agent: Disposal Agent: Goldman Sachs Capital Markets, L.P. The Goldman Sachs Group, Inc. Goldman Sachs Capital Markets, L.P. Goldman Sachs Capital Markets, L.P.

THE INVESTMENT AGREEMENT The Investment Agreement Provider and the Investment Agreement Guarantor have not participated in the preparation of the Offering Circular or this Supplement and do not assume any responsibility for its contents, except as explicitly specified below . Neither the Investment Agreement Guarantor nor the Investment Agreement Provider makes any representation regarding the Offered Notes or the advisability of investing in the Offered Notes or regarding, nor has it participated in the preparation of, the Offering Circular or this Supplement other than the information supplied by the Investment Agreement Guarantor and presented under the heading "The Investment Agreement" in this Supplement. No representation or warranty, express or implied, is made by the Investment Agreement Provider or the Investment Agreement Guarantor (except, in the case of the Investment Agreement Provider, with respect

D-1-5

to the information set forth herein in the section entitled "The Investment Agreement Investment Agreement Provider" for which the Investment Agreement Provider accepts responsibility, and except, in the case of the Investment Agreement Guarantor with respect to the information set forth herein in the section entitled "The Investment AgreementInvestment Agreement Guarantor", for which the Investment Agreement Guarantor accepts responsibility) as to the accuracy or completeness of the information set forth herein, and nothing contained herein is, or shall be relied upon as, a representation or promise by the Investment Agreement Provider or the Investment Agreement Guarantor as to the past or the future. Neither the Investment Agreement Provider nor the Investment Agreement Guarantor (other than with respect to the information for which such parties explicitly accept responsibility herein) have independently verified any such information or assume responsibility for its accuracy or completeness. The Holders of the Offered Notes hereby (i) release each of the Investment Agreement Provider and the Investment Agreement Guarantor from any liability with respect to the Offering Circular, this Supplement and the Offered Notes and (ii) waive any right or recourse against each of the Investment Agreement Provider and the Investment Agreement Guarantor, other than in respect of the information for which each such party explicitly accepts responsibility. The Investment Agreement Provider Ambac Capital Funding, Inc., a Delaware corporation (the "Investment Agreement Provider") was incorporated on January 12, 1996. The Investment Agreement Provider, headquartered in New York City, is a subsidiary of Ambac Financial Group, Inc., a 100% publicly held company ("AFG"). AFG, incorporated on April 29, 1991 and headquartered in New York City, is a holding company whose subsidiaries provide financial guarantees and financial services to clients in both the public and private sectors around the world. The Investment Agreement Provider's payment obligations under the Investment Agreement are guaranteed by Ambac Assurance Corporation, a triple-A rated financial guarantee insurance company. The Investment Agreement Providers address is One State Street Plaza, New York, New York, 10004. For additional discussion regarding Ambac Assurance Corporation, see "The Investment Agreement Guarantor" below. The Investment Agreement Guarantor Ambac Assurance Corporation (the "Investment Agreement Guarantor"), incorporated on February 25, 1970, is the principal operating subsidiary of AFG, and is a leading financial guarantee insurance company that is primarily engaged in insuring municipal and structured finance obligations. The Investment Agreement Guarantor is a Wisconsin-domiciled stock insurance corporation regulated by the Office of the Commissioner of Insurance of the State of Wisconsin and licensed to do business in 50 states, the District of Columbia, the Commonwealth of Puerto Rico, the Territory of Guam and the U.S. Virgin Islands. The Investment Agreement Guarantor has been assigned triple-A ratings by Moody's and Fitch, Inc. These ratings are an essential part of the Investment Agreement Guarantor's ability to provide credit enhancement. The address of the Investment Agreement Guarantor 's administrative offices and its telephone number are One State Street Plaza, 19 Floor, New York, New York 10004 and (212) 668-0340. The Investment Agreement Guarantor is a wholly owned subsidiary of AFG. AFG is subject to the informational requirements of the Securities Exchange Act, and in accordance therewith files reports and other information with the SEC. Such reports and other information
D-1-6

may be inspected and copied at the public reference facilities maintained by the SEC at 450 Fifth Street, N.W., Washington, D.C. 20549, and at the following Regional Offices of the SEC: Midwest Regional Office, Suite 1400, 500 W. Madison Street, Chicago, Illinois 60661-2511, and copies of such material can be obtained from the Public Reference Section of the SEC, Washington, D.C. 20549, at prescribed rates. The SEC also maintains a site on the World Wide Web at "http://www.sec.gov" at which users can view and download copies of reports, proxy and information statements and other information filed electronically through the Electronic Data Gathering, Analysis and Retrieval ("EDGAR") system. The SEC maintains computer terminals providing access to the EDGAR system at each of the offices referred to above. In addition, such reports and other information filed with the SEC may be inspected at the Information Center of the New York Stock Exchange Inc., 20 Broad Street, New York, New York 10005 and at the American Stock Exchange, 86 Trinity Place, New York, New York 10006. The description of the Investment Agreement Guarantor provided herein should be read in conjunction with the description relating to the Investment Agreement Guarantor, its business, condition and performance and insurance regulatory matters included in AFG's most recent Annual Report on Form 10-K and other subsequent reports filed with the SEC by AFG.

D-1-7

APPENDIX D-2

SUPPLEMENT dated as of December 19, 2006 ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE SERIES SERIES C-1 SEGREGATED PORTFOLIO

Issue of USD 15,000,000 Aggregate Principal Amount of Series C-1 Notes due 2013

Initial Purchasers Goldman, Sachs & Co. Goldman Sachs International

D-2-1

GENERAL TERMS OF NOTES 1 Issuers: Aladdin Synthetic CDO II SPC acting for the account of the Series C-1 Segregated Portfolio Aladdin Synthetic CDO II (Delaware) LLC 2 3 4 Series No: Tranche No: ISIN: CUSIP: 5 6 7 8 9 Settlement Currency: Initial Aggregate Principal Amount of Notes: Original Tranche Notional Amount: Transaction Percentage: Effective Date: Series C-1 1 US01072NAB64 01072NAB6 USD USD 15,000,000 100,000,000. As defined in the Standard CDS Terms. November 29, 2006. (Noteholder is at risk to Credit Events occurring on or after the Effective Date) 10 Issue Date: 11 Denomination(s): 12 Additional Offering Restrictions: December 19, 2006. As described Circular. Not Applicable. in the Offering

PROVISIONS RELATING TO INTEREST PAYABLE 13 Interest Commencement Date: 14 Interest Payment Date(s): Issue Date. Each March 20, June 20, September 20 and December 20, commencing on March 20, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention.

15 Interest Rate Provisions

D-2-2

(a) (b) (c) (d)

Benchmark: Margin Screen Rate Determination: ISDA Determination: (i) Floating Rate Option: (ii) Designated Maturity:

LIBOR. 1.25% Not Applicable. Applicable. USD-LIBOR-BBA 3 months. Actual/360.

(e)

Day Count Fraction

PROVISIONS RELATING TO REDEMPTION 16 Scheduled Maturity Date: December 20, 2013, subject to adjustment in accordance with the Modified Following Business Day Convention. Yes. Not Applicable. As described in the Offering Circular. As described in the Offering Circular. Applicable. As described in the Offering Circular.

17 Redemption for Taxation Reasons permitted on days other than Interest Payment Dates: 18 Maximum/Minimum Redemption Amount: 19 Early Redemption Amount: 20 Notice requirement for early redemption of the Notes: 21 Zero Redemption Option:

GENERAL PROVISIONS APPLICABLE TO THE NOTES 22 BIE Option: 23 Additional Business Centres: 24 Details of any other additions or variations to Offering Circular (if applicable): 25 Additional Transaction Documents (if applicable): Not Applicable. Not Applicable. Not Applicable. Not Applicable.

PROVISIONS RELATING TO THE SALE, LISTING AND RATING OF THE NOTES 26 Details of any additions or variations to the selling restrictions: Not Applicable.

D-2-3

27 Listing of Notes: 28 Dealers Commission: 29 Purchase Price: 30 Net Proceeds of Notes: 31 Method of issue of Notes: 32 The following Dealer is subscribing the Notes: 33 Rating:

Application will be made for listing on the Irish Stock Exchange. Not Applicable. 100% USD 15,000,000 Individual Dealer. Goldman Sachs & Co. It is anticipated that the Series C-1 Notes will be rated "A" by S&P on the Issue Date. 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.

COLLATERAL SECURITIES 34 Type: Collateralized Investment Agreement (Series C-1 Notes) dated as of December 19, 2006, between Ambac Capital Funding, Inc., The Bank of New York Trust Company, National Association, as trustee, and Issuer. The Legal Final Maturity of the Collateralized Investment Agreement (Series C-1 Notes) is December 20, 2013. The Collateralized Investment Agreement (Series C-1 Notes) is governed by and construed in accordance with the laws of the State of New York (including Section 5-1401 of the New York General Obligations Law but excluding all other choice-oflaw and conflicts of law rules). Ambac Capital Funding, Inc. (See "The Investment Agreement-The Investment Agreement Provider" below). Not Applicable. Not Applicable.

35 Obligor:

36 Issue: 37 Puttable Securities:

D-2-4

38 Minimum Puttable Amount: 39 Insurer/Guarantor:

Not Applicable. Ambac Assurance Corporation. (See "The Investment Agreement The Investment Agreement Guarantor" below). LIBOR minus 0.04%. Not Applicable. Not Applicable. Not Applicable. Applicable. As described in the Offering Circular. The Issuer shall not agree to any modification of the Investment Agreement unless such modification satisfies of the Rating Agency Condition.

40 Collateral Securities Interest Rate: 41 Listing of Collateral Securities: 42 Other Collateral: 43 Other Security Document: 44 Disposal Agent may make an offer to purchase the Collateral: 45 Application of Proceeds (if other than as set out in the Offering Circular): 46 Other Provisions:

OTHER AGENTS OR PARTIES 47 Swap Counterparty: 48 Swap Guarantor: 49 CDS Calculation Agent: 50 Disposal Agent: Goldman Sachs Capital Markets, L.P. The Goldman Sachs Group, Inc. Goldman Sachs Capital Markets, L.P. Goldman Sachs Capital Markets, L.P. THE INVESTMENT AGREEMENT The Investment Agreement Provider and the Investment Agreement Guarantor have not participated in the preparation of the Offering Circular or this Supplement and do not assume any responsibility for its contents, except as explicitly specified below . Neither the Investment Agreement Guarantor nor the Investment Agreement Provider makes any representation regarding the Offered Notes or the advisability of investing in the Offered Notes or regarding, nor has it participated in the preparation of, the Offering Circular or this Supplement other than the information supplied by the Investment Agreement Guarantor and presented under the heading "The Investment Agreement" in this Supplement. No representation or warranty, express or implied, is made by the Investment Agreement Provider or the Investment Agreement Guarantor (except, in the case of the Investment Agreement Provider, with respect to the information set forth herein in the section entitled "The Investment Agreement Investment Agreement Provider" for which the Investment Agreement Provider accepts responsibility, and except, in the case of the Investment Agreement Guarantor with respect to
D-2-5

the information set forth herein in the section entitled "The Investment AgreementInvestment Agreement Guarantor", for which the Investment Agreement Guarantor accepts responsibility) as to the accuracy or completeness of the information set forth herein, and nothing contained herein is, or shall be relied upon as, a representation or promise by the Investment Agreement Provider or the Investment Agreement Guarantor as to the past or the future. Neither the Investment Agreement Provider nor the Investment Agreement Guarantor (other than with respect to the information for which such parties explicitly accept responsibility herein) have independently verified any such information or assume responsibility for its accuracy or completeness. The Holders of the Offered Notes hereby (i) release each of the Investment Agreement Provider and the Investment Agreement Guarantor from any liability with respect to the Offering Circular, this Supplement and the Offered Notes and (ii) waive any right or recourse against each of the Investment Agreement Provider and the Investment Agreement Guarantor, other than in respect of the information for which each such party explicitly accepts responsibility. The Investment Agreement Provider Ambac Capital Funding, Inc., a Delaware corporation (the "Investment Agreement Provider") was incorporated on January 12, 1996. The Investment Agreement Provider, headquartered in New York City, is a subsidiary of Ambac Financial Group, Inc., a 100% publicly held company ("AFG"). AFG, incorporated on April 29, 1991 and headquartered in New York City, is a holding company whose subsidiaries provide financial guarantees and financial services to clients in both the public and private sectors around the world. The Investment Agreement Provider's payment obligations under the Investment Agreement are guaranteed by Ambac Assurance Corporation, a triple-A rated financial guarantee insurance company. The Investment Agreement Providers address is One State Street Plaza, New York, New York, 10004. For additional discussion regarding Ambac Assurance Corporation, see "The Investment Agreement Guarantor" below. The Investment Agreement Guarantor Ambac Assurance Corporation (the "Investment Agreement Guarantor"), incorporated on February 25, 1970, is the principal operating subsidiary of AFG, and is a leading financial guarantee insurance company that is primarily engaged in insuring municipal and structured finance obligations. The Investment Agreement Guarantor is a Wisconsin-domiciled stock insurance corporation regulated by the Office of the Commissioner of Insurance of the State of Wisconsin and licensed to do business in 50 states, the District of Columbia, the Commonwealth of Puerto Rico, the Territory of Guam and the U.S. Virgin Islands. The Investment Agreement Guarantor has been assigned triple-A ratings by Moody's and Fitch, Inc. These ratings are an essential part of the Investment Agreement Guarantor's ability to provide credit enhancement. The address of the Investment Agreement Guarantor 's administrative offices and its telephone number are One State Street Plaza, 19 Floor, New York, New York 10004 and (212) 668-0340. The Investment Agreement Guarantor is a wholly owned subsidiary of AFG. AFG is subject to the informational requirements of the Securities Exchange Act, and in accordance therewith files reports and other information with the SEC. Such reports and other information may be inspected and copied at the public reference facilities maintained by the SEC at 450 Fifth Street, N.W., Washington, D.C. 20549, and at the following Regional Offices of the SEC: Midwest Regional Office, Suite 1400, 500 W. Madison Street, Chicago, Illinois 60661-2511, and copies of such material can be obtained from the Public Reference Section of the SEC,
D-2-6

Washington, D.C. 20549, at prescribed rates. The SEC also maintains a site on the World Wide Web at "http://www.sec.gov" at which users can view and download copies of reports, proxy and information statements and other information filed electronically through the Electronic Data Gathering, Analysis and Retrieval ("EDGAR") system. The SEC maintains computer terminals providing access to the EDGAR system at each of the offices referred to above. In addition, such reports and other information filed with the SEC may be inspected at the Information Center of the New York Stock Exchange Inc., 20 Broad Street, New York, New York 10005 and at the American Stock Exchange, 86 Trinity Place, New York, New York 10006. The description of the Investment Agreement Guarantor provided herein should be read in conjunction with the description relating to the Investment Agreement Guarantor, its business, condition and performance and insurance regulatory matters included in AFG's most recent Annual Report on Form 10-K and other subsequent reports filed with the SEC by AFG.

D-2-7

APPENDIX D-3

SUPPLEMENT dated as of December 19, 2006 ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE SERIES SERIES C-2 SEGREGATED PORTFOLIO

Issue of USD 35,000,000 Aggregate Principal Amount of Series C-2 Notes due 2013

Initial Purchasers Goldman, Sachs & Co. Goldman Sachs International

D-3-1

GENERAL TERMS OF NOTES 1 Issuers: Aladdin Synthetic CDO II SPC acting for the account of the Series C-2 Segregated Portfolio Aladdin Synthetic CDO II (Delaware) LLC 2 3 4 Series No: Tranche No: ISIN: CUSIP: 5 6 7 8 9 Settlement Currency: Initial Aggregate Principal Amount of Notes: Original Tranche Notional Amount: Transaction Percentage: Effective Date: Series C-2 1 US01072NAC48 01072NAC4 USD USD 35,000,000 100,000,000 As defined in the Standard CDS Terms. November 29, 2006. (Noteholder is at risk to Credit Events occurring on or after the Effective Date) 10 Issue Date: 11 Denomination(s): 12 Additional Offering Restrictions: December 19, 2006. As described Circular. Not Applicable. in the Offering

PROVISIONS RELATING TO INTEREST PAYABLE 13 Interest Commencement Date: 14 Interest Payment Date(s): Issue Date. Each March 20, June 20, September 20 and December 20, commencing on March 20, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention.

15 Interest Rate Provisions

D-3-2

(a) (b) (c) (d)

Benchmark: Margin Screen Rate Determination: ISDA Determination: (i) Floating Rate Option: (ii) Designated Maturity:

LIBOR. 1.25% Not Applicable. Applicable. USD-LIBOR-BBA 3 months. Actual/360.

(e)

Day Count Fraction

PROVISIONS RELATING TO REDEMPTION 16 Scheduled Maturity Date: December 20, 2013, subject to adjustment in accordance with the Modified Following Business Day Convention. Yes. Not Applicable. As described in the Offering Circular. As described in the Offering Circular. Applicable. As described in the Offering Circular.

17 Redemption for Taxation Reasons permitted on days other than Interest Payment Dates: 18 Maximum/Minimum Redemption Amount: 19 Early Redemption Amount: 20 Notice requirement for early redemption of the Notes: 21 Zero Redemption Option:

GENERAL PROVISIONS APPLICABLE TO THE NOTES 22 BIE Option: 23 Additional Business Centres: 24 Details of any other additions or variations to Offering Circular (if applicable): 25 Additional Transaction Documents (if applicable): Applicable. As described in the Offering Circular Not Applicable. Not Applicable. Not Applicable.

PROVISIONS RELATING TO THE SALE, LISTING AND RATING OF THE NOTES 26 Details of any additions or variations to the selling restrictions: Not Applicable.

D-3-3

27 Listing of Notes: 28 Dealers Commission: 29 Purchase Price: 30 Net Proceeds of Notes: 31 Method of issue of Notes: 32 The following Dealer is subscribing the Notes: 33 Rating:

Application will be made for listing on the Irish Stock Exchange. Not Applicable. 100% USD 35,000,000 Individual Dealer. Goldman Sachs & Co. It is anticipated that the Series C-2 Notes will be rated "A2" by Moody's on the Issue Date. 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.

COLLATERAL SECURITIES 34 Type: 35 Obligor: Corporate Senior Unsecured Floating Rate Medium-Term Notes. General Electric Capital Corporation ("GECC"). GECC files annual, quarterly and current reports and other information with the United Sates Securities and Exchange Commission (the "SEC"). These SEC filings are available to the public from the SECs web site at http://www.sec.gov. GECC has also filed a registration statement (including a prospectus) (No. 333132807) with the SEC for the offering of the Collateral Securities. GECC Capital Markets Group, Inc. 3135 Easton Turnpike, 3rd Floor Fairfield, CT 06828

D-3-4

36 Issue:

USD 35,000,000 aggregate principal amount of Corporate Floating Rate Medium Term Notes due December 20, 2013 issued by General Electric Capital Corporation (CUSIP: 36962GZ72, ISIN US36962GZ722). The Collateral Securities will be governed by and construed in accordance with the internal laws of the State of New York. Not Applicable. Not Applicable. Not Applicable. LIBOR plus 0.12%. Not Applicable. Not Applicable. Not Applicable. Applicable. As described in the Offering Circular. Not Applicable.

37 Puttable Securities: 38 Minimum Puttable Amount: 39 Insurer/Guarantor: 40 Collateral Securities Interest Rate: 41 Listing of Collateral Securities: 42 Other Collateral: 43 Other Security Document: 44 Disposal Agent may make an offer to purchase the Collateral: 45 Application of Proceeds (if other than as set out in the Offering Circular): 46 Other Provisions: OTHER AGENTS OR PARTIES 47 Swap Counterparty: 48 Swap Guarantor: 49 CDS Calculation Agent: 50 Disposal Agent:

Goldman Sachs Capital Markets, L.P. The Goldman Sachs Group, Inc. Goldman Sachs Capital Markets, L.P. Goldman Sachs Capital Markets, L.P.

D-3-5

APPENDIX D-4

SUPPLEMENT dated as of December 19, 2006 ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE SERIES SERIES C-3 SEGREGATED PORTFOLIO

Issue of USD 5,000,000 Aggregate Principal Amount of Series C-3 Notes due 2013

Initial Purchasers Goldman, Sachs & Co. Goldman Sachs International

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GENERAL TERMS OF NOTES 1 Issuers: Aladdin Synthetic CDO II SPC acting for the account of the Series C-3 Segregated Portfolio Aladdin Synthetic CDO II (Delaware) LLC 2 3 4 Series No: Tranche No: ISIN: CUSIP: 5 6 7 8 9 Settlement Currency: Initial Aggregate Principal Amount of Notes: Original Tranche Notional Amount: Transaction Percentage: Effective Date: Series C-3 1 US01072NAD21 01072NAD2 USD USD 5,000,000 100,000,000 As defined in the Standard CDS Terms. November 29, 2006. (Noteholder is at risk to Credit Events occurring on or after the Effective Date) 10 Issue Date: 11 Denomination(s): 12 Additional Offering Restrictions: December 19, 2006. As described Circular. Not Applicable. in the Offering

PROVISIONS RELATING TO INTEREST PAYABLE 13 Interest Commencement Date: 14 Interest Payment Date(s): Issue Date. Each March 20 and September 20, commencing on March 20, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention.

15 Interest Rate Provisions

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(a) (b) (c) (c) (d) (e)

Benchmark: Interest Rate: Margin: Screen Rate Determination: ISDA Determination: Day Count Fraction

Not Applicable. 6.35% per annum. Not Applicable. Not Applicable. Not Applicable. 30/360.

PROVISIONS RELATING TO REDEMPTION 16 Scheduled Maturity Date: December 20, 2013, subject to adjustment in accordance with the Modified Following Business Day Convention. Yes. Not Applicable. As described in the Offering Circular. As described in the Offering Circular. Applicable. As described in the Offering Circular.

17 Redemption for Taxation Reasons permitted on days other than Interest Payment Dates: 18 Maximum/Minimum Redemption Amount: 19 Early Redemption Amount: 20 Notice requirement for early redemption of the Notes: 21 Zero Redemption Option:

GENERAL PROVISIONS APPLICABLE TO THE NOTES 22 BIE Option: 23 Additional Business Centres: 24 Details of any other additions or variations to Offering Circular (if applicable): 25 Additional Transaction Documents (if applicable): Applicable. As described in the Offering Circular Not Applicable. Not Applicable. Not Applicable.

PROVISIONS RELATING TO THE SALE, LISTING AND RATING OF THE NOTES 26 Details of any additions or variations to the selling restrictions: 27 Listing of Notes: Not Applicable. Application will be made for listing on

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the Irish Stock Exchange. 28 Dealers Commission: 29 Purchase Price: 30 Net Proceeds of Notes: 31 Method of issue of Notes: 32 The following Dealer is subscribing the Notes: 33 Rating: Not Applicable. 100% USD 5,000,000 Individual Dealer. Goldman Sachs & Co. It is anticipated that the Series C-3 Notes will be rated "A2" by Moody's on the Issue Date. 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.

COLLATERAL SECURITIES 34 Type: 35 Obligor: Corporate Senior Unsecured Floating Rate Medium-Term Notes. General Electric Capital Corporation ("GECC"). GECC files annual, quarterly and current reports and other information with the United Sates Securities and Exchange Commission (the "SEC"). These SEC filings are available to the public from the SECs web site at http://www.sec.gov. GECC has also filed a registration statement (including a prospectus) (No. 333132807) with the SEC for the offering of the Collateral Securities. GECC Capital Markets Group, Inc. 3135 Easton Turnpike, 3rd Floor Fairfield, CT 06828

D-4-4

36 Issue:

USD 5,000,000 aggregate principal amount of Corporate Senior Unsecured Floating Rate MediumTerm Notes, Series A due December 20, 2013 issued by General Electric Capital Corporation (CUSIP: 36962GZ72, ISIN US36962GZ722). The Collateral Securities will be governed by and construed in accordance with the internal laws of the State of New York. Not Applicable. Not Applicable. Not Applicable. LIBOR plus 0.12%. Not Applicable. Not Applicable. Not Applicable. Applicable. As described in the Offering Circular. Not Applicable.

37 Puttable Securities: 38 Minimum Puttable Amount: 39 Insurer/Guarantor: 40 Collateral Securities Interest Rate: 41 Listing of Collateral Securities: 42 Other Collateral: 43 Other Security Document: 44 Disposal Agent may make an offer to purchase the Collateral: 45 Application of Proceeds (if other than as set out in the Offering Circular): 46 Other Provisions: OTHER AGENTS OR PARTIES 47 Swap Counterparty: 48 Swap Guarantor: 49 CDS Calculation Agent: 50 Disposal Agent:

Goldman Sachs Capital Markets, L.P. The Goldman Sachs Group, Inc. Goldman Sachs Capital Markets, L.P. Goldman Sachs Capital Markets, L.P.

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APPENDIX D-5

SUPPLEMENT dated as of December 21, 2006 ALADDIN SYNTHETIC CDO II SPC ACTING FOR THE ACCOUNT OF THE SERIES SERIES C-4 SEGREGATED PORTFOLIO

Issue of JPY 3,000,000,000 Aggregate Principal Amount of Series C-4 Notes due 2013

Initial Purchasers Goldman, Sachs & Co. Goldman Sachs International

D-5-1

GENERAL TERMS OF NOTES 1 Issuers: Aladdin Synthetic CDO II SPC acting for the account of the Series C-4 Segregated Portfolio Aladdin Synthetic CDO II (Delaware) LLC 2 3 4 Series No: Tranche No: ISIN: CUSIP: 5 6 7 8 9 Settlement Currency: Initial Aggregate Principal Amount of Notes: Original Tranche Notional Amount: Transaction Percentage: Effective Date: Series C-4 1 XS0280574079 Not Applicable JPY JPY 3,000,000,000 100,000,000 As defined in the Standard CDS Terms. December 9, 2006. (Noteholder is at risk to Credit Events occurring on or after the Effective Date) 10 Issue Date: 11 Denomination(s): 12 Additional Offering Restrictions: December 21, 2006. As described Circular. Not Applicable. in the Offering

PROVISIONS RELATING TO INTEREST PAYABLE 13 Interest Commencement Date: 14 Interest Payment Date(s): December 22, 2006. Each March 20, June 20, September 20 and December 20, commencing on March 20, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention.

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15 Interest Rate Provisions (a) (b) (c) (d) Benchmark: Margin: Screen Rate Determination: ISDA Determination: (i) Floating Rate Option: (ii) Designated Maturity: (e) Day Count Fraction JPY LIBOR. 1.34% Not Applicable. Applicable. JPY-LIBOR-BBA 3 months. Actual/360.

PROVISIONS RELATING TO REDEMPTION 16 Scheduled Maturity Date: December 20, 2013, subject to adjustment in accordance with the Modified Following Business Day Convention. Yes. Not Applicable. As described in the Offering Circular. As described in the Offering Circular. Applicable. As described in the Offering Circular.

17 Redemption for Taxation Reasons permitted on days other than Interest Payment Dates: 18 Maximum/Minimum Redemption Amount: 19 Early Redemption Amount: 20 Notice requirement for early redemption of the Notes: 21 Zero Redemption Option:

GENERAL PROVISIONS APPLICABLE TO THE NOTES 22 BIE Option: 23 Additional Business Centres: 24 Details of any other additions or variations to Offering Circular (if applicable): 25 Additional Transaction Documents (if applicable): Applicable. As described in the Offering Circular Not Applicable. Not Applicable. Not Applicable.

PROVISIONS RELATING TO THE SALE, LISTING AND RATING OF THE NOTES 26 Details of any additions or variations to the Not Applicable.

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selling restrictions: 27 Listing of Notes: 28 Dealers Commission: 29 Note Purchase Price: 30 Net Proceeds of Notes: 31 Method of issue of Notes: 32 The following Dealer is subscribing the Notes: 33 Rating: Application will be made for listing on the Irish Stock Exchange. Not Applicable. 100% JPY 3,000,000,000 Individual Dealer. Goldman Sachs International It is anticipated that the Series C-4 Notes will be rated "A" by S&P on the Issue Date. 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.

COLLATERAL SECURITIES 34 Type: 35 Obligor: Corporate Floating Rate MediumTerm Notes. The Goldman Sachs Group, Inc. GS Group's filings with the SEC are available to the public through the SEC's Internet site at http://www.sec.gov, and through the New York Stock Exchange, 20 Broad Street, New York, New York 10005, on which GS Group's common stock is listed.

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36 Issue:

JPY 3,000,000,000 aggregate principal amount of Corporate Floating Rate Medium-Term Notes due December 20, 2013 issued by The Goldman Sachs Group, Inc. ("GS Group") (ISIN XS0278848063). The Collateral Securities will be governed by New York Law. Goldman Sachs Group, Inc. One New York Plaza New York, NY 10004.

37 Puttable Securities: 38 Minimum Puttable Amount: 39 Insurer/Guarantor: 40 Collateral Securities Interest Rate: 41 Listing of Collateral Securities: 42 Other Collateral: 43 Other Security Document: 44 Disposal Agent may make an offer to purchase the Collateral: 45 Application of Proceeds (if other than as set out in the Offering Circular): 46 Other Provisions:

Not Applicable. Not Applicable. Not Applicable. JPY LIBOR plus 0.18%. Not Applicable. Not Applicable. Not Applicable. Applicable. As described in the Offering Circular. As soon as reasonably practicable after the occurrence of an event causing Early Redemption of the Series C-4 Notes, the Disposal Agent will, on behalf of the relevant Issuer, attempt to obtain firm bid quotations from at least five dealers in obligations of the type of the Collateral. If at least two such quotations are available, the Disposal Agent, acting as broker on behalf of the relevant Issuer, will dispose of the Collateral at the highest quotation obtained and will transfer the proceeds to the relevant Issuer on the relevant settlement date. If the Disposal Agent is unable to obtain at least two firm bid quotations (as described above), then on the next

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following Business Day and (to the extent necessary) on each Business Day thereafter until the fifth following Business Day, the Disposal Agent will attempt to obtain such quotations from at least five dealers. If the Disposal Agent is able to obtain at least two such quotations on the same Business Day, then the Disposal Agent, acting as broker on behalf of the relevant Issuer, will dispose of the Collateral at the highest quotation obtained and will transfer the proceeds to the relevant Issuer on the relevant settlement date. The disposition of the Collateral by Goldman Sachs Capital Markets, L.P., as Disposal Agent, shall be subject to any Goldman Sachs black-out period (or other limitation) affecting sales or issuances of Goldman Sachs debt. Goldman Sachs International or an affiliate may provide one of the firm bid quotations for the Collateral. OTHER AGENTS OR PARTIES 47 Swap Counterparty: 48 Swap Guarantor: 49 CDS Calculation Agent: 50 Disposal Agent: Goldman Sachs Capital Markets, L.P. The Goldman Sachs Group, Inc. Goldman Sachs Capital Markets, L.P. Goldman Sachs Capital Markets, L.P.

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REGISTERED OFFICES OF THE ISSUERS AND CO-ISSUER Aladdin Synthetic CDO II SPC c/o Maples Finance Limited P.O. Box 1093 GT Queensgate House, South Church Street George Town Grand Cayman, Cayman Islands

Aladdin Synthetic CDO II (Delaware) LLC c/o Donald J. Puglisi Puglisi & Associates 850 Library Avenue, Suite 204 Newark, Delaware 19711 TRUSTEE, PAYING AGENT AND REGISTRAR The Bank of New York 101 Barclay Street, Floor 4 East New York, New York 10286 IRISH LISTING AGENT Maples and Calder Listing Services Limited 75 St. Stephens Green, Dublin 2, Ireland SWAP COUNTERPARTY Goldman Sachs Capital Markets, L.P. 85 Broad Street New York, NY 10004 IRISH PAYING AGENT Maples Finance Dublin 75 St. Stephens Green, Dublin 2, Ireland CDS GUARANTOR The Goldman Sachs Group, Inc. One New York Plaza New York, NY 10004

PORTFOLIO MANAGER Aladdin Capital Management LLC Six Landmark Square 6th Floor Stamford, Connecticut 06901 LEGAL ADVISORS To the Initial Purchasers Orrick, Herrington & Sutcliffe LLP 666 Fifth Avenue New York, New York 10103 To the Issuers As to matters of United States Law Orrick, Herrington & Sutcliffe LLP 666 Fifth Avenue New York, New York 10103 To the Portfolio Manager Herrick, Feinstein LLP 2 Park Avenue New York, New York 10103 To the Issuers As to matters of Cayman Islands Law Maples and Calder P.O. Box 309GT Ugland House, South Church Street George Town, Grand Cayman, Cayman Islands

No dealer, salesperson or other person has been authorized to give any information or to represent anything not contained in this Offering Circular. You must not rely on any unauthorized information or representation. This Offering Circular is an offer to sell only the Offered Notes offered hereby, and only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this Offering Circular is current only as of its date. ____________________

Aladdin Synthetic CDO II SPC

Aladdin Synthetic CDO II (Delaware) LLC
USD 45,000,000 Series B-1 Floating Rate Notes Due 2013

TABLE OF CONTENTS Offering Circular

Page Summary.......................................................................16 Risk Factors ..................................................................29 Description of the Offered Notes ...................................40 Use of Proceeds............................................................62 Ratings of the Offered Notes.........................................62 Security for the Offered Notes.......................................62 The Portfolio Manager...................................................76 The Portfolio Management Agreement .........................76 The Issuers ...................................................................79 The Co-Issuer ...............................................................80 Income Tax Considerations ..........................................70 ERISA Considerations ..................................................89 Certain Legal Investment Considerations .....................92 Listing and General Information ....................................93 Underwriting ..................................................................94 Index of Defined Terms.................................................97 Appendix A Certain Definitions..................................................... A-1 Appendix B Form of Credit Default Swap .................................... B-1 Appendix C Form of Purchase and Transfer Letter ..................... C-1 Appendix D Series Supplements ................................................. D-1

USD 15,000,000 Series C-1 Floating Rate Notes Due 2013 USD 35,000,000 Series C-2 Floating Rate Notes Due 2013 USD 5,000,000 Series C-3 Floating Rate Notes Due 2013 JPY 3,000,000,000 Series C-4 Floating Rate Notes Due 2013

______________
OFFERING CIRCULAR

______________ Goldman, Sachs & Co. Goldman Sachs International