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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 “Weighted Average Coupon” means, as of any Measurement Date, the number obtained (rounded up to the next 0.001%) by summing the products obtained by multiplying the current interest rate on each Collateral Debt Security that is a Fixed 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 Fixed Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds); provided that if such sum would not satisfy the Weighted Average Coupon Test for such Measurement Date, there shall be added to such sum the amount of Spread Excess, if any as of such Measurement Date (but only to the extent necessary to cause the Weighted Average Coupon 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) and (2) no contingent payment of interest will be included in such calculation.

The “Spread Excess” means on any Measurement Date an amount equal to a fraction (expressed as a percentage), the numerator of which is equal to the product of (i) the greater of zero and the excess, if any, of the Weighted Average Spread for such Measurement Date over the Weighted Average Spread required to satisfy the Weighted Average Spread Test for such Measurement Date and (ii) the aggregate Principal Balance of all Collateral Debt Securities that are Floating Rate Securities (other than Defaulted Securities and Deferred Interest PIK Bonds) and the denominator of which is the aggregate Principal Balance of all Collateral Debt Securities that are Fixed Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds). In computing the Spread Excess on any Measurement Date, the Weighted Average Spread for such Measurement Date will be computed as if the Fixed Rate Excess were equal to zero.

The “Fixed Rate Excess” means as of any Measurement Date an amount equal to a fraction (expressed as a percentage) the numerator of which is equal to the product of (i) the greater of zero and the excess, if any, of the Weighted Average Coupon for such Measurement Date over the Weighted Average Coupon required to satisfy the Weighted Average Coupon Test for such Measurement Date and (ii) the aggregate Principal Balance of all Collateral Debt Securities that are Fixed Rate Securities (other than Defaulted Securities and Deferred Interest PIK Bonds) and the denominator of which is the aggregate Principal Balance of all Collateral Debt Securities that are Floating Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds). In computing the Fixed Rate Excess on any Measurement Date, the Weighted Average Coupon for such Measurement Date will be computed as if the Spread Excess were equal to zero.

–  –  –

The “Weighted Average Life Test” will be satisfied as of any Measurement Date during any period set forth below if the Weighted Average Life of all Collateral Debt Securities as of such Measurement

Date is less than or equal to the number of years set forth in the table below:

As of any Measurement Date occurring during the period below Weighted Average Life in years On the Closing Date to and including the Quarterly Distribution Date in September 2007 7

–  –  –

On any Measurement Date, the “Weighted Average Life” is the number obtained by (i) summing the products obtained by multiplying (a) the Average Life at such time of each Collateral Debt Security (excluding Defaulted Securities) by (b) the Principal Balance of such Collateral Debt Security and (ii) dividing such sum by the aggregate Principal Balance at such time of all Collateral Debt Securities (other than Defaulted Securities). On any Measurement Date with respect to any Collateral Debt Security, the “Average Life” is the quotient obtained by dividing (i) the sum of the products of (a) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each successive distribution of principal of such Collateral Debt Security (assuming that (A) no collateral underlying the Collateral Debt Security defaults or is sold, (B) prepayment of any Collateral Debt Security during any month occurs (x) at a rate equal to the rate of prepayment during the period of six consecutive months immediately preceding the current month, (y) at the rate of prepayment assumed at the time of issuance of such Collateral Debt Security or (z) at the prospective pricing curve or other similar rate as determined by the Collateral Servicer in its reasonable business judgment and (C) any optional redemption of the Collateral Debt Securities occurs in accordance with their respective terms), and (b) the respective amounts of principal of such distributions by (ii) the sum of all successive distributions of principal on such Collateral Debt Security (as determined by the Collateral Servicer).

Standard & Poor’s Minimum Weighted Average Recovery Rate Test





The “Standard & Poor’s Minimum Weighted Average Recovery Rate Test” will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date if the Standard & Poor’s Weighted Average Recovery Rate is greater than or equal to 28.0% with respect to the Class A-1 Notes, 28.0% with respect to the Class A-2 Notes, 33.5% with respect to the Class B-1 Notes, 33.5% with respect to the Class B-2 Notes, 39.0% with respect to the Class C Notes and 45.0% with respect to the Class D Notes.

“Standard & Poor’s Weighted Average Recovery Rate” means 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 Standard & Poor’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).

Standard & Poor’s CDO Monitor Test The “Standard & Poor’s CDO Monitor Test” will be satisfied on any Measurement Date if, after giving effect to the disposition of a Collateral Debt Security or the acquisition of a Collateral Debt Security (or both), as the case may be, on such Measurement Date (i) the Class A-1 Loss Differential, the Class A-2 Loss Differential, the Class B-1 Loss Differential, the Class B-2 Loss Differential, the Class C Loss Differential and the Class D Loss Differential of the Proposed Portfolio is positive or (ii) if the Class A-1 Loss Differential, the Class A-2 Loss Differential, the Class B-1 Loss Differential, the Class B-2 Loss Differential, the Class C Loss Differential or the Class D Loss Differential of the Current Portfolio is negative prior to giving effect to such disposition or acquisition, the extent of compliance is improved after giving effect to the sale or purchase of a Collateral Debt Security.

The “Standard & Poor’s CDO Monitor” means the dynamic, analytical computer model provided by Standard & Poor’s to the Collateral Servicer and the Trustee (together with all assumptions and instructions required to run such model) on or prior to the Ramp-Up Completion Date for the purpose of estimating the default risk of Collateral Debt Securities, as may be amended by Standard & Poor's (and provided to the Collateral Servicer, the Issuer, the Trustee and the Collateral Administrator) from time to time. The Standard & Poor’s CDO Monitor calculates the cumulative default rate of a pool of Collateral Debt Securities consistent with a specified benchmark rating level based upon Standard & Poor’s proprietary corporate debt default studies. In calculating the Standard & Poor’s Scenario Default Rate for a Class of Notes, the Standard & Poor’s CDO Monitor considers each obligor’s most senior unsecured debt rating, the number of obligors in the portfolio, the obligor and industry concentration in the portfolio and the remaining weighted average maturity of the Collateral Debt Securities and calculates a cumulative default rate based on the statistical probability of distributions of defaults on the Collateral Debt Securities. There can be no assurance that actual defaults of the Collateral Debt Securities or the timing of defaults will not exceed those assumed in the application of the Standard & Poor’s CDO Monitor or that recovery rates with respect thereto will not differ from those assumed in the Standard & Poor’s CDO Monitor Test. Standard & Poor’s makes no representation that actual defaults will not exceed those determined by the Standard & Poor’s CDO Monitor. Neither the Collateral Servicer nor the Issuer makes any representation as to the expected rate of defaults of the Collateral Debt Securities or the timing of defaults or as to the expected recovery rate or the timing of recoveries. If on any date on or after the Ramp-Up Completion Date, upon the acquisition of any Collateral Debt Security (after giving effect to the acquisition of such Collateral Debt Security), the Standard & Poor’s CDO Monitor Test is not satisfied or, if immediately prior to such investment the Standard & Poor’s CDO Monitor Test was not satisfied, the result is not closer to compliance, the Issuer must promptly deliver to the Trustee, the Noteholders and Standard & Poor’s an officer’s certificate specifying the extent of non-compliance.

“Class A-1 Break-Even Default Rate” means at any time, the maximum percentage of defaults which the Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor), which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class A-1 Notes in full by their Stated Maturity and the timely payment of interest on the Class A-1 Notes.

“Class A-1 Loss Differential” means at any time, the rate calculated by subtracting the Class A-1 Scenario Default Rate from the Class A-1 Break-Even Default Rate.

“Class A-1 Scenario Default Rate” means with respect to the Class A-1 Notes, at any time, an estimate of the cumulative default rate for the Current Portfolio or Proposed Portfolio, as applicable, consistent with a “AAA” rating of the Class A-1 Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time.

“Class A-2 Break-Even Default Rate” means at any time, the maximum percentage of defaults which the Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor), which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class A-2 Notes in full by their Stated Maturity and the timely payment of interest on the Class A-2 Notes.

“Class A-2 Loss Differential” means at any time, the rate calculated by subtracting the Class A-2 Scenario Default Rate from the Class A-2 Break-Even Default Rate.

“Class A-2 Scenario Default Rate” means with respect to the Class A-2 Notes, at any time, an estimate of the cumulative default rate for the Current Portfolio or Proposed Portfolio, as applicable, consistent with a “AAA” rating of the Class A-2 Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time.

“Class B-1 Break-Even Default Rate” means at any time, the maximum percentage of defaults which the Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor), which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class B-1 Notes in full by their Stated Maturity and the timely payment of interest on the Class B-1 Notes.

“Class B-1 Loss Differential” means at any time, the rate calculated by subtracting the Class B-1 Scenario Default Rate from the Class B-1 Break-Even Default Rate.

“Class B-1 Scenario Default Rate” means with respect to the Class B-1 Notes, at any time, an estimate of the cumulative default rate for the Current Portfolio or Proposed Portfolio, as applicable, consistent with a “AA” rating of the Class B-1 Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time.

“Class B-2 Break-Even Default Rate” means at any time, the maximum percentage of defaults which the Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor), which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class B-2 Notes in full by their Stated Maturity and the timely payment of interest on the Class B-2 Notes.

“Class B-2 Loss Differential” means at any time, the rate calculated by subtracting the Class B-2 Scenario Default Rate from the Class B-2 Break-Even Default Rate.

“Class B-2 Scenario Default Rate” means with respect to the Class B-2 Notes, at any time, an estimate of the cumulative default rate for the Current Portfolio or Proposed Portfolio, as applicable, consistent with a “AA-” rating of the Class B-2 Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time.



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