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«IMPORTANT NOTICE Attached please find an electronic copy of the Offering Circular (the “Offering Circular”), dated September 22, 2006 relating to ...»

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The fourth requirement is that the Collateral Servicer on behalf of the Issuer will only acquire or commit to acquire a CDO Security, RMBS Security, CMBS Security or other Asset-Backed Security for inclusion as a Collateral Debt Security if the obligation or security is, for U.S. Federal income tax purposes (i) debt, (ii) issued only by one or more corporations, (iii) issued only by persons not engaged in a trade or business within the United States or (iv) a certificate of beneficial interest in a grantor trust for U.S. Federal income tax purposes all the assets of which the Issuer could have acquired directly under this paragraph and the paragraphs immediately above.

A special purpose company to which the Collateral Servicer serves as investment advisor shall be an Affiliate of the Collateral Servicer for purposes of the four requirements above.

Credit Default Swaps A portion of the Collateral Debt Securities may consist of Credit Default Swaps entered into between the Issuer and a Credit Default Swap Counterparty.

For purposes of determining the Principal Balance of a Credit Default Swap at any time, the Principal Balance of such Credit Default Swap shall be the Notional Amount thereof (as defined in the in the Confirmation relating thereto).

For purposes of the Coverage Tests, unless otherwise specified, a Credit Default Swap shall be included as a Collateral Debt Security having the characteristics of the Credit Default Swap and not of the related Reference Obligation(s).

For purposes of the Moody’s Asset Correlation Test, a Credit Default Swap will be included as a Collateral Debt Security having the characteristics of the related Reference Obligation(s) (and the issuer thereof will be deemed to be the related Reference Obligor and not the Credit Default Swap Counterparty), or of the related index (or indices), as applicable. For purposes of the Collateral Quality Tests other than the Moody’s Asset Correlation Test, for purposes of the Standard & Poor’s CDO Monitor Test and for determining the Moody’s Rating of a Credit Default Swap, a Credit Default Swap will be included as a Collateral Debt Security having the characteristics of the Credit Default Swap and not of the related Reference Obligation(s), except that, for purposes of determining the industry with respect to any Credit Default Swap for the Standard & Poor’s CDO Monitor Test, a Credit Default Swap will be included as a Collateral Debt Security having the characteristics of the related Reference Obligation(s) or of the related index (or indices), as applicable.

The documents evidencing a Credit Default Swap may not be amended without the consent of the holders of a majority in aggregate outstanding amount of the Class A-1 Notes.

Investments in Credit Default Swaps present risks in addition to those associated with other types of Collateral Debt Securities. See “Risk Factors—Nature of Collateral” and “—Credit Default Swaps”.

The Collateral Quality Tests The “Collateral Quality Tests” will be used primarily as criteria for acquiring Collateral Debt Securities. See “—Eligibility Criteria”. The Collateral Quality Tests will consist of the Moody’s Asset Correlation Test, the Moody’s Maximum Rating Factor Test, the Moody’s Minimum Asset Test, the Moody’s Minimum Weighted Average Recovery Rate Test, the Weighted Average Coupon Test, the Weighted Average Spread Test, the Weighted Average Life Test, the Standard & Poor’s Minimum Weighted Average Recovery Rate Test and the Standard & Poor’s CDO Monitor Test.

Except as otherwise provided below under “Moody’s Asset Correlation Test”, for purposes of the Moody’s Asset Correlation Test, (i) a Single-Name Credit Default Swap will be included as a Collateral Debt Security having the characteristics of the related Reference Obligation (and the issuer thereof will be deemed to be the related Reference Obligor and not the Credit Default Swap Counterparty) and (ii) a Credit Default Swap that references more than one Reference Obligation (or an index or indices) will be included as a Collateral Debt Security having the characteristics of the related Reference Obligations or the related index or indices, as applicable. For purposes of the Collateral Quality Tests other than the Moody’s Asset Correlation Test, and for determining the Moody’s Rating of a Credit Default Swap, a Credit Default Swap will be included as a Collateral Debt Security having the characteristics of the Credit Default Swap and not of the related Reference Obligation(s).

Collateral Quality Matrix Tests

Under the Indenture, the Collateral Servicer will be permitted to select from a table (that will be included in the Indenture, the “Collateral Quality Matrix”), a different group of thresholds for satisfying or

otherwise determining the following Collateral Quality Tests:

• the Moody’s Asset Correlation Test and the MAC Factor included therein;

• the Moody’s Minimum Weighted Average Recovery Rate Test; and

–  –  –

Therefore, notwithstanding anything to the contrary described herein, after giving effect to the proposed purchase of any Collateral Debt Security, the minimum/maximum amounts required to satisfy each of such tests may vary from time to time. Depending on the combination of thresholds in the Collateral Quality Matrix selected by the Collateral Servicer at any time, except as described below, the minimum required Moody’s Asset Correlation Factor can range from 20 to 20.75; the minimum required average recovery rate prescribed by Moody’s can range from 26.5% to 27% and the Weighted Average Spread can range from 1.70% to 1.75%.





Moody’s Asset Correlation Test The “Moody’s Asset Correlation Test” means a test that will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date in accordance with the application of the Collateral Quality Matrix.

The “Moody’s Asset Correlation Factor” is a single number determined in accordance with the correlation methodology provided to the Collateral Servicer by Moody’s and used in calculation of the Moody’s Asset Correlation Test.

Moody’s Minimum Weighted Average Recovery Rate Test The “Moody’s Minimum Weighted Average Recovery Rate Test” as of any Measurement Date on or after the Ramp-Up Completion Date will be satisfied in accordance with the application of the Collateral Quality Matrix.

The “Moody’s Weighted Average Recovery Rate” is the number obtained by summing the products obtained by multiplying the Principal Balance of each Collateral Debt Security by its Applicable Recovery Rate, and dividing such sum by the aggregate Principal Balance of all such Collateral Debt Securities. For purposes of the Moody’s Weighted Average Recovery Rate, the Principal Balance of a Defaulted Security or a Deferred Interest PIK Bond will be deemed to be equal to its outstanding principal amount (but excluding any deferred interest with respect to a Deferred Interest PIK Bond).

–  –  –

The “Weighted Average Spread Test” as of any Measurement Date on or after the Ramp-Up Completion Date will be satisfied in accordance with the application of the Collateral Quality Matrix.

The “Weighted Average Spread” means, as of any Measurement Date, the number obtained (rounded up to the next 0.001%) by summing the products obtained by multiplying the stated spread above LIBOR at which interest accrues on each Collateral Debt Security that is a Floating Rate Security (excluding all Defaulted Securities and Deferred Interest PIK Bonds) by the Principal Balance of each such Collateral Debt Security and dividing such sum by the aggregate Principal Balance of all Collateral Debt Securities that are Floating Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds); provided that if such sum would not satisfy the Weighted Average Spread Test for such Measurement Date, there shall be added to such sum the amount of Fixed Rate Excess, if any as of such Measurement Date (but only to the extent necessary to cause the Weighted Average Spread Test to be satisfied). For purposes of this definition, (1) a PIK Bond shall be deemed to be a Deferred Interest PIK Bond so long as any interest thereon has been deferred and capitalized for at least one payment date (until payment of interest on such PIK Bond has resumed and all capitalized and deferred interest and scheduled principal has been paid in cash in accordance with the terms of the Underlying Instruments), (2) no contingent payment of interest will be included in such calculation and (3) the spread of any Collateral Debt Security that is a Floating Rate Security that bears interest based on a floating-rate index other than LIBOR shall be deemed to be the excess of (x) the rate at which such Collateral Debt Security pays interest over (y) LIBOR.

Moody’s Maximum Rating Factor Test

The “Moody’s Maximum Rating Factor Test” is a test that will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date if the Moody’s Weighted Average Rating Factor of the Pledged Collateral Debt Securities on any such Measurement Date is equal to or less than 480.

“Moody’s Weighted Average Rating Factor” means, on any Measurement Date, the number determined by dividing (i) the summation of the series of products obtained (a) for any Pledged Collateral Debt Security that is not a Defaulted Security or Deferred Interest PIK Bond, by multiplying (1) the Principal Balance on such Measurement Date of each such Collateral Debt Security by (2) its respective Moody’s Rating Factor on such Measurement Date and (b) for any Deferred Interest PIK Bond, by multiplying (1) the Calculation Amount for such Deferred Interest PIK Bond on such Measurement Date by (2) its respective Moody’s Rating Factor on such Measurement Date by (ii) the sum of (a) the aggregate Principal Balance on such Measurement Date of all Pledged Collateral Debt Securities that are not Defaulted Securities or Deferred Interest PIK Bonds plus (b) the sum of the Calculation Amounts of each Deferred Interest PIK Bond on such Measurement Date and rounding the result up to the nearest whole number. For the purpose of determining the Moody’s Weighted Average Rating Factor, the Applicable Recovery Rate with respect to Moody’s shall be used to determine the Calculation Amount of a Deferred Interest PIK Bond.

The “Moody’s Rating Factor” relating to any Collateral Debt Security is the number set forth in the

table below opposite the Moody’s Rating of such Collateral Debt Security:

–  –  –

The “Moody’s Rating” of any Collateral Debt Security will be determined as follows (provided that “Moody’s Rating” in respect of any Credit Default Swap shall be deemed to relate to the related

Reference Obligation):

(i) if such Collateral Debt Security is publicly rated by Moody’s, the Moody’s Rating shall be such rating, or, if such Collateral Debt Security is not publicly rated by Moody’s, but the Issuer has requested that Moody’s assign a rating to such Collateral Debt Security, the Moody’s Rating shall be the rating so assigned by Moody’s;

(ii) with respect to any Asset-Backed Security, if such Asset-Backed Security is not rated by Moody’s, then the Moody’s Rating of such Asset-Backed Security may be determined

using any one of the methods below:

–  –  –

assigned by Standard & Poor’s is “AAA” to “AA-”; (2) two rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is “A+” to “BBB-”; and (3) four rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is below “BBB-”;

(C) with respect to any Asset-Backed Security not publicly rated by Moody’s listed under Class B on the Table of Moody’s Asset Classes attached hereto as Schedule E, if such Asset-Backed Security is publicly rated by Standard & Poor’s, then the Moody’s Rating thereof will be (1) two subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is “AAA” to “AA-”; (2) three rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is “A+” to “BBB-”; and (3) four rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is below “BBB-”;

(D) with respect to any Asset-Backed Security not publicly rated by Moody’s listed under Class D on the Table of Moody’s Asset Classes attached hereto as Schedule E, if such Asset-Backed Security is publicly rated by Standard & Poor’s, then the Moody’s Rating thereof will be (1) one subcategory below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is “BBB-” or greater and (2) two rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is below “BBB-”;

(E) with respect to any Asset-Backed Security not publicly rated by Moody’s listed under Class E on the Table of Moody’s Asset Classes attached hereto as Schedule E, if such Asset-Backed Security is publicly rated by Standard & Poor’s, then the Moody’s Rating thereof will be (1) two subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is “BBB-” or greater and (2) three rating subcategories below the Moody’s equivalent rating assigned by Standard & Poor’s if the rating assigned by Standard & Poor’s is below “BBB-”;



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