Hudson Canyon Funding II, Ltd. Hudson Canyon Funding II, Inc.

U.S.$291,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due October 27, 2020 U.S.$10,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due October 27, 2020

U.S.$46,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020 U.S.$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020

U.S.$47,800,000 Class D Fifth Priority Junior Floating Rate Notes Due October 27, 2020 U.S.$31,300,000 Class E Sixth Priority Junior Notes Due October 27, 2020

U.S.$4,000,000 Class F Income Notes Due October 27, 2020

Hudson Canyon Funding II, Ltd., a newly formed exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Issuer"), and Hudson Canyon Funding II, Inc., a newly formed Delaware corporation (the "Co-Issuer" and, together with the Issuer, the "Co-Issuers"), will issue U.S.$291,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due October 27, 2020 (the "Class A-1 Notes"), U.S.$10,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due October 27, 2020 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes"), U.S.$46,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020 (the "Class B Notes") and U.S.$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020 (the "Class C Notes", collectively with the Class A Notes and the Class B Notes, the "Co-Issued Notes"). Concurrently with the issuance of the Co-Issued Notes, the Issuer will issue U.S.$47,800,000 Class D Fifth Priority Junior Floating Rate Notes Due October 27, 2020 (the "Class D Notes"), U.S.$31,300,000 Class E Sixth Priority Junior Notes Due October 27, 2020 (the "Class E Notes" and, together with the Co-Issued Notes and the Class D Notes, the "Senior Notes") and U.S.$4,000,000 Class F Income Notes Due October 27, 2020 (the "Class F Income Notes" and, together with the Senior Notes, the "Notes"). The Senior Notes will be issued pursuant to an Indenture (the "Indenture"), to be dated on or about April 29, 2008, among the Co-Issuers and LaSalle Bank National Association, as trustee (the "Trustee"). The Class F Income Notes will be issued pursuant to a Class F Income Note Issuing and Paying Agency Agreement (the "Class F Income Note Issuing and Paying Agency Agreement"), to be dated on or about April 29, 2008, between the Issuer and LaSalle Bank National Association, as income note issuing and paying agent (the "Class F Income Note Issuing and Paying Agent"). The collateral securing the Co-Issued Notes will be managed by Invesco Senior Secured Management, Inc. ("Invesco" or the "Collateral Manager").

It is a condition of issuance of the Notes that the Class A-1 Notes be rated "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AAA" by Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P"), the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class B Notes be rated at least "A2" by Moody's and "A" by S&P and the Class C Notes be rated at least "Baa2" by Moody's and "BBB" by S&P. The Class D Notes, the Class E Notes and the Class F Income Notes will not be rated by Moody's, S&P or any other rating agency. The Prospectus has been approved by the Irish Financial Services Regulatory Authority, as competent authority under the Prospectus Directive 2003/71/EC. The Irish Financial Services Regulatory Authority only approves this Prospectus as meeting the requirements imposed under the Irish and EU law pursuant to the Prospectus Directive 2003/71/EC. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. The language of the Prospectus is English. (Continued on Page ii)

INVESTING IN THE NOTES INVOLVES RISKS. SEE "RISK FACTORS" IN THIS OFFERING CIRCULAR (THE "OFFERING CIRCULAR") BEGINNING ON PAGE 19 FOR A DESCRIPTION OF CERTAIN RISKS THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE NOTES. THE ASSETS OF THE ISSUER ARE THE SOLE SOURCE OF PAYMENTS ON THE NOTES. THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY ANY OF THE TRUSTEE, THE COLLATERAL MANAGER, THE CLASS F INCOME NOTE ISSUING AND PAYING AGENT, CITIGROUP GLOBAL MARKETS INC. OR ANY OF THEIR RESPECTIVE AFFILIATES. Except as provided herein under "Income Tax Considerations", this Offering Circular does not describe risks associated with the consequences of consummating the exchange of Existing Securities (as defined herein) for Class D Notes, Class E Notes or Class F Income Notes other than risks directly arising from the ownership of the Class D Notes, Class E Notes or Class F Income Notes received upon such exchange.

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), UNDER APPLICABLE STATE SECURITIES LAWS OR UNDER THE LAWS OF ANY OTHER JURISDICTION. THE NOTES ARE BEING OFFERED (A) IN THE UNITED STATES IN RELIANCE UPON AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT TO QUALIFIED PURCHASERS (AS DEFINED HEREIN) WHO ARE ALSO (I) "QUALIFIED INSTITUTIONAL BUYERS" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) OR (II) IN THE CASE OF THE CLASS F INCOME NOTES, "ACCREDITED INVESTORS" (AS DEFINED UNDER REGULATION D UNDER THE SECURITIES ACT); AND (B) OUTSIDE THE UNITED STATES TO PERSONS WHO ARE NOT U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT ("REGULATION S")) IN OFFSHORE TRANSACTIONS IN RELIANCE ON REGULATION S AND, IN EACH CASE, IN ACCORDANCE WITH APPLICABLE LAWS. A TRANSFER OF NOTES (OR ANY INTEREST THEREIN) IS SUBJECT TO CERTAIN RESTRICTIONS DESCRIBED HEREIN, INCLUDING THAT NO SALE, PLEDGE, TRANSFER OR EXCHANGE MAY BE MADE IN A DENOMINATION LESS THAN THE REQUIRED MINIMUM DENOMINATION. SEE "TRANSFER RESTRICTIONS". PROSPECTIVE PURCHASERS ARE HEREBY NOTIFIED THAT THE SELLERS OF THE NOTES MAY BE RELYING ON THE EXEMPTION FROM THE REGISTRATION PROVISIONS OF SECTION 5 OF THE SECURITIES ACT PROVIDED BY RULE 144A THEREUNDER.

The Co-Issued Notes are offered from time to time in individually negotiated transactions at varying prices to be determined at the time of sale by Citigroup Global Markets Inc. ("CGMI", or in its capacity as initial purchaser of the Co-Issued Notes, the "Initial Purchaser" and, in its capacity as placement agent of the other Notes, the "Placement Agent") subject to prior sale, when, as and if issued. The Notes other than the Co-Issued Notes will be issued pursuant to the Exchange Transaction (as defined herein). The Initial Purchaser and the Placement Agent reserve the right to withdraw, cancel or modify such offer and to reject orders in whole or in part. It is expected that the Notes will be delivered on or about April 29, 2008 (the "Closing Date"), in the case of the Co-Issued Notes and of the other Notes offered outside the United States, through the facilities of The Depository Trust Company ("DTC") and, in the case of all Notes offered in the United States other than the Co-Issued Notes, at the offices of Citigroup Global Markets Inc. against payment therefor in immediately available funds.

A version of this Offering Circular was originally published on April 26, 2008 (the “Original Printing Date”) and has been amended for listing on the date

hereof. The Irish Financial Services Regulatory Authority has not reviewed or approved the Offering Circular published on the Original Printing Date.

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Citi February 10, 2009

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(cover continued)

Subject in each case to the Priority of Payments, (a) Holders of the Class A-1 Notes will be entitled to receive interest at a floating rate per annum equal to the applicable London interbank offered rate in effect from time to time plus 1.05%, (b) Holders of the Class A-2 Notes will be entitled to receive interest at a floating rate per annum equal to the applicable London interbank offered rate in effect from time to time plus 1.90%, (c) Holders of the Class B Notes will be entitled to receive interest at a floating rate per annum equal to the applicable London interbank offered rate in effect from time to time plus 2.00%, (d) Holders of the Class C Notes will be entitled to receive interest at a floating rate per annum equal to the applicable London interbank offered rate in effect from time to time plus 4.00% and (e) Holders of the Class D Notes will be entitled (to the extent funds are available therefor on the applicable Payment Date in accordance with the Priority of Payments) to receive interest at a floating rate per annum equal to the applicable London interbank offered rate in effect from time to time plus 1.30%.

Holders of the Class E Notes and the Class F Income Notes will not be entitled to receive interest at a stated rate. Instead, amounts remaining after application of Collateral Interest Collections pursuant to the Priority of Payments on each Payment Date (including any Redemption Date) will be applied to make distributions in respect of the Class E Notes and the Class F Income Notes. 95% of such remaining amounts will be paid to the holders of the Class E Notes and 5% of such remaining amounts will be paid to the holders of the Class F Income Notes. Distributions on the Class E Notes and Class F Income Notes from Collateral Principal Collections will also be payable on each Payment Date on or after the Payment Date on which the Co-Issued Notes and the Class D Notes have been paid in full and the Holders of the Class E Notes have received the Class E Recovery Amount out of amounts available therefor in accordance with the Priority of Payments until the Stated Maturity Date, or such earlier date on which such Notes are redeemed, including in connection with an optional redemption as described herein under "Optional Redemption". See "Description of the Notes—Priority of Payments". The "Class E Recovery Amount" is an amount equal to 75% of the Aggregate Principal Amount of the Class E Notes Outstanding on the Closing Date.

Distributions in respect of the Notes will be payable in U.S. dollars quarterly in arrears on each January 27, April 27, July 27 and October 27, commencing October, 2008 (each, a "Payment Date"); provided that (i) the final Payment Date with respect to the Notes will be the Stated Maturity Date, (ii) if any such date is not a Business Day, the relevant Payment Date will be the next succeeding Business Day and (iii) each Accelerated Distribution Date will be a Payment Date. Distributions in respect of the Notes on any Payment Date will be made if and to the extent that funds are available on such Payment Date in accordance with the Priority of Payments set forth herein. See "Description of the Notes—Payments on the Notes".

Each of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, Class C Notes, Class D Notes and Class E Notes is referred to herein as a "Class" of Senior Notes. The principal of each Class of Senior Notes is required to be paid by the Stated Maturity Date, unless redeemed or repaid prior thereto, except that, with respect to the Class E Notes, only the Class E Recovery Amount is required to be paid by the Stated Maturity Date. See "Description of the Notes—Payments on the Notes".

Each Class of Notes is entitled to receive payments pari passu among the Notes of such Class.

The relative order of seniority of payment of the principal of each Class of Senior Notes on each Payment Date is as follows: first, Class A-1 Notes, second, Class A-2 Notes, third, Class B Notes, fourth, Class C Notes, fifth, Class D Notes and, sixth, Class E Notes, with (a) each Class of Senior Notes (other than the Class E Notes) in such list being "Senior" to each other Class of Senior Notes that follows such Class of Senior Notes in such list (e.g., the Class A-1 Notes are Senior to the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes) and (b) each Class of Senior Notes (other than the Class A-1 Notes) in such list being "Subordinate" to each other Class of Senior Notes that precedes such Class of Senior Notes in such list (e.g., the Class E Notes are Subordinate to the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes). The Class F Income Notes are subordinate to the payment of interest on and principal of the Co-Issued Notes and the Class D Notes and the payment of the Class E Recovery Amount. See "Description of the Notes—Priority of Payments".

No payment of interest on any Class of Co-Issued Notes or the Class D Notes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to such Class and that remains Outstanding has been paid in full. No payment of principal on any Class of Co-Issued Notes or the Class D Notes will be made until all principal

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of, and accrued and unpaid interest on, the Notes of each Class that is Senior to such Class and that remains Outstanding has been paid in full. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class B Notes or the Class C Notes, in each case, when a Senior Class is Outstanding, such interest shall be deferred until proceeds are available therefor pursuant to the Priority of Payments. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class D Notes on any Payment Date, such interest shall not be deferred or capitalized and the Holders of Class D Notes shall have no right to receive such interest at any time thereafter. Payment of the principal of the Class D Notes from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the Co-Issued Notes have been paid in full. Payment of the Class E Recovery Amount from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the Co-Issued Notes and the Class D Notes have been paid in full. See "Description of the Notes—Priority of Payments".

Distributions will be made in cash.

The Notes are subject to redemption under the circumstances described under "Description of the Notes—Priority of Payments", "Optional Redemption—Optional Redemption in Whole" and "Optional Redemption—Redemption following Certain Tax Events".

Any foreign language text that is included with or within this document has been included for convenience purposes only and does not form part of the Prospectus.

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NOTICE TO RESIDENTS OF NEW HAMPSHIRE

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 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 ATTORNEY GENERAL OF NEW HAMPSHIRE OR THE SECRETARY OF STATE OR 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 ATTORNEY GENERAL OF NEW HAMPSHIRE OR THE SECRETARY OF STATE OF NEW HAMPSHIRE 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.

NOTICE TO NORTH CAROLINA RESIDENTS

IN MAKING AN INVESTMENT DECISION INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY ISSUING THE NOTES AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKS INVOLVED. THESE NOTES HAVE NOT BEEN RECOMMENDED BY ANY 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.

THESE NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE AND MAY NOT BE TRANSFERRED OR RESOLD EXCEPT AS PERMITTED UNDER THE SECURITIES ACT OF 1933, AS AMENDED, AND THE APPLICABLE STATE SECURITIES LAWS, PURSUANT TO REGISTRATION OR EXEMPTION THEREFROM. INVESTORS SHOULD BE AWARE THAT THEY WILL BE REQUIRED TO BEAR THE FINANCIAL RISKS OF THIS INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.

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Prospective investors should rely only on the information contained in this Offering Circular with respect to the terms of the Notes and the transactions described herein. The Co-Issuers have not authorized anyone to provide prospective investors with additional information (other than the list of Collateral Debt Obligations). The Co-Issuers are not, and the Initial Purchaser and the Placement Agent are not, making an offer of these Notes in any state or other jurisdiction where the offer is not permitted. Prospective investors should not assume that the information contained in this Offering Circular is accurate as of any date other than the date on the front of this Offering Circular.

TABLE OF CONTENTS

Page

NOTICES TO PURCHASERS ....................................................................................................................................vi THE OFFERING...........................................................................................................................................................1 RISK FACTORS .........................................................................................................................................................19 THE ISSUER AND THE CO-ISSUER.......................................................................................................................40

The Issuer .............................................................................................................................................................40 Capitalization of the Issuer ...................................................................................................................................40 Business................................................................................................................................................................40 Exchange Transaction ..........................................................................................................................................41 Administration......................................................................................................................................................41 Directors and Officers ..........................................................................................................................................42 The Co-Issuer .......................................................................................................................................................42

The Subsidiary Holding Companies ............................................................................................................................43 DESCRIPTION OF THE NOTES...............................................................................................................................45

The Co-Issued Notes ............................................................................................................................................45 Class D Notes, Class E Notes and Class F Income Notes ....................................................................................48 Payments on the Senior Notes and Distributions on the Class F Income Notes...................................................50 The Hudson Canyon Distribution Account ..........................................................................................................51 Priority of Payments .............................................................................................................................................52 Principal Prepayments ..........................................................................................................................................57 Form, Denomination and Registration .................................................................................................................59

OPTIONAL REDEMPTION.......................................................................................................................................64 Optional Redemption in Whole............................................................................................................................64 Redemption Following Certain Tax Events .........................................................................................................64 Redemption Procedures........................................................................................................................................65 Redemption of Class E Notes and Class F Income Notes Following Repayment of the Co-Issued Notes

and Class D Notes .........................................................................................................................................66 Cancellation..........................................................................................................................................................66

SECURITY FOR THE CO-ISSUED NOTES.............................................................................................................67 Closing Date .........................................................................................................................................................67 Interim Effective Date ..........................................................................................................................................68 Collateral Debt Obligations ..................................................................................................................................68 Synthetic Securities Structured as Default Swaps; the Synthetic Security Collateral Account ............................70 Criteria for Purchase of Collateral........................................................................................................................72 Purchase of Collateral Debt Obligations during the Reinvestment Period ...........................................................75 Purchase of Collateral Debt Obligations after the Reinvestment Period ..............................................................76 Trading Plans........................................................................................................................................................77 Assignment of Collateral Debt Obligations..........................................................................................................78 Sale of Collateral Debt Obligations......................................................................................................................78 Hedge Agreements ...............................................................................................................................................80 The Collection Account........................................................................................................................................82 The Loan Funding Account..................................................................................................................................83 The Expense Account...........................................................................................................................................83 The Interest Reserve Account...............................................................................................................................84

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The Payment Account ..........................................................................................................................................84 The Synthetic Letter of Credit Reserve Account..................................................................................................84 Class D Reserve Account .....................................................................................................................................84 The Hedge Counterparty Collateral Account .......................................................................................................85 The Synthetic Security Collateral Account ..........................................................................................................85 Synthetic Security Issuer Account........................................................................................................................86 Liquidation on Stated Maturity Date ....................................................................................................................86

LEGAL STRUCTURE................................................................................................................................................87 The Indenture .......................................................................................................................................................87 Subsidiary Guarantee............................................................................................................................................92 Trustee and Class F Income Note Issuing and Paying Agent ...............................................................................93 Governing Law.....................................................................................................................................................94 Notices..................................................................................................................................................................94

THE COLLATERAL MANAGER .............................................................................................................................95 THE COLLATERAL MANAGEMENT AGREEMENT ...........................................................................................98 MATURITY AND PREPAYMENT CONSIDERATIONS......................................................................................103 PURCHASE AND TRANSFER RESTRICTIONS ..................................................................................................104

General ...............................................................................................................................................................104 Senior Notes .......................................................................................................................................................104 Class F Income Notes.........................................................................................................................................108 Transfer Restrictions ..........................................................................................................................................111 Settlement...........................................................................................................................................................122

INCOME TAX CONSIDERATIONS.......................................................................................................................123 Taxation of the Issuer .........................................................................................................................................123 Taxation of the Holders ......................................................................................................................................124 U.S. Information Reporting and Backup Withholding .......................................................................................128

CERTAIN ERISA AND RELATED CONSIDERATIONS .....................................................................................129 CERTAIN LEGAL INVESTMENT CONSIDERATIONS ......................................................................................134 RATINGS..................................................................................................................................................................135 USE OF PROCEEDS ................................................................................................................................................136 PLAN OF DISTRIBUTION......................................................................................................................................137 LISTING AND GENERAL INFORMATION..........................................................................................................139 CERTAIN LEGAL MATTERS ................................................................................................................................141 ANNEX A GLOSSARY OF CERTAIN DEFINED TERMS.................................................................................A-1 ANNEX B INDEX OF CERTAIN DEFINED TERMS..........................................................................................B-1

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NOTICES TO PURCHASERS

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND MAY NOT BE OFFERED, SOLD OR OTHERWISE TRANSFERRED UNLESS AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT AND APPLICABLE STATE AND FOREIGN SECURITIES LAWS IS AVAILABLE. THE CO-ISSUERS ARE RELYING ON AN EXEMPTION FROM REGISTRATION UNDER THE INVESTMENT COMPANY ACT, AND NO TRANSFER OF A NOTE MAY BE MADE THAT WOULD CAUSE EITHER OF THE CO-ISSUERS, EITHER SUBSIDIARY HOLDING COMPANY OR THE POOL OF COLLATERAL TO BECOME SUBJECT TO THE REGISTRATION REQUIREMENTS OF THE INVESTMENT COMPANY ACT. THE NOTES ARE ALSO SUBJECT TO CERTAIN OTHER RESTRICTIONS ON TRANSFER DESCRIBED HEREIN. PROSPECTIVE PURCHASERS OF THE NOTES SHOULD PROCEED ON THE ASSUMPTION THAT THEY MUST HOLD THEIR INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. SEE "PURCHASE AND TRANSFER RESTRICTIONS" AND "CERTAIN LEGAL INVESTMENT CONSIDERATIONS".

THE CLASS A-1 NOTES, CLASS A-2 NOTES, CLASS B NOTES AND CLASS C NOTES ARE LIMITED RECOURSE DEBT OBLIGATIONS OF THE CO-ISSUERS, AND THE CLASS D NOTES, CLASS E NOTES AND CLASS F INCOME NOTES ARE LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER. PRINCIPAL OF AND INTEREST ON THE CLASS A-1 NOTES, CLASS A-2 NOTES, CLASS B NOTES, CLASS C NOTES, CLASS D NOTES AND DISTRIBUTIONS ON THE CLASS E NOTES AND CLASS F INCOME NOTES WILL BE PAID SOLELY FROM AND TO THE EXTENT OF THE AVAILABLE PROCEEDS FROM THE DISTRIBUTIONS ON THE COLLATERAL DEBT OBLIGATIONS ACQUIRED BY THE ISSUER, DIRECTLY OR INDIRECTLY, THROUGH THE SUBSIDIARY HOLDING COMPANIES AND OTHER COLLATERAL PLEDGED TO SECURE THE CO-ISSUED NOTES.

FOR THESE REASONS, AMONG OTHERS, AN INVESTMENT IN THE NOTES IS NOT SUITABLE FOR ALL INVESTORS AND IS APPROPRIATE ONLY FOR AN INVESTOR CAPABLE OF (A) ANALYZING AND ASSESSING THE RISKS ASSOCIATED WITH DEFAULTS, LOSSES AND RECOVERIES ON, REINVESTMENT OF PROCEEDS OF AND OTHER CHARACTERISTICS OF DEBT OBLIGATIONS SUCH AS THE COLLATERAL DEBT OBLIGATIONS AND (B) BEARING SUCH RISKS AND THE FINANCIAL CONSEQUENCES THEREOF AS THEY RELATE TO AN INVESTMENT IN THE NOTES.

THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE UNITED STATES SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION OR OTHER REGULATORY AUTHORITY, AND NONE OF THE FOREGOING AUTHORITIES HAS CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS OFFERING CIRCULAR. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.

NOTICE TO RESIDENTS OF AUSTRALIA

ANY OFFER OF NOTES, INVITATION TO SUBSCRIBE FOR NOTES OR ISSUE OF THE NOTES IN AUSTRALIA THAT IS REGULATED BY THE CORPORATIONS LAW MUST CONSTITUTE AN EXCLUDED OFFER, EXCLUDED INVITATION OR EXCLUDED ISSUE WITHIN THE MEANING GIVEN TO THOSE EXPRESSIONS IN THE CORPORATIONS LAW.

NOTICE TO RESIDENTS OF CANADA

(OFFERING IN PROVINCES OF BRITISH COLUMBIA, MANITOBA, ONTARIO AND QUÉBEC ONLY)

THIS OFFERING CIRCULAR PROVIDES INFORMATION ON AN OFFERING OF THE NOTES DESCRIBED HEREIN ONLY IN THOSE JURISDICTIONS AND TO THOSE PERSONS WHERE AND TO WHOM THEY MAY BE LAWFULLY OFFERED FOR SALE AND THEREIN ONLY BY PERSONS PERMITTED TO SELL SUCH NOTES. THIS OFFERING CIRCULAR IS NOT, AND UNDER NO CIRCUMSTANCES IS TO BE CONSTRUED AS, AN ADVERTISEMENT OR A PUBLIC OFFERING OF THE NOTES REFERRED TO HEREIN IN CANADA. NO SECURITIES COMMISSION OR SIMILAR AUTHORITY

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IN CANADA HAS REVIEWED OR IN ANY WAY PASSED UPON THIS DOCUMENT OR THE MERITS OF THE NOTES DESCRIBED HEREIN, AND ANY REPRESENTATION TO THE CONTRARY IS AN OFFENCE.

THE DISTRIBUTION OF THE NOTES IN CANADA WILL BE MADE ONLY ON A PRIVATE PLACEMENT BASIS AND WILL BE EXEMPT FROM THE REQUIREMENT THAT THE CO-ISSUERS PREPARE AND FILE A PROSPECTUS WITH THE RELEVANT CANADIAN SECURITIES REGULATORY AUTHORITIES. ACCORDINGLY, ANY RESALE OF THE NOTES MUST BE MADE IN ACCORDANCE WITH APPLICABLE SECURITIES LAWS, WHICH WILL VARY DEPENDING ON THE RELEVANT JURISDICTION AND WHICH MAY REQUIRE RESALES TO BE MADE IN ACCORDANCE WITH EXEMPTIONS FROM REGISTRATION AND PROSPECTUS REQUIREMENTS. CANADIAN PURCHASERS ARE ADVISED TO SEEK LEGAL ADVICE PRIOR TO ANY RESALE OF THE NOTES.

EACH CANADIAN PURCHASER WHO RECEIVES A PURCHASE CONFIRMATION REGARDING THE NOTES WILL BE DEEMED TO HAVE REPRESENTED TO THE ISSUER, THE CO-ISSUER, THE INITIAL PURCHASER AND THE PLACEMENT AGENT, AND ANY DEALER FROM WHOM SUCH CONFIRMATION IS RECEIVED, THAT (I) THE OFFERS WERE MADE EXCLUSIVELY THROUGH THE OFFERING CIRCULAR AND WERE NOT MADE THROUGH AN ADVERTISEMENT IN ANY PRINTED MEDIA OF GENERAL AND REGULAR PAID CIRCULATION, RADIO, TELEVISION OR TELECOMMUNICATIONS, INCLUDING ELECTRONIC DISPLAY, OR ANY OTHER FORM OF ADVERTISING IN CANADA, (II) SUCH CANADIAN PURCHASER IS ENTITLED UNDER APPLICABLE CANADIAN PROVINCIAL SECURITIES LAWS TO PURCHASE SUCH NOTES WITHOUT THE BENEFIT OF A PROSPECTUS QUALIFIED UNDER SUCH SECURITIES LAWS, (III) SUCH CANADIAN PURCHASER HAS REVIEWED THE RESALE RESTRICTIONS IN THIS OFFERING CIRCULAR, (IV) WHERE REQUIRED BY LAW, SUCH CANADIAN PURCHASER IS PURCHASING AS PRINCIPAL AND NOT AS AGENT, (V) THE AGGREGATE ACQUISITION COST OF PURCHASING THE NOTES FOR SUCH CANADIAN PURCHASER IS AT LEAST CDN $500,000 AND, IF PURCHASING AS AGENT IN THE PROVINCES OF MANITOBA OR ONTARIO, AT LEAST CDN $500,000 PER ACCOUNT ON BEHALF OF WHICH SUCH PURCHASE IS EFFECTED, (VI) IF SUCH CANADIAN PURCHASER IS LOCATED IN MANITOBA, SUCH CANADIAN PURCHASER IS NOT AN INDIVIDUAL AND IS PURCHASING FOR INVESTMENT ONLY AND NOT WITH A VIEW TO RESALE OR DISTRIBUTION, (VII) IF SUCH CANADIAN PURCHASER IS LOCATED IN ONTARIO, A DEALER REGISTERED AS AN INTERNATIONAL DEALER IN ONTARIO MAY SELL THE NOTES TO SUCH CANADIAN PURCHASER, AND (VIII) IF SUCH CANADIAN PURCHASER IS LOCATED IN QUÉBEC, SUCH CANADIAN PURCHASER IS A "SOPHISTICATED PURCHASER" WITHIN THE MEANING OF SECTION 43 OF THE SECURITIES ACT (QUÉBEC).

CONTRACTUAL RIGHT OF ACTION FOR RESCISSION OR DAMAGES (OFFERING IN ONTARIO)

THE NOTES ARE SECURITIES OF FOREIGN ISSUERS, AND ONTARIO PURCHASERS WILL NOT RECEIVE THE CONTRACTUAL RIGHT OF ACTION PRESCRIBED BY SECTION 32 OF THE REGULATION UNDER THE SECURITIES ACT (ONTARIO). AS A RESULT, ONTARIO PURCHASERS MUST RELY ON OTHER REMEDIES THAT MAY BE AVAILABLE, INCLUDING COMMON LAW RIGHTS OF ACTION FOR DAMAGES OR RESCISSION OR RIGHTS OF ACTION UNDER THE CIVIL LIABILITY PROVISIONS OF THE U.S. FEDERAL SECURITIES LAWS.

THE ISSUER AND THE CO-ISSUER AS WELL AS THE OTHER PERSONS NAMED HEREIN MAY BE LOCATED OUTSIDE OF CANADA AND, AS A RESULT, IT MAY NOT BE POSSIBLE FOR ONTARIO PURCHASERS TO EFFECT SERVICE OF PROCESS WITHIN CANADA UPON THE ISSUER AND THE CO-ISSUER OR SUCH OTHER PERSONS. ALL OR A SUBSTANTIAL PORTION OF THE ASSETS OF THE ISSUER, THE CO-ISSUER AND SUCH OTHER PERSONS MAY BE LOCATED OUTSIDE OF CANADA AND, AS A RESULT, IT MAY NOT BE POSSIBLE TO SATISFY A JUDGMENT AGAINST THE ISSUER, THE CO-ISSUER OR SUCH OTHER PERSONS IN CANADA OR TO ENFORCE A JUDGMENT OBTAINED IN CANADIAN COURTS AGAINST SUCH ISSUER, CO-ISSUER OR OTHER PERSONS OUTSIDE OF CANADA.

THE FOREGOING SUMMARY IS SUBJECT TO THE EXPRESS PROVISIONS OF THE SECURITIES ACT (ONTARIO) AND THE REGULATIONS THEREUNDER, AND REFERENCE IS MADE THERETO FOR

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THE COMPLETE TEXT OF SUCH PROVISIONS. SUCH PROVISIONS MAY CONTAIN LIMITATIONS AND STATUTORY DEFENCES ON WHICH THE ISSUER AND THE CO-ISSUER MAY RELY.

THE RIGHTS DISCUSSED ABOVE ARE IN ADDITION TO AND WITHOUT DEROGATION FROM ANY OTHER RIGHT OR REMEDY WHICH INVESTORS MAY HAVE AT LAW.

LANGUAGE OF DOCUMENTS

EACH INVESTOR ACKNOWLEDGES THAT ITS EXPRESS WISH IS THAT ALL DOCUMENTS EVIDENCING OR RELATING IN ANY WAY TO THE SALE OF THE NOTES BE DRAWN UP IN THE ENGLISH LANGUAGE ONLY. VOUS RECONNAISSEZ PAR LES PRÉSENTES QUE C'EST PAR VOTRE VOLONTÉ EXPRESSE QUE TOUS LES DOCUMENTS FAISANT FOI OU SE RAPPORTANT DE QUELQUE MANIÈRE QUE CE SOIT À LA VENTE DES VALEURS MOBILIÈRES DÉCRITES AUX PRÉSENTES SOIENT RÉDIGÉS EN ANGLAIS SEULEMENT.

NOTICE TO RESIDENTS OF EUROPEAN ECONOMIC AREA

IN RELATION TO EACH MEMBER STATE OF THE EUROPEAN ECONOMIC AREA WHICH HAS IMPLEMENTED THE PROSPECTUS DIRECTIVE OR WHERE THE PROSPECTUS DIRECTIVE IS APPLIED BY THE REGULATOR (EACH, A "RELEVANT MEMBER STATE"), EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT WITH EFFECT FROM AND INCLUDING THE DATE ON WHICH THE PROSPECTUS DIRECTIVE IS IMPLEMENTED OR APPLIED IN THAT RELEVANT MEMBER STATE (THE "RELEVANT IMPLEMENTATION DATE") IT HAS NOT MADE AND WILL NOT MAKE AN OFFER OF NOTES WHICH ARE THE SUBJECT OF THE OFFERING CONTEMPLATED BY THIS OFFERING CIRCULAR TO THE PUBLIC IN THAT RELEVANT MEMBER STATE OTHER THAN:

(A) TO LEGAL ENTITIES WHICH ARE AUTHORIZED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS OR, IF NOT SO AUTHORIZED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST IN SECURITIES;

(B) TO ANY LEGAL ENTITY WHICH HAS TWO OR MORE OF (1) AN AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR; (2) A TOTAL BALANCE SHEET OF MORE THAN €43,000,000; AND (3) AN ANNUAL NET TURNOVER OF MORE THAN €50,000,000, AS SHOWN IN ITS LAST ANNUAL OR CONSOLIDATED ACCOUNTS;

(C) TO FEWER THAN 100 NATURAL OR LEGAL PERSONS (OTHER THAN QUALIFIED INVESTORS AS DEFINED IN THE PROSPECTUS DIRECTIVE) SUBJECT TO OBTAINING THE PRIOR CONSENT OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT; OR

(D) IN ANY OTHER CIRCUMSTANCES FALLING WITHIN ARTICLE 3(2) OF THE PROSPECTUS DIRECTIVE,

PROVIDED THAT NO SUCH OFFER OF NOTES SHALL REQUIRE THE ISSUER, THE INITIAL PURCHASER OR THE PLACEMENT AGENT TO PUBLISH A PROSPECTUS PURSUANT TO ARTICLE 3 OF THE PROSPECTUS DIRECTIVE OR SUPPLEMENT A PROSPECTUS PURSUANT TO ARTICLE 16 OF THE PROSPECTUS DIRECTIVE.

FOR THE PURPOSES OF THIS PROVISION, THE EXPRESSION "AN OFFER OF NOTES TO THE PUBLIC" IN RELATION TO ANY NOTES IN ANY RELEVANT MEMBER STATE MEANS THE COMMUNICATION IN ANY FORM AND BY ANY MEANS OF SUFFICIENT INFORMATION ON THE TERMS OF THE OFFER AND THE NOTES TO BE OFFERED SO AS TO ENABLE AN INVESTOR TO DECIDE TO PURCHASE OR SUBSCRIBE THE NOTES, AS THE SAME MAY BE VARIED IN THAT MEMBER STATE BY ANY MEASURE IMPLEMENTING THE PROSPECTUS DIRECTIVE IN THAT MEMBER STATE AND THE EXPRESSION "PROSPECTUS DIRECTIVE" MEANS DIRECTIVE 2003/71/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL OF THE EUROPEAN UNION DATED 4

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NOVEMBER, 2003 REGARDING ANY PROSPECTUS PUBLISHED IN RELATION TO SECURITIES OFFERED TO THE PUBLIC OR ADMITTED TO TRADING AND INCLUDES ANY RELEVANT IMPLEMENTING MEASURE IN EACH RELEVANT MEMBER STATE.

NOTICE TO RESIDENTS OF FRANCE

EACH OF THE CO-ISSUERS, THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT IT HAS NOT OFFERED, SOLD OR OTHERWISE TRANSFERRED AND WILL NOT OFFER, SELL OR OTHERWISE TRANSFER, DIRECTLY, OR INDIRECTLY, THE NOTES TO THE PUBLIC IN THE REPUBLIC OF FRANCE AND THAT ANY OFFERS, SALES OR OTHER TRANSFERS OF THE NOTES IN THE REPUBLIC OF FRANCE WILL BE MADE IN ACCORDANCE WITH ARTICLES L. 411-2 OF THE FRENCH CODE MONÉTAIRE ET FINANCIER ONLY TO:

(I) QUALIFIED INVESTORS (INVESTISSEURS QUALIFIES, AS DEFINED IN ARTICLE D. 411-1 OF THE FRENCH CODE MONÉTAIRE ET FINANCIER) ACTING FOR THEIR OWN ACCOUNT;

(II) A RESTRICTED CIRCLE OF INVESTORS (CERCLE RESTREINT D'INVESTISSEURS, AS DEFINED IN ARTICLE D. 411-2 OF THE FRENCH CODE MONÉTAIRE ET FINANCIER) ACTING FOR THEIR OWN ACCOUNT;

(III) PERSONS PROVIDING PORTFOLIO MANAGEMENT FINANCIAL SERVICES (PERSONNES FOURNISSANT LE SERVICE D'INVESTISSEMENT DE GESTION DE PORTEFEUILLE POUR COMPTE DE TIERS); AND/OR

(IV) INVESTORS INVESTING EACH AT LEAST EURO 50,000 PER TRANSACTION, PROVIDED THAT THE ISSUER IS A FRENCH SOCIÉTÉ ANONYME OR SOCIÉTÉ EN COMMANDITE PAR ACTIONS OR A FOREIGN LIMITED COMPANY WITH A SIMILAR STATUS.

THIS OFFERING CIRCULAR HAS NOT BEEN AND WILL NOT BE SUBJECT TO ANY APPROVAL BY OR REGISTRATION (VISA) WITH THE FRENCH AUTORITÉ DES MARCHÉS FINANCIERS.

IN ADDITION, THE CO-ISSUERS, THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT IT HAS NOT DISTRIBUTED OR CAUSED TO BE DISTRIBUTED AND WILL NOT DISTRIBUTE OR CAUSE TO BE DISTRIBUTED IN THE REPUBLIC OF FRANCE THIS OFFERING CIRCULAR OR ANY OTHER OFFERING MATERIAL RELATING TO THE NOTES OTHER THAN TO INVESTORS TO WHOM OFFERS, SALES OR OTHER TRANSFERS OF THE NOTES IN THE REPUBLIC OF FRANCE MAY BE MADE AS DESCRIBED ABOVE.

THIS OFFERING CIRCULAR AND ANY OTHER OFFERING MATERIAL RELATING TO THE NOTES ARE NOT TO BE FURTHER DISTRIBUTED OR REPRODUCED (IN WHOLE OR IN PART) BY THE ADDRESSEE AND HAVE BEEN DISTRIBUTED ON THE BASIS THAT THE ADDRESSEE INVESTS FOR ITS OWN ACCOUNT, AS NECESSARY, AND DOES NOT RESELL OR OTHERWISE TRANSFER, DIRECTLY OR INDIRECTLY, THE NOTES TO THE PUBLIC IN THE REPUBLIC OF FRANCE OTHER THAN IN COMPLIANCE WITH ARTICLES L. 411-1, L. 411-2, L. 412-1 AND L. 621-8 TO L. 621-8-3 OF THE FRENCH CODE MONÉTAIRE ET FINANCIER.

NOTICE TO RESIDENTS OF GERMANY

THE NOTES WILL NOT BE OFFERED OR SOLD IN THE FEDERAL REPUBLIC OF GERMANY OTHER THAN IN ACCORDANCE WITH THE RULES SET FORTH ABOVE UNDER "NOTICE TO RESIDENTS OF EUROPEAN ECONOMIC AREA", THE GERMAN INVESTMENT ACT OF DECEMBER 15, 2003 OF THE FEDERAL REPUBLIC OF GERMANY, AS AMENDED (INVESTMENTGESETZ) AND ANY OTHER LEGAL OR REGULATORY REQUIREMENTS APPLICABLE IN THE FEDERAL REPUBLIC OF GERMANY GOVERNING THE ISSUE, OFFER AND SALE OF SECURITIES. NOTWITHSTANDING ANY REQUEST OF A GERMAN INVESTOR THEREFOR, THE ISSUER WILL NOT BE IN A POSITION TO, AND WILL NOT, COMPLY WITH ANY CALCULATION AND INFORMATION REQUIREMENTS SET FORTH IN § 5 THE INVESTMENTSTEUERGESETZ (THE "GERMAN INVESTMENT TAX ACT") FOR GERMAN TAX

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PURPOSES. IN THIS REGARD, PROSPECTIVE INVESTORS MUST REVIEW "RISK FACTORS—APPLICATION OF THE GERMAN INVESTMENT TAX ACT". ALL PROSPECTIVE GERMAN INVESTORS ARE URGED TO SEEK INDEPENDENT TAX ADVICE. NEITHER THE INITIAL PURCHASER NOR THE PLACEMENT AGENT GIVES TAX ADVICE.

NOTICE TO RESIDENTS OF IRELAND

EACH OF THE CO-ISSUERS, THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED, WARRANTED AND UNDERTAKEN THAT:

(A) IT WILL NOT UNDERWRITE OR PLACE NOTES OTHERWISE THAN IN CONFORMITY WITH

THE PROVISIONS OF THE INVESTMENT INTERMEDIARIES ACT, 1995 OF IRELAND, AS AMENDED, INCLUDING, WITHOUT LIMITATION, SECTIONS 9 AND 23 (INCLUDING ADVERTISING RESTRICTIONS MADE THEREUNDER) THEREOF AND THE CODES OF CONDUCT MADE UNDER SECTION 37 THEREOF OR, IN THE CASE OF A CREDIT INSTITUTION EXERCISING ITS RIGHTS UNDER THE BANKING CONSOLIDATION DIRECTIVE (2000/12/EC OF 20TH MARCH, 2000) IN CONFORMITY WITH THE CODES OF CONDUCT OR PRACTICE MADE UNDER SECTION 117(1) OF THE CENTRAL BANK ACT, 1989, OF IRELAND, AS AMENDED;

(B) IN CONNECTION WITH OFFERS OR SALES OF NOTES, IT HAS ONLY ISSUED OR PASSED ON, AND WILL ONLY ISSUE OR PASS ON, IN IRELAND, ANY DOCUMENT RECEIVED BY IT IN CONNECTION WITH THE ISSUE OF SUCH NOTES TO PERSONS WHO ARE PERSONS TO WHOM THE DOCUMENTS MAY OTHERWISE LAWFULLY BE ISSUED OR PASSED ON; AND

(C) IN RESPECT OF A LOCAL OFFER (WITHIN THE MEANING OF SECTION 38(1) OF THE INVESTMENT FUNDS, COMPANIES AND MISCELLANEOUS PROVISIONS ACT 2005 OF IRELAND (THE "2005 ACT")) OF NOTES IN IRELAND, IT HAS COMPLIED AND WILL COMPLY WITH SECTION 49 OF THE 2005 ACT.

NOTICE TO RESIDENTS OF ITALY

THE OFFERING OF THE NOTES HAS NOT BEEN CLEARED BY THE COMMISSIONE NAZIONALE PER LA SOCIETÀ E LA BORSA ("CONSOB") (THE ITALIAN SECURITIES EXCHANGE COMMISSION), PURSUANT TO ITALIAN SECURITIES LEGISLATION AND, ACCORDINGLY, IN THE REPUBLIC OF ITALY THE NOTES MAY NOT BE OFFERED, SOLD OR DELIVERED, NOR MAY COPIES OF THE PROSPECTUS OR OF ANY OTHER DOCUMENT RELATING TO THE NOTES BE DISTRIBUTED IN THE REPUBLIC OF ITALY, EXCEPT:

(I) TO PROFESSIONAL INVESTORS ("OPERATORI QUALIFICATI"), AS DEFINED IN ARTICLE 31, SECOND PARAGRAPH, OF CONSOB REGULATION NO. 11522 OF 1ST JULY, 1998 ("REGULATION 11522"), AS AMENDED; OR

(II) IN CIRCUMSTANCES WHICH ARE EXEMPTED FROM THE RULES ON SOLICITATION OF INVESTMENTS PURSUANT TO ARTICLE 100 OF LEGISLATIVE DECREE NO. 58 OF 24TH FEBRUARY, 1998 (THE "FINANCIAL SERVICES ACT") AND ARTICLE 33, FIRST PARAGRAPH, OF CONSOB REGULATION NO. 11971 OF 14TH MAY, 1999, AS AMENDED.

EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT IT WILL NOT OFFER, SELL OR DELIVER THE NOTES OR DISTRIBUTE COPIES OF THIS OFFERING CIRCULAR OR ANY OTHER DOCUMENT RELATING TO THE NOTES IN THE REPUBLIC OF ITALY UNLESS SUCH OFFER, SALE OR DELIVERY OF NOTES OR DISTRIBUTION OF COPIES OF THIS OFFERING CIRCULAR OR ANY OTHER DOCUMENT RELATING TO THE NOTES IN THE REPUBLIC OF ITALY IS:

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(I) MADE BY AN INVESTMENT FIRM, BANK OR FINANCIAL INTERMEDIARY PERMITTED TO CONDUCT SUCH ACTIVITIES IN THE REPUBLIC OF ITALY IN ACCORDANCE WITH LEGISLATIVE DECREE NO. 385 OF 1 SEPTEMBER, 1993 (THE "BANKING ACT"), THE FINANCIAL SERVICES ACT, REGULATION 11522 AND ANY OTHER APPLICABLE LAWS AND REGULATIONS; AND

(II) IN COMPLIANCE WITH ANY AND ALL OTHER APPLICABLE LAWS AND REGULATIONS.

NOTICE TO RESIDENTS OF JAPAN

THE NOTES HAVE NOT BEEN, AND WILL NOT BE, REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN. NEITHER THE NOTES NOR ANY INTEREST THEREIN MAY BE OFFERED, SOLD, RESOLD OR OTHERWISE TRANSFERRED, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO OR FOR THE ACCOUNT OF ANY RESIDENT IN JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON RESIDENT OF 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 IN 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 LAW, REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN.

NOTICE TO RESIDENTS OF KOREA

NEITHER THE ISSUER NOR THE CO-ISSUER IS MAKING ANY REPRESENTATION, EXPRESS OR IMPLIED, WITH RESPECT TO THE QUALIFICATION OF THE RECIPIENTS OF THESE MATERIALS FOR THE PURPOSE OF INVESTING IN THE NOTES UNDER THE LAWS OF KOREA, INCLUDING AND, WITHOUT LIMITATION, THE FOREIGN EXCHANGE MANAGEMENT LAW AND REGULATIONS THEREUNDER. THE NOTES HAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF KOREA, AND NONE OF THE NOTES MAY BE OFFERED OR SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA EXCEPT PURSUANT TO APPLICABLE LAWS AND REGULATIONS OF KOREA.

NOTICE TO RESIDENTS OF SINGAPORE

THIS OFFERING CIRCULAR HAS NOT BEEN AND WILL NOT BE REGISTERED AS A PROSPECTUS WITH THE MONETARY AUTHORITY OF SINGAPORE. ACCORDINGLY, THIS OFFERING CIRCULAR OR ANY OTHER DOCUMENT OR MATERIAL IN CONNECTION WITH ANY OFFER OF THE NOTES OFFERED HEREBY MAY NOT BE ISSUED, CIRCULATED OR DISTRIBUTED IN SINGAPORE. THE OFFER OF NOTES OFFERED HEREBY OR ANY INVITATION TO SUBSCRIBE FOR OR PURCHASE ANY SUCH NOTES (OR ANY ONE OF THEM) MAY NOT BE MADE, DIRECTLY OR INDIRECTLY, IN SINGAPORE, OTHER THAN UNDER CIRCUMSTANCES IN WHICH SUCH OFFER OR SALE DOES NOT CONSTITUTE AN OFFER OR SALE OF THE NOTES OFFERED HEREBY TO THE PUBLIC IN SINGAPORE, OR IN WHICH SUCH OFFER OR SALE IS MADE PURSUANT TO SUITABLE EXEMPTIONS APPLICABLE THERETO (SUCH AS BUT NOT LIMITED TO SECTION 274 OR SECTION 275 OF THE SECURITIES AND FUTURES ACT (CHAPTER 289) OF SINGAPORE). NO PERSON WHO RECEIVES A COPY OF THIS OFFERING CIRCULAR UNDER SUCH CIRCUMSTANCES MAY ISSUE, CIRCULATE OR DISTRIBUTE THIS OFFERING CIRCULAR IN SINGAPORE OR MAKE, OR GIVE TO ANY OTHER PERSON, A COPY OF THIS OFFERING CIRCULAR.

NOTICE TO RESIDENTS OF SPAIN

THE NOTES MAY NOT BE OFFERED, SOLD OR DISTRIBUTED IN THE KINGDOM OF SPAIN SAVE IN ACCORDANCE WITH THE REQUIREMENTS OF LEY 24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES AS AMENDED AND RESTATED, AND REAL DECRETO 1310/2005, DE 4 DE NOVIEMBRE, POR EL QUE SE DESARROLLA PARCIALMENTE LA LEY 24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES, EN MATERIAL DE ADMISION A NEGOCIACIÓN DE VALORES EN MERCADOS SECUNDARIOS

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OFICIALES, DE OFERTAS PÚBLICAS DE VENTA O SUSCRIPCIÓN Y DEL FOLLETO EXIGIBLE A TALES EFECTOS AS AMENDED AND RESTATED OR AS FURTHER AMENDED, SUPPLEMENTED OR RESTATED FROM TIME TO TIME. NEITHER THE NOTES NOR THIS OFFERING CIRCULAR HAVE BEEN VERIFIED OR REGISTERED IN THE ADMINISTRATIVE REGISTRIES OF THE COMISIÓN NACIONAL DE MERCADO DE VALORES OF SPAIN.

NOTICE TO RESIDENTS OF TAIWAN

THE OFFER OF THE NOTES HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA PURSUANT TO RELEVANT SECURITIES LAWS AND REGULATIONS AND MAY NOT BE OFFERED OR SOLD WITHIN THE REPUBLIC OF CHINA THROUGH A PUBLIC OFFERING OR IN CIRCUMSTANCE WHICH CONSTITUTES AN OFFER WITHIN THE MEANING OF THE SECURITIES AND EXCHANGE LAW OF THE REPUBLIC OF CHINA THAT REQUIRES A REGISTRATION OR APPROVAL OF THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA.

NOTICE TO RESIDENTS OF THE UNITED KINGDOM

EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED, WARRANTED AND AGREED THAT:

(A) IT HAS ONLY COMMUNICATED OR CAUSED TO BE COMMUNICATED AND WILL ONLY COMMUNICATE OR CAUSE TO BE COMMUNICATED AN 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 THE NOTES IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF FSMA DOES NOT APPLY TO THE ISSUER;

(B) NONE OF THE NOTES HAVE BEEN OFFERED OR SOLD AND WILL BE OFFERED OR SOLD TO PERSONS IN THE UNITED KINGDOM EXCEPT:

(1) TO LEGAL ENTITIES WHICH ARE AUTHORIZED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS, OR IF NOT SO AUTHORIZED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST IN SECURITIES;

(2) TO ANY LEGAL ENTITY WHICH HAS TWO OR MORE OF (I) AN AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR, (II) A TOTAL BALANCE SHEET OF MORE THAN €43,000,000 AND (III) AN ANNUAL TURNOVER OF MORE THAN €50,000,000, AS SHOWN IN ITS LAST ANNUAL OR CONSOLIDATED ACCOUNTS; OR

(3) IN ANY OTHER CIRCUMSTANCES WHICH DO NOT REQUIRE THE PUBLICATION BY THE ISSUER OF A PROSPECTUS PURSUANT TO PART VI OF FSMA; AND

(C) IT HAS COMPLIED WITH AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF FSMA WITH RESPECT TO ANYTHING DONE BY IT IN RELATION TO THE NOTES IN, FROM OR OTHERWISE INVOLVING THE UNITED KINGDOM.

NOTICE TO RESIDENTS OF THE CAYMAN ISLANDS

NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE NOTES.

NOTICE TO RESIDENTS OF OTHER JURISDICTIONS

THE DISTRIBUTION OF THIS OFFERING CIRCULAR AND THE OFFER OR SALE OF THE NOTES MAY BE RESTRICTED BY LAW IN CERTAIN JURISDICTIONS. NONE OF THE ISSUER, THE CO-

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ISSUER, THE COLLATERAL MANAGER, THE INITIAL PURCHASER OR THE PLACEMENT AGENT REPRESENTS THAT THIS DOCUMENT MAY BE LAWFULLY DISTRIBUTED, OR THAT ANY NOTES MAY BE LAWFULLY OFFERED, IN COMPLIANCE WITH ANY APPLICABLE REGISTRATION OR OTHER REQUIREMENTS IN ANY JURISDICTION, OR PURSUANT TO AN EXEMPTION AVAILABLE THEREUNDER, OR ASSUME ANY RESPONSIBILITY FOR FACILITATING ANY SUCH DISTRIBUTION OR OFFERING. IN PARTICULAR, NO ACTION HAS BEEN TAKEN BY THE ISSUER, THE CO-ISSUER, THE COLLATERAL MANAGER, THE INITIAL PURCHASER OR THE PLACEMENT AGENT WHICH WOULD PERMIT A PUBLIC OFFERING OF ANY NOTES OR DISTRIBUTION OF THIS DOCUMENT IN ANY JURISDICTION WHERE ACTION FOR THAT PURPOSE IS REQUIRED. ACCORDINGLY, NO NOTES MAY BE OFFERED OR SOLD, DIRECTLY OR INDIRECTLY, AND NEITHER THIS OFFERING CIRCULAR NOR ANY ADVERTISEMENT OR OTHER OFFERING MATERIAL MAY BE DISTRIBUTED OR PUBLISHED IN ANY JURISDICTION, EXCEPT UNDER CIRCUMSTANCES THAT WILL RESULT IN COMPLIANCE WITH ANY APPLICABLE LAWS AND REGULATIONS. PERSONS INTO WHOSE POSSESSION THIS OFFERING CIRCULAR OR ANY OF THE NOTES COME MUST INFORM THEMSELVES ABOUT, AND OBSERVE, ANY SUCH RESTRICTIONS. EACH PROSPECTIVE PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTION IN WHICH IT PURCHASES, OFFERS OR SELLS THE NOTES OR POSSESSES OR DISTRIBUTES THIS OFFERING CIRCULAR AND MUST OBTAIN ANY CONSENT, APPROVAL OR PERMISSION REQUIRED BY IT FOR THE PURCHASE, OFFER OR SALE BY IT OF THE NOTES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTION TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE CO-ISSUERS, THE INITIAL PURCHASER, THE PLACEMENT AGENT OR THE COLLATERAL MANAGER SHALL HAVE ANY RESPONSIBILITY THEREFOR.

FURTHER NOTICES TO PURCHASERS

EXCEPT AS SET FORTH IN THIS OFFERING CIRCULAR, NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS OFFERING CIRCULAR IN RELATION TO THE NOTES, AND IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON.

THIS OFFERING CIRCULAR HAS BEEN PREPARED BY THE CO-ISSUERS SOLELY FOR USE IN CONNECTION WITH THE OFFERING AND LISTING OF THE NOTES. A VERSION OF THIS OFFERING CIRCULAR WAS ORIGINALLY PRINTED ON APRIL 26, 2008 (THE “ORIGINAL PRINTING DATE”) AND HAS BEEN AMENDED FOR LISTING PURPOSES ON THE DATE HEREOF. THIS OFFERING CIRCULAR IS PERSONAL TO EACH OFFEREE AND DOES NOT CONSTITUTE AN OFFER TO ANY OTHER PERSON OR TO THE PUBLIC GENERALLY TO SUBSCRIBE FOR OR OTHERWISE ACQUIRE NOTES. DISTRIBUTION OF THIS OFFERING CIRCULAR TO ANY OTHER PERSON OTHER THAN THE OFFEREE AND ANY PERSON RETAINED TO ADVISE SUCH OFFEREE WITH RESPECT TO ITS PURCHASE IS UNAUTHORIZED, AND ANY DISCLOSURE OF ANY OF ITS CONTENTS, WITHOUT THE PRIOR WRITTEN CONSENT OF THE ISSUER, IS PROHIBITED. EACH PROSPECTIVE INVESTOR, BY ACCEPTING DELIVERY OF THIS OFFERING CIRCULAR, AGREES TO THE FOREGOING AND TO MAKE NO PHOTOCOPIES OF THIS OFFERING CIRCULAR OR ANY DOCUMENTS REFERRED TO HEREIN. THE CO-ISSUERS (AND THE COLLATERAL MANAGER, ONLY WITH RESPECT TO THE INFORMATION APPEARING UNDER "THE COLLATERAL MANAGER") ACCEPT RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR. TO THE BEST OF THE KNOWLEDGE AND BELIEF OF THE CO-ISSUERS (AND THE COLLATERAL MANAGER, ONLY WITH RESPECT TO THE INFORMATION APPEARING UNDER "THE COLLATERAL MANAGER" AND UNDER “RISK FACTORS – POTENTIAL CONFLICTS OF INTEREST – CONFLICTS INVOLVING THE COLLATERAL MANAGER”), HAVING TAKEN ALL REASONABLE CARE THAT SUCH IS THE CASE, THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. EXCEPT TO THE EXTENT DESCRIBED ABOVE, NONE OF THE COLLATERAL MANAGER OR ANY OF ITS AFFILIATES, DIRECTORS, OFFICERS OR EMPLOYEES HAS INDEPENDENTLY VERIFIED ANY SUCH INFORMATION AND DOES NOT ASSUME ANY RESPONSIBILITY FOR ITS ACCURACY OR COMPLETENESS.

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NEITHER THE INITIAL PURCHASER NOR THE PLACEMENT AGENT MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY OR COMPLETENESS OF THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR. NOTHING CONTAINED IN THIS OFFERING CIRCULAR IS, OR SHALL BE RELIED UPON AS, A PROMISE OR REPRESENTATION BY THE INITIAL PURCHASER OR THE PLACEMENT AGENT AS TO THE PAST OR FUTURE. NEITHER THE INITIAL PURCHASER, THE PLACEMENT AGENT NOR ANY OF THEIR RESPECTIVE AFFILIATES, DIRECTORS, OFFICERS OR EMPLOYEES HAS INDEPENDENTLY VERIFIED ANY OF THE INFORMATION CONTAINED HEREIN (FINANCIAL, LEGAL OR OTHERWISE) AND ASSUMES NO RESPONSIBILITY FOR THE ACCURACY OR COMPLETENESS OF ANY SUCH INFORMATION.

THE TRUSTEE HAS NOT PARTICIPATED IN THE PREPARATION OF THIS OFFERING CIRCULAR AND ASSUMES NO RESPONSIBILITY FOR ITS CONTENTS.

IN MAKING AN INVESTMENT DECISION, PROSPECTIVE INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF THE CO-ISSUERS AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKS INVOLVED, AND MUST NOT RELY ON INFORMATION PROVIDED BY OR STATEMENTS MADE BY THE INITIAL PURCHASER, THE PLACEMENT AGENT, THE COLLATERAL MANAGER OR ANY OF THEIR RESPECTIVE AFFILIATES. PROSPECTIVE INVESTORS SHOULD NOT CONSTRUE ANYTHING IN THIS OFFERING CIRCULAR AS LEGAL, BUSINESS, ACCOUNTING OR TAX ADVICE. EACH PROSPECTIVE INVESTOR SHOULD CONSULT ITS OWN ADVISORS AS NEEDED TO MAKE ITS INVESTMENT DECISION AND TO DETERMINE WHETHER IT IS LEGALLY PERMITTED TO PURCHASE THE NOTES UNDER APPLICABLE LEGAL INVESTMENT OR SIMILAR LAWS OR REGULATIONS. INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF THIS INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.

THIS OFFERING CIRCULAR CONTAINS SUMMARIES BELIEVED TO BE ACCURATE WITH RESPECT TO CERTAIN DOCUMENTS. THE SUMMARIES DO NOT PURPORT TO BE COMPLETE AND ARE QUALIFIED IN THEIR ENTIRETY BY REFERENCE TO SUCH DOCUMENTS. COPIES OF DOCUMENTS REFERRED TO HEREIN WILL BE MADE AVAILABLE TO PROSPECTIVE INVESTORS UPON REQUEST DIRECTED TO THE ISSUER, CARE OF CITIGROUP GLOBAL MARKETS INC. AT 390 GREENWICH STREET, 4TH FLOOR, NEW YORK, NEW YORK 10013, ATTENTION: GLOBAL STRUCTURED CREDIT PRODUCTS GROUP. COPIES OF SUCH DOCUMENTS MAY ALSO BE OBTAINED FREE OF CHARGE FROM NCB STOCKBROKERS LIMITED IN ITS CAPACITY AS PAYING AGENT LOCATED IN DUBLIN, IRELAND (IN SUCH CAPACITY, THE "PAYING AGENT IN IRELAND").

THIS OFFERING CIRCULAR DOES NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITY OTHER THAN THE NOTES AND DOES NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY OF THE NOTES TO ANY PERSON IN ANY JURISDICTION IN WHICH IT IS UNLAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION TO SUCH PERSON.

THE DELIVERY OF THIS OFFERING CIRCULAR AT ANY TIME DOES NOT IMPLY THAT THERE HAS BEEN NO CHANGE IN THE AFFAIRS OF THE ISSUER OR THE CO-ISSUER OR THAT THE INFORMATION HEREIN IS CORRECT AT ANY TIME SUBSEQUENT TO ITS DATE.

THE NOTES ARE BEING OFFERED ONLY TO A LIMITED NUMBER OF INVESTORS THAT ARE WILLING AND ABLE TO CONDUCT AN INDEPENDENT INVESTIGATION OF THE CHARACTERISTICS OF THE NOTES AND RISKS OF OWNERSHIP OF THE NOTES. IT IS EXPECTED THAT PROSPECTIVE INVESTORS INTERESTED IN PARTICIPATING IN THIS OFFERING WILL CONDUCT AN INDEPENDENT INVESTIGATION OF THE RISKS POSED BY AN INVESTMENT IN THE NOTES. REPRESENTATIVES OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT WILL BE AVAILABLE TO ANSWER QUESTIONS CONCERNING THE CO-ISSUERS, THE NOTES AND THE COLLATERAL DEBT OBLIGATIONS AND WILL, UPON REQUEST, MAKE AVAILABLE SUCH OTHER INFORMATION AS INVESTORS MAY REASONABLY REQUEST.

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EACH INITIAL INVESTOR IN ANY CO-ISSUED NOTES WILL BE DEEMED TO HAVE MADE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. EACH INVESTOR IN THE CLASS D NOTES, THE CLASS E NOTES AND THE CLASS F INCOME NOTES WILL BE REQUIRED TO MAKE, OR WILL BE DEEMED TO HAVE MADE, CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. IN ADDITION, THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILL BE SUBJECT TO RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN, INCLUDING THE REQUIREMENT THAT CERTAIN SUBSEQUENT TRANSFEREES OF SUCH NOTE FURNISH A REPRESENTATION LETTER IN THE FORM PRESCRIBED BY THE INDENTURE OR THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, AS APPLICABLE. ANY RESALE OR OTHER TRANSFER, OR ATTEMPTED RESALE OR OTHER ATTEMPTED TRANSFER, OF NOTES WHICH IS NOT MADE IN COMPLIANCE WITH THE APPLICABLE TRANSFER RESTRICTIONS WILL BE NULL AND VOID AB INITIO. THE CO-ISSUERS MAY REQUIRE THE SALE OF ANY NOTE HELD BY A NON-PERMITTED HOLDER. HOWEVER, WITHOUT PREJUDICE TO THE RIGHTS OF THE CO-ISSUERS AGAINST ANY BENEFICIAL OWNER OR PURPORTED BENEFICIAL OWNER OF NOTES, NOTHING IN THE INDENTURE OR IN THE NOTES SHALL BE INTERPRETED TO CONFER ON THE CO-ISSUERS, THE TRUSTEE OR ANY PAYING AGENT ANY RIGHT AGAINST EUROCLEAR TO REQUIRE THAT EUROCLEAR REVERSE OR RESCIND ANY TRADE COMPLETED IN ACCORDANCE WITH THE RULES OF EUROCLEAR. SEE "PURCHASE AND TRANSFER RESTRICTIONS".

NOTWITHSTANDING ANYTHING HEREIN TO THE CONTRARY, EFFECTIVE FROM THE DATE OF COMMENCEMENT OF DISCUSSIONS, RECIPIENTS OF THIS OFFERING CIRCULAR AND EACH EMPLOYEE, REPRESENTATIVE OR OTHER AGENT OF ANY SUCH RECIPIENT MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE U.S. TAX TREATMENT AND TAX STRUCTURE OF THIS OFFERING AND ALL MATERIALS OF ANY KIND, INCLUDING OPINIONS OR OTHER TAX ANALYSES, THAT ARE PROVIDED TO THE RECIPIENTS RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE. HOWEVER, THIS AUTHORIZATION TO DISCLOSE SUCH TAX TREATMENT AND TAX STRUCTURE DOES NOT PERMIT DISCLOSURE OF INFORMATION IDENTIFYING THE ISSUER, THE CO-ISSUER, THE COLLATERAL MANAGER OR ANY OTHER PARTY TO THE TRANSACTION, THIS OFFERING OR THE PRICING (EXCEPT TO THE EXTENT PRICING IS RELEVANT TO TAX STRUCTURE OR TAX TREATMENT) OF THIS OFFERING.

AVAILABLE INFORMATION

To permit compliance with Rule 144A under the Securities Act in connection with resales of the Notes, the Co-Issuers will be required under the Indenture to furnish upon request of a Holder of a Note to such Holder and to a prospective purchaser designated by such Holder the information required to be delivered under Rule 144A(d)(4) under the Securities Act if, at the time of the request, the Co-Issuers are not reporting companies under Section 13 or Section 15(d) of the U.S. Securities Exchange Act of 1934, as amended (the "Exchange Act"), and are not exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. It is not contemplated that either of the Co-Issuers will be such a reporting company or so exempt.

FORWARD LOOKING STATEMENTS

Any projections, forecasts and estimates expressly contained herein are forward looking statements and are based upon certain assumptions that the Co-Issuers consider reasonable as of the Original Printing Date. Projections, forecasts and estimates are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the projections, forecasts and estimates will not materialize or will vary significantly from actual results and that such variations may be material or that some or all of such assumptions will be, given the occurrence of certain events, unreasonable.

Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, changes in the allocation of Collateral Debt Obligations among asset categories, the timing of acquisitions and dispositions of the

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Collateral Debt Obligations, the availability of Collateral Debt Obligations, the timing and frequency of defaults on the Collateral Debt Obligations and the timing and amount of recoveries thereon and mismatches between the timing of accrual and receipt of Collateral Interest Collections and Collateral Principal Collections from the Collateral Debt Obligations, among others. See "Risk Factors". Consequently, the inclusion of projections, forecasts and estimates herein should not be regarded as a representation by the Issuer, the Co-Issuer, the Collateral Manager, the Trustee, the Collateral Administrator, any Hedge Counterparty, the Class F Income Note Issuing and Paying Agent, the Initial Purchaser, the Placement Agent or any of their respective Affiliates or any other Person of the results that will actually be achieved by the Issuer.

None of the Issuer, the Co-Issuer, the Collateral Manager, the Initial Purchaser, the Placement Agent, the Trustee, the Class F Income Note Issuing and Paying Agent, the Collateral Administrator or their respective Affiliates has any obligation to update or otherwise revise any projections, including any revisions to reflect changes in economic conditions or other circumstances arising after the Original Printing Date or to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition.

Except as provided herein under "Income Tax Considerations", this Offering Circular does not describe risks associated with the consequences of consummating the exchange of Existing Securities for Class D Notes, Class E Notes or Class F Income Notes other than risks directly arising from the ownership of the Class D Notes, Class E Notes or Class F Income Notes received upon such exchange.

CERTAIN CONSIDERATIONS RELATING TO THE CAYMAN ISLANDS

The Issuer is an exempted company incorporated with limited liability under the laws of the Cayman Islands. As a result, it may not be possible for investors to effect service of process upon the Issuer within the United States or to enforce against the Issuer U.S. court judgments predicated upon the civil liability provisions of the securities laws of the United States. The Issuer has been advised by its Cayman Islands legal advisers, Walkers, that the courts of the Cayman Islands are unlikely (i) to recognize or enforce against the Issuer judgments of courts of the United States predicated upon the civil liability provisions of the securities laws of the United States or any state and (ii) in original actions brought in the Cayman Islands, to impose liabilities against the Issuer predicated upon the civil liability provisions of the securities laws of the United States or any state, on the grounds that such provisions are penal in nature. However, in the case of laws that are not penal in nature, although there is no statutory enforcement in the Cayman Islands of judgments obtained in the United States, the courts of the Cayman Islands will recognize a foreign judgment as the basis for a claim at common law in the Cayman Islands, provided that such judgment: (a) is given by a competent foreign court; (b) imposes on the judgment debtor a liability to pay a liquidated sum for which the judgment has been given; (c) is final; (d) is not in respect of taxes, a fine or a penalty; and (e) was not obtained in a manner and is not of a kind the enforcement of which is contrary to the public policy of the Cayman Islands. A Cayman Islands court may stay proceedings if concurrent proceedings are being brought elsewhere. The Issuer will appoint Corporation Service Company, 1133 Avenue of the Americas, Suite 3100, New York, New York 10036 as its agent for service of process in the United States.

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THE OFFERING

The following summary is qualified in its entirety by reference to, and should be read in conjunction with, the more detailed information appearing elsewhere in this Offering Circular. A glossary of certain defined terms used herein (the "Glossary") appears as Annex A to this Offering Circular. An index of defined terms appears as Annex B to this Offering Circular.

Notes Offered: U.S.$291,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due October 27, 2020 (the "Class A-1 Notes").

U.S.$10,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due October 27, 2020 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes").

U.S.$46,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 (the "Class B Notes").

U.S.$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 (the "Class C Notes", and, together with the Class A Notes and the Class B Notes, the "Co-Issued Notes").

U.S.$47,800,000 Class D Fifth Priority Junior Floating Rate Notes due October 27, 2020 (the "Class D Notes").

U.S.$31,300,000 Class E Sixth Priority Junior Notes due October 27, 2020 (the "Class E Notes" and, together with the Co-Issued Notes and the Class D Notes, the "Senior Notes").

U.S.$4,000,000 Class F Income Notes due October 27, 2020 (the "Class F Income Notes" and, together with the Senior Notes, the "Notes").

The Senior Notes will be issued pursuant to the Indenture, and the Class F Income Notes will be issued pursuant to the Class F Income Note Issuing and Paying Agency Agreement. All of the Notes will be issued on the Closing Date.

The Notes will be limited recourse obligations of the Issuer and, with respect to the Co-Issued Notes, non-recourse obligations of the Co-Issuer. Subject to the Priority of Payments, all amounts payable in respect of the Notes will be paid solely from and to the extent of the available proceeds from the Pledged Obligations and other Collateral pledged to secure the Co-Issued Notes.

Each Class of Notes is entitled to receive payments pari passu among the Notes of such Class.

Ranking: The relative order of seniority of payment of the principal of each Class of Senior Notes on each Payment Date is as follows: first, Class A-1 Notes, second, Class A-2 Notes, third, Class B Notes, fourth, Class C Notes, fifth, Class D Notes and, sixth, Class E Notes, with (a) each Class of Senior Notes (other than the Class E Notes) in such list being "Senior" to each other Class of Senior Notes that follows such Class of Senior Notes in such list (e.g., the Class A-1 Notes are Senior to the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and

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Class E Notes) and (b) each Class of Senior Notes (other than the Class A-1 Notes) in such list being "Subordinate" to each other Class of Senior Notes that precedes such Class of Senior Notes in such list (e.g., the Class E Notes are Subordinate to the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes). Except as otherwise described herein, no payment of principal of any Class of Senior Notes will be made until all principal of, and accrued and unpaid interest on, the Senior Notes of each Class that is Senior to such Class and that remain Outstanding have been paid in full. The Class F Income Notes are subordinate to the payment of interest on and principal of the Co-Issued Notes and the Class D Notes and the payment of the Class E Recovery Amount. In addition, on each Payment Date (including any Redemption Date) Collateral Interest Collections and Collateral Principal Collections available after all other uses pursuant to the Priority of Payments will be applied to make additional distributions in respect of the Class E Notes and the Class F Income Notes, with 95% of such Collections being applied to the Class E Notes and 5% of such Collections being applied to the Class F Income Notes. See "Description of the Notes—Priority of Payments".

In addition, certain limited distributions of amounts received by the Issuer from the Swap Counterparty will be made to Holders of the Class D Notes and Class E Notes and certain other parties without regard to the Priority of Payments. See "Risk Factors—Hudson Canyon Distribution Account" and "Description of the Notes—Hudson Canyon Distribution Account".

No payment of interest on any Class of Co-Issued Notes will be made until all accrued and unpaid interest on the Co-Issued Notes of each Class that is Senior to such Class and that remain Outstanding has been paid in full. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class B Notes or the Class C Notes, in each case, when a Senior Class is Outstanding, such interest shall be deferred until proceeds are available therefor pursuant to the Priority of Payments. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class D Notes on any Payment Date, such interest shall not be deferred or capitalized and the Holders of Class D Notes shall have no right to receive such interest at any time thereafter. Payment of the principal of the Class D Notes from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the Co-Issued Notes have been paid in full. Payment of the Class E Recovery Amount from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the principal of and interest on the Co-Issued Notes and the Class D Notes have been paid in full. See "Description of the Notes—Priority of Payments".

The Issuer: Hudson Canyon Funding II, Ltd., a newly formed exempted company incorporated with limited liability under the laws of the Cayman Islands to (directly or indirectly through the Subsidiary Holding Companies) acquire, hold, pledge and sell a diversified portfolio of Collateral Debt Obligations. The Issuer has no operating history or business experience. The Collateral Debt Obligations will consist of U.S. dollar-denominated senior secured and unsecured loans which represent obligations of obligors located in the United States, Canada or

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another Moody's Group Country and which satisfy certain other criteria described herein.

The activities of the Issuer will be limited to (i) issuing, paying and redeeming the Ordinary Shares and the Notes, (ii) acquiring and holding the sole membership interests in the Subsidiary Holding Companies, (iii) directly or indirectly, through the Subsidiary Holding Companies, acquiring, holding, pledging and selling solely for its own account Collateral Debt Obligations and Eligible Investments, (iv) owning 100% of the capital stock of the Co-Issuer, (v) acquiring and holding 100% of the share capital of the Existing Issuer, (vi) delivering the Existing Securities to the Existing Issuer for cancellation, (vii) liquidating the Existing Issuer, (viii) entering into Hedge Agreements and (ix) other incidental activities. Cash flow derived from the Collateral securing the Co-Issued Notes will be the only source of funds available to make payments on the Notes.

The authorized share capital of the Issuer will consist of 250 voting Ordinary Shares, par value U.S.$1.00 per share (the "Ordinary Shares"). All of the Ordinary Shares are issued and will be held by Walkers SPV Limited in a charitable trust for the benefit of one or more charitable organizations located in the Cayman Islands.

The Co-Issuer: Hudson Canyon Funding II, Inc., a newly formed Delaware corporation. The Co-Issuer will be capitalized only to the extent of its common equity of U.S.$250, and its common shares will be held by the Issuer. The activities of the Co-Issuer will be limited to (i) issuance of the Co-Issuer Common Stock, (ii) co-issuance of the Co-Issued Notes and (iii) other activities incidental to the foregoing and permitted by the Indenture. The Co-Issuer will have no assets other than its equity capital and will have no debt other than as co-issuer of the Co-Issued Notes.

The Collateral Manager: Invesco Senior Secured Management, Inc. ("Invesco" or the "Collateral Manager") will be retained to manage the Collateral Debt Obligations acquired by the Issuer and perform certain other administrative and monitoring functions pursuant to the Collateral Management Agreement and the Collateral Administration Agreement. As compensation for the performance of its obligations as Collateral Manager, the Collateral Manager will be entitled to receive fees, consisting of a Senior Collateral Management Fee, a Subordinated Collateral Management Fee and an Incentive Collateral Management Fee. See "The Collateral Manager", "The Collateral Management Agreement" and "Risk Factors—Potential Conflicts of Interest". Invesco in its role as investment advisor for the Existing Issuer (and not in its role as Collateral Manager) initially selected certain Collateral Debt Obligations that, with the consent of the Swap Counterparty, were referenced by the Existing Total Return Swap Transaction. Such Collateral Debt Obligations were not selected with the intention of including such Collateral Debt Obligations in the Collateral in this transaction.

The Collateral Manager makes no representation or warranty with respect to appropriateness for the Issuer of such Collateral Debt Obligations, many of which will be acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date. The Subsidiary Holding Companies

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will commit to sell certain Loans prior to the Closing Date so that the Issuer may comply with certain Percentage Limitations on or about the Closing Date. The Collateral Manager will, on behalf of the Issuer, use proceeds received in connection with such sales to purchase Collateral Debt Obligations. "See Risk Factors – Reinvestment Risk." No party other than the Issuer will make any representation or warranty as to whether the Collateral Debt Obligations acquired by the Issuer on the Closing Date satisfy the definition thereof or whether the Eligibility Criteria are satisfied on the Closing Date. The Indenture and the Collateral Management Agreement place significant restrictions on the Collateral Manager’s ability to purchase or sell Collateral Debt Obligations, and the Collateral Management Agreement will require the Collateral Manager to comply with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Collateral Manager may be unable to purchase or sell Collateral Debt Obligations or to take other actions that the Collateral Manager might consider in the best interests of the Co-Issuers and the Holders of the Notes. See "Risk Factors—Conflicts Involving the Collateral Manager" and "—No Reinvestment of Collateral Debt Obligations."

The Trustee: LaSalle Bank National Association, a national banking association, will be the Trustee (in such capacity or any successor in such capacity, the "Trustee") under the Indenture.

If LaSalle Bank National Association resigns or is removed as the Trustee by the Requisite Noteholders, LaSalle Bank National Association shall be removed in all other capacities (including without limitation, as Calculation Agent and as Collateral Administrator) in which it serves unless the Issuer and the Collateral Manager otherwise consent.

The Class F Income Note Issuing and Paying Agent: LaSalle Bank National Association, a national banking association, will

be the Class F Income Note Issuing and Paying Agent (in such capacity or any successor in such capacity, the "Class F Income Note Issuing and Paying Agent") under the Class F Income Note Issuing and Paying Agency Agreement.

Independent Accountants: A nationally recognized and independent accounting firm in the United States (or any successor independent accountants appointed under the Indenture) will perform certain procedures relating to the Collateral as required by the Indenture.

The Administrator: Walkers SPV Limited will act as administrator (in such capacity or any successor in such capacity, the "Administrator") and will perform certain administrative services for the Issuer.

The Exchange Transaction: On the Closing Date, each of the holders of the outstanding notes and preferred shares (the "Existing Securities") issued by Hudson Canyon Funding, Ltd., an exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Existing Issuer"), will transfer 100% of the Existing Securities owned by it to the Issuer in exchange for an equivalent principal amount of Class D Notes, Class E Notes or Class F Income Notes (the "Exchange Transaction").

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Use of Proceeds: On the Closing Date, the Existing Issuer will cause Citibank, N.A. (the "Swap Counterparty") and Citibank Financial Products Inc. ("CFPI") to transfer 100% of the ownership interests in two wholly-owned limited liability companies formed under the law of the State of Delaware (the "Subsidiary Holding Companies") to the Issuer. The Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an Aggregate Principal Amount of approximately U.S.$365,000,000 (subject to the transfer of certain Collateral Debt Obligations by the Subsidiary Holding Companies to the Issuer as further described in "Security for the Co-Issued Notes—Assignment of Collateral Debt Obligations" and excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell). The Swap Counterparty and CFPI acquired such Collateral Debt Obligations through the Subsidiary Holding Companies in order to hedge the Swap Counterparty's obligations under a total return swap transaction (the "Existing Total Return Swap Transaction") between the Swap Counterparty and the Existing Issuer that referenced such Collateral Debt Obligations. The Existing Issuer will cause the transfer of the ownership of the Subsidiary Holding Companies to the Issuer to be effected on the Closing Date in consideration of (a) the receipt from the Issuer of the Existing Securities (transferred to the Issuer by the holders thereof pursuant to the Exchange Transaction) for cancellation by the Existing Issuer and (b) the payment by the Issuer to the Swap Counterparty and CFPI of the net proceeds of the offering of the Notes, after payment of organizational expenses, the expenses of the issuance of the Notes and certain other deposits described herein. As additional consideration for causing such transfer and to settle its obligations to the Swap Counterparty under the Existing Total Return Swap Transaction, the Existing Issuer will permit the Swap Counterparty to retain collateral having a value of approximately U.S.$81,000,000. The Swap Counterparty will agree with the Issuer and Existing Issuer that the payment by the Issuer of the net proceeds of the offering of the Notes to the Swap Counterparty and CFPI, together with the retention of such collateral by the Swap Counterparty, will satisfy the obligations of the Existing Issuer to the Swap Counterparty under the Existing Total Return Swap Transaction and be sufficient consideration for the sale of the interests in the Subsidiary Holding Companies to the Issuer. See "Risk Factors—Nature of the Collateral Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risk" and "—Acquisition of Collateral Debt Obligations". Each of the Subsidiary Holding Companies will, pursuant to a guarantee agreement (the "Subsidiary Guarantee") to be entered into between the Subsidiary Holding Companies, the Issuer and the Trustee, jointly and severally guarantee, for the benefit of the Trustee on behalf of the Secured Parties, the obligations of the Issuer to the Secured Parties. Each of the Subsidiary Holding Companies will, pursuant to a security agreement (each a "Subsidiary Pledge Agreement") between the Trustee on behalf of the Secured Parties and each such Subsidiary Holding Company, grant a first priority perfected security interest in all of its assets, including the Collateral Debt Obligations owned by it, as security for its obligations under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes).

With respect to any Collateral Debt Obligation forming part of the Collateral that is a Revolving Loan or a Delayed Funding Loan, on the

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Closing Date funds will be deposited, and at all times maintained, in the Loan Funding Account such that the amount of funds on deposit in the account will be equal to 100% of the combined aggregate principal amounts of Unfunded Commitments under the Revolving Loans and Delayed Funding Loans included as Collateral Debt Obligations. Except in circumstances described under "Security for the Co-Issued Notes—The Loan Funding Account", funds in the Loan Funding Account will be available solely to fund any draw-downs on Revolving Loans or Delayed Funding Loans included as Collateral Debt Obligations in the Collateral or to indemnify the Swap Counterparty or CFPI for having funded any such Revolving Loan or Delayed Funding Loan after the Closing Date.

In addition, on the Closing Date, the Issuer will deposit certain funds into the Expense Account from the proceeds of the offering of the Notes. Such funds will be used as directed by the Collateral Manager to pay the fees, commissions and expenses associated with the issuance of the Notes and any fees and expenses (including the Collateral Manager's additional fees (other than the Collateral Management Fees)) associated with any current or future transfer of Collateral Debt Obligations held by a Subsidiary Holding Company to the Issuer.

In addition, on or shortly after the Closing Date, the Issuer will deposit approximately U.S.$42,000,000 into the Principal Collection Account from the proceeds of the offering of the Notes and the sale of certain assets of the Subsidiary Holding Companies that will settle after the Closing Date. Such funds will be applied on each Payment Date to the payment of certain senior expenses in accordance with the Priority of Payments as described herein and then, to the extent funds are available therefor, either will be reinvested in additional Collateral Debt Obligations in accordance with the Eligibility Criteria or used to pay principal of the Co-Issued Notes and make distributions on the Class D Notes, Class E Notes and Class F Income Notes, subject to certain conditions specified herein.

In addition, on the Closing Date, the Issuer will deposit approximately U.S.$3,000,000 from the proceeds of the offering of the Notes into the Interest Reserve Account from the proceeds of the offering of the Notes to be used at the direction of the Collateral Manager on or prior to the Initial Payment Date. At least one Business Day prior to the Initial Payment Date, the Trustee will transfer all funds deposited in the Interest Reserve Account to the Payment Account for application as Collateral Interest Collections in accordance with the Priority of Payments.

The gross proceeds of the offering of the Notes will be approximately U.S.$352,000,000. The net proceeds, after payment of organization expenses, the expenses of the issuance of the Notes, a fee to holders of certain Existing Securities in connection with their purchase of Co-Issued Notes and making deposits to the Expense Account, the Principal Collection Account and the Interest Reserve Account will be approximately U.S.$276,000,000. Such net proceeds will be paid to the Swap Counterparty and CFPI in partial consideration for the Existing Issuer causing the transfer of the Subsidiary Holding Companies to the Issuer, which Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an

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Aggregate Principal Amount of approximately U.S.$365,000,000 (excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell).

Payment Dates: Distributions in respect of the Notes will be payable in U.S. dollars quarterly in arrears on each January 27, April 27, July 27 and October 27, commencing in October, 2008 (each, a "Payment Date"); provided that (i) the final Payment Date with respect to the Notes will be the Stated Maturity Date, (ii) if any such date is not a Business Day, the relevant Payment Date will be the next succeeding Business Day and (iii) each Accelerated Distribution Date will be a Payment Date. In addition, funds on deposit in or standing to the account of the Hudson Canyon Distribution Account will be applied to make distributions in respect of the Class D Notes and the Class E Notes on the third Business Day following the Interim Hudson Canyon Account Transfer Date and the third Business Day following the Final Hudson Canyon Account Transfer Date (each, a "Hudson Canyon Account Payment Date"). Distributions in respect of the Notes on any Payment Date will be made if and to the extent that funds are available on such Payment Date in accordance with the Priority of Payments set forth herein. See "Description of the Notes—Payments on the Notes". Distributions in respect of the Class D Notes and the Class E Notes on any Hudson Canyon Account Payment Date will be made if and to the extent that funds are available on such Hudson Canyon Account Payment Date in accordance with the priority of payments set forth under "Description of the Notes—The Hudson Canyon Distribution Account". See "Description of the Notes—The Hudson Canyon Distribution Account".

Interest Payments: The Co-Issued Notes and the Class D Notes will bear interest at the Applicable Periodic Rate for such Class and will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for such Class. The Applicable Periodic Rate for each Class of Co-Issued Notes and the Class D Notes will be as follows:

Class A-1 Notes LIBOR plus 1.05%

Class A-2 Notes LIBOR plus 1.90% Class B Notes LIBOR plus 2.00% Class C Notes LIBOR plus 4.00% Class D Notes LIBOR plus 1.30%

Interest on the Co-Issued Notes and the Class D Notes will accrue from and including the Closing Date and will be payable quarterly in arrears on each Payment Date commencing on the Initial Payment Date to the Holders of such Class as of the related Record Date. Interest on the Co-Issued Notes and the Class D Notes will be computed on the basis of a 360-day year and the actual number of days in the applicable Periodic Interest Accrual Period. Interest payments on the Co-Issued Notes and the Class D Notes will be made in accordance with the Priority of Payments described herein. See "Description of the Notes—Priority of Payments".

To the extent Periodic Interest for any Periodic Interest Accrual Period is not paid on the related Payment Date for the Class B Notes or Class C Notes at a time when a Senior Class is Outstanding, the amount

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of such shortfall will not be payable as Periodic Interest on that Payment Date or any subsequent Payment Date but will be added to the Cumulative Periodic Rate Shortfall Amount for such Class, and no Event of Default under the Indenture will result therefrom. To the extent proceeds are not available to pay all or a portion of Periodic Interest on the Class D Notes for any Periodic Interest Accrual Period, such interest shall not be deferred or capitalized and the Holders of Class D Notes shall have no right to receive such interest at any time thereafter.

The Cumulative Periodic Rate Shortfall Amount for any Class of Co-Issued Notes as of any Payment Date will accrue interest for subsequent Periodic Interest Accrual Periods at the Applicable Periodic Rate for such Class of Co-Issued Notes.

Holders of the Class E Notes and the Class F Income Notes will not be entitled to receive interest at a stated rate.

Principal Payments: Each Class of Senior Notes will provide for the payment of principal on each Payment Date on which funds are available therefor in accordance with the Priority of Payments through the Final Maturity Date for such Class of Senior Notes, and all remaining Outstanding principal of such Class of Senior Notes will be payable on the Stated Maturity Date for such Class of Senior Notes; provided that in respect of the Class E Notes, only the Class E Recovery Amount is required to be paid by the Stated Maturity Date. See "Description of the Notes—Priority of Payments". The "Class E Recovery Amount" is equal to 75% of the Aggregate Principal Amount of the Class E Notes Outstanding on the Closing Date.

On each Payment Date, Collateral Principal Collections will be:

(i) prior to the last day of the Reinvestment Period, transferred to the Principal Collection Account, in order to permit the Issuer to acquire additional Collateral Debt Obligations in accordance with the Eligibility Criteria, provided that, if, with respect to any Payment Date, the Collateral Manager notifies the Trustee that it has been unable, for a period of 30 consecutive Business Days, to identify additional Collateral Debt Obligations which it deems appropriate (in its sole discretion) and which would meet the reinvestment criteria described herein, the Collateral Manager may direct the Trustee to apply all or a portion of the remaining Collateral Principal Collections to the payment of principal of the Co-Issued Notes and the Class D Notes and distributions on the Class E Notes and Class F Income Notes in accordance with the Priority of Payments; and

(ii) on any Payment Date on or after the last day of the Reinvestment Period (and on any Payment Date prior to the last day of the Reinvestment Period on which the Collateral Manager directs the Trustee to apply all or a portion of the remaining Collateral Principal Collections to the payment of principal of the Co-Issued Notes and the Class D Notes and distributions on the Class E Notes and Class F Income Notes), either (x) applied to the payment of principal of the Co-Issued Notes and the Class D Notes and to distributions on the Class E Notes and Class F Income Notes in accordance with the Priority of Payments or (y) in the case of Collateral Principal Collections from Unscheduled Principal Payments and Sale Proceeds of Credit Risk

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Obligations, to the extent designated by the Collateral Manager, transferred to the Principal Collection Account for investment in Eligible Investments pending reinvestment at a later date and for reinvestment in Collateral Debt Obligations, subject to the Post Reinvestment Period Criteria described herein.

See "Description of the Notes—Priority of Payments—Distributions with Collateral Principal Collections".

Distributions in respect of the Class F Income Notes: Holders of the Class F Income Notes will not be entitled to receive

interest at a stated rate. Instead, Class F Income Noteholders are entitled to 5% of the amounts remaining after application of Collateral Interest Collections pursuant to the Priority of Payments on each Payment Date. Holders of the Class E Notes will not be entitled to receive interest at a stated rate. 95% of such remaining proceeds will be paid to the holders of the Class E Notes. Distributions on the Class F Income Notes will also be payable from Collateral Principal Collections on each Payment Date on or after the Payment Date on which all interest on and principal of the Co-Issued Notes and the Class D Notes has been paid in full and the Holders of the Class E Notes have received the Class E Recovery Amount out of amounts available therefor in accordance with the Priority of Payments until the Stated Maturity Date, or such earlier date on which such Notes are redeemed, including in connection with an optional redemption as described herein under "Optional Redemption". Any such amounts will be released from the security interest granted under the Indenture and will not be available to make future payments of principal of and interest on the Senior Notes.

Following the liquidation of the Pledged Obligations and the distribution of any available remaining funds following a redemption in whole of the Senior Notes or an Event of Default under the Indenture or otherwise (whether before, on or after the Stated Maturity Date), the Trustee will pay to the Class F Income Note Issuing and Paying Agent for deposit into the Class F Income Note Distribution Account 5% of any funds remaining after payment of all other amounts payable prior to, and after giving effect to payments of all amounts ranking pari passu with, the Class F Income Notes in accordance with the Priority of Payments. The Class F Income Notes will be redeemed by the Issuer on the Final Maturity Date, whether or not the Holders thereof receive any payments in respect of such redemption.

Accordingly, to the extent that the proceeds from the Collateral Debt Obligations, Eligible Investments and other assets owned by the Issuer are not sufficient (after the payment of all obligations of the Co-Issuers, including payment of principal of and interest on the Senior Notes, any amounts payable under any Hedge Agreement and all fees and expenses ranking prior to the Class F Income Notes in accordance with the Priority of Payments) to make distributions on the Class F Income Notes, the Issuer will have no obligation to pay any further amount in respect of the Class F Income Notes.

Application of Funds: On each Payment Date, including the Final Maturity Date, collections received in respect of the Collateral securing the Co-Issued Notes, to

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the extent of Available Funds in the Collection Account, will be transferred by the Trustee to the Payment Account for application by the Trustee in accordance with the applicable Priority of Payments. See "Description of the Notes—Priority of Payments". In addition, certain limited distributions of amounts received by the Issuer from the Swap Counterparty will be made to Holders of the Class D Notes and Class E Notes and certain other parties without regard to the Priority of Payments. See "Risk Factors—The Hudson Canyon Distribution Account" and "Description of the Notes—The Hudson Canyon Distribution Account".

The Collateral Coverage Tests and Principal Prepayments: At any time that any of the Co-Issued Notes are Outstanding, if any

Collateral Coverage Test is not satisfied as of the Calculation Date relating to any Payment Date, then (except as provided in the penultimate sentence of this paragraph) on the related Payment Date (i) certain amounts of Collateral Interest Collections that otherwise would be used on such Payment Date (A) for payments on Co-Issued Notes and Class D Notes that are junior to the applicable payments to be made in order to bring the applicable Collateral Coverage Test into compliance, (B) in the case of the first three Payment Dates, for transfer to the Principal Collection Account, for reinvestment in Collateral Debt Obligations subject to the Eligibility Criteria and, if applicable, Post Reinvestment Period Criteria or (C) for distributions to the Holders of the Class E Notes and the Class F Income Notes will instead be applied on such Payment Date in accordance with the Priority of Payments, to the extent necessary to satisfy the Collateral Coverage Tests, to make principal payments on the Co-Issued Notes then Outstanding sequentially according to the seniority of each Class and (ii) certain amounts of Collateral Principal Collections will be applied on such Payment Date in accordance with the Priority of Payments, to the extent necessary to satisfy the Collateral Coverage Tests, to make principal payments on the Co-Issued Notes then Outstanding sequentially according to the seniority of each Class ("Principal Prepayments"). The Interest Coverage Tests shall not apply to the Initial Payment Date. See "Description of the Notes—Principal Prepayments".

Collateral Coverage Tests and Ratios: The Collateral Coverage Tests will be satisfied if the interest coverage ratios and the principal coverage ratios are at least as follows:

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Test Required Level Class A Principal Coverage Test 129.4% Class B Principal Coverage Test 113.9% Class C Principal Coverage Test 113.0% Class A Interest Coverage Test 115.0% Class B Interest Coverage Test 110.0% Class C Interest Coverage Test 105.0%

If any Collateral Coverage Test is not satisfied as of the Calculation Date relating to any Payment Date, available funds will be used on such Payment Date to reduce the Outstanding principal amount of the Co-Issued Notes in accordance with the Priority of Payments until such Collateral Coverage Test is satisfied.

Notwithstanding the above, the Interest Coverage Tests shall not apply to the Initial Payment Date. See "Description of the Notes—Principal Prepayments".

Optional Redemption: The Notes may be redeemed by the Issuer on any Payment Date occurring on or after the Payment Date in July, 2012, in whole and not in part, at the direction both of the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates) (voting separately). See "Optional Redemption—Optional Redemption in Whole".

In addition, the Notes will be subject to optional redemption by the Issuer, in whole and not in part, on any Payment Date after the Closing Date at the direction of (1) both the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates) (voting separately) or (2) the Requisite Noteholders in each case following (i) the occurrence and continuation of a Tax Event with respect to payments under one or more Collateral Debt Obligations forming part of the Collateral which results or will result in a payment by, or charge or tax burden to, the Issuer that results or will result in the withholding of 10% or more of Collateral Interest Collections scheduled to be received in any Due Period or (ii) the occurrence and continuation of a Tax Event resulting in a tax burden on the Issuer in an aggregate amount in any Due Period in excess of U.S.$2,000,000. See "Optional Redemption—Redemption Following a Tax Event".

The ability of the Holders of the Class D Notes and the Class E Notes to effect an optional redemption will be subject to satisfaction of certain conditions described herein (other than a optional redemption in connection with a Tax Event), including the condition that sufficient funds must be available from the liquidation of the Collateral in connection with any proposed redemption to pay in full the amounts specified under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption" (other than

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any amounts set forth in clause (9) (but with respect to clause (9), only as it relates to clause (xvi)) through clause (12) thereof).

The Redemption Price of the Co-Issued Notes will be their then Outstanding principal plus accrued interest thereon to the date of redemption to the extent not already paid (including, without limitation, any Class B Cumulative Periodic Rate Shortfall Amount and any Class C Cumulative Periodic Rate Shortfall Amount). The Redemption Price of the Class D Notes will be their then Outstanding principal plus Periodic Interest thereon with respect to the Redemption Date. The Redemption Price of the Class E Notes will be (i) the excess, if any, of the Class E Recovery Amount over the aggregate of all payments previously made in respect of the Class E Notes (other than payments in respect of the Available Hudson Canyon Distribution Amount) plus (ii) 95% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments. The Redemption Price of the Class F Income Notes will be 5% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments. Any such redemption of Notes will be made without payment of any premium.

Following an optional redemption of the Senior Notes, the Trustee will pay, from and to the extent of available funds therefore, to the Class F Income Note Issuing and Paying Agent, for payment to the Class F Income Noteholders, the Redemption Price of the Class F Income Notes set forth above, and the Class F Income Notes will be redeemed whether or not the Holders thereof receive any payments in respect of such redemption.

Security for the Co-Issued Notes: The Issuer's obligations under the Co-Issued Notes will be secured by the collateral pledged to the Trustee for the benefit of the Secured Parties by the Issuer and the obligations of the Subsidiary Holding Companies under the Subsidiary Guarantee in respect of the Issuer's obligations under the Co-Issued Notes will be secured by the collateral pledged to the Trustee for the benefit of the Secured Parties by the Subsidiary Holding Companies. The collateral pledged by the Issuer will generally consist of all of the property of the Issuer (other than the Class D Reserve Account, the Hudson Canyon Distribution Account, the Class F Income Note Distribution Account and approximately U.S.$500 held in its Cayman Islands bank account), including its sole membership interests in the Subsidiary Holding Companies, Collateral Debt Obligations that it holds directly, the Collection Account, the Custodial Account, any Hedge Counterparty Collateral Account the Loan Funding Account, the Payment Account, the Synthetic Letter of Credit Reserve Account, the Interest Reserve Account, the Expense Account, the Synthetic Security Collateral Account (subject to the prior rights of each Synthetic Security Counterparty therein), the Synthetic Security Issuer Account and the rights of the Issuer under the Collateral Management Agreement, any Hedge Agreement, the Class F Income Note Issuing and Paying Agency Agreement, the Collateral Administration Agreement, the Sale and Purchase Agreement and the Subsidiary Guarantee. The obligations of the Subsidiary Holding Companies under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the holders of the Class D Notes, the Class E Notes and the Class F Income Notes) will be secured by all

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of the property of the Subsidiary Holding Companies, including, without limitation, money, instruments and other property and rights and all proceeds thereof, including all Collateral Debt Obligations and any Equity Security or Exchanged Equity Security owned by the Subsidiary Holding Companies. The security interest in the Loan Funding Account granted to the Trustee pursuant to the Indenture is for the benefit of first, the Swap Counterparty and CFPI to secure the Issuer's obligations to indemnify the Swap Counterparty and CFPI against any losses, claims, damages or liabilities to which the Swap Counterparty or CFPI, as the case may be, may become subject insofar as they arise out of or are based upon any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) arising after the Closing Date that the Swap Counterparty or CFPI, as the case may be, is required to satisfy (and does so satisfy) by reason of the limited liability company agreement of the Subsidiary Holding Company of which the Swap Counterparty or CFPI, as the case may be, was, prior to the Closing Date, the sole member (to the extent that neither the Issuer nor any Subsidiary Holding Company has satisfied such funding obligation) and second, the other Secured Parties.

Collateral Debt Obligations: On the Closing Date, the Issuer will have acquired (indirectly through its ownership of the Subsidiary Holding Companies) approximately U.S.$365,000,000 in Aggregate Principal Amount of Collateral Debt Obligations and Eligible Investments. In addition, the Issuer expects to acquire or commit to acquire, with funds deposited in the Principal Collection Account on the Closing Date, additional Collateral Debt Obligations prior to the Effective Date. The "Effective Date" is the date occurring on the earlier of: (i) the date occurring 90 days after the Closing Date; and (ii) the date, as determined by the Collateral Manager in its sole discretion, on which the Aggregate Principal Amount of all Collateral Debt Obligations (other than Collateral Debt Obligations referred to in clauses (x) and (y)) included in the Collateral plus (w) the outstanding principal balance of any obligations the Issuer has committed to purchase (other than Collateral Debt Obligations referred to in clauses (x) and (y)) as of the date of determination plus (x) the purchase price of any Collateral Debt Obligation (expressed as a percentage of the par amount) with a Moody’s Rating of below "B2" at the time of acquisition (or commitment to acquire) and purchased (or committed to purchase) for less than 70% of the outstanding principal balance which the Issuer has purchased or committed to purchase multiplied by the par amount of such Collateral Debt Obligations plus (y) 50% of the par amount of the Collateral Debt Obligation with LoanX ID LX072352 ("Select Remedy 2nd Lien") excluding any amounts representing accrued and unpaid interest) plus (z) any Collateral Principal Collections received by the Issuer since the Closing Date representing any prepayment or repayment on, or Sale Proceeds of (such Sale Proceeds subject to a maximum of U.S.$12,000,000), Collateral Debt Obligations previously included in the Collateral that have not been subsequently reinvested in other Collateral Debt Obligations included in the Collateral is greater than or equal to U.S.$407,500,000.

The Collateral Debt Obligations and other Collateral will be pledged to secure the obligations of the Issuer to the Secured Parties (including its obligations under the Co-Issued Notes).

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The Collateral Debt Obligations will consist of U.S. dollar-denominated senior secured and unsecured loans of obligors located in the United States, Canada or another Moody's Group Country that satisfy the other applicable criteria set forth in the Indenture, including guidelines concerning maturities, ratings, issuer concentrations and ownership of various types of debt obligations, as described herein. See "Security for the Co-Issued Notes—Collateral Debt Obligations" and "—Criteria Applicable to Collateral on the Closing Date".

On the last day of the 45 day period immediately following the Closing Date (unless the Effective Date occurs on or prior to such date), the Issuer shall deliver to the Trustee and Moody’s a statement (A)(i)(x) that the Aggregate Principal Amount of all Collateral Debt Obligations (other than any Collateral Debt Obligation referred to in clauses (y) and (z)) which the Issuer has purchased or committed to purchase plus (y) the purchase price of any Collateral Debt Obligation (expressed as a percentage of the par amount) with a Moody’s Rating of below "B2" at the time of acquisition (or commitment to acquire) and purchased (or committed to purchase) for less than 70% of the outstanding principal balance which the Issuer has purchased or committed to purchase multiplied by the par amount of such Collateral Debt Obligations plus (z) 50% of the par amount of the Collateral Debt Obligation with LoanX ID LX072352 ("Select Remedy 2nd Lien") (excluding any amounts representing accrued and unpaid interest) is at least U.S.$380,000,000 and (ii) detailing the Aggregate Principal Amount of all Eligible Investments (including cash) standing to the credit of all Accounts (excluding amounts to be paid by the Issuer with respect to Collateral Debt Obligations that the Issuer has committed to purchase but for which settlement has not yet occurred), (B) that the Issuer is in compliance with the following tests (and calculations thereof in reasonable detail): (i) a Diversity Score of not less than 55, (ii) a Weighted Average Spread equal to or greater than 2.35%, (iii) a Moody's Weighted Average Recovery Rate equal to or greater than 45.0% and (iv) an Average Debt Rating of not greater than 2550 plus the Rating Factor Modifier, (C) if the Issuer is not in compliance with the tests set forth in clause (B), reasonably detailing a plan intended to result in compliance with each of the tests set forth in clause (B) and (D) detailing the Weighted Average Purchase Price of all Collateral Debt Obligations in the Collateral (including in such calculation, for avoidance of doubt, the purchase price of Collateral Debt Obligations that the Issuer has committed to purchase but for which settlement has not yet occurred).

Acquisition and Disposition of Collateral Debt Obligations: The Issuer is expected to acquire additional Collateral Debt Obligations

during the period (the "Reinvestment Period") from (and including) the Closing Date to (and including) the Payment Date in April, 2013.

During the Reinvestment Period, Sale Proceeds received with respect to

sales of Collateral Debt Obligations and any funds on deposit in, or otherwise standing to the credit of, the Principal Collection Account may be used to purchase additional Collateral Debt Obligations, provided that such acquisition complies with the Eligibility Criteria and certain other conditions are satisfied. See "Security for the Co-Issued Notes—Criteria for Purchase of Collateral". and "Security for the Co-

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Issued Notes—Purchase of Collateral Debt Obligations during the Reinvestment Period".

After the Reinvestment Period, the Issuer may acquire Collateral Debt

Obligations only with Unscheduled Principal Payments or Sale Proceeds from the sale of Credit Risk Obligations and only if such acquisition complies with the Post Reinvestment Period Criteria and certain other conditions. See "Security for the Co-Issued Notes—Criteria for Purchase of Collateral" and "Security for the Co-Issued Notes—Purchase of Collateral Debt Obligations after the Reinvestment Period".

Collection Account: Subject to certain exceptions described herein, all Collections will be remitted to the Trustee and deposited into the Collection Account and will be available, to the extent described herein, for application in the manner and for the purposes described herein. Funds held in the Collection Account will (except for certain circumstances specified in the Indenture) be invested as promptly as practicable in Eligible Investments maturing on or prior to the sooner of two days prior to the next Payment Date or one Business Day prior to the next Payment Date.

Record Dates: The record date for each Payment Date and each Hudson Canyon Account Payment Date is the Business Day prior to such Payment Date or Hudson Canyon Account Payment Date as applicable (in the case of Notes held in global form), and the 15th day prior to such Payment Date or Hudson Canyon Account Payment Date, as applicable (in the case of Notes held in physical form, whether or not such 15th day is a Business Day) (the "Record Date").

Plan of Distribution: The Notes are being offered (1) to persons who are neither U.S. persons (as defined by Regulation S under the Securities Act, "U.S. Persons") nor U.S. residents (within the meaning of the Investment Company Act, "U.S. Residents") in a transaction outside of the United States in reliance on Regulation S under the Securities Act, and (2) in the United States to Qualified Institutional Buyers or, in the case of the Class F Income Notes, "accredited investors" as defined in Rule 501(a) under Regulation D under the Securities Act ("Accredited Investors"), in each case, who are also Qualified Purchasers. A "Qualified Purchaser" is a "qualified purchaser" within the meaning of Section 3(c)(7) under the Investment Company Act.

Form, Registration and Transfer of the Notes: The Class A-1 Notes, Class A-2 Notes, Class B Notes and Class C

Notes initially sold in the United States or to U.S. Persons pursuant to Rule 144A under the Securities Act will be represented by one or more permanent global notes in definitive, fully registered form without interest coupons attached (the "Rule 144A Global Notes") deposited with the Trustee as custodian for DTC and registered in the name of DTC or its nominee. DTC will credit the account of its participants with the principal amount of the Rule 144A Global Notes being purchased by or through such participants. Interests in the Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC.

All other Notes sold in the United States or to U.S. Persons will be issued and evidenced in the form of definitive, fully registered, physical

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certificates only, registered in the name of the legal owner (each such Note, a "Certificated Note"). Transfers and exchanges of Certificated Notes may only be made upon delivery to the Issuer and the Trustee (with a copy to the Collateral Manager) of written certifications confirming that such transfer or exchange is taking place in compliance with all applicable transfer restrictions and such other documents as are required pursuant to the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as the case may be.

Notes initially sold outside the United States in accordance with Regulation S will be represented by one or more permanent global notes in definitive, fully-registered form without interest coupons attached (the "Regulation S Global Notes") held through Euroclear and Clearstream.

The Regulation S Global Notes will be deposited with the Trustee acting as custodian for DTC and registered in the name of DTC (or its nominee) for credit to the applicable purchaser accounts at Euroclear and Clearstream. Interests in the Regulation S Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by Euroclear and Clearstream. Interests in Regulation S Global Notes may be held only through Euroclear or Clearstream and may not be held by a U.S. Person at any time. Each initial purchaser of Regulation S Global Notes will be required to certify that its interest in such Notes is owned by non-U.S. Persons in accordance with the procedures therefor of Euroclear or Clearstream.

Transfers of interests in the Rule 144A Global Notes and the Regulation S Global Notes (collectively, the "Global Notes") are subject to certain additional restrictions. To enforce the restrictions on transfers of the Notes, the Indenture permits the Issuer to demand that the Holder sell to a holder permitted under the Indenture (i) any interest in a Rule 144A Global Note or a Certificated Note representing an interest in Class D Notes, Class E Notes or Class F Income Notes held by a U.S. Person who is determined not to have been both a Qualified Purchaser and a Qualified Institutional Buyer (or, in the case of the Class F Income Notes only, a Qualified Purchaser and an Accredited Investor) at the time of acquisition of such Note and (ii) any interest in a Regulation S Global Note held by a U.S. Person and, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in such Notes. In addition, transferees of an interest in a Note will be required to make, or deemed to have made, certain representations relating to compliance with all applicable securities, ERISA and tax laws. See "Purchase and Transfer Restrictions".

If (i) DTC notifies the Trustee that it is unwilling or unable to continue as depository for the Global Notes or DTC, Euroclear or Clearstream ceases to be a "Clearing Agency" registered under the Exchange Act, and no successor depository or clearing agency is appointed or (ii) as a result of any amendment to or change in the laws or regulations of the Cayman Islands, or of any authority therein or thereof having power to tax, or in the interpretation or administration of such laws or regulations which become effective on or after the Closing Date, the Issuer, the Trustee or any Paying Agent becomes aware that it is or will be required to make any deduction or withholding from any payment in

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respect of the Global Notes which would not be required if the Global Notes were not represented by a global certificate, definitive physical certificates will be issued in exchange for the applicable Global Notes to the beneficial owners thereof.

Listing and General Information: The Prospectus has been approved by the Irish Financial Services Regulatory Authority, as competent authority under the Prospectus Directive 2003/71/EC. The Irish Financial Services Regulatory Authority only approves this Prospectus as meeting the requirements imposed under the Irish and EU law pursuant to the Prospectus Directive 2003/71/EC. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. There can be no assurance that such approval will be obtained or that such listing will be granted or maintained. See "Listing and General Information". There is currently no market for the Notes and there can be no assurance that such a market will develop, even if such listing is obtained. See "Risk Factors—Limited Liquidity; Restrictions on Transfer".

Minimum Denominations: The Notes (other than the Class D Notes, the Class E Notes and the Class F Income Notes) will be issuable in a minimum denomination of U.S.$500,000 and will be offered only in such minimum denominations or integral multiples of U.S.$1,000 in excess thereof. The Class D Notes, the Class E Notes and the Class F Income Notes will be issuable in a minimum denomination of U.S.$250,000 and will be offered only in such minimum denominations or integral multiples of U.S.$1,000 in excess thereof.

Income Tax Considerations: For a discussion of certain tax consequences to purchasers of the Notes, see "Income Tax Considerations".

ERISA Considerations: Co-Issued Notes

In general, the Co-Issued Notes may be purchased by, or on behalf of, or using the assets of, any employee benefit plan, including plans subject to ERISA or Section 4975 of the Code, subject to appropriate representations and warranties that their acquisition, holding and disposition of Class A-1 Notes, Class A-2 Notes, Class B Notes or Class C Notes will not violate certain applicable provisions of law.

Other Notes

The acquisition of Class D Notes, Class E Notes and Class F Income Notes ("ERISA-restricted Notes") by Benefit Plan Investors will be limited to less than 25% of each of such Class of ERISA-Restricted Notes (disregarding Notes held by Controlling Persons, as defined herein). ERISA-restricted Notes that are in the form of Certificated Notes may be acquired by Benefit Plan Investors in initial placement of the Notes but may not be acquired by or transferred to Benefit Plan Investors or Controlling Persons thereafter. Interests in ERISA-restricted Notes in the form of interests in Regulation S Global Notes will not be permitted to be acquired by or transferred to Benefit Plan Investors or Controlling Persons at any time. Each purchaser of an ERISA-restricted Note in the form of a Certificated Note in the initial placement of the Notes will be required to certify in an investor representation letter whether or not it is a Benefit Plan Investor or a Controlling Person. Each purchaser of an ERISA-restricted Note in the

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form of interests in Regulation S Global Notes in the initial placement of the Notes will be required to represent and warrant that it is not a Benefit Plan Investor or a Controlling Person. Transferees of ERISA-restricted Notes (or interests therein) will be required (in the case of Certificated Notes) or deemed (in the case of interests in Regulation S Global Notes) to represent and warrant that they are not Benefit Plan Investors or Controlling Persons. Purchasers and transferees of ERISA-restricted Notes that are Benefit Plan Investors or governmental, church or non-U.S. plans will be required to represent and warrant (or in certain cases will be deemed to represent and warrant) that their acquisition, holding and disposition of such Notes will not violate certain applicable provisions of law.

The Indenture and the Class F Income Note Issuing and Paying Agency Agreement permit the Issuer to require Notes held in violation of the foregoing restrictions to be sold to persons that are not Benefit Plan Investors or Controlling Persons.

For further discussion of certain ERISA-related and other restrictions on the ownership and transfer of the Notes, see "Certain ERISA and Related Considerations" and "Purchase and Transfer Restrictions" herein.

Legal Investment: Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to conditions on investment in any of the Notes. See "Certain Legal Investment Considerations".

Governing Law: The Notes, the Indenture, the Class F Income Note Issuing and Paying Agency Agreement, the Collateral Management Agreement, the Collateral Administration Agreement, the Purchase Agreement, the Placement Agency Agreement, any Hedge Agreement, any Synthetic Security, the Account Control Agreement, the Subsidiary Guarantee and each Subsidiary Pledge Agreement will be governed by, and construed in accordance with, the laws of the State of New York.

Ratings: It is a condition of issuance of the Notes that the Class A-1 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class B Notes be rated at least "A2" by Moody's and "A" by S&P and the Class C Notes be rated at least "Baa2" by Moody's and "BBB" by S&P. The Class D Notes, the Class E Notes and the Class F Income Notes will not be rated by Moody's, S&P or any other rating agency.

A security 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. In the event that a rating initially assigned to any Class of Co-Issued Notes is subsequently lowered for any reason, no Person is obligated to provide any additional support or credit enhancement with respect to such Class of Notes.

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RISK FACTORS

Prospective Noteholders should consider, among other things, the following factors in connection with the purchase of the Notes. Except as provided herein under "Income Tax Considerations", this Offering Circular does not describe risks associated with the consequences of consummating the exchange of Existing Securities for Class D Notes, Class E Notes or Class F Income Notes other than risks directly arising from the ownership of the Class D Notes, Class E Notes or Class F Income Notes received upon such exchange. Except as otherwise required by the context hereof, any reference herein to the purchase or acquisition of a Collateral Debt Obligation by the Issuer shall be deemed to include the Issuer's indirect ownership of such Collateral Debt Obligation through its ownership of membership interests in a Subsidiary Holding Company.

1. Limited Recourse Obligations. The Senior Notes will be limited recourse obligations of the Issuer and, with respect to the Co-Issued Notes, non-recourse obligations of the Co-Issuer. Payments of interest and principal with respect to the Co-Issued Notes and the Class D Notes, and distributions with respect to the Class E Notes and Class F Income Notes will be payable solely from the Collateral Debt Obligations and other Collateral securing the Co-Issued Notes. The Issuer, as a special purpose company, will have no significant assets other than its direct or indirect (through its ownership of the Subsidiary Holding Companies) ownership of Collateral Debt Obligations, the Collection Account, the Custodial Account, the Hudson Canyon Distribution Account, the Interest Reserve Account, the Synthetic Letter of Credit Reserve Account, the Loan Funding Account, any Hedge Counterparty Collateral Account, the Class D Reserve Account, the Payment Account, the Expense Account, the Synthetic Security Collateral Account (subject to the prior rights of each Synthetic Security Counterparty therein), the Synthetic Security Issuer Account, the Eligible Investments, the Issuer's rights under the Collateral Management Agreement, the Collateral Administration Agreement, any Hedge Agreement, the Sale and Purchase Agreement and the Class F Income Note Issuing and Paying Agency Agreement and any other Collateral pledged under the Indenture. The Co-Issuer will have no obligations with respect to the Notes other than the Co-Issued Notes. None of the Noteholders, members, partners, officers, directors, employees and incorporators of the Issuer, the Co-Issuer, the Collateral Manager, the Initial Purchaser, the Placement Agent, the Trustee, the Class F Income Note Issuing and Paying Agent, the Administrator, the Collateral Administrator or any of their respective Affiliates or any other person (except the Subsidiary Guarantors under the Subsidiary Guarantee) will be obligated to make payments on the Notes. The Notes are not deposits or other obligations of any bank and are not insured by the Federal Deposit Insurance Corporation or any governmental agency or instrumentality thereof. Consequently, Holders of the Notes must rely solely upon collections on the Pledged Obligations and other amounts received in respect of the Collateral. In addition, the Issuer's ability to make payments in respect of any Class of Notes will be constrained by the terms of the Notes of Classes more Senior to such Class and by the terms of the Indenture. If collections in respect of the Collateral are insufficient to make payments on the Notes, no other assets will be available for payment of the deficiency, and following liquidation thereof, the obligations of the Co-Issuers or the Issuer, as the case may be, to pay such deficiencies will be extinguished and any claims of the Trustee, any Hedge Counterparty, any Synthetic Security Counterparty and the Holders of the Notes will be extinguished against the Co-Issuers.

2. Subordination. The relative order of seniority of payment of the principal of each Class of Senior Notes on each Payment Date is as follows: first, Class A-1 Notes, second, Class A-2 Notes, third, Class B Notes, fourth, Class C Notes, fifth, Class D Notes and, sixth, Class E Notes, with (a) each Class of Senior Notes (other than the Class E Notes) in such list being "Senior" to each other Class of Senior Notes that follows such Class of Senior Notes in such list (e.g., the Class A-1 Notes are Senior to the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes) and (b) each Class of Senior Notes (other than the Class A-1 Notes) in such list being "Subordinate" to each other Class of Senior Notes that precedes such Class of Senior Notes in such list (e.g., the Class E Notes are Subordinate to the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes). The Class F Income Notes are subordinate to the payment of principal of all of the Senior Notes other than the Class E Notes and to the payment of the Class E Recovery Amount. In addition, on each Payment Date (including any Redemption Date), Collateral Interest Collections and Collateral Principal Collections available after all other uses pursuant to the Priority of Payments will be applied to make additional distributions in respect of the Class E Notes and the Class F Income Notes, with 95% of such Collections being applied to the Class E Notes and 5% of such Collections being applied to the Class F Income Notes. See "Description of the Notes—Priority of Payments".

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No payment of interest on any Class of Co-Issued Notes or Class D Notes will be made until all accrued and unpaid interest on the Co-Issued Notes of each Class that is Senior to such Class and that remain Outstanding has been paid in full. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class B Notes or the Class C Notes, in each case, when a Senior Class is Outstanding, such interest shall be deferred until proceeds are available therefor pursuant to the Priority of Payments. To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class D Notes on any Payment Date, such interest shall not be deferred or capitalized and the Holders of Class D Notes shall have no right to receive such interest at any time thereafter. Payment of the principal of the Class D Notes from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after all principal of and interest on Co-Issued Notes has been paid in full. Payment of the Class E Recovery Amount from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after all principal of and interest on Co-Issued Notes and the Class D Notes have been paid in full. See "Description of the Notes—Priority of Payments".

In addition, except as otherwise expressly provided herein, in the case of a Default or Event of Default, so long as any Class A-1 Notes remain Outstanding, the Holders of more than 66-2/3% of the Aggregate Principal Amount of such Class A-1 Notes will be entitled to determine the remedies to be exercised under the Indenture. Once the Class A-1 Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class A-2 Notes will be entitled to do so as long as any Class A-2 Notes remain Outstanding. Once the Class A-1 Notes and the Class A-2 Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class B Notes will be entitled to do so as long as any Class B Notes remain Outstanding. Once the Class A-1 Notes, the Class A-2 Notes and the Class B Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class C Notes will be entitled to do so as long as any Class C Notes remain Outstanding. Once the Co-Issued Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class D Notes will be entitled to do so as long as any Class D Notes remain Outstanding. Once the Co-Issued Notes and the Class D Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class E Notes will be entitled to do so as long as any Class E Notes remain Outstanding. Once the Senior Notes have been fully repaid, the Holders of more than 66-2/3% of the Aggregate Principal Amount of the Class F Income Notes will be entitled to do so as long as any Class F Income Notes remain Outstanding. Remedies pursued by the Holders of the Class A-1 Notes could be adverse to the interests of the Holders of the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and/or the Class F Income Notes; remedies pursued by the Holders of the Class A-2 Notes could be adverse to the interests of the Holders of the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and/or the Class F Income Notes; remedies pursued by the Holders of the Class B Notes could be adverse to the interests of the Holders of the Class C Notes, the Class D Notes, the Class E Notes and/or the Class F Income Notes; remedies pursued by the Holders of the Class C Notes could be adverse to the interests of the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes; remedies pursued by the Holders of the Class D Notes could be adverse to the interests of the Holders of the Class E Notes and the Class F Income Notes; remedies pursued by the Holders of the Class E Notes could be adverse to the interests of the Holders of the Class F Income Notes. In addition, payments of interest on the Co-Issued Notes (other than the Class A Notes) may be deferred as described herein to the extent there are not sufficient funds available to pay such interest in accordance with the Priority of Payments, and such deferral of interest will not constitute an Event of Default. Any such deferral of interest on a Class of Co-Issued Notes would increase the effect of the subordination of the Notes subordinate to such Class of Co-Issued Notes.

Each Holder of Senior Notes will agree, pursuant to the Indenture, and each Holder of the Class F Income Notes will agree, pursuant to the Class F Income Note Issuing and Paying Agency Agreement, that it will not cause the filing of a petition in bankruptcy against the Issuer, Co-Issuer or either Subsidiary Holding Company before a year and a day (or, if longer, the applicable preference period then in effect plus one day) has elapsed since the payment in full of each more Senior Class of Senior Notes, or with respect to the Class F Income Notes, the payment in full of all Senior Notes (or, in the case of the Class E Notes, the Class E Recovery Amount). If such provision failed to be enforceable under applicable bankruptcy laws, then the filing of such a petition could result in one or more payments on the Senior Notes made during the period prior to such filing being deemed to be preferential transfers subject to avoidance by the bankruptcy trustee or similar official exercising authority with respect to the Issuer's bankruptcy estate.

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In the event of an Optional Redemption of the Notes, the Class D Notes, the Class E Notes and the Class F Income Notes will be redeemed; however, in accordance with the Priority of Payments, holders of the Class D Notes, the Class E Notes and the Class F Income Notes may not receive any or all of their principal. See "Optional Redemption in Whole" and "Priority of Payments—Application of Available Funds upon Optional Redemption".

The Class D Notes, the Class E Notes and the Class F Income Notes represent a highly leveraged investment. Utilization of leverage is a speculative investment technique and involves certain risks to investors. Changes in the market value of each such Class of Notes would be anticipated to be greater than the change in the market value of the Collateral Debt Obligations and the other Collateral, which themselves are subject to various risks, including but not limited to credit, liquidity and interest rate risks.

3. Hudson Canyon Distribution Account. The Hudson Canyon Distribution Account is not included in the Collateral and is not subject to the lien of the Indenture. Funds in the Hudson Canyon Distribution Account will be used solely to make distributions to the Class D Noteholders and Class E Noteholders and certain other parties, as more fully described in "Description of the Notes—The Hudson Canyon Distribution Account". Such payments are not subject to the Priority of Payments. Although remaining funds standing to the credit of the Hudson Canyon Distribution Account after other distributions are made from the Hudson Canyon Distribution Account will be deposited in the Principal Collection Account for application as Collateral Principal Collections pursuant to the Priority of Payments on the following Payment Date, there may not be any funds remaining after making such prior distributions. In no event is it expected that such amounts would exceed U.S.$2,000,000. In addition, on any Hudson Canyon Account Payment Date, amounts standing to the credit of the Hudson Canyon Distribution Account may be insufficient to make any distribution to the Holders of the Class D Notes and/or Class E Notes. If a distribution is not made on any Hudson Canyon Account Payment Date, the Holders of the Class D Notes and/or Class E Notes will have no right to receive such distribution at any time thereafter. Accordingly, Noteholders should not have any expectation that any amounts will be transferred from the Hudson Canyon Distribution Account to the Principal Collection Account. Any Holder or prospective transferee of a Class D Note or a Class E Note should independently assess the likelihood of potential distributions from such account.

4. Status of the Class D Notes, Class E Notes, Class F Income Notes. The Class D Notes, Class E Notes and Class F Income Notes are not secured by the Collateral Debt Obligations or the other Collateral securing the Co-Issued Notes. As such, the Holders of the Class D Notes, Class E Notes and Class F Income Notes will rank behind all of the creditors, whether secured or unsecured and known or unknown, of the Issuer, including, without limitation, the Holders of the Co-Issued Notes and any judgment creditors. Except with respect to the obligations of the Issuer to make payments pursuant to the Priority of Payments, the Issuer does not expect to have any creditors.

5. Limited Liquidity; Restrictions on Transfer. There is no market for any Class of Notes being offered hereby. Although the Initial Purchaser or the Placement Agent may from time to time make a market in the Senior Notes or Class F Income Notes, respectively, neither of them is under an obligation to do so. In the event that the Initial Purchaser or the Placement Agent commences any market-making, it may discontinue the same at any time. The Notes will likely be owned by a relatively small number of investors, and no assurance can be given that any secondary market for the Notes will develop. Consequently, an investor in the Notes must be prepared to hold them until the Stated Maturity Date. Purchasers of the Notes may find it difficult or uneconomic to liquidate their investment at any particular time. The Notes have not been and will not be registered under the Securities Act or under any U.S. state securities or "blue sky" laws or the securities laws of any other jurisdiction and are being issued and sold in reliance upon exemptions from registration provided by such laws. No Note may be sold or transferred unless such sale or transfer (i) is exempt from the registration requirements of the Securities Act and applicable state securities laws, (ii) will not constitute or result in a nonexempt "prohibited transaction" under ERISA, Section 4975 of the Code or a violation of any Similar Law and (iii) is made to a non-U.S. Person in compliance with Regulation S under the Securities Act, or to a Qualified Institutional Buyer who is also a Qualified Purchaser or, in the case of the Class F Income Notes, an Accredited Investor who is also a Qualified Purchaser, in each case, in a transaction that does not cause either of the Co-Issuers to become subject to the registration requirements of the Investment Company Act. In addition, transfers of any interest in the Class D Notes and Class E Notes and Class F Income Notes must meet the restrictions described under "Certain ERISA and Related Considerations". Prospective transferees of the Certificated Notes purchasing their Notes pursuant to Rule 144A of the Securities Act or, in the case of the Class F Income Notes, Section 4(2) of the Securities Act will be required pursuant to the terms of the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable, to deliver an investor

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certificate to the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, and the Issuer and the Collateral Manager relating to compliance with the Securities Act, applicable state securities laws, ERISA and the Investment Company Act. The Co-Issuers, in the case of the Co-Issued Notes, and the Issuer, in the case of the other Notes, will not provide registration rights to any purchaser of Notes, and none of the Co-Issuers, the Trustee, the Class F Income Note Issuing and Paying Agent or any other person may register any Class of Notes under the Securities Act or any state securities or "blue sky" laws. As a result of the foregoing, a purchaser must be prepared to hold the Notes for an indefinite period of time or until the maturity thereof.

6. Nature of the Collateral Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risk. The Issuer will, directly or indirectly, through the Subsidiary Holding Companies, invest in a portfolio of Collateral Debt Obligations consisting of U.S. dollar-denominated senior secured and unsecured loans. The Loans are expected to primarily have a rating or an implied rating below investment grade. The lower rating of obligations in the non-investment grade market reflects a greater possibility that adverse changes in the financial condition of an issuer of such obligations or in general economic conditions or both may impair the ability of the issuer to make payments of principal and interest on such obligations. The level of collateral securing the Co-Issued Notes has been established to withstand certain assumed deficiencies in payment occasioned by defaults of the Collateral Debt Obligations. If any deficiencies exceed such assumed levels, however, payments with respect to the Co-Issued Notes and the other Notes could be adversely affected. To the extent that a default occurs with respect to any Collateral Debt Obligation securing the Co-Issued Notes and the Trustee sells or otherwise disposes of such Collateral Debt Obligation, it is not likely that the proceeds of such sale or disposition will be equal to unpaid principal and interest thereon.

It is anticipated that, on the Closing Date, the market value of the Collateral Debt Obligations included in the Collateral will be less than the aggregate par value of the Collateral Debt Obligations. The market value of such Collateral Debt Obligations will generally fluctuate with, among other things, changes in prevailing interest rates, general economic conditions, the condition of certain financial markets, developments or trends in any particular industry and the financial condition of the obligors on or issuers of the Collateral Debt Obligations or, with respect to Synthetic Securities, of the obligors on or issuers of the Reference Obligations. The interest rate spreads over LIBOR on Loans included in the Collateral Debt Obligations are at very low levels (compared to the levels during the past ten years and the current levels); in the event that current levels of interest rate spreads widen further after the Closing Date, the market value of the Collateral Debt Obligations is likely to decline and, in the case of a substantial spread widening, could decline by a substantial amount. The public markets for loans have in the past experienced and may continue to experience periods of volatility and periods of reduced liquidity. During periods of limited liquidity and higher price volatility, the Issuer's ability to cause the disposition of Collateral Debt Obligations at a price and time that the Issuer deems advantageous may be impaired. As a result, the Issuer's inability to dispose fully and promptly of positions in declining markets will adversely affect the Sale Proceeds that could be obtained upon the sale of the Collateral Debt Obligations and could ultimately affect the ability of the Issuer to make payments with respect to or redeem the Notes.

In addition, because of the unique and customized nature of a loan agreement and the private syndication of a bank loan, such a loan may not be purchased or sold as easily as publicly traded securities. Bank loans may encounter trading delays due to their unique and customized nature, and transfers may be prohibited without the consent of an agent bank or borrower. Moreover, the Issuer will invest in privately placed Collateral Debt Obligations that may or may not be freely transferable under the laws of the applicable jurisdiction or due to contractual restrictions on resale, and even if such privately placed Collateral Debt Obligations are transferable, the prices realized from their sale could be less than those originally paid by the Issuer or less than what may be considered the fair value for such securities, and this could have a material adverse effect on the ability of the Issuer to make payments with respect to or redeem the Notes.

Further, bankruptcy and similar laws applicable to the obligor of any Collateral Debt Obligation may limit the amount of any recovery in respect of such Collateral Debt Obligation if the obligor is insolvent and may also adversely affect the timing of receipt of any such recovery to which the Issuer may be entitled.

A portion of the loans included in the Collateral on the Closing Date will be senior unsecured loans. Senior unsecured loans are subject to the same risks described herein with respect to senior secured loans except that such loans are not secured obligations of the related obligor and do not have the benefit of a pledge of specific property. The absence of a security interest may make senior unsecured loans more illiquid investments than senior secured loans.

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7. Synthetic Securities. In addition to the credit and liquidity risks associated with holding Senior Secured and Senior Unsecured Loans, with respect to Synthetic Securities the Issuer will usually have a contractual relationship only with the counterparty of such Synthetic Security and not the issuer of the Reference Obligation. Synthetic Securities, particularly Synthetic Securities structured as default swaps, are generally less liquid than the Reference Obligations. The Issuer generally will have no right directly to enforce compliance by the issuer of the Reference Obligation with the terms thereof nor any rights of set-off against such issuer, nor have any voting rights or other consensual rights of ownership with respect to the Reference Obligation (and may be subject to set-off rights exercised by the issuer of the Reference Obligation against the Synthetic Security Counterparty or another Person). The Issuer will not directly benefit from the collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally be available to a direct holder of such Reference Obligation. In addition, in the event of the insolvency of the Synthetic Security Counterparty, the Issuer will be treated as a general creditor of such Synthetic Security Counterparty and will not have any claim with respect to the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the Synthetic Security Counterparty as well as that of the issuer of the Reference Obligation. As a result, concentrations of Synthetic Securities entered into with any one Synthetic Security Counterparty will subject the Notes to an additional degree of risk with respect to defaults by such Synthetic Security Counterparty as well as by the issuer of the Reference Obligation. Although the Collateral Manager will not be obligated to perform independent credit analyses of the Synthetic Security Counterparties at the time the related Synthetic Securities are accrued by the Issuer, all such counterparties are required under the terms of the Indenture, at the time such Synthetic Securities are accrued by the Issuer, to be rated at least "A2" by Moody's (and not be on negative credit watch) and at least "A" by S&P.

The Issuer may also acquire Synthetic Securities structured as default swaps. In such cases, the Collateral Manager on behalf of the Issuer will purchase an item of Synthetic Security Collateral and pledge to the related Synthetic Security Counterparty a first priority security interest in such Synthetic Security Collateral. The Issuer will also grant to the Trustee for the benefit of the Holders of the Co-Issued Notes a security interest in any Synthetic Security Collateral, subject to the prior security interest of the related Synthetic Security Counterparty, and will notify such Synthetic Security Counterparty of such security interest and obtain such Synthetic Security Counterparty's acknowledgment of the Trustee's security interest. In the event a Credit Event occurs under a Synthetic Security structured as a default swap, unless the Issuer elects to pay a "cash settlement amount" (as defined in the related Swap and Security Documents) or any other cash payment not contingent upon the delivery of a Deliverable Obligation, the related Synthetic Security Collateral will be delivered to the related Synthetic Security Counterparty in exchange for the Deliverable Obligation. Deliverable Obligations will constitute Collateral Debt Obligations if (at the time of delivery) they satisfy certain clauses of the definition of "Collateral Debt Obligation" and may constitute Defaulted Obligations. In the event that no Credit Event under a Synthetic Security structured as a default swap occurs prior to the termination or maturity of such Synthetic Security, the related Synthetic Security Collateral will be released from the lien of the Synthetic Security Counterparty and be treated as a Collateral Debt Obligation or Eligible Investment to the extent it meets the definition of such terms upon the termination or maturity of such Synthetic Security. If the Collateral Manager elects to sell or terminate a portion of a Synthetic Security prior to its scheduled maturity without the occurrence of a Credit Event (but not due to the default of the related Synthetic Security Counterparty), the Trustee, upon Issuer order will cause such portion of the related Synthetic Security Collateral required to make any termination payment owed to the related Synthetic Security Counterparty to be delivered to the Synthetic Security Counterparty and the remaining portion of such Synthetic Security Collateral not required to be pledged to such Synthetic Security Counterparty to be released from the lien of such Synthetic Security Counterparty and delivered to the Trustee free of such lien (and be treated as a Collateral Debt Obligation or Eligible Investment to the extent it meets the definition of such term).

The Issuer has no right to sell or transfer any Synthetic Security Collateral until the applicable Synthetic Security is terminated or matures, even under circumstances where the Synthetic Security Collateral deteriorates in credit quality. In addition, the Issuer may realize a loss upon any disposition of any Synthetic Security Collateral, which may adversely affect the return on the Notes.

One or more Affiliates of CGMI may act as counterparty with respect to all or a portion of the Synthetic Securities, which relationship may create certain conflicts of interest. See "—Potential Conflicts of Interest".

8. Reinvestment Risk. During the Reinvestment Period and after the Reinvestment Period as described herein in "Security for the Co-Issued Notes—Purchase of Collateral Debt Obligations after the Reinvestment Period",

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certain funds will be reinvested in Collateral Debt Obligations in accordance with the Eligibility Criteria or the Post Reinvestment Period Criteria, as applicable. The earnings with respect to such Collateral Debt Obligations will depend, among other factors, on reinvestment rates available at the time and on the availability of investments satisfying the then applicable Eligibility Criteria or the Post Reinvestment Period Criteria, as applicable, and that are acceptable to the Collateral Manager. The need to satisfy such Eligibility Criteria or the Post Reinvestment Period Criteria, as applicable, and to identify acceptable investments may require the purchase of Collateral Debt Obligations with a lower yield than those initially acquired or require that such funds be maintained temporarily in cash or Eligible Investments, which may further reduce the yield of the Collateral. Any decrease in the yield on the Collateral Debt Obligations will have the effect of reducing the amounts available to make payments of principal and interest and other distributions on all Classes of Notes. The impact, including any adverse impact, of such reinvestment (or lack thereof) and of the yields on such Collateral Debt Obligations on the Holders of Class F Income Notes would be magnified by the leveraged nature of the Class F Income Notes. There can be no assurance that spreads on non-investment grade Collateral Debt Obligations that are eligible for purchase as Collateral Debt Obligations will be at the same levels.

Privately placed below-investment grade securities and bank loans are not as easily (or as quickly) purchased or sold as publicly traded securities for a variety of reasons, including confidentiality requirements with respect to obligor information, the customized non-uniform nature of loan agreements and private syndication. The reduced liquidity and lower volume of trading in these securities, in addition to restrictions on investment represented by the then applicable Eligibility Criteria or the Post Reinvestment Period Criteria, as applicable, could result in periods of time during which the Issuer will not be able to fully invest its cash in Collateral Debt Obligations. The longer it takes to fully invest proceeds of the Notes and the longer the period between reinvestment of Collateral Principal Collections in Collateral Debt Obligations, the greater the adverse impact may be on aggregate Collateral Interest Collections collected and distributed by the Issuer to the Holders of the Notes, including to the Class F Income Notes, thereby resulting in lower yield than could have been obtained if proceeds were immediately reinvested.

The Indenture places significant restrictions on the ability of the Collateral Manager to advise the Issuer to buy and sell obligations for the Collateral, and the Collateral Manager is subject to compliance with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Issuer may be unable to buy or sell obligations or to take other actions which the Collateral Manager might consider in the best interests of the Issuer and the Noteholders.

In order to permit the Issuer to satisfy the applicable Percentage Limitation on and about the Closing Date, the Subsidiary Holding Companies will, prior to the Closing Date, commit to sell certain Covenant-Lite Loans and certain assets that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000, and such sales may be at prices that are less than par value. The Collateral Manager makes no representation that the sale of such Covenant-Lite Loans or such assets that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000 is in the best interests of the Issuer. Proceeds received by the Subsidiary Holding Companies in connection with such sales will be reinvested by the Collateral Manager in Collateral Debt Obligations; however, market conditions and other factors may require that the Issuer purchase replacement Collateral Debt Obligations with a lower yield or lower credit quality than those sold, or that such funds be maintained temporarily in cash or Eligible Investments, which may reduce the yield of the Collateral.

9. Recent Developments in the Loan and Credit Markets. Recent developments in the loan market, in particular, in connection with the financing of leveraged buy-outs, have resulted in lenders making loans, including Covenant-Lite Loans, that do not require the borrower to maintain debt service or other financial ratios or that do not contain common restrictions on the ability of the borrower to change significantly its operations or to enter into other significant transactions that could affect its ability to repay such loans. A portion of the loans acquired by the Issuer (directly or through Participations) will consist of Covenant-Lite Loans and other loans with limited covenants. Such loans expose the lenders to greater credit risk than loans that contain more extensive covenants and may affect the lenders' ability to restructure loans or to mitigate potential losses.

In addition, there has been a general upheaval in the credit and subprime mortgage markets, including (i) an increase in bankruptcy filings of mortgage lenders such as Mortgage Lenders Network USA, Inc., New Century Financial Corporation and People's Choice Home Loans, Inc., among many others, (ii) an increase in borrower

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default rates, (iii) the placement on credit watch and/or ratings downgrade of various monoline insurers and collateralized debt obligation vehicles, (iv) the collapse of the mortgage backed securities market, which has spread to other sectors of the market (including the loan market), (v) an increased rate of downgrades of assets underlying collateralized debt obligations, (vi) significantly reduced liquidity for both assets underlying collateralized debt obligations and for collateralized debt obligation securities, (vii) steep reductions in the market value or a lack of verifiable market quotes for both assets underlying collateralized debt obligations and for collateralized debt obligation securities and (viii) an inability of funds investing in similar assets to meet increasing investor redemption demands due to reduced liquidity and uncertain market values, resulting in sharp drops in the stock markets worldwide, record losses by the financial brokerage houses and significant reductions in the credit markets. This upheaval has resulted in increased risks and has reduced investor appetite for investments, especially in structured finance transactions. Market concerns have resulted in increased volatility and a reduced liquidity in the secondary market for loans, and the market value of many loans has been sharply reduced. As a result, it is highly likely that a Noteholder will find that either no market exists for its Notes or, alternatively, that it would not be economically beneficial to liquidate its investment in the Notes at any particular time. Consequently, a Noteholder must be prepared to hold its Notes until their stated maturity.

10. Effective Date; Confirmation of Ratings. The Co-Issuers will request that the Rating Agencies confirm, within 15 Business Days after the Effective Date (or such other date as the Rating Agencies determine), and so notify the Trustee in writing, that they have not reduced or withdrawn their respective ratings assigned on the Closing Date to each Class of the Co-Issued Notes. In the event that S&P or Moody's does not confirm its ratings on the Co-Issued Notes within 30 Business Days after the Effective Date (any such event, an "Effective Date Failure"), on the next and succeeding Payment Dates, the Collateral Interest Collections and the Collateral Principal Collections remaining after the payment of funds pursuant to clauses (i) through (xii) of the Priority of Payments set forth under "Description of the Notes—Priority of Payments—Interest and Principal Collections—Distributions with Collateral Interest Collections" and after the same payments (if not satisfied from Collateral Interest Collections) have been made pursuant to clause (i) of the Priority of Payments set forth under "Description of the Notes—Priority of Payments—Interest and Principal Collections—Distributions with Collateral Principal Collections", will be applied to pay principal of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes, sequentially in that order, in each case, until the Aggregate Principal Amount of each such Class is paid in full or if earlier, in the amount necessary for each Rating Agency to confirm in writing their respective ratings of the Co-Issued Notes assigned on the Closing Date. In the event that an Effective Date Failure results from S&P not confirming the ratings assigned to the Co-Issued Notes, so long as no other Effective Date Failure has occurred and is continuing, the application of Collateral Interest Collections and Collateral Principal Collections as described above will not occur (or, if it has commenced, will cease) upon satisfaction of the S&P Rating Agency Confirmation. In the event that an Effective Date Failure results from Moody's not confirming the ratings assigned to the Co-Issued Notes, so long as no other Effective Date Failure has occurred and is continuing, the application of Collateral Interest Collections and Collateral Principal Collections as described above will not occur (or, if it has commenced, will cease) upon satisfaction of the Moody's Rating Condition. If there is an Effective Date Failure, Moody's and/or S&P could lower their respective ratings of one or more Classes of the Co-Issued Notes assigned on the Closing Date.

11. Default Rates of Non-Investment Grade Corporate Debt. Historical performances of the non-investment grade debt market are not necessarily indicative of future performances of such market. In certain circumstances, it is possible that investors in some Classes of Notes may lose their entire original investment. Due to the subordination provisions of the Notes and the Indenture and the fact that the Issuer will have no substantial equity, the Holders of the Class F Income Notes will be directly and immediately affected by defaults and losses on the Collateral Debt Obligations included in the Collateral. To the extent such defaults and losses are greater than the amount that would otherwise have been available for payments in respect of the Class F Income Notes, the Holders of the Class E Notes will be directly affected before the Holders of the Co-Issued Notes or the Class D Notes, the Holders of the Class D Notes will be directly affected before the Holders of the Co-Issued Notes, the Holders of the Class C Notes will be directly affected before the Holders of the Class A-1 Notes, the Class A-2 Notes or the Class B Notes, the Holders of the Class B Notes will be directly affected before the Holders of the Class A-1 Notes or the Class A-2 Notes and the Holders of the Class A-2 Notes will be directly affected before the Holders of the Class A-1 Notes. The credit risk associated with the Collateral Debt Obligations included in the Collateral will be heightened to the extent the Collateral Debt Obligations are concentrated in particular issuers, industries, countries or regions that are adversely affected by the factors described above in "Risk Factors—Nature of the Collateral

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Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risk". Borrower default rates have increased significantly in recent months and may increase further in coming months. PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSIDER AND ASSESS FOR THEMSELVES THE LIKELY LEVEL OF DEFAULTS, THE LIKELY LEVEL AND TIMING OF RECOVERIES ON THE COLLATERAL DEBT OBLIGATIONS AND THE LIKELY LEVELS OF INTEREST RATES DURING THE TERM OF THE NOTES.

12. Participations in Loans. If a Participation is included in the Collateral, the holder thereof (the Issuer or the Subsidiary Holding Company) will usually have a contractual relationship only with the Selling Institution and not the borrower. Such party generally will have no right directly to enforce compliance by the borrower with the terms of the loan agreement, no right of set-off against the borrower and no right to object to certain changes to the loan agreement agreed to by the Selling Institution. Any rights that the holder has with respect to a Participation will generally be the result of an agreement with the Selling Institution. The holder may not directly benefit from the collateral supporting the related secured loan and may be subject to any rights of set-off the borrower has against the Selling Institution.

In addition, in the event of the insolvency of the Selling Institution, under the laws of the United States of America and the States thereof, the Issuer or the Subsidiary Holding Company (as applicable) may be treated as a general creditor of such Selling Institution and may not have any exclusive or senior claim with respect to the Selling Institution's interest in, or the collateral with respect to, the loan. Consequently, the Subsidiary Holding Company or the Issuer, as the case may be, may be subject to the credit risk of the Selling Institution as well as of the borrower. Although the Collateral Manager will not perform independent credit analyses of the Selling Institutions of the Participations, all such Selling Institutions are required under the terms of the Indenture, on the Closing Date or at such time as such Participations are acquired by the Issuer, to be rated at least "A2" by Moody's (and not be on negative credit watch) and at least "A" by S&P.

Certain of the loans or loan Participations may be governed by the laws of a jurisdiction other than a U.S. jurisdiction. The Issuer is unable to provide any information with respect to the risks associated with purchasing an assignment or a Participation under an agreement governed by the laws of any jurisdiction other than U.S. jurisdictions, including characterization under such laws of such participation in the event of the insolvency of the institution from which the Issuer purchases such participation. The Issuer will observe certain limitations on its ability or the ability of a Subsidiary Holding Company to purchase Participations in loans and other Collateral Debt Obligations designed to avoid having the Issuer be treated as engaged in a U.S. trade or business for U.S. federal income tax purposes.

13. International Investing. Investing outside the United States may involve greater risks than those associated with investing within the United States. These risks include: (i) less publicly available information; (ii) less governmental regulation and supervision; and (iii) the difficulty of enforcing legal rights in a foreign jurisdiction and uncertainties as to the status, interpretation and application of laws. Moreover, foreign companies are generally not subject to uniform accounting, auditing and financial reporting standards, practices and requirements comparable to those applicable to U.S. companies.

There generally is less governmental supervision and regulation of exchanges, brokers and issuers in foreign countries than there is in the United States. For example, there may be no comparable provisions under certain foreign laws to insider trading and similar investor protection securities laws that apply with respect to securities transactions consummated in the United States. Further, brokerage commissions, custodian fees and other transaction costs on foreign securities exchanges generally are higher than in the United States.

Foreign markets also have different clearance and settlement procedures, and in certain markets there have been times when settlements have failed to keep pace with the volume of securities transactions, making it difficult to conduct such transactions. Delays in settlement could result in periods when assets of the Issuer are uninvested and no return is earned thereon. The inability to dispose of a Collateral Debt Obligation due to settlement problems could result either in losses to the Issuer due to subsequent declines in the value of such Collateral Debt Obligation or, if the Issuer has entered into a contract to sell the security, in possible liability to the purchaser. Transaction costs of buying and selling foreign securities, including brokerage, tax and custody costs, are also generally higher than those involved in domestic transactions. Furthermore, foreign financial markets, while generally growing in volume, have, for the most part, substantially less volume than U.S. markets, and securities of many foreign companies are less liquid and their prices more volatile than securities of comparable domestic companies.

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In many foreign countries there is the possibility of expropriation, nationalization or confiscatory taxation, limitations on the convertibility of currency or the removal of securities, property or other assets, political, economic or social instability or adverse diplomatic developments, each of which could have an adverse effect on the Issuer's investments in such foreign countries. The economies of individual non-U.S. countries may also differ favorably or unfavorably from the U.S. economy in such respects as gross domestic product, rate of inflation, volatility of currency exchange rates, depreciation, capital reinvestment, resource self-sufficiency and balance of payments position.

14. Insolvency Considerations With Respect to Issuers of Collateral Debt Obligations. Various laws enacted for the protection of creditors may apply to the Collateral Debt Obligations included in the Collateral. If, in a lawsuit brought by a creditor or representative of creditors (such as a trustee in bankruptcy) of an obligor under a Collateral Debt Obligation, a court were to find that the obligor did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting the Collateral Debt Obligation and, after giving effect to such indebtedness and the use of the proceeds thereof, the obligor (i) was insolvent, (ii) was engaged in a business for which the remaining assets of such obligor constituted unreasonably small capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in whole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the obligor or to recover amounts previously paid by the obligor in satisfaction of such indebtedness. There can be no assurance as to what standard a court would apply in order to determine whether the obligor was "insolvent" or that, regardless of the method of valuation, a court would not determine that the obligor was "insolvent", in each case, after giving effect to the incurrence of such Collateral Debt Obligation and the use of the proceeds thereof. In addition, in the event of the insolvency of an obligor under a Collateral Debt Obligation, payments made on the Collateral Debt Obligation may be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one year) before insolvency.

In general, if payments on a Collateral Debt Obligation are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured either from the initial recipient (such as the Issuer or the Subsidiary Holding Companies) or from subsequent transferees of such payments (such as the Issuer and the Holders of the Notes). To the extent that any such payments are recaptured, the resulting loss will be borne in the first instance by the Holders of the Class F Income Notes and only thereafter by the Holders of the Senior Notes. A court in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from a Holder of the Notes to the extent that such court has jurisdiction over such Holder or its assets. However, it is unlikely that avoidable payments could be recaptured directly from a Holder that has given value in exchange for its Notes in good faith and without knowledge that the payments were avoidable. Since there is no judicial precedent relating to structured securities such as the Notes, there can be no assurance that a Holder of Notes will be able to avoid recapture on this basis.

The preceding discussion is based upon principles of U.S. federal and state laws. Insofar as Collateral Debt Obligations included in the Collateral that are obligations of non-U.S. obligors are concerned, the laws of certain foreign jurisdictions may provide for avoidance remedies under factual circumstances similar to those described above, with consequences that may or may not be analogous to those described above under U.S. federal and state laws.

15. Lender Liability Considerations; Equitable Subordination. In recent years, a number of judicial decisions in the United States have upheld the right of borrowers to sue lenders or bondholders on the basis of various evolving legal theories (collectively termed "lender liability"). Generally, lender liability is founded upon the premise that an institutional lender or bondholder has violated a duty (whether implied or contractual) owed to the borrower or issuer or has assumed a degree of control over the borrower or issuer resulting in the creation of a fiduciary duty owed to the borrower or issuer or its other creditors or shareholders. Because of the nature of the Collateral Debt Obligations, the Issuer or the Subsidiary Holding Companies may be subject to allegations of lender liability.

In addition, under common law principles that in some cases form the basis for lender liability claims, if a lender or bondholder (a) intentionally takes an action that results in the undercapitalization of a borrower to the detriment of other creditors of such borrower, (b) engages in other inequitable conduct to the detriment of such other creditors, (c) engages in fraud with respect to, or makes misrepresentations to, such other creditors or (d) uses its influence as a stockholder to dominate or control a borrower to the detriment of other creditors of such borrower, a

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court may elect to subordinate the claim of the offending lender or bondholder to the claims of the disadvantaged creditor or creditors, a remedy called "equitable subordination". Because of the nature of the Collateral Debt Obligations, the Issuer or the Subsidiary Holding Companies, as the case may be, may be subject to claims from creditors of an obligor that Collateral Debt Obligations issued by such obligor that are held by it should be equitably subordinated.

The preceding discussion is based upon principles of U.S. federal and state laws. Insofar as Collateral Debt Obligations included in the Collateral that are obligations of non-U.S. obligors are concerned, the laws of certain foreign jurisdictions may impose liability upon lenders or bondholders under factual circumstances similar to those described above, with consequences that may or may not be analogous to those described above under U.S. federal and state laws.

16. Acquisition of Collateral Debt Obligations on the Closing Date. On the Closing Date, the Existing Issuer will cause Citibank, N.A. (the "Swap Counterparty") and Citibank Financial Products Inc. ("CFPI") to transfer 100% of the ownership interests in two wholly-owned limited liability companies formed under the law of the State of Delaware (the "Subsidiary Holding Companies") to the Issuer. The Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an Aggregate Principal Amount equal to approximately U.S.$365,000,000 (excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell). The Swap Counterparty and CFPI acquired such Collateral Debt Obligations through the Subsidiary Holding Companies in order to hedge the Swap Counterparty's obligations under a total return swap transaction (the "Existing Total Return Swap Transaction") between the Swap Counterparty and the Existing Issuer that referenced such Collateral Debt Obligations. The Existing Issuer will cause the transfer of the Subsidiary Holding Companies to the Issuer to be effected in consideration of (a) the receipt from the Issuer of the Existing Securities (transferred to the Issuer by the holders thereof pursuant to the Exchange Transaction) for cancellation by the Existing Issuer and (b) the payment by the Issuer to the Swap Counterparty and CFPI of the net proceeds of the offering of the Notes, after payment of organizational expenses, the expenses of the issuance of the Notes and certain other deposits described herein. See "Use of Proceeds". As additional consideration for causing such transfer, the Existing Issuer will permit the Swap Counterparty to retain collateral having a value of approximately U.S.$81,000,000 that was previously posted by the Existing Issuer to the Swap Counterparty under the Existing Total Return Swap Transaction. The Swap Counterparty will agree with the Issuer and Existing Issuer that the payment by the Issuer of the net proceeds of the offering of the Notes to the Swap Counterparty and CFPI, together with the retention of such collateral by the Swap Counterparty, will satisfy the obligations of the Existing Issuer to the Swap Counterparty under the Existing Total Return Swap Transaction and will be sufficient consideration for the sale of the interests in the Subsidiary Holding Companies to the Issuer. See "Risk Factors—Nature of the Collateral Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risk". Each of the Subsidiary Holding Companies will, pursuant to a guarantee and contribution agreement to be entered into between the Subsidiary Holding Companies, the Issuer and the Trustee, jointly and severally guarantee, for the benefit of the Trustee on behalf of the Secured Parties, the obligations of the Issuer to the Secured Parties. Each of the Subsidiary Holding Companies will also grant a security interest in all of its assets including the Collateral Debt Obligations owned by it as security for its obligations under such joint and several guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes).

It is anticipated that, due to the fact that interest rate and credit spreads have widened since the Collateral Debt Obligations were initially acquired by the Subsidiary Holding Companies and due also to other changes in market conditions, the market value of the Collateral Debt Obligations included in the Collateral will on the Closing Date be less than the aggregate of the amount paid by the Existing Issuer to settle its obligations under the Existing Total Return Swap Transaction with the Swap Counterparty and the amount paid by the Issuer to acquire all of the membership interests in the Subsidiary Holding Companies.

Prior to the Closing Date, the Subsidiary Holding Companies may commit to sell a portion of the Loans held by them in order to comply with the Portfolio Limitations, such sales may be at prices that are less than the par value of such Loans.

The Subsidiary Holding Companies have been in existence since 2007. Although each transferor of the Subsidiary Holding Companies will make certain representations and warranties, including, but not limited to, the lack of any liens on the Collateral Debt Obligations, their ownership, such transferor's sole equity interest in the Subsidiary Holding Companies and such transferor's ability to transfer the membership interests in the Subsidiary

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Holding Companies and the Collateral Debt Obligations, to the extent any of these representations and warranties prove to be false, the ability of the Noteholders to recover on the Collateral could be limited. In addition, although the transferors of the membership interests in the Subsidiary Holding Companies will make certain other representations and warranties, including a representation that each such transferor has not incurred any debt for borrowed money and has not incurred any liabilities other than liabilities arising in connection with its ownership of its assets and the custodial arrangements related to such ownership, it is possible that the Subsidiary Holding Companies could be subject to material liabilities arising from such activities or to other undisclosed liabilities. Although the Subsidiary Holding Companies will be prohibited from incurring any indebtedness (except as specified above), creditors of the Subsidiary Holding Companies, including those with claims based on liabilities of the Subsidiary Holding Companies arising prior to the transfer of ownership of the Subsidiary Holding Companies to the Issuer, would have a claim on the assets of the Subsidiary Holding Company that is senior to the right of the Issuer to receive distributions from the Subsidiary Holding Companies.

Pursuant to the Sale and Purchase Agreement, the Issuer will indemnify each of the Swap Counterparty and CFPI against any losses, claims, damages or liabilities to which the Swap Counterparty or CFPI, as the case may be, may become subject insofar as they arise out of or are based upon (a) any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) arising after the Closing Date that the Swap Counterparty or CFPI, as the case may be, is required to satisfy (and does so satisfy) by reason of the limited liability company agreement of the Subsidiary Holding Company of which the Swap Counterparty or CFPI, as the case may be, was, prior to the Closing Date, the sole member; provided that such indemnification shall be limited to those funding obligations that arise by reason of the relevant Subsidiary Holding Company's failure to satisfy such funding obligations, does not include any losses, claims, damages or liabilities that arise by reason by a breach by the Swap Counterparty or CFPI, as the case may be, of its support obligations under the limited liability company agreement of the Subsidiary Holding Company of which it was the sole member prior to the Closing Date and shall not apply to the funding of any Delayed Funding Loan or Revolving Loan that, at the time the Swap Counterparty or CFPI provided such funding, had an Unfunded Commitment of zero; and (b) "Expenses" as defined in the Sale and Purchase Agreement (and which does not include funding obligations) incurred by the Swap Counterparty or CFPI, as the case may be, due to its support obligations under the limited liability company agreement of the Subsidiary Holding Company of which it was the sole member prior to the Closing Date, that are incurred after the Closing Date, arise out of events occurring after the Closing Date and are associated with ownership by such Subsidiary Holding Company of a Collateral Debt Obligation that it owned prior to, and became part of the Collateral on, the Closing Date. Such indemnification shall be payable by the Issuer, in the case of the foregoing clause (a), solely from the Loan Funding Account and, in the case of the foregoing clause (b), as Administrative Expenses solely to the extent of available funds in accordance with the Priority of Payments. Each of the Swap Counterparty and CFPI will be a Secured Party to the extent of such indemnification.

Invesco, in its role as investment advisor for the Existing Issuer, initially selected the Collateral Debt Obligations included in the Collateral as of the Closing Date as reference loans to be included in a managed portfolio under the Existing Total Return Swap Transaction. Such Collateral Debt Obligations were not selected by the Collateral Manager to be held by the Issuer or the Subsidiary Holding Companies. Such Collateral Debt Obligations were selected before the Issuer was formed during different market conditions and for a capital structure and subject to investment restrictions significantly different from those that apply to the Issuer. If the Collateral Manager had been engaged by the Issuer to select such Collateral Debt Obligations for the Issuer based on its investment restrictions, the Collateral Manager is likely to have selected different Collateral Debt Obligations for inclusion in such portfolio. The Issuer and Noteholders will have exposure to the Collateral Debt Obligations on and after of the Closing Date. The Collateral Manager makes no representations or warranties regarding the appropriateness for the Issuer of the Collateral Debt Obligations acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date, given the Issuer's capital structure and investment restrictions

17. No Representations as to Securities. None of the Co-Issuers, the Initial Purchaser, the Placement Agent, the Collateral Manager, the Trustee or any Hedge Counterparty or any Affiliate thereof makes any representation as to the tax consequences to investors of the Exchange Transaction or to the ownership of the Collateral Debt Obligations generally and no purchaser of Notes may rely on any such party for a determination of the tax and other regulatory and legal consequences to such purchaser of ownership of the Collateral Debt Securities. Each purchaser of Notes, by its acceptance thereof, will be required to represent or will be deemed to have represented, as

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applicable, to the Co-Issuers, the Collateral Manager, the Initial Purchaser, any Hedge Counterparty and the Placement Agent, among other things, that such purchaser has consulted with its own financial, legal and tax advisors regarding investment in the Collateral Debt Securities as such purchaser has deemed necessary and that the investment by such purchaser, is permissible under applicable laws governing such purchase, and complies with applicable securities laws and other laws.

18. Market Value of Collateral Debt Obligations; Sale of Collateral Upon Default on the Notes. The Collateral Debt Obligations held by the Subsidiary Holding Companies were originally acquired by the Subsidiary Holding Companies to hedge the Swap Counterparty's obligations under the Existing Total Return Swap Transaction. Due to the fact that the market value of the Collateral Debt Obligations was less than a specified threshold under the Existing Total Return Swap Transaction, the Swap Counterparty recently delivered a termination notice to the Existing Issuer with respect to the Existing Total Return Swap Transaction. It is anticipated that, on the Closing Date, the market value of the Collateral Debt Obligations included in the Collateral will be less than the aggregate par value of the Collateral Debt Obligations. In addition, the market value of such Collateral Debt Obligations will generally fluctuate due to a variety of factors, including fluctuations in interest rate spreads, as described above under "—Nature of the Collateral Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risks". If an Event of Default occurs, there can be no assurance that the proceeds of any sale by the Trustee of Collateral Debt Obligations and other collateral securing the Co-Issued Notes will be sufficient to pay in full any amounts payable to the Trustee, the Class F Income Note Issuing and Paying Agent and all other expenses of the Co-Issuers (some of which amounts are payable in full prior to payments in respect of the Notes in the case of an Event of Default), the principal of and interest on the Co-Issued Notes and Class D Notes, and any distributions with respect to the Class E Notes and Class F Income Notes. If (x) an Event of Default (other than those specified under clause (i), clause (ii) or clause (viii) of "Legal Structure—The Indenture—Events of Default") has occurred and is continuing (or if the Final Maturity Date has occurred) any Hedge Counterparty, if any, and the Holders of at least 66-2/3% of the Aggregate Principal Amount of each Class of Co-Issued Notes (voting as separate Classes) or (y) if an Event of Default under clause (i), clause (ii) or clause (viii) of "Legal Structure—The Indenture—Events of Default" has occurred and is continuing, the Requisite Noteholders, may direct the Trustee to liquidate the Collateral. Otherwise, certain conditions set forth in the Indenture must be satisfied before the Trustee is permitted to sell Collateral Debt Obligations and other Collateral pledged as security for the Co-Issued Notes following an Event of Default. See "Legal Structure—The Indenture—Events of Default".

19. Stated Maturity Date, Average Life and Prepayment Considerations. The Stated Maturity Date of the Notes is the Payment Date occurring in October, 2020. The average life of each Class of Notes is expected to be shorter than the number of years until the Stated Maturity Date of such Class of Notes, and such average lives may vary due to various factors affecting the early retirement of Collateral Debt Obligations included in the Collateral, the timing and amount of sales of such Collateral Debt Obligations and the occurrence of Principal Prepayments, and tax redemptions and optional redemptions of the Notes. Retirement of the Collateral Debt Obligations included in the Collateral prior to their respective final maturities will depend, among other things, on the financial condition of the obligors and the respective characteristics of such Collateral Debt Obligations, including the existence and frequency of exercise of any optional or mandatory prepayment or sinking fund features, the prevailing level of interest rates, the prepayment price, the actual default rate and the actual amount collected on any Defaulted Obligations and the frequency of tender or exchange offers for such Collateral Debt Obligations. See "Security for the Co-Issued Notes—Changes in Composition of the Collateral Debt Obligations" and "Maturity and Prepayment Considerations".

20. Interest Rate Risk. The Co-Issued Notes and the Class D Notes will bear interest at rates based on LIBOR. The Indenture will permit the Issuer to acquire Collateral Debt Obligations that bear interest at fixed rates, provided that the Aggregate Principal Amount of such Collateral Debt Obligations may not exceed 2.0% of the Aggregate Collateral Balance (other than Deemed Floating Rate Collateral Debt Obligations and subject to certain limited exceptions). The Issuer is subject to interest rate risk to the extent of the mismatch between the floating rate at which interest accrues on the Co-Issued Notes and the Class D Notes and the fixed rate at which interest accrues on the Collateral Debt Obligations that bear interest at a fixed rate. In addition, Collateral Debt Obligations that bear interest based on a floating rate index, which may be any of LIBOR, the certificate of deposit rate, a prime rate or base rate (each as defined in the applicable loan agreement), or some other index, and which may reset daily (as most prime or base rate loans do) or offer the borrower a choice of one-, two-, three-, six-, nine-, or twelve-month

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interest periods, and may not have the same reset date or rate as the Co-Issued Notes and the Class D Notes. In addition, any payments of principal of or interest on Collateral Debt Obligations received during a Due Period will (except for certain circumstances specified in the Indenture) be invested in Eligible Investments maturing on or prior to the sooner of two days or one Business Day prior to the next Payment Date. There is no requirement that Eligible Investments bear interest at LIBOR, and the interest rates available for Eligible Investments are inherently uncertain. As a result, there may be timing and/or index mismatch between the Co-Issued Notes and the Class D Notes and the Collateral Debt Obligations that bear interest at a floating rate as the interest rate on such Collateral Debt Obligations may adjust more frequently or less frequently, on different dates and based on different indices than the interest rates on the Co-Issued Notes and the Class D Notes. As a result of such mismatches, an increase in the level of LIBOR could adversely affect the ability to make payments on the Notes. In addition, increases in prevailing market interest rates could adversely affect the market value of Collateral Debt Obligations that bear interest at a fixed rate.

To mitigate a portion of such interest rate mismatch, the Issuer may, at any time after the Closing Date,

enter into one or more Hedge Agreements with a Hedge Counterparty that satisfies the Hedge Counterparty Ratings Requirement including Deemed Floating Asset Hedge Agreements with respect to specific Collateral Debt Obligations. However, as of the date hereof, the Issuer does not intend to enter into any Hedge Agreement. Furthermore, if the Issuer were to enter into a Hedge Agreement, there could be no assurance that the Collateral Debt Obligations and Eligible Investments, together with any such Hedge Agreement, will in all circumstances generate sufficient Collateral Interest Collections to make timely payments of interest on the Co-Issued Notes or the Class D Notes. Moreover, the benefits of any Hedge Agreement may not be achieved in the event of the early termination of any Hedge Agreement, including termination upon the failure of the related Hedge Counterparty to perform its obligations thereunder. See "Security for the Co-Issued Notes—Hedge Agreements".

Subject to satisfaction of the Global Rating Agency Confirmation with respect to such reduction, the Issuer may reduce the notional amount of any Hedge Agreement. In the event of any such reduction, the related Hedge Counterparty or the Issuer may be required to make a termination payment in respect of such reduction to the other party. See "Security for the Co-Issued Notes—Hedge Agreement".

21. The Co-Issuers. The Issuer is a recently formed entity and has no prior operating history or prior business experience. The Issuer will have no significant assets other than its ownership interests in the Subsidiary Holding Companies, Collateral Debt Obligations that it holds directly, the Collection Account, the Custodial Account, the Hudson Canyon Distribution Account, the Interest Reserve Account, the Synthetic Letter of Credit Reserve Account, the Loan Funding Account, the Class D Reserve Account, the Payment Account, the Expense Account, the Synthetic Security Collateral Account (subject to the prior rights of each Synthetic Security Counterparty therein), the Synthetic Security Issuer Account, any Hedge Counterparty Collateral Account, the Eligible Investments, the Issuer's rights under the Collateral Management Agreement, the Collateral Administration Agreement and the Class F Income Note Issuing and Paying Agency Agreement and any other Collateral pledged by it under the Indenture. The Issuer will not engage in any business activity other than the issuance of the Ordinary Shares and the Notes as described herein, ownership of the Subsidiary Holding Companies, directly and indirectly, through the Subsidiary Holding Companies, acquiring, holding pledging and selling of Collateral Debt Obligations and Eligible Investments, owning 100% of the share capital of the Existing Issuer, the delivery of the Existing Securities to the Existing Issuer for cancellation, the liquidation of the Existing Issuer and other activities incidental to the foregoing. Cashflows derived from the Collateral will be the only source of funds available to make payments on the Notes. The Issuer is an exempted company organized under the laws of the Cayman Islands. Because the Issuer is a Cayman Islands company, it may not be possible for investors to enforce against the Issuer in U.S. courts judgments predicated upon the civil liability provisions of the U.S. securities laws.

The Co-Issuer is a newly formed entity and has no prior operating history or prior business experience. The Co-Issuer does not have and will not have any substantial assets. The activities of the Co-Issuer will be limited to (i) issuance of the Co-Issuer Common Stock, (ii) co-issuance of the Co-Issued Notes and (iii) other activities incidental to the foregoing and permitted by the Indenture.

22. The Subsidiary Holding Companies. The Subsidiary Holding Companies have been in existence since 2007. Prior to the Closing Date, 100% of the membership interests in the Subsidiary Holding Companies were at all times owned by CFPI and the Swap Counterparty. Following the Closing Date, 100% of the membership interests

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in the Subsidiary Holding Companies will be owned by the Issuer. The activities of the Subsidiary Holding Companies will be limited to: (i) acquiring, holding, pledging and selling interests in one or more loans, (ii) engaging in any activities necessary to acquire, hold, receive, exchange, pledge, sell and otherwise dispose of and otherwise deal in and exercise all rights, powers, privileges and all other incidents of ownership or possession with respect to its assets, (iii) entering into and performing its obligations under each transaction document to which it is a party (including guaranteeing the obligations of the Issuer pursuant to the Subsidiary Guarantee and giving collateral security for its obligations under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes) pursuant to a Subsidiary Pledge Agreement), (iv) engaging in any activities necessary to authorize, execute and deliver any other agreement, notice or document in connection with the activities described above, (v) activities necessary to permit the Issuer (or its designee) to direct dispositions, votes and other actions with respect to Collateral Debt Obligations owned by the relevant Subsidiary Holding Company and (vi) engaging in such other lawful acts or activities and exercising any powers permitted to limited liability companies organized under the laws of the State of Delaware; provided that notwithstanding anything to the contrary herein, the Subsidiary Holding Companies shall not engage in any activity other than acquiring, holding, pledging and selling, on behalf of the relevant member, Collateral Debt Obligations, unless directed by such member. Neither Subsidiary Holding Company will be an issuer of the Notes.

23. Dependence on Key Personnel of the Collateral Manager. The performance of the Issuer's portfolio will depend in part on the skills of the Collateral Manager in analyzing and managing the Collateral Debt Obligations. As a result, the Issuer will be highly dependent on the financial and managerial experience of the investment professionals employed by the Collateral Manager who are assigned to manage the Collateral Debt Obligations, none of whom is under any contractual obligation to the Issuer to continue to be associated with the Collateral Manager or to be involved in activities on behalf of the Issuer for the term of this transaction. The loss of one or more of these individuals could nonetheless have a material adverse effect on the performance of the Issuer and the Notes. Furthermore, these investment professionals may also be actively involved in other investment activities and may not be able to devote all of their time to the Issuer's business and affairs. In addition, the Collateral Manager may add additional employees to manage the Collateral Debt Obligations at any time. The additional employees added to manage the Collateral Debt Obligations may not have the same level of experience in servicing loans, securities and other investments as the persons they replace. See "The Collateral Management Agreement".

In addition, under certain circumstances, the Collateral Management Agreement could be terminated as described under "The Collateral Management Agreement". In such case, there can be no assurance as to the nature of any subsequent managing of the Collateral Debt Obligations.

24. Potential Conflicts of Interest. The activities of the Collateral Manager, the Initial Purchaser, the Placement Agent and their respective Affiliates may result in certain conflicts of interest.

Conflicts Involving the Collateral Manager. Various potential and actual conflicts of interest may arise from the overall advisory, investment and other activities of the Collateral Manager and any of its Affiliates and their respective clients. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. The Collateral Manager is entitled to fees equal to the Senior Collateral Management Fee, the Subordinated Collateral Management Fee and the Incentive Collateral Management Fee, as further described herein, in each case subject to limitations set forth in the definitions thereof. These fees may create incentives for the Collateral Manager to make decisions that may conflict with the interests of the Noteholders. The Issuer is not the Collateral Manager's exclusive client. The Collateral Manager has, and in the future will have, Affiliates and other clients, including certain vehicles which invest, directly or indirectly, in the securities or financial instruments of issuers that are the same or similar to the obligors on the Collateral Debt Obligations included in the Collateral or that would be appropriate for inclusion in the Collateral. The Collateral Manager and its principals, officers and employees will conduct businesses other than that with respect to the Issuer, including providing investment management and advisory services to such Affiliates and other clients. The Collateral 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 the Holders of the Notes or the Issuer. These fees can relate to actual, contemplated or potential obligors on Collateral Debt Obligations or Collateral Debt Obligations included in the Collateral and may be payable by current or contemplated obligors on Collateral Debt Obligations. Although the principals, officers and employees of the Collateral Manager will devote as much time to

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the Issuer as the Collateral Manager deems appropriate to accomplish the objectives of the transaction, the principals, officers and employees of the Collateral Manager may have conflicts allocating their time and services among the Issuer and the Affiliates and other clients of the Collateral Manager.

The Collateral Manager or one of its Affiliates is expected to acquire approximately U.S.$1,960,000 of the Class F Income Notes on the Closing Date and may from time to time purchase other Notes of any Class although it will be under no obligation to do so. The Collateral Manager and its Affiliates are not required to own or hold any Notes and may sell any Notes held by them at any time. Even if the Collateral Manager or an Affiliate thereof holds Notes, there can be no assurance that these entities' interests will be aligned with the other Holders of Notes. In particular, if at any time any Class F Income Notes are owned by the Collateral Manager or an Affiliate of the Collateral Manager, the Collateral Manager may face conflicts between the interest of the Holders of the other Classes of Notes on the one hand and the interest of the holders of the Class F Income Notes on the other when making a decision to dispose of a Collateral Debt Obligation. Neither the Collateral Manager nor its Affiliates will be under any obligation to purchase any of the Notes for its own account or for any account for which it serves as investment adviser.

The Collateral Manager and its Affiliates will generally be entitled to vote the Notes held by them or by any account for which the Collateral Manager or an Affiliate of the Collateral Manager acts as investment adviser (and for which the Collateral Manager or such Affiliate has discretionary authority) with respect to any matters arising under the Collateral Management Agreement or the Indenture, except any matter relating to the actual or potential removal of the Collateral Manager. The manner in which the Collateral Manager votes such Notes could be different than the manner in which other Holders of Notes vote, and in certain instances could prevent the action that is the subject of such vote.

The Collateral Manager and its Affiliates may acquire, for their own account or for other accounts for which they have investment discretion, obligations or securities that may be included in the Collateral. The Collateral Manager and its Affiliates and clients may also have equity and other investments in and may be lenders to, and may have other ongoing relationships with, the obligors on the Collateral Debt Obligations. In addition, Affiliates and clients of the Collateral Manager may invest in securities (or make loans) that are included among, pari passu with or senior to Collateral Debt Obligations included in the Collateral, or have interests different from or adverse to those of the Issuer with respect to Collateral Debt Obligations included in the Collateral. The Collateral Manager and its Affiliates may at certain times be simultaneously directing the acquisition or disposition of a Collateral Debt Obligation into or from the Collateral and arranging for other similar entities for which it serves as investment adviser, or for its clients or Affiliates, to purchase or dispose of the same Collateral Debt Obligation, as applicable. Subject to the requirements of the applicable agreements pertaining to the Collateral Manager or its Affiliates, investment opportunities sourced by the Collateral Manager will generally be allocated to the Issuer in a manner that the Collateral Manager deems appropriate, taking into account the limitations of the Issuer and the Collateral Manager and the capacity the Issuer and the Collateral Manager or its Affiliates have available for such investment. The Collateral Manager intends to allocate such investments to its investment vehicles and accounts in an equitable manner based upon, among other things, the respective investment objectives and the liquidity, diversification, covenant and other investment limitations applicable to the Issuer and such other investment vehicles and accounts. In addition, the Collateral Manager will purchase or dispose of all Collateral Debt Obligations on terms prevailing in the market.

In connection with the selection of Eligible Investments and the acquisition and disposition of Collateral Debt Obligations, neither the Collateral Manager nor any of its Affiliates is under any obligation (affirmative or otherwise) to offer investment opportunities of which it becomes aware to the Issuer or to account to the Issuer for (or share with the Issuer or inform the Issuer of) any such opportunity or any benefit received by it from any such opportunity before offering any investments to other funds or accounts that the Collateral Manager and/or its Affiliates manage or advise or before engaging in any investments for themselves. Furthermore, the Collateral Manager and/or any of its Affiliates may make an investment on behalf of any account it manages, advises or services without offering the opportunity to add such investment, or adding such investment, to the Collateral. Affirmative obligations may exist or may arise in the future, whereby the Collateral Manager and/or any of its Affiliates is obligated to offer certain investments to funds or accounts that it manages, advises or services before or without offering those investment opportunities to the Issuer. The Collateral Manager will endeavor to resolve

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conflicts with respect to investment opportunities in a manner which it deems equitable to the extent possible under the prevailing facts and circumstances and subject to applicable law.

The Collateral Manager or any of its Affiliates, employees or associates may engage in other businesses and furnish investment management, advisory and other types of services to its affiliates and other clients, including the Issuer, the Trustee, the Holders or any of their respective Affiliates, whose investment policies differ from, or are the same as, those followed by the Collateral Manager with respect to the Issuer. The Collateral Manager and its Affiliates may manage other funds and accounts that invest (directly or synthetically) in assets similar to Collateral Debt Obligations in the Collateral. Without prejudice to the generality of the foregoing, the Collateral Manager, its Affiliates and the directors, officers, employees and agents of the Collateral Manager and its Affiliates may, among other things: (i) serve as directors, partners, officers, employees, agents, nominees or signatories for the Issuer or any Affiliate thereof or any issuer of securities or obligor on obligations included in the Collateral or any Affiliate thereof; (ii) receive fees for services rendered to the issuer of any securities or obligor on any obligations included in the Collateral, or their respective Affiliates; (iii) be retained to provide services to the Issuer, the Subsidiary Holding Companies, the Trustee, the issuer or obligor of any obligation included in the Collateral or owned by the Issuer (directly or indirectly), or their respective Affiliates that are unrelated to the Collateral Management Agreement, and be paid therefor; (iv) be a secured or unsecured creditor of, or hold an equity interest in, the Issuer, its Affiliates or an issuer of any security or obligor on any obligation included in the Collateral; (v) serve as a member of any "creditors' board" with respect to any security or obligation included in the Collateral or any obligor thereon and (vi) maintain other relationships with any issuer of or obligor on any Collateral Debt Obligation or any of its Affiliates that, in the reasonable opinion of the Collateral Manager, will not have a material adverse effect on the Collateral or the Issuer.

In the course of managing the Issuer, the Collateral Manager may consider its relationships with other clients (including obligors of a Collateral Debt Obligation) and their Affiliates. In providing services to other clients, the Collateral Manager and its Affiliates may recommend activities that would compete with or otherwise adversely affect the Issuer and the Holders of the Notes. In connection with the foregoing activities, the Collateral Manager and its Affiliates may from time to time come into possession of information that limits the ability of the Collateral Manager to manage the Collateral, and its ability to perform some of its duties as Collateral Manager may be constrained as a consequence of its inability to use such information for advisory purposes or otherwise to take actions that would be in the best interest of the Issuer and the Holders of the Notes.

The Collateral Manager and any of its Affiliates may engage in any other business and furnish collateral servicing, investment management and advisory services to any other person, including without limitation, serving as collateral manager or investment manager for other investment accounts and other collateralized debt obligation vehicles (including, without limitation, collateralized loan obligation vehicles, collateralized bond obligation vehicles and synthetic collateralized debt obligation vehicles). The Collateral Manager will be free, in its sole discretion, to make recommendations to others, or effect transactions on behalf of itself or for others, that may be the same as or different from those effected on behalf of the Issuer, and the Collateral Manager may furnish collateral servicing, investment management and advisory services to others that may have investment policies similar to those followed by the Collateral Manager with respect to the Issuer and that may own securities of the same class, or that are the same type, as the Collateral Debt Obligations included in the Collateral.

Unless the Collateral Manager determines in its reasonable judgment that the acquisition or disposition of a Collateral Debt Obligation included in the Collateral is on terms and conditions no less favorable then would be obtained on an arm's length basis between third parties unaffiliated with each other, or the Issuer otherwise consents, the Collateral Manager shall refrain from directing transactions pursuant to the Collateral Management Agreement in (or referenced to) securities issued by (i) persons of which the Collateral Manager, its Affiliates or any of its or their officers, directors or employees are directors or officers, (ii) persons for which the Collateral Manager or its Affiliates act as financial adviser or underwriter or (iii) persons with which the Collateral Manager or any of its Affiliates otherwise maintains a client relationship. Furthermore, the Collateral Manager may refrain from directing the acquisition or disposition of Collateral Debt Obligations about which the Collateral Manager or any of its Affiliates have information that the Collateral Manager deems confidential or non-public or that otherwise might prohibit it from trading (or referencing) such securities in accordance with applicable law. The Collateral Manager shall not be obligated to utilize any particular investment opportunity or strategy that may arise with respect to the Collateral.

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In addition, the Collateral Manager and its Affiliates may, in connection with their activities on behalf of other clients, acquire confidential information concerning the Collateral Debt Obligations included in the Collateral (or obligors thereon) which information the Collateral Manager may be prohibited from using for the benefit of the Issuer.

The Collateral Management Agreement and the Indenture place significant restrictions and limitations on the Collateral Manager's ability to acquire Collateral Debt Obligations on behalf of the Issuer or dispose of Collateral Debt Obligations from the Collateral (for example, the Collateral Manager may only sell Defaulted Obligations, Equity Securities, Credit Risk Obligations, Credit Improved Obligations and, during the Reinvestment Period, other Collateral Debt Obligations provided that the conditions set forth in the definition of "Discretionary Sale" and as described in "Security for the Co-Issued Notes—Sale of Collateral Debt Obligations" are satisfied). Accordingly, during certain periods or in certain circumstances, the Collateral Manager may be unable as a result of such restrictions and limitations to direct the sale of Collateral Debt Obligations, to acquire substitute Collateral Debt Obligations or to take other actions that it might consider to be in the best interests of the Issuer and the Holders of the Notes.

Conflicts Involving the Initial Purchaser and the Placement Agent. Certain of the Collateral Debt Obligations included in the Collateral are obligations of issuers or obligors for which the Initial Purchaser, the Placement Agent or any Affiliate thereof has acted as structuring or syndication agent, manager, underwriter, agent, placement agent or principal or of which the Initial Purchaser, the Placement Agent or any Affiliate thereof is an equity owner or with which the Initial Purchaser, the Placement Agent or any of their respective Affiliates has other business relationships. On the Closing Date, the Issuer will apply the net proceeds from the offering of the Co-Issued Notes to make a payment to the Swap Counterparty and CFPI in exchange for receipt of the membership interests in the Subsidiary Holding Companies. The Swap Counterparty will apply the payment so received from the Issuer to the amount required to settle the Existing Issuer's obligations under the Existing Total Return Swap Transaction with the Swap Counterparty, which is an Affiliate of the Initial Purchaser and the Placement Agent. See "—Acquisition of Collateral Debt Obligations". Such obligations will include payments required to be made to the Swap Counterparty in respect of the depreciation in the value of the reference loans under the Existing Total Return Swap Transaction since the date the Existing Issuer entered into the respective transactions under the Existing Total Return Swap Transaction with respect to each such reference loan.

To the extent that the net depreciation in the value of the loans is greater than the collateral posted by the Existing Issuer, the Swap Counterparty would be unable to collect the amounts owed under the Existing Total Return Swap Transaction absent the issuance of the Notes and related transactions.

The Initial Purchaser, the Placement Agent or one or more of their respective Affiliates may also act as counterparty with respect to one or more Hedge Agreements, if any, and with respect to one or more Synthetic Securities.

The Initial Purchaser, the Placement Agent and their respective Affiliates are actively engaged in transactions in many of the same securities or loans in which the Issuer may invest. Such transactions may be different from those made on behalf of the Issuer or a Subsidiary Holding Company. Subject to applicable law, the Initial Purchaser, the Placement Agent and their respective Affiliates may purchase or sell the securities of, or otherwise invest in or finance or provide investment banking, advisory and other services to, companies in which the Issuer has an interest or to the Collateral Manager. The Initial Purchaser, the Placement Agent and their respective Affiliates may also have proprietary interests in, and may manage or advise other accounts or investment funds that have investment objectives similar or dissimilar to those of the Issuer and/or which engage in transactions in, the same types of securities as the Issuer. As a result, the Initial Purchaser, the Placement Agent and their respective Affiliates may possess information relating to obligors on or issuers of Collateral Debt Obligations included in the Collateral which is not known to the Collateral Manager. None of the Initial Purchaser, the Placement Agent or their respective Affiliates is under any obligation to share any investment opportunity, idea or strategy with the Collateral Manager or the Issuer. As a result, the Initial Purchaser, the Placement Agent and their respective Affiliates may compete with the Issuer for appropriate investment opportunities and will be under no duty or obligation to share such investment opportunities with the Issuer.

The Issuer also may invest in the securities of companies affiliated with the Initial Purchaser or the Placement Agent or in which the Initial Purchaser or the Placement Agent has an equity or participation interest.

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The purchase, holding and sale of such investments by the Issuer may enhance the profitability of the Initial Purchaser's or the Placement Agent's own investments in such companies.

Pursuant to the Sale and Purchase Agreement, the Issuer will indemnify each of the Swap Counterparty and CFPI against any losses, claims, damages or liabilities to which the Swap Counterparty or CFPI, as the case may be, may become subject insofar as they arise out of or are based upon (a) any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) arising after the Closing Date that the Swap Counterparty or CFPI, as the case may be, is required to satisfy (and does so satisfy) by reason of the limited liability company agreement of the Subsidiary Holding Company of which the Swap Counterparty or CFPI, as the case may be, was, prior to the Closing Date, the sole member; provided that such indemnification shall be limited to those funding obligations that arise by reason of the relevant Subsidiary Holding Company's failure to satisfy such funding obligations, does not include any losses, claims, damages or liabilities that arise by reason by a breach by the Swap Counterparty or CFPI, as the case may be, of its support obligations under the limited liability company agreement of the Subsidiary Holding Company of which it was the sole member prior to the Closing Date and shall not apply to the funding of any Delayed Funding Loan or Revolving Loan that, at the time the Swap Counterparty or CFPI provided such funding, had an Unfunded Commitment of zero; and (b) "Expenses" as defined in the Sale and Purchase Agreement (and which does not include funding obligations) incurred by the Swap Counterparty or CFPI, as the case may be, due to its support obligations under the limited liability company agreement of the Subsidiary Holding Company of which it was the sole member prior to the Closing Date, that are incurred after the Closing Date, arise out of events occurring after the Closing Date and are associated with ownership by such Subsidiary Holding Company of a Collateral Debt Obligation that it owned prior to, and became part of the Collateral on, the Closing Date. Such indemnification shall be payable by the Issuer, in the case of the foregoing clause (a), solely from the Loan Funding Account and, in the case of the foregoing clause (b), as Administrative Expenses solely to the extent of available funds in accordance with the Priority of Payments. Each of the Swap Counterparty and CFPI will be a Secured Party to the extent of such indemnification.

Conflicts Involving the Trustee. In certain circumstances, the Trustee or its Affiliates or both may receive compensation in connection with the Trustee's investment of trust assets in certain Eligible Investments.

Deemed Waiver. By purchasing a Note, each investor shall be deemed to have acknowledged the existence of the conflicts of interest inherent to this transaction, including as described above, and to have waived any claim with respect to any liability arising from the existence thereof.

25. Projections, Forecasts and Estimates. Any projections, forecasts and estimates contained herein are forward looking statements and are based upon certain assumptions that the Co-Issuers consider reasonable. Projections, forecasts and estimates are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the projections, forecasts and estimates will not materialize or will vary significantly from actual results and that such variations may be material or that some or all of such assumptions will be, given the occurrence of certain events, unreasonable.

You may have previously received a prospective investor presentation or other similar materials from the Initial Purchaser, the Placement Agent or the Collateral Manager. Such a presentation may have contained a summary of certain proposed terms of a hypothetical offering of Notes as contemplated at the time of preparation of such presentation in connection with preliminary discussions with potential investors in the Issuer. However, as indicated therein, no such presentation was an offering of securities for sale, and any offering is being made only pursuant to this Offering Circular. Given the foregoing, and the fact that information contained in any such presentation was preliminary in nature and has been superseded and is no longer accurate, neither any such presentation nor any information contained therein may be relied upon in connection with a prospective investment in the Notes.

Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, mismatches between the timing of accrual and receipt of Collateral Interest Collections and Collateral Principal Collections from the Collateral Debt Obligations, among others. Consequently, the inclusion of projections herein should not be regarded as a representation by the Issuer, the Co-Issuer, the Collateral Manager, the Trustee, the Class F Income Note Issuing and Paying Agent, any Hedge Counterparty, the Initial Purchaser, the Placement Agent, the Collateral

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Administrator or any of their respective Affiliates or any other Person of the results that will actually be achieved by the Issuer.

None of the Issuer, the Co-Issuer, the Collateral Manager, the Trustee, the Class F Income Note Issuing and Paying Agent, any Hedge Counterparty, the Initial Purchaser, the Placement Agent, the Collateral Administrator, any of their respective Affiliates and any other person has any obligation to update or otherwise revise any projections, forecasts or estimates, including any revisions to reflect changes in economic conditions or other circumstances arising after the Original Printing Date or to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition.

26. Taxes on the Issuer. The Issuer will be treated as a foreign corporation for U.S. federal income tax purposes. The Issuer expects to conduct its affairs so that its income generally will not be subject to tax on a net income basis in the United States or any other jurisdiction. The Issuer expects that payments received on the Collateral Debt Obligations and Eligible Investments generally will not be subject to withholding taxes imposed by the United States or other countries from which such payments are sourced. Payments on the Collateral Debt Obligations and Eligible Investments might become subject to U.S. or other tax due to a change in law or other causes. Payments with respect to any equity securities held by the Issuer likely will be subject to withholding taxes imposed by the United States or other countries from which such payments are sourced. In addition, certain payments on obligations or securities that include or support letters of credit are expected to be subject to withholding by the relevant agent bank. The imposition of withholding taxes or unanticipated tax on the Issuer's net income could materially impair the Issuer's ability to make payments on the Notes.

27. No Gross Up. The Issuer expects that payments on the Notes will ordinarily not be subject to any withholding tax in the Cayman Islands, the United States or any other jurisdiction. See "Income Tax Considerations". In the event that withholding or deduction of any taxes from payments on the Notes is required by law in any jurisdiction, neither of the Co-Issuers shall be under any obligation to make any additional payments to the Holders of the Notes in respect of such withholding or deduction.

28. Tax Treatment of Class C Notes, Class D Notes, Class E Notes and Class F Income Notes and the Exchange Transaction. Because the Issuer will be a passive foreign investment company, a U.S. person holding Class D Notes, Class E Notes and Class F Income Notes may be subject to additional taxes unless it elects to treat the Issuer as a qualified electing fund ("QEF") and to recognize currently its proportionate share of the Issuer's income. A U.S. Holder that makes a QEF election may recognize income in amounts significantly greater than the distributions received from the Issuer. The Issuer may also be a controlled foreign corporation, in which case certain U.S. persons holding Class D Notes, Class E Notes and Class F Income Notes could be subject to different tax treatments See "Income Tax Considerations".

The Issuer intends to treat the Co-Issued Notes, and the Indenture requires that the Noteholders agree to treat the Co-Issued Notes, as debt for U.S. federal, and to the extent permitted by law, state and local income and franchise tax purposes. The U.S. Internal Revenue Service may challenge the treatment of the Co-Issued Notes, particularly the Class C Notes, as debt of the Issuer. If such a challenge were successful, a U.S. Holder of the affected Co-Issued Notes would be treated like a holder of equity interests in the Issuer that had not elected to treat the Issuer as a qualified electing fund. See "Income Tax Considerations".

In respect of the Exchange Transaction, please see the discussion in "Income Tax Considerations—U.S. Tax Treatment of the Exchange Transaction".

29. Investment Company Act. The Co-Issuers have not registered with the Securities and Exchange Commission (the "SEC") as investment companies pursuant to the Investment Company Act. The Issuer has not so registered in reliance on an exception for investment companies organized under the laws of a jurisdiction other than the United States or any state thereof (a) whose investors resident in the United States are solely Qualified Purchasers and (b) which do not make a public offering of their securities in the United States. To enforce the restrictions on transfers of interests in the Notes, (1) the Indenture permits the Issuer to demand that the Holder of an interest in a Senior Note sell its interest therein if such Holder is a U.S. Person who is determined not to have been both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer at the time of acquisition of such Note to a Holder permitted under the Indenture, (2) the Class F Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that the Holder of Class F Income Notes sell its interest therein if such Holder is a U.S. Person

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who is determined not to have been both (x) a Qualified Purchaser and (y) either (i) a Qualified Institutional Buyer or (ii) an Accredited Investor at the time of acquisition of such Class F Income Notes and (3) the Indenture, in the case of the Senior Notes, and the Class F Income Note Issuing and Paying Agency Agreement, in the case of the Class F Income Notes, also permit the Issuer to demand that the Holder of an interest in a Regulation S Global Note sell its interest therein if such Holder is a U.S. Person or U.S. Resident, and in each case, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Note. Counsel for the Co-Issuers will opine, in connection with the sale of the Notes, that neither the Issuer nor the Co-Issuer is on the Closing Date an investment company required to be registered under the Investment Company Act assuming, for the purposes of such opinion, that the Notes are being offered in accordance with the terms of the Purchase Agreement and the Placement Agency Agreement and in the manner contemplated by this Offering Circular. No opinion or no action position has been requested of the SEC with respect to the foregoing matters.

If the SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required to register and failed to so register as an investment company under the Investment Company Act, possible consequences include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the violation (which would have the effect of ceasing the operations of the Issuer) and the SEC could cause the liquidation of the Issuer's holdings; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is party that is made in, or whose performance involves a, violation of the Investment Company Act would be unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement would produce a more equitable result than nonenforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer or the Co-Issuer, as the case may be, would be materially and adversely affected.

30. ERISA Considerations. See "Certain ERISA and Related Considerations" and "Purchase and Transfer Restrictions—Transfer Restrictions" herein for a discussion of certain ERISA and related considerations with respect to an investment in the Notes.

31. 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, as amended (the "PATRIOT Act") requires financial institutions to establish and maintain anti-money laundering programs. Pursuant to this statute, on September 18, 2002, the Treasury Department published proposed regulations that will, if enacted, require all "unregistered investment companies" to establish and maintain an anti-money laundering program. The proposed regulations would require "unregistered investment companies" to: (a) establish and implement policies, procedures and internal controls reasonably designed to prevent the investment company from being used for money laundering or the financing of terrorist activities and to achieve compliance with applicable anti-money laundering regulations; (b) periodically "test" the required compliance program; (c) designate and train all responsible personnel; (d) designate an anti-money laundering compliance officer; and (e) file a written notice with the Treasury Department within 90 days of the effective date of the regulations that identifies certain information regarding the subject company, including the dollar amount of assets under company management and the number of interest holders in the subject company. As the proposed rule is currently drafted, an "unregistered investment company" includes any issuer that (i) would be an investment company but for the exclusion from registration provided for by Section 3(c)(1) or 3(c)(7) of the Investment Company Act, (ii) permits an owner to redeem his or her ownership interest within two years of the purchase of that interest, (iii) has total assets over U.S.$1,000,000 and (iv) is organized in the United States, is "organized, operated, or sponsored" by a U.S. person or sells ownership interests to a U.S. person. The Issuer will continue to monitor the developments with respect to the PATRIOT Act and, upon further clarification by the Treasury Department, will take all steps required to comply with the PATRIOT Act and regulations thereunder to the extent applicable to the Issuer. It is possible that other legislation or regulation could be promulgated which will require the Collateral Manager or other service providers to the Co-Issuers to share information with governmental authorities with respect to investors in the Notes in connection with the establishment of anti-money laundering procedures or require the Issuer to implement additional restrictions on the transfer of the Notes.

The Issuer and the Administrator are also subject to anti-money laundering legislation in the Cayman Islands pursuant to the Proceeds of Criminal Conduct Law (as amended) (the "PCCL"). Pursuant to the PCCL the

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Cayman Islands government enacted The Money Laundering Regulations (as amended), which impose specific requirements with respect to the obligation "to know your client". Except in relation to certain categories of institutional investors, the Issuer will require a detailed verification of each investor's identity and the source of the payment used by such investor for purchasing the Notes in a manner similar to the obligations imposed under the laws of other major financial centers. In addition, if any person who is resident in the Cayman Islands knows or has a suspicion that a payment to the Issuer (by way of investment or otherwise) contains the proceeds of criminal conduct, that person must report such suspicion to the Cayman Islands authorities pursuant to the PCCL. If the Issuer were determined by the Cayman Islands government to be in violation of the PCCL or The Money Laundering Regulations (as amended), the Issuer could be subject to substantial criminal penalties. Such a violation could materially adversely affect the timing and amount of payments by the Issuer to the Holders of the Notes.

32. Certain Legal Investment Considerations. None of the Issuer, the Co-Issuer, the Collateral Manager, the Trustee, the Class F Income Note Issuing and Paying Agent, the Initial Purchaser and the Placement Agent make any representation as to the proper characterization of the Notes for legal investment or other purposes, as to the ability of particular investors to purchase Notes for legal investment or other purposes or as to the ability of particular investors to purchase Notes under applicable investment restrictions. All institutions the activities of which 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 Notes are subject to investment, capital or other restrictions. Without limiting the generality of the foregoing, none of the Issuer, the Co-Issuer, the Collateral Manager, the Trustee, the Class F Income Note Issuing and Paying Agent, the Initial Purchaser and the Placement Agent makes any representation as to the characterization of the Notes as a U.S.-domestic or foreign (non-U.S.) investment under any state insurance code or related regulations, and they are not aware of any published precedent that addresses such characterization. Although they are not making any such representation, the Co-Issuers understand that the New York State Insurance Department, in response to a request for guidance, has been considering the characterization (as U.S.-domestic or foreign (non-U.S.)) of certain collateralized debt obligation securities co-issued by a non-U.S. issuer and a U.S. co-issuer. There can be no assurance as to the nature of any advice or other action that may result from such consideration. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Notes) may affect the liquidity of the Notes.

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THE ISSUER AND THE CO-ISSUER

The Issuer

Hudson Canyon Funding II, Ltd. was incorporated as an exempted company with limited liability on March 5, 2008 in the Cayman Islands under the Companies Law (2007 Revision) with registered number WK-206069. The registered office of the Issuer is at the offices of Walkers SPV Limited, Walker House, 87 Mary Street, George Town, Grand Cayman, KY1-9001, Cayman Islands, telephone number +1 (345) 945-3727. Clause 3 of the Issuer's Memorandum of Association, which is expected to be amended and restated on or prior to the Closing Date, will set out the objectives of the Issuer, which include the business to be carried out by the Issuer in connection with the issuance of the Notes. The Issuer is a special purpose vehicle.

The Co-Issued Notes are obligations only of the Co-Issuers. The Notes (other than Co-Issued Notes) are obligations only of the Issuer. The Notes are not the obligations of the Trustee, the Collateral Administrator, the Collateral Manager, the Initial Purchaser, the Placement Agent, the Administrator, the Share Trustee or any of their respective Affiliates or any directors or officers of the Co-Issuers.

The authorized share capital of the Issuer consists of the aggregate of 250 voting Ordinary Shares, par value U.S.$1.00 per share.

Capitalization of the Issuer

The initial proposed capitalization and indebtedness of the Issuer as of the Closing Date after giving effect to the issuance of the Notes and the Issuer's Ordinary Shares (before deducting expenses of the issuance) is set forth below:

Amount Class A-1 Notes U.S.$291,000,000 Class A-2 Notes U.S.$10,000,000 Class B Notes U.S.$46,000,000 Class C Notes U.S.$5,000,000 Class D Notes U.S.$47,800,000 Class E Notes U.S.$31,300,000 Class F Income Notes U.S.$4,000,000

Total Debt U.S.$435,100,000 Ordinary Shares U.S.$250

Total Equity U.S.$250 Total Capitalization U.S.$435,100,250

Business

The Issuer has no prior operating history, prior business or employees. The activities of the Issuer will be limited to (i) issuing, paying and redeeming the Ordinary Shares and the Notes, (ii) acquiring and holding the sole membership interests in the Subsidiary Holding Companies, (iii) acquiring, directly or indirectly, through the Subsidiary Holding Companies, acquiring, holding, pledging and selling for its own account Collateral Debt Obligations and Eligible Investments, (iv) owning 100% of the capital stock of the Co-Issuer, (v) acquiring and holding 100% of the share capital of the Existing Issuer, (vi) delivering the Existing Securities to the Existing Issuer for cancellation, (vii) liquidating the Existing Issuer, (viii) entering into Hedge Agreements and (ix) other incidental activities. Neither the Issuer nor the Co-Issuer will have any subsidiaries other than, in the case of the Issuer, the Co-Issuer and each of the Subsidiary Holding Companies. Cash flow derived from the Collateral securing the Co-Issued Notes will be the only source of funds available to make payments in respect of the Notes. The Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture and described herein. The Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture. See "Security for the Co-Issued Notes".

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Exchange Transaction

On the Closing Date, each of the holders of the outstanding notes and preferred shares (the "Existing Securities") issued by Hudson Canyon Funding, Ltd., an exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Existing Issuer"), will transfer 100% of the Existing Securities owned by it to the Issuer in exchange for an equivalent principal amount of the Class D Notes, Class E Notes or Class F Income Notes (the "Exchange Transaction"). The Issuer will surrender the Existing Securities to the Existing Issuer for cancellation by the Existing Issuer as part of the consideration for the acquisition by the Issuer (indirectly through the Subsidiary Holding Companies) of Collateral Debt Obligations on the Closing Date and will issue the Class D Notes, Class E Notes and the Class F Income Notes to holders of the Existing Securities. In addition, the Issuer will pay to the Swap Counterparty and CFPI an amount equal to the net proceeds of the offering of the Notes (after payment of organizational expenses, the expenses of the issuance of the Notes and certain other deposits described herein) and the Existing Issuer will permit the Swap Counterparty to retain collateral having a value of approximately U.S.$81,000,000 that was previously posted by the Existing Issuer to the Swap Counterparty under the Existing Total Return Swap Transaction. The terms of this Exchange Transaction will be evidenced by an exchange and consent solicitation and an acceptance of the terms thereof by each holder of Existing Securities.

In connection with the consummation of the Exchange Transaction, (a) each party entitled to receive amounts payable from the Hudson Canyon Distribution Account will agree with the Issuer that (i) any such amounts will constitute limited recourse obligations of the Issuer, payable solely from the amounts available to be paid from the Hudson Canyon Distribution Account in accordance with the Indenture and (ii) such party shall not cause the filing of a petition in bankruptcy against the Issuer for the nonpayment of any amounts payable from the Hudson Canyon Distribution Account until at least one year and one day (or any longer applicable preference period then in effect plus one day) after the payment in full of all principal of and interest on, the Senior Notes (or, in the case of the Class E Notes, the Class E Recovery Amount) or, in the case of the holders of the Existing Securities, shall not cause the filing of a petition in bankruptcy against the Issuer, the Co-Issuer or either Subsidiary Holding Company until at least one year and one day (or any longer applicable preference period then in effect plus one day) has elapsed since the payment in full of each more Senior Class of Senior Notes; (b) each party entitled to receive such amounts will acknowledge that it has no rights against either Subsidiary Holding Company; (c) the Existing Total Return Swap Transaction will be terminated by agreement (the "Swap Termination Agreement") without cost to the Existing Issuer, the Issuer or the Swap Counterparty except for (i) payment obligations of the Swap Counterparty in relation to amounts to be deposited into the Hudson Canyon Distribution Account and (ii) the payment and delivery obligations of the Issuer and the Existing Issuer under the Sale and Purchase Agreement and the Swap Termination Agreement; (d) the indenture, preferred share paying and transfer agency agreement and investment advisory agreement previously entered into by the Existing Issuer will be discharged and terminated without further payment obligations except for amounts payable from the Hudson Canyon Distribution Account as described above; and (e) the Existing Securities will be cancelled after surrender to the Existing Issuer or its agent.

Administration

Walkers SPV Limited, a licensed trust company incorporated in the Cayman Islands, will act as the Administrator of the Issuer. Pursuant to the terms of an agreement (the "Administration Agreement"), dated on or about the Closing Date, by and between the Administrator and the Issuer, the Administrator will perform various management functions on behalf of the Issuer, 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 Administrator will receive various fees and other charges payable by the Issuer at rates agreed upon from time to time plus expenses.

The Administrator will be subject to the overview of the Issuer's Board of Directors. The Administration Agreement may be terminated by either the Issuer or the Administrator upon three months written notice to the other, in which case a replacement Administrator will be appointed.

The Administrator's principal office is Walker House, 87 Mary Street, George Town, Grand Cayman, KY1-9001, Cayman Islands.

All of the Issuer's Ordinary Shares are legally owned by Walkers SPV Limited (acting in such capacity, the "Share Trustee"), to be held under the terms of a Declaration of Trust under which the Share Trustee will hold such

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shares on charitable trust. Under the terms of such Declaration of Trust, the Share Trustee will, among other things, generally agree not to dispose of or otherwise deal with such Ordinary Shares. The Share Trustee will have no beneficial interest in and derive no benefit other than its fees from its holding of the Ordinary Shares.

Directors and Officers

The Directors of the Issuer, as of the Closing Date, are Rachael Rankin and Alasdair Foster, each of whom is a director, officer and/or employee of the Administrator. They may be contacted at the address of the Administrator.

The Co-Issuer

Hudson Canyon Funding II, Inc. was incorporated on March 7, 2008 under the laws of the State of Delaware with the registered number 4415450. The registered office of the Co-Issuer is at c/o Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone number 302-738-6680. The Co-Issuer will not have any substantial assets and will not pledge any assets to secure the Co-Issued Notes. Article THIRD of the Co-Issuer's Certificate of Incorporation sets out the objectives of the Co-Issuer, which include the business to be carried out by the Co-Issuer in connection with the issuance of the Co-Issued Notes. The Co-Issuer is a special purpose vehicle.

The Co-Issuer's authorized capital consists of 250 shares of common stock, U.S.$1.00 par value per share (the "Co-Issuer Common Stock"), all of which has been issued. The Co-Issuer is capitalized only to the extent of its Co-Issuer Common Stock, has no assets other than its equity capital and will have no debt other than as co-issuer of the Co-Issued Notes. None of the Class D Notes, Class E Notes or Class F Income Notes will be co-issued by the Co-Issuer.

The Co-Issuer has no prior operating history, prior business or employees. The activities of the Co-Issuer will be limited to (i) issuance of the Co-Issuer Common Stock, (ii) co-issuance of the Co-Issued Notes and (iii) other activities incidental to the foregoing and permitted by the Indenture. The Co-Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture and described herein. The Co-Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture.

The Director of the Co-Issuer is Donald Puglisi. Donald Puglisi may be contacted at the address of the Co-Issuer.

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THE SUBSIDIARY HOLDING COMPANIES

Hudson Canyon Funding II Subsidiary Holding Company I, LLC ("LLC1") was formed on April 30, 2007 under the laws of the State of Delaware with the registered number 4343585 under the name of Hudson Canyon CFPI Loan Funding LLC. The registered office of LLC1 is at Corporation Service Company, 2711 Centerville Road, Suite 400, in the City of Wilmington, County of New Castle, Delaware 19808, telephone number +1 800-927-9800.

LLC1 will be capitalized only to the extent of its U.S. $100 membership interest. Prior to the Closing Date, 100% of the membership interests in LLC1 were at all times owned by CFPI. Following the Closing Date, 100% of the membership interests in LLC1 will be owned by the Issuer.

LLC1 has not incurred any debt for borrowed money and has not incurred any liabilities other than liabilities arising in connection with its ownership of its assets and the custodial arrangements related to such ownership.

After the Closing Date, the Issuer, as sole member of LLC1, will have the sole right to manage LLC1's activities. The activities of LLC1 will be limited to: (i) acquiring, holding, pledging and selling interests in one or more loans, (ii) engaging in any activities necessary to acquire, hold, pledge, sell, receive, exchange and otherwise dispose of and otherwise deal in and exercise all rights, powers, privileges and all other incidents of ownership or possession with respect to its assets, (iii) entering into and performing its obligations under each transaction document to which it is a party (including guaranteeing the obligations of the Issuer pursuant to the Subsidiary Guarantee and giving collateral security for its obligations under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes) pursuant to a Subsidiary Pledge Agreement), (iv) engaging in any activities necessary to authorize, execute and deliver any other agreement, notice or document in connection with the activities described above, (v) activities necessary to permit the Issuer (or its designee) to direct dispositions, votes and other actions with respect to Collateral Debt Obligations owned by LLC1 and (vi) engaging in such other lawful acts or activities and exercising any powers permitted to limited liability companies organized under the laws of the State of Delaware; provided that notwithstanding anything to the contrary herein, LLC1 shall not engage in any activity other than acquiring, holding, pledging and selling, on behalf of its member, Collateral Debt Obligations, unless directed by such member. LLC1 will not be an issuer of the Notes. LLC1 is a special purpose vehicle.

The Independent Manager of LLC1 is Donald J. Puglisi. Mr. Puglisi may be contacted at Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone number +1 302-738-6680.

Hudson Canyon Funding II Subsidiary Holding Company II, LLC ("LLC2") was formed on April 30, 2007 under the laws of the State of Delaware with the registered number 4343602 under the name of Hudson Canyon CBNA Loan Funding LLC. The registered office of LLC2 is at Corporation Service Company, 2711 Centerville Road, Suite 400, in the City of Wilmington, County of New Castle, Delaware 19808, telephone number +1 800-927-9800.

LLC2 will be capitalized only to the extent of its U.S. $100 membership interest. Prior to the Closing Date, 100% of the membership interests in LLC2 were at all times owned by the Swap Counterparty. Following the Closing Date, 100% of the membership interests in LLC2 will be owned by the Issuer.

LLC2 has not incurred any debt for borrowed money and has not incurred any liabilities other than liabilities arising in connection with its ownership of its assets and the custodial arrangements related to such ownership.

After the Closing Date, the Issuer, as sole member of LLC2, will have the sole right to manage LLC2's activities. The activities of LLC2 will be limited to (i) acquiring, holding, pledging and selling interests in one or more loans, (ii) engaging in any activities necessary to acquire, hold, pledge, sell, receive, exchange and otherwise dispose of and otherwise deal in and exercise all rights, powers, privileges and all other incidents of ownership or possession with respect to its assets, (iii) entering into and performing its obligations under each transaction

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document to which it is a party (including guaranteeing the obligations of the Issuer pursuant to the Subsidiary Guarantee and giving collateral security for its obligations under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes) pursuant to a Subsidiary Pledge Agreement), (iv) engaging in any activities necessary to authorize, execute and deliver any other agreement, notice or document in connection with the activities described above, (v) activities necessary to permit the Issuer (or its designee) to direct dispositions, votes and other actions with respect to Collateral Debt Obligations owned by LLC2 and (vi) engaging in such other lawful acts or activities and exercising any powers permitted to limited liability companies organized under the laws of the State of Delaware; provided that notwithstanding anything to the contrary herein, LLC2 shall not engage in any activity other than acquiring, holding, pledging and selling, on behalf of its member, Collateral Debt Obligations, unless directed by such member. LLC2 will not be an issuer of the Notes. LLC2 is a special purpose vehicle.

The Independent Manager of LLC2 is Donald J. Puglisi. Mr. Puglisi may be contacted at Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone number +1 302-738-6680.

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DESCRIPTION OF THE NOTES

Definitions of certain defined terms used below are set forth in the Glossary attached as Annex A hereto, and an index of certain defined terms used herein is attached as Annex B hereto.

The Senior Notes will be issued pursuant to an indenture, to be dated as of the Closing Date, by and among the Issuer, the Co-Issuer and LaSalle Bank National Association, as Trustee (the "Indenture"). The Class F Income Notes will be issued pursuant to an income note issuing and paying agency agreement, to be dated as of the Closing Date between the Issuer and LaSalle Bank National Association, as Class F Income Note Issuing and Paying Agent (the "Class F Income Note Issuing and Paying Agency Agreement"). The following summaries generally describe certain provisions of the Notes, the Indenture and the Class F Income Note Issuing and Paying Agency Agreement. The summaries do not purport to be complete and are subject to, and are qualified in their entirety by reference to, the provisions of the Notes, the Indenture and the Class F Income Note Issuing and Paying Agency Agreement. Copies of the Indenture and the Class F Income Note Issuing and Paying Agency Agreement may be obtained by Noteholders upon written request to the Trustee at its Corporate Trust Office.

The Indenture limits the amount of Senior Notes permitted to be issued thereunder on the Closing Date to the Class A-1 First Priority Senior Secured Floating Rate Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$291,000,000, the Class A-2 Second Priority Senior Secured Floating Rate Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$10,000,000, the Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$46,000,000, the Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$5,000,000, the Class D Fifth Priority Junior Floating Rate Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$47,800,000 and Class E Sixth Priority Junior Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$31,300,000.

The Class F Income Note Issuing and Paying Agency Agreement limits the amount of Class F Income Notes permitted to be issued thereunder on the Closing Date to the Class F Income Notes due October 27, 2020 in the Aggregate Principal Amount of U.S.$4,000,000.

All Notes will be issued on the Closing Date.

Each Class of Notes is entitled to receive payments pari passu among the Notes of such Class. All distributions will be made in cash.

The Co-Issued Notes

Interest on the Co-Issued Notes

Subject to the availability of funds and to the Priority of Payments, each Class of Co-Issued Notes will provide for the payment of Periodic Interest thereon on January 27, April 27, July 27 and October 27 of each year (or, if such day is not a Business Day, then the next succeeding Business Day) (each such date, a "Payment Date"), beginning on the Payment Date in October, 2008 (the "Initial Payment Date") and continuing through the Final Maturity Date for such Class. Each payment of Periodic Interest on each Payment Date with respect to each Class of Co-Issued Notes will be in an amount (the "Periodic Interest Amount") equal to the aggregate amount of interest accrued at the Applicable Periodic Rate during the related Periodic Interest Accrual Period on the sum of (i) the Aggregate Principal Amount of such Class, plus (ii) any Defaulted Interest or Cumulative Periodic Rate Shortfall Amount for such Class, in each case as of the first day of such Periodic Interest Accrual Period (after giving effect to any payment of principal, Defaulted Interest or Cumulative Periodic Rate Shortfall Amount of such Class on such first day, if applicable).

The Class A-1 Notes will bear interest at a per annum rate equal to LIBOR plus 1.05%. The Class A-1 Notes will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for the Class A-1 Notes.

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The Class A-2 Notes will bear interest at a per annum rate equal to LIBOR plus 1.90%. The Class A-2 Notes will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for the Class A-2 Notes. The Class A-2 Notes are subordinated to the Class A-1 Notes in right of payment of interest to the extent and in the manner set forth in the Priority of Payments. As described herein under "—Priority of Payments", no interest will be payable in respect of the Class A-2 Notes on any Payment Date unless the full amount of Periodic Interest due in respect of the Class A-1 Notes has been paid on such Payment Date.

The Class B Notes will bear interest at a per annum rate equal to LIBOR plus 2.00%. The Class B Notes will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for the Class B Notes. The Class B Notes are subordinated to the Class A-1 Notes and the Class A-2 Notes in right of payment of interest to the extent and in the manner set forth in the Priority of Payments. As described herein under "—Priority of Payments", no interest will be payable in respect of the Class B Notes on any Payment Date unless the full amount of Periodic Interest due in respect of the Class A-1 Notes and the Class A-2 Notes has been paid on such Payment Date.

The Class C Notes will bear interest at a per annum rate equal to LIBOR plus 4.00%. The Class C Notes will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for the Class C Notes. The Class C Notes are subordinated to the Class A-1 Notes, the Class A-2 Notes and the Class B Notes in right of payment of interest to the extent and in the manner set forth in the Priority of Payments. As described herein under "—Priority of Payments", no interest will be payable in respect of the Class C Notes on any Payment Date unless the full amount of Periodic Interest due in respect of the Class A-1 Notes, the Class A-2 Notes and the Class B Notes have been paid on such Payment Date.

Interest on the Co-Issued Notes will be calculated on the basis of a 360-day year and the actual number of days in a Periodic Interest Accrual Period. If any Payment Date or the Stated Maturity Date of the Co-Issued Notes falls on a day that is not a Business Day, such Payment Date or Stated Maturity Date will be the next Business Day. Additional interest will accrue on the Co-Issued Notes for any additional days that payment is delayed as a result.

To the extent lawful and enforceable, interest on any Defaulted Interest on any Co-Issued Notes will accrue at the interest rate applicable to such Co-Issued Notes until paid. "Defaulted Interest" means any interest due and payable in respect of any Class A-1 Note or Class A-2 Note (and at any time when no Class A Notes remain Outstanding, the Class B Notes, and at any time when no Class B Notes remain Outstanding, the Class C Notes) which is not punctually paid in accordance with the Priority of Payments on the applicable Payment Date or on the Stated Maturity Date.

So long as any Class A-1 Notes or Class A-2 Notes are Outstanding, to the extent Periodic Interest for any Periodic Interest Accrual Period is not available to be paid on the related Payment Date for the Class B Notes pursuant to the Priority of Payments, the amount of such shortfall will not be payable as Periodic Interest on that Payment Date or any subsequent Payment Date but will be added to the Class B Cumulative Periodic Rate Shortfall Amount and no Event of Default will result. The Class B Cumulative Periodic Rate Shortfall Amount as of any Payment Date will accrue interest for subsequent Periodic Interest Accrual Periods at the Applicable Periodic Rate for the Class B Notes. So long as any Class A-1 Notes, Class A-2 Notes or Class B Notes are Outstanding, to the extent Periodic Interest for any Periodic Interest Accrual Period is not available to be paid on the related Payment Date for the Class C Notes pursuant to the Priority of Payments, the amount of such shortfall will not be payable as Periodic Interest on that Payment Date or any subsequent Payment Date but will be added to the Class C Cumulative Periodic Rate Shortfall Amount and no Event of Default will result. The Class C Cumulative Periodic Rate Shortfall Amount as of any Payment Date will accrue interest for subsequent Periodic Interest Accrual Periods at the Applicable Periodic Rate for the Class C Notes.

Determination of LIBOR

For the purposes of determining the Applicable Periodic Rate for the Co-Issued Notes and the Class D Notes, the Co-Issuers will initially appoint the Trustee as calculation agent (the "Calculation Agent"). For each Periodic Interest Accrual Period, "LIBOR" will be determined by the Calculation Agent for U.S. dollar deposits (and in each case rounded to the nearest 0.00001%) in accordance with the following provisions:

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(i) On the second Business Day (provided that, on such day commercial banks are open for business (including dealings in foreign currency deposits) in London (a "LIBOR Banking Day"), and otherwise on the next preceding Business Day that is also a LIBOR Banking Day) prior to the commencement of such Periodic Interest Accrual Period (each such day, a "LIBOR Determination Date"), LIBOR will equal the rate, as obtained by the Calculation Agent by reference to Bloomberg Financial Markets Commodities News, for three-month U.S. dollar deposits in Europe which appears on Reuters Screen LIBOR01 (as defined in the International Swaps and Derivatives Association, Inc. 2006 Definitions) as reported on Bloomberg Financial Market Commodities News or such other page as may replace such Reuters Screen LIBOR01, as of 11:00 a.m. (London time) on such LIBOR Determination Date.

(ii) If, on any LIBOR Determination Date, such rate does not appear on Reuters Screen LIBOR01 as reported on Bloomberg Financial Market Commodities News or such other page as may replace such Reuters Screen LIBOR01, the Calculation Agent will determine the arithmetic mean of the offered quotations of the Reference Banks to leading banks in the London interbank market for three-month U.S. dollar deposits in Europe in an amount determined by the Calculation Agent by reference to requests for quotations as of approximately 11:00 a.m. (London time) on the LIBOR Determination Date made by the Calculation Agent to the Reference Banks. If, on such LIBOR Determination Date, at least two of the Reference Banks provide such quotations, LIBOR for the immediately following Periodic Interest Accrual Period will equal the arithmetic mean of such quotations. If, on such LIBOR Determination Date, only one or none of the Reference Banks provides such a quotation, LIBOR for the immediately following Periodic Interest Accrual Period will be deemed to be the arithmetic mean of the offered quotations that one or more leading banks in The City of New York selected by the Calculation Agent (after consultation with the Collateral Manager) are quoting on the relevant LIBOR Determination Date for three-month U.S. dollar deposits in Europe in an amount determined by the Calculation Agent that is representative of a single transaction in such market at such time by reference to the principal London offices of leading banks in the London interbank market; provided, however, that if the Calculation Agent is required but is unable to determine a rate in accordance with at least one of the procedures provided above, LIBOR for the immediately following Periodic Interest Accrual Period will be LIBOR as determined on the previous LIBOR Determination Date. As used herein, "Reference Banks" means four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Collateral Manager).

(iii) In respect of the initial Periodic Interest Accrual Period, LIBOR will be determined through the use of straight-line interpolation by reference to two rates calculated in accordance with clause (i) or (ii) above, one of which will be determined as if the maturity of the U.S. dollar deposits referred to therein were the period of time for which rates are available next shorter than such Periodic Interest Accrual Period and the other of which will be determined as if such maturity were the period of time for which rates are available next longer than such Periodic Interest Accrual Period; provided that, if a Periodic Interest Accrual Period is less than or equal to seven days, then LIBOR will be determined by reference to a rate calculated in accordance with clauses (i) and (ii) above as if the maturity of the U.S. dollar deposits referred to therein were a period of time equal to seven days.

As soon as possible after 11:00 a.m. (London time) on each LIBOR Determination Date, but in no event later than 11:00 a.m. (New York time) on the Business Day immediately following each LIBOR Determination

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Date, the Calculation Agent will calculate the Applicable Periodic Rate for the next Periodic Interest Accrual Period and the amount of interest for such Periodic Interest Accrual Period payable on the related Payment Date in respect of each U.S.$1,000 principal amount of the Co-Issued Notes of each applicable Class and the Class D Notes (rounded to the nearest cent, with half a cent being rounded upward) and will communicate such rates and amounts to the Issuer, the Co-Issuer, the Trustee, each Paying Agent, DTC, Euroclear, Clearstream and the Collateral Manager. The Calculation Agent will also specify to the Co-Issuers the quotations upon which the Applicable Periodic Rate is based. The Calculation Agent will in any event notify the Issuer before 5:00 p.m. (New York time) on each LIBOR Determination Date if it has not determined and is not in the process of determining the Applicable Periodic Rate and the applicable amount of Periodic Interest, together with its reasons therefor. In addition, so long as any Co-Issued Notes or Class D Notes are listed on the Irish Stock Exchange and the guidelines of the exchange so require, the Calculation Agent will publish or cause to be published such information on the Companies Announcement Office of the Irish Stock Exchange as soon as possible after its determination.

The Calculation Agent may be removed by the Co-Issuers at any time. If the Calculation Agent is unable or unwilling to act as such, is removed by the Co-Issuers or fails to determine the Applicable Periodic Rate or the amount of Periodic Interest with respect to each Class of Co-Issued Notes, the Co-Issuers will promptly appoint as a replacement Calculation Agent a leading bank that is engaged in transactions in U.S. Dollar deposits in the international Eurodollar market and which does not control and is not controlled by or under common control with either of the Co-Issuers or any Affiliate thereof. The Calculation Agent may not resign its duties without a successor having been duly appointed. The determination of the Applicable Periodic Rate and the amount of Periodic Interest with respect to each Class of Co-Issued Notes and the Class D Notes by the Calculation Agent will (in the absence of manifest error) be final and binding upon all parties.

Principal of the Co-Issued Notes

As specified in the Priority of Payments, (A) payments of principal of the Class A-1 Notes will be senior to the payment of principal of the Class A-2 Notes, Class B Notes, Class C Notes and the Class D Notes and the payment of the Class E Recovery Amount, (B) payments of principal of the Class A-2 Notes will be senior to the payment of principal of the Class B Notes, Class C Notes, and the Class D Notes and the payment of the Class E Recovery Amount, (C) payments of principal of the Class B Notes will be senior to the payment of principal of the Class C Notes and the Class D Notes and the Class E Recovery Amount, (D) payments of principal of the Class C Notes will be senior to the payment of principal of the Class D Notes and the Class E Recovery Amount and (E) payments of principal of the Class E Notes will be senior to the payment of the Class E Recovery Amount, provided that (i) principal of the Class B Notes and Class C Notes representing the Class B Cumulative Periodic Rate Shortfall Amount and Class C Cumulative Periodic Rate Shortfall Amount may be paid before principal of more Senior Classes of Notes and (ii) with respect to the Class E Notes, only the Class E Recovery Amount is required to be paid by the Stated Maturity Date. See "—Priority of Payments".

The principal of each Class of the Co-Issued Notes is required to be paid by the Stated Maturity Date, unless redeemed or repaid prior thereto. See "Description of the Notes—Priority of Payments".

Class D Notes, Class E Notes and Class F Income Notes

Subject to the availability of funds and to the Priority of Payments, the Notes other than the Co-Issued Notes will provide for distributions on each Payment Date and continuing through the Final Maturity Date for such Class.

The Class D Notes will bear interest at a per annum rate equal to LIBOR plus 1.30%. The Class D Notes will provide for the payment of Periodic Interest on each Payment Date continuing through (and including) the Final Maturity Date for the Class D Notes. To the extent proceeds are not available to pay all or a portion of the Periodic Interest on the Class D Notes on any Payment Date, such interest shall not be deferred or capitalized and the Holders of Class D Notes shall have no right to receive such interest at any time thereafter. The Class D Notes are subordinated to the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes in right of payment of interest to the extent and in the manner set forth in the Priority of Payments. As described herein under "—Priority of Payments", no interest will be payable in respect of the Class D Notes on any Payment Date unless

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the full amount of Periodic Interest due in respect of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes have been paid on such Payment Date.

Interest on the Class D Notes will be calculated on the basis of a 360-day year and the actual number of days in a Periodic Interest Accrual Period. If any Payment Date or the Stated Maturity Date of the Class D Notes falls on a day that is not a Business Day, such Payment Date or Stated Maturity Date will be the next Business Day. Additional interest will accrue on the Class D Notes for any additional days that payment is delayed as a result.

Holders of the Class E Notes and the Class F Income Notes will not be entitled to receive interest at a stated rate. Instead, distributions on the Class E Notes and Class F Income Notes will be payable on each Payment Date on or after the Payment Date on which the principal of and interest on the Co-Issued Notes and the Class D Notes have been paid in full and, in the case of the Class F Income Notes, the Holders of the Class E Notes have received the Class E Recovery Amount out of amounts available therefor in accordance with the Priority of Payments until the Stated Maturity Date, or such earlier date on which such Notes are redeemed, including in connection with an optional redemption as described herein under "Optional Redemption". See "Description of the Notes—Priority of Payments". The "Class E Recovery Amount" is equal to 75% of the Aggregate Principal Amount of the Class E Notes Outstanding on the Closing Date.

The principal of each Class of the Senior Notes (other than the Class E Notes) is required to be paid by the Stated Maturity Date, unless redeemed or repaid prior thereto, except that, with respect to the Class E Notes, only the Class E Recovery Amount is required to be paid by the Stated Maturity Date. See "Description of the Notes—Priority of Payments".

In the event of an Optional Redemption of the Notes, the Class D Notes, the Class E Notes and the Class F Income Notes will be redeemed; however, in accordance with the Priority of Payments, holders of the Class D Notes, the Class E Notes and the Class F Income Notes may not receive any or all of their principal. See "Optional Redemption in Whole" and "Priority of Payments—Application of Available Funds upon Optional Redemption".

The Class F Income Notes are subordinate to the payment of principal of all of the Senior Notes other than the Class E Notes and to the payment of the Class E Recovery Amount. In addition, amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments on each Payment Date (including any Redemption Date) will be applied to make additional distributions in respect of the Class E Notes and to the Class F Income Note Issuing and Paying Agent for deposit into the Class F Income Note Distribution Account. 95% of such remaining amounts will be paid to the holders of the Class E Notes and 5% of such remaining amounts will be paid to the Class F Income Note Issuing and Paying Agent for deposit into the Class F Income Note Distribution Account. See "Description of the Notes—Priority of Payments".

Payment of the principal of the Class D Notes from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the Co-Issued Notes have been paid in full. Payments of principal of the Class D Notes from Collateral Interest Collections will be payable on any Payment Date only after all interest on the Co-Issued Notes has been paid in full. Payment of the Class E Recovery Amount from Collateral Interest Collections and Collateral Principal Collections will be payable on any Payment Date only after the Co-Issued Notes and the Class D Notes have been paid in full. See "Description of the Notes—Priority of Payments".

In addition, certain limited distributions of amounts received by the Issuer from the Swap Counterparty will be made to Holders of the Class D Notes and Class E Notes and certain other parties without regard to the Priority of Payments. See "Risk Factors—The Hudson Canyon Distribution Account" and "Description of the Notes—The Hudson Canyon Distribution Account".

Holders of the Class D Notes, Class E Notes and Class F Income Notes will have no voting rights, either general or special, with respect to the Issuer, except as set forth in the Indenture and the Class F Income Note Issuing and Paying Agency Agreement. Under the Indenture and the Class F Income Note Issuing and Paying Agency Agreement, (i) the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates) (voting separately) will be able to direct a redemption of the Notes, as more completely

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described under "Optional Redemption—Optional Redemption in Whole" and "—Redemption Following Certain Tax Events" and (ii) the Class D, Class E and Class F Income Noteholders will have the right to consent to certain amendments to the Indenture. See "Legal Structure—The Indenture—Modification of Indenture". In addition, any amendment to the Indenture which would materially and adversely affect the rights of the Class D, Class E and Class F Income Noteholders thereunder will require the consent of at least a Majority of such Class of Notes. The Class D Noteholders, the Class E Noteholders and the Class F Income Noteholders will also have a right to vote to remove the Collateral Manager in certain circumstances and nominate a successor Collateral Manager pursuant to the Collateral Management Agreement, as more fully described under "The Collateral Management Agreement".

Payments on the Senior Notes and Distributions on the Class F Income Notes

Principal of and interest on the Co-Issued Notes and the Class D Notes and payments of distributions on the Class E Notes and the Class F Income Notes will be payable in U.S. dollars. The Record Date for each Payment Date and each Hudson Canyon Account Payment Date is the Business Day prior to such Payment Date or Hudson Canyon Account Payment Date, as applicable (in the case of Notes held in global form) and the 15th day prior to such Payment Date or Hudson Canyon Account Payment Date (in the case of Notes held in physical form), whether or not such 15th day is a Business Day. Payments of principal of and interest on the Co-Issued Notes and the Class D Notes and payment of distributions on the Class E Notes and the Class F Income Notes will be made on each Payment Date and, in the case of distributions on the Class D Notes and the Class E Notes only, on a Hudson Canyon Account Payment Date, by wire transfer to an account maintained at a bank by the Holder thereof in immediately available funds in accordance with wiring instructions provided to the appropriate Paying Agent or, if such instructions have not been received at least 15 days prior to the relevant Payment Date or Hudson Canyon Payment Date by check drawn on a U.S. bank mailed to the address of the Holder specified in the Senior Note Register, in the case of the Senior Notes, or the Class F Income Note Register, in the case of the Class F Income Notes, as of the Record Date applicable to such Payment Date or Hudson Canyon Payment Date, as applicable. In the case where any final payment is to be made on any Note (other than on the Stated Maturity Date thereof), the Co-Issuers or the Trustee will, not more than 30 nor less than 10 days prior to the date on which such payment is to be made (or, if later, as soon as possible upon becoming aware that such payment will be the final payment), mail (by first-class mail, postage prepaid) to the persons entitled thereto at their addresses appearing on the Note Register a notice which will specify the date on which such payment will be made and the place where such Notes may be presented and surrendered for such payment.

Principal and interest on the Co-Issued Notes and the Class D Notes due at maturity and distributions on the Class E Notes due at maturity will in each case be paid upon presentation by the Holder of such Senior Note at the office of any Paying Agent designated for such purpose under the Indenture. Final payments in respect of redemption of the Class F Income Notes will be made only against surrender of such Class F Income Notes at the designated office of the Class F Income Note Issuing and Paying Agent, by wire transfer in immediately available funds to a U.S. dollar account maintained by the Holder of such Class F Income Notes or its nominee or, if a wire transfer cannot be effected, by a U.S. dollar check delivered to the Holder of such Class F Income Notes or its nominee by mail.

Payments of the principal of and interest on a Rule 144A Global Note or Regulation S Global Note will be made to DTC or its nominee, as the registered owner thereof. The Co-Issuers, the Trustee and any Paying Agent will not have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in a Global Note or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests.

Any amount deposited with the Trustee or any Paying Agent in trust for any payment on any Note and remaining unclaimed for two years after such amount has become due and payable will be paid to the Co-Issuers, and the Holder of such Note will thereafter, as an unsecured general creditor, look only to the Co-Issuers for payment of such amounts, and all liability of the Trustee or such Paying Agent with respect to such trust money (but only to the extent of the amounts so paid to the Co-Issuers) will thereupon cease.

The Irish Stock Exchange, so long as any Notes are listed thereon, will be informed of the Aggregate Principal Amounts of the Notes Outstanding following each Payment Date and if any Class of Senior Notes does not receive scheduled payments of principal or interest on a Payment Date. The Holders of the Notes will be informed

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of the amounts of interest or distributions, if any, to be paid on the Notes on each Payment Date, and the Irish Stock Exchange will also be informed of the amounts of interest and distributions, if any, to be paid on the Notes, so long as any Notes are listed thereon.

The Hudson Canyon Distribution Account

On the Closing Date, the date occurring 90 days after the Closing Date, or, if such date is not a Business Day, the next succeeding Business Day (such Business Day, the "Interim Hudson Canyon Account Transfer Date") and the date occurring 360 days after the Closing Date, or, if such date is not a Business Day, the next succeeding Business Day (such date, the "Final Hudson Canyon Account Transfer Date"), the Swap Counterparty will transfer, pursuant to the TRS Termination Agreement, the Available Hudson Canyon Distribution Amount for such date of determination to the Trustee for deposit into a single, segregated securities account established and maintained under the Indenture by the Trustee and referred to herein as the "Hudson Canyon Distribution Account". On the third Business Day following the Closing Date, the third Business Day following the Interim Hudson Canyon Account Transfer Date and the third Business Day following the Final Hudson Canyon Account Transfer Date (each such date, a "Hudson Canyon Account Payment Date"), funds on deposit in, or otherwise standing to the credit of, the Hudson Canyon Distribution Account will be applied by the Trustee in the following order of priority:

(i) first, to pay to the trustee of the Existing Issuer, the aggregate amount of unpaid fees and expenses due and payable to such trustee as of the Closing Date (including in its capacities as portfolio administrator and as preferred share paying agent);

(ii) second, to pay the aggregate amount of accrued and unpaid administrative expenses of the Existing Issuer as of the Closing Date (including fees to rating agencies and other service providers (other than the collateral manager));

(iii) third, to pay the unfunded portion of any reasonable reserve determined by the Existing Issuer as of the Closing Date as being necessary to pay liquidation expenses of the Existing Issuer, including U.S.$500.00 to repay the share capital contributed by the owners of the ordinary shares of the Existing Issuer and any agreed profit fee to the Existing Issuer;

(iv) fourth, to pay to the collateral manager of the Existing Issuer unpaid senior management fees (and any accrued and unpaid interest thereon) accrued as of the Closing Date;

(v) fifth, to make a distribution to the Holders of the Class D Notes; provided that the aggregate amount distributed to the Holders of the Class D Notes on the Hudson Canyon Account Payment Dates pursuant to this clause (v) may not exceed the amount of interest accrued on U.S.$47,800,000 of the principal amount of the "Class A Notes" issued by the Existing Issuer at a rate equal to 4.10% during the period from and including March 17, 2008 to but excluding the Closing Date;

(vi) sixth, to make a distribution to the Holders of the Class E Notes; provided that the aggregate amount distributed to the Holders of the Class E Notes on the Hudson Canyon Account Payment Dates pursuant to this clause (vi) may not exceed the amount of interest accrued on U.S.$31,000,000 of the principal amount of the "Class B Notes" issued by the Existing Issuer at a rate equal to 3.80% during the period from and including March 17, 2008 to but excluding the Closing Date; and

(vii) seventh, to deposit the remainder, if any, in the Principal Collection Account for application as Collateral Principal Collections pursuant to the Priority of Payments on the following Payment Date.

Funds held in the Hudson Canyon Distribution Account shall be invested by the Trustee, as directed in writing by the Issuer or by the Collateral Manager on behalf of the Issuer, in Eligible Investments. All Eligible Investments in the Hudson Canyon Distribution Account must mature prior to the next Hudson Canyon Account Payment Date.

If the Notes have been accelerated and the Collateral is liquidated, or the Notes are otherwise redeemed prior to the Final Hudson Canyon Account Payment Date, amounts will continue to be deposited to the Hudson Canyon Distribution Account and paid to the parties specified in, and in the order of priority, set forth above,

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through and including the final Hudson Canyon Account Payment Date. Such payments are separate and distinct from any payments described under "Priority of Payments—Application of Available Funds upon Optional Redemption" and "Priority of Payments—Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date".

Notwithstanding anything to the contrary contained herein, amounts due pursuant to clauses (i) – (vii) above will constitute limited recourse obligations of the Issuer, payable solely from amounts available in accordance with the order of priority set forth above and following the Final Hudson Canyon Account Payment Date any obligations of the Issuer described in this section and any claim against the Issuer in respect of any such amounts, shall be extinguished.

No Gross-Up

All Payments on the Notes will be made without any deduction or withholding for or on account of any tax unless such deduction or withholding is required by any applicable law, as modified by the practice of any relevant governmental revenue authority, then in effect. If the Issuer is so required to deduct or withhold, then the Issuer will not be obligated to pay any additional amounts in respect of such withholding or deduction.

Tax Characterization

The Issuer intends to treat the Co-Issued Notes as debt instruments of the Issuer only and the Class D Notes, Class E Notes and Class F Income Notes as equity interests in the Issuer for U.S. federal and, to the extent permitted by law, state and local income and franchise tax purposes. The Indenture and the Class F Income Note Issuing and Paying Agency Agreement will provide that each holder, by accepting a Note, agrees to report all income (or loss) in accordance with such treatment and to take no action inconsistent with such characterization unless otherwise required by a relevant taxing authority.

Priority of Payments

Interest and Principal Collections

On each Payment Date that is not a Redemption Date or an Accelerated Distribution Date or the Stated Maturity Date and in accordance with a Note Valuation Report prepared by the Issuer, the Trustee shall disburse amounts transferred to the Payment Account from the Collection Account in the following order of priority:

(A) Distributions with Collateral Interest Collections:

(i) to pay in the following order: (1) taxes, filing fees and registration fees (if any) payable by the Co-Issuers; then (2) to the Trustee the amount of any due and unpaid Trustee Fee (other than any indemnity payments); then (3) to the Trustee the amount of any due and unpaid Trustee Expenses (other than any indemnity payments); then (4) to the Collateral Administrator any amounts due and unpaid under the Collateral Administration Agreement, and then to the Class F Income Note Issuing and Paying Agent any amounts due and unpaid under the Class F Income Note Issuing and Paying Agency Agreement (other than amounts payable to the Holders of the Class F Income Notes) and then to the Collateral Manager any expenses due and unpaid under the Collateral Management Agreement (excluding the Collateral Management Fee) (in each case other than any indemnity payments); then (5) to the Rating Agencies for fees and expenses in connection with the rating of the Co-Issued Notes or in connection with satisfying the Moody's Rating Condition or the S&P Rating Agency Confirmation (including the annual fees payable to the Rating Agencies with respect to the monitoring and ongoing surveillance of any such rating and the issuance of credit estimates and renewals) on a pro rata basis; then (6) any other due and unpaid expenses and other liabilities of the Co-Issuers (excluding the Collateral Management Fee and indemnity payments, but including amounts payable to the Administrator under the Administration Agreement); then (7) to the deposit and retention in the Collection Account of an amount up to U.S.$25,000 in the Collateral Manager's sole discretion for the payment of Administrative Expenses (in the order set forth in this clause (A)(i)) due on a date that is not a Payment Date; and then (8) any indemnity payments that constitute Administrative Expenses (in

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the order set forth in this clause (A)(i); provided that with respect to any Payment Date, the cumulative amount paid, deposited and retained under subclauses (2) through (8) of this clause (A)(i) may not exceed an amount equal to (A) 0.04% of the Aggregate Collateral Balance of as of the beginning of the related Due Period for the Payment Dates occurring during such period and U.S.$200,000, minus (B) the aggregate of all other Administrative Expenses paid from Collateral Interest Collections during the related Due Period and the three immediately preceding Due Periods; provided that for the first three Payment Dates, the amount in this clause (A)(i) shall be pro rated for the applicable Due Period(s) occurring prior to the Payment Date (the "Expense Cap");

(ii) first, to pay accrued and unpaid Senior Collateral Management Fee Interest and, second, to pay the Senior Collateral Management Fee with respect to such Payment Date and any Senior Collateral Management Fee with respect to a previous Payment Date that was not paid on a previous Payment Date (excluding Senior Collateral Management Fee Interest);

(iii) to pay (i) first, pro rata (based on amounts due) amounts, if any, scheduled to be paid to any Hedge Counterparty pursuant to any Hedge Agreement (other than termination payments) and (ii) second, pro rata (based on amounts due), any termination payments payable to the Hedge Counterparty pursuant to any Hedge Agreement including any termination or partial termination of a Hedge Agreement (other than in connection with a Subordinated Termination Event);

(iv) to pay Periodic Interest on the Class A-1 Notes;

(v) to pay Periodic Interest on the Class A-2 Notes;

(vi) if either Class A Collateral Coverage Test is not satisfied as of the related Calculation Date, first, to pay principal of the Class A-1 Notes in the amount necessary to satisfy such Class A Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class A-1 Notes is reduced to zero), and second, to pay principal of the Class A-2 Notes in the amount necessary to satisfy such Class A Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class A-2 Notes is reduced to zero);

(vii) to pay Periodic Interest on the Class B Notes;

(viii) if either Class B Collateral Coverage Test is not satisfied as of the related Calculation Date, first, to pay principal of the Class A-1 Notes in the amount necessary to satisfy such Class B Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class A-1 Notes is reduced to zero), second, to pay principal of the Class A-2 Notes in the amount necessary to satisfy such Class B Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class A-2 Notes is reduced to zero) and third, to pay principal of the Class B Notes in the amount necessary to satisfy such Class B Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class B Notes is reduced to zero);

(ix) to pay the Class B Cumulative Periodic Rate Shortfall Amount, if any, with respect to such Payment Date;

(x) to pay Periodic Interest on the Class C Notes;

(xi) if either Class C Collateral Coverage Test is not satisfied as of the related Calculation Date, first, to pay principal of the Class A-1 Notes in the amount necessary to satisfy such Class C Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class A-1 Notes is reduced to zero), second, to pay principal of the Class A-2 Notes in the amount necessary to satisfy such Class C Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the

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Class A-2 Notes is reduced to zero), third, to pay principal of the Class B Notes in the amount necessary to satisfy such Class C Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class B Notes is reduced to zero) and fourth, to pay principal of the Class C Notes in the amount necessary to satisfy such Class C Collateral Coverage Test as of the related Calculation Date (or, if sooner, until the Aggregate Principal Amount of the Class C Notes is reduced to zero);

(xii) to pay the Class C Cumulative Periodic Rate Shortfall Amount, if any, with respect to such Payment Date;

(xiii) to pay any of the amounts described in subclauses (2) through (8) of clause (i) above (in order of priority stated therein) to the extent not paid under such clause (i) as a result of the Expense Cap contained herein;

(xiv) first, to pay accrued and unpaid Subordinated Collateral Management Fee Interest and, second, to pay the Subordinated Collateral Management Fee with respect to such Payment Date and any Subordinated Collateral Management Fee with respect to prior Payment Dates that has not been paid prior to the current Payment Date (excluding Subordinated Collateral Management Fee Interest);

(xv) to pay, pro rata, (i) any termination payments payable to any Hedge Counterparty pursuant to any Hedge Agreement following a Subordinated Termination Event and (ii) any termination payments payable to any Synthetic Security Counterparty in connection with an "event of default" or "termination event" as to which such Synthetic Security Counterparty is the sole "defaulting party" or the sole "affected party", in each case, as defined in the related Swap and Security Document;

(xvi) to pay Periodic Interest on the Class D Notes;

(xvii) (1) if the Class D Reserve Account Payment Option has not been exercised with respect to such Payment Date and such Payment Date is not one of the first three Payment Dates, to make a deposit to the Class D Reserve Account until the aggregate amount deposited in the Class D Reserve Account or paid to the Holders of the Class D Notes pursuant to the Priority of Payments on such Payment Date and all prior Payment Dates equals 100% of the Outstanding Aggregate Principal Amount of the Class D Notes, (2) if the Class D Reserve Account Payment Option has been exercised with respect to such Payment Date and such Payment Date is not one of the first three Payment Dates, to repay the Aggregate Principal Amount of the Class D Notes until paid in full or (3) if such Payment Date is one of the first three Payment Dates to make a deposit to the Principal Collection Account, in order to permit the Issuer to acquire additional Collateral Debt Obligations in accordance with the Eligibility Criteria;

(xviii) to repay the Aggregate Principal Amount of the Class E Notes until the aggregate amount paid in respect of the Class E Notes equals the Class E Recovery Amount;

(xix) to pay the Incentive Collateral Management Fee with respect to such Payment Date and any Incentive Collateral Management Fee with respect to prior Payment Dates that has not been paid prior to the current Payment Date; and

(xx) with respect to any remaining amount, to pay 95% thereof as an additional distribution in respect of the Class E Notes and to pay 5% thereof to the Class F Income Note Issuing and Paying Agent for deposit into the Class F Income Note Distribution Account.

(B) Distributions with Collateral Principal Collections:

(i) to the payment of amounts due under clauses (i) through (xii) under "—Distributions with Collateral Interest Collections" (in the order of priority stated therein), after giving effect to distributions of Collateral Interest Collections pursuant to such clauses; provided

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that amounts due under clauses (vii), (ix), (x), and (xii) under "—Distributions with Collateral Interest Collections" shall be paid pursuant to this clause (B)(i) (A) only to the extent that the Collateral Coverage Tests would be met on a pro forma basis after giving effect to any payment hereunder and (B) (x) in the case of clauses (vii) and (ix), only if the Class B Notes are the most Senior Class of Notes Outstanding and (y) in the case of clauses (x) and (xii), only if the Class C Notes are the most Senior Class of Notes Outstanding;

(ii) prior to the last day of the Reinvestment Period, to the Principal Collection Account, in order to permit the Issuer to acquire additional Collateral Debt Obligations in accordance with the Eligibility Criteria, provided that, if, with respect to any Payment Date, the Collateral Manager notifies the Trustee that it has been unable, for a period of 30 consecutive Business Days, to identify additional Collateral Debt Obligations which it deems appropriate (in its sole discretion) and which would meet the Eligibility Criteria, the Collateral Manager may direct the Trustee to apply all or a portion of the remaining Collateral Principal Collections to the amounts set forth in clauses (iii)(a) through (m) below, in accordance with the order of priority set forth therein, regardless of any requirement with respect to such clauses that the Payment Date occur on or after the last date of the Reinvestment Period;

(iii) on any Payment Date on or after the last day of the Reinvestment Period (and on any Payment Date prior to the last day of the Reinvestment Period on which the Collateral Manager directs the Trustee to apply all or a portion of the remaining Collateral Principal Collections to the amounts set forth in subclause (a) through (m) below):

(a) in the case of Collateral Principal Collections from Unscheduled Principal Payments and Sale Proceeds of Credit Risk Obligations, to the extent designated by the Collateral Manager, to the Principal Collection Account, for investment in Eligible Investments pending reinvestment at a later date and for reinvestment in Collateral Debt Obligations, in each case subject to the Post Reinvestment Period Criteria;

(b) to repay the Aggregate Principal Amount of the Class A-1 Notes until paid in full;

(c) to repay the Aggregate Principal Amount of the Class A-2 Notes until paid in full;

(d) to repay the Aggregate Principal Amount of the Class B Notes and, to the extent not paid in full after application pursuant to clause (B)(i) above, the Class B Cumulative Periodic Rate Shortfall Amount, in each case, until paid in full;

(e) to repay the Aggregate Principal Amount of the Class C Notes and, to the extent not paid in full after application pursuant to clause (B)(i) above, the Class C Cumulative Periodic Rate Shortfall Amount, in each case, until paid in full;

(f) to pay any of the amounts described in subclauses (2) through (8) of clause (A)(i) above (in the order of priority stated therein), to the extent not paid in full pursuant to clause (A) above or clause (B)(i) above;

(g) first, to pay Subordinated Collateral Management Fee Interest and second, to pay the Subordinated Collateral Management Fee with respect to such Payment Date and any Subordinated Collateral Management Fees with respect to prior Payment Dates that have not been paid prior to the current Payment Date (excluding Subordinated Collateral Management Fee Interest), in each case, to the extent not paid in full pursuant to clause (A)(xiv) above;

(h) to pay, pro rata, (i) any termination payments payable to any Hedge Counterparty pursuant to any Hedge Agreement following a Subordinated Termination Event and (ii) any termination payments payable to any Synthetic Security Counterparty

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in connection with an "event of default" or "termination event" as to which such Synthetic Security Counterparty is the sole "defaulting party" or the sole "affected party", in each case as defined in the related Swap and Security Document, to the extent not paid pursuant to clause (A)(xv) above;

(i) to pay Periodic Interest on the Class D Notes to the extent not paid in full after application pursuant to clause (A)(xvi) above;

(j) (1) if the Class D Reserve Account Payment Option has not been exercised with respect to such Payment Date and such Payment Date is not one of the first three Payment Dates, to make a deposit to the Class D Reserve Account until the aggregate amount deposited in the Class D Reserve Account or paid to the Holders of the Class D Notes pursuant to the Priority of Payments on such Payment Date and all prior Payment Dates (including pursuant to clause (A)(xvii) above) equals 100% of the Outstanding Aggregate Principal Amount of the Class D Notes, (2) if the Class D Reserve Account Payment Option has been exercised with respect to such Payment Date, or such Payment Date is one of the first three Payment Dates, to repay the Aggregate Principal Amount of the Class D Notes until paid in full, to the extent not paid in full pursuant to clause (A)(xvii) above or (3) if such Payment Date is one of the first three Payment Dates to make a deposit to the Principal Collection Account, in order to permit the Issuer to acquire additional Collateral Debt Obligations in accordance with the Eligibility Criteria;

(k) to repay the Aggregate Principal Amount of the Class E Notes until the aggregate amount paid in respect of the Class E Notes equals the Class E Recovery Amount, to the extent not previously paid pursuant to clause (A)(xviii) above;

(l) to pay the Incentive Collateral Management Fee with respect to such Payment Date and any Incentive Collateral Management Fees with respect to prior Payment Dates that have not been paid prior to the current Payment Date, in each case, to the extent not paid in full pursuant to clause (A)(xix) above; and

(m) with respect to any remaining amount, to pay 95% thereof as an additional distribution in respect of the Class E Notes and to pay 5% thereof to the Class F Income Note Issuing and Paying Agent for deposit into the Class F Income Note Distribution Account.

For purposes of any clause of the Priority of Payments that requires funds to be applied if one or more Collateral Coverage Tests are not satisfied to the extent necessary to cause such Collateral Coverage Tests to be satisfied, satisfaction of such Collateral Coverage Tests will be determined as of the related Calculation Date giving effect to all payments to be made on the applicable Payment Date prior to the payment of amounts under the applicable clause for which such determination is required.

Application of Available Funds upon Optional Redemption

On any Payment Date that is a Redemption Date for the redemption of the Notes in whole, the Trustee will pay from the Collection Account (regardless of whether constituting Collateral Interest Collections or Collateral Principal Collections) (1) the amounts set forth in clauses (i), (ii), (iii) and (iv) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" (in that order), and then (2) the Redemption Price of the Class A-1 Notes (exclusive of any amounts paid to the Holders of such Class A-1 Notes as interest pursuant to clause (1) hereof), and then (3) the amounts set forth in clause (v) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections", and then (4) the Redemption Price of the Class A-2 Notes (exclusive of any amounts paid to the Holders of such Class A-2 Notes as interest pursuant to clause (3) above), and then (5) the amounts set forth in clauses (vii) and (ix) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" and then (6) the Redemption Price of the Class B Notes (exclusive of any amounts paid to the Holders of such Class B Notes as interest, Periodic Rate Shortfall Amount or (without duplication) Cumulative Periodic Rate Shortfall Amount pursuant to clause (5) above, and then (7) the amounts set forth in clauses (x) and (xii) under "—Interest and Principal Collections—Distributions with Collateral Interest

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Collections", and then (8) the Redemption Price of the Class C Notes (exclusive of any amounts paid to the Holders of such Class C Notes as interest, Periodic Rate Shortfall Amount or (without duplication) Cumulative Periodic Rate Shortfall Amount pursuant to clause (7) hereof, and then (9) the amounts set forth in clauses (xiii), (xiv), (xv) and (xvi) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" (in that order), and then (10) the Redemption Price of each of the Class D Notes and Class E Notes (other than amounts paid to the Holders of Class E Notes pursuant to clause (12) below), first to the Class D Notes and then to the Class E Notes, and then (11) the amount set forth in clause (xix) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections", and then (12) the amount set forth in clause (xx) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections".

If the Notes have been accelerated and the Collateral is liquidated, or the Notes are otherwise redeemed prior to the Final Hudson Canyon Account Payment Date, amounts will continue to be deposited to the Hudson Canyon Distribution Account and paid to the parties specified in, and in the order of priority, set forth under "The Hudson Canyon Distribution Account", through and including the final Hudson Canyon Account Payment Date. Such payments are separate and distinct from any payments described under this section and the section immediately below.

Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date

After the Senior Notes have been declared due and payable (if such declaration has not been rescinded or annulled), on the date or dates fixed by the Trustee (each, an "Accelerated Distribution Date"), the Trustee will pay, from all collections from the Collateral, and from proceeds of sale or liquidation of, the Collateral following the exercise of remedies, (1) amounts corresponding to amounts set forth in clauses (i), (ii) and (iii) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" (in that order and as required in the Indenture) and then (2) the Periodic Interest and outstanding principal of the Class A-1 Notes (in that order) and then (3) the Periodic Interest and outstanding principal of the Class A-2 Notes (in that order) and then (4) the Class B Periodic Interest, Class B Cumulative Periodic Rate Shortfall Amount and outstanding principal of the Class B Notes (in that order) and then (5) the Class C Periodic Interest, Class C Cumulative Periodic Rate Shortfall Amount and outstanding principal of the Class C Notes (in that order) and then (6) amounts corresponding to the amounts set forth in clause (xiii) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" and then (7) amounts corresponding to amounts set forth in clauses (xiv) and (xv) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" (in that order) and then (8) the Class D Periodic Interest and outstanding principal of the Class D Notes (in that order) and then (9) outstanding principal of the Class E Notes until the aggregate amount paid thereon equals the Class E Recovery Amount and then (10) amounts corresponding to amounts set forth in clauses (xix) and (xx) under "—Interest and Principal Collections—Distributions with Collateral Interest Collections" (in that order).

On the Stated Maturity Date, and, if funds become available after the Stated Maturity Date, on any Business Day after the Stated Maturity Date immediately following the date on which such funds become available, and in accordance with the Note Valuation Report for the Calculation Date immediately preceding such Stated Maturity Date, the Trustee shall disburse amounts transferred to the Payment Account from the Collection Account for application pursuant to the Priority of Payments set forth in the preceding paragraph, as if such Stated Maturity Date were an Accelerated Distribution Date

If the Notes have been accelerated and the Collateral is liquidated, or the Notes are otherwise redeemed prior to the Final Hudson Canyon Account Payment Date, amounts will continue to be deposited to the Hudson Canyon Distribution Account and paid to the parties specified in, and in the order of priority, set forth under "The Hudson Canyon Distribution Account", through and including the final Hudson Canyon Account Payment Date. Such payments are separate and distinct from any payments described under this section and the section immediately above.

Principal Prepayments

At any time that any of the Co-Issued Notes are Outstanding, if any Collateral Coverage Test is not satisfied as of the Calculation Date relating to any Payment Date, then on the related Payment Date (i) certain amounts of Collateral Interest Collections that otherwise would be used on such Payment Date (A) for payments on

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Co-Issued Notes and the Class D Notes that are junior to the applicable payments to be made in order to bring the applicable Collateral Coverage Test into compliance, (B) in the case of the first three Payment Dates, for transfer to the Principal Collection Account, for reinvestment in Collateral Debt Obligations subject to the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable or (C) for distributions to the Holders of the Class E Notes and Class F Income Notes will instead be applied on such Payment Date in accordance with the Priority of Payments, to the extent necessary to satisfy the Collateral Coverage Tests, to make principal payments on the Co-Issued Notes then Outstanding sequentially according to the seniority of each Class and (ii) certain amounts of Collateral Principal Collections will be applied on such Payment Date in accordance with the Priority of Payments, to the extent necessary to satisfy the Collateral Coverage Tests, to principal payments on the Co-Issued Notes then Outstanding sequentially according to the seniority of each Class.

Class A Interest Coverage Test

On any date of determination after the Initial Payment Date, a test which is satisfied on such date of determination, when the ratio of (x) to (y) equals or exceeds 115.0% on such date of determination, where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period.

Class B Interest Coverage Test

On any date of determination after the Initial Payment Date, a test which is satisfied on such date of determination, when the ratio of (x) to (y) equals or exceeds 110.0% on such date of determination, where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period plus (3) the Periodic Interest Amount for the Class B Notes for the Payment Date relating to such Due Period.

Class C Interest Coverage Test

On any date of determination after the Initial Payment Date, a test which is satisfied on such date of determination, when the ratio of (x) to (y) equals or exceeds 105.0% on such date of determination, where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period plus (3) the Periodic Interest Amount for the Class B Notes for the Payment Date relating to such Due Period plus (4) the Periodic Interest Amount for the Class C Notes for the Payment Date relating to such Due Period.

Class A Principal Coverage Test

On any date of determination, a test which is satisfied when the Class A Principal Coverage Ratio equals or exceeds 129.4%.

Class B Principal Coverage Test

On any date of determination, a test which is satisfied when the Class B Principal Coverage Ratio equals or exceeds 113.9%.

Class C Principal Coverage Test

On any date of determination, a test which is satisfied when the Class C Principal Coverage Ratio equals or exceeds 113.0%.

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Form, Denomination and Registration

General

Each Class of Notes (other than the Class D Notes, the Class E Notes and the Class F Income Notes) will be issued and transferable in minimum denominations of U.S.$500,000 and integral multiples of U.S.$1,000 in excess thereof unless the Issuer otherwise consents. The Class D Notes, the Class E Notes and the Class F Income Notes will be issued and transferable in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof.

Rule 144A Global Notes

The Class A-1 Notes, Class A-2 Notes, Class B Notes and Class C Notes initially sold in the United States or to U.S. Persons (as defined in Regulation S under the Securities Act) pursuant to Rule 144A under the Securities Act will be represented by one or more permanent global notes in definitive, fully registered form without interest coupons. The Rule 144A Global Notes will be deposited with the Trustee as custodian for DTC and will be registered in the name of Cede & Co. ("Cede"), as nominee of DTC.

All or a portion of an interest in a Rule 144A Global Note may be transferred to a Person taking delivery in the form of an interest in a Rule 144A Global Note in accordance with the applicable procedures of DTC (in addition to those under the Indenture); provided that any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations.

In addition, all or a portion of an interest in a Rule 144A Global Note may be transferred to a Person taking delivery in the form of an interest in a Regulation S Global Note or exchanged for an interest in a Regulation S Global Note in accordance with the applicable procedures of DTC, and, if applicable, Euroclear Bank, as operator of the Euroclear system ("Euroclear"), and/or Clearstream Banking Luxembourg, société anonyme ("Clearstream"); provided that (a) the Holder or the transferee, as applicable, will be deemed to have represented that, among other things, the transfer or exchange is being made outside the United States in accordance with Regulation S to a non-U.S. Person (as defined in Regulation S) and only in a denomination greater than or equal to the required minimum denominations and (b) any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations. Upon receipt by the Trustee of, among other things, a certificate given by the Holder of such beneficial interest stating that the exchange or transfer of such interest has been made in compliance with applicable transfer restrictions, the Trustee will approve the instructions at DTC to reduce the principal amount of the Rule 144A Global Note and to increase the principal amount of the Regulation S Global Note by the Aggregate Principal Amount of the beneficial interest in the Rule 144A Global Note to be transferred or exchanged and to credit or cause to be credited to the securities account of the Person specified in such instructions a beneficial interest in the corresponding Regulation S Global Note equal to the reduction in the principal amount of the Rule 144A Global Note.

No service charge will be made for any registration of transfer or exchange of an interest in a Rule 144A Global Note, but the Issuer or the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith.

Transfers of interests in the Rule 144A Global Notes are subject to certain additional restrictions. In particular, each transferee of an interest in a Rule 144A Global Note will also be deemed to have made certain additional acknowledgments, representations and warranties as provided in the Indenture. See "Purchase and Transfer Restrictions".

Regulation S Global Notes

The Notes initially sold to non-U.S. Persons (as defined in Regulation S under the Securities Act) outside the United States in accordance with Regulation S under the Securities Act will be represented by one or more permanent global notes in definitive, fully-registered form without interest coupons attached. The Regulation S Global Notes will be deposited with the Trustee acting as custodian for DTC and will be registered in the name of Cede, as nominee of DTC, for the respective accounts of Euroclear and Clearstream.

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Interests in the Regulation S Global Notes may be held only through Euroclear or Clearstream and may not be held by a U.S. Person at any time.

All or a portion of an interest in a Regulation S Global Note may be transferred to a Person taking delivery in the form of an interest in a Regulation S Global Note in accordance with the applicable procedures of DTC, and, if applicable, Clearstream and/or Euroclear; provided that any remaining principal amount of the transferor's interest in such Regulation S Global Note will either equal zero or meet the required minimum denominations.

In addition, all or a portion of an interest in a Regulation S Global Note may be transferred to a Person taking delivery in the form of an interest in a Rule 144A Global Note or a Certificated Note, or exchanged for an interest in a Rule 144A Global Note or a Certificated Note in accordance with the applicable procedures of DTC, Clearstream and/or Euroclear, as applicable, upon receipt by the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, of a certificate from the transferor (in the case of a transfer) or the Holder (in the case of an exchange) in the form provided in the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable, to the effect that, among other things, the transfer or exchange is to a Person that is both (a) either a Qualified Institutional Buyer or, in the case of a Class F Income Note, an Accredited Investor and (b) a Qualified Purchaser, and only in a denomination greater than or equal to the required minimum denomination; provided that any remaining principal amount of the transferor's interest in the Regulation S Global Note will either equal zero or meet the required minimum denomination. Upon receipt by the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, of, among other things, a certificate given by the Holder of such beneficial interest stating that the exchange or transfer of such interest has been made in compliance with applicable transfer restrictions, then the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, will approve the instructions at DTC to reduce the Regulation S Global Note by the Aggregate Principal Amount of the beneficial interest in the Regulation S Global Note to be transferred and to increase or cause to be increased the principal amount of the Rule 144A Global Note by the Aggregate Principal Amount of the beneficial interest in the Regulation S Global Note to be transferred, and, in the case of a transfer of Co-Issued Notes, the Trustee will approve the instructions at DTC, concurrently with such reduction, to credit or cause to be credited to the securities account of the Person specified in such instructions a beneficial interest in the corresponding Rule 144A Global Note equal to the reduction in the Aggregate Principal Amount of the Regulation S Global Note or, in the case of a transfer of Class F Income Notes, the Class F Income Note Issuing and Paying Agent will request the Issuer to issue a new note in an amount equal to the reduction in the Aggregate Principal Amount of the Regulation S Global Note.

No service charge will be made for any registration of transfer or exchange of an interest in a Regulation S Global Note, but the Issuer or the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith.

Transfers of interests in the Regulation S Global Notes are subject to certain additional restrictions. In particular, each transferee of an interest in a Regulation S Global Note will also be required (or in certain circumstances, deemed) to have made certain additional acknowledgments, representations and warranties. See "Purchase and Transfer Restrictions".

Book-Entry Registration of the Global Notes

The registered owner of a Rule 144A Global Note or a Regulation S Global Note will be the only Person entitled to receive payments in respect of the Notes represented by such Global Note, and the Co-Issuers will be discharged by payment to, or to the order of, the registered owner of such Global Note in respect of each amount so paid. No Person other than the registered owner of the relevant Global Note will have any claim against the Co-Issuers in respect of any payment due on that Global Note. Members of, or participants in, DTC as well as any other Persons on whose behalf such participants may act (including Euroclear and Clearstream and account holders and participants therein) will have no rights under the Indenture with respect to such Global Notes held on their behalf by the Trustee as custodian for DTC, and DTC may be treated by the Co-Issuers or the Trustee and any agent of the Co-Issuers or the Trustee as the Holder of such Global Notes for all purposes whatsoever. Except in the limited circumstances described in the next sentence and except with respect to Class F Income Notes transferred to or exchanged by Qualified Institutional Buyers and Accredited Investors, owners of beneficial interests in the Global Notes will not be entitled to have Notes registered in their names, will not receive or be entitled to receive definitive physical certificates and will not be considered Holders of Notes under the Indenture or the Class F Income Note

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Issuing and Paying Agency Agreement, as applicable. If (i) DTC notifies the Trustee or the Class F Income Note Issuing and Paying Agent that it is unwilling or unable to continue as depository for the Global Notes or DTC, Euroclear or Clearstream ceases to be a "Clearing Agency" registered under the Exchange Act, and a successor depository or clearing agency is not appointed by the Trustee within 90 days after receiving such notice or (ii) as a result of any amendment to or change in the laws or regulations of the Cayman Islands, or of any authority therein or thereof having power to tax, or in the interpretation or administration of such laws or regulations which become effective on or after the Closing Date, the Issuer, the Trustee or any Paying Agent becomes aware that it is or will be required to make any deduction or withholding from any payment in respect of the Global Notes which would not be required if the Global Notes were not represented by a global certificate, the Issuer will issue or cause to be issued certificates in the form of definitive physical certificates in exchange for the applicable Global Notes to the beneficial owners of such Global Notes in the manner set forth in the Indenture.

Investors may hold their interests in a Rule 144A Global Note or a Regulation S Global Note directly through DTC, if they are participants in DTC, or indirectly through organizations which are participants in DTC. Clearstream and Euroclear will hold interests in the Global Notes on behalf of their participants through their respective depositories and will hold the interests in such Global Notes in customers' securities accounts in the depositories' names on the books of DTC. Any person acquiring an interest in the Notes through DTC, Euroclear or Clearstream is, upon such acquisition, to notify the Trustee of their name and contact details, the original principal amount and Class of Notes acquired by them. In addition, the Trustee (acting on behalf of the Issuer or the Collateral Manager) shall from time to time send through DTC, Clearstream and Euroclear requests for the person holding the interest in the Notes to identify themselves by submitting to the Trustee their name, contact details and the original principal amount and Class of Notes held by them and shall provide any such information received to the Issuer and the Collateral Manager.

Payments of principal of and interest on a Rule 144A Global Note or a Regulation S Global Note will be made to DTC or its nominee, as the registered owner thereof. The Co-Issuers, the Trustee, the Class F Income Note Issuing and Paying Agent, the Paying Agent in Ireland, the Initial Purchaser, the Placement Agent, the Collateral Manager and any of their respective Affiliates will not have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in a Global Note or for maintaining, supervising or reviewing any records relating to the beneficial ownership interests.

The Co-Issuers expect that DTC or its nominee—upon receipt of any payment of principal or interest in respect of a Rule 144A Global Note or a Regulation S Global Note representing a Note held by it or its nominee—will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated initial principal amount of such Note as shown on the records of DTC or its nominee. The Co-Issuers also expect that payments by participants to owners of beneficial interests in a Global Note held through the 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. The payments will be the responsibility of the participants.

Transfers between participants in DTC will be effected in the ordinary way in accordance with DTC rules and will be settled in immediately available funds. The laws of some states require that certain persons take physical delivery of securities in definitive form. Consequently, the ability to transfer beneficial interests in a Global Note to these Persons may be limited. Because DTC can only act on behalf of participants, who in turn act on behalf of indirect participants and certain banks, the ability of a person holding a beneficial interest in a Global Note to pledge its interest to a Person that does not participate in the DTC 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 participants 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 Notes described above and under "Purchase and Transfer Restrictions", cross-market transfers between DTC, on the one hand, and directly or indirectly through Euroclear or Clearstream participants, on the other, will be effected through DTC in accordance with DTC rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depository; 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

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requirements, deliver instructions to its respective depository to take action to effect final settlement on its behalf by delivering or receiving interests in a Regulation S Global Note through DTC and making or receiving payment in accordance with normal procedures for immediately available funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the depositories 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 and Clearstream) 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 through DTC.

DTC has advised the Co-Issuers that it will take any action permitted to be taken by a Holder of the Notes only at the direction of one or more participants to whose account with DTC an interest in a Global Note is credited and only in respect of that portion of the principal amount of the applicable Notes as to which the participant or participants has or have given direction.

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 New York 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 companies and clearing corporations and may include certain other organizations. Indirect access to the DTC system is also 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").

Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of interests in the 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 Co-Issuers, the Trustee or the Collateral Manager 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.

Certificated Notes

Class D Notes and Class E Notes

Class D Notes and Class E Notes sold in the United States or to U.S. Persons (as defined in Regulation S under the Securities Act) to Qualified Institutional Buyers in reliance on the exemption from registration under the Securities Act provided by Rule 144A thereunder who are also Qualified Purchasers, will be issued in the form of Certificated Notes. Transfers of Certificated Notes may only be effected by delivery to the Trustee and the Issuer of the required written certifications from the proposed transferee regarding compliance with applicable transfer restrictions. See "Purchase and Transfer Restrictions".

Subject to the restrictions on transfer set forth in the Indenture and the Certificated Notes, the Holder of a Certificated Note may transfer or exchange such Certificated Note in whole (in any authorized denomination) by surrendering the note evidencing such Certificated Note to the Trustee at the office of the Trustee presently maintained at the Corporate Trust Office (or such other office as may be designated by the Trustee for such purpose) together with an executed instrument of assignment and a note evidencing in the form attached to the Indenture. The certificate representing a Certificated Note properly presented for transfer with all necessary accompanying documentation will be cancelled, and the Trustee will either deliver a new certificate or certificates representing such Certificated Notes, for a like Aggregate Principal Amount as may be requested, or approve the instructions at DTC to credit or cause to be credited the Regulation S Global Note by the Aggregate Principal Amount of the

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Certificated Note to be transferred or exchanged. The presentation for transfer of any Certificated Notes will not be valid unless made at the Corporate Trust Office of the Trustee or at the office of a transfer agent by the registered Holder thereof or by a duly authorized attorney-in-fact. Neither the Holder nor the transferee of a Certificated Note will be required to bear the costs and expenses of effecting any transfer or registration of transfer, except that the relevant Holder will be required to bear, if the Issuer so requires, the payment of a sum sufficient to cover any duty, stamp tax or governmental charge that may be imposed in relation thereto.

Class F Income Notes

Class F Income Notes sold in the United States or to U.S. Persons (as defined in Regulation S under the Securities Act) (x) to Qualified Institutional Buyers in reliance on the exemption from registration under the Securities Act provided by Rule 144A thereunder or (y) to Accredited Investors in reliance on an exemption from registration under the Securities Act, in each case, who are also Qualified Purchasers, will be issued in the form of Certificated Notes. Transfers of Certificated Notes may only be effected by delivery to the Class F Income Note Issuing and Paying Agent and the Issuer of the required written certifications from the proposed transferee regarding compliance with applicable transfer restrictions. See "Purchase and Transfer Restrictions".

Subject to the restrictions on transfer set forth in the Indenture, the Class F Income Note Issuing and Paying Agency Agreement and the Certificated Notes, the Holder of a Certificated Note may transfer or exchange such Certificated Note in whole (in any authorized denomination) by surrendering the certificate representing such Certificated Note to the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, at the office of the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, presently maintained at the Corporate Trust Office (or such other office as may be designated by the Trustee for such purpose) together with an executed instrument of assignment and a certificate substantially in the form attached to the Indenture or the Class F Income Note Issuing and Paying Agency Agreement. The certificate representing a Certificated Note properly presented for transfer with all necessary accompanying documentation will be cancelled, and the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, will either deliver a new certificate or certificates representing such Certificated Notes, for a like Aggregate Principal Amount as may be requested, or approve the instructions at DTC to credit or cause to be credited the Regulation S Global Note by the Aggregate Principal Amount of the Certificated Note to be transferred or exchanged. The presentation for transfer of any Certificated Notes will not be valid unless made at the Corporate Trust Office of the Trustee or at the office of a transfer agent by the registered Holder thereof or by a duly authorized attorney-in-fact. Neither the Holder nor the transferee of a Certificated Note will be required to bear the costs and expenses of effecting any transfer or registration of transfer, except that the relevant Holder will be required to bear, if the Issuer so requires, the payment of a sum sufficient to cover any duty, stamp tax or governmental charge that may be imposed in relation thereto.

Forced Sales by Non-Permitted Holders

To enforce the restrictions on transfers of interests in the Notes, the Indenture and the Class F Income Note Issuing and Paying Agency Agreement permit the Issuer to demand that the Holder or beneficial owner of a Note sell to a holder permitted under the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable, any interest in a Rule 144A Global Note or a Certificated Note held by a Person who is determined not to have been both a Qualified Purchaser and either a Qualified Institutional Buyer or, in the case of the Class F Income Notes only, an Accredited Investor at the time of acquisition of such Note, and if the Holder or beneficial owner does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's or beneficial owner's interest in the Note in accordance with and pursuant to the terms of the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable. In addition, the Indenture and the Class F Income Note Issuing and Paying Agency Agreement also permit the Issuer to demand that the Holder or beneficial owner sell to a holder permitted under the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable, any interest in a Regulation S Global Note held by a U.S. Person, and if the Holder or beneficial owner does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's or beneficial owner's interest in the Regulation S Global Note.

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OPTIONAL REDEMPTION

Optional Redemption in Whole

At the written direction of the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates) (calculated separately) (which direction will be given so as to be received by the Issuer, the Trustee and the Collateral Manager not later than 60 days prior to the proposed Redemption Date) on and after the Payment Date occurring in July, 2012 the Notes of all Classes will be optionally redeemed in whole, but not in part, by the Co-Issuers or the Issuer, as applicable, from Sale Proceeds received from the disposition of the Collateral Debt Obligations and any other Collateral. The Senior Notes will be redeemed at the applicable Redemption Price for each Class of Senior Notes (but with respect to the Class D Notes and the Class E Notes such applicable Redemption Price shall be paid only to the extent funds are available therefor in accordance with the Priority of Payments) and the Class F Income Notes will be entitled to receive any funds remaining after redemption of the Senior Notes at their applicable Redemption Prices. An optional redemption will be effected in accordance with the procedures set forth in "—Redemption Procedures" below.

An optional redemption in whole may only be effected if the Sale Proceeds from the liquidation of the Collateral Debt Obligations on or prior to the related Redemption Date, together with any other available amounts (including amounts in the Loan Funding Account, subject to the prior lien of the Swap Counterparty and CFPI in and to such amount, and the proceeds of Eligible Investments), would be sufficient to redeem the Co-Issued Notes at their applicable Redemption Prices and to pay all other accrued and unpaid expenses, fees and other amounts payable (including amounts due to any Hedge Counterparty) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption" (other than the amounts set forth in clause (9) (but with respect to clause (9), only as it relates to clause (xvi)) through clause (12) thereof). Following the liquidation of the Pledged Obligations and the distribution of any available remaining funds following a redemption of the Senior Notes and Class F Income Notes will be redeemed whether or not the Holders thereof receive any payments in respect of such redemption.

The Redemption Price of the Co-Issued Notes will be their then outstanding principal, plus accrued interest thereon to the date of redemption to the extent not already paid (including, without limitation, any Class B Cumulative Periodic Rate Shortfall Amount and any Class C Cumulative Periodic Rate Shortfall Amount). The Redemption Price of the Class D Notes will be their then outstanding principal plus Periodic Interest thereon with respect to the Redemption Date. The Redemption Price of the Class E Notes will be (i) the excess, if any, of the Class E Recovery Amount over the aggregate of all payments previously made in respect of the Class E Notes (other than payments made in respect of the available Hudson Canyon Distribution Amount) plus (ii) 95% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments. The Redemption Price of the Class F Income Notes will be 5% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments. Any such redemption of Notes will be made without payment of any premium. In connection with any redemption by reason of the occurrence of a Tax Event, Holders of 100% of the Aggregate Principal Amount of any Outstanding Class of Senior Notes may elect to receive less than 100% of the Redemption Price that would otherwise be payable to the Holders of such Class.

Redemption Following Certain Tax Events

In addition, the Notes will be subject to optional redemption by the Issuer, in whole and not in part, on any Payment Date after the Closing Date at the direction of (1) both the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates)(acting separately) or (2) the Requisite Noteholders in each case following (i) the occurrence and continuation of a Tax Event with respect to payments under one or more Collateral Debt Obligations forming part of the Collateral which results in a payment by, or charge or tax burden to, the Issuer that results or will result in the withholding of 10% or more of Collateral Interest

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Collections scheduled to be received in any Due Period or (ii) the occurrence and continuation of a Tax Event resulting in a tax burden on the Issuer in an aggregate amount in any Due Period in excess of U.S.$2,000,000 (which direction, in each case, shall be accompanied by an Opinion of Counsel substantially to the effect that such an event has occurred or will occur, as applicable). Following the liquidation of the Pledged Obligations, the redemption of the Co-Issued Notes and the Class D Notes and the distribution of any remaining available funds to the Holders of the Class E Notes and the Class F Income Notes, the Class E Notes and the Class F Income Notes will be redeemed whether or not the Holders thereof receive any payments in respect of such redemption. A "Tax Event" is an event that occurs if (i) any obligor under any Collateral Debt Obligation or Hedge Counterparty is required to deduct or withhold from any payment under such Collateral Debt Obligation to the Issuer for or on account of any tax for whatever reason (other than withholding tax on fees received with respect to a Synthetic Letter of Credit) and such obligor is not required to pay to the Issuer such additional amount as is necessary to ensure that the net amount actually received by the Issuer (free and clear of taxes, whether assessed against such obligor or the Issuer) will equal the full amount that the Issuer would have received had no such deduction or withholding occurred, (ii) any jurisdiction imposes (or, in the Opinion of Counsel, it becomes reasonably likely that any jurisdiction will impose or will seek to impose) net income, profits or similar tax on the Issuer, or (iii) the Issuer or the Paying Agent is required (or, in the Opinion of Counsel, it is reasonably likely that that the Issuer or Paying Agent will be required) to deduct or withhold amounts on account of tax in respect of payments on the Class F Income Notes (wherever imposed).

Redemption Procedures

Notice of any optional redemption will be given by first class mail, postage prepaid, mailed not less than 10 Business Days prior to the applicable redemption date, to each Holder of Notes at such Holder's address in the Note Register. Notes called for redemption must be surrendered at the office of any paying agent appointed under the Indenture. The initial Paying Agent for the Notes will be the Trustee, and NCB Stockbrokers Limited in Dublin, Ireland will be the Paying Agent in Ireland with respect to the Notes so long as any such Notes are listed on the Irish Stock Exchange. Notice of any optional redemption will also be delivered to each Rating Agency, each Hedge Counterparty and the Irish Stock Exchange so long as any Notes are listed thereon and the guidelines of such Exchange so require.

No Notes may be optionally redeemed unless either (1) not later than seven Business Days before the scheduled Redemption Date, the Collateral Manager furnishes to the Trustee and the Rating Agencies evidence, in form satisfactory to the Trustee and the Rating Agencies, that the Collateral Manager on behalf of the Issuer has entered into a binding agreement or agreements with (or guaranteed by) a financial institution or institutions (A)(x) whose long-term unsecured debt obligations (other than such obligations whose rating is based on the credit of a Person other than such institution) have a credit rating from Moody's of at least "A1" and from S&P of at least "A+" and (y) whose short-term unsecured debt obligations have a credit rating from Moody's of "P-1" and from S&P of "A-1+" or (B) whose obligations under such binding agreements are supported by a letter of credit, a guarantee or other agreement acceptable to the Trustee and the Rating Agencies and issued by a financial institution, satisfying either or both (as relevant) of the foregoing clauses (x) or (y), to purchase (directly or by sale of participation or other disposition), not later than the Business Day immediately preceding the scheduled redemption date, in immediately available funds all or the required part of the Collateral Debt Obligations at a purchase price at least equal to an amount sufficient, together with all other funds available therefor, to redeem the Co-Issued Notes at their applicable Redemption Prices and to pay all other accrued and unpaid expenses, fees and other amounts payable under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption" (other than amounts set forth in clause (9) (but with respect to clause (9), only as it relates to clause (xvi)) through clause (12) thereof) or (2) prior to selling Collateral Debt Obligations (directly or by sale of participation or other disposition), the Collateral Manager certifies to the Trustee and the Rating Agencies that the Expected Sale Proceeds from such sales, together with all other funds available for application to the redemption of the Notes, would be sufficient to redeem the Co-Issued Notes at their applicable Redemption Prices and to pay all other accrued and unpaid expenses, fees and other amounts payable under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption" (other than amounts set forth in clause (9) (but with respect to clause (9), only as it relates to clause (xvi)) through clause (12) thereof). The Collateral Manager or any of its Affiliates may, but will not be required to, purchase (on an arms-length basis) all or a portion of the Collateral Debt Obligations being disposed of in connection with an optional redemption or a tax redemption at a purchase price equal to the Market Value thereof.

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Any notice of redemption may be withdrawn by the Issuer up to the sixth Business Day prior to the scheduled Redemption Date by written notice to the Trustee, each Hedge Counterparty, the Rating Agencies and the Collateral Manager only (i) if the Collateral Manager is unable to deliver such sale agreement or agreements or certifications, as the case may be, in form satisfactory to the Trustee and the Rating Agencies or (ii) at the direction of both the Holders of 66-2/3% in Aggregate Principal Amount of the Class D Notes (including Class D Notes owned by or pledged to the Collateral Manager or its Affiliates) and the Holders of 66-2/3% in Aggregate Principal Amount of the Class E Notes (including Class E Notes owned by or pledged to the Collateral Manager or its Affiliates)) (acting separately); provided that for purpose of this clause (ii) only, the Trustee has not commenced the sale and liquidation of the Collateral Debt Obligations. Notice of any such withdrawal of a notice of redemption will be given by the Trustee at the expense of the Issuer to each Holder of Notes at such Holder's address in the applicable Note Register by overnight courier guaranteeing next day delivery not later than the third Business Day prior to the scheduled Redemption Date. The Trustee will also arrange for notice of such withdrawal to be delivered to the Irish Stock Exchange so long as any Notes are listed thereon and so long as the guidelines of such exchange so require.

Redemption of Class E Notes and Class F Income Notes Following Repayment of the Co-Issued Notes and Class D Notes

Following the redemption in whole of the Co-Issued Notes and the Class D Notes, the Class E Notes and the Class F Income Notes will be redeemed in whole whether or not any amounts are then available for distribution to the Holders of the Class E Notes and the Class F Income Notes in accordance with the Priority of Payments.

Cancellation

All Notes of any Class that are redeemed or paid and surrendered for cancellation as described herein will forthwith be canceled and may not be reissued or resold.

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SECURITY FOR THE CO-ISSUED NOTES

The Issuer's obligations under the Co-Issued Notes will be secured by the collateral pledged to the Trustee for the benefit of the Secured Parties by the Issuer and the obligations of the Subsidiary Holding Companies under the Subsidiary Guarantee in respect of the Issuer's obligations under the Co-Issued Notes will be secured by the collateral pledged to the Trustee for the benefit of the Secured Parties by the Subsidiary Holding Companies. The collateral will generally consist of all of the property of (x) the Issuer (other than the Class D Reserve Account, the Hudson Canyon Distribution Account, the Class F Income Note Distribution Account and approximately U.S.$500 held in its Cayman Islands bank account), including its sole membership interests in the Subsidiary Holding Companies, Collateral Debt Obligations that it holds directly, the Collection Account, the Custodial Account, any Hedge Counterparty Collateral Account, the Loan Funding Account, the Payment Account, the Synthetic Letter of Credit Reserve Account, the Interest Reserve Account, the Expense Account, the Synthetic Security Collateral Account (subject to the prior rights of each Synthetic Security Counterparty therein), the Synthetic Security Issuer Account, any Hedge Agreement, the Eligible Investments and the rights of the Issuer under the Collateral Management Agreement, the Class F Income Note Issuing and Paying Agency Agreement, any Hedge Agreement, the Collateral Administration Agreement, the Sale and Purchase Agreement, the Subsidiary Guarantee and other collateral pledged to secure the Co-Issued Notes under the Indenture and (y) the Subsidiary Holding Companies, including, without limitation, money, instruments and other property and rights and all proceeds thereof, including the Collateral Debt Obligations and any Equity Security or Exchanged Equity Security owned by the Subsidiary Holding Companies. The collateral will be pledged to the Trustee for the benefit of the Co-Issued Noteholders and the other secured parties under the Indenture (which includes Invesco Senior Secured Management, Inc., in its capacity as Collateral Manager under the Collateral Management Agreement, until a successor Person will become Collateral Manager pursuant to the provisions of the Collateral Management Agreement, and, thereafter, the "Collateral Manager" will mean such successor Person). The security interest in the Loan Funding Account granted to the Trustee pursuant to the Indenture is for the benefit of first, the Swap Counterparty and CFPI to secure the Issuer's obligations to indemnify the Swap Counterparty and CFPI against any losses, claims, damages or liabilities to which the Swap Counterparty or CFPI, as the case may be, may become subject insofar as they arise out of or are based upon any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) arising after the Closing Date that the Swap Counterparty or CFPI, as the case may be, is required to satisfy (and does so satisfy) by reason of the limited liability company agreement of the Subsidiary Holding Company of which the Swap Counterparty or CFPI, as the case may be, was, prior to the Closing Date, the sole member (to the extent that neither the Issuer nor any Subsidiary Holding Company has satisfied such funding obligation) and second, the other Secured Parties. The Issuer will also grant to the Trustee for the benefit of the Holders of the Co-Issued Notes a security interest in any Synthetic Security Collateral, subject to the prior security interest of the related Synthetic Security Counterparty, and will notify such Synthetic Security Counterparty of such security interest and obtain such Synthetic Security Counterparty's acknowledgment of the Trustee's security interest.

Closing Date

On the Closing Date, the Existing Issuer will cause the Swap Counterparty and CFPI to transfer 100% of the ownership interests in the Subsidiary Holding Companies to the Issuer. The Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an Aggregate Principal Amount of approximately U.S.$365,000,000 (excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell). The Swap Counterparty and CFPI acquired such Collateral Debt Obligations through the Subsidiary Holding Companies in order to hedge the Swap Counterparty's obligations under the Existing Total Return Swap Transaction. On the Closing Date, the Issuer will enter into the Collateral Management Agreement with the Collateral Manager. See "Risk Factors—Acquisition of Collateral Debt Obligations". Invesco in its role as investment advisor for the Existing Issuer selected the Collateral Debt Obligations that, with the consent of the Swap Counterparty, were referenced by the Existing Total Return Swap Transaction and which will be included in the Collateral on the Closing Date.

A list of the Collateral Debt Obligations expected to be acquired on the Closing Date has been furnished to prospective investors and additional information and updates may obtained from the Initial Purchaser and the Placement Agent upon request.

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The Collateral Manager makes no representation or warranty with respect to appropriateness for the Issuer of the Collateral Debt Obligations acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date, given the Issuer's capital structure and investment restrictions or any tax consequences of the Exchange Transaction.

Interim Effective Date

On and after the Closing Date, the Issuer will apply funds in the Principal Collection Account to purchase additional Collateral Debt Obligations.

On the last day of the 45 day period immediately following the Closing Date (unless the Effective Date occurs on or prior to such date), the Issuer shall deliver to the Trustee and Moody’s a statement (A)(i)(x) that the Aggregate Principal Amount of all Collateral Debt Obligations (other than any Collateral Debt Obligations referred to in clauses (y) and (z)) which the Issuer has purchased or committed to purchase plus (y) the purchase price of any Collateral Debt Obligation (expressed as a percentage of the par amount) with a Moody’s Rating of below "B2" at the time of acquisition (or commitment to acquire) and purchased (or committed to purchase) for less than 70% of the outstanding principal balance which the Issuer has purchased or committed to purchase multiplied by the par amount of such Collateral Debt Obligations plus (z) 50% of the par amount of the Collateral Debt Obligation with LoanX ID LX072352 ("Select Remedy 2nd Lien") (excluding any amounts representing accrued and unpaid interest) is at least U.S.$380,000,000 and (ii) detailing the Aggregate Principal Amount of all Eligible Investments (including cash) standing to the credit of all Accounts (excluding amounts to be paid by the Issuer with respect to Collateral Debt Obligations that the Issuer has committed to purchase but for which settlement has not yet occurred), (B) that the Issuer is in compliance with the following tests (and calculations thereof in reasonable detail): (i) a Diversity Score of not less than 55, (ii) a Weighted Average Spread equal to or greater than 2.35%, (iii) a Moody's Weighted Average Recovery Rate equal to or greater than 45.0% and (iv) an Average Debt Rating of not greater than 2550 plus the Rating Factor Modifier, (C) if the Issuer is not in compliance with the tests set forth in clause (B), reasonably detailing a plan intended to result in compliance with each of the tests set forth in clause (B) and (D) detailing the Weighted Average Purchase Price of all Collateral Debt Obligations in the Collateral (including in such calculation, for avoidance of doubt, the purchase price of Collateral Debt Obligations that the Issuer has committed to purchase but for which settlement has not yet occurred).

Collateral Debt Obligations

The Collateral Debt Obligations acquired by the Issuer (including indirectly through the Issuer's acquisition of the membership interests in the Subsidiary Holding Companies) will secure the Co-Issued Notes. The net proceeds of the sale of the Notes will be used by the Issuer as partial consideration for the acquisition of the Collateral Debt Obligations. Except as otherwise required by the context hereof, any reference herein to the purchase or acquisition of a Collateral Debt Obligation shall include reference to the Issuer's indirect ownership of a Collateral Debt Obligation through its ownership of membership interests in a Subsidiary Holding Company.

A "Collateral Debt Obligation" means any (i) U.S. dollar-denominated Loan, (ii) Synthetic Security of which the related Reference Obligation is a Collateral Debt Obligation that is a U.S. dollar denominated Loan or (iii) Synthetic Security Collateral as to which the lien of the Synthetic Security Counterparty has been released following the termination of the Synthetic Security that, at the time the Issuer enters into a binding obligation to acquire it (directly or indirectly through its membership interest in the Subsidiary Holding Companies):

(a) provides for periodic payments of interest thereon in cash no less frequently than semi-annually and does not permit the deferral, partial deferral or capitalization of payment of interest including by providing for payment of interest through the issuance of additional debt securities identical to such debt security or through additions to the principal amount thereof by capitalizing the payment of interest due thereon;

(b) is not, at the time of purchase, a Defaulted Obligation, Credit Risk Obligation (except as described below), or Equity Security (other than any Equity Security attached to a Collateral Debt Obligation which is otherwise permitted to be acquired under the Indenture);

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(c) provides for a fixed amount of principal to be payable in cash according to a fixed schedule or at maturity and does not provide for earlier amortization or prepayment at a price of less than par;

(d) is not, at the time of purchase, the subject of an Offer;

(e) does not include any attached warrant, option or other similar right and is not by its terms convertible or exchangeable into any other security or obligation;

(f) if such Collateral Debt Obligation is a Floating Rate Collateral Debt Obligation, it bears interest at a floating rate that is paid on a periodic basis and computed on a benchmark interest rate plus or minus a spread, if any and such floating rate is determined by reference to U.S. dollar prime rate, London interbank offered rate or similar interbank offered rate, commercial deposit rate or any other index; provided that the use of such similar interbank offered rate, commercial deposit rate or any other index by the Issuer satisfies the Global Rating Agency Confirmation;

(g) the payment or repayment of the principal, if any, of the Collateral Debt Obligation is not an amount determined by reference to any formula or index or subject to any contingency under the terms thereof;

(h) is not an obligation or security whose timely payment of principal and interest is subject to substantial non credit related risk, as determined by the Collateral Manager;

(i) is the primary obligation of an obligor organized under the laws of, or whose principal place of business is located in, a country (A) that is the United States, Canada, a Moody's Group I Country, a Moody's Group II Country, a Moody's Group III Country or a Moody's Group IV Country or any other Tax Advantaged Jurisdiction and (B) that has a Moody's foreign currency rating of at least "Aa2" (and not on watch for possible downgrade) and an S&P foreign issuer credit rating of at least "AA";

(j) is not a Loan that is an obligation of a debtor in possession or a trustee for a debtor in an insolvency proceeding, other than a Current Pay Security or DIP Loan;

(k) is not a participation interest in a Loan representing a participation from a counterparty that does not have a long-term senior unsecured rating by Moody's of at least "A2" and an issuer credit rating from S&P of at least "A";

(l) does not have a rating from S&P which, if based on a public rating of S&P, contains a subscript of "f", "r", "t", "p", "pi" or "q";

(m) matures no later than the Stated Maturity Date, unless permitted pursuant to clause (xxiii) of the Percentage Limitations;

(n) is not an obligation or security that is convertible into any currency other than U.S. dollars;

(o) is not a lease;

(p) is Registered;

(q) the Issuer can acquire (in the manner it actually acquires), own, enforce and dispose of without causing the Issuer to be engaged in a U.S. trade or business for U.S. federal income tax purposes or otherwise subject to tax on a net income basis in any jurisdiction outside the Issuer's jurisdiction of incorporation;

(r) the Issuer will receive payments due under the terms of such obligation or security and proceeds from disposing of such obligation or security free and clear of withholding tax, other than (A) withholding tax as to which the obligor or issuer must make additional payments so that the net amount received by the Issuer after satisfaction of such tax is the amount due to the Issuer before the imposition of any withholding tax, or (B) withholding taxes on fees received on obligations or securities that include or support a Synthetic Letter of Credit;

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(s) unless such obligation or security is a Delayed Funding Loan or Revolving Loan, does not require any future advances to be made to the related obligor on or after the Closing Date;

(t) does not provide for a coupon rate or spread that decreases over time, unless such decrease is conditioned upon an objective improvement in the creditworthiness of the obligor thereon;

(u) is eligible to be sold to the Issuer and is pledgible by the Issuer in accordance with its Underlying Instruments and the laws of the United States and any applicable state thereof and is not an obligation or security of an issuer or obligor that is, or is organized or incorporated in, a sovereign country with respect to which business transactions are prohibited by any such laws;

(v) will not cause the Issuer to own more than 5.0% of the voting securities of an issuer or an obligor (or securities convertible thereinto);

(w) will not require the Issuer or the pool of Collateral to be registered as an investment company under the Investment Company Act;

(x) is not an obligation or security with respect to which the Collateral Manager or any of its Affiliates is the obligor thereunder;

(y) does not constitute Margin Stock or contain warrants or options that could be convertible into Margin Stock;

(z) is not a Bridge Loan;

(aa) is not a Structured Finance Security; and

(bb) is not part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000;

provided that any Deliverable Obligation actually delivered to the Issuer shall, upon delivery, be deemed to be a Collateral Debt Obligation, provided that at the time of such delivery such Deliverable Obligation satisfies clauses (a), (b) (except it may be a Credit Risk Obligation or Defaulted Obligation that is not described in clause (i) of the definition of Defaulted Obligation), (c) and (e) through (bb) above.

The Collateral Manager shall direct the Issuer and the Trustee to dispose of, in the open market or otherwise, certain Equity Securities, Exchanged Equity Securities or Defaulted Obligations, as provided in the Indenture. In addition, the Collateral Manager will be required to comply with certain guidelines in advising the Issuer in acquiring, owing, enforcing and selling Collateral Debt Obligations which are designed to prevent the Issuer from becoming subject to United States net income tax. Compliance with such guidelines may limit the investment opportunities available to the Issuer.

Synthetic Securities Structured as Default Swaps; the Synthetic Security Collateral Account

In connection with the acquisition of a Synthetic Security which is a credit default swap that requires the Issuer to secure its obligations under the related Swap and Security Documents, the Issuer will purchase Synthetic Security Collateral in an amount at least equal to the Issuer's future funding or deliverable obligations under the related Swap and Security Documents and deposit such Synthetic Security Collateral in a separate sub-account of the Synthetic Security Collateral Account. The Issuer shall grant to the related Synthetic Security Counterparty a first priority security interest in such Synthetic Security Collateral. The Issuer will also grant to the Trustee for the benefit of the Secured Parties a security interest in any Synthetic Security Collateral, subject to the prior lien of the related Synthetic Security Counterparty, and will notify such Synthetic Security Counterparty of such security interest and obtain such Synthetic Security Counterparty's acknowledgment of the Trustee's security interest. Withdrawals from such Synthetic Security Collateral Account shall be made in accordance with the terms of the related Swap and Security Documents in relation to such Synthetic Security.

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Interest payments, redemption premiums and all other amounts, other than principal payments on the

Synthetic Security Collateral will constitute property of the Issuer and will be paid to the Trustee and deposited into the Collection Account and treated as Collateral Interest Collections. Principal payments on the Synthetic Security Collateral prior to the termination of the Synthetic Security will be held in the applicable sub-account of the Synthetic Security Collateral Account and invested in Eligible Investments until reinvested in Synthetic Security Collateral at the direction of the Collateral Manager on behalf of the Issuer.

In the event the Issuer terminates or sells a portion of a Synthetic Security structured as a default swap prior

to its scheduled maturity without the occurrence of a Credit Event (but not due to the default of the related Synthetic Security Counterparty), the Trustee, upon Issuer order, will cause such portion of the related Synthetic Security Collateral required to make any termination payment owed to the related Synthetic Security Counterparty to be delivered to such Synthetic Security Counterparty and the remaining related Synthetic Security Collateral, to the extent not required to be pledged to such Synthetic Security Counterparty, will be released from the lien of such Synthetic Security Counterparty and delivered to the Trustee free of such lien. In the event that no Credit Event under a Synthetic Security structured as a default swap has occurred prior to the termination or scheduled maturity of the Synthetic Security, upon the termination or scheduled maturity of the Synthetic Security, the related Synthetic Security Counterparty's lien on the Synthetic Security Collateral related to the applicable Synthetic Security will be released and such Synthetic Security Collateral shall be delivered to the Trustee free of such lien. Upon release of the lien of the related Synthetic Security Counterparty, the Collateral Manager on behalf of the Issuer shall take or cause the taking of any and all other actions necessary to create in favor of the Trustee a valid, perfected, first-priority security interest in such Synthetic Security Collateral under applicable law and regulations (including Articles 8 and 9 of the applicable Uniform Commercial Code in effect at the time of such release).

Upon the occurrence of a Credit Event under a Synthetic Security structured as a default swap, unless the

Issuer elects to pay a "cash settlement amount" (as defined in the related Swap and Security Documents) or any other cash payment not contingent upon the delivery of a Deliverable Obligation, the Trustee, at the direction of the Collateral Manager, shall instruct LaSalle Bank National Association, as custodian, to deliver the related Synthetic Security Collateral to the related Synthetic Security Counterparty upon delivery of the related Deliverable Obligation to the Issuer. In the event a Credit Event has occurred and the Issuer is required to deliver the related Synthetic Security Collateral to the related Synthetic Security Counterparty or to liquidate such Synthetic Security Collateral and deliver cash, the related Synthetic Security Counterparty will bear any market risk on the liquidation of such Synthetic Security Collateral.

Any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty

which satisfies the definition of "Eligible Investments" shall be treated as Eligible Investments and any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty Account which satisfies the definition of "Collateral Debt Obligation" shall be treated as Collateral Debt Obligations and in either case may be retained by the Trustee or sold by the Issuer at the direction of the Collateral Manager without regard to whether such sale would be permitted as a sale of a Defaulted Obligation, Equity Security, Credit Risk Obligation, Credit Improved Obligation or otherwise; provided that no Event of Default has occurred and is continuing. Any Synthetic Security Collateral that does not satisfy the definition of "Eligible Investment" or "Collateral Debt Obligation" shall be deemed to be a Defaulted Obligation. Any cash received upon the maturity or liquidation of the Synthetic Security Collateral released to the Trustee shall be treated as Collateral Principal Collections comprised of any of (a) scheduled repayments, if the Synthetic Security was terminated at its scheduled maturity, (b) Sale Proceeds, if the Synthetic Security was terminated, sold or assigned by the Collateral Manager prior to its scheduled maturity, or (c) unscheduled principal payments, if the Synthetic Security was subject to early termination other than by the Issuer.

Notwithstanding anything to the contrary herein, if an "event of default" or "termination event" as to which

such Synthetic Security Counterparty is the sole "defaulting party" or the sole "affected party", in each case as defined in the related Swap and Security Document has occurred, the Synthetic Security Counterparty shall not be entitled to any amounts released from the relevant sub-account of the Synthetic Security Collateral Account and any amounts owed to such Synthetic Security Counterparty in relation to such Synthetic Security shall be paid solely pursuant to the Priority of Payments.

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Criteria for Purchase of Collateral

A list of the Collateral Debt Obligations expected to be acquired on the Closing Date has been furnished to prospective investors and additional information and updates may be obtained from the Initial Purchaser and the Placement Agent upon request. During the Reinvestment Period and as described herein in "Security for the Co-Issued Notes—Purchase of Collateral Debt Obligations after the Reinvestment Period", the Issuer will be permitted to acquire additional Collateral Debt Obligations subject to the requirements of the Collateral Management Agreement and the Indenture, including the criteria and limitations set forth below.

Percentage Limitations

The minimum and maximum limits listed in clause (i) through (xxvi) below are collectively referred to as the "Percentage Limitations":

(i) the Aggregate Principal Amount of Loans in the Collateral that evidence obligations of, or are guaranteed by, any single issuer or guarantor and, in each case, any of its respective Affiliates is in each case less than or equal to 1.5% of the Aggregate Collateral Balance; provided that (i) the Aggregate Principal Amount of Loans that evidence obligations of, or are guaranteed by, not more than 5 single issuers or guarantors and, in each case, any of their respective Affiliates is, in each case, greater than 1.5% but less than or equal to 2.0% of the Aggregate Collateral Balance and (ii) the Aggregate Principal Amount of Loans that evidence obligations of, or are guaranteed by, not more than 2 single issuers or guarantors and, in each case, any of their respective Affiliates is, in each case, greater than 2.0% but less than or equal to 2.3% of the Aggregate Collateral Balance;

(ii) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) the United States is equal to or greater than 85.0% of the Aggregate Collateral Balance;

(iii) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) Canada is less than or equal to 15.0% of the Aggregate Collateral Balance;

(iv) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) any single country that is a Moody's Group I Country is less than or equal to 10.0% of the Aggregate Collateral Balance;

(v) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) any single country that is a Moody's Group II Country is less than or equal to 5.0% of the Aggregate Collateral Balance;

(vi) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) any single country that is a Moody's Group III Country is less than or equal to 5.0% of the Aggregate Collateral Balance;

(vii) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers or guaranteed by guarantors in each case organized or incorporated in (or whose primary place of business is located in) any single country that is a Moody's Group IV Country is less than or equal to 3.0% of the Aggregate Collateral Balance;

(viii) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are issued by issuers organized under the laws of a Tax Advantaged Jurisdiction, is less than or equal to 3.0% of the Aggregate Collateral Balance;

(ix) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral, the obligors of which comprise any single Moody's Industry Classification Group is less than or equal to 10.0% of the Aggregate

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Collateral Balance; provided that the Aggregate Principal Amount of the Collateral Debt Obligations in the Collateral, the obligors of which comprise any two Moody's Industry Classification Groups is greater than 10.0% but less than or equal to 15.0% of the Aggregate Collateral Balance;

(x) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral which are Senior Secured Loans is greater than or equal to 95.0% of the Aggregate Collateral Balance;

(xi) the Aggregate Principal Amount of the Collateral Debt Obligations in the Collateral that represent Participations or Synthetic Securities is less than or equal to, in the aggregate, 20.0% of the Aggregate Collateral Balance; provided that, at the time any Participations are acquired by the Issuer, the percentage of the Aggregate Collateral Balance that is represented by participation interests in Loans entered into by the Issuer with a single Selling Institution will not exceed the individual percentage set forth in the table in the definition of "Participation" contained in Annex A hereto for the credit rating of such Selling Institution (or its Affiliates) and the percentage of the Aggregate Collateral Balance that is represented by Participations entered into by the Issuer with counterparties having the same credit rating will not exceed the aggregate percentage set forth in such table for such credit rating;

(xii) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that have units of debt or warrants to purchase Equity Securities attached to such Collateral Debt Obligations is less than or equal to 10% of the Aggregate Collateral Balance; provided, that the portion of the purchase price of a Collateral Debt Obligation that is allocable to a warrant that is purchased as part of a "unit" with such Collateral Debt Obligation and that is not itself eligible for purchase as an Collateral Debt Obligation may not exceed 2% of the purchase price of such Collateral Debt Obligation;

(xiii) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are (i) DIP Loans is less than or equal to, in the aggregate, 5.0% of the Aggregate Collateral Balance and (ii) DIP Loans that evidence obligations of, or are guaranteed by, any single issuer is less than or equal to, in the aggregate, 2.0% of the Aggregate Collateral Balance;

(xiv) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are Revolving Loans or Delayed Funding Loans is less than or equal to, in the aggregate, 10.0% of the Aggregate Collateral Balance; provided that no Revolving Loans or Delayed Funding Loans shall be purchased unless, immediately after giving effect to such purchase, the amount of funds on deposit in the Loan Funding Account will be equal to 100% of the combined aggregate principal amounts of the Unfunded Commitments under the Revolving Loans and Delayed Funding Loans included in the Collateral as of the date of purchase;

(xv) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that provide for periodic payments of interest thereon in cash less frequently than quarterly is less than or equal to 5.0% of Aggregate Collateral Balance;

(xvi) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that (i) are Current Pay Securities is less than or equal to, in the aggregate, 7.5% of the Aggregate Collateral Balance and (ii) were Current Pay Securities at the time they became part of the Collateral is less than or equal to, in the aggregate, 5.0% of the Aggregate Collateral Balance;

(xvii) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral (excluding Defaulted Obligations) that have a Moody's Default Probability Rating of "Caa1" or below or that have an S&P Rating of "CCC+" or below is less than or equal to 7.5% of the Aggregate Collateral Balance;

(xviii) (A) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are Deep Discount Securities, Existing Deep Discount Securities and Replacement Deep Discount Securities is less than or equal to 30.0% of the Aggregate Collateral Balance, (B) the Aggregate Principal Amount of Deep Discount Securities in the Collateral with a Moody’s Rating of below "B2" at the time of acquisition is less than or equal to 10.0% and (C) the Aggregate Principal Amount of Deep Discount Securities in the Collateral purchased for less than 70% of outstanding principal balance thereof is less than or equal to 5.0%;

(xix) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are Synthetic Letters of Credit is less than or equal to 2.0% of the Aggregate Collateral Balance;

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(xx) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are Second Lien Loans is less than or equal to 5.0% of the Aggregate Collateral Balance;

(xxi) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral that are Senior Unsecured Loans is less than or equal to 5.0% of the Aggregate Collateral Balance;

(xxii) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are Covenant-Lite Loans is less than or equal to 10.0% of the Aggregate Collateral Balance;

(xxiii) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that have a stated maturity that occurs within 2 years after the Stated Maturity Date is less than or equal to 2.0% of the Aggregate Collateral Balance;

(xxiv) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are Fixed Rate Collateral Debt Obligations (other than Deemed Floating Rate Collateral Debt Obligations) is less than or equal to 2.0% of the Aggregate Collateral Balance;

(xxv) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are Step-Up Obligations may not exceed 3.0% of the Aggregate Collateral Balance; and

(xxvi) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral that are Deemed Floating Rate Collateral Debt Obligations may not exceed 10.0% of the Aggregate Collateral Balance.

For purposes of determining compliance with the Percentage Limitations, the ratings of any Collateral Debt Obligation that is on credit watch by Moody's or on S&P's CreditWatch list will be adjusted in accordance with the definition of "Moody's Rating" or "S&P Rating", as applicable. With respect to clause (x) above, "Aggregate Principal Amount" shall be deemed to include (a) the aggregate Balance of Eligible Investments in the Collateral representing Collateral Principal Collections and (b) the aggregate Balance of Eligible Investments and cash in the Principal Collection Account. With respect to clauses (iv), (v), (vi) and (vii) above, the Aggregate Principal Balance of all Collateral Debt Obligations in the Collateral that are issued by issuers organized or incorporated in a Tax Advantaged Jurisdiction shall be counted towards the maximum permitted percentage of the Aggregate Collateral Balance set forth in such clauses that is applicable to the jurisdiction that is the primary place of business of such issuer (in addition to being counted towards the maximum permitted percentage of the Aggregate Collateral Balance set forth in clause (viii) above. With respect to clause (xii), the Aggregate Principal Amount of such Equity Securities may be determined by the Collateral Manager’s reasonable belief.

S&P CDO Monitor Test

The S&P CDO Monitor Test will be satisfied if, after giving effect to the purchase of a Collateral Debt Obligation (after the sale of a Collateral Debt Obligation, if applicable), the Class A-1 Default Differential of the Proposed Portfolio is not negative, the Class A-2 Default Differential of the Proposed Portfolio is not negative, the Class B Default Differential of the Proposed Portfolio is not negative and the Class C Default Differential of the Proposed Portfolio is not negative. The S&P CDO Monitor Test will be considered to be improved if the Class A-1 Default Differential of the Proposed Portfolio is at least equal to the Class A-1 Default Differential of the Current Portfolio, the Class A-2 Default Differential of the Proposed Portfolio is at least equal to the Class A-2 Default Differential of the Current Portfolio, the Class B Default Differential of the Proposed Portfolio is at least equal to the Class B Default Differential of the Current Portfolio and the Class C Default Differential of the Proposed Portfolio is at least equal to the Class C Default Differential of the Current Portfolio. The Issuer or the Trustee must notify S&P if the S&P CDO Monitor Test is neither satisfied nor improved. In applying the S&P CDO Monitor Test, the Issuer shall use the relevant version of the S&P CDO Monitor Test that corresponds to the Weighted Average Spread of the Collateral Debt Obligations in the Collateral to determine the appropriate break-even default rate for each Class of Co-Issued Notes.

The "S&P CDO Monitor" is the dynamic, analytical computer program developed by S&P and used to estimate default risk of the portfolio of Collateral Debt Obligations as provided to the Issuer, the Trustee, the Collateral Manager and the Collateral Administrator by S&P (along with all instructions and assumptions necessary to run such program) on or before the Closing Date, as it may be modified by S&P following the Closing Date. For

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the purpose (and only for the purpose) of applying the S&P CDO Monitor to a portfolio of obligations (including Synthetic Securities), for each obligation in the portfolio, the rating of such obligation will be deemed to be the S&P Rating thereof.

There can be no assurance that actual defaults of the Collateral Debt Obligations or the timing of defaults will not exceed those assumed in the application of the S&P CDO Monitor or that recovery rates with respect thereto will not differ from those assumed in the S&P CDO Monitor Test.

S&P makes no representation that actual defaults will not exceed those determined by the S&P CDO Monitor. None of the Collateral Manager, the Trustee, the Collateral Administrator or the Co-Issuers makes any representation as to the expected rate of defaults of the Collateral Debt Obligations or the timing of defaults or as to the expected recovery rate or the timing of recoveries.

Collateral Coverage Tests

The Issuer is required to satisfy the Collateral Coverage Tests on any date of determination on or after the Effective Date; provided that (x) the Interest Coverage Tests are only required to be satisfied on any date of determination occurring after the Initial Payment Date and (y) the Issuer is permitted to purchase any Collateral Debt Obligation if any Collateral Coverage Test is not satisfied, so long as the ratio related to such unsatisfied Collateral Coverage Test will be maintained or improved after giving effect to such purchase (provided that such requirement is not applicable to any Collateral Debt Obligation acquired with the proceeds from any Defaulted Obligation).

Purchase of Collateral Debt Obligations during the Reinvestment Period

Sale Proceeds received with respect to sales of Collateral Debt Obligations and any funds on deposit in, or otherwise standing to the credit of, the Principal Collection Account may be used during the Reinvestment Period to purchase additional Collateral Debt Obligations after the Closing Date. The Reinvestment Period will end on the Payment Date in April, 2013.

During the Reinvestment Period, Sale Proceeds and any funds on deposit in, or otherwise standing to the credit of, the Principal Collection Account may be used by the Issuer (or the Collateral Manager on its behalf) to purchase additional Collateral Debt Obligations for inclusion in the Collateral only if, as of the date of purchase, (w) such additional Collateral Debt Obligation satisfies the definition of "Collateral Debt Obligation", (x) such additional Collateral Debt Obligation is purchased at a purchase price equal to or greater than 50% of the Principal Balance thereof and (y) with effect from the Effective Date only, each of the criteria specified below (the "Eligibility Criteria") is satisfied:

(1) the Diversity Test is satisfied or, if the Diversity Test is not satisfied prior to giving effect to the proposed purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Total Diversity Score of all of the Collateral Debt Obligations included in the Collateral as of the date of purchase will be maintained or improved after giving effect to such purchase;

(2) the Average Debt Rating Test is satisfied or, if the Average Debt Rating Test is not satisfied prior to giving effect to any proposed purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Average Debt Rating of the Collateral Debt Obligations included in the Collateral will be maintained or improved (after giving effect to the purchases and sales that take place on the same trade date);

(3) each of the Percentage Limitations is satisfied or, if one or more Percentage Limitations is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, each such Percentage Limitation will be maintained or improved after giving effect to such purchase;

(4) the Weighted Average Coupon Test is satisfied or, if the Weighted Average Coupon Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Weighted Average Coupon of all of the Collateral Debt Obligations included in the Collateral as of the date of such purchase will be maintained or improved after giving effect to such purchase;

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(5) the Weighted Average Spread Test is satisfied or, if the Weighted Average Spread Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Weighted Average Spread of all of the Collateral Debt Obligations included in the Collateral as of the date of such purchase will be maintained or improved after giving effect to such purchase;

(6) the Weighted Average Life Test is satisfied or, if the Weighted Average Life Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Weighted Average Life of all of the Collateral Debt Obligations included in the Collateral as of the date of purchase will be maintained or improved after giving effect to such purchase;

(7) the Moody's Weighted Average Recovery Rate Test is satisfied or, if the Moody's Weighted Average Recovery Rate Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the Moody's Weighted Average Recovery Rate of all of the Collateral Debt Obligations included in the Collateral as of the date of purchase will be maintained or improved after giving effect to such purchase;

(8) the S&P Minimum Weighted Average Recovery Rate Test is satisfied or, if the S&P Minimum Weighted Average Recovery Rate Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, each of the Class A-1 S&P Minimum Weighted Average Recovery Rate Test, the Class A-2 S&P Minimum Weighted Average Recovery Rate Test, the Class B S&P Minimum Weighted Average Recovery Rate Test and the Class C S&P Minimum Weighted Average Recovery Rate Test will be maintained or improved after giving effect to such purchase;

(9) the S&P CDO Monitor Test is satisfied or, if the S&P CDO Monitor Test is not satisfied prior to giving effect to any purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, such test will be maintained or improved after giving effect to such purchase; provided that this criteria (9) need not be satisfied with respect to the reinvestment of Sale Proceeds received from the sale of a Collateral Debt Obligation;

(10) each Collateral Coverage Test is satisfied or, if any Collateral Coverage Tests are not satisfied prior to giving effect to purchase of any Collateral Debt Obligation, and will not be satisfied after giving effect thereto, the ratio related to such unsatisfied Collateral Coverage Test will be maintained or improved after giving effect to such purchase; provided that any scheduled distributions and Sale Proceeds received in respect of Defaulted Obligations may be reinvested in Collateral Debt Obligations only if each of the Collateral Coverage Tests are satisfied after giving effect to such reinvestment and

(11) no Event of Default has occurred and is continuing.

For purposes of determining compliance with the Eligibility Criteria (other than the Weighted Average Life Test) and the Percentage Limitations, a Synthetic Security will be treated as a Collateral Debt Obligation having the characteristics of the underlying Reference Obligation and not of such Synthetic Security (except to the extent the characteristics of the underlying Reference Obligation are modified by such Synthetic Security); provided that, for the purposes of determining the Moody’s Weighted Average Recovery Rate and the S&P Weighted Average Recovery Rate, a Synthetic Security will have a "recovery rate" as assigned by Moody’s or S&P (as applicable) and for the purposes of determining the Average Debt Rating, a Synthetic Security will have a rating assigned by Moody’s. For the avoidance of doubt, the failure to satisfy any of the Eligibility Criteria on the Closing Date or the Effective Date will not constitute a Default or Event of Default.

If the Issuer has previously entered into a commitment to acquire a Collateral Debt Obligation in order to be acquired for inclusion in the Collateral, then the Issuer need not comply with any of the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, on the date of such acquisition if the Issuer complied with the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, on the date on which the Issuer entered into such commitment.

Purchase of Collateral Debt Obligations after the Reinvestment Period

Following the Reinvestment Period, the Collateral Manager may instruct the Trustee to reinvest Unscheduled Principal Payments and Sale Proceeds from the sale of Credit Risk Obligations in Collateral Debt

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Obligations; provided that (i) such Unscheduled Principal Payments or Sale Proceeds from the sale of Credit Risk Obligations are reinvested by the end of the Due Period that follows the Due Period in which such amounts were received, (ii) any additional Collateral Debt Obligations that are acquired are purchased at a purchase price equal to or greater than 50% of the Principal Balance thereof and (iii) the following conditions are satisfied (the "Post Reinvestment Period Criteria"):

(a) each of the Eligibility Criteria would be satisfied after giving effect to such investment or if any such criterion was not satisfied prior to such reinvestment, such criterion would be maintained or improved after giving effect hereto;

(b) each of the Collateral Coverage Tests was satisfied prior to such reinvestment and continues to be satisfied after giving effect to such reinvestment;

(c) the S&P Rating of such Collateral Debt Obligation is at least equal to the S&P Rating of the Credit Risk Obligation that was the source of Sale Proceeds, as applicable;

(d) each of the Collateral Quality Tests (other than the Weighted Average Life Test) is satisfied or, if prior to such investment any such test was not satisfied, the related ratio or value for each Collateral Quality Test would be maintained or improved following such reinvestment; except that no reinvestment after the Reinvestment Period shall be permitted unless:

(i) the Average Debt Rating Test, the Weighted Average Spread Test and the Moody's Weighted Average Recovery Rate Test are each satisfied after giving effect to such reinvestment;

(ii) the maturity of the purchased Collateral Debt Obligation is not later than the maturity of the Collateral Debt Obligation that generated the reinvested Sale Proceeds, if applicable;

(iii) after giving effect to such reinvestment (a) the Aggregate Principal Amount of Collateral Debt Obligations in the Collateral (excluding Defaulted Obligations) that have a Moody's Default Probability Rating of "Caa1" or below or have an S&P Rating of "CCC+" or below is less than or equal to 7.5% of the Aggregate Collateral Balance;

(iv) the ratings of the Class A-1 Notes, the Class A-2 Notes and the Class B Notes are not below their respective initial ratings and the rating of the Class C Notes is not more than one subcategory lower than the initial rating;

(v) if the S&P CDO Monitor Test was satisfied prior to such reinvestment, it must continue to be satisfied thereafter and, if it was not satisfied prior to such reinvestment, it must be maintained or improved;

(e) the Collateral Debt Obligations purchased with such Unscheduled Principal Payments have an aggregate principal amount at least equal to the amount of such Unscheduled Principal Payments.

If the Issuer has previously entered into a commitment to acquire a Collateral Debt Obligation in order to be acquired for inclusion in the Collateral, then the Issuer need not comply with any of the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, on the date of such acquisition if the Issuer complied with the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, on the date on which the Issuer entered into such commitment.

Trading Plans

Notwithstanding the restrictions on acquisitions of Collateral Debt Obligations set forth in the preceding sections, but subject to the immediately following paragraph, if the Eligibility Criteria or Post Reinvestment Period

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Criteria, as applicable, would not be satisfied upon the proposed purchase of a single Collateral Debt Obligation but the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, would be satisfied upon the proposed purchase of a number of Collateral Debt Obligations (including such single Collateral Debt Obligation), testing the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, as described below in subclause (b), then the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, will be deemed to be satisfied for all such Collateral Debt Obligations if the following conditions are met: (a) such Collateral Debt Obligations have been acquired or will be acquired by the Issuer in accordance with a Trading Plan; (b) as evidenced by an officer’s certificate delivered to the Trustee on or prior to the earliest event specified in such Trading Plan, the Eligibility Criteria or Post Reinvestment Period Criteria, as applicable, are expected to be satisfied as of the trade date relating to the last Collateral Debt Obligation that will be purchased pursuant to such Trading Plan or, if not expected to be satisfied as of such trade date, are expected to be maintained or improved as of such trade date; and (c) the ratings by Moody’s on the Class A-1 Notes, the Class A-2 Notes and the Class B Notes are not one or more rating subcategories, and the rating by Moody’s on the Class C Notes is not two or more rating subcategories, in each case below the applicable ratings in effect on the Closing Date or withdrawn by Moody’s. The delivery of a “trade ticket” by the Collateral Manager on behalf of the Issuer shall constitute an officer’s certificate demonstrating compliance with the requirements of clause (b) above.

If a Trading Plan that was implemented results in the deterioration in the Issuer’s level of compliance with any of the Eligibility Criteria or Post Reinvestment Period Criteria, other than due to (x) a failure of a counterparty or issuer to comply with any of its payment or delivery obligations to the Issuer or any other default by such counterparty or issuer for reasons beyond the control of the Issuer or any other terms that were agreed with the Issuer at or prior to the commencement of such Trading Plan or (y) an error or omission of an administrative or operational nature made by any bank, broker-dealer, clearing corporation or other similar financial intermediary holding funds, securities or other property directly or indirectly for the account of the Issuer, notice will be provided to S&P and Moody's and the Issuer will be prohibited from entering into any additional Trading Plan notwithstanding that such Trading Plan was executed in good faith. The time period for such Trading Plan shall be measured from the earliest trade date to the latest trade date of any such amounts. The Collateral Manager may only specify one Trading Plan per trade date. The Issuer will provide notice to S&P of any failed Trading Plan.

Assignment of Collateral Debt Obligations

In accordance with the Indenture, promptly after the Closing Date, the Issuer will become the registered owner of all Revolving Loans and Delayed Funding Loans with an unfunded component on the Closing Date (or Participations therein) held on the Closing Date by a Subsidiary Holding Company. In addition, after the Closing Date, the Issuer may, at the discretion of the Collateral Manager, become the registered owner of other Collateral Debt Obligations held on the Closing Date by a Subsidiary Holding Company. The Issuer (or the Collateral Manager on its behalf) will effect such transfer(s) without regard to (i) any limitation in the Indenture regarding transactions with Affiliates and (ii) the restriction that acquisitions may only occur during the Reinvestment Period or as described herein in "Security for the Co-Issued Notes—Purchase of Collateral Debt Obligations after the Reinvestment Period". Any such transfer will be a distribution by the relevant Subsidiary Holding Company to the Issuer under Delaware law.

Sale of Collateral Debt Obligations

Collateral Debt Obligations may be retired prior to their respective final maturities due to, among other things, the existence and frequency of exercise of any optional or mandatory prepayment or sinking fund features of such Collateral Debt Obligations. In addition, subject to the terms of the Indenture, including the restrictions described herein, the Collateral Manager (on behalf of the Issuer) may, at any time during the life of the Notes, effect the sale of any:

(a) Defaulted Obligation or Equity Security;

(b) Credit Risk Obligation;

(c) Credit Improved Obligation;

(d) Collateral Debt Obligation in respect of which a Tax Event has occurred;

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(e) Collateral Debt Obligation in connection with the redemption of the Notes in full upon an optional redemption or a tax redemption; or

(f) Collateral Debt Obligation that is not described in (a) through (e) above pursuant to a Discretionary Sale during the Reinvestment Period.

A Defaulted Obligation or an Equity Security may be sold without restriction. Any Equity Security, any Exchanged Equity Security and any Defaulted Obligation that fails to satisfy clauses (p), (q) and (r) of the definition of "Collateral Debt Obligation" must be sold within five Business Days of the Issuer's receipt thereof (or within five Business Days after such security may first be sold in accordance with its terms and applicable law). The Collateral Manager (on behalf of the Issuer) will direct the Trustee in writing to sell any Defaulted Obligation within three years after such obligation becomes a Defaulted Obligation and any Equity Security within one year of the date it forms part of the Collateral (but, in each case, only to the extent that the Collateral Manager (on behalf of the Issuer) determines that such sale can be made after using its commercially reasonable efforts); provided, however, if the sale of any Defaulted Obligation has not commenced prior to the end of such three year period (which commencement need not be made if there is no practical market for such Defaulted Obligation), the Issuer may retain such Defaulted Obligation and the Defaulted Obligation Amount shall be zero. For purposes of this paragraph, a sale will be deemed to have occurred when a transfer of such Defaulted Obligation or Equity Security has been commenced even if such transfer has not settled. Further, if such settlement fails, the Collateral Manager (on behalf of the Issuer) will have a commercially reasonable period of time to find another buyer for such Defaulted Obligation or Equity Security.

A Credit Risk Obligation or a Collateral Debt Obligation in respect of which a Tax Event has occurred may be sold at any time without restriction provided that (x) with respect to any Credit Risk Obligation sold during the Reinvestment Period the Collateral Manager (acting as agent on behalf of the Issuer) will use its commercially reasonable efforts to purchase, before the end of the next Due Period, one or more additional Collateral Debt Obligations having an Aggregate Principal Amount at least equal to the Sale Proceeds received from the sale of such Collateral Debt Obligation and (y) that no Event of Default has occurred and is continuing.

A Credit Improved Obligation may be sold at any time (x) that during the Reinvestment Period the Collateral Manager (acting as agent on behalf of the Issuer) will use its commercially reasonable efforts to purchase, before the end of the next Due Period, one or more additional Collateral Debt Obligations having an Aggregate Principal Amount at least equal to the Aggregate Principal Amount of the Collateral Debt Obligation sold and (y) that no Event of Default has occurred and is continuing.

In the event of an optional redemption of the Notes, the Issuer or the Collateral Manager (on behalf of the Issuer) will at any time direct the Trustee to effect the sale of Collateral Debt Obligations without regard to the foregoing limitations (but otherwise in accordance with the provisions set forth in the Indenture); provided that (a) the Sale Proceeds therefrom, together with certain other amounts, if applicable, will be at least sufficient to pay certain expenses and redeem all the Co-Issued Notes at the applicable Redemption Prices and (b) such Sale Proceeds and other amounts are used to make such a redemption.

The Collateral Manager (on behalf of the Issuer) may only effect the sale of a Collateral Debt Obligation that is the subject of an Offer or call for redemption if either (1) the sale price for such obligation is equal to or greater than the price available pursuant to such Offer or call or (2) in the Collateral Manager's sole judgment there is reasonable likelihood that the Offer or call will not be consummated or, if consummated, may be delayed until more than 20 days beyond the date of such sale.

Any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty which satisfies the definition of "Eligible Investments" will be treated as Eligible Investments and any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty which satisfies the definition of "Collateral Debt Obligation" will be treated as Collateral Debt Obligations and in either case may be retained by the Trustee or sold by the Collateral Manager at the sole discretion of the Collateral Manager without regard to whether such sale would be permitted as a sale of a Defaulted Obligation, Equity Security, Credit Risk Obligation, Credit Improved Obligation or otherwise; provided that no Event of Default has occurred and is continuing.

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The Indenture and the Collateral Management Agreement place significant restrictions and limitations on the ability of the Collateral Manager to advise the Issuer to sell obligations in the Collateral, and the Collateral Manager is subject to compliance with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Issuer may be unable to sell obligations or to take other actions which the Collateral Manager might consider in the best interests of the Issuer and the Noteholders.

Notwithstanding the foregoing, if the Collateral Manager is removed for cause and a successor Collateral Manager has not been appointed and accepted such appointment as provided in the Collateral Management Agreement, the Collateral Manager shall not direct the Trustee to make any sales of Credit Improved Obligations or Discretionary Sales.

Hedge Agreements

After the Closing Date, the Issuer may enter into interest rate caps, interest rate swaps (including fixed-floating and basis swaps), interest rate floors, asset specific hedges, timing hedges and other interest rate protection agreements, or any Deemed Floating Asset Hedge Agreements with one or more Hedge Counterparties in accordance with the Indenture (each, a "Hedge Agreement"); provided that on such date (i) such Hedge Counterparty entering into a Hedge Agreement on such date shall be required to satisfy the Hedge Counterparty Ratings Requirement, (ii) the Global Rating Agency Confirmation shall be satisfied or such Hedge Agreement is in the form of a document that has satisfied the Global Rating Agency Confirmation, (iii) the Issuer shall assign any such Hedge Agreement to the Trustee pursuant to the Indenture and such Hedge Counterparty shall consent to such assignment and (iv) if any Class A-1 Notes are then Outstanding, at least 66-2/3% of the Aggregate Principal Amount of the Class A-1 Notes then Outstanding shall have consented to the entry by the Issuer into such Hedge Agreement. The Issuer shall enter into a Hedge Agreement only if such Hedge Agreement contains "limited recourse" and "non-petition" provisions equivalent to the "limited recourse" and "non-petition" provisions set forth in the Indenture (mutatis mutandis). The Issuer shall not enter into any hedge agreement (a) the payments from which are subject to withholding tax (unless only the hedge counterparty is required to withhold and the hedge counterparty shall be required in accordance with the terms of the hedge agreement to pay additional amounts to the Issuer sufficient to cover any withholding tax, due on payments made by the hedge counterparty to the Issuer under such hedge agreement (subject to the Issuer making customary tax representations) and the Issuer shall not be required to pay additional amounts to the hedge counterparty with respect to any withholding tax) or (b) the entry into, performance or termination of which would subject the Issuer to net income tax in any jurisdiction outside the Issuer's jurisdiction of incorporation.

In addition to any interest rate cap, interest rate swap (including fixed-floating and basis swaps), interest rate floors, asset specific hedges, timing hedges and any other interest rate protection agreement, the Issuer may, after the Closing Date and subject to conditions set forth in the Indenture, enter into one or more interest rate swap agreements with respect to specific Collateral Debt Obligations. Any such interest rate swap agreement that hedges a Fixed Rate Collateral Debt Obligation into a Floating Rate Collateral Debt Obligation is referred to in the Indenture as a "Deemed Floating Asset Hedge Agreement". Such hedged Collateral Debt Securities are referred to as "Deemed Floating Rate Collateral Debt Obligations".

The Trustee shall, on behalf of the Issuer and in accordance with the confirmation under the relevant Hedge Agreement, pay amounts due to the Hedge Counterparty under such Hedge Agreement on any Payment Date subject to and in accordance with the Priority of Payments.

Each Hedge Agreement shall provide for ratings requirements of the Hedge Rating Determining Party, downgrade events, collateralization events and substitution events that are consistent with, at the time of entry into such Hedge Agreement, the requirements of each Rating Agency.

If at any time any Hedge Agreement becomes subject to early termination due to the occurrence of a Subordinated Termination Event, the Issuer shall give prompt written notice thereof to the Trustee, and the Issuer and the Trustee shall take such actions (following the expiration of any applicable grace period) to enforce the rights of the Issuer and the Trustee thereunder as may be permitted by the terms of any such Hedge Agreement and consistent with the terms of the Indenture, and shall apply the proceeds of any such actions (including the proceeds of the liquidation of any collateral pledged by the Hedge Counterparty) to the costs of such actions and to the cost of entering into a replacement Hedge Agreement on such terms as, and with a Hedge Counterparty with respect to

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which, the Issuer has satisfied the Global Rating Agency Confirmation shall have been satisfied (including pursuant to a form approved by each Rating Agency) (and pending such application, such proceeds shall be held in the Collection Account as Collateral Interest Collections but shall not be applied for any use other than to enter into a replacement Hedge Agreement as aforesaid); provided that such replacement Hedge Agreement will not comply with this provision unless as of the date that the Issuer and Hedge Counterparty enter into such replacement Hedge Agreement neither the replacement Hedge Counterparty nor the Issuer will be required to withhold or deduct on account of any tax from any payments under the replacement Hedge Agreement.

Any costs attributable to entering into a replacement Hedge Agreement which exceed the sum of the proceeds of the liquidation of the terminated Hedge Agreement shall be borne by the "defaulting party" or sole "affected party" (each as defined in the relevant Hedge Agreement) with respect to such "event of default" or "termination event". In determining the amount payable under the terminated Hedge Agreement, the Collateral Manager on behalf of the Issuer will seek quotations "Reference Market-makers" (as defined in the relevant Hedge Agreement) that satisfy the Hedge Counterparty Ratings Requirement. In addition, the Issuer will use reasonable efforts to cause the termination of a Hedge Agreement to become effective simultaneously with the entry into a replacement Hedge Agreement described as aforesaid, and in any event, shall enter into a replacement Hedge Agreement within 30 days of any termination of any Hedge Agreement. If at any time a Hedge Agreement becomes subject to early termination due to the occurrence of an Optional Redemption, such Hedge Agreement shall not terminate until such time as such Optional Redemption becomes irrevocable or on such earlier day as is necessary to determine the amounts payable thereunder such that such amounts are taken into account when calculating the amounts required pursuant to the Indenture. The S&P Rating Agency Confirmation must be satisfied prior to any designation by the Issuer of an "early termination date" under and as defined in any Hedge Agreement which will result in a net termination payment by the Issuer to the Hedge Counterparty and the Issuer shall notify each of the Rating Agencies of the amount payable by the Issuer under any terminated Hedge Agreement promptly following the determination thereof.

Pursuant to the Priority of Payments, on any Payment Date that is not a Redemption Date, Accelerated Distribution Date or the Stated Maturity Date, scheduled payments required to be made by the Issuer under any Hedge Agreement, together with any termination payments payable by the Issuer other than by reason of a Subordinated Termination Event, will be payable pursuant to paragraphs (A)(iii) and (B)(i) under "Description of the Notes—Priority of Payments". Amounts due to a Hedge Counterparty upon the occurrence of a Subordinated Termination Event will be payable on any Payment Date that is not a Redemption Date, Accelerated Distribution Date or the Stated Maturity Date pursuant to paragraphs (A)(xv) and (B)(iii)(h) under "Description of the Notes—Priority of Payments—Interest and Principal Collections".

On any Payment Date that is a Redemption Date for the redemption of the Notes in whole, scheduled payments required to be made by the Issuer under any Hedge Agreement, together with any termination payments payable by the Issuer other than by reason of a Subordinated Termination Event, will be payable pursuant to paragraph (1) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption". Amounts due to a Hedge Counterparty upon the occurrence of a Subordinated Termination Event will be payable on any Payment Date that is a Redemption Date pursuant to paragraph (9) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption".

On the Stated Maturity Date or after the Senior Notes have been declared due and payable (if such declaration has not been rescinded or annulled), on the date or dates fixed by the Trustee scheduled payments required to be made by the Issuer under any Hedge Agreement, together with any termination payments payable by the Issuer other than by reason of a Subordinated Termination Event, will be payable pursuant to paragraph (1) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date". Amounts due to a Hedge Counterparty upon the occurrence of a Subordinated Termination Event will be payable on any Accelerated Distribution Date or the Stated Maturity Date pursuant to paragraph (7) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date".

"Hedge Counterparty Ratings Requirement" means, with respect to a Hedge Counterparty or any permitted transferee thereof, (a) either (i) the unsecured, unguaranteed and otherwise unsupported short-term debt obligations of the related Hedge Rating Determining Party are rated at least "A-1" by S&P or (ii) if no short-term debt obligations of such Hedge Rating Determining Party are rated by S&P, the unsecured, unguaranteed and otherwise

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unsupported long-term senior debt obligations of such Hedge Rating Determining Party are rated at least "A+" by Standard & Poor's; and (b)(i)(x) the unsecured, unguaranteed and otherwise unsupported short-term debt obligations of such Hedge Rating Determining Party are rated "P-1" by Moody's and such rating is not on watch for possible downgrade and (y) the unsecured, unguaranteed and otherwise unsupported long-term senior debt obligations of such Hedge Rating Determining Party are rated higher than "A1" by Moody's or are rated "A1" by Moody's and such rating is not on watch for possible downgrade or (ii) if there is no such Moody's short-term debt obligations rating, the unsecured, unguaranteed and otherwise unsupported long-term senior debt obligations of such Hedge Rating Determining Party are rated at least "Aa3" by Moody's and such rating is not on watch for possible downgrade.

"Hedge Rating Determining Party" means with respect to any Hedge Agreement, (a) unless clause (b) applies with respect to a Hedge Agreement, a Hedge Counterparty or any transferee thereof or (b) any Affiliate of a Hedge Counterparty or any transferee thereof that unconditionally and absolutely guarantees (with the Issuer having received S&P Rating Agency Confirmation with respect to such form of guarantee) the obligations of a Hedge Counterparty or such transferee, as the case may be, under a Hedge Agreement. For the purpose of this definition, no direct or indirect recourse against one or more shareholders of the Hedge Counterparty or any such transferee (or against any Person in control of, or controlled by, or under common control with, any such shareholder) shall be deemed to constitute a guarantee, security or support of the obligations of such Hedge Counterparty or any such transferee.

The obligations of the Issuer under each Hedge Agreement will be limited recourse obligations payable solely from the Collateral pursuant to the Priority of Payments.

Upon entering into any Deemed Floating Asset Hedge Agreement, the Issuer or the Collateral Manager shall request the assignment of a recovery rate from S&P with respect to the related Deemed Floating Rate Collateral Debt Obligation.

The Collection Account

All distributions on the Collateral Debt Obligations, any proceeds received from the disposition of any Collateral Debt Obligations, and any accumulated investment earnings transferred from the Class D Reserve Account, to the extent that such distributions, accumulated investment earnings or proceeds constitute Collateral Interest Collections, will be remitted to a single, segregated securities account established and maintained under the Indenture by the Trustee and referred to herein as the "Interest Collection Account".

All distributions on the Collateral Debt Obligations, any amounts transferred from the Expense Account and any proceeds received from the disposition of any Collateral Debt Obligations, to the extent that such distributions, amounts or proceeds constitute Collateral Principal Collections (unless simultaneously reinvested in Eligible Investments), and any amounts (prior to the last day of the Reinvestment Period) distributed thereto pursuant to clause (B)(ii) under "Priority of Payments—Interest and Principal Collections—Distributions with Collateral Principal Collections" will be remitted to a single, segregated securities account established and maintained under the Indenture by the Trustee and referred to herein as the "Principal Collection Account". In addition, on or shortly after the Closing Date, the Issuer will deposit approximately U.S.$42,000,000 into the Principal Collection Account from the proceeds of the offering of the Notes and the sale of certain assets of the Subsidiary Holding Companies that will settle after the Closing Date.

The Collection Account (which may be a subaccount of the Custodial Account) will be held in the name of the Trustee for the benefit of the Holders of the Co-Issued Notes and will be available, together with reinvestment earnings thereon, for application to the payment of the amounts set forth under "Description of the Notes—Priority of Payments" and pursuant to the requirements described herein and in the Indenture.

Funds held in the Collection Account will be invested by the Trustee, as directed in writing by the Issuer or the Collateral Manager on behalf of the Issuer, as soon as practicable in Eligible Investments. All Eligible Investments in the Collection Account must mature on or before the sooner of two days or one Business Day prior to the next Payment Date. The Collection Account may contain any number of sub-accounts for the convenience of the Trustee in administering the Collection Account or as requested by the Collateral Manager on behalf of the Issuer.

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The Loan Funding Account

In the event any Collateral Debt Obligation acquired on or prior to the Closing Date is a Revolving Loan or a Delayed Funding Loan, a portion of the proceeds from the sale of the Notes will be deposited in a segregated securities account (the "Loan Funding Account"). On the Closing Date, the Issuer expects to deliver to the Trustee a portion of the proceeds from the sale of the Notes which is equal to the commitments of the Issuer and each Subsidiary Holding Company to make or otherwise fund draws related to Delayed Funding Loans or Revolving Loans, in each case, to be acquired on or prior to the Closing Date and the Trustee will deposit such amount in the Loan Funding Account. On any date that the Issuer acquires a Revolving Loan or a Delayed Funding Loan, an amount equal to the commitments of the Issuer to make or otherwise fund draws relating to such Loan will be deposited by the Trustee, upon direction from the Issuer (or the Collateral Manager on its behalf) in the Loan Funding Account. Except as described below, any funds in the Loan Funding Account will be available solely to fund any draws on Collateral Debt Obligations that are (i) Revolving Loans or (ii) Delayed Funding Loans. Amounts in the Loan Funding Account will be invested in overnight funds that are Eligible Investments and will be included in the Collateral Coverage Tests as described herein. In the case of any Collateral Debt Obligation that is a Revolving Loan or a Delayed Funding Loan, on the Closing Date or on the date of purchase funds will be deposited, and at all times funds will be maintained, in the Loan Funding Account such that the amount of funds on deposit in the account will be equal to 100% of the combined aggregate principal amounts of the Unfunded Commitments under the Revolving Loans, Delayed Funding Loans and Unfunded Securities included in the Collateral. Upon initial purchase, such funds will be treated as part of the purchase price for the related Collateral Debt Obligation. After the initial purchase, all principal payments received on any Revolving Loan will be deposited directly into the Loan Funding Account (and will not be available for distribution as Collateral Principal Collections) to the extent the amount of such principal payments may be re-borrowed under such Revolving Loan. Upon the sale or maturity of a Revolving Loan or a Delayed Funding Loan, funds in the Loan Funding Account in excess of the amount needed to cover any Unfunded Commitments on all remaining Revolving Loans and Delayed Funding Loans will be transferred to the Collection Account and treated as Sale Proceeds. On any Business Day, if indemnification is payable by the Issuer to the Swap Counterparty or CFPI in respect of losses, claims, damages or liabilities(or actions in respect thereof) to which the Swap Counterparty or CFPI, as the case may be, has become subject to, that arise out of or are based upon any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) arising after the Closing Date that the Swap Counterparty or CFPI, as the case may be, is required to satisfy (and does so satisfy) by reason of the limited liability company agreement of the Subsidiary Holding Company of which the Swap Counterparty or CFPI, as the case may be, was, prior to the Closing Date, the sole member, then, upon Issuer order, the Trustee shall withdraw such amounts as may be necessary to pay such indemnification and apply them to the payment of the Swap Counterparty or CFPI, as the case may be; provided that losses, claims, damages or liabilities shall be limited to those funding obligations that arise by reason of a Subsidiary Holding Company's failure to satisfy such funding obligations and shall be exclusive of any losses, claims, damages or liabilities that arise by reason by a breach by the Swap Counterparty or CFPI, as the case may be, of its support obligations under the limited liability company agreement referred to above and shall not apply to the funding of any Delayed Funding Loan or Revolving Loan that, at the time the Swap Counterparty or CFPI provided such funding, had an Unfunded Commitment of zero. Any such indemnification payment shall be treated as if the Issuer had directly satisfied the underlying draw with respect to the related Revolving Loan or Delayed Funding Loan. The rights of the other Secured Parties in and to the Loan Funding Account are subject to and subordinate to the rights of the Swap Counterparty and CFPI in and to the Loan Funding Account as described above.

The Expense Account

On the Closing Date the Issuer will deposit U.S.$29,475,495 from the proceeds of the offering of the Notes into a single, segregated securities account established and maintained under the Indenture by the Trustee and referred to herein as the "Expense Account". On any date to and including the Payment Date occurring in April, 2009, funds deposited in the Expense Account will be used as directed by the Collateral Manager to pay the fees, commissions and expenses associated with the issuance of the Notes and any fees and expenses (including the Collateral Manager's additional fees (other than the Collateral Management Fees)) associated with any current or future transfer of Collateral Debt Obligations held by a Subsidiary Holding Company to the Issuer or the Trustee. On the Payment Date occurring in April, 2009, or on any date prior thereto as directed by the Collateral Manager, any excess funds in the Expense Account (that are not being held to pay anticipated closing expenses or the other fees and expenses described above) will be transferred by the Trustee to the Collection Account to be applied as

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Collateral Principal Collections. Funds held in the Expense Account shall be invested by the Trustee, as directed in writing by the Issuer or by the Collateral Manager on its behalf, in Eligible Investments that are overnight deposits. Absent such direction, all funds received in the Expense Account shall remain uninvested and standing to the credit of the Expense Account unless otherwise specified herein.

The Interest Reserve Account

On the Closing Date U.S.$3,000,000 from the proceeds of the offering of the Notes will be deposited by the Trustee in a single, segregated securities account established and maintained under the Indenture by the Trustee and referred to herein as the "Interest Reserve Account". All funds on deposit in the Interest Reserve Account will be invested in Eligible Investments at the direction of the Collateral Manager. The only permitted withdrawals from or application of funds on deposit in, or otherwise standing to the credit of, the Interest Reserve Account shall be as follows: at least one Business Day prior to the Initial Payment Date, the Trustee will transfer all funds deposited in the Interest Reserve Account to the Payment Account for application as Collateral Interest Collections in accordance with the Priority of Payments.

The Payment Account

The only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, the Payment Account shall be to pay the interest on and the principal of the Notes in accordance with their terms and the provisions of the Indenture and, upon direction from the Issuer, to pay Administrative Expenses and other amounts specified therein, each in accordance with the Priority of Payments. The Co-Issuers shall not have any legal, equitable or beneficial interest in the Payment Account other than in accordance with the Priority of Payments. All funds on deposit in the Payment Account will be held in cash and shall not be invested.

The Synthetic Letter of Credit Reserve Account

The only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, the Synthetic Letter of Credit Reserve Account shall be to pay, upon Issuer order, United States Federal withholding tax, including any additions to tax and interest, with respect to Synthetic Letters of Credit that do not meet the requirements of clause (c)(x) of the definition thereof, as finally determined by the Internal Revenue Service, or as provided below. Promptly following receipt by the Issuer of any fee income on any Synthetic Letter of Credit that does not meet the requirements of clause (c)(x) of the definition thereof, the Issuer (or the Collateral Manager on its behalf) shall direct the Trustee to transfer the Reserved Fee Income Amount with respect to such Synthetic Letter of Credit to the Synthetic Letter of Credit Reserve Account. On the Business Day prior to the Payment Date on which the last payment will be made on Notes rated by S&P, any funds in the Synthetic Letter of Credit Reserve Account will be transferred to the Collection Account for application as Collateral Interest Collections pursuant to the Priority of Payments. On the Business Day prior to the Payment Date following receipt by the Trustee of an Issuer order to the effect that clause (c)(x)(iii) of the definition of Synthetic Letter of Credit has been satisfied with respect to a Synthetic Letter of Credit, the Reserved Fee Income Amount relating to such Synthetic Letter of Credit will be transferred to the Collection Account for application as Collateral Interest Collections. On the date on which substantially all of the Issuer's assets have been sold or otherwise disposed of, the Issuer shall direct the Trustee to transfer all amounts on deposit in the Synthetic Letter of Credit Reserve Account to the Collection Account for application as Collateral Interest Collections pursuant to the Priority of Payments on the immediately succeeding Payment Date.

Funds held in the Synthetic Letter of Credit Reserve Account shall be invested by the Trustee, as directed in writing by the Issuer (or the Collateral Manager on its behalf), in Eligible Investments. All interest and other income from such investments received during a Due Period shall be transferred by the Trustee when received to the Collection Account to be applied as Collateral Interest Collections on the Payment Date relating to such Due Period.

Class D Reserve Account Prior to the Closing Date, the Trustee will cause to be established a single, segregated securities account

established and maintained under the Indenture by the Trustee and referred to herein as the "Class D Reserve Account". On any Payment Date during the Reinvestment Period, if the Class D Reserve Account Payment Option

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has not been exercised with respect to such Payment Date and such Payment Date is not one of the first three Payment Dates, amounts available in accordance with the Priority of Payments shall be deposited into the Class D Reserve Account.

With respect to any Payment Date, the "Class D Reserve Account Payment Option" shall have been

exercised if seven Business Days prior to such Payment Date, the Holders of at least 66-2/3% of the Aggregate Principal Amount of the Class D Notes have instructed the Trustee to apply amounts available in accordance with the Priority of Payments and funds standing to the credit of the Class D Reserve Account (other than accumulated investment earnings) to repayment of the Outstanding Aggregate Principal Amount of the Class D Notes until the Class D Notes are paid in full; provided that (x) such instruction, if any, shall apply only to such Payment Date, (y) the Class D Reserve Account Payment Option shall be deemed to have been automatically exercised with respect to the last Payment Date occurring during the Reinvestment Period and each Payment Date thereafter without any action by any Person and (z) except as provided in clause (y), if any such instruction by any Holder of Class D Notes has not been received by the Trustee six Business Days prior to such Payment Date, such Holder shall be deemed to have not exercised the Class D Reserve Account Payment Option with respect to such Payment Date. If the Class D Reserve Account Payment Option is exercised, all funds then standing to the credit of the Class D Reserve Account (excluding accumulated interest earnings) shall be paid to the Holders of the Class D Notes on the related Payment Date and without regard to the Priority of Payments. All funds on deposit in the Class D Reserve Account will be invested in Eligible Investments at the direction of the Collateral Manager pending distribution (excluding accumulated investment earnings) to the Holders of the Class D Notes. Eight Business Days prior to each Payment Date occurring during the Reinvestment Period, any investment earnings accumulated from amounts on deposit in the Class D Reserve Account shall be transferred to the Interest Collection Account and applied as Collateral Interest Collections in accordance with the Priority of Payments.

The Hedge Counterparty Collateral Account The Trustee will deposit all collateral received from a Hedge Counterparty under a related Hedge

Agreement in a securities account in the name of the Trustee that will be designated the "Hedge Counterparty Collateral Account", which account will be maintained for the benefit of the Co-Issued Noteholders, each Hedge Counterparty, the Trustee, the Collateral Manager and the Collateral Administrator. Funds on deposit in the Hedge Counterparty Collateral Account will be invested in Eligible Investments.

The Synthetic Security Collateral Account

On or prior to the Closing Date, the Trustee shall cause to be established a segregated trust account which shall be referred to herein as the "Synthetic Security Collateral Account", which account will be maintained for the benefit of the Secured Parties and the related Synthetic Security Counterparties and as to which the Trustee shall be the entitlement holder and customer and over which the Trustee shall have exclusive control.

At the time the Issuer enters into a Synthetic Security structured as a credit default swap, the Trustee shall, at the direction of the Collateral Manager, deposit into a sub-account of the Synthetic Security Collateral Account for the related Synthetic Security Counterparty Synthetic Security Collateral with a Principal Balance equal to the notional amount of such Synthetic Security. A separate sub-account of the Synthetic Security Collateral Account shall be established for each Synthetic Security transaction with a Synthetic Security Counterparty. Each sub-account shall be treated as a separate security account and shall be identified as held in trust for the benefit of the Trustee and the related Synthetic Security Counterparty (which shall have a prior lien on such sub-account of the Synthetic Security Collateral Account).

The only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, the Synthetic Security Collateral Account shall be as specified herein under "Security for the Co-Issued Notes—Synthetic Securities Structured as Credit Default Swaps; The Synthetic Security Collateral Account".

Funds on deposit in the Synthetic Security Collateral Account will be invested in Eligible Investments maturing on the next Business Day. Investment earnings on amounts on deposit in the Synthetic Security Collateral Account shall be treated as interest payments on Collateral Debt Obligations, deposited to the Collection Account and applied as Collateral Interest Collections on each Payment Date.

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Synthetic Security Issuer Account

If the terms of any Synthetic Security require the Synthetic Security Counterparty to secure its obligations with respect to such Synthetic Security, the Trustee shall cause to be established a single, Securities Account in respect of such Synthetic Security (each such account, a "Synthetic Security Issuer Account"), which shall be held in the name of the Trustee as the entitlement holder and customer and over which the Trustee shall have exclusive control. The Synthetic Security Issuer Account will be maintained by the Trustee for the benefit of the Secured Parties. A separate sub-account of the Synthetic Security Issuer Account shall be established for each Synthetic Security transaction with a Synthetic Security Counterparty. Each sub-account shall be treated as a separate security account and shall be identified as held in trust for the benefit of the Trustee. The Trustee shall deposit into any such Synthetic Security Issuer Account all amounts that are received from the applicable Synthetic Security Counterparty to secure the obligations of such Synthetic Security Counterparty in accordance with the terms of such Synthetic Security. The Trustee shall, as directed by Collateral Manager order, invest all funds received in the Synthetic Security Issuer Account in Eligible Investments maturing on the next Business Day. Income received on amounts on deposit in such Synthetic Security Issuer Account (to the extent that amounts on deposit in such Synthetic Security Issuer Account exceed the amount required to be on deposit by the related Synthetic Security) shall be withdrawn from such account and paid to the related Synthetic Security Counterparty to the extent permitted by and in accordance with the terms of the applicable Synthetic Security.

In accordance with the terms of the applicable Synthetic Security, upon the occurrence of a Credit Event or the termination of the credit default swap due to an event of default or termination event specific under the credit default swap, amounts on deposit in the related Synthetic Security Issuer Account shall, as directed by the Collateral Manager by Issuer order, be withdrawn by the Trustee and applied to the payment of any amount payable by the related Synthetic Security Counterparty to the Issuer. Any excess amounts held in a Synthetic Security Issuer Account after payment of all amounts owing from the related Synthetic Security Counterparty to the Issuer as a result of an event of default or termination event shall be withdrawn from such Synthetic Security Issuer Account and paid to the related Synthetic Security Counterparty in accordance with the applicable Synthetic Security.

Liquidation on Stated Maturity Date

The Indenture provides that any remaining Collateral will be liquidated by the Trustee immediately prior to the Stated Maturity Date so that the net proceeds of such liquidation will be available for distribution on such Stated Maturity Date.

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LEGAL STRUCTURE

The Indenture

The following summaries generally describe certain provisions of the Indenture. The summaries do not purport to be complete and are subject to, and qualified in their entirety by reference to, the provisions of the Indenture.

Modification of the Indenture

With the consent of the Holders of at least a Majority of the Aggregate Principal Amount of the Outstanding Senior Notes of each Class materially and adversely affected thereby (and at least a Majority of the Class F Income Notes, if the Class F Income Notes are materially and adversely affected thereby), each Hedge Counterparty (to the extent required pursuant to the terms of the relevant Hedge Agreement) and the Collateral Manager, which consent, in each case, shall be evidenced by an officer's certificate from the Issuer that such consent has been obtained, the Trustee and the Co-Issuers 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 the Notes or any Hedge Counterparty. Unless notified by the Holders of a Majority in Aggregate Principal Amount of any Class of Notes prior to the proposed date of the supplemental indenture that such Holders will be materially and adversely affected, the Trustee shall be entitled to conclusively rely on (1) an Opinion of Counsel as to whether or not the Holders of Notes would be materially and adversely affected by such change (after giving notice of such change to the Holders of Notes) and (2) receipt of written confirmation from each Rating Agency that the execution of such supplemental indenture will not result in a qualification, downgrade or withdrawal of the then-current ratings of any Class of Co-Issued Notes. Such determination will be conclusive and binding on all present and future Holders of Notes. However, without the consent of the Holders of each Outstanding Note materially and adversely affected thereby and without the consent of the Collateral Manager and any Hedge Counterparty (to the extent required pursuant to the relevant Hedge Agreement), and without receipt of Global Rating Agency Confirmation with respect to the execution of the supplemental indenture (unless each Holder of any Outstanding Note whose rating will be qualified, downgraded or withdrawn has, after notice that the proposed supplemental indenture would result in such qualification, downgrade or withdrawal, consented to such supplemental indenture), no supplemental indenture may:

(i) change the Stated Maturity Date or Payment Date of any installment of interest on any Senior Note or reduce the principal amount thereof or distributions in respect thereof or the rate of interest thereon or change the time, amount or priority of any other amount payable in respect of any Senior Note or distributions in respect of any Class F Income Note or change any place where, or the coin or currency in which, distributions with respect to any Note 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 Redemption Date thereof;

(ii) reduce the percentage of the Aggregate Principal Amount of the Notes whose consent is required for the execution of any supplemental indenture or for any waiver of compliance with certain provisions of the Indenture or certain Events of Default under the Indenture and their consequences provided for in the Indenture;

(iii) impair or adversely affect the Collateral in any material respect;

(iv) except with respect to the Synthetic Security Collateral Account and any Hedge Counterparty Collateral Account and as otherwise provided in the Indenture or as required by applicable law, permit the creation of any lien with respect to any part of the Collateral (other than the lien of the Indenture and each Subsidiary Pledge Agreement) or terminate the lien of the Indenture on any property at any time subject thereto or deprive any Co-Issued Noteholder of the security afforded by the lien of the Indenture;

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(v) reduce the percentage of the Aggregate Principal Amount of Notes held by Noteholders whose consent is required to direct the Trustee to preserve the Collateral or to rescind the Trustee's election to preserve the Collateral or to sell or liquidate the Collateral as described under "—Events of Default";

(vi) modify any of the provisions of the Indenture with respect to supplemental indentures or waivers of past Defaults and their consequences except to increase the percentage of the Aggregate Principal Amount of Notes held by Noteholders whose consent is required for any such action or to provide that other provisions of the Indenture cannot be modified or waived without the consent of the Holder of each Outstanding Note affected thereby;

(vii) modify the provisions thereof relating to the Priority of Payments or subordination or the definitions of the terms "Holder" or "Outstanding"; or

(viii) modify any of the provisions of the Indenture in such a manner as to affect directly the calculation of the amount of any payment of principal of or interest on or other amount in respect of any Senior Note or to affect the right of the Senior Noteholders to the benefit of any provisions for the redemption of such Senior Notes contained in the Indenture or to affect the rights of the Class F Income Noteholders to the benefit of any provisions for the redemption of, or payment under, the Class F Income Notes contained in the Indenture or in the other transaction documents related to the issuance of the Notes.

The Co-Issuers and the Trustee may also enter into supplemental indentures, without obtaining the consent of Noteholders or any other Person (other than in the case of clause (xii) below and the last proviso of this sentence), in order to:

(i) add to the covenants of the Co-Issuers for the benefit of the Noteholders or to surrender any right or power conferred upon the Co-Issuers;

(ii) pledge any property to or with the Trustee;

(iii) evidence and provide for the acceptance of appointment by a successor trustee and add to or change any of the provisions of the Indenture as will be necessary to facilitate the administration of the Collateral by more than one trustee;

(iv) correct or amplify the description of any property at any time subject to the lien of the Indenture or better to assure, convey and confirm to the Trustee any property subject to the lien of the Indenture;

(v) cure any ambiguity or correct, modify or supplement any provision which is defective or inconsistent with any other provision in the Indenture or with this Offering Circular or to make administrative or other non-material changes as the Co-Issuers deem appropriate;

(vi) make any change required by the stock exchange on which any Class of Notes is listed, if any, in order to permit or maintain such listing;

(vii) prevent the Issuer, the Subsidiary Holding Companies, the Noteholders, the Class F Income Note Issuing and Paying Agent or the Trustee from being subject to withholding or other taxes, fees or assessments or prevent the Issuer from being treated as engaged in a U.S. trade or business for U.S. federal income tax purposes or otherwise subject to U.S. federal, state or local income and franchise tax on a net income tax basis;

(viii) subject to the provisions of the Indenture, allow the Issuer to enter into one or more Hedge Agreements with a Hedge Counterparty; provided that entry by the Issuer into each such Hedge Agreement satisfies the Global Rating Agency Confirmation and all of the requirements of the Indenture;

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(xi) avoid the Issuer, Co-Issuer, Subsidiary Holding Companies or the Collateral being required to register as an investment company under the Investment Company Act;

(x) avoid the application of the German Investment Tax Act to the Issuer, the Subsidiary Holding Companies or to any of the Notes;

(xi) modify transfer restrictions on the Notes so long as any such modifications comply with the Securities Act, the Investment Company Act or the laws of any applicable governmental, regulatory or self-regulatory agency or organization and do not result in the assets of the Issuer becoming subject to Title I of ERISA or Section 4975 of the Code; and

(xii) modify the calculation of any of the Collateral Quality Measures, Collateral Quality Tests and the definitions applicable thereto either (a) to correspond with published or written changes in the guidelines, methodology or standards established by the Rating Agencies to the extent necessary to maintain the ratings of the Co-Issued Notes or (b) for any other reason subject to the last proviso of this sentence; provided that the Issuer and the Trustee shall have received the prior written consent of the Collateral Manager and, if any Class A-1 Notes are then Outstanding, at least 66-2/3% of the Aggregate Principal Amount of the Class A-1 Notes then Outstanding, thereto.

provided that, in any such case, the Issuer will have received a Global Agency Confirmation and consent of the Collateral Manager with respect to such supplemental indenture. Pursuant to the terms of the Indenture, the Noteholders, each Hedge Counterparty, each of the Rating Agencies and the Collateral Manager will receive notice of any supplemental indenture.

Neither the Issuer nor the Co-Issuer will enter into any supplemental indenture without the prior written consent of the Collateral Manager. Additionally, no supplemental indenture may be entered into which (pursuant to the terms of any relevant Hedge Agreement) requires the consent of a Hedge Counterparty unless such consent of such Hedge Counterparty is obtained.

Consolidation, Merger or Transfer of Assets, Incurring of Indebtedness, Conduct of Business

The Co-Issuers may not consolidate or merge with or into, or transfer or convey all or substantially all of their assets to, any other Person (except for sales or exchanges of Pledged Obligations and Synthetic Security Collateral as permitted by the Indenture). In addition, the Co-Issuers may not incur any indebtedness except as expressly permitted by the Indenture and the common stock of the Co-Issuer and the other transactions and activities contemplated herein.

The Subsidiary Holding Companies may not consolidate or merge with or into, or transfer or convey all or substantially all of their assets to, any other Person (except for sales or exchanges of Pledged Obligations to the Issuer or as permitted by the Indenture). In addition, the Subsidiary Holding Companies may not incur any indebtedness except for the transactions and activities contemplated herein.

Events of Default

An event of default ("Event of Default") is defined in the Indenture as:

(i) a default continuing for five Business Days (or, in the case of a default in payment due to an administrative error or omission by the Trustee, any Paying Agent or any trustee or paying agent acting on behalf of any obligor on any Collateral Debt Obligation, seven Business Days) in the payment, when due and payable, of any Periodic Interest on the Class A-1 Notes or the Class A-2 Notes (or at any time when no Class A-1 Notes or Class A-2 Notes remain Outstanding, of any Periodic Interest on the Class B Notes, or at any time when no Class B Notes remain Outstanding, of any Periodic Interest on the Class C Notes);

(ii) a default in the payment of principal, or the Redemption Price, of any Co-Issued Note at its Stated Maturity Date or any Redemption Date;

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(iii) a failure to apply, within five Business Days following any Payment Date or Redemption Date, available amounts in accordance with the Priority of Payments;

(iv) either of the Co-Issuers, either of the Subsidiary Holding Companies or the pool of Collateral becoming an investment company required to be registered under the Investment Company Act;

(v) a default in any material respect in the performance of any covenant, warranty or other agreement of the Co-Issuers in the Indenture or either of the Subsidiary Holding Companies in the Subsidiary Guarantee or either of the Subsidiary Pledge Agreements (other than, for the avoidance of doubt, the failure to satisfy any of the Collateral Coverage Tests, the Eligibility Criteria, the Percentage Limitations, the Post Reinvestment Period Criteria or the Collateral Quality Tests), or the failure of any representation or warranty of the Co-Issuers made in the Indenture or either of the Subsidiary Holding Companies in the Subsidiary Guarantee or the Subsidiary Pledge Agreements in any certificate or other writing delivered pursuant to or in connection with the Indenture or the Subsidiary Guarantee or either of the Subsidiary Pledge Agreements to be correct in all material respects when the same will have been made, and such default or breach shall continue unremedied, or such representation or warranty shall continue to be untrue, for a period of 45 days after notice (A) to the Co-Issuers and the Collateral Manager by the Trustee or (B) to the Co-Issuers, the Collateral Manager and the Trustee by the Holders of at least 33% in Aggregate Principal Amount of the most senior Class of Notes then Outstanding, in each case specifying such default or breach and requiring it to be remedied and stating that such notice is a "Notice of Default";

(vi) the rendering of one or more final judgments against the Issuer, the Co-Issuer or either Subsidiary Holding Company which exceed, in the aggregate, U.S.$5,000,000 and which remain unstayed, undischarged and unsatisfied for 30 days after such judgment(s) becomes nonappealable, unless adequate funds have been set aside for the payment thereof and unless (except as otherwise specified in writing by Moody's) Moody's shall have confirmed in writing its then-current rating, if any, of each Class of Co-Issued Notes;

(vii) certain events of bankruptcy, insolvency, receivership or reorganization of either of the Co-Issuers or either of the Subsidiary Holding Companies; or

(viii) the failure on any date of determination for the ratio (expressed as a percentage) of (x) the sum of (without duplication) (a) the Aggregate Principal Amount of all Collateral Debt Obligations (other than Defaulted Obligations) in the Collateral on such date of determination, plus (b) the Balance of Eligible Investments in the Collection Account that represent Collateral Principal Collections in the Collateral on such date of determination, plus (c) the aggregate Defaulted Obligation Amount of all Defaulted Obligations in the Collateral on such date of determination divided by (y) the Aggregate Principal Amount of the Class A-1 Notes then Outstanding to be greater than or equal to 102.0%.

As set forth in paragraph (i) above, the failure for five Business Days (or, in the case of a default in payment due to an administrative error or omission by the Trustee, any Paying Agent or any trustee or paying agent acting on behalf of any obligor on any Collateral Debt Obligation, for seven Business Days) to pay in full, when due and payable, Periodic Interest on the Class A-1 Notes and Class A-2 Notes will constitute an Event of Default.

As provided in paragraph (i) above, the failure to pay in full Periodic Interest on the Class B Notes or Class C Notes, as a result of insufficient funds being available therefor in accordance with the Priority of Payments specified in "Priority of Payments—Interest and Principal Collections", shall not constitute an Event of Default, unless, at the time of such failure, no Class senior to such Notes is Outstanding.

As provided in paragraph (i) above, the failure to pay in full Periodic Interest on the Class D Notes, as a result of insufficient funds being available therefor in accordance with the Priority of Payments specified in "Priority of Payments – Interest and Principal Collections", shall not constitute an Event of Default.

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An event of insolvency could result if relief has been ordered against any of the Co-Issuers or the Subsidiary Holding Companies in a case under applicable bankruptcy law or the trustee, if any, for the Co-Issuers or the Subsidiary Holding Companies or a creditor of the Co-Issuers or the Subsidiary Holding Companies were to file an involuntary petition against the Co-Issuers or the Subsidiary Holding Companies. The filing of a petition against the Co-Issuers or the Subsidiary Holding Companies under applicable bankruptcy law could adversely affect the rights of the Noteholders to receive timely payments.

If an Event of Default under the Indenture (other than an Event of Default of the type described in clause (vii) above) should occur and be continuing with respect to the Notes, the Trustee, at the written direction of the Requisite Noteholders will declare the principal of and interest on the Co-Issued Notes and the Class D Notes (if any) and the Class E Recovery Amount to be immediately due and payable. Such declaration under certain circumstances may be rescinded at the direction of the Requisite Noteholders. If an Event of Default of the type described in clause (vii) above occurs, the principal of and any accrued interest on the Co-Issued Notes and the Class D Notes and the Class E Recovery Amount will automatically become immediately due and payable without any declaration or other act on the part of the Trustee or any Noteholder.

At any time after such a declaration of acceleration of maturity has been made and before (a) a judgment or decree for payment of the money due has been obtained by the Trustee and (b) the sale of all or a portion of the collateral has occurred, in each case, the Requisite Noteholders may rescind and annul such declaration and its consequences if (i) the Issuer has paid or deposited with the Trustee a sum sufficient to pay (A) all overdue amounts payable on or in respect of the Co-Issued Notes (other than amounts due solely as a result of the acceleration), (B) to the extent that payment of interest on such amount is lawful, interest on such overdue amounts at the Applicable Periodic Rate and (C) all unpaid Aggregate Fees and Expenses, and the reasonable compensation, expenses, disbursements and advances of the Trustee, its agents and counsel; and (ii) the Trustee has determined that all Events of Default, other than the nonpayment of such amount that has become due solely by such acceleration, have been (A) cured, and the Requisite Noteholders by written notice to the Trustee have agreed with such determination (which agreement will not unreasonably be withheld), or (B) waived as provided in the Indenture. If the Senior Notes are accelerated, or if the Final Maturity Date has occurred, the Holders of each Class of Co-Issued Notes and the Class D Notes will be entitled to receive the Aggregate Principal Amount and Cumulative Periodic Rate Shortfall Amount (if applicable) for such Class of Co-Issued Notes or Class D Notes, as well as the Periodic Interest for such Class of Co-Issued Notes or Class D Notes accrued since the previous Payment Date, and the Holders of the Class E Notes will be entitled to receive the Class E Recovery Amount, all in accordance with the order of priority set forth under "Description of the Notes—Priority of Payments—Application of Funds upon Acceleration of Maturity or on the Stated Maturity Date", except that the Trustee will apply the aggregate of all liquidation proceeds obtained from the sale of the Collateral in connection with an Event of Default such that the accrued and unpaid interest on, followed by the outstanding principal of, each Class of Co-Issued Notes and the Class D Notes and the Class E Recovery Amount (together with certain other specified sums) will be paid in full in the order of priority set forth under "Description of the Notes—Priority of Payments—Application of Funds upon Acceleration of Maturity or on the Stated Maturity Date" before any distributions are made to the Holders of the Class F Income Notes.

The Class F Income Noteholders will not have any creditors' rights against the Issuer and will not have the right to determine the remedies to be exercised under the Indenture.

If an Event of Default has occurred and is continuing, the Trustee will refrain from liquidating, and will preserve intact, the Collateral, collect and cause the collection of the proceeds thereof and make and apply all payments and deposits and maintain all accounts in accordance with the Indenture unless (1) the Trustee determines that the anticipated net proceeds of the liquidation of the Collateral would be sufficient to discharge in full, without duplication, the amounts then due and unpaid on the Co-Issued Notes for principal and interest (including the Cumulative Periodic Rate Shortfall Amounts, if applicable), due and unpaid Administrative Expenses, all amounts due to a Hedge Counterparty under a Hedge Agreement (including any termination payment (other than a Subordinated Termination Payment)) and due and unpaid Collateral Management Fees, and the Requisite Noteholders agree with such determination, or (2) (x) if an Event of Default other than under clause (i), clause (ii) or clause (viii) above has occurred and is continuing, the Holders of at least 66-2/3% of the Aggregate Principal Amount of each Class of Co-Issued Notes (voting as separate Classes) and each Hedge Counterparty, if any, direct such liquidation or (y) if an Event of Default under clause (i), clause (ii) or clause (viii) above has occurred and is continuing, the Requisite Noteholders direct such liquidation. Notwithstanding the foregoing, the Collateral

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Manager (on behalf of the Issuer) may direct the Trustee to effect the sale of Defaulted Obligations, Equity Securities, Credit Improved Obligations and Credit Risk Obligations, and other Collateral Debt Obligations during the Reinvestment Period, in each case as permitted under "Security for the Co-Issued Notes—Changes in Composition of the Collateral Debt Obligations", and effect the acceptances of Offers. The proceeds of any such liquidation of the Collateral will be distributed on each Accelerated Distribution Date.

Pursuant to the Indenture, as security for the payment by the Issuer of the fees of the Trustee and any sums to which the Trustee may be entitled to receive as indemnification by the Issuer, the Issuer has granted the Trustee a lien on the Collateral. The Trustee's lien is exercisable by the Trustee only if the Notes have been declared due and payable following an Event of Default and the acceleration of the maturity of such Notes as a result of such Event of Default has not been rescinded or annulled.

Subject to such provisions for indemnification to the Trustee and certain limitations contained in the Indenture, the Requisite Noteholders, will generally have the right to direct the time, method and place of conducting any proceeding of any remedy available to the Trustee or direct the Trustee with respect to its exercise of any right, remedy, trust or power conferred on the Trustee with respect to the Notes and, in certain cases, to waive any default with respect to such Notes, except a default in payment of any amount payable in respect of any Senior Note or a default in respect of a covenant or provision of the Indenture that cannot be modified without the waiver or consent of the Holder of each Outstanding Note affected thereby.

Rights Under the Indenture

No Noteholder will have the right to institute any proceeding with respect to the Indenture unless (1) such Holder previously has given to the Trustee written notice of a continuing Event of Default with respect to the Notes, (2) the Holders of at least 33% of the Aggregate Principal Amount of the most senior Class of Notes then Outstanding have made written request upon the Trustee to institute such proceedings in respect of such Event of Default in its own name as Trustee, (3) such Holder or Holders have offered the Trustee reasonable security or indemnity satisfactory to it as provided in the Indenture, (4) the Trustee for 30 days after its receipt of such notice, request and offer of indemnity has failed to institute any such proceeding and (5) no direction inconsistent with such written request has been given to the Trustee during such 30-day period by the Requisite Noteholders.

Satisfaction and Discharge of the Indenture

The Indenture will be discharged with respect to the Collateral securing the Co-Issued Notes upon delivery to the Trustee for cancellation of all of the Notes or, with certain limitations (including the obligation to pay principal and interest), upon deposit with the Trustee of cash or Eligible Investments sufficient for the payment thereof and of the other amounts due under the Indenture.

Petitions for Bankruptcy

The Holders of each Class of Senior Notes will agree, pursuant to the Indenture, not to cause the filing of a petition in bankruptcy against the Issuer, the Co-Issuer or either Subsidiary Holding Company before a year and a day (or, if longer, the applicable preference period then in effect plus one day) has elapsed since the payment in full of each more Senior Class of Senior Notes.

Subsidiary Guarantee

Each of the Subsidiary Holding Companies will, pursuant to a guarantee agreement (the "Subsidiary Guarantee") to be entered into between the Subsidiary Holding Companies, the Issuer and the Trustee, jointly and severally guarantee, for the benefit of the Trustee on behalf of the Secured Parties, the prompt payment in full when expressed to be due (whether on the Stated Maturity Date, upon acceleration or redemption or otherwise) of the principal of and interest, including post-petition interest, on any Notes at any time and from time to time outstanding under the Indenture, and all other Secured Obligations from time to time owing by the Issuer, in each case strictly in accordance with the express terms thereof (the “Guaranteed Obligations”). If the Issuer fails to pay any such amounts when due, the Subsidiary Holding Companies will promptly pay such amounts, without any demand or notice. The Subsidiary Guarantee provides that if either Subsidiary Holding Company has paid an amount in excess

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of its pro rata share of the Guaranteed Obligations (determined in accordance with the Subsidiary Guarantee), the Issuer and the other Subsidiary Holding Company will pay the relevant Subsidiary Holding Company such excess in accordance with the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes). The Subsidiary Guarantee will include representations, warranties and covenants of the Subsidiary Holding Companies. Those covenants will, among other things, prohibit the incurrence of debt and the granting of liens (other than pursuant to the relevant Subsidiary Pledge Agreement) by the Subsidiary Holding Companies.

Neither the Subsidiary Guarantee nor any rights or obligations under the Subsidiary Guarantee may be transferred by either Subsidiary Holding Company or the Issuer without the prior written consent of the Trustee and any purported transfer without such consent shall be void. No amendment, modification or waiver in respect of the Subsidiary Guarantee will be effective unless (i) such amendment, modification or waiver is in writing and executed by each Subsidiary Holding Company, the Issuer and the Trustee (effected by the Trustee only with any consent required under the Indenture), (ii) the Collateral Manager has consented thereto and (iii) a S&P Rating Agency Confirmation is received with respect thereto.

Each of the Subsidiary Holding Companies will, pursuant to a pledge agreement (each a “Subsidiary Pledge Agreement”) in favor of the Trustee on behalf of the Secured Parties, grant a first priority perfected security interest in all of its assets as security for its obligations under the Subsidiary Guarantee.

Trustee and Class F Income Note Issuing and Paying Agent

LaSalle Bank National Association will be the Trustee under the Indenture for the Notes and will also be the Class F Income Note Issuing and Paying Agent under the Class F Income Note Issuing and Paying Agency Agreement for the Class F Income Notes. The Issuer, the Collateral Manager and their Affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. 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 Indenture.

As Class F Income Note Issuing and Paying Agent, LaSalle Bank National Association will perform various functions in respect of the Class F Income Notes, including the payment of distributions and other payments, the acceptance of requests to transfer the Class F Income Notes and functions in connection with an optional redemption.

As compensation for the performance of its obligations under the Indenture, the Trustee will receive a trustee fee and portfolio administration fee, each in an amount established in a letter agreement dated February 27, 2008 between the Issuer and the Trustee (together, the "Trustee Fee"), payable on each Payment Date (including without limitation the Final Maturity Date) or, to the extent there are not sufficient funds available therefor on such Payment Date, on a subsequent Payment Date.

The Trustee Fee will accrue if unpaid (but without the accrual of any interest thereon) and be payable on the next Payment Date on which funds are available therefor in accordance with the Priority of Payments.

The Trustee will receive reimbursement for those amounts incurred by or otherwise owing to it in any Due Period, other than those included within the Trustee Fee, in carrying out provisions of the Indenture (collectively with other amounts payable pursuant to the indemnity given to the Trustee by the Issuer under the Indenture, the "Trustee Expenses"), including, without limitation, the fees and out-of-pocket expenses of any co-trustee appointed under the Indenture. Trustee Expenses will be payable on the Payment Date related to each such Due Period (including without limitation the Final Maturity Date) or, to the extent there are not sufficient funds available therefor on such Payment Date, on a subsequent Payment Date in accordance with the Priority of Payments.

The payment of the Trustee Fees and the Trustee Expenses is solely the obligation of the Issuer.

As compensation for the performance of its obligations under the Class F Income Note Issuing and Paying Agency Agreement, the Class F Income Note Issuing and Paying Agent may receive a fee, which will be payable on each Payment Date (including, without limitation, the Stated Maturity Date), or to the extent there are not sufficient

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funds available therefor on such Payment Date, on a subsequent Payment Date, in an amount to be agreed from time to time by the Issuer and the Class F Income Note Issuing and Paying Agent.

The fees payable to the Class F Income Note Issuing and Paying Agent, if any, will accrue if unpaid (but without the accrual of any interest thereon) and be payable on the next Payment Date on which funds are available therefor in the order of priority described herein.

The Class F Income Note Issuing and Paying Agent will receive reimbursement for those expenses incurred by it in any Due Period, other than those included within any fees payable to the Class F Income Note Issuing and Paying Agent, in carrying out provisions of the Class F Income Note Issuing and Paying Agency Agreement. Expenses, and other indemnified amounts, payable to the Class F Income Note Issuing and Paying Agent, if any, will be payable on the Payment Date related to each such Due Period (including, without limitation, the Stated Maturity Date), or to the extent there are not sufficient funds available therefor on such Payment Date, on a subsequent Payment Date in accordance with the Priority of Payments.

The payment of any fees and expenses to the Class F Income Note Issuing and Paying Agent is solely the obligation of the Issuer.

The Trustee will have a lien senior to that of the Senior Noteholders on the Collateral with respect to the Trustee Fee and with respect to a portion of the Trustee Expenses. The Indenture contains 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 the Indenture. The Trustee may resign at any time by providing 30 days prior written notice to the Issuer, the Noteholders, the Class F Income Note Issuing and Paying Agent, the Rating Agencies, each Hedge Counterparty and the Collateral Manager. The Trustee may be removed at any time by the Requisite Noteholders or by order of a court of competent jurisdiction as set forth in the Indenture. No resignation or removal of the Trustee will become effective until the acceptance of the appointment of a successor Trustee; provided that following the Final Maturity Date with respect to all of the Senior Notes, the resignation of the Trustee shall become effective upon the receipt of notice of such resignation by the Issuer. In addition, the Class F Income Note Issuing and Paying Agency Agreement contains provisions for the indemnification of the Class F Income Note Issuing and Paying Agent for any loss, liability or expense incurred without gross negligence, willful misconduct or bad faith on its part, arising out of or in connection with its duties under the Class F Income Note Issuing and Paying Agency Agreement.

Effective October 1, 2007, Bank of America Corporation, parent corporation of Bank of America, N.A. and Banc of America Securities LLC, acquired by ABN AMRO North America Holding Company, parent company of LaSalle Bank National Association from ABN AMRO Bank N.V. The acquisition included all parts of the Global Securities and Trust Services Group within LaSalle Bank National Association engaged in the business of acting as trustee, securities administrator, master servicer, custodian, collateral administrator, securities intermediary, fiscal agent and issuing and paying agent in connection with securitization transactions.

Governing Law

The Notes, the Indenture, the Class F Income Note Issuing and Paying Agency Agreement, the Collateral Management Agreement, the Collateral Administration Agreement, any Synthetic Security, the Purchase Agreement, the Placement Agency Agreement, the Account Control Agreement, any Hedge Agreement, the Subsidiary Guarantee and the Subsidiary Pledge Agreements will be governed by, and construed in accordance with, the law of the State of New York.

Notices

Notices to the Holders of the Notes will be given by first class mail, postage prepaid, to the registered Holders of such Notes at their addresses appearing in the Note Register.

In addition, for so long as any Notes are listed on the Irish Stock Exchange and the guidelines of the Irish Stock Exchange so require, notices to the Holders of such Notes will also be published on the Companies Announcement Office of the Irish Stock Exchange.

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THE COLLATERAL MANAGER

The delivery of this Offering Circular will not create any implication that there has been no change in the affairs of the Collateral Manager since the Original Printing Date, or that the information contained or referred to in this section is correct as of any time subsequent to its date. The information appearing in this section has been prepared by the Collateral Manager and has not been independently verified by the Issuer, the Co-Issuer, the Trustee, the Initial Purchaser, the Placement Agent or any of their respective Affiliates. The Collateral Manager accepts responsibility for such information and to the best of its knowledge the information is in accordance with the facts and does not omit anything likely to affect the import of such information. Accordingly, notwithstanding anything to the contrary herein, none of the Issuer, the Co-Issuer, the Initial Purchaser, the Placement Agent, the Trustee or any of their respective Affiliates assume any responsibility for the accuracy, completeness or applicability of such information.

General

Invesco Senior Secured Management, Inc. ("Invesco" or the "Collateral Manager"), a Delaware corporation that is a registered investment adviser under the Investment Advisers Act of 1940, as amended (the "Advisers Act"), will act as Collateral Manager to the Issuer. Invesco is located at 1166 Avenue of the Americas, New York, New York 10036, telephone (212) 278-9000, fax (212) 278-9822. Invesco is a subsidiary of Invesco Institutional (N.A.), Inc. ("Invesco Institutional"), a registered investment adviser under the Advisers Act.

On May 29, 1998, Invesco Ltd. (formerly known as AMVESCAP) (i) acquired Chancellor Inc. and Chancellor LGT Asset Management, Inc., which was renamed Invesco (NY), Inc. and subsequently renamed Invesco Institutional (N.A.), Inc., and (ii) acquired Chancellor LGT Senior Secured Management, Inc., which was renamed Invesco Senior Secured Management, Inc. Invesco and other U.S. and non-U.S. affiliates operate under their parent company, Invesco Ltd. Invesco Ltd. is a publicly traded United Kingdom holding company listed on the London, New York, and Toronto stock exchanges with the symbol "IVZ". Through its subsidiaries, Invesco Ltd. engages in the business of investment management on a global basis and is one of the world's leading independent investment management companies. With 5,475 employees and $500 billion of assets under management as of December 31, 2007, Invesco Ltd. has a significant presence in the institutional and retail segments of the investment management industry in North America, Europe and Asia- Pacific. As of December 31, 2007, Invesco managed a total of approximately $10 billion in bank loan portfolios. Invesco Institutional and other affiliates had approximately $13.2 billion of CDO assets under management across 25 collateralized debt obligations ("CDOs") encompassing ABS credit, investment grade bonds, and senior secured bank loans as collateral. The $13.2 billion of CDO assets under management includes a portion of the $10 billion in bank loan portfolios that are managed as CDOs.

A copy of Part II of Invesco's most recent Form ADV is available from Invesco upon request. Management Team

Invesco has an experienced team of 31 professionals supporting its bank loan platform, including five senior portfolio managers, one junior portfolio manager, 14 credit analysts, five product managers and seven operations specialists, as of March 1, 2008. The five senior portfolio managers are members of the senior investment committee (the "Senior Investment Committee"). As an indirect, wholly-owned subsidiary of Invesco Ltd., Invesco draws from the organization's global presence and expertise to deliver portfolio management and investment services to its clients. Set forth below is information regarding the backgrounds and experience of the senior portfolio managers and certain other senior personnel of Invesco who are expected to be responsible for substantially all of the investment activities of the Issuer. There can be no assurance that such persons will continue to be employed by or otherwise affiliated with Invesco or be responsible for monitoring the Issuer and the Collateral during the entire term of the Collateral Management Agreement. These personnel will allocate their business time to the Collateral Manager as required by the Collateral Management Agreement. In addition, the Collateral Manager may add additional principals or employees at any time.

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Gregory Stoeckle, Senior Portfolio Manager/Head of Bank Loans

Mr. Stoeckle heads Invesco's global bank loan business, which as of December 31, 2007 manages $10 billion of alternative structures built around investments in the senior debt of LBOs and leveraged credit transactions. He is also a member of the Senior Investment Committee and provides direction for macro strategies across all of Invesco's loan funds.

Mr. Stoeckle joined Invesco in 1999, when the bank loan business was in its nascent stages. He was instrumental in building the business from a domestic platform of less than $1 billion in April of 1999 into the current global franchise. In addition to his day-to-day involvement with bank loans, Mr. Stoeckle also serves as a member of the senior management committee for the firm's fixed income platform. Mr. Stoeckle's career stretches back over 20 years and has been developed through progressively senior roles in banking and investment management. Prior employers include Gleacher NatWest, Bank of Tokyo-Mitsubishi, and CoreStates Bank. Mr. Stoeckle has been named to the 2008 Board of Directors for the Loan Syndications and Trading Association ("LSTA"). He holds a B.S. in Applied Mathematics & Economics from Ursinus College and an M.B.A. in Finance from Saint Joseph's University. Scott Baskind, Senior Portfolio Manager/Head of Trading

Mr. Baskind is a member of the Senior Investment Committee responsible for bank loan portfolios.

Mr. Baskind joined Invesco in 1999 as a credit analyst and was promoted to his current position in 2002. Mr. Baskind began his career in 1996, as a Financial Analyst at the Bureau of Fiscal Management, City of New York. Later that year, he joined NatWest Markets as a Commercial Lending Analyst. In 1997, he joined Gleacher NatWest as an associate in the Leveraged Finance and Private Equities Group. He was responsible for credit analysis of non-investment grade bank loans and mezzanine debt financings.

Mr. Baskind earned a B.S. in Business Administration, with majors in Finance and Management Information Systems, from the University of Albany, State University of New York, in 1996. Tom Ewald, Senior Portfolio Manager/Chief Investment Officer

Mr. Ewald is a member of the Senior Investment Committee responsible for bank loan portfolios.

Mr. Ewald joined Invesco in 2000 as a credit analyst and was promoted to portfolio manager in 2001. Prior to joining Invesco, Mr. Ewald was one of the initial members of First Union Institutional Debt Management ("IDM") and assisted in growing assets under management to over $2 billion. Before joining First Union International Debt Management, Mr. Ewald worked for several departments within First Union Securities, including par loan research, syndications and mergers and acquisitions. After graduating from college, Mr. Ewald was with Barclays Bank PLC, where he worked in middle market lending, real estate and credit. Following his tenure with Barclays Bank PLC, Mr. Ewald was deputy head of international lending for Al-Ahli Bank of Kuwait.

Mr. Ewald earned an A.B. from Harvard College in 1987 and an MBA from the Darden School in 1993. Tim Lasham, Managing Director/Head of European Bank Loans

Mr. Lasham is a member of the Senior Investment Committee and is responsible for sourcing European bank loans.

Mr. Lasham joined Invesco in October 2000 as a Managing Director. He has over 30 years of experience in the European banking industry. Prior to joining Invesco, Mr. Lasham was Head of Leveraged Credit Risk at NatWest Group, where he was responsible for the design, implementation and ongoing management of a risk analysis and control process instituted specifically to manage, from a risk perspective, the Bank's Leveraged Finance activities including the leveraged senior and mezzanine loan portfolios. This was the culmination of a number of risk related roles within NatWest Group including, Director of Credit Risk at Greenwich NatWest (1997 and 1998),

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Senior Executive Credit Risk NatWest Markets (1995 and 1996) and Vice President Credit Risk NatWest Markets North America (1993 and 1994).

Prior to focusing on risk control and portfolio management responsibilities, Mr. Lasham was one of the early members of NatWest Group's Acquisition Finance team, formed in the late 1980's to focus on the MBO/MBI market and subsequently became Head of Mezzanine Finance, where he was responsible for the sourcing, structuring, and underwriting of mezzanine finance assets.

Mr. Lasham is an Associate Member of the Chartered Institute of Bankers. Joe Rotondo, Senior Portfolio Manager/Head of Portfolio Construction

Mr. Rotondo is a member of the Senior Investment Committee responsible for bank loan portfolios.

Mr. Rotondo joined Invesco in 1998 as a credit analyst and was promoted to portfolio manager in 2000. Prior to joining Invesco, Mr. Rotondo worked with IBJ Schroder's Corporate Finance group for two years. At IBJ Schroder, he originated and structured senior credit facilities that were used to finance leveraged buyouts. Before joining IBJ Schroder, Mr. Rotondo spent five years with Chase's corporate lending group. While at Chase, he originated and underwrote traditional and leveraged senior facilities for middle market businesses.

Mr. Rotondo earned a B.A. in Economics from Rutgers College in 1990 and an MSc in International Accounting and Finance from the London School of Economics in 1998. Kevin Petrovcik, Managing Director/Head of Product Management

Mr. Petrovcik is the head of product management for the global CDO group within Invesco Institutional and is responsible for the ongoing product development, structuring and marketing of new investment funds for Invesco's fixed income platform. As of December 31, 2007, Invesco's CDOs under management are comprised of $13.2 billion across 25 structures encompassing ABS securities, and senior secured bank loans as collateral.

Mr. Petrovcik joined Invesco in 1999 to establish its product management initiative. Prior to joining Invesco, Mr. Petrovcik was with Loan Pricing Corporation (Reuters) ("LPC") for four years as director of LPC's public data group, responsible for bank loan data and market analytics. While at LPC, Mr. Petrovcik developed and launched Reuters' first fee-generating internet product – Loan Connector, which is a platform for analyzing and delivering loan market news and data. Mr. Petrovcik also developed the LSTA/Loan Pricing Corporation's Mark-to-Market Pricing Service.

Mr. Petrovcik began his career in banking as a credit analyst with The First National Bank of Chicago, completing its credit analyst training program and credit officer training program. Mr. Petrovcik also worked at Bankers Trust Company in its management consulting group, where he implemented a variety of risk control and strategic management projects for the bank, and at Salomon Brothers Inc. in its business planning department.

Mr. Petrovcik earned a B.S. in Accounting and Economics from New York University's Stern School of Business in 1988 and an M.B.A. in Finance and Business Policy from the University of Chicago's Graduate School of Business in 1993.

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THE COLLATERAL MANAGEMENT AGREEMENT

The following summary disclosure contains provisions of the Collateral Management Agreement. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Collateral Management Agreement.

On the Closing Date, the Issuer and the Collateral Manager will enter into an agreement (the "Collateral Management Agreement") pursuant to which the Issuer will retain the Collateral Manager to perform certain administrative and advisory functions with respect to the Collateral. The Collateral Manager has not advised and will not advise the Issuer with respect to the selection and acquisition of the Collateral Debt Obligations included in the Collateral on the Closing Date. The acquisition and disposition of Collateral Debt Obligations by the Issuer on and after the Closing Date and the monitoring of the Collateral will be conducted by Invesco Senior Secured Management, Inc. pursuant to the terms of the Collateral Management Agreement. See "Risk Factors—Potential Conflicts of Interest—Conflicts Involving the Collateral Manager". Invesco in its role as investment advisor for the Existing Issuer (and not in its role as Collateral Manager) initially selected certain Collateral Debt Obligations that, with the consent of the Swap Counterparty, were referenced by the Existing Total Return Swap Transaction. Such Collateral Debt Obligations were not selected with the intention of including such Collateral Debt Obligations in the Collateral in this transaction. The Collateral Manager makes no representation or warranty with respect to appropriateness for the Issuer of such Collateral Debt Obligations, many of which will be acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date. No party other than the Issuer will make any representation or warranty as to whether the Collateral Debt Obligations acquired by the Issuer on the Closing Date satisfy the definition thereof or whether the Eligibility Criteria are satisfied on the Closing Date. The Collateral Manager makes no representations or warranties regarding the appropriateness for the Issuer of the Collateral Debt Obligations acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date, given the Issuer's capital structure and investment restrictions. Subject to the terms of the Collateral Management Agreement and the Indenture, the Collateral Manager will direct the acquisition and sale of certain Collateral Debt Obligations and the investment in Eligible Investments, monitor the Collateral on an ongoing basis pursuant to the terms of the Indenture, notify the Trustee and the Issuer upon becoming aware of the occurrence of any Event of Default or Default under the Indenture, consult with the Rating Agencies, provide (or assist in providing) to the Collateral Administrator certain information specified in the Collateral Administration Agreement, review the reports prepared pursuant to the Indenture and the Collateral Administration Agreement and comply with certain other duties and responsibilities. The Collateral Manager assumes no responsibility under the Collateral Management Agreement other than to render the services called for thereunder and under the terms of the Indenture and the Collateral Administration Agreement expressly applicable to it. The Indenture and the Collateral Management Agreement place significant restrictions on the Collateral Manager’s ability to purchase or sell Collateral Debt Obligations, and the Collateral Management Agreement will require the Collateral Manager to comply with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Collateral Manager may be unable to purchase or sell Collateral Debt Obligations or to take other actions that the Collateral Manager might consider in the best interests of the Co-Issuers and the Holders of the Notes. See "Risk Factors—Potential Conflicts of Interest—Conflicts Involving the Collateral Manager".

In performing its duties and obligations under the Collateral Management Agreement, the Collateral Manager is entitled to rely upon such advice of counsel or other advisors as the Collateral Manager determines reasonably appropriate in its sole discretion.

The Collateral Manager or any of its Affiliates, employees or associates may engage in other business and furnish investment management, advisory and other types of services to its Affiliates and other clients whose investment policies differ from, or are the same as, those followed by the Collateral Manager with respect to the Issuer, as required by the Collateral Management Agreement. The Collateral Manager may make recommendations to or effect transactions for such Affiliates and other clients which may differ from those effected with respect to the Collateral Debt Obligations included in the Collateral. The Collateral Manager and its Affiliates and associates 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 the Issuer or the Noteholders. In certain circumstances, the interests

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of the Issuer and/or the Holders of the Notes with respect to matters as to which the Collateral Manager is advising the Issuer under the Collateral Management Agreement may conflict with the interests of the Collateral Manager and its Affiliates. See "Risk Factors—Potential Conflicts of Interest—Conflicts Involving the Collateral Manager."

As compensation for the performance of its obligations as Collateral Manager, the Collateral Manager will be entitled to receive fees, consisting of a Senior Collateral Management Fee, a Subordinated Collateral Management Fee and an Incentive Collateral Management Fee (collectively, the "Collateral Management Fee").

Payment of all or a portion of the accrued Senior Collateral Management Fee, Subordinated Collateral Management Fee or Incentive Collateral Management Fee, as applicable, on any Payment Date may be deferred at the option of the Collateral Manager, in its sole discretion, in such amount as may be determined by the Collateral Manager prior to each Payment Date, in which case such accrued and unpaid fee so deferred, together with interest thereon (in the case of the Senior Collateral Management Fee and the Subordinated Collateral Management Fee only) shall be payable on a succeeding Payment Date determined by the Collateral Manager if and to the extent funds are available for such purpose in accordance with the Priority of Payments.

Any Senior Collateral Management Fees to which the Collateral Manager is entitled on any Payment Date that are not paid to the Collateral Manager, whether due to insufficient funds or the deferral thereof, shall accrue interest at the rate of three-month LIBOR plus 0.15% per annum for the period from (and including) the date on which such Senior Collateral Management Fees will have otherwise been payable through (but excluding) the date of payment thereof (computed on the basis of a 360-day year and the actual number of days elapsed during the applicable Periodic Interest Accrual Period), and such fees, together with any interest accrued thereon, will be payable on the next Payment Date specified by the Collateral Manager on which funds are available therefor in accordance with the Priority of Payments. Accrued interest on the Senior Collateral Management Fee shall constitute Senior Collateral Management Fees for all purposes of the Indenture and the Collateral Management Agreement.

Any Subordinated Collateral Management Fees to which the Collateral Manager is entitled on any Payment Date that are not paid to the Collateral Manager, whether due to insufficient funds or the deferral thereof, shall accrue interest at the rate of three-month LIBOR plus 0.75% per annum for the period from (and including) the date on which such Subordinated Collateral Management Fees will have otherwise been payable through (but excluding) the date of payment thereof (computed on the basis of a 360-day year and the actual number of days elapsed during the applicable Periodic Interest Accrual Period), and such fees, together with any interest accrued thereon, will be payable on the next Payment Date specified by the Collateral Manager on which funds are available therefor in accordance with the Priority of Payments. Accrued interest on the Subordinated Collateral Management Fee shall constitute Subordinated Collateral Management Fees for all purposes of the Indenture and the Collateral Management Agreement.

Any Incentive Collateral Management Fees to which the Collateral Manager is entitled on any Payment Date that are not paid to the Collateral Manager, whether due to insufficient funds or the deferral thereof, shall not accrue interest for the period of deferral but such unpaid fees will be payable on the next Payment Date specified by the Collateral Manager on which funds are available therefor in accordance with the Priority of Payments.

In the event of the removal of the Collateral Manager, the removed Collateral Manager will continue to be entitled to receive any Senior Collateral Management Fee, Subordinated Collateral Management Fee and Incentive Collateral Management Fee accrued through the date of actual termination of duties whenever such amount is payable pursuant to the Priority of Payments.

The Issuer will be obligated to reimburse the Collateral Manager for certain expenses and other amounts. These amounts will be Administrative Expenses, which will be paid in accordance with the applicable Priority of Payments (except for certain amounts which may also be paid from the Expense Account as provided under "Security for the Co-Issued Notes—the Expense Account"). The Collateral Manager will otherwise be responsible for its ordinary expenses incurred in the course of performing its obligations under the Collateral Management Agreement.

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The Collateral Management Agreement will set forth certain guidelines designed to prevent the Issuer from becoming subject to United States net income tax. Compliance by the Collateral Manager with such guidelines may limit the investment opportunities available to the Issuer.

None of the Collateral Manager, its directors, officers, shareholders, members, partners, agents and employees of any of their affiliates or their respective directors, officers, shareholders, members, partners, agents and employees of any of their Affiliates (collectively, the "Specified Parties" and individually, each a "Specified Party") will be liable to the Issuer, any Subsidiary Holding Company, the Trustee, the Class F Income Note Paying Agent, any purchaser of the Notes or any other Person (i) for any acts or omissions or any alleged act or omission by such Specified Party or any other Specified Party under or in connection with the Collateral Management Agreement or the terms of the Indenture applicable to it, or for any decrease in the value of the Collateral or any other losses suffered by the Issuer or any Subsidiary Holding Company or for any action or omission of the Issuer, any Subsidiary Holding Company, the Trustee, the Class F Income Note Paying Agent, any purchaser of the Notes or any other Person in following or declining to follow any advice, recommendation or direction of the Collateral Manager, except by reason of acts or omissions by such Specified Party constituting bad faith, fraud, willful misconduct or gross negligence in the performance or reckless disregard of the duties of the Collateral Manager under the Collateral Management Agreement, the Collateral Administration Agreement and the terms of the Indenture applicable to it or (ii) for any losses, claims, damages, judgments, assessments, costs, expenses or other liabilities (including attorneys' and accountants' fees and expenses) incurred by the Issuer, any Subsidiary Holding Company, the Trustee, the Class F Income Note Paying Agent, any purchaser of the Notes or any other Person that arise out of or in connection with the issuance of the Notes or the transactions contemplated by this Offering Circular, except with respect to (x) the information (if any) concerning the Collateral Manager provided by the Collateral Manager expressly for use in the section herein entitled "The Collateral Manager" to the extent such information contains any untrue statement of material fact or omits to state a material fact necessary in order to make the statements therein, in the light of the circumstances under which they were made, not misleading or (y) as set forth in the exception to clause (i), in either event as determined by a final adjudication of a court of competent jurisdiction. The matters described in the exceptions to clauses (i) and (ii) in the immediately preceding sentence are collectively referred to herein as "Collateral Manager Breaches". The Issuer will indemnify and hold harmless the Specified Parties (each of such parties in such case, an "Indemnified Party") from and against any and all expenses, losses, damages, judgments, assessments, costs, demands, charges, claims or other liabilities of any nature whatsoever (including reasonable attorneys' fees and expenses and accountants' fees and expenses as such fees and expenses are incurred) in respect of or arising from any acts or omissions of any such party made in good faith in the performance of the duties of the Collateral Manager under the Collateral Management Agreement, the Collateral Administration Agreement and the Indenture and not constituting a Collateral Manager Breach.

The Collateral Manager will indemnify and hold harmless the Issuer and any of its Affiliates, directors, officers, employees, shareholders, assigns, representatives or agents for any liability, damage, settlement cost, or other expense (including attorneys' fees) in respect of or arising from any Collateral Manager Breach described in the exception described in clause (ii)(x) of the immediately preceding paragraph, except to the extent such liability, damage, settlement cost or other expense (including attorneys' fees) arises as a result of any act or omission constituting bad faith, fraud, willful misconduct or gross negligence in the performance of or reckless disregard of the Issuer's duties under the Collateral Management Agreement, the Collateral Administration Agreement or under the Indenture.

Any assignment of the Collateral Management Agreement by the Collateral Manager to any Person will be deemed null and void unless (i) such assignment is consented to in writing by the Issuer acting with the consent of the Holders of at least a Majority of the Aggregate Principal Amount of each Class of Notes (each Class voting as a separate Class) (collectively, the "Required Parties"), (ii) the Issuer has received Global Rating Agency Confirmation (iii) such assignment is not to an assignee that will, by its appointment and performance of obligations under the Collateral Management Agreement, subject the Issuer to tax on a net income basis in any jurisdiction outside its jurisdiction of incorporation, (iv) such assignment will not cause the Issuer, either of the Subsidiary Holding Companies or the Co-Issuer to be engaged in a U.S. trade or business for United States Federal Income tax purposes, and (v) such assignment will not otherwise cause adverse tax consequences to the Issuer, Co-Issuer or the pool of Collateral; provided that pursuant to the Collateral Management Agreement, the Collateral Manager may assign and transfer all (but not less than all) of its rights and responsibilities thereunder to any Affiliate of the Collateral Manager with, in the reasonable judgment of the Collateral Manager, comparable investment management

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capabilities, without the consent of the Issuer or Required Parties or any other Person but subject to receipt of Global Rating Agency Confirmation, if the performance of the duties by the Affiliate under the Collateral Management Agreement would not cause the Issuer to be subject to taxation in any jurisdiction outside its jurisdiction of incorporation (solely as a result of the Affiliate's appointment). In addition, no such assignment shall be effective unless the assignee has executed and delivered to the Issuer a counterpart of the Collateral Management Agreement naming such assignee as Collateral Manager.

In addition, the Collateral Manager may, pursuant to the Collateral Management Agreement, enter into arrangements pursuant to which its Affiliates or third parties may perform certain services on behalf of the Collateral Manager; provided the performance of the duties by the Affiliate or third party under the Collateral Management Agreement would not cause the Issuer to be subject to taxation in any jurisdiction outside its jurisdiction of incorporation (solely as a result of the Affiliate's appointment). Any such arrangements will not relieve the Collateral Manager from any of its duties or obligations thereunder.

Any successor to the Collateral Manager by way of transfer, merger, conversion, consolidation or acquisition of all or substantially all of the Collateral Manager's asset management business relating to debt securities and loans, will be the successor to the Collateral Manager without any further action by the Collateral Manager, the Issuer or any other Person.

Subject to the following provisions regarding removal or resignation of the Collateral Manager, the Collateral Management Agreement will be entered into on the Closing Date for a term until the earlier of (i) payment in full of the Notes (or, in the case of the Class E Notes, the Class E Recovery Amount) and the redemption of the Class F Income Notes and the termination of the Indenture in accordance with its terms, (ii) the liquidation of the Collateral and final distribution of the proceeds thereof to the Holders of Notes and (iii) resignation or removal of the Collateral Manager or termination of the Collateral Management Agreement. The Collateral Manager may be removed for cause upon 30 Business Days' prior written notice by the Issuer at the direction of the Holders of not less than 66-2/3% of Aggregate Principal Amount of the most Senior Class of Co-Issued Notes then Outstanding or the Holders of not less than 66-2/3% of the Aggregate Principal Amount of the Class D Notes and the Holders of not less than 66-2/3% of the Aggregate Principal Amount of the Class E Notes (voting separately). Cause for removal of the Collateral Manager includes the bankruptcy or insolvency of the Collateral Manager, certain willful or material breaches by the Collateral Manager of the provisions of the Collateral Management Agreement, fraud or criminal violation by the Collateral Manager or certain of its officers. Notes beneficially owned by the Collateral Manager, its Affiliates or their respective employees shall be disregarded and deemed not to be Outstanding and may not be voted with respect to any such vote as to the removal of the Collateral Manager.

The Collateral Manager may resign and terminate the Collateral Management Agreement upon not less than 30 days' written notice to the Issuer, the Trustee and the Rating Agencies; provided that the Collateral Manager shall have the right to resign immediately upon the effectiveness of any material change in applicable law or regulations which renders the performance by the Collateral Manager of its duties under the Collateral Management Agreement or under the Indenture to be a violation of such law or regulation.

Notwithstanding any other provisions hereof to the contrary, the Collateral Management Agreement shall automatically terminate if the Issuer or either of the Subsidiary Holding Companies or the pool of Collateral becomes an investment company required to be registered under the Investment Company Act.

Notwithstanding the foregoing, no resignation or removal of the Collateral Manager will be effective until a qualifying replacement Collateral Manager has been appointed in accordance with the Collateral Management Agreement, such successor Collateral Manager accepts such appointment and Global Rating Agency Confirmation has been received. The Holders of at least 66-2/3% of the Aggregate Principal Amount of the Class D Notes and the Holders of at least 66-2/3% of the Aggregate Principal Amount of the Class E Notes (voting a single class) shall nominate a successor collateral manager. The Issuer shall appoint the successor collateral manager nominated by the Holders of the Class D Notes and Class E Notes unless the Issuer receives written rejection of such successor collateral manager from the Holders of at least 66-2/3% of the Aggregate Principal Amount of the most Senior Class of Notes then Outstanding within 30 days of such nomination.

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If within 30 days following a notice of resignation or a notice of removal no replacement Collateral Manager has been appointed and accepted such appointment, any of the resigning or removed Collateral Manager, the Holders of at least 66-2/3% of the Aggregate Principal Amount of the Class D Notes and the Holders of at least 66-2/3% of the Aggregate Principal Amount of the Class E Notes or the Holders of at least 66-2/3% of the Aggregate Principal Amount of the most Senior Class of Notes then Outstanding may petition any court of competent jurisdiction for the appointment of a successor Collateral Manager without the approval of the Issuer, the Noteholders, the Trustee or the Rating Agencies and the resignation or removal of the Collateral Manager will be effective as of the date that a successor Collateral Manager is appointed by the court. Notes owned by or pledged to the Collateral Manager, its Affiliates or their respective employees or accounts for which the Collateral Manager or an Affiliate has discretionary voting authority shall be included in determining whether the requisite percentage of Noteholders have made any such nomination, rejection, petition or otherwise in connection with any action described in this paragraph.

The Collateral Manager assumes no responsibility under the Collateral Management Agreement other than to render in good faith the services called for thereunder and under the terms of the Indenture and the Collateral Administration Agreement expressly applicable to it.

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MATURITY AND PREPAYMENT CONSIDERATIONS

The Stated Maturity Date of each Class of Notes is the Payment Date occurring in October, 2020. The actual maturity of each Class of Notes is expected to occur prior to its respective Stated Maturity Date. Average life refers to the average amount of time that will elapse from the date of delivery of a security until each dollar of the principal of such security will be paid to the investor. The average lives and Final Maturity Dates of the Notes will be determined by the amount and frequency of principal payments, which will be dependent upon, among other things, optional redemptions of the Notes, the amount of sinking fund payments and any other payments received at or in advance of the scheduled maturity of the Collateral Debt Obligations (whether through prepayment, sale, maturity, redemption, default or other liquidation or disposition) as well as the rate of future defaults and the amount and timing of any cash realization from Defaulted Obligations. The actual average lives of the Notes will also be affected by the financial condition of the obligors of the Collateral Debt Obligations and the characteristics of such obligations, including the existence and frequency of exercise of any optional or mandatory prepayment features, the prevailing level of interest rates, the redemption price, the prepayment price and the actual default rate of such Collateral Debt Obligations, the actual level of recoveries on any Defaulted Obligations and the frequency of tender or exchange offers for Collateral Debt Obligations. A substantial portion of the Collateral Debt Obligations are expected to permit prepayment at any time by the obligor.

The acquisition or disposition of a Collateral Debt Obligation included in the Collateral may change the composition and characteristics of the Collateral Debt Obligations included in the Collateral and the rate of payment thereon and, accordingly, may affect the actual average lives of the Notes.

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PURCHASE AND TRANSFER RESTRICTIONS

General

The Notes have not been registered under the Securities Act or any state securities or "blue sky" laws or the securities laws of any other jurisdiction and, accordingly, may not be reoffered, resold, pledged or otherwise transferred except in accordance with the restrictions set forth in the Indenture and described under "Notices to Purchasers" and below.

Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or transfer of the Notes. Purchasers of Notes represented by an interest in a Regulation S Global Note are advised that such interests are not transferable to U.S. Persons at any time except in accordance with the following restrictions.

Without limiting the foregoing, by holding an interest in a Note, each Noteholder will acknowledge and agree, among other things, that such Holder understands that the Issuer is not registered as an investment company under the Investment Company Act but that the Issuer is exempt from registration as such by virtue of Section 3(c)(7) of the Investment Company Act. To rely on Section 3(c)(7), the Issuer must have a "reasonable belief" that all purchasers of Notes (including subsequent transferees) are "qualified purchasers" or non-U.S. persons purchasing the Notes pursuant to Regulation S. The Issuer will establish such a reasonable belief by means of the representations, warranties and agreements made, or deemed made, by the purchasers of the Notes and certain covenants and undertakings of the Issuer set forth in the Indenture. In general terms, "qualified purchaser" is defined to mean, among other things, any natural person who owns not less than U.S.$5,000,000 in investments; any person who in the aggregate owns and invests on a discretionary basis not less than U.S.$25,000,000 in investments; and trusts as to which both the settlor and the decision-making trustee are qualified purchasers (but only if such trust was not formed for the specific purpose of making such investment unless each of the beneficial owners of such trust is a qualified purchaser).

Senior Notes

Legend

Unless determined otherwise by the Co-Issuers or the Issuer (as applicable) in accordance with applicable law and so long as any Class of Senior Notes is Outstanding, the Senior Notes will each bear a legend substantially to the following effect set forth below:

THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION, AND NEITHER THE ISSUER NOR THE CO-ISSUER, AS APPLICABLE, HAS BEEN REGISTERED UNDER THE U.S. INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF OR OF ANY INTEREST HEREIN, BY ITS ACCEPTANCE OF THIS NOTE, REPRESENTS THAT IT HAS OBTAINED THIS NOTE IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES AND ANY OTHER JURISDICTION AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE INDENTURE. THE HOLDER HEREOF OR OF ANY INTEREST HEREIN, BY ITS ACCEPTANCE OF THIS NOTE, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISE TRANSFER THIS NOTE (OR ANY INTEREST HEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN (A) TO A TRANSFEREE (1) THAT IS A "QUALIFIED PURCHASER" WITHIN THE MEANING OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER, THE SUBSIDIARY HOLDING COMPANIES, THE CO-ISSUER OR THE POOL OF

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COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY ACT, (2) THAT (i) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (ii) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS AN EXCEPTED INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (iii) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS, (iv) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE AND (v) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (3) THAT IS A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A "QUALIFIED INSTITUTIONAL BUYER" IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (B) TO A TRANSFEREE (1) THAT IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND (2) THAT IS NOT A U.S. RESIDENT WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT AND, IN THE CASE OF BOTH CLAUSES (A) AND (B), UNLESS THE ISSUER OTHERWISE CONSENTS OR UNLESS OTHERWISE PERMITTED UNDER THE INDENTURE, IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$[500,000]1[250,000]2 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. EACH PURCHASER OR TRANSFEREE OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE.

THIS NOTE IS NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE CO-ISSUERS, THE TRUSTEE OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER RESERVES THE RIGHT TO RESELL ANY INTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN THE INDENTURE) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF 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 TRUSTEE.

The following additional legend will appear on each Global Note:

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 CO-ISSUERS OR THEIR AGENT 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. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC).

1 Insert in the case of Class A Notes, Class B Notes and Class C Notes. 2 Insert in the case of Class D Notes and Class E Notes.

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TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, AND NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE, AND TRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE.

The Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes will bear the following additional legend:

BY ITS ACQUISITION OF THIS NOTE, THE HOLDER THEREOF WILL BE DEEMED TO REPRESENT AND WARRANT THAT (1) EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS SUCH NOTE WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS SUCH NOTE WILL NOT BE ACTING ON BEHALF OF), A BENEFIT PLAN INVESTOR OR A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS MATERIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF THE U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") OR (B) ITS ACQUISITION, HOLDING AND DISPOSITION OF THIS NOTE WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION IN VIOLATION OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, A VIOLATION OF ANY SUCH MATERIALLY SIMILAR LAW); AND (2) IT AND ANY FIDUCIARY CAUSING IT TO ACQUIRE SUCH NOTE WILL INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE CO-ISSUER, THE TRUSTEE, THE COLLATERAL MANAGER, AND THEIR RESPECTIVE AFFILIATES FROM ANY COST, DAMAGE OR LOSS INCURRED BY THEM AS A RESULT OF ITS BREACH OF THE FOREGOING REPRESENTATIONS AND WARRANTIES. FOR THESE PURPOSES, "BENEFIT PLAN INVESTOR" MEANS A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF U.S. DEPARTMENT OF LABOR REGULATION § 29 C.F.R. 2510.3-101, AS MODIFIED IN APPLICATION BY SECTION 3(42) OF ERISA, AND INCLUDES ANY (A) EMPLOYEE BENEFIT PLAN SUBJECT TO PART 4 OF TITLE I OF ERISA, (B) PLAN THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (C) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS FOR PURPOSES OF ERISA OR SECTION 4975 OF THE CODE BY REASON OF A PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING THE GENERAL ACCOUNT OF AN INSURANCE COMPANY ANY OF WHOSE ASSETS INCLUDE PLAN ASSETS OR A WHOLLY OWNED SUBSIDIARY THEREOF.

The Class D Notes and the Class E Notes will bear the following additional legend:

NO CLASS D NOTE OR CLASS E NOTE MAY BE ACQUIRED BY OR TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, EXCEPT THAT CLASS D NOTES AND CLASS E NOTES IN THE FORM OF A CERTIFICATED NOTE MAY BE ACQUIRED BY BENEFIT PLAN INVESTORS OR CONTROLLING PERSONS ON THE CLOSING DATE, BUT ONLY IF IMMEDIATELY AFTER SUCH ACQUISITION, LESS THAN 25% OF THE CLASS D NOTES, THE CLASS E NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER WILL BE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER HELD BY CONTROLLING PERSONS). NO INTEREST IN A CLASS D NOTE OR CLASS E NOTE IN THE FORM OF AN INTEREST IN A REGULATION S GLOBAL NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AT ANY TIME, AND NO CLASS D NOTE OR CLASS E NOTE IN THE FORM OF A CERTIFICATED NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AFTER THE INITIAL PLACEMENT THEREOF.

EACH PURCHASER OF A CLASS D NOTE OR A CLASS E NOTE IN THE FORM OF A CERTIFICATED NOTE OR IN THE FORM OF A REGULATION S GLOBAL NOTE IN THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED TO CERTIFY WHETHER OR NOT IT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH TRANSFEREE OF A CLASS D NOTE OR A CLASS E NOTE IN THE FORM OF A CERTIFICATED NOTE AFTER THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED TO REPRESENT AND WARRANT, AND EACH TRANSFEREE OF A CLASS D NOTE OR A CLASS E NOTE IN THE FORM OF AN INTEREST IN A REGULATION S GLOBAL NOTE AFTER THE

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INITIAL PLACEMENT THEREOF WILL BE DEEMED TO REPRESENT AND WARRANT, THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH PURCHASER OF A CLASS D NOTE OR A CLASS E NOTE IN THE FORM OF A CERTIFICATED NOTE THAT IS A BENEFIT PLAN INVESTOR WILL BE REQUIRED TO REPRESENT AND WARRANT THAT ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH NOTE WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION IN VIOLATION OF SECTION 406 OF THE U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"). EACH ORIGINAL PURCHASER AND EACH SUBSEQUENT TRANSFEREE OF A CLASS D NOTE OR A CLASS E NOTE (OR AN INTEREST THEREIN) WILL BE REQUIRED OR IN CERTAIN CIRCUMSTANCES WILL BE DEEMED TO REPRESENT AND WARRANT THAT (1) IT WILL NOT SELL, PLEDGE OR OTHERWISE TRANSFER SUCH NOTE (OR AN INTEREST THEREIN) TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, (2) IF IT IS A GOVERNMENTAL, CHURCH OR FOREIGN PLAN THAT IS SUBJECT TO ANY U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW OR REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (A "SIMILAR LAW"), ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH NOTE WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SIMILAR LAW, AND (3) IT AND ANY FIDUCIARY CAUSING IT TO ACQUIRE SUCH NOTE WILL INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE TRUSTEE, THE COLLATERAL MANAGER, AND THEIR RESPECTIVE AFFILIATES FROM ANY COST, DAMAGE OR LOSS INCURRED BY THEM AS A RESULT OF ITS BREACH OF ANY OF THE FOREGOING CERTIFICATIONS, REPRESENTATIONS AND WARRANTIES THAT ARE APPLICABLE TO IT.

FOR THESE PURPOSES, "BENEFIT PLAN INVESTOR" MEANS A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF U.S. DEPARTMENT OF LABOR REGULATION § 29 C.F.R. 2510.3-101, AS MODIFIED IN APPLICATION BY SECTION 3(42) OF ERISA, AND INCLUDES ANY (A) EMPLOYEE BENEFIT PLAN SUBJECT TO PART 4 OF TITLE I OF ERISA, (B) PLAN THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (C) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS FOR PURPOSES OF ERISA OR SECTION 4975 OF THE CODE BY REASON OF A PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING THE GENERAL ACCOUNT OF AN INSURANCE COMPANY ANY OF WHOSE ASSETS INCLUDE PLAN ASSETS OR A WHOLLY OWNED SUBSIDIARY THEREOF. "CONTROLLING PERSONS" INCLUDE PERSONS, OTHER THAN BENEFIT PLAN INVESTORS, HAVING DISCRETIONARY AUTHORITY OR CONTROL OVER THE ASSETS OF THE ISSUER OR PROVIDING INVESTMENT ADVICE WITH RESPECT TO THE ASSETS OF THE ISSUER FOR A FEE, DIRECT OR INDIRECT, OR ANY AFFILIATES OF SUCH PERSONS. FOR THIS PURPOSE, AN "AFFILIATE" OF A PERSON INCLUDES ANY PERSON, DIRECTLY OR INDIRECTLY, THROUGH ONE OR MORE INTERMEDIARIES, CONTROLLING, CONTROLLED BY, OR UNDER COMMON CONTROL WITH THE PERSON. "CONTROL," WITH RESPECT TO A PERSON OTHER THAN AN INDIVIDUAL, MEANS THE POWER TO EXERCISE A CONTROLLING INFLUENCE OVER THE MANAGEMENT OR POLICIES OF SUCH PERSON.

THE INDENTURE PERMITS THE ISSUER TO DEMAND THAT (w) ANY PERSON HOLDING A CLASS D NOTE OR A CLASS E NOTE (OR AN INTEREST THEREIN) THAT REPRESENTED (OR WAS DEEMED TO REPRESENT) IT WAS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON BUT IS DETERMINED TO BE A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, (x) ANY PERSON ACQUIRING A CLASS D NOTE OR A CLASS E NOTE (OR AN INTEREST THEREIN) IF IMMEDIATELY AFTER SUCH ACQUISITION, 25% OR MORE OF THE CLASS D NOTES OR THE CLASS E NOTES (OR AN INTEREST THEREIN) OR ANY OTHER CLASS OF EQUITY INTERESTS IN THE ISSUER ARE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING NOTES AND OTHER EQUITY INTERESTS IN THE ISSUER HELD BY CONTROLLING PERSONS), (y) ANY PERSON ACQUIRING A CLASS D NOTE OR A CLASS E NOTE IN THE FORM OF A CERTIFICATED NOTE AFTER THE INITIAL PLACEMENT THEREOF THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, AND (z) ANY PERSON HOLDING AN INTEREST IN A CLASS D NOTE OR A CLASS E NOTE REPRESENTED BY A REGULATION S GLOBAL NOTE THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, TO SELL SUCH NOTES (OR INTEREST THEREIN) TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER

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RESTRICTIONS SET FORTH IN THE INDENTURE, AND, IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF, THE ISSUER MAY SELL THE HOLDER'S INTEREST IN SUCH NOTE TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS SET FORTH IN THE INDENTURE.

The Class A Notes will bear the following the following additional legend:

IF THE STATED REDEMPTION PRICE AT MATURITY OF THIS NOTE EXCEEDS ITS ISSUE PRICE BY AT LEAST AS MUCH AS ONE QUARTER OF ONE PERCENT OF ITS STATED REDEMPTION PRICE AT MATURITY MULTIPLIED BY THE NUMBER OF FULL YEARS OF ITS WEIGHTED AVERAGE LIFE THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. THE ISSUE PRICE, AMOUNT OF OID, ISSUE DATE AND YIELD TO MATURITY OF THIS NOTE MAY BE OBTAINED BEGINNING NO LATER THAN 10 DAYS AFTER THE ISSUANCE DATE BY WRITING TO: MARIO CLEMENTE, CITIGROUP GLOBAL MARKETS INC., 390 GREENWICH STREET, NEW YORK, NEW YORK 10013, TELEPHONE (212) 723-1028.

The Class B Notes and Class C Notes will bear the following additional legend:

THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. THE ISSUE PRICE, AMOUNT OF OID, ISSUE DATE AND YIELD TO MATURITY OF THIS NOTE MAY BE OBTAINED BEGINNING NO LATER THAN 10 DAYS AFTER THE ISSUANCE DATE BY WRITING TO MARIO CLEMENTE, CITIGROUP GLOBAL MARKETS INC., 390 GREENWICH STREET, NEW YORK, NEW YORK 10013, TELEPHONE (212) 723-1628.

Class F Income Notes

Legend

Unless determined otherwise by the Issuer in accordance with applicable law and so long as the Class F Income Notes are Outstanding, the Class F Income Notes will bear a legend substantially to the following effect set forth below:

THIS CLASS F INCOME NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION, AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE U.S. INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF OR OF ANY INTEREST HEREIN, BY ITS ACCEPTANCE OF THIS CLASS F INCOME NOTE, REPRESENTS THAT IT HAS OBTAINED THIS CLASS F INCOME NOTE IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES AND ANY OTHER JURISDICTION AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. THE HOLDER HEREOF OR OF ANY INTEREST HEREIN, BY ITS ACCEPTANCE OF THIS CLASS F INCOME NOTE, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISE TRANSFER THIS CLASS F INCOME NOTE (OR ANY INTEREST HEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT REFERRED TO HEREIN (A) TO A TRANSFEREE (1) THAT IS A "QUALIFIED PURCHASER" WITHIN THE MEANING OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER, THE SUBSIDIARY HOLDING COMPANIES, THE CO-ISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY ACT, (2) THAT (i) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (ii) HAS RECEIVED THE NECESSARY

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CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS AN EXCEPTED INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (iii) 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, (iv) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE AND (v) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (3) THAT (i) IS A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A "QUALIFIED INSTITUTIONAL BUYER" IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (ii) IS AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) UNDER REGULATION D UNDER THE SECURITIES ACT (PROVIDED THAT, IN THE CASE OF ANY TRANSFER PURSUANT TO THIS SUBCLAUSE (ii) THE TRANSFEROR OR THE TRANSFEREE HAS PROVIDED AN OPINION OF COUNSEL TO EACH OF THE TRUSTEE AND THE ISSUER THAT SUCH TRANSFER MAY BE MADE PURSUANT TO AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT), OR (B) TO A TRANSFEREE (1) THAT IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THIS CLASS F INCOME NOTE IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND (2) THAT IS NOT A U.S. RESIDENT WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT AND, IN THE CASE OF BOTH CLAUSES (A) AND (B), UNLESS THE ISSUER OTHERWISE CONSENTS OR UNLESS OTHERWISE PERMITTED UNDER THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$250,000 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. EACH PURCHASER OR TRANSFEREE OF THIS CLASS F INCOME NOTE WILL MAKE (OR BE DEEMED TO HAVE MADE) THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN AN EXHIBIT TO THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT.

NO CLASS F INCOME NOTE (OR ANY INTEREST THEREIN) MAY BE ACQUIRED BY OR TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, EXCEPT THAT CLASS F INCOME NOTES IN THE FORM OF A CERTIFICATED NOTE MAY BE ACQUIRED BY BENEFIT PLAN INVESTORS OR CONTROLLING PERSONS ON THE CLOSING DATE, BUT ONLY IF IMMEDIATELY AFTER SUCH ACQUISITION, LESS THAN 25% OF THE CLASS F INCOME NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER WILL BE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER HELD BY CONTROLLING PERSONS). NO CLASS F INCOME NOTE IN THE FORM OF A CERTIFICATED NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AFTER THE INITIAL PLACEMENT THEREOF, AND NO INTEREST IN A CLASS F INCOME NOTE REPRESENTED BY A REGULATION S GLOBAL NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AT ANY TIME.

EACH PURCHASER OF A CLASS F INCOME NOTE IN THE FORM OF A CERTIFICATED NOTE IN THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED TO CERTIFY WHETHER OR NOT IT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH TRANSFEREE OF A CLASS F INCOME NOTE IN THE FORM OF A CERTIFICATED NOTE AFTER THE INITIAL PLACEMENT THEREOF, AND EACH PURCHASER OF A CLASS F INCOME NOTE IN THE FORM OF AN INTEREST IN A REGULATION S GLOBAL NOTE IN THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED, AND EACH TRANSFEREE OF AN INTEREST IN A CLASS F INCOME NOTE REPRESENTED BY A REGULATION S GLOBAL INCOME NOTE AFTER THE INITIAL PLACEMENT THEREOF WILL BE DEEMED, TO REPRESENT AND WARRANT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH PURCHASER OF A CLASS F INCOME NOTE IN THE FORM OF A CERTIFICATED NOTE THAT IS A BENEFIT PLAN INVESTOR WILL BE REQUIRED TO REPRESENT AND WARRANT THAT ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH CLASS F INCOME NOTE WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION IN VIOLATION OF SECTION 406 OF THE U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974,

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AS AMENDED ("ERISA") OR SECTION 4975 OF THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"). EACH ORIGINAL PURCHASER AND EACH SUBSEQUENT TRANSFEREE OF A CLASS F INCOME NOTE (OR AN INTEREST THEREIN) WILL BE REQUIRED OR IN CERTAIN CIRCUMSTANCES WILL BE DEEMED TO REPRESENT AND WARRANT THAT (1) IT WILL NOT SELL, PLEDGE OR OTHERWISE TRANSFER SUCH CLASS F INCOME NOTE (OR AN INTEREST THEREIN) TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, (2) IF IT IS A GOVERNMENTAL, CHURCH OR FOREIGN PLAN THAT IS SUBJECT TO ANY U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW OR REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (A "SIMILAR LAW"), ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH CLASS F INCOME NOTE WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SIMILAR LAW, AND (3) IT AND ANY FIDUCIARY CAUSING IT TO ACQUIRE SUCH NOTE WILL INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE CLASS F INCOME NOTE ISSUING AND PAYING AGENT, THE COLLATERAL MANAGER, AND THEIR RESPECTIVE AFFILIATES FROM ANY COST, DAMAGE OR LOSS INCURRED BY THEM AS A RESULT OF ITS BREACH OF ANY OF THE FOREGOING CERTIFICATIONS, REPRESENTATIONS AND WARRANTIES THAT ARE APPLICABLE TO IT.

FOR THESE PURPOSES, "BENEFIT PLAN INVESTOR" MEANS A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF U.S. DEPARTMENT OF LABOR REGULATION § 29 C.F.R. 2510.3-101, AS MODIFIED IN APPLICATION BY SECTION 3(42) OF ERISA, AND INCLUDES ANY (A) EMPLOYEE BENEFIT PLAN SUBJECT TO PART 4 OF TITLE I OF ERISA, (B) PLAN THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (C) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS FOR PURPOSES OF ERISA OR SECTION 4975 OF THE CODE BY REASON OF A PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING THE GENERAL ACCOUNT OF AN INSURANCE COMPANY ANY OF WHOSE ASSETS INCLUDE PLAN ASSETS OR A WHOLLY OWNED SUBSIDIARY THEREOF. "CONTROLLING PERSONS" INCLUDE PERSONS, OTHER THAN BENEFIT PLAN INVESTORS, HAVING DISCRETIONARY AUTHORITY OR CONTROL OVER THE ASSETS OF THE ISSUER OR PROVIDING INVESTMENT ADVICE WITH RESPECT TO THE ASSETS OF THE ISSUER FOR A FEE, DIRECT OR INDIRECT, OR ANY AFFILIATES OF SUCH PERSONS. FOR THIS PURPOSE, AN "AFFILIATE" OF A PERSON INCLUDES ANY PERSON, DIRECTLY OR INDIRECTLY, THROUGH ONE OR MORE INTERMEDIARIES, CONTROLLING, CONTROLLED BY, OR UNDER COMMON CONTROL WITH THE PERSON. "CONTROL," WITH RESPECT TO A PERSON OTHER THAN AN INDIVIDUAL, MEANS THE POWER TO EXERCISE A CONTROLLING INFLUENCE OVER THE MANAGEMENT OR POLICIES OF SUCH PERSON.

THE CLASS F NOTE ISSUING AND PAYING AGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THAT (w) ANY PERSON HOLDING A CLASS F INCOME NOTE (OR AN INTEREST THEREIN) THAT REPRESENTED (OR WAS DEEMED TO REPRESENT) IT WAS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON BUT IS DETERMINED TO BE A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, (x) ANY PERSON ACQUIRING A CLASS F INCOME NOTE (OR AN INTEREST THEREIN) IF IMMEDIATELY AFTER SUCH ACQUISITION, 25% OR MORE OF THE CLASS F INCOME NOTES (OR AN INTEREST THEREIN) OR ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER ARE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING CLASS F INCOME NOTES AND ANY OTHER EQUITY INTERESTS IN THE ISSUER HELD BY CONTROLLING PERSONS), (y) ANY PERSON ACQUIRING AN INTEREST IN A CLASS F INCOME NOTE IN THE FORM OF A CERTIFICATED NOTE AFTER THE INITIAL PLACEMENT THEREOF THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, AND (z) ANY PERSON HOLDING AN INTEREST IN A CLASS F INCOME NOTE REPRESENTED BY A REGULATION S GLOBAL NOTE THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, TO SELL SUCH CLASS F INCOME NOTE (OR INTEREST THEREIN) TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS SET FORTH IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, AND, IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF, THE ISSUER MAY SELL THE HOLDER'S INTEREST IN SUCH CLASS F INCOME NOTE TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS SET FORTH IN THE INDENTURE.

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THIS CLASS F INCOME NOTE IS NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE, THE CLASS F INCOME NOTE ISSUING AND PAYING AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS CLASS F INCOME NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT TO THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER RESERVES THE RIGHT TO RESELL ANY INTEREST IN THIS CLASS F INCOME NOTE PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT.

The following additional legend will appear on Class F Income Notes represented by a Global Note:

ANY TRANSFER, PLEDGE OR OTHER USE OF THIS CLASS F INCOME 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 CLASS F INCOME NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE ISSUER OR ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY CLASS F INCOME 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. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC).

TRANSFER OF THIS CLASS F INCOME NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, AND NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE, AND TRANSFERS OF INTERESTS IN THIS CLASS F INCOME NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT.

The following additional legend will appear on Class F Income Notes represented by a Certificated Note:

THIS CLASS F INCOME NOTE IS NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE, THE CLASS F INCOME NOTE ISSUING AND PAYING AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS CLASS F INCOME NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT TO THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER RESERVES THE RIGHT TO RESELL ANY INTEREST IN THIS CLASS F INCOME NOTE PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT.

Transfer Restrictions

Initial Purchasers and Transferees of Interests in Rule 144A Global Notes

Each initial investor in, and subsequent transferee of, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes represented by an interest in a Rule 144A Global Note will be deemed to have represented and agreed as follows:

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(i) It (A) is a Qualified Institutional Buyer and is acquiring the Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder, (B) is a Qualified Purchaser and (C) understands the Notes will bear the legend set forth above and be represented by one or more Rule 144A Global Notes. In addition, it represents and warrants that it (1)(A) was not formed for the purpose of investing in the Issuer, (B) is not (x) a partnership, (y) a common trust fund or (z) a pension, profit sharing or other retirement trust fund or plan in which the beneficiaries or participants, as applicable, may designate the particular investments to be made, (C) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, its investment in the Notes and any other Notes does not exceed 40% of its total assets and (D) did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaser, (2) has received the necessary consent from its beneficial owners if the purchaser is an excepted investment company formed before April 30, 1996, (3) 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, (4) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (5) will hold and transfer Notes in an amount of not less than U.S.$500,000, in the case of Senior Notes (other than the Class D Notes and the Class E Notes) and in an amount of not less than U.S.$250,000, in the case of Class D Notes and Class E Notes in each case, for it or for each account for which it is acting, and (6) will provide the Issuer from time to time with such information as it may reasonably request in order to ascertain compliance with this paragraph (i).

(ii) It understands that the Notes are being offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, the Notes have not been and will not be registered under the Securities Act and, if in the future such beneficial owner decides to offer, resell, pledge or otherwise transfer the Notes, such Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legend on such Notes. It acknowledges that no representation has been made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Notes.

(iii) In connection with the purchase of the Notes (provided that no such representations are made with respect to the Collateral Manager by any Affiliate thereof): (A) none of the Co-Issuers, the Initial Purchaser, the Collateral Manager, any Hedge Counterparty, the Trustee or any of their respective Affiliates is acting as a fiduciary or financial or investment adviser for such beneficial owner; (B) such beneficial owner is not relying (for purposes of making any investment decision or otherwise) upon any advice, counsel or representations (whether written or oral) of the Co-Issuers, the Collateral Manager, the Trustee, the Collateral Administrator, any Hedge Counterparty or the Initial Purchaser other than any statements in a current offering circular for such Notes; (C) such beneficial owner has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary and has made its own investment decisions (including decisions regarding the suitability of any 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 Co-Issuers, the Trustee, the Collateral Manager, the Collateral Administrator, any Hedge Counterparty or the Initial Purchaser; and (D) it is a sophisticated investor and is purchasing the Notes with a full understanding of all the terms, conditions and risks thereof and is capable of assuming and willing to assume those risks.

(iv) (A) Either (I) it is not (and for so long as it holds any Co-Issued Note or any interest therein will not be) and is not acting on behalf of (and for so long as it holds any Co-Issued Note or any interest therein will not be acting on behalf of) a Benefit Plan Investor or a governmental, church or non-U.S. plan which is subject to any federal, state, local or non-U.S. law that is materially similar to the prohibited transaction provisions of Section 406 of the United States Employee Retirement Income Security Act of 1974, as amended ("ERISA") or section 4975

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of the United States Internal Revenue Code of 1986, as amended (the "Code"), or (II) its acquisition, holding and disposal of such Co-Issued Note will not result in a non-exempt prohibited transaction in violation of Section 406 of ERISA or Section 4975 of the Code (or, in the case of a governmental, church or non-U.S. plan, a violation of any such materially similar law); and (B) it and any fiduciary causing it to acquire such Note will indemnify and hold harmless the Issuer, the Co-Issuer the Trustee, the Collateral Manager, and their respective affiliates from any cost, damage or loss incurred by them as a result of its breach of any of the foregoing representations and warranties that are applicable to it.

"Benefit Plan Investor" means a Benefit Plan Investor within the meaning of U.S. Department of Labor Regulation §29 C.F.R. 2510.3-101, as modified in application by Section 3(42) of ERISA and includes any (A) employee benefit plan that is subject to Part 4 of Title I of ERISA, (B) plan that is subject to Section 4975 of the Code, and (C) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly-owned subsidiary thereof.

(v) It understands that the Indenture permits the Issuer to demand that any Holder of interests in Rule 144A Global Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Notes to sell the Notes (A) to a person who is both a Qualified Purchaser and a Qualified Institutional Buyer in a transaction meeting the requirements of Rule 144A or (B) to a person who will take delivery of the Holder's interest in Rule 144A Global Notes in the form of an interest in a Regulation S Global Note and who is not a U.S. Person or a U.S. Resident in an offshore transaction meeting the requirements of Regulation S, and if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Note in accordance with and pursuant to the terms of the Indenture.

(vi) It is aware that, except as provided in the Indenture, the Notes being sold to it will be represented by one or more Global Notes and that the beneficial interests therein may be held only through DTC or one of its nominees as applicable.

(vii) It will provide notice to each Person to whom it proposes to transfer any interest in the Notes of the transfer restrictions and representations set forth in the Indenture, including the exhibits referenced therein.

(viii) It acknowledges that, for U.S. federal and, to the extent permitted by law, state and local income and franchise tax purposes, the Issuer will be treated as a corporation, the Co-Issued Notes will be treated as indebtedness of the Issuer only and the Class D Notes, Class E Notes and Class F Income Notes will be treated as equity in the Issuer. It agrees to such treatment and to take no action inconsistent with such treatment unless required by a relevant taxing authority.

(ix) It certifies under penalties of perjury that (i) its name, taxpayer identification or social security number and address provided to the Co-Issuers and the Trustee are correct and (ii) the information contained in any Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding), Form W-9 (Request for Taxpayer Identification Number and Certification) or any other tax-related form submitted to the Co-Issuers is correct (which certification will be deemed to be repeated on any date on which any tax form is delivered to the Co-Issuers after the Original Printing Date). It agrees to in a timely manner complete (accurately and in a manner reasonably satisfactory to the Co-Issuers), execute, arrange for any required certification of, and deliver to the Co-Issuers or such governmental or taxing authority as the Co-Issuers direct, any form, document or certificate that may be required or reasonably requested by the Co-Issuers. It further agrees to promptly inform the Co-Issuers of any change in any such information previously provided to the Co-Issuers, the Initial Purchaser, the Trustee or any Paying Agent and to execute a new form or other document with the correct information.

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(x) If it is not a "United States person" as defined in Section 7701(a)(30) of the Code, it is not acquiring any Note as part of a plan to reduce, avoid or evade U.S. federal income taxes.

(xi) It will not object to the provision at any time by the Co-Issuers (or the Trustee acting in its capacity as Trustee) of the general information provided by it pursuant to clause (ix) above or of any additional information requested from the Co-Issuers, in response to a request pursuant to the provisions of the PATRIOT Act (if it is applicable to the Issuer) from any government entity or self-regulatory organization for information provided by it to the Co-Issuers (or the Trustee acting in its capacity as Trustee).

(xii) The funds used by it to purchase the Notes were not directly or indirectly derived from activities that may contravene applicable state, federal or international laws, including the PATRIOT Act and other anti-money laundering laws and regulations (if it is applicable to the Issuer).

(xiii) Its purchase of the Notes will not violate the U.S. Bank Secrecy Act (31 U.S.C. §§ 5311 et seq.), the Trading with the Enemy Act (12 U.S.C. § 95a), as amended, any of the regulations promulgated by the U.S. Department of the Treasury's Office of Foreign Assets Control ("OFAC") (31 C.F.R., Subtitle B, Chapter V, as amended) or any enabling legislation or executive order relating thereto, including Executive Order 13224 of September 23, 2001 Blocking Property and Prohibiting Transactions With Persons Who Commit or Support Terrorism (66 Fed. Reg. 47,079 (2001)), as amended ("Executive Order 13224"). Neither the Holder nor any of its subsidiaries is, or, to the best of its knowledge, engaged in any dealings or transactions with, or is otherwise associated with, a person designated pursuant to Section 1 of Executive Order 13224.

(xiv) It understands that the Collateral Manager makes no representation or warranty with respect to the appropriateness for the Issuer of the Collateral Debt Obligations acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date, given the Issuer's capital structure and investment restrictions.

(xv) It understands that the Co-Issuers, the Trustee, the Senior Note Registrar, the Initial Purchaser, the Collateral Manager and their counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance.

Initial Purchasers and Transferees of Interests in Regulation S Global Notes

Each initial investor in, and subsequent transferee of, the Class A-1 Notes, Class A-2 Notes, Class B Notes and Class C Notes represented by an interest in a Regulation S Global Note will be deemed to have made the representations set forth in clauses (ii), (iii), (iv) and (vii) through (xv) above under "—Initial Purchasers and Transferees of Interests in Rule 144A Global Notes", each initial investor in, and subsequent transferee of, the Class D Notes and Class E Notes represented by an interest in a Regulation S Global Note will be deemed to have made the representations set forth in clauses (ii), (iii) and (vii) through (xv) above under "—Initial Purchasers and Transferees of Interests in Rule 144A Global Notes" and each initial investor and subsequent transferee of, the Class F Income Notes represented by an interest in a Regulation S Global Note will be required (or in certain circumstances, deemed) to have made the representations set forth in clauses (ii), (iii) and (vi) through (xii) below under "—Placement Agents and Transferees of Class F Notes Represented by a Certificated Note" and, in each case, will be required or deemed, as applicable, to have further represented and agreed as follows:

(i) It (A) is aware that the sale of Notes to it is being made in reliance on the exemption from registration provided by Regulation S and understands that the Notes offered in reliance on Regulation S will bear the legend set forth above and be represented by one or more Regulation S Global Notes; (B) is acquiring its interest in such Notes for its own account; and (C) will hold and transfer at least the minimum denomination of such Notes and provide notice of the relevant transfer restrictions to subsequent transferees. The Notes so represented may not at any time be held by or on behalf of U.S. Persons as defined in Regulation S under the Securities

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Act. The purchaser and each beneficial owner of the Notes is not, and will not be, a U.S. Person as defined in Regulation S under the Securities Act or a U.S. Resident within the meaning of the Investment Company Act, and its purchase of the Notes will comply with all applicable laws in any jurisdiction in which it resides or is located.

(ii) The purchaser understands that the Indenture (in the case of the Senior Notes) and the Class F Income Note Issuing and Paying Agency Agreement, (in the case of the Class F Income Notes) permits the Issuer to demand that any Holder of Regulation S Global Notes who is determined to be a U.S. Person or a U.S. Resident to sell the Notes (A) to a person who is not a U.S. Person or a U.S. Resident in an offshore transaction meeting the requirements of Regulation S or (B) to a person who is a Qualified Purchaser that is also either (x) a Qualified Institutional Buyer or (y) in the case of Class F Income Notes only, an Accredited Investor, in a transaction meeting the requirements of Rule 144A under the Securities Act or Section 4(2) thereof, respectively and, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Notes in accordance with and pursuant to the terms of the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable.

(iii) It is aware that, except as otherwise provided in the Indenture (in the case of the Senior Notes) and the Class F Income Note Issuing and Paying Agency Agreement (in the case of the Class F Income Notes), the Notes being sold to it, if any, in reliance on Regulation S will be represented by one or more Regulation S Global Notes.

(iv) Each initial investor in, and subsequent transferee of, a Class D Note or a Class E Note represented by an interest in Regulation S Global Note will be required or deemed, as applicable to have further represented and agreed as follows:

The investor is not a Benefit Plan Investor or a Controlling Person. If the investor is a governmental, church or non-U.S. plan, its acquisition, holding and disposition of such Class D Note or Class E Note will not constitute or result in a violation of any Federal, state, local or non-U.S. law that is materially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code. It will not sell, pledge or otherwise transfer such Class D Note or Class E Note (or an interest therein) to a Benefit Plan Investor or a Controlling Person, and it and any fiduciary causing it to acquire such Note will indemnify and hold harmless the Issuer, the Trustee, the Collateral Manager, and their respective affiliates from any cost, damage or loss incurred by them as a result of its breach of any of the foregoing representations and warranties. The purchaser is aware and acknowledges that no Class D Note or Class E Note (or any interest therein) may be acquired by or transferred to a Benefit Plan Investor or a Controlling Person, except that Class D Notes and Class E Notes in the form of a Certificated Note may be acquired by Benefit Plan Investors or Controlling Persons on the Closing Date, but only if immediately after such acquisition, less than 25% of the Class D Notes, the Class E Notes and any other Class of equity interest in the Issuer will be held by Benefit Plan Investors (disregarding Notes and any other class of equity interest in the Issuer held by Controlling Persons). The purchaser is aware and acknowledges that no interest in a Class D Note or Class E Note represented by a Regulation S Global Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person. The purchaser is aware and acknowledges that the Indenture permits the Issuer to demand that (w) any person holding a Class D Note or a Class E Note (or an interest therein) that represented (or was deemed to represent) it was not a Benefit Plan Investor or a Controlling Person but is determined to be a Benefit Plan Investor or a Controlling Person, (x) any person acquiring a Class D Note or a Class E Note (or an interest therein) if immediately after such acquisition, 25% or more of the Class D Notes or the Class E Notes (or an interest therein) or any other class of equity interests in the Issuer are held by Benefit Plan Investors (disregarding Notes and other equity interests in the Issuer held by Controlling Persons) (y) any person acquiring a Class D Note or a Class E Note in the form of a Certificated Note after the initial placement thereof that is a Benefit Plan Investor or a Controlling Person, (z) any person holding an interest in a Class D Note or a Class E Note represented by an interest in a Regulation S Global Note that is a Benefit Plan Investor or a Controlling Person, to sell such

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Notes (or interest therein) to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture, and, if such holder does not comply with such demand within 30 days thereof, the Issuer may sell the holder's interest in such Note to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture. "Benefit Plan Investor" means a Benefit Plan Investor within the meaning of U.S. Department of Labor Regulation §29 C.F.R. 2510.3-101, as modified in application by Section 3(42) of ERISA and includes any (A) employee benefit plan that is subject to Part 4 of Title I of ERISA, (B) plan that is subject to Section 4975 of the Code, and (C) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly-owned subsidiary thereof. "Controlling Persons" include persons, other than Benefit Plan Investors, having discretionary authority or control over the assets of the Issuer or providing investment advice with respect to the assets of the Issuer for a fee, direct or indirect, or any affiliates of such persons. For this purpose, an "affiliate" of a person includes any person, directly or indirectly, through one or more intermediaries, controlling, controlled by, or under common control with the person. "Control," with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person.

(v) Each initial investor in, and subsequent transferee of, a Class F Income Note represented by an interest in Regulation S Global Note will be required or deemed, as applicable, to have further represented and agreed as follows:

The investor is not a Benefit Plan Investor or a Controlling Person. If the investor is a governmental, church or non-U.S. plan, its acquisition, holding and disposition of such Class F Income Note will not constitute or result in a violation of any Federal, state, local or non-U.S. law that is materially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code. It will not sell, pledge or otherwise transfer such Class F Income Note (or an interest therein) to a Benefit Plan Investor or a Controlling Person, and it and any fiduciary causing it to acquire such Class F Income Note will indemnify and hold harmless the Issuer, the Class F Income Note Issuing and Paying Agent, the Collateral Manager, and their respective affiliates from any cost, damage or loss incurred by them as a result of its breach of any of the foregoing representations and warranties. The purchaser is aware and acknowledges that no Class F Income Note (or any interest therein) may be acquired by or transferred to a Benefit Plan Investor or a Controlling Person, except that Class F Income Notes in the form of a Certificated Note may be acquired by Benefit Plan Investors or Controlling Persons on the Closing Date, but only if immediately after such acquisition, less than 25% of the Class F Income Notes and any other Class of equity interest in the Issuer will be held by Benefit Plan Investors (disregarding Notes and any other class of equity interest in the Issuer held by Controlling Persons). The purchaser is aware and acknowledges that no interest in a Class F Income Note in the form of an interest in a Regulation S Global Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person. The purchaser is aware and acknowledges that the Indenture permits the Issuer to demand that (w) any person holding a Class F Income Note (or an interest therein) that represented (or was deemed to represent) it was not a Benefit Plan Investor or a Controlling Person but is determined to be a Benefit Plan Investor or a Controlling Person, (x) any person acquiring a Class F Income Note (or an interest therein) if immediately after such acquisition, 25% or more of the Class F Income Notes (or an interest therein) or any other class of equity interests in the Issuer are held by Benefit Plan Investors (disregarding Class F Income Notes and other equity interests in the Issuer held by Controlling Persons) (y) any person acquiring a Class F Income Note in the form of a Certificated Note after the initial placement thereof that is a Benefit Plan Investor or a Controlling Person, (z) any person holding an interest in a Class F Income Note represented by a Regulation S Global Note that is a Benefit Plan Investor or a Controlling Person, to sell such Notes (or interest therein) to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture, and, if such holder does not comply with such

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demand within 30 days thereof, the Issuer may sell the holder's interest in such Note to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture. "Benefit Plan Investor" means a Benefit Plan Investor within the meaning of U.S. Department of Labor Regulation §29 C.F.R. 2510.3-101, as modified in application by Section 3(42) of ERISA and includes any (A) employee benefit plan that is subject to Part 4 of Title I of ERISA, (B) plan that is subject to Section 4975 of the Code, and (C) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly-owned subsidiary thereof. "Controlling Persons" include persons, other than Benefit Plan Investors, having discretionary authority or control over the assets of the Issuer or providing investment advice with respect to the assets of the Issuer for a fee, direct or indirect, or any affiliates of such persons. For this purpose, an "affiliate" of a person includes any person, directly or indirectly, through one or more intermediaries, controlling, controlled by, or under common control with the person. "Control," with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person.

Initial Investors and Transferees of Class D Notes and Class E Notes Represented by a Certificated Note

Each initial investor in, and subsequent transferee of, the Class D Notes or Class E Notes represented by a Certificated Note will be required to provide to the Issuer and the Initial Purchaser or Placement Agent, in the case of an initial investor or the Trustee, in the case of a subsequent transferee, in connection with any purchase or transfer of such Certificated Notes a written certification in the form of an investor representation letter, in the case of an initial investor or in the form provided in the Indenture, in the case of a subsequent transferee, in which such investor or transferee will make the representations set forth in clauses (i), (ii), (iii), (vii), (viii), (ix), (x), (xi), (xii), (xiii), (xiv) and (xv) above under "—Initial Purchasers and Transferees of Interests in Rule 144A Global Notes" and will be required to have further represented and agreed as follows:

(i) In the case of an initial investor, except as disclosed in an investor representation letter or transfer certificate, as applicable, the purchaser or transferee is not a Benefit Plan Investor or a Controlling Person. In the case of a subsequent transferee, the investor is not a Benefit Plan Investor or a Controlling Person. If the investor is a Benefit Plan Investor (in the case of an initial investor) or a governmental, church or non-U.S. plan, its acquisition, holding and disposition of such Class D Note or Class E Note will not constitute or result in a non-exempt prohibited transaction in violation of section 406 of ERISA or section 4975 of the Code or, in the case of a governmental, church or non-U.S. plan, a violation of any Federal, state, local or non-U.S. law that is materially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code. It will not sell, pledge or otherwise transfer such Class D Note or Class E Note (or an interest therein) to a Benefit Plan Investor or a Controlling Person, and it and any fiduciary causing it to acquire such Note will indemnify and hold harmless the Issuer, the Trustee, the Collateral Manager, and their respective affiliates from any cost, damage or loss incurred by them as a result of its breach of any of the foregoing certifications, representations and warranties that are applicable to it. The purchaser is aware and acknowledges that no Class D Note or Class E Note (or any interest therein) may be acquired by or transferred to a Benefit Plan Investor or a Controlling Person, except that Class D Notes and Class E Notes in the form of a Certificated Note may be acquired by Benefit Plan Investors or Controlling Persons on the Closing Date, but only if immediately after such acquisition, less than 25% of the Class D Notes, the Class E Notes and any other Class of equity interest in the Issuer will be held by Benefit Plan Investors (disregarding Notes and any other class of equity interest in the Issuer held by Controlling Persons). The purchaser is aware and acknowledges that no Class D Note or Class E Note in the form of a Certificated Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person after the initial placement thereof and no interest in a Class D Note or Class E Note represented by a Regulation S Global Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person at any time. The purchaser is aware and acknowledges that the Indenture permits the Issuer to demand that (w) any person holding a Class D Note or a Class E Note (or an interest therein) that represented (or was

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deemed to represent) it was not a Benefit Plan Investor or a Controlling Person but is determined to be a Benefit Plan Investor or a Controlling Person, (x) any person acquiring a Class D Note or a Class E Note (or an interest therein) if immediately after such acquisition, 25% or more of the Class D Notes or the Class E Notes (or an interest therein) or any other class of equity interests in the Issuer are held by Benefit Plan Investors (disregarding Notes and other equity interests in the Issuer held by Controlling Persons), (y) any person acquiring a Class D Note or a Class E Note in the form of a Certificated Note after the initial placement thereof that is a Benefit Plan Investor or a Controlling Person, and (z) any person holding an interest in a Class D Note or a Class E Note represented by an interest in a Regulation S Global Note that is a Benefit Plan Investor or a Controlling Person, to sell such Notes (or interest therein) to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture, and, if such holder does not comply with such demand within 30 days thereof, the Issuer may sell the holder's interest in such Note to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture. "Benefit Plan Investor" means a Benefit Plan Investor within the meaning of U.S. Department of Labor Regulation §29 C.F.R. 2510.3-101, as modified in application by Section 3(42) of ERISA and includes any (A) employee benefit plan that is subject to Part 4 of Title I of ERISA, (B) plan that is subject to Section 4975 of the Code, and (C) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly-owned subsidiary thereof. "Controlling Persons" include persons, other than Benefit Plan Investors, having discretionary authority or control over the assets of the Issuer or providing investment advice with respect to the assets of the Issuer for a fee, direct or indirect, or any affiliates of such persons. For this purpose, an "affiliate" of a person includes any person, directly or indirectly, through one or more intermediaries, controlling, controlled by, or under common control with the person. "Control," with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person.

(ii) It understands that the Indenture permits the Issuer to demand that any Holder of Certificated Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Class D Notes or Class E Notes, as applicable, to sell the Class D Notes or Class E Notes, as applicable, (A) to a Person who is both a Qualified Purchaser and a Qualified Institutional Buyer in a transaction meeting the requirements of Rule 144A or (B) to a Person who will take delivery of the Holder's Certificated Notes in the form of an interest in a Regulation S Global Note and who is not a U.S. Person or a U.S. Resident in a transaction meeting the requirements of Regulation S, and if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Class D Note or Class E Note, as applicable, in accordance with and pursuant to the terms of the Indenture.

Initial Investors and Transferees of Class F Income Notes Represented by a Certificated Note

Each initial investor in, and subsequent transferee of, the Class F Income Notes represented by a Certificated Note will be required to provide to the Issuer and the Placement Agent, in the case of an initial investor or the Class F Income Note Issuing and Paying Agent, in the case of a subsequent transferee, in connection with any purchase or transfer of such Certificated Notes a written certification in the form of an investor representation letter, in the case of an initial investor or in the form provided in the Class F Income Note Issuing and Paying Agency Agreement, in the case of a subsequent transferee, in which such investor or transferee will make the following representations and agreements:

(i) It (1) is either (x) a Qualified Institutional Buyer acquiring the Class F Income Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (y) an "accredited investor" as defined in Rule 501(a) under Regulation D under the Securities Act acquiring the Class F Income Notes in reliance on the exemption from registration provided by the Securities Act (provided that the transferor or the transferee has provided an Opinion of Counsel to each of the Class F Income Note Issuing and Paying Agent and the Issuer

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that such transfer may be made pursuant to an exemption from registration under the Securities Act), (2) is a Qualified Purchaser, (3) understands the Class F Income Notes will bear the legend set forth above, (4)(A) was not formed for the purpose of investing in the Issuer, (B) is not (x) a partnership, (y) a common trust fund or (z) 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, (C) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, its investment in such Class F Income Notes and any other Class of Notes does not exceed 40% of its total assets and (D) did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Class F Income Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaser, (5) has received the necessary consent from its beneficial owners if the purchaser is an excepted investment company formed before April 30, 1996, (6) 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, (7) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (8) will hold and transfer Class F Income Notes in the required minimum denomination for it or for each account for which it is acting, and (9) will provide the Issuer from time to time such information as it may reasonably request in order to ascertain compliance with this clause (a) of this paragraph (i); provided that its purchase of the Class F Income Notes will comply with all applicable laws in any jurisdiction in which it resides or is located.

(ii) It understands that the Class F Income Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, the Class F Income Notes have not been and will not be registered under the Securities Act and, if in the future it decides to offer, resell, pledge or otherwise transfer the Class F Income Notes, such Class F Income Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Class F Income Note Issuing and Paying Agency Agreement and the legend on such Class F Income Notes. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Class F Income Notes.

(iii) In connection with the purchase of the Notes (provided that no such representations are made with respect to the Collateral Manager by any Affiliate of the Collateral Manager): (A) none of the Issuer, the Collateral Manager, any Hedge Counterparty, the Placement Agent, the Class F Income Note Issuing and Paying Agent or any of their respective Affiliates is acting as a fiduciary or financial or investment adviser for it; (B) it 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 Collateral Manager, any Hedge Counterparty, the Class F Income Note Issuing and Paying Agent or the Placement Agent other than any statements in a current offering circular for such Class F Income Notes and any representations expressly set forth in a written agreement with such party; (C) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary and has made its own investment decisions 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 Collateral Manager or the Placement Agent; (D) its purchase of the Class F Income Notes will comply with all applicable laws in any jurisdiction in which it resides or is located; (E) it is acquiring the Class F Income Notes as principal solely for its own account for investment and not with a view to the resale, distribution or other disposition thereof in violation of the Securities Act; (F) it is not a special trust, pension, profit sharing or other retirement trust fund or plan in which the partners, beneficiaries or participants may designate the particular investments to be made; (G) unless the Issuer otherwise agrees (based on advice of counsel to the Issuer), it will not hold any Class F Income Notes for the benefit of any other person, it will at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and it will not sell participation interests in the Class F Income Notes or enter into any other arrangement pursuant to which any other person will be entitled to a beneficial interest in the distributions on the Class F Income Notes; and (H) it is a

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sophisticated investor and is purchasing the Class F Income Notes with a full understanding of all of the terms, conditions and risks thereof, and it is capable of assuming and willing to assume those risks.

(iv) In the case of an initial investor, except as disclosed in an investor representation letter or transfer certificate, as applicable, the investor is not a Benefit Plan Investor or a Controlling Person. In the case of a subsequent transferee, the investor is not a Benefit Plan Investor or a Controlling Person. If the investor is a Benefit Plan Investor (in the case of an initial investor) or a governmental, church or non-U.S. plan, its acquisition, holding and disposition of such Class F Income Note will not constitute or result in a non-exempt prohibited transaction in violation of section 406 of ERISA or section 4975 of the Code or, in the case of a governmental, church or non-U.S. plan, a violation of any Federal, state, local or non-U.S. law that is materially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code. It will not sell, pledge or otherwise transfer such Class F Income Note (or an interest therein) to a Benefit Plan Investor or a Controlling Person, and it and any fiduciary causing it to acquire such Note will indemnify and hold harmless the Issuer, the Class F Income Note Issuing and Paying Agent, the Collateral Manager, and their respective affiliates from any cost, damage or loss incurred by them as a result of its breach of any of the foregoing certifications, representations and warranties that are applicable to it. The purchaser is aware and acknowledges that no Class F Income Note (or any interest therein) may be acquired by or transferred to a Benefit Plan Investor or a Controlling Person, except that Class F Income Notes in the form of a Certificated Note may be acquired by Benefit Plan Investors or Controlling Persons on the Closing Date, but only if immediately after such acquisition, less than 25% of the Class F Income Notes and any other Class of equity interest in the Issuer will be held by Benefit Plan Investors (disregarding Notes and any other class of equity interest in the Issuer held by Controlling Persons). The purchaser is aware and acknowledges that no Class F Income Note in the form of a Certificated Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person after the initial placement thereof, and no interest in a Class F Income Note represented by a Regulation S Global Note may be sold, pledged or otherwise transferred to a Benefit Plan Investor or a Controlling Person at any time. The purchaser is aware and acknowledges that the Class F Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that (w) any person holding a Class F Income Note (or an interest therein) that represented (or was deemed to represent) it was not a Benefit Plan Investor or a Controlling Person but is determined to be a Benefit Plan Investor or a Controlling Person, (x) any person acquiring a Class F Income Note (or an interest therein) if immediately after such acquisition, 25% or more of the Class F Income Notes (or an interest therein) or any other class of equity interests in the Issuer are held by Benefit Plan Investors (disregarding Class F Income Notes and other equity interests in the Issuer held by Controlling Persons), (y) any person acquiring a Class F Income Note in the form of a Certificated Note after the initial placement thereof that is a Benefit Plan Investor or a Controlling Person, and (z) any person holding an interest in a Class F Income Note represented by an interest in a Regulation S Global Note that is a Benefit Plan Investor or a Controlling Person, to sell such Class F Income Note (or interest therein) to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture, and, if such holder does not comply with such demand within 30 days thereof, the Issuer may sell the holder's interest in such Class F Income Note to a person who is not a Benefit Plan Investor or a Controlling Person and who meets all other applicable transfer restrictions set forth in the Indenture. "Benefit Plan Investor" means a Benefit Plan Investor within the meaning of U.S. Department of Labor Regulation §29 C.F.R. 2510.3-101, as modified in application by Section 3(42) of ERISA and includes any (A) employee benefit plan that is subject to Part 4 of Title I of ERISA, (B) plan that is subject to Section 4975 of the Code, and (C) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly-owned subsidiary thereof. "Controlling Persons" include persons, other than Benefit Plan Investors, having discretionary authority or control over the assets of the Issuer or providing investment advice with respect to the assets of the Issuer for a fee, direct or indirect, or any affiliates of such persons. For

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this purpose, an "affiliate" of a person includes any person, directly or indirectly, through one or more intermediaries, controlling, controlled by, or under common control with the person. "Control," with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person.

(v) The purchaser understands that the Class F Income Note Issuing and Paying Agent permits the Issuer to demand that any Holder of a Class F Income Note who is determined not to be either (x) both a Qualified Purchaser and either a Qualified Institutional Buyer or an Accredited Investor at the time of acquisition of such Class F Income Note or (y) a non-U.S. Person to sell such Class F Income Notes to a person who is (A) a Qualified Purchaser that is either a Qualified Institutional Buyer or Accredited Investor in a transaction meeting the requirements of Rule 144A under the Securities Act or Section 4(2) thereof, respectively, or (B) a non-U.S. Person in a transaction meeting the requirements of Regulation S and, if the holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Class F Income Note in accordance with and pursuant to the terms of the Class F Income Note Issuing and Paying Agent.

(vi) It acknowledges that, for U.S. federal and, to the extent permitted by law, state and local income and franchise tax purposes, the Issuer will be treated as a corporation, the Co-Issued Notes will be treated as indebtedness of the Issuer only and the Class D Notes, Class E Notes and Class F Income Notes will be treated as equity in the Issuer. It agrees to such treatment and to take no action inconsistent with such treatment unless required by a relevant taxing authority.

(vii) It certifies under penalties of perjury that (i) its name, taxpayer identification or social security number and address provided below are correct and (ii) the information contained in any Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding), Form W-9 (Request for Taxpayer Identification Number and Certification) or any other tax-related form submitted to the Issuer is correct (which certification will be deemed to be repeated on any date on which any tax form is delivered to the Issuer after the Original Printing Date). It agrees to in a timely manner complete (accurately and in a manner reasonably satisfactory to the Issuer), execute, arrange for any required certification of, and deliver to the Issuer or such governmental or taxing authority as the Issuer directs, any form, document or certificate that may be required or reasonably requested by the Issuer. It further agrees to promptly inform the Issuer of any change in any such information previously provided to the Issuer, the Class F Income Note Issuing and Paying Agent or the Placement Agent and to execute a new form or other document with the correct information.

(viii) If it is not a "United States person" as defined in Section 7701(a)(30) of the Code, it is not acquiring any Class F Income Note as part of a plan to reduce, avoid or evade U.S. federal income taxes.

(ix) It will not object to the provision at any time by the Issuer (or the Class F Income Note Issuing and Paying Agent acting in its capacity as Class F Income Note Issuing and Paying Agent) of the general information provided by it pursuant to clause (vii) above or of any additional information requested from the Issuer, in response to a request pursuant to the PATRIOT Act (if it is applicable to the Issuer) from any government entity or self-regulatory organization for information provided by it to the Issuer (or the Class F Income Note Issuing and Paying Agent acting in its capacity as Class F Income Note Issuing and Paying Agent).

(x) The funds used by it to purchase the Class F Income Notes were not directly or indirectly derived from activities that may contravene applicable state, federal or international laws, including the PATRIOT Act and other anti-money laundering laws and regulations (if it is applicable to the Issuer).

(xi) Its purchase of the Class F Income Notes will not violate the U.S. Bank Secrecy Act (31 U.S.C. §§ 5311 et seq.), the Trading with the Enemy Act (12 U.S.C. § 95a), as amended,

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any of the regulations promulgated by OFAC (31 C.F.R., Subtitle B, Chapter V, as amended) or any enabling legislation or executive order relating thereto, including Executive Order 13224. Neither the Holder nor any of its subsidiaries is, or, to the best of its knowledge, engaged in any dealings or transactions with, or is otherwise associated with, a person designated pursuant to Section 1 of Executive Order 13224.

(xii) It understands that the Collateral Manager makes no representation or warranty with respect to the appropriateness for the Issuer of the Collateral Debt Obligations acquired by the Issuer indirectly through the Subsidiary Holding Companies and included in the Collateral on the Closing Date, given the Issuer's capital structure and investment restrictions.

(xiii) It understands that the Issuer, the Placement Agent, the Trustee, Class F Income Note Issuing and Paying Agent, the Collateral Manager and their counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance.

Settlement

All payments in respect of the Notes will be made in U.S. dollars in same-day funds.

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INCOME TAX CONSIDERATIONS

The following is a summary based on present law of certain Cayman Islands and U.S. federal income tax considerations for prospective purchasers of the Notes. It addresses only purchasers that buy the Co-Issued Notes in the original offering at the original offering price or acquire the Class D Notes, the Class E Notes and the Class F Income Notes in the Exchange Transaction, hold the Notes as capital assets and use the U.S. dollar as their functional currency. The discussion is a general summary; it is not a substitute for tax advice. The discussion does not consider the circumstances of particular purchasers, some of which (such as banks, insurance companies, securities traders and dealers, tax exempt organizations or persons holding the Notes as part of a hedge, straddle, conversion, integrated or constructive sale transaction) are subject to special tax regimes.

THE STATEMENTS ABOUT U.S. FEDERAL TAX ISSUES ARE MADE TO SUPPORT MARKETING OF THE NOTES. NO TAXPAYER CAN RELY ON THEM TO AVOID TAX PENALTIES. EACH PROSPECTIVE PURCHASER SHOULD SEEK ADVICE FROM AN INDEPENDENT TAX ADVISOR ABOUT THE TAX CONSEQUENCES UNDER ITS OWN PARTICULAR CIRCUMSTANCES OF INVESTING IN NOTES UNDER THE LAWS OF THE CAYMAN ISLANDS, THE UNITED STATES AND ITS CONSTITUENT JURISDICTIONS AND ANY OTHER JURISDICTION WHERE THE PURCHASER MAY BE SUBJECT TO TAXATION.

For purposes of this discussion, a "Holder" is a beneficial owner of a Note. A "U.S. Holder" is a Holder that is, for U.S. federal income tax purposes, (i) an individual citizen or resident of the United States, (ii) a corporation, partnership or other business entity organized in or under the laws of the United States or its political subdivisions, (iii) a trust subject to the control of a United States person and the primary supervision of a U.S. court or (iv) an estate the income of which is subject to U.S. federal income taxation regardless of its source. A "Non U.S. Holder" is any Holder other than a U.S. Holder.

Taxation of the Issuer

Cayman Islands Taxation

The Issuer will not be subject to income, capital, transfer, sales or corporation tax in the Cayman Islands. The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company with limited liability and, as such, has applied for and expects to receive from the Governor in Cabinet of the Cayman Islands an Undertaking as to Tax Concessions pursuant to Section 6 of the Tax Concessions Law (1999 Revision) providing that, for a period of 20 years from the date of such Undertaking, no law subsequently enacted in the Cayman Islands imposing any tax or withholding tax on profits, income, gains or appreciations will apply to the Issuer or its operations.

U.S. Taxation

Freshfields Bruckhaus Deringer LLP, special U.S. federal income tax counsel to the Issuer, will provide the Issuer with an opinion that the Issuer will not be engaged in a trade or business within the United States except to the extent it acquires investments in certain Equity Securities, Exchanged Equity Securities and Defaulted Obligations issued by non-corporate entities that are so engaged. This opinion will be based on certain assumptions regarding the Existing Issuer's, the Issuer's and the Collateral Manager's activities. There can be no assurance that the United States Internal Revenue Service (the "IRS") will not take a contrary position or that a court will not agree with the contrary position.

As long as the Issuer conducts its affairs so that it is not engaged in a trade or business within the United States, its net income will not be subject to U.S. federal income tax. Should the Issuer acquire Equity Securities, Exchanged Equity Securities or certain Defaulted Obligations issued by a non-corporate entity engaged in a U.S. trade or business, those investments will not cause the Issuer's income from other investments to become subject to net income tax in the United States. The Issuer also expects that payments received on the Collateral Debt Obligations, the Eligible Investments and any Hedge Agreement (if any) generally will not be subject to withholding taxes imposed by the United States or other countries from which such payments are sourced. There can be no

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assurance, however, that the Issuer's income will not be subject to net income or withholding taxes in the United States or other countries as the result of unanticipated activities by the Issuer, changes in law, contrary conclusions by relevant tax authorities or other causes. Payments from Equity Securities, Exchanged Equity Securities or certain Defaulted Obligations of U.S. issuers are likely to be subject to U.S. tax. Certain payments on obligations or securities that include or support letters of credit are also expected to be subject to withholding by the relevant agent bank. The extent to which United States or other source-country withholding taxes may apply to the Issuer's income will depend on the actual composition of its assets. The imposition of unanticipated net income or withholding taxes could materially impair the Issuer's ability make payments on the Notes.

Taxation of the Holders

Cayman Islands Taxation

Payments of interest on and principal of the Senior Notes and distributions in respect of the Class F Income Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on the payment of interest, principal or distributions to any holder of the Senior Notes or Class F Income Notes, as the case may be, nor will gains derived from the disposal of the Senior Notes or Class F Income Notes 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. No stamp duty is payable in respect of the issue or transfer of the Senior Notes or Class F Income Notes although duty may be payable if Notes are executed in or brought into the Cayman Islands. Certificates evidencing the Senior Notes or the Class F Income Notes, in registered form, to which title is not transferable by delivery, should not attract Cayman Islands stamp duty. However, an instrument transferring title to a Note, if brought to or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty.

U.S. Taxation of Co-Issued Notes

Freshfields Bruckhaus Deringer LLP, special U.S. federal income tax counsel to the Issuer, believes that the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes will be treated as debt for U.S. federal income tax purposes. The Issuer intends, and the Indenture requires each Holder, to treat all of the Co-Issued Notes as debt for such purposes. The following discussion assumes that the Co-Issued Notes will be debt.

U.S. Holders. Interest paid on a Class A-1 Note or a Class A-2 Note generally will be includible in the

gross income of a U.S. Holder in accordance with its regular method of tax accounting. A U.S. Holder of Class A-1 Notes or Class A-2 Notes issued with more than de minimis original issue discount ("OID") also must include the OID in income on a constant yield to maturity basis whether or not it receives cash payments. Generally, a debt instrument will have been issued with more than de miminis OID if its stated redemption price exceeds its issue price by an amount as great as 0.25% of its stated redemption price multiplied by their weighted average maturity. U.S. Holders of Class A-1 Notes or Class A-2 Notes issued with de minimis OID should treat a ratable portion of each principal payment as ordinary income unless such Holder elects to accrue all payments on the Class A-1 Note or the Class A-2 Note as OID. The issue price of the Class A-1 Notes and Class A-2 Notes is the initial offering price at which a substantial amount of the Class A-1 Notes or the Class A-2 Notes is sold (excluding sales to brokers or similar persons).

Because the Class A-1 Notes and the Class A-2 Notes bear interest at a floating rate, interest and any accruing OID is calculated as though the Notes bore stated interest at a hypothetical fixed rate equal to the value of the floating rate on the issue date. The amount of interest actually recognized for any accrual period will increase (or decrease) if the interest actually paid during the period is more (or less) than the amount accrued at the hypothetical rate. The amount of any OID accruing for each accrual period will be an amount equal to the product of the Note's adjusted issue price at the beginning of the accrual period and the yield to maturity, less the amount of stated interest for such accrual period. A Note's adjusted issue price at the beginning of any accrual period generally equals its initial issue price increased by the aggregate amounts of OID accrued on the Note in all prior periods and reduced by all prior payments other than payments of stated interest.

Because the Issuer has not determined that deferral of interest on the Class B Notes and the Class C Notes is a remote possibility, it will treat all interest on the Class B Notes and the Class C Notes (including interest on accrued but unpaid interest) as OID. If the Class B Notes or the Class C Notes are issued at a discount from par,

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they would have additional OID equal to the difference between their par value and their issue price. A fee received from the Issuer in connection with the purchase of a Class B Note or a Class C Note may be treated as a discount. Even if the likelihood of deferral were remote, a U.S. Holder must accrue OID on the principal amount (including accrued but undistributed OID) of any Class of Co-Issued Notes on which interest actually was deferred. Because the Class B Notes and Class C Notes bear interest at a floating rate, accrual of OID is determined as though the Notes bore stated interest at a hypothetical fixed rate equal to the value of the floating rate on the issue date and OID for each accrual period were determined on that hypothetical fixed rate debt instrument. A U.S. Holder then adjusts the amount recognized for each accrual period if the interest actually payable for the period differs from the interest payable at the hypothetical rate.

The timing of accrual of OID could be affected by special rules applicable to debt instruments that are subject to principal acceleration due to prepayments on debt obligations that secure them. U.S. Holders should consult their tax advisors about the proper basis for accruing OID on the Co-Issued Notes.

Interest and OID on a Co-Issued Note will be ordinary income. Assuming the Issuer is not engaged in a U.S. trade or business, the interest generally will be from sources outside the United States.

A U.S. Holder generally will recognize a gain or loss on the redemption or disposition of a Co-Issued Note in an amount equal to the difference between the amount realized (other than, in the case of a Class A-1 Note or a Class A-2 Note, amounts attributable to accrued but unpaid interest) and the U.S. Holder's adjusted tax basis in the Co-Issued Note. Adjusted basis will be increased by any OID accrued into income and reduced by any payments. The gain or loss generally will be capital gain or loss from sources within the United States.

Non-U.S. Holders. Interest paid to a Non-U.S. Holder will not be subject to U.S. withholding tax as long as the Issuer is not engaged in a U.S. trade or business. Even if the Issuer were engaged in a U.S. trade or business, interest paid to many Non-U.S. Holders would qualify for an exemption from withholding tax if the holders certify their foreign status. Interest paid to a Non-U.S. Holder also will not be subject to U.S. net income tax unless the interest is effectively connected with the Non-U.S. Holder's conduct of a trade or business within the United States. Gain realized by a Non-U.S. Holder on the redemption or disposition of a Co-Issued Note will not be subject to U.S. tax unless (i) the gain is effectively connected with the Holder's conduct of a U.S. trade or business or (ii) the Holder is an individual present in the United States for at least 183 days during the taxable year of disposition and certain other conditions are met.

Alternative Characterization. The U.S. Internal Revenue Service may challenge the treatment of the Co-Issued Notes, particularly the Class C Notes as debt of the Issuer. If the challenge were to succeed, a U.S. Holder of the affected Co-Issued Notes would be treated like a holder of Equity Notes that had not elected to treat the Issuer as a qualified electing fund, as described below.

U.S. Tax Treatment of the Exchange Transaction

The Existing Issuer and the Issuer intend to treat the Exchange Transaction and the related acquisition by the Issuer of the Subsidiary Holding Companies as a tax-free reorganization for U.S. federal income tax purposes. The proper U.S. federal income treatment of the Exchange Transaction and the related transactions, however, is not certain, and neither the Existing Issuer nor the Issuer has sought a ruling from U.S. tax authorities or an opinion from U.S. tax counsel on the proper treatment of the transactions. Although the discussion in this section assumes that the transactions constitute a tax-free reorganization, each Holder should consult its own tax advisor about the proper U.S. federal, state and local income tax treatment of the Exchange Transaction and the related transactions.

A Holder of an Existing Security generally will recognize no gain or loss on the exchange of an Existing Security for a Class D Note, a Class E Note or a Class F Income Note. A cash method U.S. Holder nevertheless will recognize interest income to the extent it receives Notes in satisfaction of interest accrued on Existing Securities whether or not the U.S. Holder realizes a gain on the overall exchange. A fee received in connection with the Exchange Transaction also generally will be currently taxable income. A U.S. Holder will have a basis in Notes acquired in the Exchange Transaction equal to its basis in Existing Securities surrendered, and its holding period for Notes received will include its holding period for the Existing Securities.

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If the difference on the date of the Exchange Transaction between the face amount of the Existing Securities treated as debt for U.S. federal income tax purposes and the fair market value of the Class D Notes and the Class E Notes, which are treated as equity for U.S. federal income tax purposes and are exchanged for those Existing Securities, exceeds the difference on the date of the Exchange Transaction between the Existing Issuer's obligations and the fair market value of its assets, the Issuer would recognize cancellation of indebtedness income, potentially causing holders of the Class D Notes, the Class E Notes, the Class F Notes, and the preferred shares of the Existing Issuer, to recognize taxable income for the current year in respect of such securities, as explained immediately below. Cancellation of indebtedness income (as reduced by realized and allowable losses, if any, for the current year) would affect the net earnings of the Existing Issuer and, because it would be treated as a continuation of the Existing Issuer, the Issuer. The consequences for a U.S. Holder depend on whether the Existing Issuer or the Issuer is a controlled foreign corporation ("CFC") or a qualified electing fund ("QEF") (as discussed in "U.S. Taxation of the Class D Notes, Class E Notes and Class F Income Notes" below). If a U.S. Holder of securities treated as equity in the Issuer for U.S. federal income tax purposes has elected to treat the Existing Issuer or the Issuer as a QEF, the holder must recognize currently its pro rata share of the Issuer's net earnings. For these purposes, a holder's pro rata share of net earnings will be determined by treating the Existing Issuer and the Issuer effectively as a single entity with a single taxable year in 2008, and then allocating the total amount of net earnings for the year equally across the number of days in the year. To the extent the Issuer excludes cancellation of indebtedness income at the time of the Exchange Transaction because of insolvency, it must reduce the basis of its assets and certain other tax attributes by the amount excluded. The reduction in the basis of the Issuer's assets or its other tax attributes generally can be expected to increase its income in later years by an equivalent amount. If the Existing Issuer or the Issuer is a CFC, a U.S. Holder that owns (directly, indirectly or by attribution) at least 10% of the interests treated as voting equity in the corporation (each such Holder, a "10% U.S. Shareholder") on the last day in the taxable year when the corporation is a CFC must recognize currently its pro rata share of certain types of the Issuer's income. Each U.S. Holder of Existing Securities exchanged for securities treated as equity in the Issuer therefore should consult its own tax advisor about the status of the Existing Issuer and the Issuer and the U.S. federal, state and local income tax consequences to it of the cancellation of indebtedness income.

The U.S. Internal Revenue Service may challenge the treatment of the Exchange Transaction and the related transactions as a tax-free reorganization. If the challenge were to succeed, a U.S. Holder of Existing Securities would recognize gain or loss in the Exchange Transaction in an amount equal to the difference between the amount realized (other than in satisfaction of accrued but unrecognized interest) and the U.S. Holder's adjusted tax basis in the Existing Securities surrendered. The amount realized would be the fair market value of the Notes received in the Exchange Transaction. The gain or loss generally would be capital gain or loss from sources within the United States. If a particular Holder has an ordinary loss, then a commensurate amount of the Holder's subsequent gain on Notes received in the Exchange Transaction generally will be treated as ordinary income. A Non-U.S. Holder would not be subject to U.S. tax on the gain unless (i) the gain is effectively connected with the Holder's conduct of a U.S. trade or business or (ii) the Holder is an individual present in the United States for at least 183 days during the taxable year of disposition and certain other conditions are met.

Certain Holders of Existing Securities may be required to include a statement with their tax returns, identifying certain characteristics of the Exchange Transaction. Holders of Existing Securities generally will be required to retain records including information regarding the amount, basis, and fair market value of the Existing Securities. In the event the Exchange Transaction is not a tax-free reorganization for U.S. federal tax purposes, a U.S. Holder may be required specifically to disclose any loss on the exchange of an Existing Security for a Class D Note, a Class E Note or a Class F Income Note on its tax return under regulations on tax shelter transactions. U.S. Holders are urged to consult their tax advisors about these and all other specific reporting requirements.

U.S. Taxation of the Class D Notes, Class E Notes and Class F Income Notes

U.S. Holders. Subject to the passive foreign investment company rules and the controlled foreign corporation rules discussed below, a U.S. Holder generally must treat distributions received with respect to the Class D Notes, the Class E Notes and the Class F Income Notes (collectively, the "Equity Notes") as dividend income. Dividends will not be eligible for the dividends received deduction allowable to corporations or for the preferential tax rate applicable to qualified dividend income of individuals and certain other non-corporate taxpayers. For purposes of determining a U.S. Holder's foreign tax credit limitation, dividends received from a foreign corporation generally are treated as income from sources outside the United States. If U.S. Holders together hold at least half

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(by vote or value) of the Equity Notes and other interests treated as equity in the Issuer, however, a percentage of the dividend income equal to the proportion of the Issuer's income that comes from U.S. sources will be treated as income from sources within the United States. Except as otherwise required by the rules discussed below, gain or loss on the sale or other disposition of the Equity Notes will be capital gain or loss. Gain and loss realized by a U.S. Holder generally will be from U.S. sources.

The Issuer will be a passive foreign investment company (a "PFIC"). A U.S. Holder therefore will be subject to additional tax on excess distributions received on the Equity Notes or gains realized on the disposition of the Equity Notes. A U.S. Holder will have an excess distribution if distributions received on the Equity Notes during any tax year exceed 125% of the average amount received during the three preceding tax years (or, if shorter, the U.S. Holder's holding period). A U.S. Holder may realize gain for this purpose not only through a sale or other disposition, but also by pledging the Equity Notes as security for a loan or entering into certain constructive disposition transactions. To compute the tax on an excess distribution or any gain, (i) the excess distribution or gain is allocated ratably over the U.S. Holder's holding period, (ii) the amount allocated to the current tax year is taxed as ordinary income and (iii) the amount allocated to each previous tax year is taxed at the highest applicable marginal rate for that year and an interest charge is imposed to recover the deemed benefit from the deferred payment of the tax. These rules effectively prevent a U.S. Holder from treating gain on the Equity Notes as capital gain.

A U.S. Holder of Equity Notes may wish to avoid the tax consequences just described by electing to treat the Issuer as a QEF. If the U.S. Holder makes a QEF election, the U.S. Holder will be required to include in gross income each year whether or not the Issuer makes distributions, its pro rata share of the Issuer's net earnings. That income will be long-term capital gain to the extent of the U.S. Holder's pro rata share of the Issuer's net capital gains; the remainder will be ordinary income. Amounts recognized by a U.S. Holder making a QEF election generally are treated as income from sources outside the United States. If U.S. Holders together hold at least half (by vote or value) of the Equity Notes and other interests treated as equity in the Issuer, however, a percentage of those amounts equal to the proportion of the Issuer's income that comes from U.S. sources will be treated as income from sources within the United States. Because the U.S. Holder has already paid tax on them, the amounts previously included in income will not be subject to tax when they are distributed to the U.S. Holder. An electing U.S. Holder's basis in the Equity Notes will increase by any amounts the holder includes in income currently and decrease by any amounts not subject to tax when distributed. The Issuer will provide U.S. Holders of the Equity Notes with the information needed to make a QEF election.

A U.S. Holder that makes a QEF election may recognize income in amounts significantly greater than the distributions received from the Issuer. Income may exceed distributions when, for example, the Issuer recognizes cancellation of indebtedness income in the Exchange Transaction, uses earnings to repay principal of the Co-Issued Notes or recognizes OID or market discount on its assets. Income could also exceed distributions if the Issuer must defer deductions for payments on Synthetic Securities or accrue income before it receives payments on Synthetic Securities. Because the portion of its purchase price for the Subsidiary Holding Companies that exceeds the fair market value of the Collateral Debt Obligations is likely to be treated as a termination payment on the Existing Total Return Swap Transaction, the Issuer also may be deemed to have acquired the Collateral Debt Obligations at a substantial market discount. The Issuer will not be allowed to deduct interest expense allocable to market discount obligations to the extent it exceeds interest income and OID that the Issuer recognizes or elects to recognize on the obligations. The Issuer also may recognize additional discount or gain to the extent it reduces the basis of its assets on account of cancellation of indebtedness income arising in the Exchange Transaction. A U.S. Holder that makes a QEF election will be required to include in income currently its pro rata share of the Issuer's net earnings whether or not the Issuer has accumulated earnings or actually makes distributions. The holder may be able to elect to defer payment, subject to an interest charge for the deferral period, of the tax on income recognized on account of the QEF election. Prospective purchasers should consult their tax advisors about the advisability of making the QEF and deferred payment elections.

The Issuer also may be a CFC if 10% U.S. Shareholders together own more than half (by vote or value) of any interests treated as voting equity in the Issuer. If the Issuer is a CFC, a 10% U.S. Shareholder generally will be subject to the CFC rules rather than the PFIC rules, and other U.S. Holders will be subject to the PFIC rules. Special rules apply to a 10% U.S. Shareholder of the Issuer that was not a 10% Shareholder of the Existing Issuer. If the Issuer is a CFC for at least 30 consecutive days during its taxable year, a U.S. Holder that is a 10% U.S. Shareholder on the last day of the Issuer's taxable year must recognize ordinary income equal to its pro rata share of the Issuer's

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net earnings for the tax year whether or not the Issuer makes a distribution. That income may exceed distributions for the same reasons QEF inclusions may exceed distributions. The income will be treated as income from sources within the United States to the extent the Issuer derived it from U.S. sources. Earnings on which a U.S. Holder pays tax currently will not be taxed again when they are distributed to the U.S. Holder. A U.S. Holder's basis in its interest in the Issuer will increase by any amounts the holder includes in income currently and decrease by any amounts not subject to tax when distributed. If the Issuer is a CFC, (i) the Issuer will incur U.S. withholding tax on interest received from a related United States person, (ii) special reporting rules will apply to directors of the Issuer and certain other persons and (iii) certain other restrictions may apply. Subject to a special limitation for individual U.S. Holders that have held interests treated as voting equity in the Issuer for more than one year, gain from disposition of interests treated as equity interests in the issuer recognized by a U.S. Holder that is or recently has been a 10% U.S. Shareholder will be treated as dividend income to the extent earnings attributable to the interests accumulated while the U.S. Holder held the interests and the Issuer was a CFC.

U.S. Holders may be required to report, with their tax return for the tax year that includes the Closing Date, certain information relating to their acquisition, ownership or disposition of the Equity Notes. A U.S. Holder may be required specifically to disclose any loss on the Equity Notes on its tax return under regulations related to tax shelter transactions. When a U.S. Holder holds 10% of the equity in a CFC or QEF, the holder also must disclose any Issuer transactions reportable under those regulations which require disclosure of certain losses (possibly including losses on termination of the Existing Total Return Swap Transaction) and certain other types of transactions (whether or not they were undertaken for tax purposes). A significant penalty will be imposed on taxpayers who fail to make a required disclosure. Upon receipt of written request, the Issuer will provide U.S. Holders of Notes with the information about Issuer transactions reportable under such regulations. U.S. Holders are urged to consult their tax advisors about these and all other specific reporting requirements.

Non U.S. Holders. Payments to a Non U.S. Holder of Equity Notes will not be subject to U.S. tax unless the income is effectively connected with the Non-U.S. Holder's conduct of a trade or business within the United States. Gain realized by a Non U.S. Holder on the sale or other disposition of the Equity Notes will not be subject to U.S. tax unless (i) the gain is effectively connected with the holder's conduct of a U.S. trade or business or (ii) the holder is an individual present in the United States for at least 183 days during the taxable year of disposition and certain other conditions are met.

U.S. Information Reporting and Backup Withholding

Payments on the Notes and proceeds from the disposition of the Notes paid to a non-corporate Holder generally will be subject to U.S. information reporting. Payments to Non-U.S. Holders that provide certification of foreign status generally are exempt from information reporting. Backup withholding tax may apply to reportable payments unless the Holder provides a correct taxpayer identification number or otherwise establishes an exemption. Any amount withheld may be credited against a Holder's U.S. federal income tax liability or refunded to the extent it exceeds the Holder's liability. THE DISCUSSION ABOVE IS A GENERAL SUMMARY. IT DOES NOT COVER ALL TAX MATTERS THAT MAY BE IMPORTANT TO A PARTICULAR INVESTOR. EACH PROSPECTIVE INVESTOR SHOULD CONSULT ITS OWN TAX ADVISOR ABOUT THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES UNDER THE INVESTOR'S OWN CIRCUMSTANCES.

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CERTAIN ERISA AND RELATED CONSIDERATIONS

THE STATEMENTS ABOUT U.S. FEDERAL INCOME TAX ISSUES ARE MADE TO SUPPORT MARKETING OF THE NOTES. NO TAXPAYER CAN RELY ON THEM TO AVOID U.S. FEDERAL TAX PENALTIES. EACH PROSPECTIVE PURCHASER SHOULD CONSULT ITS OWN TAX ADVISOR ABOUT THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES UNDER THE LAWS OF THE UNITED STATES AND ITS CONSTITUENT JURISDICTIONS AND ANY OTHER JURISDICTIONS WHERE THE PURCHASER MAY BE SUBJECT TO TAXATION.

The United States 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 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 requirements of investment prudence and diversification and the requirement that an ERISA Plan's investments be made in accordance with the documents governing the 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 any Notes it may purchase.

Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those pension, profit-sharing and other retirement plans and accounts that are not subject to ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts and Keogh plans, and entities that are deemed to hold assets of any of the foregoing) and certain Persons (referred to as "parties in interest" or "disqualified persons") having certain relationships to such plans, unless a statutory or administrative exemption is applicable to the transaction. A party in interest or disqualified person who engages in a prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and the Code.

Governmental plans, non-U.S. plans and certain church plans not subject to the fiduciary responsibility provisions of ERISA or the provisions of Section 4975 of the Code may nevertheless be subject to foreign, federal, state, local or non-U.S. laws that are materially similar to the foregoing provisions of ERISA and the Code (any such law a "Similar Law", and such plans, collectively with ERISA Plans and plans subject to Section 4975 of the Code, "Plans").

The United States Department of Labor (the "DOL"), the government agency primarily responsible for administering the ERISA fiduciary rules and the prohibited transaction rules under ERISA and the Code, has issued a regulation codified at 29 C.F.R. § 2510.3-101) that specifies the circumstances under which the underlying assets of an entity are treated for purposes of ERISA as assets of a plan, and are subject to the fiduciary provisions of ERISA, including the prohibited transaction provisions of ERISA, and the prohibited transaction provisions of the Code, by reason of the plan's investment in the entity. Section 3(42) of ERISA, enacted by the Pension Protection Act of 2006, confirms the DOL's authority to issue the regulation (hereafter, as modified, the "Plan Asset Regulation") but imposes certain modifications on the terms of the Plan Asset Regulation as originally adopted by the DOL.

Under specified circumstances, the Plan Asset Regulation requires plan fiduciaries, and entities with certain specified relationships to a plan, to "look through" investment vehicles (such as the Issuer) in which a plan invests and treat as an "asset" of the plan each underlying investment made by such investment vehicle. The Plan Asset Regulation provides, however, that if equity participation in any entity by "Benefit Plan Investors" is not significant then the "look-through" rule will not apply to such entity. The term "Benefit Plan Investor" is defined in the Plan Asset Regulation (as modified in application by Section 3(42) of ERISA) to include (1) any employee benefit plan that is subject to part 4 of Title I of ERISA, (2) any plan that is subject to Section 4975 of the Code, and (3) any entity whose underlying assets include plan assets by reason of a plan's investment in the entity. Equity participation by Benefit Plan Investors in an entity is significant if, immediately after the most recent acquisition of any equity interests in the entity, 25% or more of the value of any class of equity interests in the entity (excluding the value of any interests held by certain persons, other than Benefit Plan Investors, exercising control over the

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assets of the entity or providing investment advice with respect to such assets for a fee, direct or indirect (such as the Collateral Manager), or any affiliates (within the meaning of the Plan Asset Regulation) of such persons (any such person, a "Controlling Person")) is held by Benefit Plan Investors (the "25% Threshold"). For this purpose, an "affiliate" of a person includes any person, directly or indirectly, through one or more intermediaries, controlling, controlled by, or under common control with the person. "Control," with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person. Under the Plan Asset Regulation as currently in effect, an equity interest is any interest in an entity other than an instrument that is treated as indebtedness under applicable local law and that has no substantial equity features. Section 3(42) of ERISA provides that an entity is considered to hold plan assets only to the extent of the percentage of the equity interest held by benefit plan investors.

It should be noted that an insurance company's general account (and a wholly owned subsidiary of such a general account) may be deemed to include assets of ERISA Plans under certain circumstances, e.g., where an ERISA Plan purchases an annuity contract issued by such an insurance company, based on the reasoning of the United States Supreme Court in John Hancock Mutual Life Ins. Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993). An insurance company considering the purchase of Offered Securities with assets of its general account (or the assets of a wholly owned subsidiary of such general account) should consider such purchase and the insurance company's ability to make the representations described above in light of John Hancock Mutual Life Ins. Co. v. Harris Trust and Savings Bank, Section 401(c) of ERISA and 29 C.F.R. §2550.40c-1.

Although the issue is not free from doubt, the Co-Issuers believe that, at the time of their issuance, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes should not be considered to be "equity interests" in the Co-Issuers for purposes of ERISA. Accordingly, no measures (such as those described below with respect to the Class D Notes, Class E Notes and Class F Income Notes) will be taken to restrict investment in the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes by Benefit Plan Investors. However, there can be no assurance that each such Class of Notes would be characterized by the United States Department of Labor or others as indebtedness and not as equity interests on the date of issuance or at any given time thereafter. In addition, the status of any Class of Notes as indebtedness could be affected, subsequent to their issuance, by certain changes in the structure or financial condition of the Co-Issuers.

BY ITS ACQUISITION OF A CLASS A-1 NOTE, A CLASS A-2 NOTE, A CLASS B NOTE OR A CLASS C NOTE, EACH PURCHASER OR TRANSFEREE OF SUCH NOTE WILL BE DEEMED TO REPRESENT AND WARRANT THAT (1) EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS SUCH NOTE WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS SUCH NOTE WILL NOT BE ACTING ON BEHALF OF), A BENEFIT PLAN INVESTOR OR A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS MATERIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE OR (B) ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH NOTE WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION IN VIOLATION OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, A VIOLATION OF ANY SUCH MATERIALLY SIMILAR LAW); AND (2) IT AND ANY FIDUCIARY CAUSING IT TO ACQUIRE SUCH NOTE WILL INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE CO-ISSUER, THE TRUSTEE, THE COLLATERAL MANAGER, AND THEIR RESPECTIVE AFFILIATES FROM ANY COST, DAMAGE OR LOSS INCURRED BY THEM AS A RESULT OF ITS BREACH OF ANY OF THE FOREGOING REPRESENTATIONS AND WARRANTIES.

Although there is no authority directly on point, the Class D Notes, Class E Notes and Class F Income Notes will likely each constitute an "equity interest" in the Issuer for purposes of ERISA. If equity participation in the Issuer by Benefit Plan Investors is "significant" within the meaning of the Plan Asset Regulation, the assets of the Issuer would be considered to be the assets of any ERISA Plans that purchase or hold Class D Notes, Class E Notes or Class F Income Notes.

The Issuer intends to restrict equity participation in the Class D Notes, Class E Notes and Class F Income Notes (hereinafter, the "ERISA-restricted Notes") by Benefit Plan Investors and Controlling Persons. It is intended that the ownership interests in each Class of ERISA-restricted Notes that are held by Benefit Plan Investors will be maintained at a level below the 25% Threshold (i.e. excluding ERISA-restricted Notes of the applicable Class held

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by Controlling Persons). In this regard, while Section 3(42) of ERISA provides that an entity is considered to hold plan assets only to the extent of the equity interests in the entity held by Benefit Plan Investors, investors that are Benefit Plan Investors will be treated as if 100% of their assets were assets of Benefit Plan Investors in applying the 25% Threshold to the Issuer, except with respect to insurance company general accounts, which will be permitted to specify the percentage of such account representing Benefit Plan Investors.

NO ERISA-RESTRICTED NOTE (OR ANY INTEREST THEREIN) MAY BE ACQUIRED BY OR TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, EXCEPT THAT ERISA-RESTRICTED IN THE FORM OF A CERTIFICATED NOTE MAY BE ACQUIRED BY BENEFIT PLAN INVESTORS OR CONTROLLING PERSONS ON THE CLOSING DATE, BUT ONLY IF IMMEDIATELY AFTER SUCH ACQUISITION, LESS THAN 25% OF THE ERISA-RESTRICTED NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER WILL BE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING NOTES AND ANY OTHER CLASS OF EQUITY INTEREST IN THE ISSUER HELD BY CONTROLLING PERSONS). NO ERISA-RESTRICTED NOTE IN THE FORM OF A CERTIFICATED NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AFTER THE INITIAL PLACEMENT THEREOF, AND NO INTEREST IN AN ERISA-RESTRICTED NOTE REPRESENTED BY A REGULATION S GLOBAL ERISA-RESTRICTED NOTE MAY BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AT ANY TIME.

EACH PURCHASER OF AN ERISA-RESTRICTED NOTE IN THE FORM OF A CERTIFICATED NOTE IN THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED TO CERTIFY WHETHER OR NOT IT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH SUBSEQUENT TRANSFEREE OF AN ERISA-RESTRICTED NOTE IN THE FORM OF A CERTIFICATED NOTE AND EACH PURCHASER OF AN ERISA-RESTRICTED NOTE REPRESENTED BY A REGULATION S GLOBAL NOTE IN THE INITIAL PLACEMENT THEREOF WILL BE REQUIRED, AND EACH SUBSEQUENT TRANSFEREE OF AN INTEREST IN AN ERISA-RESTRICTED NOTE REPRESENTED BY A REGULATION S GLOBAL NOTE WILL BE DEEMED, TO REPRESENT AND WARRANT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH PURCHASER OF AN ERISA-RESTRICTED NOTE IN THE FORM OF A CERTIFICATED NOTE IN THE INITIAL PLACEMENT THEREOF THAT IS A BENEFIT PLAN INVESTOR WILL BE REQUIRED TO REPRESENT AND WARRANT THAT ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH NOTE WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION IN VIOLATION OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. EACH PURCHASER AND EACH TRANSFEREE OF AN ERISA-RESTRICTED NOTE (OR AN INTEREST THEREIN) THAT A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WILL BE REQUIRED OR IN CERTAIN CIRCUMSTANCES DEEMED TO REPRESENT AND WARRANT THAT ITS ACQUISITION, HOLDING AND DISPOSITION OF SUCH NOTE (OR AN INTEREST THEREIN) WILL NOT CONSTITUTE OR RESULT IN, A VIOLATION OF ANY FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. EACH ORIGINAL PURCHASER AND EACH SUBSEQUENT TRANSFEREE OF AN ERISA-RESTRICTED NOTE (OR AN INTEREST THEREIN) WILL BE REQUIRED (IN THE CASE OF A CERTIFICATED NOTE) OR DEEMED (IN THE CASE OF A REGULATION S GLOBAL NOTE) TO REPRESENT AND WARRANT THAT (1) IT WILL NOT SELL, PLEDGE OR OTHERWISE TRANSFER SUCH NOTE TO A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, AND (2) IT AND ANY FIDUCIARY CAUSING IT TO ACQUIRE SUCH NOTE WILL INDEMNIFY AND HOLD HARMLESS THE ISSUER, THE TRUSTEE (IN THE CASE OF THE CLASS D NOTES AND THE CLASS E NOTES), THE CLASS F INCOME NOTE ISSUING AND PAYING AGENT (IN THE CASE OF THE CLASS F INCOME NOTES), THE COLLATERAL MANAGER, AND THEIR RESPECTIVE AFFILIATES FROM ANY COST, DAMAGE OR LOSS INCURRED BY THEM AS A RESULT OF ITS BREACH OF ANY OF THE FOREGOING CERTIFICATIONS, REPRESENTATIONS AND WARRANTIES THAT ARE APPLICABLE TO IT.

FOR THESE PURPOSES, "BENEFIT PLAN INVESTOR" MEANS A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF U.S. DEPARTMENT OF LABOR REGULATION § 29 C.F.R. 2510.3-101, AS MODIFIED IN APPLICATION BY SECTION 3(42) OF ERISA, AND INCLUDES ANY (A) EMPLOYEE BENEFIT PLAN SUBJECT TO PART 4 OF TITLE I OF ERISA, (B) PLAN THAT IS SUBJECT TO SECTION

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4975 OF THE CODE, OR (C) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS FOR PURPOSES OF ERISA OR SECTION 4975 OF THE CODE BY REASON OF A PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING THE GENERAL ACCOUNT OF AN INSURANCE COMPANY ANY OF WHOSE ASSETS INCLUDE PLAN ASSETS OR A WHOLLY OWNED SUBSIDIARY THEREOF. "CONTROLLING PERSONS" INCLUDE PERSONS, OTHER THAN BENEFIT PLAN INVESTORS, HAVING DISCRETIONARY AUTHORITY OR CONTROL OVER THE ASSETS OF THE ISSUER OR PROVIDING INVESTMENT ADVICE WITH RESPECT TO THE ASSETS OF THE ISSUER FOR A FEE, DIRECT OR INDIRECT, OR ANY AFFILIATES OF SUCH PERSONS. FOR THIS PURPOSE, AN "AFFILIATE" OF A PERSON INCLUDES ANY PERSON, DIRECTLY OR INDIRECTLY, THROUGH ONE OR MORE INTERMEDIARIES, CONTROLLING, CONTROLLED BY, OR UNDER COMMON CONTROL WITH THE PERSON. "CONTROL," WITH RESPECT TO A PERSON OTHER THAN AN INDIVIDUAL, MEANS THE POWER TO EXERCISE A CONTROLLING INFLUENCE OVER THE MANAGEMENT OR POLICIES OF SUCH PERSON.

THE INDENTURE OR THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, AS APPLICABLE, PERMITS THE ISSUER TO DEMAND THAT (w) ANY PERSON HOLDING ERISA-RESTRICTED NOTES (OR AN INTEREST THEREIN) THAT REPRESENTED (OR WAS DEEMED TO REPRESENT) IT WAS NOT A BENEFIT PLAN INVESTOR OR CONTROLLING PERSON BUT IS DETERMINED TO BE A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, (x) ANY PERSON ACQUIRING ERISA-RESTRICTED NOTES (OR AN INTEREST THEREIN) IF IMMEDIATELY AFTER SUCH ACQUISITION, 25% OR MORE OF ANY CLASS OF ERISA-RESTRICTED NOTES OR ANY OTHER CLASS OF EQUITY INTERESTS IN THE ISSUER ARE HELD BY BENEFIT PLAN INVESTORS (DISREGARDING ERISA-RESTRICTED NOTES AND OTHER EQUITY INTERESTS IN THE ISSUER HELD BY CONTROLLING PERSONS), (y) ANY PERSON ACQUIRING AN ERISA-RESTRICTED NOTE IN THE FORM OF A CERTIFICATED NOTE AFTER THE INITIAL PLACEMENT THEREOF THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, AND (z) ANY PERSON HOLDING AN INTEREST IN AN ERISA-RESTRICTED NOTE REPRESENTED BY AN INTEREST IN A REGULATION S GLOBAL NOTE THAT IS A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON, TO SELL SUCH NOTES (OR INTEREST THEREIN) TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS SET FORTH IN THE INDENTURE OR THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, AS APPLICABLE, AND, IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF, THE ISSUER MAY SELL THE HOLDER'S INTEREST IN SUCH NOTES TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS SET FORTH IN THE INDENTURE OR THE CLASS F INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT, AS APPLICABLE.

However, despite the foregoing restrictions, there can be no assurance that Benefit Plan Investors will not in fact acquire beneficial interests in one or more Classes of ERISA-restricted Notes in excess of the 25% Threshold. Although each owner of Notes (and any fiduciary causing such owner to acquire Notes) will be required to indemnify the Issuer for the consequences of any breach of its representations or obligations with respect to the foregoing ERISA restrictions, there can be no assurance that an owner will not breach such representations or obligations or that, if such breach occurs, such owner will have the financial capacity and willingness to indemnify the Issuer for any losses that the Issuer may suffer.

If for any reason the assets of the Issuer are deemed to be "plan assets" of a Plan subject to Title I of ERISA or the prohibited transaction provisions of Section 4975 of the Code because one or more such Plans is an owner of ERISA-restricted Notes, Class D Notes, Class E Notes or Class F Income Notes or other "equity interests" of the Issuer, certain transactions that either of the Co-Issuers might enter into, or may have entered into, in the ordinary course of its business might constitute non-exempt "prohibited transactions" under Section 406 of ERISA or Section 4975 of the Code and might have to be rescinded. In addition, if the assets of the Issuer are deemed to be "plan assets" of a Plan subject to Title I of ERISA or the prohibited transaction provisions of Section 4975 of the Code, the payment of certain of the fees by the Issuer might be considered to be a non-exempt "prohibited transaction" under Section 406 of ERISA or Section 4975 of the Code. Moreover, if the underlying assets of the Issuer were deemed to be assets constituting "plan assets," it is not clear that Section 403(a) of ERISA, which generally requires that all of the assets of an ERISA Plan be held in trust and limits delegation of investment

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management responsibilities by fiduciaries of ERISA Plans, would be satisfied. It is also not clear whether Section 404(b) of ERISA, which generally provides that no fiduciary may maintain the indicia of ownership of any assets of a plan outside the jurisdiction of the district courts of the United States, would be satisfied or any of the exceptions to this requirement set forth in 29 C.F.R. Section 2550.404b-1 would be available.

Additionally, regardless of whether the assets of the Issuer are "plan assets", prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may arise if Notes are acquired by a Plan with respect to which the Issuer, the Collateral Manager, the Initial Purchaser, any Hedge Counterparty or the Placement Agent, or any of their respective Affiliates, is a party in interest or a disqualified person. However, section 408(b)(17) of ERISA and section 4975(d)(20) of the Code generally provide a statutory exemption from the prohibitions of section 406(a) of ERISA and section 4975 of the Code for certain transactions between plans and persons that are Parties in Interest or Disqualified Persons solely by reason of providing services to such plans or that are related to such service providers, provided generally that such persons are not plan fiduciaries and certain other conditions are satisfied; and this exemption may apply to the acquisition and holding of Notes by Benefit Plan Investors. Certain administrative exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, moreover, depending in part on the type of Plan fiduciary making the decision to acquire a Co-Issued Note and the circumstances under which such decision is made. Included among these exemptions are Prohibited Transaction class exemption ("PTCE") 96-23 (relating to transactions directed by an "in-house asset manager"); PTCE 95-60 (relating to transactions involving insurance company general accounts); PTCE 91-38 (relating to investments by bank collective investment funds), PTCE 84-14 (relating to transactions effected by a "qualified professional asset manager") and PTCE 90-1 (relating to investments by insurance company pooled separate accounts). There can be no assurance that any of these class exemptions or any other exemption will be available with respect to any particular transaction involving the Notes.

Any Plan fiduciary which proposes to cause a Plan to purchase any Notes should consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code to such an investment and to confirm that such investment will not constitute or result in a prohibited transaction or any other violation of an applicable requirement of ERISA or the Code.

The sale of any Notes to a Plan is in no respect a representation by the Issuer, the Co-Issuer, the Collateral Manager or the Initial Purchaser 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.

The discussion of ERISA and Section 4975 of the Code contained in this Offering Circular, is, of necessity, general, and does not purport to be complete. Moreover, the provisions of ERISA and Section 4975 of the Code are subject to extensive and continuing administrative and judicial interpretation and review. Therefore, the matters discussed above may be affected by future regulations, rulings and court decisions, some of which may have retroactive application and effect.

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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 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 Notes. Without limiting the foregoing, any financial institution that is subject to the jurisdiction of the Comptroller of Currency, the FRB, 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 agency with similar authority should review any applicable rules, guidelines and regulations prior to purchasing the Notes. Depository institutions should review and consider the applicability of the Federal Financial Institutions Examination Council Supervisory Policy Statement on Investment Securities and End-User Derivative Activities, which has been adopted by the respective federal regulators.

None of the Issuer, the Co-Issuer, the Collateral Manager, any Hedge Counterparty, the Trustee, the Class F Income Note Issuing and Paying Agent, the Collateral Administrator, the Initial Purchaser or the Placement Agent makes any representation as to the proper characterization of the Notes for legal investment, financial institution regulatory or other purposes or as to the ability of particular investors to purchase the Notes under applicable investment restrictions. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Notes) may affect the liquidity of the 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 Notes are subject to investment, capital or other restrictions.

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RATINGS

It is a condition of issuance of the Notes that the Class A-1 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class B Notes be rated at least "A2" by Moody's and "A" by S&P and the Class C Notes be rated at least "Baa2" by Moody's and "BBB" by S&P. The Class D Notes, the Class E Notes and Class F Income Notes will not be rated by Moody's, S&P or any other rating agency.

The Co-Issuers will request that the Rating Agencies confirm, within 15 Business Days after the Effective Date (or such other date as the Rating Agencies determine), and so notify the Trustee in writing, that they have not reduced or withdrawn their respective ratings assigned on the Closing Date to each Class of the Co-Issued Notes. In the event of an Effective Date Failure, on the next and succeeding Payment Dates, the Collateral Interest Collections and the Collateral Principal Collections remaining after the payment of funds pursuant to clauses (i) through (xii) of the Priority of Payments set forth under "Description of the Notes—Priority of Payments—Interest and Principal Collections—Distributions with Collateral Interest Collections" and after the same payments (if not satisfied from Collateral Interest Collections) have been made pursuant to clause (i) of the Priority of Payments set forth under "Description of the Notes—Priority of Payments—Interest and Principal Collections—Distributions with Collateral Principal Collections", will be applied to pay principal of the Class A 1 Notes, the Class A 2 Notes, the Class B Notes and the Class C Notes, sequentially in that order, in each case, until the Aggregate Principal Amount of each such Class is paid in full or if earlier, in the amount necessary for each Rating Agency to confirm in writing their respective ratings of the Co-Issued Notes assigned on the Closing Date. In the event that an Effective Date Failure results from S&P not confirming the ratings assigned to the Co-Issued Notes, so long as no other Effective Date Failure has occurred and is continuing, the application of Collateral Interest Collections and Collateral Principal Collections as described above will not occur (or, if it has commenced, will cease) upon satisfaction of the S&P Rating Agency Confirmation. In the event that an Effective Date Failure results from Moody's not confirming the ratings assigned to the Co-Issued Notes, so long as no other Effective Date Failure has occurred and is continuing, the application of Collateral Interest Collections and Collateral Principal Collections as described above will not occur (or, if it has commenced, will cease) upon satisfaction of the Moody's Rating Condition. If there is an Effective Date Failure, Moody's and/or S&P could lower their respective ratings of one or more Classes of the Co-Issued Notes assigned on the Closing Date.

A security 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. In the event that a rating initially assigned to the Co-Issued Notes is subsequently lowered for any reason, no Person is obligated to provide any additional support or credit enhancement with respect to the Notes.

The Indenture provides that the Issuer will solicit and pay for (i) an annual review of the ratings as assigned to each Class of the Co-Issued Notes then rated by Moody's on the Closing Date for each Class of Co-Issued Notes then rated by Moody's and (ii) ongoing surveillance with respect to each Class of the Co-Issued Notes then rated by S&P. The Issuer shall deliver a copy of any such review to the Trustee and the Collateral Manager, and the Trustee shall promptly upon receipt deliver a copy of such review to the Holders of the Co-Issued Notes. Neither the failure of any Rating Agency to review or confirm a rating nor the withdrawal of a rating constitutes an Event of Default under the Indenture.

The Co-Issuers will promptly notify the Trustee in writing (who will promptly notify the Noteholders), each Hedge Counterparty and the Collateral Manager if at any time the then-current ratings of the Co-Issued Notes have been, or the Co-Issuers know the then-current ratings of the Co-Issued Notes will be, qualified, downgraded or withdrawn. In addition, the Issuer will inform the Irish Stock Exchange, so long as any Notes are listed thereon, if the ratings assigned to any Class of Co-Issued Notes are reduced or withdrawn.

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USE OF PROCEEDS

The gross proceeds of the offering of the Notes will be approximately U.S.$352,000,000. The net proceeds, after payment of organization expenses, the expenses of the issuance of the Notes, a fee to holders of certain Existing Securities in connection with their purchase of Co-Issued Notes and making deposits to the Expense Account, the Principal Collection Account and the Interest Reserve Account will be approximately U.S.$276,000,000. Such net proceeds will be paid to the Swap Counterparty and CFPI in partial consideration for the Existing Issuer causing the transfer of the Subsidiary Holding Companies to the Issuer, which Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an Aggregate Principal Amount of approximately U.S.$365,000,000 (excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell). See "Risk Factors—Nature of the Collateral Pledged to Secure the Co-Issued Notes; Credit and Liquidity Risk" and "—Acquisition of Collateral Debt Obligations".

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PLAN OF DISTRIBUTION

The Co-Issued Notes are being offered by Citigroup Global Markets Inc. (in such capacity, the "Initial Purchaser") pursuant to a purchase agreement with the Co-Issuers (the "Purchase Agreement"). The Class D Notes, Class E Notes and Class F Income Notes are being offered by the Issuer through Citigroup Global Markets Inc. (in such capacity, the "Placement Agent") pursuant to a placement agency agreement with the Issuer (the "Placement Agency Agreement"). The Notes will be sold to prospective purchasers from time to time in individually negotiated transactions at varying prices to be determined in each case at the time of sale. The Senior Notes will be offered within the United States to Qualified Purchasers that are also Qualified Institutional Buyers. The Class F Income Notes will be offered within the United States to persons that are both (i) Qualified Institutional Buyers or Accredited Investors and (ii) Qualified Purchasers. The Notes will be offered outside the United States in reliance on Regulation S. See "Purchase and Transfer Restrictions".

The Purchase Agreement provides that the obligation of the Initial Purchaser to purchase such Co-Issued Notes is subject to approval of legal matters by counsel and to other conditions. The Initial Purchaser must purchase all such Co-Issued Notes if it purchases any of such Co-Issued Notes.

In connection with sales outside the United States, with respect to such Senior Notes, the Initial Purchaser and, with respect to the Class D Notes, Class E Notes and Class F Income Notes, the Placement Agent, have agreed that, except as permitted by the Purchase Agreement or the Placement Agency Agreement, as the case may be, they will not offer or sell such Notes within the United States or to, or for the account or benefit of, U.S. persons (as defined in Regulation S) as part of its distribution at any time.

No action is being taken or is contemplated by the Co-Issuers that would permit a public offering of the Notes or possession or distribution of this Offering Circular or any amendment thereof, any supplement thereto or any other offering material relating to the Co-Issuers or the Notes in any jurisdiction where, or in any other circumstances in which, action for those purposes is required.

The Initial Purchaser and the Placement Agent or their respective Affiliates may have had in the past and may in the future have business relationships and dealings with one or more obligors of Collateral Debt Obligations and their Affiliates and may own equity or debt securities issued by such entities or their Affiliates. The Initial Purchaser and the Placement Agent or their respective Affiliates may have provided and may in the future provide investment banking services to an obligor of Collateral Debt Obligations or its Affiliates and may have received or may receive compensation for such services.

The Co-Issuers have agreed to indemnify the Initial Purchaser against certain liabilities, including liabilities under the Securities Act, and have agreed to contribute to payments that the Initial Purchaser may be required to make in respect thereof.

The Issuer has agreed to indemnify the Placement Agent against certain liabilities, including liabilities under the Securities Act, and has agreed to contribute to payments that the Placement Agent may be required to make in respect thereof.

The Notes are offered when, as and if issued, subject to prior sale or withdrawal, cancellation or modification of the offer without notice and subject to approval of certain legal matters by counsel and certain other conditions.

The Notes will constitute new classes of securities with no established trading market. Such a market may or may not develop, but the Initial Purchaser and the Placement Agent are not under any obligation to make such a market, and if they do make such a market they may discontinue any market making activities with respect to the Notes at any time without notice. In addition, market-making activity will be subject to the limits imposed by the Securities Act and the Exchange Act. Accordingly, no assurances can be made as to the liquidity of or the trading market for the Notes.

The Issuer will pay the net proceeds from the issuance of the Notes to the Swap Counterparty and CFPI in partial consideration for the Existing Issuer causing the transfer of the Subsidiary Holding Companies to the Issuer,

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which Subsidiary Holding Companies will on the Closing Date collectively own Collateral Debt Obligations in an Aggregate Principal Amount of approximately U.S.$365,000,000 (excluding any Collateral Debt Obligation that either Subsidiary Holding Company has committed to sell). The Subsidiary Holding Companies acquired such Collateral Debt Obligations to hedge the Swap Counterparty's obligations under the Existing Total Return Swap Transaction. See "Risk Factors—Acquisition of Collateral Debt Obligations".

Citigroup Global Markets Inc. may be contacted at 390 Greenwich Street, New York, New York 10013, Attention: Global Structured Credit Product Group.

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LISTING AND GENERAL INFORMATION

1. The Prospectus has been approved by the Irish Financial Services Regulatory Authority, as competent authority under the Prospectus Directive 2003/71/EC. The Irish Financial Services Regulatory Authority only approves this Prospectus as meeting the requirements imposed under the Irish and EU law pursuant to the Prospectus Directive 2003/71/EC. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. There can be no assurances that such approval will be obtained or that such listing will be granted or maintained.

2. For the life of this Offering Circular, electronic copies of the Articles of the Issuer, the Certificate of Incorporation and By-laws of the Co-Issuer, the certificate of formation and the amended and restated limited liability company agreement of each Subsidiary Holding Company, the Indenture, the Collateral Management Agreement, the Class F Income Note Issuing and Paying Agency Agreement, the Collateral Administration Agreement, the Administration Agreement, any Hedge Agreement, the Paying Agency Agreement for Ireland, the Subsidiary Guarantee and the Subsidiary Pledge Agreements (such agreements, collectively, the "Material Contracts") and a description of the collateral will be available for inspection and will be obtainable at the offices of the registered office of the Issuer, where copies thereof may be obtained upon request in electronic or physical form.

3. If and for so long as any Class of Notes are listed on the Irish Stock Exchange, electronic copies of the Articles of the Issuer, the Certificate of Incorporation and By-laws of the Co-Issuer, the certificate of formation and the amended and restated limited liability company agreement of each Subsidiary Holding Company, the resolutions of the Board of Directors of the Issuer authorizing the issuance of the Notes, the resolutions of the Board of Directors of the Co-Issuer authorizing the issuance of the Co-Issued Notes, the Indenture, the Collateral Administration Agreement, the Class F Income Note Issuing and Paying Agency Agreement, the Subsidiary Guarantee and the Collateral Management Agreement will be available for inspection at the Corporate Trust Office.

4. Each of the Co-Issuers represents that, as of the Original Printing Date, there has been no material adverse change in its financial position since the date of its creation. Neither of the Co-Issuers is involved, or has been involved since incorporation, in any governmental, legal or arbitration proceedings relating to claims on amounts which may have or have had a significant effect on the financial position or profitability of the Co-Issuers, nor, so far as the Co-Issuers are aware, is any such governmental, legal or arbitration proceedings involving them pending or threatened. Each of the Subsidiary Holding Companies will represent that, as of the date of this Offering Circular, there has been no material adverse change in its financial position since the date of its creation. Neither of the Subsidiary Holding Companies is involved, or has been involved since incorporation, in any governmental, legal or arbitration proceedings relating to claims on amounts which may have or have had a significant effect on the financial position or profitability of either of the Subsidiary Holding Companies, nor, so far as each Subsidiary Holding Company is aware, is any such governmental, legal or arbitration proceedings involving it pending or threatened.

5. The issuance of the Notes is expected to be authorized by the Board of Directors of the Issuer by resolutions passed on or prior to the Closing Date. The issuance of the Co-Issued Notes is expected to be authorized by the Board of Directors of the Co-Issuer by resolutions passes on or prior to the Closing Date. Since incorporation, neither the Issuer nor the Co-Issuer has commenced trading, prepared any financial statements or has declared any dividends, except for the transactions described herein. Since incorporation, none of the Subsidiary Holding Companies have commenced trading, prepared any financial statements or has declared any dividends, except for the transactions described herein.

6. 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 €20,000.

7. The Notes sold outside of the United States in accordance with Regulation S under the Securities Act and represented by the Global Notes have been accepted for clearance through Clearstream and Euroclear under the Common Codes set forth below. The other CUSIP (CINS) Numbers and International Securities Identification Numbers (ISIN) for each Class of Notes are as set forth in the table below:

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Regulation S Certificates Rule 144A Certificates

CUSIP ISIN Common Code CUSIP Class A-1 Notes G4640LAA2 USG4640LAA29 036157674 443677AA7 Class A-2 Notes G4640LAB0 USG4640LAB02 036157747 443677AC3 Class B Notes G4640LAC8 USG4640LAC84 036126566 443677AE9 Class C Notes G4640LAD6 USG4640LAD67 036127554 443677AG4 Class D Notes G46406AA5 USG46406AA52 036157763 443676AA9 Class E Notes G46406AB3 USG46406AB36 036157801 443676AC5 Class F Income Notes G46406AC1 USG46406AC19 036157810 443676AE1

In addition, the CUSIP Number of the Class F Income Notes purchased by Accredited Investors will be 443676AF8.

8. The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to publish annual reports and accounts. The Co-Issuer is not required by Delaware State law, and the Co-Issuer does not intend, to publish annual reports and accounts. The Indenture, however, requires the Issuer to provide the Trustee with written confirmation, on an annual basis, that to the best of its knowledge following review of the activities of the prior year no Event of Default or Default or other matter required to be brought to the Trustee's attention has occurred or, if one has, specifying the same. Neither Subsidiary Holding Company is required by Delaware State law, and neither Subsidiary Holding Company intends, to publish annual reports and accounts.

9. Except as set forth in the Indenture, the Co-Issuers do not intend to provide post-issuance transaction information relating to the Notes to be admitted to trading and the performance of the underlying Collateral.

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CERTAIN LEGAL MATTERS

The validity of the Notes and certain other legal matters will be passed upon for the Co-Issuers by Freshfields Bruckhaus Deringer LLP, New York, New York. Certain legal matters will be passed upon for the Collateral Manager by Cleary Gottlieb Steen & Hamilton LLP, Washington D.C. Certain legal matters relating to Cayman Islands law will be passed upon for the Issuer by Walkers, Cayman Islands. Certain legal matters will be passed upon for the Initial Purchaser and the Placement Agent by Freshfields Bruckhaus Deringer LLP, New York, New York.

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ANNEX A

GLOSSARY OF CERTAIN DEFINED TERMS

Set forth below are definitions of certain defined terms used in this Offering Circular.

"Accelerated Distribution Date": After the Senior Notes have been declared due and payable (if such declaration has not been rescinded or annulled), the date or dates fixed by the Trustee for payment of all collections from, and proceeds of sale or liquidation of, the Collateral following the exercise of remedies.

"Accredited Investors": "Accredited investors" as defined in Rule 501(a) under Regulation D under the Securities Act.

"Administrative Expenses": Amounts due from or accrued for the account of the Co-Issuers or any Subsidiary Holding Company with respect to any Payment Date to (i) the Rating Agencies for fees and expenses in connection with the rating of the Co-Issued Notes (including the annual fees payable to the Rating Agencies with respect to the monitoring and ongoing surveillance of any such rating) and any fees (including annual renewal fees) with respect to credit estimates; (ii) the independent accountants, agents and counsel of the Co-Issuers for fees and expenses; (iii) the Trustee for Trustee Fees and Trustee Expenses; (iv) the Collateral Administrator for amounts payable to it pursuant to the Collateral Administration Agreement; (v) the Class F Income Note Issuing and Paying Agent for amounts payable to it as provided in the Class F Income Note Issuing and Paying Agency Agreement (other than amounts payable to it for payment to the Class F Income Noteholders) (vi) the Collateral Manager and its counsel for fees and expenses (other than the Collateral Management Fee) as provided in the Collateral Management Agreement; (vii) any other Person in respect of any governmental fee, charge or tax imposed on any of the Issuer, the Co-Issuer, either Subsidiary Holding Company or the pool of Pledged Obligations or any Synthetic Security Collateral, including, without limitation, any fees payable in the Cayman Islands to maintain the good standing of the Issuer; (viii) the Administrator pursuant to the Administration Agreement in respect of certain services provided to the Issuer; (ix) "Expenses" as defined in the Sale and Purchase Agreement (and which does not include funding obligations) incurred by the Swap Counterparty or CFPI, as the case may be, due to its support obligations under the limited liability company agreement of the Subsidiary Holding Company of which it was the sole member prior to the Closing Date, that are incurred after the Closing Date, arise out of events occurring after the Closing Date and are associated with ownership by such Subsidiary Holding Company of a Collateral Debt Obligation that it owned prior to, and became part of the Collateral on, the Closing Date; and (x) any other Person in respect of any other fees or expenses permitted under the Indenture and the documents delivered pursuant to or in connection with the Indenture and the Notes. For the avoidance of doubt, subject to the Priority of Payments, amounts payable under the preceding clauses (i) through (x) include any indemnity payments then due and payable by the Issuer or the Co-Issuer.

"Administrator": Walkers SPV Limited, or any successor appointed by the Issuer (or the Collateral Manager on its behalf).

"Advisers Act": The United States Investment Advisers Act of 1940, as amended from time to time.

"Affiliate": With respect to a specified Person, (a) any other Person who, directly or indirectly, is in control of, or controlled by, or is under common control with, such Person or (b) any other Person who is a director, officer, employee, managing member or partner of (1) such Person or (2) any such other Person described in clause (a) above. For the purposes of this definition, "control" of a Person means the power, direct or indirect, (i) to vote more than 50% of the securities having ordinary voting power for the election of directors of such Person or (ii) to direct or cause the direction of the management and policies of such Person whether by contract or otherwise; provided that (i) the management of an account by one Person for the benefit of any other Person shall not constitute "control" of such other Person and (ii) neither the Administrator nor any other special purpose company to which the Administrator provides directors and/or acts as share trustee shall be an Affiliate of the Issuer.

"Aggregate Collateral Balance": On any date of determination, an amount equal to the sum of (a) the Aggregate Principal Amount of the Collateral Debt Obligations in the Collateral and (b) the aggregate Balance of

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Eligible Investments and cash in the Principal Collection Account or otherwise representing Collateral Principal Collections.

"Aggregate Fees and Expenses": With respect to any Payment Date, the sum of (a) the Trustee Fee with respect to such Payment Date and any Trustee Fee with respect to a previous Payment Date that was not paid on a previous Payment Date, (b) all expenses of the Collateral Manager payable by the Issuer pursuant to the Collateral Management Agreement, (c) the Senior Collateral Management Fee with respect to such Payment Date and any Senior Collateral Management Fee with respect to a previous Payment Date that was not paid on a previous Payment Date, (d) the Trustee Expenses with respect to such Payment Date and any Trustee Expenses with respect to a previous Payment Date that were not paid on a previous Payment Date, (e) taxes payable by the Co-Issuers, if any, (f) all amounts owed to the Collateral Administrator with respect to such Payment Date and any amounts owed to the Collateral Administrator with respect to a previous Payment Date that were not paid on a previous Payment Date, (g) all amounts owed to the Class F Income Note Issuing and Paying Agent with respect to such Payment Date and any amounts owed to the Class F Income Note Issuing and Paying Agent with respect to a previous Payment Date that were not paid on a previous Payment Date (other than amounts payable to it for payment to the Class F Income Noteholders) and (h) all other expenses of the Co-Issuers (including Administrative Expenses) payable on such Payment Date pursuant to clause (i) under "Description of the Notes—Priority of Payments—Interest and Principal Collections—Distributions with Collateral Interest Collections" and "Description of the Notes—Application of Available Funds upon Acceleration of Maturity or the Stated Maturity Date".

"Aggregate Principal Amount": With respect to any date of determination, (a) when used with respect to any Pledged Obligations, the aggregate Principal Balance of such Pledged Obligations on such date of determination, (b) when used with respect to any Class of Notes or portion thereof, as of such date of determination, the original principal amount of such Class or portion thereof reduced by all prior payments, if any, made with respect to principal of such Class or portion thereof plus, for purposes of calculating the Principal Coverage Tests only, the Cumulative Periodic Rate Shortfall Amount (if any) applicable to such Class of Notes, (c) when used with respect to the Senior Notes, the sum of the Aggregate Principal Amount (determined under clause (b) above) of all of the Classes of Senior Notes, (d) when used with respect to the Notes, the sum of the Aggregate Principal Amount (determined under clause (b) above) of all of the Classes of Notes and (e) when used with respect to any of the Class F Income Notes at any time, the aggregate principal amount of such Class F Income Notes Outstanding at such time.

"Applicable Periodic Rate":

Class of Notes Applicable Periodic Rate for each Periodic Interest Accrual Period Class A-1 Notes LIBOR plus 1.05% Class A-2 Notes LIBOR plus 1.90% Class B Notes LIBOR plus 2.00% Class C Notes LIBOR plus 4.00% Class D Notes LIBOR plus 1.30%

"Articles": The Issuer's Amended and Restated Memorandum of Association and the Issuer's Amended and Restated Articles of Association, collectively.

"Assigned Moody's Rating": The monitored publicly available rating or 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.

"Available Funds": With respect to any Payment Date, the amount of any positive Balance in the Collection Account as of the Calculation Date relating to such Payment Date and, with respect to any other date, such amount as of that date.

"Available Hudson Canyon Distribution Amount": With respect to the Closing Date, the Interim Hudson Canyon Account Transfer Date and the Final Hudson Canyon Account Transfer Date, an amount equal to the excess, if any, of (a) the sum of (i) the aggregate amount of interest and fees on the reference loans under the Existing Total Return Swap Transaction and (ii) the aggregate amount of interest and distributions payable by the Swap Counterparty to the Existing Issuer pursuant to the credit support annex under the Existing Total Return Swap

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Transaction with respect to collateral transferred by the Existing Issuer to the Swap Counterparty pursuant thereto, in each case only to the extent that such amounts (x) were not paid by the Swap Counterparty to the Existing Issuer under the Existing Total Return Swap Transaction prior to the Closing Date, (y) accrued or became payable with respect to the period from and including August 9, 2007 to but excluding the Closing Date and (z) were actually paid by the applicable reference entity or the applicable issuer of securities held by the Swap Counterparty as collateral on or prior to such date of determination (or relates to collateral held as cash by the Swap Counterparty) over (b) the sum of (i) all amounts payable by the Existing Issuer to the Swap Counterparty under the Existing Total Return Swap Transaction (including, without limitation, all accrued financing costs, expenses and payments in respect of market value losses with respect to reference loans but excluding any make-whole amounts) plus (ii) with respect to the Interim Hudson Canyon Account Transfer Date and the Final Hudson Canyon Account Transfer Date only, the amount paid by the Swap Counterparty to the Trustee on the Closing Date plus (iii) with respect to the Final Hudson Canyon Account Transfer Date only, the amount paid by the Swap Counterparty to the Trustee on the Interim Hudson Canyon Account Transfer Date.

"Average Debt Rating": As of any date of determination and with respect to the Collateral Debt Obligations then forming part of the Collateral, the numerical average Moody's debt rating obtained by (a) multiplying the Principal Balance of each such Collateral Debt Obligation as of such date by the applicable Moody's Rating Factor for such Collateral Debt Obligation as indicated in the table below; (b) summing the products obtained in clause (a) for all such Collateral Debt Obligations; and (c) dividing the sum obtained in clause (b) by the Aggregate Principal Amount of all such Collateral Debt Obligations as of such date and rounding the result to the nearest whole number. "Moody's Rating Factor" means the number set forth below under the heading "Moody's Rating Factor" across from the Moody's Rating of each Collateral Debt Obligation.

Moody's Rating Moody's Rating Factor(2) Aaa(1) 1 Aa1 10 Aa2 20 Aa3 40 A1 70 A2 120 A3 180

Baa1 260 Baa2 360 Baa3 610 Ba1 940 Ba2 1,350 Ba3 1,766 B1 2,220 B2 2,720 B3 3,490

Caa1 4,770 Caa2 6,500 Caa3 8,070

Ca or lower 10,000 (1) Includes any security issued or guaranteed as to the payment of principal and interest by the U.S. government or any agency or

instrumentality thereof, the obligations of which are expressly backed by the full faith and credit of the U.S. government. (2) Short-term securities rated "P-1" by Moody's will be assigned a Moody's Rating Factor equivalent to that of the senior unsecured rating of

the issuer. Short-term securities rated "P-1" of an issuer that does not have such a senior unsecured rating will be assigned a Moody's Rating Factor of 120.

Eligible Investments, Defaulted Obligations and Equity Securities will be excluded from both the numerator and denominator in the calculation of Average Debt Rating.

"Average Debt Rating Test": On any date of determination on or after the Effective Date, a test that is satisfied if the Average Debt Rating of the Collateral Debt Obligations in the Collateral is equal to or less than the sum of (i) the number set forth in the column entitled "Maximum Rating Factor" in the Moody's Matrix corresponding to the case chosen by the Collateral Manager as currently applicable to the Collateral Debt Obligations in the Collateral, or if the chosen Minimum Weighted Average Spread falls between rows, interpolation shall be taken between two adjacent rows on a straight-line basis, with the results being rounded down to the nearest whole number and (ii) the Rating Factor Modifier.

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"Balance": On any date, with respect to Eligible Investments in the Collection Account, the Loan Funding Account, the Interest Reserve Account, the Expense Account or the Synthetic Letter of Credit Reserve Account, the aggregate (a) face amount or current balance, as the case may be, of cash, demand deposits, time deposits, certificates of deposit, bankers' acceptances, federal funds and commercial bank money market accounts; (b) outstanding principal amounts of interest-bearing government and corporate securities; and (c) purchase price (but not greater than the face amount) of non-interest-bearing government and corporate securities, commercial paper and repurchase obligations.

"Bankruptcy Law": Title 11 of the United States Code (11 U.S.C. §§ 101 et seq.), as amended, and any successor statute or any other applicable federal or state bankruptcy law, including, without limitation, any bankruptcy, insolvency, reorganization or similar law enacted under the laws of the Cayman Islands or any other applicable jurisdiction.

"Benefit Plan Investor": A Benefit Plan Investor within the meaning of U.S. Department of Labor Regulations § 29 C.F.R. 2510.3 101, as modified in application by Section 3(42) of ERISA and includes any (x) employee benefit plan that is subject to Part 4 of Title I of ERISA, (y) plan that is subject to Section 4975 of the Code, and (z) entity whose underlying assets are deemed to include plan assets for purposes of ERISA or Section 4975 of the Code by reason of any such plan's investment in such entity, including the general account of an insurance company, any of whose underlying assets include plan assets, and a wholly owned subsidiary thereof.

"Bridge Loan": Any Collateral Debt Obligation that is incurred in connection with a merger, acquisition, consolidation, sale of all or substantially all of the assets of a Person, restructuring or similar transaction, which debt obligation by its terms is required to be repaid within one year of the incurrence thereof with proceeds from additional borrowings or other refinancings (other than any additional borrowing or refinancing if one or more financial institutions shall have provided the obligor on such debt obligation with a binding written commitment to provide the same).

"Business Day": Any day that is not a Saturday, Sunday or other day on which commercial banking institutions in New York, New York or the city in which the Corporate Trust Office is located (initially being Chicago, Illinois), are authorized or obligated by law or executive order to be closed; provided that (a) if any action is required of the Paying Agent in Ireland, for purposes of determining when such action by the Paying Agent in Ireland is required, any day on which commercial banking institutions in Dublin, Ireland are authorized or obligated by law or executive order to be closed shall not be a "Business Day" with respect to such Paying Agent in Ireland and (b) if any action is required by the Issuer that has not been delegated to the Trustee, the Collateral Manager or any other agent of the Issuer located outside of the Cayman Islands, for purposes of determining when such action by the Issuer is required, any day on which commercial banking institutions in the Cayman Islands are authorized or obligated by law or executive order to be closed shall not be a "Business Day" with respect to such Issuer action.

"Calculation Date": With respect to any Payment Date, the last day of the related Due Period.

"C-Basket Securities": With respect to any date of determination, the excess of (i) the greater of (x) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral (other than Defaulted Obligations) that have a Moody's Obligation Rating of "Caa1" and below and (y) the Aggregate Principal Amount of all Collateral Debt Obligations in the Collateral (other than Defaulted Obligations) that have an S&P Rating of "CCC+" and below over (ii) 7.5% of the Aggregate Collateral Balance; provided that, in determining whether any such Collateral Debt Obligation (or portion thereof) comprises 7.5% of the Aggregate Collateral Balance or constitutes a C-Basket Security, Collateral Debt Obligations with the highest Market Values will first be considered comprising 7.5% of the Aggregate Collateral Balance. For the avoidance of doubt, the ratings of any Collateral Debt Obligation that is on credit watch by Moody's or on S&P's CreditWatch list will be adjusted in accordance with the definition of "Moody's Obligation Rating" or "S&P Rating", as applicable.

"Certificated Notes": Any Notes issued in the form of a definitive physical certificate in fully registered form without coupons.

"CGMI": Citigroup Global Markets Inc. and any successor thereto.

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"Class": In the case of (x) the Co-Issued Notes, all of the Co-Issued Notes having the same Applicable Periodic Rate, Stated Maturity Date and designation, (y) the Senior Notes, all of the Senior Notes having the same Applicable Periodic Rate, if applicable, Stated Maturity Date and designation and (z) the Class F Income Notes, all of the Class F Income Notes.

"Class A Collateral Coverage Tests": The Class A Interest Coverage Test and the Class A Principal Coverage Test.

"Class A Interest Coverage Ratio": As of any date of determination after the Initial Payment Date, the ratio of (x) to (y), where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period.

"Class A Interest Coverage Test": As of any date of determination after the Initial Payment Date, a test that is satisfied on such date of determination if the Class A Interest Coverage Ratio equals or exceeds 115.0% on such date of determination.

"Class A Notes": The Class A-1 Notes and the Class A-2 Notes, collectively.

"Class A Principal Coverage Ratio": As of any date of determination, the ratio of (x) to (y) where (x) is the Principal Coverage Amount on such date, and where (y) is an amount equal to the sum of (1) the Aggregate Principal Amount of the Class A-1 Notes then Outstanding plus (2) the Aggregate Principal Amount of the Class A-2 Notes then Outstanding.

"Class A Principal Coverage Test": As of any date of determination, a test which is satisfied when the Class A Principal Coverage Ratio equals or exceeds 129.4%.

"Class A-1 Break-Even Default Rate": As of any date of determination, the maximum percentage of defaults which the Current Portfolio can sustain at any time, as determined through the application of the relevant S&P CDO Monitor for the then-applicable Weighted Average Spread of all Collateral Debt Obligations included in the Collateral, which, after giving effect to S&P's assumptions on recoveries, interest rates and timing of defaults and to the Priority of Payments specified in the Indenture, will result in sufficient funds remaining for the payment of the Class A-1 Notes in full by their Stated Maturity Date and the timely payment of interest on the Class A-1 Notes.

"Class A-1 Default Differential": As of any date of determination, the rate calculated by subtracting the Class A-1 Scenario Default Rate at such time from the Class A-1 Break-Even Default Rate at such time.

"Class A-1 Notes": The U.S.$291,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due October 27, 2020 and having the terms as described herein.

"Class A-1 S&P Minimum Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that is satisfied if the S&P Weighted Average Recovery Rate with respect to the Class A-1 Notes is greater than or equal to 54.4%.

"Class A-1 Scenario Default Rate": As of any date of determination, an estimate of the cumulative default rate for the Current Portfolio consistent with an S&P Rating of "AAA" on the Class A-1 Notes determined by the application of the S&P CDO Monitor at such time.

"Class A-2 Break-Even Default Rate": As of any date of determination, the maximum percentage of defaults which the Current Portfolio can sustain at any time, as determined through the application of the relevant S&P CDO Monitor for the then-applicable Weighted Average Spread of all Collateral Debt Obligations included in the Collateral, which, after giving effect to S&P's assumptions on recoveries, interest rates and timing of defaults and to the Priority of Payments specified in the Indenture, will result in sufficient funds remaining for the payment of the Class A-2 Notes in full by their Stated Maturity Date and the timely payment of interest on the Class A-2 Notes.

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"Class A-2 Default Differential": As of any date of determination, the rate calculated by subtracting the Class A-2 Scenario Default Rate at such time from the Class A-2 Break-Even Default Rate at such time.

"Class A-2 Notes": The U.S.$10,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due October 27, 2020 and having the terms as described herein.

"Class A-2 S&P Minimum Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that is satisfied if the S&P Weighted Average Recovery Rate with respect to the Class A-2 Notes is greater than or equal to 54.4%.

"Class A-2 Scenario Default Rate": As of any date of determination, an estimate of the cumulative default rate for the Current Portfolio consistent with an S&P Rating of "AAA" on the Class A-2 Notes, determined by the application of the S&P CDO Monitor at such time.

"Class B Break-Even Default Rate": As of any date of determination, the maximum percentage of defaults which the Current Portfolio can sustain at any time, as determined through the application of the relevant S&P CDO Monitor for the then-applicable Weighted Average Spread of all Collateral Debt Obligations included in the Collateral, which, after giving effect to S&P's assumptions on recoveries, interest rates and timing of defaults and to the Priority of Payments specified in the Indenture, will result in sufficient funds remaining for the payment of the Class B Notes in full by their Stated Maturity Date and the ultimate payment of interest on the Class B Notes.

"Class B Collateral Coverage Tests": The Class B Interest Coverage Test and the Class B Principal Coverage Test.

"Class B Cumulative Periodic Rate Shortfall Amount": With respect to any date of determination, the sum of the Class B Periodic Rate Shortfall Amount with respect to each Payment Date preceding such date of determination, less any amount applied on preceding Payment Dates pursuant to the Priority of Payments described herein to reduce such sum.

"Class B Default Differential": As of any date of determination, the rate calculated by subtracting the Class B Scenario Default Rate at such time from the Class B Break-Even Default Rate at such time.

"Class B Interest Coverage Ratio": As of any date of determination after the Initial Payment Date, the ratio of (x) to (y), where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period plus (3) the Periodic Interest Amount for the Class B Notes for the Payment Date relating to such Due Period.

"Class B Interest Coverage Test": As of any date of determination after the Initial Payment Date, a test that is satisfied on such date of determination if the Class B Interest Coverage Ratio equals or exceeds 110.0% on such date of determination.

"Class B Notes": The U.S.$46,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 and having the terms as described herein.

"Class B Periodic Rate Shortfall Amount": With respect to the Class B Notes and each Payment Date, so long as any Class A-1 Notes or Class A-2 Notes remain Outstanding, any shortfall in the payment of the Periodic Interest Amount due for such Class on such Payment Date.

"Class B Principal Coverage Ratio": As of any date of determination, the ratio of (x) to (y) where (x) is the Principal Coverage Amount on such date, and where (y) is an amount equal to the sum of (1) the Aggregate Principal Amount of the Class A-1 Notes then Outstanding plus (2) the Aggregate Principal Amount of the Class A-2 Notes then Outstanding plus (3) the Aggregate Principal Amount of the Class B Notes then Outstanding.

"Class B Principal Coverage Test": As of any date of determination, a test which is satisfied when the Class B Principal Coverage Ratio equals or exceeds 113.9%.

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"Class B S&P Minimum Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that is satisfied if the S&P Weighted Average Recovery Rate with respect to the Class B Notes is greater than or equal to 62.0%.

"Class B Scenario Default Rate": As of any date of determination, an estimate of the cumulative default rate for the Current Portfolio consistent with an S&P Rating of "A" on the Class B Notes, determined by the application of the S&P CDO Monitor at such time.

"Class C Break-Even Default Rate": As of any date of determination, the maximum percentage of defaults which the Current Portfolio can sustain at any time, as determined by S&P through the application of the relevant S&P CDO Monitor for the then-applicable Weighted Average Spread of all Collateral Debt Obligations included in the Collateral, which, after giving effect to S&P's assumptions on recoveries, interest rates and timing of defaults and to the Priority of Payments specified in the Indenture, will result in sufficient funds remaining for the payment of the Class C Notes in full by their Stated Maturity Date and the ultimate payment of interest on the Class C Notes.

"Class C Collateral Coverage Tests": The Class C Interest Coverage Test and the Class C Principal Coverage Test.

"Class C Cumulative Periodic Rate Shortfall Amount": With respect to any date of determination, the sum of the Class C Periodic Rate Shortfall Amount with respect to each Payment Date preceding such date of determination, less any amount applied on preceding Payment Dates pursuant to the Priority of Payments described herein to reduce such sum.

"Class C Default Differential": As of any date of determination, the rate calculated by subtracting the Class C Scenario Default Rate at such time from the Class C Break-Even Default Rate at such time.

"Class C Interest Coverage Ratio": As of any date of determination after the Initial Payment Date, the ratio of (x) to (y), where (x) is the Interest Coverage Amount for the related Due Period in which such date of determination occurs, and where (y) is an amount equal to the sum of (1) the Periodic Interest Amount for the Class A-1 Notes for the Payment Date relating to such Due Period plus (2) the Periodic Interest Amount for the Class A-2 Notes for the Payment Date relating to such Due Period plus (3) the Periodic Interest Amount for the Class B Notes for the Payment Date relating to such Due Period plus (4) the Periodic Interest Amount for the Class C Notes for the Payment Date relating to such Due Period.

"Class C Interest Coverage Test": As of any date of determination after the Initial Payment Date, a test that is satisfied on such date of determination if the Class C Interest Coverage Ratio equals or exceeds 105.0% on such date of determination.

"Class C Notes": The U.S.$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes due October 27, 2020 and having the terms as described herein.

"Class C Periodic Rate Shortfall Amount": With respect to the Class C Notes and each Payment Date, so long as any Class A-1 Notes, Class A-2 Notes or Class B Notes remain Outstanding, any shortfall in the payment of the Periodic Interest Amount due for such Class on such Payment Date.

"Class C Principal Coverage Ratio": As of any date of determination, the ratio of (x) to (y) where (x) is the Principal Coverage Amount on such date, and where (y) is an amount equal to the sum of (1) the Aggregate Principal Amount of the Class A-1 Notes then Outstanding plus (2) the Aggregate Principal Amount of the Class A-2 Notes then Outstanding plus (3) the Aggregate Principal Amount of the Class B Notes then Outstanding plus (4) the Aggregate Principal Amount of the Class C Notes then Outstanding.

"Class C Principal Coverage Test": As of any date of determination, a test which is satisfied when the Class C Principal Coverage Ratio equals or exceeds 113.0%.

"Class C S&P Minimum Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that is satisfied if the S&P Weighted Average Recovery Rate with respect to the Class C Notes is greater than or equal to 64.9%.

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"Class C Scenario Default Rate": As of any date of determination, an estimate of the cumulative default rate for the Current Portfolio consistent with an S&P Rating of "BBB" on the Class C Notes, determined by the application of the S&P CDO Monitor at such time.

"Class D Notes": The U.S.$47,800,000 Class D Fifth Priority Junior Floating Rate Notes due October 27, 2020 and having the terms as described herein.

"Class D Reserve Account": A single, segregated securities account held in the name of the Trustee described under "Security for the Co-Issued Notes—The Class D Reserve Account".

"Class E Recovery Amount": An amount equal to 75% of the Aggregate Principal Amount of the Class E Notes Outstanding on the Closing Date.

"Class E Notes": The U.S.$31,300,000 Class E Sixth Priority Junior Notes due October 27, 2020 and having the terms as described herein.

"Class F Income Note Distribution Account": The account designated the "Class F Income Note Distribution Account" and established by the Class F Income Note Issuing and Paying Agent in the name of the Class F Income Note Issuing and Paying Agent for the benefit of the Class F Income Noteholders pursuant to the Class F Income Note Issuing and Paying Agency Agreement.

"Class F Income Note Issuing and Paying Agency Agreement": The Class F Income Note Issuing and Paying Agency Agreement, to be dated as of the Closing Date, between the Issuer and the Class F Income Note Issuing and Paying Agent, pursuant to which the Class F Income Notes will be issued, as it may be amended or supplemented from time to time pursuant to the applicable provisions thereof.

"Class F Income Note Issuing and Paying Agent": LaSalle Bank National Association, a national banking association, unless a successor Person will have become the Class F Income Note Issuing and Paying Agent pursuant to the applicable provisions of the Class F Income Note Issuing and Paying Agency Agreement, and thereafter "Class F Income Note Issuing and Paying Agent" will mean such successor Person.

"Class F Income Note Register": The register maintained by the Class F Income Note Registrar on behalf of the Issuer under the Class F Income Note Issuing and Paying Agency Agreement.

"Class F Income Note Registrar": LaSalle Bank National Association, in its capacity as the registrar and transfer agent with respect to the Class F Income Notes.

"Class F Income Noteholder": With respect to any Class F Income Note, the Person in whose name such Class F Income Note is registered in the Class F Income Note Register.

"Class F Income Notes": The U.S.$4,000,000 Class F Income Notes due October 27, 2020 and having the terms as described herein and in the Class F Income Note Issuing and Paying Agency Agreement.

"Clearstream": Clearstream Banking, société anonyme, a corporation organized under the laws of the Grand Duchy of Luxembourg.

"Closing Date": April 29, 2008.

"Code": The U.S. Internal Revenue Code of 1986, as amended.

"Co-Issuer": Hudson Canyon Funding II, Inc., a Delaware corporation, and its permitted successors and assigns.

"Co-Issuers": The Issuer and the Co-Issuer, collectively.

"Collateral": All of the property of the Issuer (other than the Class D Reserve Account, the Hudson Canyon Distribution Account, the Class F Income Note Distribution Account, and approximately U.S.$500 held in its Cayman Islands bank account), including the sole membership interests in the Subsidiary Holding Companies, Collateral Debt Obligations that the Issuer holds directly, the Collateral Debt Obligations, any Equity Security, any Exchanged Equity Security, the Collection Account, the Custodial Account, the Synthetic Letter of Credit Reserve

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Account, the Interest Reserve Account, the Loan Funding Account, the Payment Account, the Synthetic Security Collateral Account (subject to the prior rights of each Synthetic Security Counterparty therein), the Synthetic Security Issuer Account, any Hedge Agreement, the Expense Account, the Eligible Investments, the Issuer's rights under the Collateral Management Agreement, any Hedge Counterparty Collateral Account, the Collateral Administration Agreement, the Class F Income Note Issuing and Paying Agency Agreement, the Sale and Purchase Agreement and the Subsidiary Guarantee and all other property, in each case, pledged by the Issuer under the Indenture or by the Subsidiary Holding Companies under the Subsidiary Pledge Agreements to secure their respective obligations under the Subsidiary Guarantee (other than obligations with respect to payments by the Issuer to the Holders of the Class D Notes, the Class E Notes and the Class F Income Notes).

"Collateral Administration Agreement": The Collateral Administration Agreement, to be dated as of the Closing Date, by and between the Issuer, the Collateral Administrator and the Collateral Manager.

"Collateral Administrator": LaSalle Bank National Association, a national banking association, acting as collateral administrator until a successor Person will have become Collateral Administrator pursuant to the provisions of the Collateral Administration Agreement and, thereafter, "Collateral Administrator" will mean such successor Person.

"Collateral Coverage Tests": The Class A Collateral Coverage Tests, the Class B Collateral Coverage Test and the Class C Collateral Coverage Test.

"Collateral Interest Collections": With respect to any Payment Date, the sum (without duplication) of (i) all payments of interest (excluding the Available Hudson Canyon Distribution Amount, any Reserved Fee Income Amounts deposited in the Synthetic Letter of Credit Reserve Account and the aggregate amount of interest received in cash on any Defaulted Obligation (during the period of time when such Collateral Debt Obligation constitutes a Defaulted Obligation) to the extent such payment of interest and other payments received on such Defaulted Obligation does not exceed the Principal Balance of such Defaulted Obligation) in respect of any Collateral Debt Obligation in the Collateral and any Synthetic Security Collateral which is received by the Issuer during the related Due Period (including any Sale Proceeds representing accrued interest (other than the Available Hudson Canyon Distribution Amount) on a Collateral Debt Obligation after the date of purchase), in each case, excluding payments of interest or Sale Proceeds representing accrued interest on a Collateral Debt Obligation or Synthetic Security Collateral treated as Collateral Principal Collections pursuant to the definition thereof, (ii) the Reinvestment Income, if any, on amounts deposited in the Collection Account which is received by the Issuer during the related Due Period, (iii) all consent payments, amendment and waiver fees, all late payment fees, all commitment fees (including commitment fees received on Unfunded Commitments) and all other fees and commissions received by the Issuer during the related Due Period (other than fees and commissions received during the related Due Period in connection with the purchase of Collateral Debt Obligations and fees and commissions received during the related Due Period with respect to a Defaulted Obligation (during the period of time when such Collateral Debt Obligation constitutes a Defaulted Obligation) to the extent such fees and commissions and other payments received on such Defaulted Obligation do not exceed the Principal Balance of such Defaulted Obligation), (iv) any amounts released from the Synthetic Letter of Credit Reserve Account to the Collection Account as described under "Security for the Co-Issued Notes—Synthetic Letter of Credit Reserve Account", (v) all amounts on deposit in the Interest Reserve Account that are transferred to the Payment Account for application as Collateral Interest Collections as described under "Security for the Co-Issued Notes—Interest Reserve Account" (vi) all accumulated investment earnings on deposit in the Class D Reserve Account that are transferred to the Interest Collection Account for application as Collateral Interest Collections as described in "Security for the Co-Issued Notes—Class D Reserve Account", (vii) the Balance of all Eligible Investments purchased with any of the foregoing; provided that, for purposes of the foregoing, amounts received by the Subsidiary Holding Companies shall be deemed to be "Collateral Interest Collections" if such amounts would fall within the above definition had they been received by the Issuer directly and (viii) all payments received in cash by the Issuer pursuant to any Hedge Agreement on or prior to such Payment Date (excluding any payments received by the Issuer on or prior to the preceding Payment Date or payments resulting from the termination and liquidation of any Hedge Agreement other than any scheduled payment under such Hedge Agreement which accrued prior to such termination) less any scheduled amounts payable by the Issuer under any Hedge Agreement on or prior to the Payment Date (excluding any payments made by the Issuer on or prior to the preceding Payment Date).

"Collateral Manager": Invesco Senior Secured Management, Inc., in its capacity as Collateral Manager under the Collateral Management Agreement, until a successor Person will become Collateral Manager pursuant to

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the provisions of the Collateral Management Agreement, and, thereafter, the "Collateral Manager" will mean such successor Person.

"Collateral Management Agreement": The Collateral Management Agreement, to be dated as of the Closing Date, between the Issuer and the Collateral Manager and, if from time to time amended as permitted therein and in the Indenture, as so amended.

"Collateral Management Fee": The Senior Collateral Management Fee, the Subordinated Collateral Management Fee and the Incentive Collateral Management Fee, collectively.

"Collateral Principal Collections": With respect to any Payment Date, the sum (without duplication) of (i) all payments of principal of (including Unscheduled Principal Payments), and all Sale Proceeds with respect to, any Collateral Debt Obligation in the Collateral (other than a Defaulted Obligation) and any Synthetic Security Collateral if the related Synthetic Security has terminated and the Issuer has no further payment obligations thereunder (including Sale Proceeds representing purchased accrued interest or other delayed compensation that the purchaser of a Collateral Debt Obligation or Synthetic Security Collateral was entitled to prior to the effectiveness of such purchase), and including any prepayments, call premiums and any payments received pursuant to an issuer tender, exchange, consent or similar solicitation) which are received by the Issuer during the applicable Due Period other than Sale Proceeds deposited in the Principal Collection Account during the Reinvestment Period, (ii) all payments on, all proceeds of and any Realized Gains received by the Issuer during the related Due Period with respect to the sale of any warrant or Equity Security attached to a Collateral Debt Obligation, (iii) any fees and commissions received by the Issuer during the related Due Period in connection with the purchase of a Collateral Debt Obligation, (iv) all amounts paid on, or otherwise received by the Issuer with respect to, a Defaulted Obligation (during the period of time when such Collateral Debt Obligation constitutes a Defaulted Obligation) to the extent that the sum of all amounts received on such Defaulted Obligation does not exceed the Principal Balance of such Defaulted Obligation, (v) all amounts transferred to the Collection Account from the Expense Account during the applicable Due Period, (vi) any amounts received by the Issuer during the applicable Due Period with respect to Loans, Participations, Equity Securities and Exchanged Equity Securities that a Subsidiary Holding Company committed to sell prior to the Closing Date, (vii) amounts deposited in the Principal Collection Account as described in "Security for the Co-Issued Notes—Collection Account" during the relevant Due Period, (viii) all amounts on deposit in the Class D Reserve Account that are transferred to the Collection Account for application as Collateral Principal Collections as described in "Security for the Co-Issued Notes—Expense Account", (ix) proceeds from the termination, replacement, partial reduction or liquidation of any Hedge Agreement, to the extent such proceeds exceed costs of any replacement Hedge Agreement, received during the related Due Period; (x) all payments of interest received in cash by the Issuer during such Due Period to the extent that such payments represent distributions of purchased accrued interest (to the extent purchased with principal and treating the proceeds of the offering of the Notes as principal) and (xi) any other payments received with respect to the Collateral not included in Collateral Interest Collections, including payments of principal of Eligible Investments purchased with the proceeds of items (i) – (x) above; provided that, for purposes of the foregoing, amounts received by the Subsidiary Holding Companies shall be deemed to be "Collateral Principal Collections" if such amounts would fall within the above definition had they been received by the Issuer directly. For the avoidance of doubt, trading gains will be treated as Collateral Principal Collections.

"Collateral Quality Measures": Any of the Average Debt Rating, the Weighted Average Life, the Total Diversity Score, the Moody's Minimum Weighted Average Recovery Rate, the Class A-1 S&P Minimum Weighted Average Recovery Rate, the Class A-2 S&P Minimum Weighted Average Recovery Rate, the Class B S&P Minimum Weighted Average Recovery Rate, the Class C S&P Minimum Weighted Average Recovery Rate, the Weighted Average Spread, the Class A-1 Scenario Default Rate, the Class A-2 Scenario Default Rate, the Class B Scenario Default Rate and the Class C Scenario Default Rate.

"Collateral Quality Tests": Any of the Average Debt Rating Test, the Weighted Average Life Test, the Diversity Test, the Moody's Minimum Weighted Average Recovery Rate Test, the S&P Minimum Weighted Average Recovery Rate Test, the S&P CDO Monitor Test and the Weighted Average Spread Test.

"Collection Account": Collectively, the Interest Collection Account and the Principal Collection Account.

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"Collections": With respect to any Payment Date, the sum of (i) the Collateral Interest Collections collected during the related Due Period, and (ii) the Collateral Principal Collections collected during the related Due Period.

"Corporate Trust Office": The corporate trust office of the Trustee currently located at 540 West Madison Street, Suite 2500, Chicago, Illinois 60661, Attention: CDO Trust Services Group - Hudson Canyon Funding II, Ltd., or at such other address as provided in the Indenture or as the Trustee may designate from time to time by notice to the Noteholders, the Collateral Manager and the Issuer or the principal corporate trust office of any successor Trustee.

"Covenant-Lite Loan": A Loan for which the related Underlying Instruments (i) do not contain any financial covenants or (ii) provide that the borrower shall comply only with Incurrence Covenants and do not include Maintenance Covenants.

"Credit Event": With respect to any Synthetic Security, the meaning set forth in the related Swap and Security Documents.

"Credit Improved Obligation": Any Collateral Debt Obligation in the Collateral that in the Collateral Manager's reasonable judgment has improved in credit quality; provided that (a)(i) if the rating of the Class A-1 Notes or Class A-2 Notes has been reduced by Moody's by one or more rating subcategories from that in effect on the Closing Date or withdrawn by Moody's (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date), (ii) if the rating of the Class B Notes or the Class C Notes has been reduced by Moody's by two or more rating subcategories from that in effect on the Closing Date or withdrawn by Moody's (unless it subsequently has been reinstated or upgraded to at least one rating subcategory below the rating assigned on the Closing Date) or (iii) if an Event of Default shall have occurred and be continuing, then such Collateral Debt Obligation will be considered a Credit Improved Obligation only if in the Collateral Manager's reasonable judgment such Collateral Debt Obligation has improved in credit quality then either (x) it has been upgraded by at least one rating subcategory by Moody's or S&P since it formed part of the Collateral or has been placed on and is remaining, as of the date of the proposed sale thereof, on a watchlist for possible upgrade by Moody's or S&P or (y) the spread over the applicable reference rate for such Collateral Debt Obligation has been decreased since it formed part of the Collateral by (A) 0.25% or more (in the case of a Loan with a spread (prior to such decrease) less than or equal to 2.00%), (B) 0.375% or more (in the case of a Loan with a spread (prior to such decrease) greater than 2.00% but less than or equal to 4.00%) or (C) 0.50% or more (in the case of a Loan with a spread (prior to such decrease) greater than 4.00%) due, in each case, to an improvement in the related borrower's financial ratios or financial results in accordance with the Underlying Instrument and (b) a Synthetic Security will be considered a Credit Improved Obligation if the related Reference Obligation is a Credit Improved Obligation.

"Credit Risk Obligation": Any Collateral Debt Obligation in the Collateral that, in the Collateral Manager's reasonable judgment, has a significant risk of declining in credit quality or, with a lapse of time, becoming a Defaulted Obligation; provided that (a)(i) if the rating of the Class A-1 Notes or the Class A-2 Notes has been reduced by Moody's by one or more rating subcategories from that in effect on the Closing Date or withdrawn by Moody's (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date), (ii) if the rating of the Class B Notes or the Class C Notes has been reduced by Moody's by two or more rating subcategories from that in effect on the Closing Date or withdrawn by Moody's (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below the rating assigned on the Closing Date) or (iii) if an Event of Default shall have occurred and be continuing, then such Collateral Debt Obligation will be considered a Credit Risk Obligation only if in the Collateral Manager's reasonable judgment, such Collateral Debt Obligation has a significant risk of declining in credit quality or, with a lapse of time, becoming a Defaulted Obligation then either (x) such Collateral Debt Obligation has been downgraded by either Moody's or S&P by one or more rating subcategories since it formed part of the Collateral or has been placed on and is remaining, as of the date of the proposed sale thereof, on a watchlist for possible downgrade by Moody's or S&P since it formed part of the Collateral or (y) the spread over the applicable reference rate for such Collateral Debt Obligation has been increased since it formed part of the Collateral by (A) 0.25% or more (in the case of a Loan with a spread (prior to such increase) less than or equal to 2.00%), (B) 0.375% or more (in the case of a Loan with a spread (prior to such increase) greater than 2.00% but less than or equal to 4.00%) or (C) 0.50% or more (in the case of a Loan with a spread (prior to such increase) greater than 4.00%) due, in each case, to a deterioration in the related borrower's

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financial ratios or financial results in accordance with the Underlying Instrument and (b) a Synthetic Security will be considered a Credit Risk Obligation if the related Reference Obligation is a Credit Risk Obligation.

"Cumulative Periodic Rate Shortfall Amount": Collectively, the Class B Cumulative Periodic Rate Shortfall Amount and the Class C Cumulative Periodic Rate Shortfall Amount or individually, as the context requires.

"Current Pay Security": A Collateral Debt Obligation in the Collateral that would otherwise be classified as a Defaulted Obligation (other than a DIP Loan) (i) as to which a bankruptcy, insolvency or receivership proceeding has not been instituted with respect to the issuer or obligor thereof, there are no outstanding amounts which are due and payable and remain unpaid pursuant to the Underlying Instruments, (ii) with respect to which the Collateral Manager has certified to the Trustee in writing that, in the Collateral Manager's reasonable judgment, the issuer or obligor of such Collateral Debt Obligation will continue to make scheduled payments of interest in cash, (iii) that has a Market Value (determined without giving effect to clause (iii) of the definition thereof) equal to or exceeding 80.0% of the Principal Balance thereof, or if such Collateral Debt Obligation has a Moody's Rating equal to "Caa2" or below, such Collateral Debt Obligation has a Market Value (determined without giving effect to clause (iii) of the definition thereof) equal to or exceeding 85.0% of the Principal Balance thereof and (iv) if a bankruptcy, insolvency or receivership proceeding has been instituted with respect to the issuer or obligor thereof, the issuer or obligor thereof is current on all scheduled payments on such Collateral Debt Obligation authorized by the court; provided that, to the extent the Aggregate Principal Amount of Current Pay Securities exceeds 5.0% of the Aggregate Collateral Balance at any time, such excess over 5.0% will be deemed to constitute Defaulted Obligations, it being understood and agreed that for purposes of determining the Current Pay Securities (or a portion of a Current Pay Security) comprising such excess, the Current Pay Securities (or portion of a Current Pay Security) with the lowest Market Value will be deemed to comprise such excess.

"Current Portfolio": As of any date of determination, the portfolio of Collateral Debt Obligations in the Collateral immediately prior to the sale, maturity or other disposition of a Collateral Debt Obligation or immediately prior to the acquisition of a Collateral Debt Obligation on such date, as the case may be.

"Custodial Account": The account or accounts established with a custodian specified under the Indenture in the name of the Trustee to which all Collateral Debt Obligations included in the Collateral at any time will be credited. Any cash credited to the Custodial Account will be invested in Eligible Investments.

"Deemed Floating Asset Hedge Agreement": Any agreement, in the form of an interest rate swap or similar agreement, between the Issuer and a Hedge Counterparty that is entered into by the Issuer in connection with the purchase or holding of a Fixed Rate Collateral Debt Obligation, and that entitles the Issuer to receive from the related Hedge Counterparty payments based on the 3-month London interbank offered rate or similar rate in the case of an obligation on which interest payments are made quarterly, or the 6-month London interbank offered rate or similar rate in the case of an obligation on which interest payments are made semi-annually, in each case at prevailing market rates, as determined by the Collateral Manager at the date of execution of such agreement. In addition to the foregoing, each Deemed Floating Asset Hedge Agreement will be subject to the following conditions:

(a) the notional balance of each Deemed Floating Asset Hedge Agreement shall be equal to the principal balance of the Fixed Rate Collateral Debt Obligation to which it is related;

(b) each Deemed Floating Asset Hedge Agreement will amortize according to the same schedule as, and terminate on the maturity date of, the Fixed Rate Collateral Debt Obligation to which it is related;

(c) the payment dates of the Deemed Floating Asset Hedge Agreement must match the payment dates of either the Fixed Rate Collateral Debt Obligation to which it is related or the Payment Dates for the Notes;

(d) if the Collateral Debt Obligation related to a Deemed Floating Asset Hedge Agreement (i) is a Defaulted Obligation, or (ii) is sold by the Issuer, such Deemed Floating Asset Hedge Agreement shall be terminated; provided that (A) if any unscheduled net amount is payable by the Issuer to the Hedge Counterparty solely as a result of the early termination of such Deemed Floating Asset Hedge Agreement, and (B) such early termination is not caused by (i) an event of default under such Deemed Floating Asset Hedge Agreement for which

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the Hedge Counterparty is the defaulting party, or (ii) a termination event under such Deemed Floating Asset Hedge Agreement for which the Hedge Counterparty is an affected party), any such unscheduled amount payable by the Issuer to the Hedge Counterparty may be paid as described in clause (1) of "Description of the Notes—Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date", clause (iii) under "Description of the Notes—Priority of Payments—Distributions with Collateral Principal Collections", clause (i) under "Description of the Notes—Priority of Payments—Distributions with Collateral Principal Collections" or clause (1) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption", as applicable, only if the Issuer shall have satisfied the Moody’s Rating Condition in connection with such termination;

(e) if the Collateral Debt Obligation related to such Deemed Floating Asset Hedge Agreement is not a Defaulted Obligation and such Collateral Debt Obligation is called or prepaid, such Deemed Floating Asset Hedge Agreement shall be terminated; provided that (A) if any unscheduled net amount is payable by the Issuer to the Hedge Counterparty solely as a result of the early termination of such Deemed Floating Asset Hedge Agreement, and (B) such early termination is not caused by (i) an event of default under such Deemed Floating Asset Hedge Agreement for which the Hedge Counterparty is the defaulting party, or (ii) a termination event under such Deemed Floating Asset Hedge Agreement for which the Hedge Counterparty is an affected party, (1) any such unscheduled amount payable by the Issuer to the Hedge Counterparty will first be paid from any call, redemption and prepayment premiums received from such Collateral Obligation, and (2) any remaining amount payable by the Issuer to the Hedge Counterparty may be paid as described in clause (1) of "Description of the Notes—Application of Available Funds upon Acceleration of Maturity or on the Stated Maturity Date", clause (iii) under "Description of the Notes—Priority of Payments—Distributions with Collateral Principal Collections", clause (i) under "Description of the Notes—Priority of Payments—Distributions with Collateral Principal Collections" or clause (1) under "Description of the Notes—Priority of Payments—Application of Available Funds upon Optional Redemption", as applicable, only if the Moody’s Rating Confirmation is satisfied in connection with such termination;

(f) each Deemed Floating Asset Hedge Agreement will contain appropriate limited recourse and non-petition provisions equivalent (mutatis mutandis) to those contained in the Indenture;

(g) no upfront payments shall be due by the Issuer or the Hedge Counterparty; and

(h) the maturity date is no later than the Stated Maturity Date.

If the requirements of clause (d) or (e) above are not satisfied with respect to any unscheduled amount payable by the Issuer to the Hedge Counterparty, such unscheduled amount will be paid as a Subordinated Hedge Termination Payment.

"Deemed Floating Rate Collateral Debt Obligation": A Fixed Rate Collateral Debt Obligation the interest rate of which is hedged into a Floating Rate Collateral Debt Obligation using a Deemed Floating Asset Hedge Agreement.

"Deep Discount Security": Any Collateral Debt Obligation forming part of the Collateral which was purchased for less than (a) 85.0% of its Principal Balance, if such Collateral Debt Obligation has a Moody's Obligation Rating lower than "B3", or (b) 80.0% of its Principal Balance, if such Collateral Debt Obligation has a Moody's Obligation Rating of "B3"or higher; provided that (x) such Collateral Debt Obligation will not continue to be treated as a Deep Discount Security if such Collateral Debt Obligation's Market Value (or, in the case of a Synthetic Security, the Market Value of the underlying Reference Obligation) at any time equals or exceeds 90.0% of its Principal Balance for 30 consecutive Business Days, (y) a Replacement Deep Discount Security will not constitute a Deep Discount Security and (z) if the Reference Obligation with respect to a Synthetic Security would be a Deep Discount Security, then the Synthetic Security shall be a Deep Discount Security.

"Default": Any event or condition the occurrence or existence of which would, with the giving of notice or passage of time or both, become an Event of Default.

"Defaulted Interest": Any interest due and payable in respect of any Class A-1 Note or Class A-2 Note (and at any time when no Class A Notes remain Outstanding, the Class B Notes, and at any time when no Class B Notes remain Outstanding, the Class C Notes) which is not punctually paid or duly provided for in accordance with the Priority of Payments on the applicable Payment Date or on the Stated Maturity Date.

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"Defaulted Obligation": Any asset or security shall constitute a "Defaulted Obligation" if (a) a default as to the payment of principal and/or interest by the obligor thereon has occurred and is continuing (without regard to any waiver thereof or grace period applicable thereto) with respect to such Collateral Debt Obligation; provided that a payment default of up to five Business Days with respect to which, the Collateral Manager certifies in writing to the Trustee, in its reasonable judgment, is due to non-credit related reasons shall not cause a Collateral Debt Obligation to constitute a Defaulted Obligation under this clause (a), (b) a default (other than a payment default) has occurred and is continuing with respect to such Collateral Debt Obligation which in the reasonable judgment of the Collateral Manager will likely result in a default as to the payment of principal and/or interest on such Collateral Debt Obligation, (c) it has (or the related Selling Institution has) an S&P Rating of "SD" or "D" by S&P (or had such S&P Rating before the rating was withdrawn by S&P) or (without regard to any requirement that such rating be increased or decreased in accordance with the requirements set forth in the definition of "Moody's Default Probability Rating") a Moody's default probability rating of "D" or below (or had such Moody's default probability rating before the rating was withdrawn by Moody's), (d) an act of insolvency or bankruptcy with respect to the obligor of such Collateral Debt Obligation has occurred and is continuing; provided, however, that neither a Current Pay Security nor a DIP Loan will constitute a Defaulted Obligation under this clause (d) notwithstanding such insolvency or bankruptcy (except, with respect to a Current Pay Security, to the extent it is deemed to constitute a Defaulted Obligation pursuant to the proviso in the definition of "Current Pay Security"), (e) a default as to the payment of the principal and/or interest has occurred and is continuing on another obligation of the same obligor which is senior or pari passu in right of payment to such Collateral Debt Obligation, (f) there has been proposed or effected any distressed exchange or other debt restructuring where the obligor of such Collateral Debt Obligation has offered the holders thereof a new security or package of securities that, in the reasonable judgment of the Collateral Manager, either (x) amounts to a diminished financial obligation or (y) has the sole purpose of enabling the obligor to avoid a default, (g) such Collateral Debt Obligation is a participation interest in a loan or other debt security that would, if such loan or other debt security were a Collateral Debt Obligation, constitute a "Defaulted Obligation" under any of the foregoing clauses (a) through (f) or as to which the related Selling Institution is in default of its obligations under such participation interest, (h) such Collateral Debt Obligation is a Synthetic Security and (w) the underlying Reference Obligation would constitute a "Defaulted Obligation" under any clause of this definition if it were owned directly by the Issuer (determined treating the obligor on such Reference Obligation as the obligor on such Defaulted Obligation), (x) such Synthetic Security itself constitutes a "Defaulted Obligation" under any clause of this definition (determined treating the related Synthetic Security Counterparty as the obligor on such Collateral Debt Obligation), (y) such Synthetic Security is a Synthetic Security as to which one or more "credit events" have occurred or (z) any payment default by the Synthetic Security Counterparty has occurred or (i) such asset is delivered to the Issuer under a Synthetic Security but is not a "Deliverable Obligation" or is released from the lien of a Synthetic Security Counterparty but is not "Synthetic Security Collateral"; provided that, in each case, such obligation will only constitute a "Defaulted Obligation" until such default or event of default has been cured or the relevant circumstances no longer exist and such obligation satisfies the criteria for inclusion of obligations in the Collateral described in the definition of "Collateral Debt Obligation" or "Eligible Investment" as applicable to such obligation. Notwithstanding the foregoing definition, the Collateral Manager may declare any Collateral Debt Obligation to be a Defaulted Obligation if, in the Collateral Manager's reasonable judgment, the credit quality of the obligor of such Collateral Debt Obligation has significantly deteriorated such that there is a likelihood of payment default.

"Defaulted Obligation Amount": With respect to each Defaulted Obligation in the Collateral as of any date of determination, the lesser of (1) the Market Value of such Defaulted Obligation, as determined by the Collateral Manager as of such date of determination and (2) the product of (x) the lesser of (i) the Moody's Recovery Rate for such Defaulted Obligation and (ii) the S&P Recovery Rate for such Defaulted Obligation set forth in the column corresponding to the rating by S&P of the highest rated tranche of Notes then rated by S&P and (y) the Principal Balance of such Defaulted Obligation as of such date of determination.

"Delayed Funding Loans": Loans which require one or more future advances to be made to the borrower but which, once all such advances have been made, have the characteristics of a term Loan; provided that such Loans will no longer be considered a Delayed Funding Loan once all such advances have been made.

"Deliverable Obligation": A debt obligation that may be or is delivered to the Issuer upon the occurrence of a Credit Event under a Synthetic Security that would satisfy clauses (a), (b) (except it may be a Credit Risk

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Obligation or Defaulted Obligation that is not described in clause (i) of the definition of "Defaulted Obligation"), (c) and (e) through (bb) in the definition of "Collateral Debt Obligation".

"DIP Loan": Any interest in a loan or financing facility explicitly rated by Moody's or S&P (including any estimated rating by Moody's or S&P) that is acquired directly by way of assignment (i) which is an obligation of a debtor in possession as described in § 1107 of the Bankruptcy Law or a trustee (if appointment of such trustee has been ordered pursuant to § 1104 of the Bankruptcy Law) (a "Debtor") organized under the laws of the United States or any state therein and (ii) the terms of which have been approved by an order of a United States Bankruptcy Court, a United States District Court or any other court of competent jurisdiction, the enforceability of which order is not subject to any pending contested matter or proceeding (as such terms are defined in the Federal Rules of Bankruptcy Procedure) and which order provides that: (a) such DIP Loan is secured by liens on the Debtor's otherwise unencumbered assets pursuant to § 364(c)(2) of the Bankruptcy Law; or (b) such DIP Loan is secured by liens of equal or senior priority on property of the Debtor's estate that is otherwise subject to a lien pursuant to § 364(d) of the Bankruptcy Law; or (c) such DIP Loan is secured by junior liens on the Debtor's encumbered assets (so long as such DIP Loan is fully secured based upon a current valuation or appraisal report); or (d) if the DIP Loan or any portion thereof is unsecured, the repayment of such DIP Loan retains priority over all other administrative expenses pursuant to § 364(c)(1) of the Bankruptcy Law; provided, however, that, in the case of clause (d), prior to the acquisition of any such DIP Loan, the Issuer (or the Collateral Manager on behalf of the Issuer) will have received confirmation in writing from each Rating Agency that no immediate qualification, reduction, suspension or withdrawal with respect to the then-current rating by such Rating Agency of any Class of Co-Issued Notes will occur as a result of the acquisition of such DIP Loan. Any notices of restructurings and amendments received by the Issuer, a Subsidiary Holding Company or the Trustee in connection with the Issuer's or a Subsidiary Holding Company's ownership of a DIP Loan will be delivered promptly to the Rating Agencies and the Collateral Manager.

"Discretionary Sale": A sale during the Reinvestment Period of a Collateral Debt Obligation other than (i) a Defaulted Obligation or Equity Security, (ii) a Credit Risk Obligation, (iii) a Credit Improved Obligation or (iv) a Collateral Debt Obligation in respect of which a Tax Event has occurred or (v) a sale in connection with a Redemption Date, in respect of which the following conditions are satisfied: (a) no Event of Default has occurred and is continuing; (b) Moody's has not withdrawn its rating of any Class of Co-Issued Notes and the Class A-1 Notes and the Class A-2 Notes are not rated more than one subcategory below and the Class B Notes and the Class C Notes are not rated more than two subcategories below, the respective ratings assigned to each Class of Notes by Moody's on the Closing Date and (c) per annum, the aggregate Principal Balance of all such Collateral Debt Obligations sold as Discretionary Sales does not exceed 30% of the Aggregate Collateral Balance as of the beginning of such period. Any Collateral Debt Obligation that a Subsidiary Holding Company commits to sell prior to the Closing Date with a settlement date on or after the Closing Date shall not be considered for the purpose of calculating the Discretionary Sale percentage.

"Diversity Test": On any date of determination on or after the Effective Date, a test that will be satisfied if the Total Diversity Score of the Collateral Debt Obligations in the Collateral equals or exceeds the number set forth in the column entitled "Minimum Diversity Score" in the Moody's Matrix corresponding to the case chosen by the Collateral Manager as currently applicable to the Collateral Debt Obligations in the Collateral, of if the chosen Minimum Weighted Average Spread falls between rows, interpolation shall be taken between two adjacent rows on a straight-line basis, with the results being rounded down to the nearest whole number.

"DTC": The Depository Trust Company, its nominees and their respective successors.

"Due Date": Each date on which a distribution is due on a Pledged Obligation or any Synthetic Security Collateral, as applicable.

"Due Period": With respect to any Payment Date, the period beginning on the day following the last day of the immediately preceding Due Period (or, in the case of the Due Period that is applicable to the Initial Payment Date, beginning on the Closing Date) and ending at the close of business on the seventh Business Day prior to the related Payment Date (or, for the last Due Period, ending at the close of business on the Final Maturity Date). Amounts that would otherwise have been payable in respect of a Collateral Debt Obligation on the last day of a Due Period, but for such day not being a designated business day in the related Underlying Instruments of such Collateral Debt Obligation, shall be considered included in collections received during such Due Period as long as such proceeds are received on the Business Day following the last day of such Due Period.

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"Effective Date": The earlier of: (i) the date occurring 90 days after the Closing Date; and (ii) the date, as determined by the Collateral Manager in its sole discretion, on which the Aggregate Principal Amount of all Collateral Debt Obligations (other than Collateral Debt Obligations referred to in clauses (x) and (y)) included in the Collateral plus (w) the outstanding principal balance of any obligations the Issuer has committed to purchase (other than Collateral Debt Obligations referred to in clauses (x) and (y)) as of the date of determination plus (x) the purchase price of any Collateral Debt Obligation (expressed as a percentage of the par amount) with a Moody’s Rating of below "B2" at the time of acquisition (or commitment to acquire) and purchased (or committed to purchase) for less than 70% of the outstanding principal balance which the Issuer has purchased or committed to purchase multiplied by the par amount of such Collateral Debt Obligations plus (y) 50% of the par amount of the Collateral Debt Obligation with LoanX ID LX072352 ("Select Remedy 2nd Lien") (excluding any amounts representing accrued and unpaid interest) plus (z) any Collateral Principal Collections received by the Issuer since the Closing Date representing any prepayment or repayment on, or Sale Proceeds of (such Sale Proceeds subject to a maximum of U.S.$12,000,000), Collateral Debt Obligations previously included in the Collateral that have not been subsequently reinvested in other Collateral Debt Obligations included in the Collateral is greater than or equal to U.S.$407,500,000.

"Effective Date Failure": As defined under "Risk Factors—Effective Date; Confirmation of Ratings".

"Eligible Investment": Any U.S. dollar-denominated investment (excluding investments and funds which are Affiliated with the Collateral Manager or one of its Affiliates or for which the Collateral Manager or one of its Affiliates provides services) that, at the time it is acquired by or delivered to the Trustee under the Indenture, is one or more of the following obligations or securities:

(a) cash;

(b) direct Registered obligations of, and Registered obligations the timely payment of principal of and interest on which is fully and expressly guaranteed by, the United States of America or any agency or instrumentality of the United States of America the obligations of which are backed by the full faith and credit of the United States of America;

(c) demand and time deposits in, and certificates of deposit of, bankers acceptances due and payable within 183 days of issuance issued by, or federal funds sold by, any depository institution or trust company, including the Trustee, incorporated under the laws of the United States of America or any state thereof and subject to supervision and examination by federal and/or state banking authorities so long as the commercial paper and/or other 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 credit rating of "Aa2" or higher by Moody's and a credit rating of "AA" or higher by S&P, in the case of long-term debt obligations, or a credit rating of "P-1" by Moody's and a credit rating of at least "A-1" by S&P, in the case of commercial paper and other short-term debt obligations having a maturity date within 60 days of acquisition; provided that, if such commercial paper and/or other debt obligation has a maturity of longer than 91 days, the issuer of such commercial paper and/or other debt obligation must have both a "P-1" and at least "A-1" short term rating and at least an "Aa3" (and not be on negative credit watch) and "AA-" long term rating by Moody's and S&P, respectively;

(d) Registered debt securities (other than mortgage-backed securities or other structured finance securities) bearing interest or sold at a discount issued by any U.S. corporation incorporated under the laws of the United States of America or any State thereof that have a credit rating of "Aa2" or higher by Moody's and a credit rating of "AA" or higher by S&P at the time of such investment or the contractual commitment providing for such investment;

(e) unleveraged repurchase obligations with respect to (i) any security described in clause (b) above, (ii) any other Registered security issued or guaranteed by an agency or instrumentality of the United States of America (in each case without regard to the stated maturity date of such security) or (iii) any Registered security issued or guaranteed by an agency or instrumentality of a country that is a member of the Organization for Economic Co-Operation and Development (other than the Republic of

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Turkey) that has a sovereign rating of at least "AA", in each case entered into with a U.S. federal or state depository institution or trust company (acting as principal) described in clause (c) above or entered into with a corporation (acting as principal) whose short term debt has a credit rating of "P 1" by Moody's and a credit rating of at least "A-1" by S&P at the time of such investment in the case of any repurchase obligation for a security having a maturity not more than 91 days from the date of its issuance or whose long term debt has a credit rating of "Aa2" or higher by Moody's and a credit rating of "AA" or higher by S&P at the time of such investment, provided that no such repurchase obligation may extend for a term in excess of 183 days;

(f) commercial paper (other than extendable commercial paper and asset-backed commercial paper) or other short term obligations payable within 183 days of issuance and having at the time of such investment a credit rating of "P-1" by Moody's and a credit rating of at least "A-1" by S&P, provided that if such security has a maturity of more than 91 days from their date of acquisition and issuance and the issuer thereof has, at the time of such investment, a long-term credit rating of "Aaa" by Moody's and "AAA" by S&P;

(g) interests in money market funds having, at the time of such investment, a money market credit rating of not less than "Aaa" and "MR1+" (and not be on a negative credit watch) by Moody's and a credit rating of not less than "AAAm" or "AAAmg" by S&P, including any fund for which the Collateral Manager or an affiliate thereof serves as an investment advisor, administrator, shareholder servicing agent, custodian or subcustodian, notwithstanding that (A) the Collateral Manager or an affiliate thereof charges and collects fees and expenses from such funds for services rendered (provided that charges, fees and expenses are on terms consistent with terms negotiated at arm's length) and (B) the Collateral Manager charges and collects fees and expenses for services rendered pursuant to the Collateral Management Agreement; and

(h) any other new category of investment provided that (i) each Rating Agency has published guidance that such category qualifies as an eligible investment in CDOs and such category has not subsequently been reclassified and (ii) an S&P Rating Agency Confirmation has been received by the Issuer;

provided, however, that (i) the acquisition (including the manner of acquisition), ownership, enforcement and disposition of such investment will not cause the Issuer to be engaged in a trade or business within the United States for U.S. federal income tax purposes or be subject to tax in any jurisdiction outside the Issuer's jurisdiction of incorporation; (ii) no payments with respect to such investments or proceeds of disposition are subject to withholding tax by any jurisdiction unless the payor is required to make "gross-up" payments that cover the full amount of any such withholding tax on an after-tax basis; and (iii) no de minimis stamp taxes, registration fees or duties or similar taxes will be due and payable by the Issuer with respect to the acquisition or disposal of such investment; provided, further, that such investments shall be held until maturity and such maturity shall be no later than the earliest of (x) the Business Day prior to the next Payment Date, unless such obligations or securities are issued by the Trustee in its capacity as a banking institution, in which event such investments may mature on such Payment Date or (y) 60 days after the date on which the Issuer acquires such Eligible Investment; provided, further, that none of the foregoing obligations or securities shall constitute Eligible Investments if (i) it bears interest at a floating rate unless such floating rate is calculated as a major interest rate index (as determined by the Collateral Manager in its sole discretion) plus a fixed spread, (ii) it bears interest at a rate that is inversely proportional to an interest rate index, (iii) it is a mortgage-backed security, a security issued by a structured investment vehicle or otherwise secured by real estate, a catastrophe bond, an interest-only security or any other security whose repayment is subject to substantial non-credit related risk, in the sole judgment of the Collateral Manager, (iv) such investment is purchased at a price in excess of 100% of par, (v) such investment has a principal amount due at maturity that varies, (vi) it has a rating assigned by S&P that bears any qualifiers, including, but not limited to, the subscript "f", "p", "pi", "t", "r" or "q" or (vii) such investment is, at the time of purchase, subject to an Offer and provided, further, that Eligible Investments may include Eligible Investments for which the Trustee or an Affiliate thereof is the issuer or depository institution or otherwise provides services and charges and collects fees for such services.

"Equity Security": Any security (other than an equity interest in a Subsidiary Holding Company) that does not require periodic payments of interest at a stated coupon rate or the repayment of principal at a stated maturity

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date and any other security that does not, at the time of acquisition by the Issuer, meet the definition of "Collateral Debt Obligation".

"ERISA": The United States Employee Retirement Income Security Act of 1974, as amended.

"Euroclear": Euroclear Bank S.A./N.V., as operator of the Euroclear system.

"Event of Default": Any of the events of default set forth in the Indenture which are described under "Legal Structure—The Indenture—Events of Default".

"Exchange Act": The United States Securities Exchange Act of 1934, as amended.

"Exchanged Equity Security": Any Equity Security received by the Issuer in exchange for a Collateral Debt Obligation, Equity Security or a portion thereof in connection with an insolvency, bankruptcy, reorganization, debt restructuring or workout of the issuer thereof.

"Existing Deep-Discount Security": Each Collateral Debt Obligation identified as an Existing Deep-Discount Security in a schedule to the Indenture for so long as such Collateral Debt Obligation is owned by the Issuer (directly or indirectly through its ownership of the Subsidiary Holding Companies).

"Expected Sale Proceeds": The sum of the expected proceeds of sale (directly or by sale of participation or other disposition) of each Pledged Obligation as measured by the Market Value of such Pledged Obligation (as of the date of certification referred to below) multiplied by the applicable factor for such Pledged Obligation (as set out in the table below, without interpolation) based on the number of days that will elapse from (but not including) the date of certification by the Collateral Manager in respect of the sale of such Pledged Obligation in the manner provided in the Indenture through the date of the contemplated sale of such Pledged Obligation as measured by trade date; provided that, for any sale in which a sale agreement has been entered into and such agreement satisfies certain requirements with respect to optional redemptions and elections to redeem set forth in the Indenture, the applicable factor will be 100%.

Number of Business Days for Sale of Collateral after Certification

Collateral Type Same Day One to Two

Business Days Three to Five Business Days

Six to Fifteen Business Days

1. Cash or Eligible Investments 100% 100% 100% 100%

2. Performing Loans (1) 100% 93% 92% 88%

3. Non-Performing Loans 100% 80% 73% 60%

4. Synthetic Securities 100% (2) (2) (2)

(1) Performing Loans will include all Collateral Debt Obligations constituting Loans other than Defaulted Obligations. (2) The applicable percentage for a Synthetic Security will be 90.0% of the applicable percentage set forth in the table above for the related

Reference Obligation for the applicable number of days prior to the scheduled optional Redemption Date.

"Expense Account": A single, segregated securities account held in the name of the Trustee described under "Security for the Co-Issued Notes—The Expense Account".

"Fee Basis Amount": An amount equal for any Payment Date to the Aggregate Collateral Balance on the first day of the related Due Period.

"Final Maturity Date": With respect to any Class of Notes, the Stated Maturity Date with respect to such Class of Notes or such earlier date on which accrued but unpaid interest on, and the Aggregate Principal Amount of, such Class, is paid in full or, in the case of the Class E Notes, the Class E Recovery Amount is paid in full, including any such payment in full in connection with a Principal Prepayment as described herein under "Description of the

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Notes—Principal Prepayments", an optional redemption as described herein under "Optional Redemption" or a tax redemption as described herein under "Optional Redemption".

"Fixed Rate Collateral Debt Obligation": Any Collateral Debt Obligation other than (a) a Floating Rate Collateral Debt Obligation and (b) a Deemed Floating Rate Collateral Debt Obligation.

"Floating Rate Collateral Debt Obligation": A Collateral Debt Obligation in respect of which interest payable is calculated by reference to a floating interest rate or index.

"FRB": The Board of Governors of the Federal Reserve System.

"Global Notes": The Rule 144A Global Notes and the Regulation S Global Notes, collectively.

"Global Rating Agency Confirmation": Both an S&P Rating Agency Confirmation and a Moody's Rating Condition.

"Hedge Agreement": Any interest rate cap, interest rate swap (including fixed-floating and basis swaps), interest rate floors, asset specific hedges, timing hedges and any other interest rate protection agreement entered into by the Issuer with a Hedge Counterparty that satisfies the Hedge Counterparty Ratings Requirement, at any time on or after the Closing Date in accordance with the Indenture, including any Deemed Floating Asset Hedge Agreement which may be either (i) in the form of the documents in respect of which has satisfied the Global Rating Agency Confirmation with respect to the use thereof by the Issuer; provided that (x) if S&P or Moody's notifies the Trustee or the Collateral Manager that it has withdrawn form-approved status with respect to a particular Hedge Agreement (which withdrawal may be effected on written notice), then the Issuer shall no longer use such form of Hedge Agreement, but such withdrawal of form-approved status shall not affect the status of any Hedge Agreement entered Issuer using such form prior to the withdrawal of form-approved status and (y) any amendment or modification to such Hedge Agreement shall be subject to the Global Rating Agency Confirmation and the consent of the Trustee and the Collateral Manager or (ii) be in another form; provided that, in the case of clause (ii), the Issuer will have received a Global Rating Agency Confirmation with respect to the use of such Hedge Agreement. For the avoidance of doubt, the Hedge Agreements may be changed to reflect the particular trade terms of each transaction (including names, account numbers, interest rates, dollar amounts and similar information).

"Hedge Counterparty": Any counterparty to a Hedge Agreement that satisfies the Hedge Counterparty Ratings Requirement.

"Holder": A Senior Noteholder or a Class F Income Noteholder, as the context requires.

"Hudson Canyon Distribution Account": A single, segregated securities account held in the name of the Trustee described under "Security for the Co-Issued Notes— Hudson Canyon Distribution Account".

"Incentive Collateral Management Fee": With respect to a Payment Date, a fee equal to 0.15% per annum on the Fee Basis Amount for such date (calculated on the basis of a 360-day year consisting of twelve 30-day months); provided that if on any Payment Date amounts available in accordance with the Priority of Payments are insufficient to pay in full the Incentive Collateral Management Fee then payable or the Collateral Manager has, in its sole discretion, elected to defer its receipt of all or a portion of the Incentive Collateral Management Fee then payable, the Incentive Collateral Management Fee (or portion thereof) shall (subject to the Collateral Manager's right again to defer such payment) be deferred and payable, without interest thereon, on the next Payment Date on which sufficient amounts are available in accordance with the Priority of Payments to make such payment, until such fee is paid in full. All references herein and in the Collateral Management Agreement to the Incentive Collateral Management Fee shall include any Incentive Collateral Management Fee Interest which has accrued on any prior unpaid Incentive Collateral Management Fees.

"Incurrence Covenant": A covenant by an obligor to comply with one or more financial covenants only upon the occurrence of certain actions of the obligor including a debt issuance, dividend payments, share purchase, merger, acquisition or divestiture.

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"Indenture": The Indenture, to be dated as of the Closing Date, among the Issuer, the Co-Issuer and the Trustee, pursuant to which the Senior Notes will be issued, as it may be amended or supplemented from time to time pursuant to the applicable provisions thereof.

"Initial Payment Date": The Payment Date in October, 2008.

"Initial Purchaser": Citigroup Global Markets Inc., in its capacity as initial purchaser of U.S.$352,000,000 in Aggregate Principal Amount of Co-Issued Notes.

"Interest Collection Account": A single, segregated account held in the name of the Trustee into which all Collateral Interest Collections with respect to the Collateral Debt Obligations will be deposited.

"Interest Coverage Amount": With respect to each Due Period relating to any Payment Date after the Initial Payment Date, an amount equal to (without duplication) (a) the amount received in cash as Collateral Interest Collections during such Due Period and (without duplication) Scheduled Distributions representing Collateral Interest Collections for such Due Period and all payments due on or prior to the related Payment Date to the Issuer under any Hedge Agreement (excluding any payments received by the Issuer on or prior to the preceding Payment Date or payments resulting from the termination and liquidation of any Hedge Agreement other than any scheduled payment under such Hedge Agreement which accrued prior to such termination), minus (b) all payments due on or prior to the related Payment Date to any Hedge Counterparty under any Hedge Agreement (other than any Subordinated Termination Payments), minus (c) the amount expected to be payable as Aggregate Fees and Expenses on the Payment Date relating to such Due Period (provided that in no event will the amount in this clause (c) exceed the sum of (i) taxes, filing fees and registration fees (if any) payable by the Co-Issuers, (ii) the Expense Cap and (iii) the Senior Collateral Management Fee payable to the Collateral Manager); provided that for purposes of calculating the Interest Coverage Amount as of any date of determination (i) Scheduled Distributions representing Collateral Interest Collections (x) subject to clause (z), will not include any amount of interest scheduled to be received on Defaulted Obligations or Equity Securities that paid interest in kind during the prior Due Period, as applicable (but will include amounts representing Collateral Interest Collections actually received in cash on Defaulted Obligations or Equity Securities) or any amount of interest or dividend of which the Collateral Manager has actual knowledge will not be received in cash, (y) will include the amount of interest that accrued on such Collateral Debt Obligation during such Due Period (rather than the amount of interest, if any, received during such period) for any Collateral Debt Obligation which pays interest less frequently than quarterly (including Synthetic Securities but excluding Defaulted Obligations) and (z) will not include any amount of interest scheduled to be received on any Defaulted Obligation until and to the extent the aggregate amount of interest and other payments received on any such Defaulted Obligation (during the period of time when such Collateral Debt Obligation constitutes a Defaulted Obligation) exceeds the Principal Balance of such Defaulted Obligation, (ii) Scheduled Distributions representing interest income on Floating Rate Collateral Debt Obligations, Synthetic Security Collateral and Eligible Investments will be calculated using the interest rate applicable thereto as of the date of determination to the extent the interest thereon for future periods has not been determined as of such date of determination and (iii) any Synthetic Security will be treated as a Collateral Debt Obligation having the characteristics of such Synthetic Security and not of the underlying Reference Obligation.

"Investment Company Act": The United States Investment Company Act of 1940, as amended.

"Issuer": Hudson Canyon Funding II, Ltd., an exempted company with limited liability incorporated under the laws of the Cayman Islands, and its permitted successors and assigns.

"LIBOR": LIBOR determined in the manner described herein.

"Loan": Any Secured Loan or any Unsecured Loan.

"Loan Funding Account": The segregated securities account established by the Trustee to which, among other things, all Revolving Loan Deposits will be credited and from which all Unfunded Commitments on Revolving Loans or Delayed Funding Loans will be funded; provided that all amounts in the Loan Funding Account will be held in the form of cash or Eligible Investments that have a maturity of no longer than one day.

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"Maintenance Covenant": A covenant by an obligor to comply with one or more financial covenants during each reporting period, whether or not it has taken any specified action.

"Majority": With respect to any Class of Notes, the Holders of more than 50% of the Aggregate Principal Amount of the Outstanding Notes of such Class.

"Margin Stock": The meaning provided in Regulation U of the FRB; provided that "Margin Stock" will not include any Exchanged Equity Securities.

"Market Value": On any date of determination, with respect to one or more Pledged Obligations:

(i) the price supplied by MarkIt Partners, Interactive Data Corporation, Loan Pricing Corporation or another independent, nationally recognized pricing service (provided that such selection by the Issuer of another independent, nationally recognized pricing service under this clause (i) satisfies the Global Rating Agency Confirmation), as selected by the Collateral Manager;

(ii) in the event that a market value cannot be determined pursuant to clause (i), the arithmetic average of three bid-side market values (determined on a firm bid basis) of such Pledged Obligation obtained from independent, nationally recognized broker/dealers that are not affiliated with each other and which deal with the type of securities in question or, if three such bid-side market values are not available, the lower of two bid-side market values (determined on a firm bid basis) of such Pledged Obligations obtained from independent, nationally recognized broker/dealers that are not affiliated with each other and which deal with the type of securities in question or, if two such bid-side market values are not available, the bid-side market value (determined on a firm bid basis) of such Pledged Obligations obtained from one independent, nationally recognized broker/dealer, in either case, as obtained by the Collateral Manager; and

(iii) in the event that a market value cannot be determined pursuant to clause (i) or (ii) above, an amount equal to the lesser of (x) the bid side market value of such Pledged Obligation as determined by the Collateral Manager in its reasonable judgment and (y) the Principal Balance of the Pledged Obligation as of such date multiplied by the S&P Recovery Rate set forth in the column corresponding to the rating by S&P of the highest rated tranche of Notes then rated by S&P; provided that, if the market value cannot be determined in the manner described in clause (i) or (ii) above (or the Collateral Manager elects not to apply the market value determined in such manner) for more than 30 days immediately following any date such market value is determined pursuant to this clause (iii), then the market value of such Pledged Obligation shall be automatically deemed to be zero following such 30 day period until the market value can be determined in the manner described in clause (i) or (ii) above as of any date of determination.

Notwithstanding the foregoing, (A) the Market Value of any Equity Security and of any Pledged Obligation for which the market value thereof has not been determined in the manner described in clause (i), (ii) or (iii) above shall be deemed to be zero, (B) the Market Value of any Pledged Obligation which has been determined by the Collateral Manager in the manner described in clause (iii)(x) above shall in any event be a value consistent with the bid side market value applied by the Collateral Manager for such Pledged Obligation for such other issuers or accounts that it manages and (C) the Collateral Manager may only determine the Market Value in the manner described in clause (iii)(x) above if and for so long as the Collateral Manager is registered under the Advisers Act.

"Minimum Weighted Average Spread": As of any date of determination on or after the Effective Date, the

percentage set forth in the column entitled "Minimum Weighted Average Spread" in the Moody's Matrix, or any value between the rows set forth therein, based upon the case chosen by the Collateral Manager as currently applicable to the Floating Rate Collateral Debt Obligations in the Collateral.

"Moody's": Moody's Investors Service, Inc. or any successors thereto.

"Moody's Default Probability Rating": For a Collateral Debt Obligation which is (i) a Moody's Senior Secured Loan, the Moody's corporate family rating for the obligor of such Collateral Debt Obligation and, if any such obligor does not have a Moody's corporate family rating, the Moody's Obligation Rating of such Collateral

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Debt Obligation, (ii) a non Moody's Senior Secured Loan, if the obligor has a senior unsecured obligation with an Assigned Moody's Rating, such rating and, if such obligor does not have a senior unsecured obligation with an Assigned Moody's Rating, the Moody's Equivalent Senior Unsecured Rating of the Collateral Debt Obligation (iii) a Synthetic Security, the rating assigned by Moody's or (iv) a DIP Loan, the rating that is one rating subcategory below the Moody's Obligation Rating thereof. Notwithstanding the foregoing, if the Moody' rating or ratings used to determine the Moody's Default Probability 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).

"Moody's Equivalent Senior Unsecured Rating": With respect to any Collateral Debt Obligation and the issuer thereon or guarantor thereof as of any date of determination, is the rating determined in accordance with the following, in the following order of priority:

(a) if the issuer or guarantor has a senior unsecured obligation with an Assigned Moody's Rating, such Assigned Moody's Rating;

(b) if the preceding clause does not apply, the Moody's "Issuer Rating" for the issuer or guarantor;

(c) if the preceding clauses do not apply but there is an Assigned Moody's Rating on a subordinated obligation of the issuer or guarantor, then

(i) if such Assigned Moody's Rating is "B3" or higher, the Moody's Equivalent Senior Unsecured Rating of such Collateral Debt Obligation shall be the rating that is one subcategory above the Assigned Moody's Rating, with a rating of "Aaa" remaining the same; and

(ii) if such Assigned Moody's Rating is lower than "B3", the Moody's Equivalent Senior Unsecured Rating of such Collateral Debt Obligation shall equal such Assigned Moody's Rating;

(d) if the preceding clauses do not apply but there is an Assigned Moody's Rating on a senior secured obligation of the issuer or guarantor, then

(i) if such Assigned Moody's Rating is "Caa3" or higher, the Moody's Equivalent Senior Unsecured Rating of such Collateral Debt Obligation shall be the rating that is one subcategory below such Assigned Moody's Rating; and

(ii) if such Assigned Moody's Rating is lower than "Caa3", the Moody's Equivalent Senior Unsecured Rating of such Collateral Debt Obligation shall be "C";

(e) if the preceding clauses do not apply, but such issuer or guarantor has a corporate family rating from Moody's, the Moody's Equivalent Senior Unsecured Rating shall be the rating that is one rating subcategory below such corporate family rating;

(f) if the preceding clauses do not apply but the issuer or guarantor has a senior unsecured obligation (other than a bank loan) with a monitored public rating from S&P (without postscripts, asterisks or other qualifying notations that addresses the full amount of principal and interest promised), then the Moody's Equivalent Senior Unsecured Rating shall be:

(i) if the rating by S&P is "BBB-" or higher, one subcategory below the Moody's equivalent of such rating assigned by S&P; or

(ii) if the rating by S&P is "BB+" or lower, two subcategories below the Moody's equivalent of such rating assigned by S&P; or

(iii) (A) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is greater than or equal to U.S.$150,000,000, "B3" until the Issuer or

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the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "B3" will be assigned by Moody's and (B) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000, "Caa1" until the Issuer or the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "Caa1" will be assigned by Moody's and, in each case, (1) the Issuer or the Collateral Manager on its behalf applies for an estimated rating from Moody's within five Business Days of the date of the commitment to purchase the Collateral Debt Obligation, (2) the Aggregate Principal Amount of Collateral Debt Obligations having a Moody's Equivalent Senior Unsecured Rating pursuant to either this clause (f)(iii), or clause (g)(iii) or (h)(iii) does not exceed 10% of the Aggregate Collateral Balance, (3) all the Collateral Coverage Tests are satisfied and (4) the Issuer shall refresh each credit estimate on an annual basis;

(g) if the preceding clauses do not apply, but the issuer or guarantor 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 Assigned Moody's Rating shall be deemed to be:

(i) if the rating by S&P is "BBB-" or higher, one rating subcategory below the Moody's equivalent of such rating assigned by S&P; or

(ii) if the rating by S&P is "BB+" or lower, two rating subcategories below the Moody's equivalent of such rating assigned by S&P, or

(iii) (A) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is greater than or equal to U.S.$150,000,000, "B3" until the Issuer or the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "B3" will be assigned by Moody's and (B) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000, "Caa1" until the Issuer or the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "Caa1" will be assigned by Moody's and, in each case, (1) the Issuer or the Collateral Manager on its behalf applies for an estimated rating from Moody's within five Business Days of the date of the commitment to purchase the Collateral Debt Obligation, (2) the Aggregate Principal Amount of Collateral Debt Obligations having an Assigned Moody's Rating pursuant to either this clause (g)(iii), or clause (f)(iii) or (h)(iii) does not exceed 10% of the Aggregate Collateral Balance, (3) all the Collateral Coverage Tests are satisfied and (4) the Issuer shall refresh each credit estimate on an annual basis;

and the Moody's Equivalent Senior Unsecured Rating shall be determined pursuant to clause (c) above;

(h) if the preceding clauses do not apply, but the issuer or guarantor 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 Assigned Moody's Rating shall be deemed to be:

(i) if the rating by S&P is "BBB-" or higher, one rating subcategory below the Moody's equivalent of such rating assigned by S&P; or

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(ii) if the rating by S&P is "BB+" or lower, two rating subcategories below the Moody's equivalent of such rating assigned by S&P, or

(iii) (A) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is greater than or equal to U.S.$150,000,000, "B3" until the Issuer or the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "B3" will be assigned by Moody's and (B) with respect to Collateral Debt Obligations that are part of a senior credit facility whose aggregate original principal amount (whether or not funded and including all tranches thereunder) is less than U.S.$150,000,000, "Caa1" until the Issuer or the Collateral Manager obtains an estimated rating from Moody's; provided that the Collateral Manager certifies to the Trustee that in its commercially reasonable judgment, it believes an estimated rating equivalent to a rating no lower than "Caa1" will be assigned by Moody's and, in each case, (1) the Issuer or the Collateral Manager on its behalf applies for an estimated rating from Moody's within five Business Days of the date of the commitment to purchase the Collateral Debt Obligation, (2) the Aggregate Principal Amount of Collateral Debt Obligations having an Assigned Moody's Rating pursuant to either this clause (h)(iii), or clause (f)(iii) or (g)(iii) does not exceed 10% of the Aggregate Collateral Balance, (3) all the Collateral Coverage Tests are satisfied and (4) the Issuer shall refresh each credit estimate on an annual basis;

and the Moody's Equivalent Senior Unsecured Rating shall be determined pursuant to clause (d) above;

(i) if the preceding clauses do not apply and each of the following clauses (i) through (viii) do apply, the Moody's Equivalent Senior Unsecured Rating will be "B3":

(i) neither the issuer nor any of its affiliates is subject to reorganization or bankruptcy proceedings,

(ii) no debt securities or obligations of the issuer are in default,

(iii) neither the issuer nor any of its affiliates have defaulted on any debt during the past two years,

(iv) the issuer has been in existence for the past five years,

(v) the issuer is current on any cumulative dividends,

(vi) the fixed charge ratio for the issuer exceeds 125% for each of the past two fiscal years and for the most recent quarter,

(vii) the issuer had a net profit before tax in the past fiscal year and the most recent quarter,

(viii) the annual financial statements of the issuer are unqualified and certified by a firm of independent accountants of national 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 clauses (i) and (ii) do apply, the Moody's Equivalent Senior Unsecured Rating will be "Caa1":

(i) neither the issuer nor any of its affiliates is subject to reorganization or bankruptcy proceedings, and

(ii) no debt security or obligation of the issuer has been in default during the past two years;

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(k) if the preceding clauses do not apply and a debt security or obligation of the issuer has been in default during the past two years, the Moody's Equivalent Senior Unsecured Rating will be "Ca"; and

(l) if the preceding clauses do not apply and the Collateral Debt Obligation is not rated by Moody's or S&P and no other security of the obligor of such Collateral Debt Obligation is rated by Moody's or S&P, and, if Moody's has been requested by the Issuer or the Collateral Manager to assign a rating or rating estimate with respect to such Collateral Debt Obligation but such rating or rating estimate has not been received, pending receipt of such estimate, (i) the Moody's Equivalent Senior Unsecured Rating of such Collateral Debt Obligation shall be "B3" if the Collateral Manager certifies to the Trustee that the Collateral Manager believes such rating or rating estimate will be at least "B3" and, if the Aggregate Principal Amount of Collateral Debt Obligations included in the Collateral with a Moody's Equivalent Senior Unsecured Rating determined pursuant to this clause (l) does not exceed 5% of the Aggregate Principal Amount of all Collateral Debt Obligation included in the Collateral or (ii) otherwise, the Moody's Equivalent Senior Unsecured Rating shall be "Caa1".

Notwithstanding the foregoing, no more than 10% of the Collateral Debt Obligations, by Aggregate Principal Balance, may be given a Moody's Equivalent Senior Unsecured Rating based on a rating given by S&P as provided in clauses (f), (g) and (h) above.

"Moody's Group Country": Any Moody's Group I Country, Moody's Group II Country, Moody's Group III Country or Moody's Group IV Country.

"Moody's Group I Country": Any of the following countries: Australia, the Netherlands, the United Kingdom and any country subsequently determined by Moody's to be a Moody's Group I Country.

"Moody's Group II Country": Any of the following countries: Germany, Ireland, Sweden, Switzerland and any country subsequently determined by Moody's to be a Moody's Group II Country.

"Moody's Group III Country": Any of the following countries: Austria, Belgium, Denmark, Finland, France, Iceland, Liechtenstein, Luxembourg, Norway, Spain and any country subsequently determined by Moody's to be a Moody's Group III Country.

"Moody's Group IV Country": Any of the following countries: Greece, Italy, Portugal, Singapore, Japan and any country subsequently determined by Moody's to be a Moody's Group IV Country.

"Moody's Industry Classification Group": Any of the Moody's industrial classification groups set forth in a schedule to the Indenture and any such classification groups that may be subsequently established by Moody's and provided by the Collateral Manager or Moody's to the Trustee. For purposes of determining the Moody's Industry Classification Group, a Synthetic Security will be treated as a Collateral Debt Obligation having the characteristics of the underlying Reference Obligation and not of such Synthetic Security.

"Moody's Matrix": The matrix set forth below:

Case Number Minimum Weighted Average

Spread Minimum Diversity

Score Maximum Rating

Factor 1 2.15% 50 2265 2 2.25% 50 2320 3 2.35% 50 2370 4 2.45% 50 2415 5 2.55% 50 2455 6 2.65% 50 2495 7 2.75% 50 2545 8 2.85% 50 2580 9 2.95% 50 2615 10 3.05% 50 2650 11 2.15% 55 2320 12 2.25% 55 2390

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13 2.35% 55 2450 14 2.45% 55 2490 15 2.55% 55 2530 16 2.65% 55 2575 17 2.75% 55 2625 18 2.85% 55 2650 19 2.95% 55 2690 20 3.05% 55 2740 21 2.15% 60 2355 22 2.25% 60 2420 23 2.35% 60 2490 24 2.45% 60 2550 25 2.55% 60 2600 26 2.65% 60 2645 27 2.75% 60 2690 28 2.85% 60 2720 29 2.95% 60 2770 30 3.05% 60 2810 31 2.15% 65 2390 32 2.25% 65 2450 33 2.35% 65 2525 34 2.45% 65 2580 35 2.55% 65 2640 36 2.65% 65 2700 37 2.75% 65 2750 38 2.85% 65 2790 39 2.95% 65 2840 40 3.05% 65 2870 41 2.15% 70 2420 42 2.25% 70 2480 43 2.35% 70 2545 44 2.45% 70 2610 45 2.55% 70 2670 46 2.65% 70 2730 47 2.75% 70 2790 48 2.85% 70 2835 49 2.95% 70 2900 50 3.05% 70 2935 51 2.15% 75 2450 52 2.25% 75 2510 53 2.35% 75 2570 54 2.45% 75 2640 55 2.55% 75 2700 56 2.65% 75 2760 57 2.75% 75 2820 58 2.85% 75 2875 59 2.95% 75 2935 60 3.05% 75 2990

"Moody's Obligation Rating": With respect to any Collateral Debt Obligation as of any date of determination, is the rating determined in accordance with the following, in the following order of priority:

(a) With respect to a Collateral Debt Obligation that is a Moody's Senior Secured Loan or a participation interest in a Moody's Senior Secured Loan:

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(i) if it has an Assigned Moody's Rating, such Assigned Moody's Rating; or

(ii) if the preceding clause does not apply, the rating that is one rating subcategory above the Moody's Equivalent Senior Unsecured Rating; and

(b) With respect to a Collateral Debt Obligation other than a Moody's Senior Secured Loan or a participation interest in a Moody's Senior Secured Loan:

(i) if it has an Assigned Moody's Rating, such Assigned Moody's Rating; or

(ii) if the preceding clause does not apply, the Moody's Equivalent Senior Unsecured Rating; and

(c) With respect to a DIP Loan, the Assigned Moody's Rating thereof.

Notwithstanding the foregoing, if the Moody's rating or ratings used to determine the Moody's Obligation 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).

"Moody's Rating": The Moody's Default Probability Rating; provided that, with respect to the Collateral Debt Obligations generally, if at any time Moody's or any successor to it ceases to provide rating services, references to rating categories of Moody's herein shall be deemed instead to be references to the equivalent categories of any other nationally recognized investment rating agency designated in writing by the Collateral Manager on behalf of the Issuer (with a copy to the Trustee), as of the most recent date on which such other rating agency and Moody's published ratings for the type of security in respect of which such alternative rating agency is used.

"Moody's Rating Condition": With respect to any action that is proposed to be taken by the Issuer requiring satisfaction of the Moody's Rating Condition, a condition that is satisfied when Moody's has confirmed in writing to the Issuer, the Trustee and the Collateral Manager that no immediate qualification, reduction, suspension or withdrawal with respect to the then-current rating by Moody's of any Class of Co-Issued Notes will occur as a result of such action.

"Moody's Recovery Rate": With respect to any Collateral Debt Obligation, as of any date of determination, will be the recovery rate determined in accordance with the following, in the following order of priority:

(a) if the Collateral Debt Obligation has been specifically assigned a recovery rate by Moody's (for example, in connection with the assignment by Moody's of an estimated rating), such recovery rate;

(b) if the preceding clause does not apply to the Collateral Debt Obligation, the rate determined pursuant to the table below based on the number of rating subcategories difference between the Collateral Debt Obligation's Moody's Obligation Rating and its Moody's Default Probability Rating (for purposes of clarification, if the Moody's Obligation Rating is higher than the Moody's Default Probability Rating, the rating subcategories difference will be positive and if it is lower, negative): Number of Moody's Ratings Subcategories Difference Between the Moody's Obligation Rating and the Moody's Default Probability

Rating Moody's Senior Secured

Loans Non-Moody's Senior

Secured Loans

+2 or more 60% 45%

+1 50% 42.5%

0 45% 40%

-1 40% 30%

-2 30% 15%

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-3 or less 20% 10%

(c) if the Loan is a DIP Loan, 50%.

"Moody's Senior Secured Loan":

(a) A Loan that:

(i) is not (and cannot by its terms become) subordinate in right of payment to any other obligation of the obligor on the Loan,

(ii) is secured by a valid first priority perfected security interest or lien in, to or on specified collateral securing the obligor's obligations under the Loan, and

(iii) the value of the collateral securing the Loan together with other attributes of the obligor (including, without limitation, its general financial condition, ability to generate cash flow available for debt service and other demands for that cash flow) is adequate (in the commercially reasonable judgment of the Collateral Manager) to repay the Loan in accordance with its terms and to repay all other loans of equal seniority secured by a first lien or security interest in the same collateral), or

(b) A Loan that:

(i) is not (and cannot by its terms become) subordinate in right of payment to any other obligation of the obligor on the Loan, other than, with respect to a Loan described in clause (a) above, with respect to the liquidation of such obligor or the collateral for such loan,

(ii) is secured by a valid second priority perfected security interest or lien in, to or on specified collateral securing the obligor's obligations under the Loan,

(iii) the value of the collateral securing the Loan together with other attributes of the obligor (including, without limitation, its general financial condition, ability to generate cash flow available for debt service and other demands for that cash flow) is adequate (in the commercially reasonable judgment of the Collateral Manager) to repay the Loan in accordance with its terns and to repay all other loans of equal or higher seniority secured by a first or second lien or security interest in the same collateral), and

(iv) has an assigned rating from Moody's, that is not lower than the corporate family rating;

provided, in each case, that the Loan is not:

(i) a DIP Loan,

(ii) a Loan for which the security interest or lien (or the validity or effectiveness thereof) in substantially all of its collateral attaches, becomes effective, or otherwise "springs" into existence after the origination thereof,

(iii) a Loan which is secured solely by equity; or

(iv) a type of loan that Moody's has identified as having unusual terms and with respect to which its Moody's Recovery Rate has been or is to be determined on a case-by-case basis.

"Moody's Weighted Average Recovery Rate": The number (expressed as a percentage) obtained by (i) summing the products obtained by multiplying the Principal Balance of each Collateral Debt Obligation included in the Collateral (other than a Defaulted Obligation) by its respective Moody's Recovery Rate, (ii) dividing such sum by the Aggregate Principal Balance of all such Collateral Debt Obligations (other than Defaulted Obligations), and (iii) rounding up to the first decimal place.

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"Moody's Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that will be satisfied if the Moody's Weighted Average Recovery Rate equals or exceeds 45.0%.

"Non-Performing Loans": All Collateral Debt Obligations constituting Loans other than Performing Loans.

"Note Register": Each of the Senior Note Register and the Class F Income Note Register, as the context may require.

"Note Registrar": Each of the Senior Note Registrar and the Class F Income Note Registrar, as the context may require.

"Note Valuation Report": The accounting report for each Payment Date that the Issuer is required to render to the Trustee, the Collateral Manager, the Hedge Counterparty, each of the Rating Agencies and certain other persons pursuant to the Indenture on or prior to the related Payment Date.

"Noteholder": With respect to any Note, the Person in whose name such Note is registered in the applicable Note Register.

"Notes": Collectively, the Senior Notes and the Class F Income Notes.

"Offer": With respect to any obligation, (a) any offer by the obligor of such obligation or by any other Person made to all of the holders of such obligation to purchase or otherwise acquire such obligation or to exchange such obligation for any other obligation or other property (other than pursuant to any redemption in accordance with the terms of the related Underlying Instrument) or (b) any solicitation by the obligor of such obligation or any other Person to amend, modify or waive any provision of such obligation or any related Underlying Instrument.

"Opinion of Counsel": A written opinion of counsel, addressed to the Trustee and, if applicable, the Rating Agencies and in form and substance reasonably satisfactory to the Trustee, of nationally recognized counsel reasonably satisfactory to the Trustee that may, except as otherwise expressly provided in the Indenture, be counsel for the Issuer, the Collateral Manager or the Trustee and who will be reasonably satisfactory to the Trustee.

"Ordinary Shares": The 250 voting ordinary shares, U.S.$1.00 par value per share, in the capital of the Issuer.

"Outstanding": (i) With respect to the Senior Notes, as of any date of determination, "Outstanding" refers to any and all Senior Notes theretofore authenticated and delivered under the Indenture and (ii) with respect to the Class F Income Notes, as of any date of determination, "Outstanding" refers to any and all Class F Income Notes theretofore authenticated and delivered under the Class F Income Note Issuing and Paying Agency Agreement; provided that, in each case: (A)(1) Notes theretofore canceled by the Senior Note Registrar or the Class F Income Note Registrar, as applicable or delivered to the Senior Note Registrar or the Class F Income Note Registrar, as applicable, for cancellation; (2) Notes for whose payment or redemption money in the necessary amount has been theretofore irrevocably deposited with the Trustee, the Class F Income Note Issuing and Paying Agent or any paying agent in trust for the Holders of such Notes; provided that, if such Notes are to be redeemed, notice of such redemption has been duly given pursuant to the Indenture (in the case of the Senior Notes) or the Class F Income Note Issuing and Paying Agency Agreement (in the case of the Class F Income Notes) or provision therefor satisfactory to the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, has been made, (3) Notes in exchange for or in lieu of which other Notes have been authenticated and delivered pursuant to the Indenture (in the case of Senior Notes) or the Class F Income Note Issuing and Paying Agency Agreement (in the case of Class F Income Notes), unless proof satisfactory to the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, is presented that any such Notes are held by a holder in due course; and (4) mutilated Notes and Notes alleged to have been destroyed, lost or stolen for which replacement Notes have been issued as provided in the Indenture or the Class F Income Note Issuing and Paying Agency Agreement, as applicable, (B) in determining whether the Holders of the requisite Aggregate Principal Amount of the Notes have given any request, demand, authorization, direction, notice, consent or waiver thereunder, Notes owned by or pledged to the Issuer or any other obligor upon the Notes and (in the case of any supplemental indenture that affects any provisions of the Indenture that affect the Trustee) Notes owned by or pledged to the Person acting as Trustee, Class F Income Note Issuing and Paying Agent or any of their respective Affiliates will be disregarded and deemed not to be Outstanding,

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except that, in determining whether the Trustee or the Class F Income Note Issuing and Paying Agent will be protected in relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Notes that a responsible officer of the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, has actual knowledge to be so owned or pledged will be so disregarded and (C) in determining whether the Holders of the requisite Aggregate Principal Amount of the Notes have given any request, demand, authorization, direction, notice, consent or waiver relating to any removal of the Collateral Manager under the Collateral Management Agreement, Notes owned by or pledged to the Collateral Manager or any Affiliate of the Collateral Manager or any Notes over which the Collateral Manager or any of its Affiliates has discretionary voting authority, in each case, will be disregarded and deemed not to be Outstanding, except that, in determining whether the Trustee or the Class F Income Note Issuing and Paying Agent shall be protected in relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Notes that a responsible officer of the Trustee or the Class F Income Note Issuing and Paying Agent, as applicable, has actual knowledge to be so owned or pledged shall be so disregarded.

"Participant": A member of, or participant in, a depository, including DTC, Euroclear or Clearstream.

"Participation": An interest in a Loan (including a Synthetic Letter of Credit which is structured as a participation) that is acquired indirectly by way of a participation from a Selling Institution. At the time that a Participation is acquired by the Issuer, the percentage by Aggregate Principal Amount of the Collateral Debt Obligations that represent Participations entered into by the Issuer with Selling Institutions (or their Affiliates) having the same credit rating will not exceed the percentage set forth below for such credit rating (in the event of a split rating, the lower rating shall apply) (provided that, if the rating of any Selling Institution has been placed on watch by Moody's for possible upgrade or downgrade, such rating shall be deemed to have been upgraded or downgraded, as the case may be, by one rating subcategory):

Credit Rating of Selling Institution

(Moody's/S&P) Individual Participation Selling

Institution Percentage Aggregate Participation Selling

Institution Percentage

"Aaa"/"AAA" 20.0% 20.0%

"Aa1"/"AA+" 10.0% 10.0%

"Aa2"/"AA" 10.0% 10.0%

"Aa3"/"AA-" 10.0% 10.0%

"A1"/"A+" 5.0% 5.0%

"A2"/"A" 5.0% 5.0%

"A3" or below/"A-" 0% 0%

"Paying Agent": LaSalle Bank National Association, a national banking association, in its capacity as paying agent with respect to the Notes.

"Paying Agent in Ireland": NCB Stockbrokers Limited in Dublin, Ireland, or any successor thereto, as paying agent with respect to the Notes, so long as any of the Notes are listed on the Irish Stock Exchange.

"Payment Account": A single, segregated securities account titled "LaSalle Bank National Association, as Trustee, in trust for the benefit of the Secured Parties – Hudson Canyon Funding II Payment Account".

"Payment Date": January 27, April 27, July 27 and October 27 of each year, commencing in October, 2008, or, if any such day is not a Business Day, the next succeeding Business Day; provided that (i) the final Payment Date with respect to the Notes will be the Stated Maturity Date, (ii) if any such date is not a Business Day, the relevant Payment Date will be the next succeeding Business Day and (iii) each Accelerated Distribution Date will be a Payment Date.

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"Performing Loans": All Collateral Debt Obligations constituting Loans that are not Defaulted Obligations.

"Periodic Interest": (a) With respect to any Payment Date or Accelerated Distribution Date and any Class of Co-Issued Notes, the Periodic Interest Amount on each Class of Co-Issued Notes, plus, without duplication, any Defaulted Interest which has not been paid on any previous Payment Dates, payable on such Payment Date or Accelerated Distribution Date, as applicable and (b) with respect to any Payment Date or Accelerated Distribution Date and the Class D Notes, the Periodic Interest Amount on the Class D Notes.

"Periodic Interest Accrual Period": With respect to any Class of Co-Issued Notes and the Class D Notes, (i) in the case of the initial Periodic Interest Accrual Period, the period from, and including the Closing Date to, but excluding, the Initial Payment Date and (ii) thereafter, each successive period from, and including, each Payment Date to, but excluding, the next succeeding Payment Date.

"Periodic Interest Amount": (a) With respect to each Payment Date and any Class of Co-Issued Notes, the aggregate amount of interest accrued at the Applicable Periodic Rate during the related Periodic Interest Accrual Period on the sum of (i) the Aggregate Principal Amount of such Class, plus (ii) any Defaulted Interest or Cumulative Periodic Rate Shortfall Amount for such Class, in each case as of the first day of such Periodic Interest Accrual Period (after giving effect to any payment of principal, Defaulted Interest or Cumulative Periodic Rate Shortfall Amount of such Class on such first day, if applicable) and (b) with respect to each Payment Date and the Class D Notes, the aggregate amount of interest accrued at the Applicable Periodic Rate during the related Periodic Interest Accrual Period on the Aggregate Principal Amount of the Class D Notes as of the first day of such Periodic Interest Accrual Period (after giving effect to any payment of principal with respect to the Class D Notes on such date).

"Periodic Rate Shortfall Amount": With respect to any Payment Date, the Class B Periodic Rate Shortfall Amount and the Class C Periodic Rate Shortfall Amount.

"Person": Any individual, corporation, limited liability company, partnership, joint venture, association, joint stock company, trust (including any beneficiary thereof), unincorporated organization or government or any agency or political subdivision thereof.

"Placement Agency Agreement": The Placement Agency Agreement, dated April 29, 2008, by and between the Issuer and the Placement Agent.

"Placement Agent": Citigroup Global Markets Inc., in its capacity as placement agent of the Class D Notes, Class E Notes and Class F Income Notes.

"Pledged Obligations": On any date of determination, the Collateral Debt Obligations in the Collateral and the Eligible Investments and any Equity Securities which form part of the Collateral that have been granted to the Trustee.

"Principal Balance": With respect to any Pledged Obligation or Synthetic Security Collateral, as of any date of determination, the outstanding principal amount of such Pledged Obligation or Synthetic Security Collateral (including any Unfunded Commitments to the extent funds in respect thereof are on deposit in the Loan Funding Account); provided that the Principal Balance of (i) any Equity Security will be zero and (ii) any Synthetic Security will be the notional amount of such Synthetic Security.

"Principal Collection Account": A single, segregated account held in the name of the Trustee into which all Collateral Principal Collections with respect to the Collateral Debt Obligations will be deposited.

"Principal Coverage Amount": As of any date of determination, an amount equal to the sum of (without duplication): (a) the Aggregate Principal Amount of all Collateral Debt Obligations (other than Defaulted Obligations, C-Basket Securities and Deep Discount Securities) in the Collateral on such date of determination, plus (b) the Balance of Eligible Investments in the Collection Account that represent Collateral Principal Collections in the Collateral on such date of determination (or that are scheduled to be paid to a Subsidiary Holding Company in connection with the sale of a Loan, Participation, Equity Security or Exchanged Equity Security that such Subsidiary Holding Company committed to sell prior to the Closing Date), plus (c) the aggregate Defaulted Obligation Amount

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of all Defaulted Obligations in the Collateral on such date of determination, plus (d) the purchase price (expressed as a percentage of the par amount and excluding any amounts representing accrued and unpaid interest) of any Deep Discount Securities (which do not also constitute Defaulted Obligations or C-Basket Securities) multiplied by the par amount of such Collateral Debt Obligations, plus (e) the lesser of the Principal Balance and the Market Value of any C-Basket Security which is not a Defaulted Obligation. For purposes of calculating the Principal Coverage Amount, a Synthetic Security which is not a Defaulted Obligation will be included as a Collateral Debt Obligation having the Principal Balance of the Synthetic Security and, to the extent of duplication, the Synthetic Security Collateral with respect to such Synthetic Security shall be disregarded.

"Principal Coverage Ratios": The Class A Principal Coverage Ratio, the Class B Principal Coverage Ratio and the Class C Principal Coverage Ratio.

"Principal Coverage Tests": Collectively, the Class A Principal Coverage Test, the Class B Principal Coverage Test and the Class C Principal Coverage Test.

"Principal Prepayments": The prepayments of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes or the Class C Notes to the extent necessary to satisfy the Collateral Coverage Tests, in accordance with the Priority of Payments, determined as provided in the Indenture.

"Priority of Payments": With respect to any Payment Date, Redemption Date or Accelerated Distribution Date, as applicable, the order of priority in which Collateral Interest Collections and Collateral Principal Collections transferred from Available Funds standing to the credit of the Collection Account to the Payment Account will be applied by the Trustee pursuant to the Indenture and as contemplated herein under the applicable subsection of "Description of the Notes—Priority of Payments".

"Proposed Portfolio": On any date of determination, the portfolio of Collateral Debt Obligations in the Collateral resulting from the maturity, proposed sale or other disposition of a Collateral Debt Obligation or a proposed purchase of a Collateral Debt Obligation, as the case may be.

"Purchase Agreement": The Purchase Agreement, dated April 29, 2008, by and among the Issuer, the Co-Issuer and the Initial Purchaser.

"Qualified Institutional Buyer": A "qualified institutional buyer" as defined in Rule 144A under the Securities Act.

"Qualified Purchaser": A "qualified purchaser" within the meaning of Section 3(c)(7) under the Investment Company Act.

"Rating Agency": Each of Moody's and S&P or any successor thereto, and together, the "Rating Agencies"; provided that references to the Rating Agencies (or either of them) shall apply only so long as any Co-Issued Notes or Class D Notes are Outstanding.

"Rating Factor Modifier": As of any date of determination, an amount equal to (a) if the Moody's Weighted Average Recovery Rate is less than or equal to 45.0%, zero, (b) if the Moody's Weighted Average Recovery Rate as of such date of determination is greater than 45.0% but less than or equal to 50.0%, the product of (i) the portion of the Moody's Weighted Average Recovery Rate as of such date over 45.0% and (ii) 5800, (c) if the Moody's Weighted Average Recovery Rate as of such date of determination is greater than 50.0% but less than or equal to 60.0%, the sum of (x) the product of (i) the portion of the Moody's Weighted Average Recovery Rate as of such date over 50.0% and (ii) 6800 and (y) 290 or (d) if the Moody's Weighted Average Recovery Rate as of such date of determination is greater than 60.0%, 610.

"Realized Gains": With respect to the sale of any warrant or other Equity Security attached to any Collateral Debt Obligation, the excess of the proceeds of the sale of such warrant or Equity Security over the cost attributed by the Collateral Manager to such warrant or Equity Security.

"Record Date": The date on which the Holders of Notes entitled to receive any payment or distribution on the succeeding Payment Date or succeeding Hudson Canyon Account Payment Date are determined, such date as to

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any Payment Date or any Hudson Canyon Account Payment Date being the Business Day prior to such Payment Date or Hudson Canyon Account Payment Date, as applicable (in the case of Notes held in global form) and the 15th day prior to such Payment Date or Hudson Canyon Account Payment Date, as applicable, (in the case of Notes held in physical form) whether or not such 15th day is a Business Day).

"Redemption Date": Any Payment Date on which any Notes are to be redeemed in whole.

"Redemption Price": When used with respect to (a) any Class of Co-Issued Notes, their then Outstanding principal plus accrued interest thereon to the date of redemption to the extent not already paid (including, without limitation, any Class B Cumulative Periodic Rate Shortfall Amount and any Class C Cumulative Periodic Rate Shortfall Amount), (b) the Class D Notes, their then Outstanding principal plus Periodic Interest thereon with respect to the Redemption Date, (c) the Class E Notes, (i) the excess, if any, of the Class E Recovery Amount over the aggregate of all payments previously made in respect of the Class E Notes (other than payments made in respect of the Available Hudson Canyon Distribution Amount) plus (ii) 95% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments and (d) the Class F Income Notes, 5% of the amounts remaining after application of Collateral Interest Collections and Collateral Principal Collections pursuant to the Priority of Payments; provided that, in connection with any tax redemption, Holders of 100% of the Aggregate Principal Amount of any Outstanding Class of Senior Notes may elect to receive less than 100% of the Redemption Price that would otherwise be payable to the Holders of such Class.

"Reference Obligation": Any security or other obligation upon which a Synthetic Security is based and which, if purchased directly by the Issuer, would satisfy the definition of "Collateral Debt Obligation".

"Registered": In registered form for U.S. federal income tax purposes and issued after July 18, 1984, provided that a certificate of interest in a grantor trust shall not be treated as Registered unless each of the obligations or securities held by the trust was issued after that date.

"Regulation S Global Notes": With respect to Notes sold outside the United States in accordance with Regulation S, permanent global notes in definitive, fully-registered form without interest coupons attached.

"Regulation U": Regulation U of the Board of Governors of the FRB.

"Reinvestment Income": Any interest or other earnings on funds in the Collection Account, including interest on Eligible Investments.

"Reinvestment Period": The period from (and including) the Closing Date, to (and including) the Payment Date in April, 2013.

"Replacement Deep Discount Security": A Collateral Debt Obligation that (a) is purchased with the Sale Proceeds of an Existing Deep Discount Security (other than the Existing Deep Discount Security with a LoanX ID LXD5D878 ("Cavalier Tech"), (b) is purchased for a purchase price (expressed as a percentage of the Principal Balance) equal to or less than the Sale Proceeds (expressed as a percentage of the Principal Balance) of an Existing Deep Discount Security that is being sold; provided that the purchase price (expressed as a percentage of the Principal Balance) of a Replacement Deep Discount Security shall not be less than 5.0% less than the Sale Proceeds (expressed as a percentage of the Principal Balance) of any Existing Deep Discount Security that is being sold and shall not be purchased for less than 65% of the outstanding principal balance thereof; and (c)(i) has a Moody's Rating (x) equal to or higher than the Moody's Rating of the Existing Deep Discount Security that is being sold if such Existing Deep Discount Security has a Moody's Rating of B3 or lower, (y) no more than one rating category below that of the Existing Deep Discount Security that is being sold if such Existing Deep Discount Security has a Moody's Rating of B2 or higher or (z) no more than two rating categories below that of the Existing Deep Discount Security that is being sold if such Existing Deep Discount Security has a Moody's Rating of Ba3 or higher; provided that, with respect to clauses (y) and (z) above only, the Average Debt Rating Test shall be satisfied both prior to and after the proposed acquisition of such Replacement Deep Discount Security, (ii) if any Existing Deep Discount Security sold was secured by a security interest in such Replacement Deep Discount Security shall maintain or improve on the priority of the security interest of the Existing Deep Discount Security sold and (iii) as of the date of acquisition, the Class C Principal Coverage Ratio is greater than or equal to 115.8%.

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"Requisite Noteholders": The Holders of at least 66-2/3% of the Aggregate Principal Amount of (a) the Class A-1 Notes so long as any Class A-1 Notes remain Outstanding, (b) thereafter, the Class A-2 Notes, so long as any Class A-2 Notes remain Outstanding, (c) thereafter, the Class B Notes, so long as any Class B Notes remain Outstanding, (d) thereafter, the Class C Notes, so long as any Class C Notes remain Outstanding, (e) thereafter, the Class D Notes, so long as any Class D Notes remain Outstanding, (f) thereafter, the Class E Notes, so long as any Class E Notes remain Outstanding, and (g) thereafter, the Class F Income Notes, so long as any Class F Income Notes remain Outstanding.

"Reserved Fee Income Amount": With respect to each Synthetic Letter of Credit that does not satisfy clause (c)(x) of the definition thereof, an amount equal to the full amount of withholding tax that would have been withheld with respect to such fee income received by the Issuer or either Subsidiary Holding Company on such Synthetic Letter of Credit if it had been determined by the relevant withholding agent that such fee was subject to withholding tax at the time of such payment (excluding, for the avoidance of doubt, any compensation payable for any deposit of a pre-funded amount).

"Revolving Loan Deposit": With respect to any Revolving Loan or Delayed Funding Loan, the deposit required to be delivered to the Trustee for deposit into the Loan Funding Account on the date on which such Revolving Loan or Delayed Funding Loan is acquired by the Issuer, in an amount equal to 100% of the Unfunded Commitment with respect thereto.

"Revolving Loans": Loans that provide the borrower with a line of credit against which one or more borrowings may be made and that provide that such borrowed amounts may be repaid and reborrowed from time to time.

"Rule 144A Global Notes": With respect to the Co-Issued Notes sold in the United States or to U.S. Persons pursuant to Rule 144A under the Securities Act, permanent global notes in definitive, fully registered form without interest coupons attached.

"S&P": Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc., and any successor or successors thereto.

"S&P CDO Monitor": The dynamic, analytical computer program developed by S&P used to estimate default risk of the portfolio of Collateral Debt Obligations as provided to the Issuer, the Trustee, the Collateral Manager and the Collateral Administrator by S&P (along with such instructions and assumptions necessary to run such program) on or before the Closing Date, as such model may be modified by S&P following the Closing Date. For the purpose (and only for the purpose) of applying the S&P CDO Monitor to a portfolio of obligations (including Synthetic Securities), for each obligation in the portfolio, the rating of such obligation will be deemed to be the S&P Rating thereof.

The Collateral Manager will identify (and will notify the Trustee in writing of such identification) the applicable model based on the matrix below (the "S&P CDO Monitor Test Matrix") to be used for the purpose of determining compliance with the S&P CDO Monitor Test (the "Applicable S&P CDO Monitor") assuming that in each case, the S&P Recovery Rate with respect to the Class A-1 Notes is equal to 54.4%, the S&P Recovery Rate with respect to the Class A-2 Notes is equal to 54.4%, the S&P Recovery Rate with respect to the Class B Notes is equal to 62.0% and the S&P Recovery Rate with respect to the Class C Notes is equal to 64.9%.

S&P CDO Monitor Test Matrix

Weighted Average Spread with respect to all Collateral Debt Obligations

Applicable S&P CDO Monitor

Greater than or equal to 1.50% but less than 1.60% 1

Greater than or equal to 1.60% but less than 1.70% 2

Greater than or equal to 1.70% but less than 1.80% 3

Greater than or equal to 1.80% but less than 1.90% 4

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Weighted Average Spread with respect to all Collateral Debt Obligations

Applicable S&P CDO Monitor

Greater than or equal to 1.90% but less than 2.00% 5

Greater than or equal to 2.00% but less than 2.10% 6

Greater than or equal to 2.10% but less than 2.20% 7

Greater than or equal to 2.20% but less than 2.30% 8

Greater than or equal to 2.30% but less than 2.40% 9

Greater than or equal to 2.40% but less than 2.50% 10

Greater than or equal to 2.50% but less than 2.60% 11

Greater than or equal to 2.60% but less than 2.70% 12

Greater than or equal to 2.70% but less than 2.80% 13

Greater than or equal to 2.80% but less than 2.90% 14

Greater than or equal to 2.90% but less than 3.00% 15

Greater than or equal to 3.00% 16

"S&P CDO Monitor Test": A test that will be satisfied if, after giving effect to the purchase of any Collateral Debt Obligation, the Class A-1 Default Differential of the Proposed Portfolio is not negative, the Class A-2 Default Differential of the Proposed Portfolio is not negative, the Class B Default Differential of the Proposed Portfolio is not negative and the Class C Default Differential of the Proposed Portfolio is not negative. The S&P CDO Monitor Test will be considered to be improved if the Class A-1 Default Differential of the Proposed Portfolio is at least equal to the Class A-1 Default Differential of the Current Portfolio, the Class A-2 Default Differential of the Proposed Portfolio is at least equal to the Class A-2 Default Differential of the Current Portfolio, the Class B Default Differential of the Proposed Portfolio is at least equal to the Class B Default Differential of the Current Portfolio and the Class C Default Differential of the Proposed Portfolio is at least equal to the Class C Default Differential of the Current Portfolio. The S&P CDO Monitor Test is not required to be satisfied or improved upon the sale of a Credit Risk Obligation and the reinvestment of the related Sale Proceeds in substitute Collateral Debt Obligations. In applying the S&P CDO Monitor Test, the Issuer shall use the relevant version of the S&P CDO Monitor Test that corresponds to the then applicable Weighted Average Spread of the Collateral Debt Obligations in the Collateral to determine the appropriate break-even default rate for each Class of Co-Issued Notes.

"S&P CRR": With respect to any Collateral Debt Obligation, a corporate recovery rate assigned by S&P to such Collateral Debt Obligation.

"S&P Minimum Weighted Average Recovery Rate Test": On any date of determination on or after the Effective Date, a test that is satisfied if each of the Class A-1 S&P Minimum Weighted Average Recovery Rate Test, the Class A-2 S&P Minimum Weighted Average Recovery Rate Test, the Class B S&P Minimum Weighted Average Recovery Rate Test and the Class C S&P Minimum Weighted Average Recovery Rate Test is satisfied.

"S&P Rating": For purposes of determining the S&P Rating as of any date of determination, with respect to any Collateral Debt Obligation:

(i) subject to clause (ii) below, if there is an issuer credit rating of such Collateral Debt Obligation by S&P (which, if guaranteed, complies in form with S&P's then current criteria for guarantees), then the S&P Rating of such Collateral Debt Obligation shall be the most current issuer credit rating for such Collateral Debt Obligation

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(provided that, if such rating is private or confidential, S&P shall require obligor consent prior to disclosing such rating which shall be obtained by the Issuer or the Collateral Manager); otherwise,

(ii) if the Collateral Debt Obligation is a DIP Loan, then (a) if the DIP Loan is rated by S&P, the S&P Rating will be such credit rating or (b)(x) the Issuer or the Collateral Manager shall apply to S&P for a credit estimate of the DIP Loan on or prior to the acquisition of the DIP Loan and (y) pending receipt of such credit estimate from S&P, the Collateral Manager, on behalf of the Issuer, shall provide S&P with the information requested by S&P to assign a credit estimate to such DIP Loan and, during the time which the credit estimate is pending, such DIP Loan shall have an S&P Rating estimated by the Collateral Manager in its commercially reasonable judgment until such time as S&P assigns a credit estimate to such DIP Loan, after which day such DIP Loan shall have an S&P Rating equal to the credit estimate issued by S&P or, if the Collateral Manager does not provide S&P with the information requested by S&P to assign a credit estimate to such DIP Loan within 30 days after the acquisition of such DIP Loan, until the 90th day following acquisition of such DIP Loan, after which 90th day such DIP Loan shall have an S&P Rating of "CCC-" until S&P provides a credit estimate; provided that (I) if the Collateral Manager has provided all of the information requested by S&P in order to provide a credit estimate, the Collateral Manager may apply (which application may be by email to Credit_estimates@sandp.com) to S&P for an extension of the 90-day period referred to above and, if S&P in its sole discretion consents to such extension (which consent may be provided by email), the S&P Rating estimated by the Collateral Manager for such DIP Loan shall apply for the longer period specified in such consent and (II) prior to the expiration of a 12-month period following the acquisition of such DIP Loan by the Issuer (and thereafter, each such 12-month period), the Collateral Manager shall request from S&P an annual review of such credit estimate in accordance with the procedure set out in this clause (ii) and shall provide S&P with any information reasonably requested by S&P in connection therewith; otherwise,

(iii) if there is no issuer credit rating of the Collateral Debt Obligation by S&P, then the S&P Rating for such Collateral Debt Obligation may be determined using any one of the methods below:

(a) if there is no issuer credit rating of such Collateral Debt Obligation by S&P, but there is an issue rating of another security or obligation of the issuer of such Collateral Debt Obligation by S&P, then the S&P Rating of such Collateral Debt Obligation shall be determined as follows: (a) if there is an issue rating on a senior secured obligation of the issuer, then the S&P Rating of such Collateral Debt Obligation shall be one subcategory below such rating; (b) if there is an issue rating on a senior unsecured obligation of the issuer, then the S&P Rating of such Collateral Debt Obligation shall equal such rating; and (c) if there is an issue rating on a subordinated obligation of the issuer, then the S&P Rating of such Collateral Debt Obligation shall be one subcategory above such rating;

(b) if such Collateral Debt Obligation is publicly rated by Moody's, then the S&P Rating will be (1) one subcategory below the S&P equivalent of the rating assigned by Moody's if such security is rated "Baa3" or higher by Moody's and (2) two subcategories below the S&P equivalent of the rating assigned by Moody's if such security is rated "Ba1" or lower by Moody's; provided, however, that the Aggregate Principal Amount of the Collateral Debt Obligations given an S&P Rating based on a rating given by Moody's as provided in this subclause (b) may not exceed 10% of the Aggregate Collateral Balance after giving effect to any purchase of such Collateral Debt Obligation;

(c) so long as any of the Co-Issued Notes remain Outstanding, if any Collateral Debt Obligation not publicly rated by S&P or Moody's, (x) the Issuer or the Collateral Manager shall apply to S&P for such credit estimate on or prior to the acquisition of the Collateral Debt Obligation, (y) pending receipt of such credit estimate from S&P, the Collateral Manager, on behalf of the Issuer, shall provide S&P with the information requested by S&P to assign a credit estimate to such Collateral Debt Obligation and, during the time which the credit estimate is pending, such Collateral Debt Obligation shall have an S&P Rating estimated by the Collateral Manager in its commercially reasonable judgment until such time as S&P assigns a credit estimate to such Collateral Debt Obligation, after which day such Collateral Debt Obligation shall have an S&P Rating equal to the credit estimate issued by S&P or, if the Collateral Manager does not

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provide S&P with the information requested by S&P to assign a credit estimate to such Collateral Debt Obligation within 30 days after the acquisition of such Collateral Debt Obligation, until the 90th day following acquisition of such Collateral Debt Obligation, after which 90th day such Collateral Debt Obligation shall have an S&P Rating of "CCC-" until S&P provides a credit estimate; provided that (I) if the Collateral Manager has provided all of the information requested by S&P in order to provide a credit estimate, the Collateral Manager may apply (which application may be by email to Credit_estimates@sandp.com) to S&P for an extension of the 90-day period referred to above and, if S&P in its sole discretion consents to such extension (which consent may be provided by email), the S&P Rating estimated by the Collateral Manager for such Collateral Debt Obligation shall apply for the longer period specified in such consent and (II) prior to the expiration of a 12-month period following the acquisition of such Collateral Debt Obligation by the Issuer (and thereafter, each such 12-month period), the Collateral Manager shall request from S&P an annual review of such credit estimate in accordance with the procedure set out in this clause (c) and shall provide S&P with any information reasonably requested by S&P in connection therewith;

If the issuer credit rating or the issue rating of the Collateral Debt Obligation as applied in clause (i) or (ii) is on S&P's CreditWatch list with a "positive" designation, then, for the purposes of such clauses, such issuer credit rating or issue rating shall be raised by one rating subcategory; and if the issuer credit rating or the issue rating of the Collateral Debt Obligation as applied in clause (i) or (ii) is on S&P's CreditWatch list with a "negative" designation and such issuer credit rating or issue rating is equal to or greater than "CCC ", then, for the purposes of such clauses, such issuer credit rating or issue rating shall be lowered by one rating subcategory.

If the issuer (or guarantor, as applicable) is not organized or incorporated in the United States and its territories, then the reference to the S&P issuer credit rating in this definition shall mean the S&P foreign currency issuer credit rating.

Notwithstanding anything to the contrary, any S&P credit rating that contains a qualifier, including "f", "p", "pi", "t", "r" and "q", shall not be a valid rating for use in this definition and any credit estimate provided by S&P shall only be valid for one year, at which time the Collateral Manager must reapply for another credit estimate in accordance with clause (iii)(c) above and the procedures and time-periods specified therein shall be applicable.

For the avoidance of doubt, the ratings of any Collateral Debt Obligation that is on S&P's CreditWatch list will be adjusted pursuant to the applicable paragraphs in this definition of "S&P Rating".

"S&P Rating Agency Confirmation": With respect to any action that is proposed to be taken by the Issuer requiring satisfaction of the S&P Rating Agency Confirmation, a condition that is satisfied when S&P has confirmed in writing to the Issuer and the Trustee that no immediate downgrade or withdrawal with respect to the then-current rating by S&P of any Class of Co-Issued Notes will occur as a result of such action; provided that the S&P Rating Agency Confirmation will be deemed to be satisfied if no Class of Co-Issued Notes Outstanding is rated by S&P.

"S&P Recovery Rate": As of any date of determination, with respect to any Collateral Debt Obligation, the percentage for such Collateral Debt Obligation set forth in (x) the applicable table below, (y) the row in such table opposite the S&P CRR (or, if the relevant assets have no S&P CRR, the senior secured recovery rating, the U.S. loan recovery rating or the CDO liability rating, as applicable) of such Collateral Debt Obligation and (z) the column in such table below the initial S&P Rating of the respective Class of Co-Issued Notes; provided, however that (i) with respect to a DIP Loan or a Deemed Floating Rate Collateral Debt Obligation, the S&P Recovery Rate shall be the recovery rate assigned by S&P and (ii) the Issuer or the Collateral Manager may request the assignment of a recovery rate from S&P with respect to any Collateral Debt Obligation, with any such assignment by S&P to be in writing (electronic or otherwise).

Table I (if the Collateral Debt Obligation has an S&P CRR): Recovery Rates For Assets With Corporate Recovery Ratings

Rating of Class of Notes* AAA AA A BBB BB B & CCC

S&P CRR

(%)

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1+ 100 100 100 100 100 100 1 92 94 96 98 100 100 2 78 81 84 87 90 90 3 58 61 64 67 70 70 4 38 41 44 47 50 50 5 16 20 24 27 30 30 6 6 7 8 9 10 10 _______________________ * As of the Closing Date.

Table II (if the Collateral Debt Obligation is a Senior Unsecured Loan and has no S&P CRR, but other senior secured corporate debt of the same obligor has an S&P CRR): U.S. and Canada Recovery Rates of Corporate Senior Unsecured Debt If Senior Secured Debt Has A Recovery Rating

Rating of Class of

Notes* AAA AA A BBB BB B & CCC Senior secured recovery ratings

(%) 1+ 53 55 57 59 61 61 1 48 50 52 54 56 56 2 43 45 47 49 51 51 3 39 41 43 45 47 47 4 22 24 26 28 30 30 5 8 10 12 14 15 15 6 4 4 4 4 4 4 _______________________ * As of the Closing Date.

Table III (if the Collateral Debt Obligation is a subordinated obligation and has no S&P CRR, but other senior secured corporate debt of the same obligor has an S&P CRR): U.S. and Canada Recovery Rates of Corporate Subordinated Debt If Senior Secured Debt Has A Recovery Rating

Rating of Class of

Notes* AAA AA A BBB BB B & CCC Senior secured recovery ratings

(%) 1+ 25 25 25 25 25 25 1 22 22 22 22 22 22 2 20 20 20 20 20 20 3 20 20 20 20 20 20 4 10 10 10 10 10 10 5 5 5 5 5 5 5 6 2 2 2 2 2 2 _______________________ * As of the Closing Date.

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Table IV (if none of Table I, Table II or Table III is applicable): S&P's U.S. and Canada Tiered Corporate Recovery Rates (for Collateral Debt Obligations that do not have an S&P CRR)

Rating of Class of Notes* AAA AA A BBB BB B & CCC

U.S. loan recovery rates

(%) Senior Secured First-Lien Loans 56 60 64 67 70 70 Senior Secured Loans which are Covenant-Lite Loans 51 54 57 60 63 63 Senior Unsecured Loans and Second Lien Loans 40 42 44 46 48 48 Subordinated Lien Loans 22 22 22 22 22 22 _______________________ * As of the Closing Date.

** The Aggregate Principal Balance of all Second Lien Loans without an S&P CRR (excluding any Defaulted Obligations) that, in the aggregate, represent up to 15% of the Maximum Amount will have the S&P Recovery Rate specified for Second Lien Loans in the table above. The Aggregate Principal Balance of all Second Lien Loans without an S&P CRR (excluding any Defaulted Obligations) in excess of 15% of the Maximum Amount will have the S&P Recovery Rate specified for Subordinated Lien Loans in the table above.

Table V: European Tiered Corporate Recovery Rates (By Asset Class And CDO Liability Rating)

Rating of Class of Notes* AAA AA A BBB BB B & CCC CDO liability rating Senior secured loans (%) Group A 68 73 78 81 85 85 Group B 56 60 64 67 70 70 Group C 48 51 55 57 60 60 Senior secured Covenant-Lite loans (%) Group A 61 66 70 73 77 77 Group B 50 54 58 60 63 63 Group C 43 46 49 52 54 54 Mezz./second-lien/senior unsecured loans (%) Group A 45 47 50 52 54 54 Group B 40 42 44 46 48 48 Group C 35 37 39 40 42 42 Subordinated loans (%) Group A 20 20 20 20 20 20 Group B 20 20 20 20 20 20 Group C 17 17 17 17 17 17 _______________________ * As of the Closing Date. ** Group A: U.K., Ireland, Finland, Denmark, South Africa, Australia, New Zealand and The Netherlands. Group B: Belgium, Germany, Austria, Spain, Portugal, Luxembourg, Switzerland, Sweden, Norway, Hong Kong and Singapore. Group C: France, Italy, Greece, Japan, Korea and Taiwan. Table VI: Group A Europe and Asia Recovery If Senior Secured Debt Has A Recovery Rating

Rating of Class of Notes* AAA AA A BBB BB B & CCC CDO liability rating Senior unsecured debt Recovery ratings of senior secured (%) 1+ 65 68 71 73 76 76 1 57 60 63 65 68 68 2 50 53 55 57 59 59 3 42 45 47 49 51 51 4 18 18 18 18 18 18 5 8 8 8 8 8 8 6 4 4 4 4 4 4 Subordinated debt Recovery ratings of senior secured (%) 1+ 22 22 22 22 22 22 1 20 20 20 20 20 20 2 18 18 18 18 18 18 3 18 18 18 18 18 18 4 9 9 9 9 9 9 5 4 4 4 4 4 4

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Table VI: Group A Europe and Asia Recovery If Senior Secured Debt Has A Recovery Rating

Rating of Class of Notes* AAA AA A BBB BB B & CCC CDO liability rating 6 2 2 2 2 2 2 _______________________ * As of the Closing Date. Table VII: Group B Europe and Asia Recovery If Senior Secured Debt Has A Recovery Rating

Rating of Class of Notes* AAA AA A BBB BB B & CCC CDO liability rating Senior unsecured debt Recovery ratings of senior secured (%) 1+ 53 55 57 59 61 61 1 48 50 52 54 56 56 2 43 45 47 49 51 51 3 39 41 43 45 47 47 4 18 18 18 18 18 18 5 8 8 8 8 8 8 6 4 4 4 4 4 4 Subordinated debt Recovery ratings of senior secured (%) 1+ 22 22 22 22 22 22 1 20 20 20 20 20 20 2 18 18 18 18 18 18 3 18 18 18 18 18 18 4 9 9 9 9 9 9 5 4 4 4 4 4 4 6 2 2 2 2 2 2 _______________________ * As of the Closing Date. Table VIII: Group C Europe and Asia Recovery If Senior Secured Debt Has A Recovery Rating

Rating of Class of Notes* AAA AA A BBB BB B & CCC

CDO liability rating Senior unsecured debt Recovery ratings of senior secured (%) 1+ 45 46 48 49 51 51 1 41 43 44 46 47 48 2 37 39 41 42 44 44 3 33 36 37 39 40 41 4 16 16 16 16 16 16 5 6 6 6 6 6 6 6 3 3 3 3 3 3 Subordinated debt Recovery ratings of senior secured (%) 1+ 20 20 20 20 20 20 1 17 17 17 17 17 17 2 15 15 15 15 15 15 3 15 15 15 15 15 15 4 8 8 8 8 8 8 5 3 3 3 3 3 3 6 1 1 1 1 1 1 _______________________ * As of the Closing Date. In all recovery rate tables above, Note rating categories below "AAA" include rating subcategories (for example, the "AA" column also applies to Notes rated "AA+" and "AA-").

"S&P Weighted Average Recovery Rate": As of any date of determination, the number, expressed as a percentage, obtained for each Class of Notes according to the rating assigned to such Class of Notes by S&P by:

(a) summing the products obtained by multiplying the Principal Balance of each Collateral Debt Obligation included in the Collateral by its respective S&P Recovery Rate;

(b) dividing the sum determined pursuant to clause (i) above by the sum of the Aggregate Principal Balance of all Collateral Debt Obligations included in the Collateral; and

(c) rounding up to the first decimal place.

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"Sale and Purchase Agreement": The Sale and Purchase Agreement, to be dated as of the Closing Date, among the Swap Counterparty, CFPI and the Issuer, pursuant to which the Swap Counterparty and CFPI will transfer 100% of the ownership interests in the Subsidiary Holding Companies to the Issuer, as it may be amended or supplemented from time to time pursuant to the applicable provisions thereof.

"Sale Proceeds": All proceeds (including accrued interest) received with respect to Collateral Debt Obligations and Equity Securities, as the case may be, as a result of sales of such Collateral Debt Obligations or Equity Securities pursuant to the Indenture (including amounts received on the assignment or termination of a Synthetic Security), net of any reasonable amounts expended by the Collateral Manager or the Trustee in connection with such sale or other disposition.

"Scheduled Distribution": With respect to any Pledged Obligation or Synthetic Security Collateral other than any Defaulted Obligation, for each Due Date after the date of determination, the scheduled payment of principal and/or interest due on such Due Date with respect to such Pledged Obligation or Synthetic Security Collateral, determined in accordance with the Underlying Instrument and the assumptions set forth in the Indenture.

"Second Lien Loan": A Secured Loan which (i) is not subordinated in right of payment by its terms to unsecured indebtedness of the obligors for borrowed money (other than with respect to liquidation, trade claims, capitalized leases or other similar obligations), but which is subordinated (with respect to liquidation preferences with respect to pledged collateral) to other secured obligations of the obligors secured by all or a portion of the collateral securing such Secured Loan and (ii) is secured by a valid second priority perfected security interest or lien in, to or on specified collateral securing the obligor's obligations under the Second Lien Loan.

"Secured Loan": A senior secured loan obligation (which shall include a Second Lien Loan) of any corporation, partnership or trust.

"Secured Parties": The Trustee, the Holders of the Co-Issued Notes, the Collateral Manager, the Collateral Administrator, each Hedge Counterparty, each Synthetic Securities Counterparty, the Swap Counterparty and CFPI (with respect to the Swap Counterparty and CFPI, solely with respect to the indemnification by the Issuer arising out of or based upon any funding obligations under any Revolving Loan or Delayed Funding Loan (or Participation related thereto) in accordance with the terms of the Sale and Purchase Agreement).

"Securities Act": The United States Securities Act of 1933, as amended.

"Selling Institution": An institution from which the Issuer acquires a participation interest in a loan or in a security.

"Senior Collateral Management Fee": With respect to a Payment Date, a fee equal to 0.15% per annum on the Fee Basis Amount for such date (calculated on the basis of a 360-day year consisting of twelve 30-day months); provided, that if on any Payment Date amounts available in accordance with the Priority of Payments are insufficient to pay in full the Senior Collateral Management Fee then payable or the Collateral Manager has, in its sole discretion, elected to defer its receipt of all or a portion of the Senior Collateral Management Fee then payable, the Senior Collateral Management Fee (or portion thereof) shall (subject to the Collateral Manager's right again to defer such payment) be deferred and payable, together with interest thereon (such interest, "Senior Collateral Management Fee Interest") on the next Payment Date on which sufficient amounts are available in accordance with the Priority of Payments to make such payment, until such fee is paid in full; provided that, on each Payment Date, the payment of any deferred Senior Collateral Management Fee (or portion thereof) and any Senior Collateral Management Fee Interest (or portion thereof) shall only be made if such payment can be made without causing an Event of Default. Unless explicitly stated otherwise, all references herein and in the Collateral Management Agreement to the Senior Collateral Management Fee shall include any Senior Collateral Management Fee Interest which has accrued on any prior unpaid Senior Collateral Management Fees. Senior Collateral Management Fee Interest shall accrue at the rate of three-month LIBOR plus 0.15% per annum for each Periodic Interest Accrual Period from (and including) the Payment Date on which any deferred Senior Collateral Management Fees were originally payable to (but excluding) the date of payment thereof (computed on the basis of a 360-day year and the actual number of days elapsed during the applicable Periodic Interest Accrual Period).

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"Senior Note Register": The register maintained by the Senior Note Registrar on behalf of the Issuer under the Indenture.

"Senior Note Registrar": LaSalle Bank National Association, in its capacity as the registrar and transfer agent with respect to the Senior Notes.

"Senior Noteholder": With respect to any Senior Note, the Person in whose name such Senior Note is registered in the Senior Note Register.

"Senior Notes": The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes.

"Senior Secured Loan": A Loan that (i) is not (and by its terms is not permitted to become) subordinate in right of payment to any other debt obligation of the obligor with respect to such Senior Secured Loan, (ii) is secured by a valid first priority perfected security interest or lien on specified collateral securing the obligor's obligations under such Senior Secured Loan, which security interest or lien is not subordinate to the security interest or lien securing any other obligation of the obligor with respect to such Senior Secured Loan, (iii) is not a Loan secured solely by equity and (iv) the value of the collateral securing such Loan, together with other attributes of the obligor with respect to such Senior Secured Loan made by the obligor (including, without limitation, its general financial condition, ability to generate cash flow available for debt service and other obligations and liabilities of such obligor that may be satisfied from such cash flow) is adequate, in the reasonable judgment of the Collateral Manager, to repay such Loan in accordance with its terms and to repay all other Loans of equal seniority which are secured by a first priority perfected security interest or lien on the same collateral; provided that, with respect to clauses (i) and (ii) above, such right of payment, security interest or lien may be subordinate to customary permitted liens, such as, but not limited to, tax liens.

"Senior Unsecured Loan": A Loan that (i) is not (and by its terms is not permitted to become) subordinate in right of payment to any other senior unsecured debt obligation of the obligor and (ii) is not a Senior Secured Loan.

"Share Trustee": Walkers SPV Limited and its permitted successors.

"Spread Excess": As of any date of determination, a fraction (expressed as a percentage) the numerator of which is equal to the product of (a) the greater of zero and the excess, if any, of the Weighted Average Spread for such date over the Minimum Weighted Average Spread and (b) the Aggregate Principal Amount of all Pledged Obligations that are Floating Rate Collateral Debt Obligations and Deemed Floating Rate Collateral Debt Obligations (excluding Defaulted Obligations) and the denominator of which is the Aggregate Principal Amount of all Pledged Obligations that are Fixed Rate Collateral Debt Obligations (excluding Defaulted Obligations and Deemed Floating Rate Collateral Debt Obligations).

"Stated Maturity Date": The Payment Date in October, 2020.

"Step-Up Obligation": A Collateral Debt Obligation which by the terms of the related Underlying Instruments provides for an increase in the per annum interest rate on such security or, in the spread over the applicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Up Obligation shall exclude any such security providing for payment of a constant rate of interest at all times after the date of acquisition by the Issuer. In calculating any Collateral Quality Test defined herein by reference to the spread (in the case of a floating rate Step-Up Obligation) or coupon (in the case of a fixed rate Step-Up Obligation) of a Step-Up Obligation, the spread or coupon on any date shall be deemed to be the spread or coupon stated to be payable in cash and in effect on such date.

"Structured Finance Security" A non-recourse or limited recourse obligation or interest that is issued by a special purpose vehicle and secured or backed solely by all or a portion of the assets thereof, including, without limitation, a project finance security, an asset-backed security, a collateralized debt obligation security, an enhanced equipment trust certificate, a commercial or residential mortgage-backed security or a future flow security.

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"Subordinated Collateral Management Fee": With respect to a Payment Date, a fee equal to 0.20% per annum on the Fee Basis Amount for such date (calculated on the basis of a 360-day year consisting of twelve 30-day months); provided that if on any Payment Date amounts available in accordance with the Priority of Payments are insufficient to pay in full the Subordinated Collateral Management Fee then payable or the Collateral Manager has, in its sole discretion, elected to defer its receipt of all or a portion of the Subordinated Collateral Management Fee then payable, the Subordinated Collateral Management Fee (or portion thereof) shall (subject to the Collateral Manager's right again to defer such payment) be deferred and payable, together with interest thereon (such interest, "Subordinated Collateral Management Fee Interest") on the next Payment Date on which sufficient amounts are available in accordance with the Priority of Payments to make such payment, until such fee is paid in full. Unless explicitly stated otherwise, all references herein and in the Collateral Management Agreement to the Subordinated Collateral Management Fee shall include any Subordinated Collateral Management Fee Interest which has accrued on any prior unpaid Subordinated Collateral Management Fees. Subordinated Collateral Management Fee Interest shall accrue at the rate of three-month LIBOR plus 0.75% per annum for each Periodic Interest Accrual Period from (and including) the Payment Date on which any deferred Subordinated Collateral Management Fees were originally payable to (but excluding) the date of payment thereof (computed on the basis of a 360-day year and the actual number of days elapsed during the applicable Periodic Interest Accrual Period).

"Subordinated Termination Event": An "event of default" or a "termination event" (each as defined in any related Hedge Agreement), in each case, as to which the Hedge Counterparty is the "defaulting party" or the sole "affected party" (each as defined in any related Hedge Agreement).

"Swap and Security Documents": With respect to the purchase of any Synthetic Security, any Credit Support Annex or any other security agreement, Schedule to the ISDA Master Agreement, Confirmation and the ISDA Master Agreement which may be either (i) in the form of the documents in respect of which has satisfied the Global Rating Agency Confirmation with respect to the use thereof by the Issuer; provided that (x) if S&P or Moody's notifies the Trustee or the Collateral Manager that it has withdrawn form-approved status with respect to particular Swap and Security Documents (which withdrawal may be effected on written notice), then the Issuer shall no longer use such form of Swap and Security Documents, but such withdrawal of form-approved status shall not affect the status of any Synthetic Security entered into or acquired by the Issuer using such form prior to the withdrawal of form-approved status and (y) any amendment or modification to such Swap and Security Documents shall be subject to the Global Rating Agency Confirmation and the consent of the Trustee and the Collateral Manager or (ii) be in another form; provided that, in the case of clause (ii), the Issuer will have received a Global Rating Agency Confirmation with respect to the use of such Credit Support Annex or such other security agreement, Schedule to the ISDA Master Agreement and Confirmation with respect to such Synthetic Security. Any form of the documents used to enter into or acquire Synthetic Securities must remain in the form which satisfied the Global Rating Agency Confirmation; provided that the Swap and Security Documents may be changed to reflect the particular trade terms of each transaction (including names, account numbers, interest rates, dollar amounts, reference obligations and similar information).

"Synthetic Letter of Credit": Any letter of credit facility that requires a lender party thereto to pre-fund in full its obligations thereunder; provided that (a) any such lender (i) shall have no further funding obligation thereunder and (ii) shall have a right to be reimbursed or repaid by the borrower its pro rata share of any draws on a letter of credit issued thereunder, (b) the Person specified in the Underlying Instrument that holds the deposit of the pre-funded amounts in respect of a letter of credit facility shall satisfy the Synthetic Letter of Credit Deposit Requirement at the time of such deposit and (c) either (x)(i) the Collateral Manager confirms that payments and other amounts in respect of any fee income received by the Issuer (including through its ownership of the Subsidiary Holding Companies) in respect of such letter of credit are being withheld by the agent bank, (ii) “gross-up” payments that cover the full amount of any withholding tax will be made to the Issuer or (iii) the Issuer (or the Collateral Manager on its behalf) has received an opinion from nationally recognized tax counsel (on which S&P may rely) to the effect that payments with respect to such facility are not subject to withholding tax or a public pronouncement or ruling has been made by the relevant tax authority to the same effect, or (y) promptly following receipt by the Issuer (including through its ownership of the Subsidiary Holding Companies) of any fee income or other amounts in respect of such letter of credit, the Trustee (on behalf and at the direction of the Issuer) shall deposit into the Synthetic Letter of Credit Reserve Account an amount equal to the Reserved Fee Income Amount.

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"Synthetic Letter of Credit Deposit Requirement": A requirement that will be satisfied with respect to any Person that holds the deposit of the pre-funded amounts in respect of a Synthetic Letter of Credit if, as of the time of measurement, such Person, to the extent such Person is authorized under the laws of the United States of America or of any state thereof to exercise corporate trust powers, has a combined capital and surplus of at least $200,000,000, subject to supervision or examination by federal or state banking authority, and has (i) a long-term debt rating of at least "Baa1" by Moody's or a short-term rating of at least "P-1" by Moody's (and not on watch for possible downgrade by Moody's) and (ii) has a short-term rating of at least "A–1", and not "A–1" on credit watch for downgrade by S&P (or if it has no short term rating, a long-term rating of at least "A+" and not "A+" and on credit watch for downgrade).

"Synthetic Letter of Credit Reserve Account": A single, segregated securities account held in the name of the Trustee described under "Security for the Co-Issued Notes—The Synthetic Letter of Credit Reserve Account".

"Synthetic Security": Any U.S. dollar-denominated single-name default swap (which may require Synthetic Security Collateral) or single name credit-linked note entered into with or issued by a Synthetic Security Counterparty, in each case which has a credit performance and expected loss characteristics linked to a Reference Obligation that is a Collateral Debt Obligation that is a U.S. dollar denominated Loan but which may provide for a different maturity date, payment dates, interest rate or other non-credit characteristics than such Reference Obligation; provided that (a)(i) the purchase of such Synthetic Security satisfies the S&P Rating Agency Confirmation (and the S&P Recovery Rate for such Synthetic Security has been obtained from S&P on a case by case basis) and Moody's has assigned a Moody's Rating Factor and a Moody's Recovery Rate to such Synthetic Security at the time of its acquisition and (ii) payments on any such Synthetic Security may vary based on payments on, or value of the related Reference Obligation in, a 1:1 ratio only, (b) the "credit events" under any Synthetic Security may include only "bankruptcy" and/or "failure to pay" and may be settled through either physical delivery of a Deliverable Obligation or, at the option of the Issuer, by cash settlement (as defined in the related Swap and Security Documents), (c) if the Reference Obligation related to such Synthetic Security is a Senior Secured Loan, any Deliverable Obligation is required to be a Senior Secured Loan that ranks at least pari passu with the related Reference Obligation, (d) the obligation category of such Synthetic Security shall not include "Payment" (as defined in the related Swap and Security Documents) and the obligation characteristics of such Synthetic Security shall include "Not Subordinated" (as defined in the related Swap and Security Documents) and (e) such Synthetic Security shall contain customary "non-petition" and "limited recourse" provisions (to the extent that the Issuer has contractual payment or other obligations to the Synthetic Security Counterparty). With respect to a Synthetic Security, the considerations set forth in "Security for the Co-Issued Notes—Criteria for Purchase of Collateral" will be applied for purposes of calculating the Average Debt Rating and the Total Diversity Score and determining compliance with the Eligibility Criteria and the Post Reinvestment Period Criteria, as applicable.

"Synthetic Security Collateral": Either (a) Eligible Investments that have daily liquidity or (b) for Synthetic Securities in which the Synthetic Security Counterparty agrees to accept the risk of delivery and market value fluctuations with respect to such Synthetic Security Collateral, debt obligations which would satisfy the definition of "Collateral Debt Obligation" but which have a Moody's Rating of at least "Aaa" and are not on negative credit watch and an S&P Rating of at least "AAA" or other investments as to which the Rating Agencies will have confirmed in writing that the purchase of such investment will not cause either Rating Agency to qualify, downgrade or withdraw its then-current ratings on any Class of the Co-Issued Notes, in each case which mature no later than the Stated Maturity Date; provided that (i) any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty which satisfies the definition of "Eligible Investments" will be treated as Eligible Investments and (ii) any Synthetic Security Collateral released from the lien of the related Synthetic Security Counterparty which satisfies the definition of "Collateral Debt Obligation" will be treated as Collateral Debt Obligations.

"Synthetic Security Counterparty": The entity required to make the payments on a Synthetic Security to the extent and in the manner set forth in the Swap and Security Documents; provided that such entity will, at the time of purchase of the Synthetic Security, be rated at least "A2" by Moody's (and not on negative credit watch) and have a short-term rating of at least "A-1" or if such entity does not have a short-term rating from S&P, a long-term rating of at least "A+" by S&P; and provided, further, that, at the time any Synthetic Security is acquired by the Issuer, the percentage of the Aggregate Collateral Balance that is represented by Synthetic Securities entered into by the Issuer with a single Synthetic Security Counterparty will not exceed the individual percentage set forth below for the credit rating of such Synthetic Security Counterparty (or its Affiliates) and the percentage of the Aggregate Collateral

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Balance that is represented by Synthetic Securities entered into by the Issuer with counterparties having the same credit rating will not exceed the aggregate percentage set forth below for such credit rating.

Rating Individual Synthetic Security

Counterparty Aggregate Synthetic Security

Counterparty Limit Limit 20% 20% 10% 10% 10% 10% 10% 10% 5% 5%

Moody's Aaa Aa1 Aa2 Aa3 A1 A2 5% 5%

"Synthetic Security Collateral Account": The custodial account titled "LaSalle Bank National Association, as Trustee, in trust for the benefit of the related Synthetic Security Counterparty – Hudson Canyon Funding II Synthetic Security Collateral Account", established with the custodian in the name of the Trustee pursuant to the Indenture. Each sub-account of the Synthetic Security Collateral Account will be established in the name of the Trustee and the name of the applicable Synthetic Security Counterparty, and a separate sub-account of the Synthetic Security Collateral Account will be established relating to each Synthetic Security for which the Issuer pledges Synthetic Security Collateral.

"Synthetic Security Issuer Account": The custodial account titled "LaSalle Bank National Association, as Trustee, in trust for the benefit of the Secured Parties – Hudson Canyon Funding II Synthetic Security Issuer Account," established with LaSalle Bank National Association, as custodian, in the name of the Trustee pursuant to the Indenture. Each sub-account of the Synthetic Security Issuer Account shall be established in the name of the Trustee, and a separate sub-account of the Synthetic Security Issuer Account shall be established relating to each Synthetic Security Counterparty.

"Tax Advantaged Jurisdiction": (a) One of the jurisdictions of the Bahamas, Bermuda, the British Virgin Islands, the Cayman Islands, the Channel Islands, Jersey, the Netherlands Antilles, Singapore or the U.S. Virgin Islands so long as each such jurisdiction is rated at least "Aa2" by Moody's, or (b) upon Global Rating Agency Confirmation being obtained with respect to the treatment of another jurisdiction as a Tax Advantaged Jurisdiction, such other jurisdiction.

"Tax Event": An event that occurs if (i) any obligor under any Collateral Debt Obligation or Hedge Counterparty is required to deduct or withhold from any payment under such Collateral Debt Obligation or Hedge Agreement to the Issuer for or on account of any tax for whatever reason (other than withholding tax on fees received with respect to a Synthetic Letter of Credit) and such obligor or Hedge Counterparty is not required to pay to the Issuer such additional amount as is necessary to ensure that the net amount actually received by the Issuer (free and clear of taxes, whether assessed against such obligor or the Issuer) will equal the full amount that the Issuer would have received had no such deduction or withholding occurred, (ii) any jurisdiction imposes (or, in the Opinion of Counsel, it becomes reasonably likely that any jurisdiction will impose or will seek to impose) net income, profits or similar tax on the Issuer, or (iii) the Issuer or the Paying Agent is required (or, in the Opinion of Counsel, it is reasonably likely that that the Issuer or Paying Agent will be required) to deduct or withhold amounts on account of tax in respect of payments on the Class F Income Notes (wherever imposed).

"Total Diversity Score": A single number that measures concentrations among the Collateral Debt Obligations in the Collateral, in terms of both obligors and obligor industries, in the manner set forth below. As of any date of determination, the Total Diversity Score for the Collateral Debt Obligations in the Collateral (other than Defaulted Obligations and Equity Securities) is the sum of the Industry Diversity Scores for all Moody's Industry Classification Groups represented in the Collateral Debt Obligations, calculated in the manner described herein. For purposes of calculating the Total Diversity Score, any Synthetic Security will be treated as a Collateral Debt Obligation having the characteristics of the underlying Reference Obligation and not the Synthetic Security.

(a) Generally:

(i) An "Average Par Amount" is calculated by summing the Obligor Par Amount for each obligor of Collateral Debt Obligations in the Collateral, and dividing by the number of

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obligors with respect to all Collateral Debt Obligations in the Collateral as of the date of determination.

(ii) For purposes of calculating the Total Diversity Score, obligors that are Affiliates of one another will be considered a single obligor.

(iii) If an Aggregate Industry Equivalent Unit Score falls between two entries in the Diversity Score Table below, then the Total Diversity Score is found using the lesser of the two entries.

(b) With respect to Collateral Debt Obligations in the Collateral, for purposes of computing the Total Diversity Score:

(i) The "Obligor Par Amount" for each obligor with respect to a Collateral Debt Obligation represented in the Collateral is the sum of the par amounts of all Collateral Debt Obligations in the Collateral issued by such obligor.

(ii) The "Equivalent Unit Score" for each obligor with respect to the Collateral Debt Obligations is the lesser of (a) one and (b) the Obligor Par Amount for such obligor divided by the Average Par Amount.

(iii) The "Aggregate Industry Equivalent Unit Score" for each Moody's Industry Classification Group is the sum of the Equivalent Unit Scores for all obligors in such group.

(iv) The "Industry Diversity Score" for each Moody's Industry Classification Group is the Total Diversity Score corresponding to the Aggregate Industry Equivalent Unit Score for such group, as set out in the Diversity Score Table below, provided that, if any such score falls between any two entries in the Diversity Score Table, then the Total Diversity Score will be the lesser of the two entries.

Diversity Score Table

Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

0.0000 0.0000 5.0500 2.7000 10.1500 4.0200 15.2500 4.5300 0.0500 0.1000 5.1500 2.7333 10.2500 4.0300 15.3500 4.5400 0.1500 0.2000 5.2500 2.7667 10.3500 4.0400 15.4500 4.5500 0.2500 0.3000 5.3500 2.8000 10.4500 4.0500 15.5500 4.5600 0.3500 0.4000 5.4500 2.8333 10.5500 4.0600 15.6500 4.5700 0.4500 0.5000 5.5500 2.8667 10.6500 4.0700 15.7500 4.5800 0.5500 0.6000 5.6500 2.9000 10.7500 4.0800 15.8500 4.5900 0.6500 0.7000 5.7500 2.9333 10.8500 4.0900 15.9500 4.6000 0.7500 0.8000 5.8500 2.9667 10.9500 4.1000 16.0500 4.6100 0.8500 0.9000 5.9500 3.0000 11.0500 4.1100 16.1500 4.6200 0.9500 1.0000 6.0500 3.0250 11.1500 4.1200 16.2500 4.6300 1.0500 1.0500 6.1500 3.0500 11.2500 4.1300 16.3500 4.6400 1.1500 1.1000 6.2500 3.0750 11.3500 4.1400 16.4500 4.6500 1.2500 1.1500 6.3500 3.1000 11.4500 4.1500 16.5500 4.6600 1.3500 1.2000 6.4500 3.1250 11.5500 4.1600 16.6500 4.6700 1.4500 1.2500 6.5500 3.1500 11.6500 4.1700 16.7500 4.6800 1.5500 1.3000 6.6500 3.1750 11.7500 4.1800 16.8500 4.6900 1.6500 1.3500 6.7500 3.2000 11.8500 4.1900 16.9500 4.7000 1.7500 1.4000 6.8500 3.2250 11.9500 4.2000 17.0500 4.7100 1.8500 1.4500 6.9500 3.2500 12.0500 4.2100 17.1500 4.7200 1.9500 1.5000 7.0500 3.2750 12.1500 4.2200 17.2500 4.7300 2.0500 1.5500 7.1500 3.3000 12.2500 4.2300 17.3500 4.7400 2.1500 1.6000 7.2500 3.3250 12.3500 4.2400 17.4500 4.7500 2.2500 1.6500 7.3500 3.3500 12.4500 4.2500 17.5500 4.7600 2.3500 1.7000 7.4500 3.3750 12.5500 4.2600 17.6500 4.7700 2.4500 1.7500 7.5500 3.4000 12.6500 4.2700 17.7500 4.7800 2.5500 1.8000 7.6500 3.4250 12.7500 4.2800 17.8500 4.7900

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Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

Aggregate Industry

Equivalent Unit Score

Diversity Score

2.6500 1.8500 7.7500 3.4500 12.8500 4.2900 17.9500 4.8000 2.7500 1.9000 7.8500 3.4750 12.9500 4.3000 18.0500 4.8100 2.8500 1.9500 7.9500 3.5000 13.0500 4.3100 18.1500 4.8200 2.9500 2.0000 8.0500 3.5250 13.1500 4.3200 18.2500 4.8300 3.0500 2.0333 8.1500 3.5500 13.2500 4.3300 18.3500 4.8400 3.1500 2.0667 8.2500 3.5750 13.3500 4.3400 18.4500 4.8500 3.2500 2.1000 8.3500 3.6000 13.4500 4.3500 18.5500 4.8600 3.3500 2.1333 8.4500 3.6250 13.5500 4.3600 18.6500 4.8700 3.4500 2.1667 8.5500 3.6500 13.6500 4.3700 18.7500 4.8800 3.5500 2.2000 8.6500 3.6750 13.7500 4.3800 18.8500 4.8900 3.6500 2.2333 8.7500 3.7000 13.8500 4.3900 18.9500 4.9000 3.7500 2.2667 8.8500 3.7250 13.9500 4.4000 19.0500 4.9100 3.8500 2.3000 8.9500 3.7500 14.0500 4.4100 19.1500 4.9200 3.9500 2.3333 9.0500 3.7750 14.1500 4.4200 19.2500 4.9300 4.0500 2.3667 9.1500 3.8000 14.2500 4.4300 19.3500 4.9400 4.1500 2.4000 9.2500 3.8250 14.3500 4.4400 19.4500 4.9500 4.2500 2.4333 9.3500 3.8500 14.4500 4.4500 19.5500 4.9600 4.3500 2.4667 9.4500 3.8750 14.5500 4.4600 19.6500 4.9700 4.4500 2.5000 9.5500 3.9000 14.6500 4.4700 19.7500 4.9800 4.5500 2.5333 9.6500 3.9250 14.7500 4.4800 19.8500 4.9900 4.6500 2.5667 9.7500 3.9500 14.8500 4.4900 19.9500 5.0000 4.7500 2.6000 9.8500 3.9750 14.9500 4.5000 4.8500 2.6333 9.9500 4.0000 15.0500 4.5100 4.9500 2.6667 10.0500 4.0100 15.1500 4.5200

Source: Moody's Investors Service, Inc.

"Trading Plan": Any trading plan (a) pursuant to which the Collateral Manager determines that all trades contemplated thereby will be entered into within ten Business Days (measured from the earliest trade date to the latest trade date pursuant to such plan), (b) specifying certain (i) amounts received or expected to be received as Principal Proceeds in connection with a Trading Plan, (ii) Collateral Debt Obligations related to such Principal Proceeds and (iii) Collateral Debt Obligations acquired or intended to be acquired as a result of such Trading Plan, (c) for which the Collateral Manager determines that such plan can be executed according to its terms and (d) as to which the aggregate principal amount of the Collateral Debt Obligations expected to be acquired thereunder constitute no more than 5.0% of the Aggregate Principal Balance.

"Treasury": The United States Department of the Treasury.

"TRS Termination Agreement": The agreement dated as of the Closing Date between the Swap Counterparty, the Existing Issuer and the Issuer.

"Trustee": LaSalle Bank National Association, a national banking association, unless a successor Person will have become the Trustee pursuant to the applicable provisions of the Indenture, and thereafter "Trustee" will mean such successor Person.

"Trustee Expenses": With respect to any Payment Date (including without limitation the Final Maturity Date), an amount equal to the sum of all amounts incurred by or otherwise owing to the Trustee accrued during the applicable Due Period in accordance with the Indenture and the letter agreement between the Collateral Manager and the Trustee and in effect on the Closing Date other than the Trustee Fee.

"Trustee Fee": With respect to any Payment Date (including without limitation the Final Maturity Date), a trustee fee and a portfolio administration fee, each in an amount established in a letter agreement between the Collateral Manager and the Trustee and in effect on the Closing Date.

"Underlying Instrument": The loan agreement or other agreement pursuant to which a Pledged Obligation or Synthetic Security Collateral has been issued or created and each other agreement that governs the terms of or secures the obligations represented by such Pledged Obligation or Synthetic Security Collateral or of which the holders of such Pledged Obligation or Synthetic Security Collateral are the beneficiaries.

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"Unfunded Commitment": With respect to any Revolving Loan or Delayed Funding Loan as of any date of determination, the difference between (x) the maximum aggregate principal amount (whether at the time funded or unfunded) of loans that (without duplication) the Issuer or a Subsidiary Holding Company could be required to make to the borrower on such Revolving Loan or Delayed Funding Loan (taking into account any reduction in the commitment pursuant to the Underlying Instrument) and (y) the amount of such Revolving Loan or Delayed Funding Loan (without duplication) the Issuer or a Subsidiary Holding Company has currently funded.

"Unsecured Loan": A senior unsecured loan obligation of any corporation, partnership or trust which is not (and by its terms is not permitted to become) subordinate in right of payment to any other debt for borrowed money incurred by the obligor under such Loan.

"Unscheduled Principal Payments": Any principal payments received on the Collateral Debt Obligations during the related Due Period as a result of redemptions, optional redemptions, exchange offers, tender offers or other unscheduled payments or prepayments, and unscheduled sinking fund payments made at the option of the issuer thereof.

"Weighted Average Coupon": As of any date of determination, the sum (rounded up to the next 0.001%) of (a) the number obtained by (i) summing the products obtained by multiplying (x) the current interest rate on each Pledged Obligation that is a Fixed Rate Collateral Debt Obligation (excluding all Defaulted Obligations) by (y) the Principal Balance of each such Pledged Obligation and (ii) dividing such sum by the Aggregate Principal Amount of all Pledged Obligations that are Fixed Rate Collateral Debt Obligations (excluding all Defaulted Obligations) plus (b) if such sum of the numbers obtained pursuant to clause (a) is less than the applicable percentage specified in the definition of "Weighted Average Coupon Test", the Spread Excess, if any, as of such date of determination.

"Weighted Average Coupon Test": A test that is satisfied if, as of any date of determination on or after the Effective Date, the Weighted Average Coupon equals or exceeds 6.95%.

"Weighted Average Life": As of any date of determination, the number obtained by the Trustee in consultation with the Collateral Manager (i) for each Collateral Debt Obligation (other than a Defaulted Obligation), multiplying the dollar amount of each Scheduled Distribution representing principal to be paid after such date of determination by the number of years (rounded to the nearest hundredth) from such date of determination until such Scheduled Distribution representing principal is due (or, if such date cannot be determined, the stated maturity of such Collateral Debt Obligation); (ii) summing all of the products calculated pursuant to clause (i); and (iii) dividing the sum calculated pursuant to clause (ii) by the sum of all Scheduled Distributions representing principal due on all the Collateral Debt Obligations (other than Defaulted Obligations) as of such date of determination. For the purposes of determining the weighted average life of a Collateral Debt Obligation that is putable at the option of the holders thereof, the maturity of such Collateral Debt Obligation will be deemed to be the put date applicable to each such Collateral Debt Obligation, provided that, for the avoidance of doubt, the maturity of a Synthetic Security shall be the maturity date of the Synthetic Security and not the related Reference Obligation.

"Weighted Average Life Test": On any date of determination on or after the Effective Date, a test that is satisfied if the remaining Weighted Average Life of the Collateral Debt Obligations in the Collateral as of such date is less than or equal to the number of years (including any fraction of a year) between such date and the date occurring 8.0 years after the Closing Date, provided that such number of years shall be increased from 8.0 years to 11.0 years if, on or about the Payment Date in April 2011 the Collateral Manager has satisfied the Moody's Rating Condition and the Issuer has obtained the consent, if any Class A-1 Notes are then Outstanding, of at least 66-2/3% of the Aggregate Principal Amount of the Class A-1 Notes then Outstanding, relating to the use of such number.

"Weighted Average Purchase Price": As of any date of determination, a fraction (expressed as a percentage and rounded up to the next 0.001%) obtained by (a) multiplying the purchase price (expressed as a percentage of the par amount) of each Collateral Debt Obligation included in the Collateral as of such date by the par amount of such security; (b) summing the products obtained in clause (a) for all such Collateral Debt Obligations; and (c) dividing the sum obtained in clause (b) by the par amount of all Collateral Debt Obligations (excluding any Defaulted Obligations) as of such date.

"Weighted Average Spread": As of any date of determination, a fraction (expressed as a percentage and rounded up to the next 0.001%) obtained by (i) multiplying the Principal Balance (excluding the aggregate amount

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of any Unfunded Commitments) of each Floating Rate Collateral Debt Obligation (other than a Deemed Floating Rate Collateral Debt Obligation) held in the Collateral as of such date by the current per annum rate at which it pays interest in excess of the rate of LIBOR applicable to such Floating Rate Collateral Debt Obligation (such rate, the "spread"), (ii) multiplying the Principal Balance of each Deemed Floating Rate Collateral Debt Obligation held in the Collateral as of such date by the current per annum rate at which it pays interest in excess of the rate of LIBOR applicable to each Deemed Floating Rate Collateral Obligation, (iii) multiplying the amount of each Unfunded Commitment with respect to which a commitment fee is calculated by the rate at which such commitment fee is calculated, (iv) summing the amounts determined pursuant to clauses (i), (ii) and (iii) above and (iv) dividing such sum by the aggregate Principal Balance of all Floating Rate Collateral Debt Obligations (including any Unfunded Commitments) and Deemed Floating Rate Collateral Debt Obligations held in the Collateral as of such date; provided that, for purposes of calculating the Weighted Average Spread, the spread of any Floating Rate Collateral Debt Obligation that bears interest based on a floating-rate index other than the London interbank offered rate will be deemed to be the excess, if any, of (x) the sum of (1) the floating rate index upon which such Floating Rate Collateral Debt Obligation bears interest plus (2) the rate at which such Floating Rate Collateral Debt Obligation pays interest over (y) LIBOR (determined in accordance with the procedures set forth under "Description of the Notes—The Senior Notes—Determination of LIBOR") for the applicable period.

For purposes of calculating the Weighted Average Spread, Collateral Debt Obligations that are Defaulted Obligations and Equity Securities will be excluded except for those Defaulted Obligations that at the time of such calculation are paying in full current interest pursuant to the terms of their respective Underlying Instrument.

Any amount deposited in the Synthetic Letter of Credit Reserve Account in respect of any Collateral Debt Obligation shall, for purposes of the determination of the Weighted Average Spread, be deemed to be excluded from interest payable on such Collateral Debt Obligation.

"Weighted Average Spread Test": On any date of determination on or after the Effective Date, a test that is satisfied if the Weighted Average Spread as of such date equals or exceeds the Minimum Weighted Average Spread.

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ANNEX B

INDEX OF CERTAIN DEFINED TERMS

10% U.S. Shareholder ...............................................................................................................................................126 25% Threshold...........................................................................................................................................................130 Accelerated Distribution Date ............................................................................................................................ 57, A-1 Accredited Investors ........................................................................................................................................... 15, A-1 Administration Agreement ..........................................................................................................................................41 Administrative Expenses .......................................................................................................................................... A-1 Administrator........................................................................................................................................................ 4, A-1 Advisers Act ....................................................................................................................................................... 95, A-1 Affiliate .................................................................................................................................................................... A-1 Aggregate Collateral Balance ................................................................................................................................... A-1 Aggregate Fees and Expenses .................................................................................................................................. A-2 Aggregate Industry Equivalent Unit Score ............................................................................................................. A-46 Aggregate Principal Amount .................................................................................................................................... A-2 Applicable Periodic Rate .......................................................................................................................................... A-2 Applicable S&P CDO Monitor............................................................................................................................... A-34 Articles ..................................................................................................................................................................... A-2 Assigned Moody's Rating......................................................................................................................................... A-2 Available Funds........................................................................................................................................................ A-2 Available Hudson Canyon Distribution Amount...................................................................................................... A-2 Average Debt Rating ................................................................................................................................................ A-3 Average Debt Rating Test ........................................................................................................................................ A-3 Average Par Amount .............................................................................................................................................. A-45 Balance ..................................................................................................................................................................... A-4 Bankruptcy Law ....................................................................................................................................................... A-4 Benefit Plan Investor .................................................................................................................................................113 Benefit Plan Investors................................................................................................................................................129 Bridge Loan .............................................................................................................................................................. A-4 Business Day ............................................................................................................................................................ A-4 Calculation Agent ........................................................................................................................................................46 Calculation Date ....................................................................................................................................................... A-4 C-Basket Securities................................................................................................................................................... A-4 CDOs ...........................................................................................................................................................................95 Cede.............................................................................................................................................................................59 Certificated Note .........................................................................................................................................................16 Certificated Notes ..................................................................................................................................................... A-4 CFC ...........................................................................................................................................................................126 CFPI.........................................................................................................................................................................5, 28 CGMI......................................................................................................................................................................i, A-4 Class ...................................................................................................................................................................... i, A-5 Class A Collateral Coverage Tests ........................................................................................................................... A-5 Class A Interest Coverage Ratio............................................................................................................................... A-5 Class A Interest Coverage Test................................................................................................................................. A-5 Class A Notes .........................................................................................................................................................i, A-5 Class A Principal Coverage Ratio ............................................................................................................................ A-5 Class A Principal Coverage Test .............................................................................................................................. A-5 Class A-1 Break-Even Default Rate ......................................................................................................................... A-5 Class A-1 Default Differential.................................................................................................................................. A-5 Class A-1 Notes ..................................................................................................................................................i, 1, A-5 Class A-1 S&P Minimum Weighted Average Recovery Rate Test.......................................................................... A-5 Class A-1 Scenario Default Rate .............................................................................................................................. A-5

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Class A-2 Break-Even Default Rate ......................................................................................................................... A-5 Class A-2 Default Differential.................................................................................................................................. A-6 Class A-2 Notes ..................................................................................................................................................i, 1, A-6 Class A-2 S&P Minimum Weighted Average Recovery Rate Test.......................................................................... A-6 Class A-2 Scenario Default Rate .............................................................................................................................. A-6 Class B Break-Even Default Rate............................................................................................................................. A-6 Class B Collateral Coverage Tests ........................................................................................................................... A-6 Class B Cumulative Periodic Rate Shortfall Amount............................................................................................... A-6 Class B Default Differential ..................................................................................................................................... A-6 Class B Interest Coverage Ratio ............................................................................................................................... A-6 Class B Interest Coverage Test................................................................................................................................. A-6 Class B Notes .............................................................................................................................................................i, 1 Class B Periodic Rate Shortfall Amount .................................................................................................................. A-6 Class B Principal Coverage Ratio............................................................................................................................. A-6 Class B Principal Coverage Test .............................................................................................................................. A-6 Class B S&P Minimum Weighted Average Recovery Rate Test ............................................................................. A-7 Class B Scenario Default Rate.................................................................................................................................. A-7 Class C Break-Even Default Rate............................................................................................................................. A-7 Class C Collateral Coverage Tests ........................................................................................................................... A-7 Class C Cumulative Periodic Rate Shortfall Amount............................................................................................... A-7 Class C Default Differential ..................................................................................................................................... A-7 Class C Interest Coverage Ratio ............................................................................................................................... A-7 Class C Interest Coverage Test................................................................................................................................. A-7 Class C Notes .....................................................................................................................................................i, 1, A-7 Class C Periodic Rate Shortfall Amount .................................................................................................................. A-7 Class C Principal Coverage Ratio............................................................................................................................. A-7 Class C Principal Coverage Test .............................................................................................................................. A-7 Class C S&P Minimum Weighted Average Recovery Rate Test ............................................................................. A-7 Class C Scenario Default Rate.................................................................................................................................. A-8 Class D Notes .....................................................................................................................................................i, 1, A-8 Class D Reserve Account ................................................................................................................................... 84, A-8 Class D Reserve Account Payment Option .................................................................................................................85 Class E Notes......................................................................................................................................................i, 1, A-8 Class E Recovery Amount............................................................................................................................... i, 49, A-8 Class F Income Note Distribution Account .............................................................................................................. A-8 Class F Income Note Issuing and Paying Agency Agreement ........................................................................... 45, A-8 Class F Income Note Issuing and Paying Agent................................................................................................... 4, A-8 Class F Income Note Register .................................................................................................................................. A-8 Class F Income Note Registrar ................................................................................................................................. A-8 Class F Income Noteholder ...................................................................................................................................... A-8 Class F Income Notes .....................................................................................................................................................i Class F Income Notes ....................................................................................................................................................1 Clearstream..................................................................................................................................................................59 Closing Date ...................................................................................................................................................................i Code.............................................................................................................................................................................17 Co-Issued Notes..............................................................................................................................................................i Co-Issuer.........................................................................................................................................................................i Co-Issuer Common Stock............................................................................................................................................42 Co-Issuers .......................................................................................................................................................................i Collateral .................................................................................................................................................................. A-8 Collateral Coverage Tests......................................................................................................................................... A-9 Collateral Debt Obligation...........................................................................................................................................68 Collateral Interest Collections .................................................................................................................................. A-9 Collateral Management Agreement ...................................................................................................................98, A-10 Collateral Management Fee...............................................................................................................................99, A-10 Collateral Manager ...............................................................................................................................................i, 3, 95

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Collateral Manager Breaches.....................................................................................................................................100 Collateral Principal Collections.............................................................................................................................. A-10 Collateral Quality Measures ................................................................................................................................... A-10 Collateral Quality Tests .......................................................................................................................................... A-10 Collection Account ................................................................................................................................................. A-10 Collections.............................................................................................................................................................. A-11 Control.......................................................................................................................................................................117 Controlling Person.....................................................................................................................................................130 Corporate Trust Office............................................................................................................................................ A-11 Covenant-Lite Loan................................................................................................................................................ A-11 Credit Event............................................................................................................................................................ A-11 Credit Improved Obligation.................................................................................................................................... A-11 Credit Risk Obligation............................................................................................................................................ A-11 Cumulative Periodic Rate Shortfall Amount .......................................................................................................... A-12 Current Pay Security............................................................................................................................................... A-12 Current Portfolio..................................................................................................................................................... A-12 Custodial Account .................................................................................................................................................. A-12 Debtor ..................................................................................................................................................................... A-15 Deemed Floating Asset Hedge Agreement........................................................................................................80, A-12 Deemed Floating Rate Collateral Debt Obligation............................................................................................80, A-13 Deep Discount Security .......................................................................................................................................... A-13 Default .................................................................................................................................................................... A-13 Defaulted Interest ........................................................................................................................................................46 Defaulted Obligation .............................................................................................................................................. A-14 Defaulted Obligation Amount ................................................................................................................................ A-14 Delayed Funding Loans.......................................................................................................................................... A-14 Deliverable Obligation ........................................................................................................................................... A-14 DIP Loan ................................................................................................................................................................ A-15 Discretionary Sale................................................................................................................................................... A-15 Diversity Test ......................................................................................................................................................... A-15 DOL...........................................................................................................................................................................129 DTC......................................................................................................................................................................i, A-15 Due Date................................................................................................................................................................. A-15 Due Period .............................................................................................................................................................. A-15 Effective Date ....................................................................................................................................................13, A-16 Effective Date Failure........................................................................................................................................25, A-16 Eligibility Criteria........................................................................................................................................................75 Eligible Investment................................................................................................................................................. A-16 equitable subordination................................................................................................................................................28 Equity Notes ..............................................................................................................................................................126 Equity Security ....................................................................................................................................................... A-17 Equivalent Unit Score............................................................................................................................................. A-46 ERISA .............................................................................................................................................................112, A-18 ERISA Plans..............................................................................................................................................................129 ERISA-restricted Notes ...............................................................................................................................................17 Euroclear............................................................................................................................................................59, A-18 Event of Default ................................................................................................................................................89, A-18 Exchange Act.....................................................................................................................................................xv, A-18 Exchange Transaction....................................................................................................................................................4 Exchanged Equity Security..................................................................................................................................... A-18 Executive Order 13224..............................................................................................................................................114 Existing Deep-Discount Security ........................................................................................................................... A-18 Existing Issuer ...............................................................................................................................................................4 Existing Securities .........................................................................................................................................................4 Existing Total Return Swap Transaction .................................................................................................................5, 28 Expected Sale Proceeds .......................................................................................................................................... A-18

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Expense Account .........................................................................................................................................................83 Expense Cap ................................................................................................................................................................53 Fee Basis Amount................................................................................................................................................... A-18 Final Hudson Canyon Account Transfer Date.............................................................................................................51 Final Maturity Date ................................................................................................................................................ A-18 Fixed Rate Collateral Debt Obligation ................................................................................................................... A-19 Floating Rate Collateral Debt Obligation ............................................................................................................... A-19 FRB ........................................................................................................................................................................ A-19 Global Notes........................................................................................................................................................... A-19 Global Rating Agency Confirmation...................................................................................................................... A-19 Glossary.........................................................................................................................................................................1 Hedge Agreement ........................................................................................................................................................80 Hedge Counterparty Collateral Account......................................................................................................................85 Hedge Counterparty Ratings Requirement ..................................................................................................................81 Hedge Rating Determining Party.................................................................................................................................82 Holder ..............................................................................................................................................................123, A-19 Hudson Canyon Account Payment Date .................................................................................................................7, 51 Hudson Canyon Distribution Account...............................................................................................................51, A-19 IDM .............................................................................................................................................................................96 Incentive Collateral Management Fee .................................................................................................................... A-19 Incurrence Covenant............................................................................................................................................... A-19 Indemnified Party ......................................................................................................................................................100 Indenture.........................................................................................................................................................i, 45, A-20 indirect participants .....................................................................................................................................................62 Industry Diversity Score......................................................................................................................................... A-46 Initial Payment Date ..........................................................................................................................................45, A-20 Initial Purchaser............................................................................................................................................i, 137, A-20 Interest Collection Account ...............................................................................................................................82, A-20 Interest Coverage Amount...................................................................................................................................... A-20 Interest Reserve Account.............................................................................................................................................84 Interim Hudson Canyon Account Transfer Date .........................................................................................................51 Invesco..................................................................................................................................................................i, 3, 95 Invesco Institutional ....................................................................................................................................................95 Investment Company Act ....................................................................................................................................... A-20 Issuer ....................................................................................................................................................................i, A-20 lender liability..............................................................................................................................................................27 LIBOR ...............................................................................................................................................................46, A-20 LIBOR Banking Day ...................................................................................................................................................47 LIBOR Determination Date.........................................................................................................................................47 LLC1 ...........................................................................................................................................................................43 LLC2 ...........................................................................................................................................................................43 Loan........................................................................................................................................................................ A-20 Loan Funding Account ......................................................................................................................................83, A-20 LPC..............................................................................................................................................................................97 Maintenance Covenant ........................................................................................................................................... A-21 Majority .................................................................................................................................................................. A-21 Margin Stock .......................................................................................................................................................... A-21 Market Value .......................................................................................................................................................... A-21 Material Contracts .....................................................................................................................................................139 Minimum Weighted Average Spread ..................................................................................................................... A-21 Moody's ................................................................................................................................................................i, A-21 Moody's Default Probability Rating ....................................................................................................................... A-21 Moody's Equivalent Senior Unsecured Rating ....................................................................................................... A-22 Moody's Group Country ......................................................................................................................................... A-25 Moody's Group I Country....................................................................................................................................... A-25 Moody's Group II Country ..................................................................................................................................... A-25

B-54

Moody's Group III Country .................................................................................................................................... A-25 Moody's Group IV Country .................................................................................................................................... A-25 Moody's Industry Classification Group .................................................................................................................. A-25 Moody's Matrix ...................................................................................................................................................... A-25 Moody's Obligation Rating..................................................................................................................................... A-26 Moody's Rating....................................................................................................................................................... A-27 Moody's Rating Condition...................................................................................................................................... A-27 Moody's Rating Factor.............................................................................................................................................. A-3 Moody's Recovery Rate.......................................................................................................................................... A-27 Moody's Senior Secured Loan................................................................................................................................ A-28 Moody's Weighted Average Recovery Rate........................................................................................................... A-28 Moody's Weighted Average Recovery Rate Test ................................................................................................... A-29 Non U.S. Holder ........................................................................................................................................................123 Non-Performing Loans ........................................................................................................................................... A-29 Note Register .......................................................................................................................................................... A-29 Note Registrar......................................................................................................................................................... A-29 Note Valuation Report............................................................................................................................................ A-29 Noteholder .............................................................................................................................................................. A-29 Notes...........................................................................................................................................................................i, 1 Notice of Default .........................................................................................................................................................90 Obligor Par Amount ............................................................................................................................................... A-46 OFAC ........................................................................................................................................................................114 Offer ....................................................................................................................................................................... A-29 Offering Circular ............................................................................................................................................................i OID....................................................................................................................................................................108, 124 Opinion of Counsel................................................................................................................................................. A-29 Ordinary Shares .............................................................................................................................................................3 Outstanding............................................................................................................................................................. A-29 Participant............................................................................................................................................................... A-30 Participation............................................................................................................................................................ A-30 PATRIOT Act .............................................................................................................................................................38 Paying Agent .......................................................................................................................................................... A-30 Payment Account.................................................................................................................................................... A-30 Payment Date............................................................................................................................................. i, 7, 45, A-30 PCCL ...........................................................................................................................................................................38 Percentage Limitations ................................................................................................................................................72 Performing Loans ................................................................................................................................................... A-31 Periodic Interest...................................................................................................................................................... A-31 Periodic Interest Accrual Period ............................................................................................................................. A-31 Periodic Interest Amount...................................................................................................................................45, A-31 Periodic Rate Shortfall Amount.............................................................................................................................. A-31 Person ..................................................................................................................................................................... A-31 PFIC...........................................................................................................................................................................127 Placement Agency Agreement ..................................................................................................................................137 Placement Agent.....................................................................................................................................................i, 137 Plan Asset Regulation................................................................................................................................................129 Plans ..........................................................................................................................................................................129 Pledged Obligations................................................................................................................................................ A-31 Post Reinvestment Period Criteria...............................................................................................................................77 Principal Balance.................................................................................................................................................... A-31 Principal Collection Account.......................................................................................................................................82 Principal Coverage Amount ................................................................................................................................... A-31 Principal Coverage Ratios ...................................................................................................................................... A-32 Principal Coverage Tests ........................................................................................................................................ A-32 Principal Prepayments .................................................................................................................................................10 Priority of Payments ............................................................................................................................................... A-32

B-55

Proposed Portfolio .................................................................................................................................................. A-32 Prospectus Directive .................................................................................................................................................. viii PTCE .........................................................................................................................................................................133 Purchase Agreement ..................................................................................................................................................137 QEF .....................................................................................................................................................................37, 126 Qualified Institutional Buyer .................................................................................................................................. A-32 Qualified Purchaser .....................................................................................................................................................15 Rating Agency ........................................................................................................................................................ A-32 Rating Factor Modifier ........................................................................................................................................... A-32 Realized Gains........................................................................................................................................................ A-32 Record Date .................................................................................................................................................................15 Redemption Date .................................................................................................................................................... A-33 Redemption Price ................................................................................................................................................... A-33 Reference Banks ..........................................................................................................................................................47 Reference Obligation.............................................................................................................................................. A-33 Registered ............................................................................................................................................................... A-33 Regulation S ...................................................................................................................................................................i Regulation S Global Notes ..........................................................................................................................................16 Regulation U........................................................................................................................................................... A-33 Reinvestment Income ............................................................................................................................................. A-33 Reinvestment Period..........................................................................................................................................14, A-33 Replacement Deep Discount Security .................................................................................................................... A-33 Required Parties.........................................................................................................................................................100 Requisite Noteholders............................................................................................................................................. A-34 Reserved Fee Income Amount................................................................................................................................ A-34 Revolving Loan Deposit ......................................................................................................................................... A-34 Revolving Loans..................................................................................................................................................... A-34 Rule 144A Global Notes..............................................................................................................................................15 S&P ................................................................................................................................................................................i S&P CDO Monitor ......................................................................................................................................................74 S&P CDO Monitor Test ......................................................................................................................................... A-35 S&P CDO Monitor Test Matrix ............................................................................................................................. A-34 S&P CRR................................................................................................................................................................ A-35 S&P Minimum Weighted Average Recovery Rate Test ........................................................................................ A-35 S&P Rating............................................................................................................................................................. A-35 S&P Rating Agency Confirmation ......................................................................................................................... A-37 S&P Recovery Rate ................................................................................................................................................ A-37 S&P Weighted Average Recovery Rate ................................................................................................................. A-40 Sale and Purchase Agreement ................................................................................................................................ A-41 Sale Proceeds.......................................................................................................................................................... A-41 Scheduled Distribution ........................................................................................................................................... A-41 SEC..............................................................................................................................................................................37 Second Lien Loan................................................................................................................................................... A-41 Secured Loan .......................................................................................................................................................... A-41 Secured Parties ....................................................................................................................................................... A-41 Securities Act........................................................................................................................................................i, A-41 Selling Institution ................................................................................................................................................... A-41 Senior..........................................................................................................................................................................i, 1 Senior Collateral Management Fee ........................................................................................................................ A-41 Senior Collateral Management Fee Interest............................................................................................................ A-41 Senior Investment Committee .....................................................................................................................................95 Senior Note Register............................................................................................................................................... A-42 Senior Note Registrar ............................................................................................................................................. A-42 Senior Noteholder................................................................................................................................................... A-42 Senior Notes ...............................................................................................................................................................i, 1 Senior Secured Loan............................................................................................................................................... A-42

B-56

Senior Unsecured Loan .......................................................................................................................................... A-42 Share Trustee ...............................................................................................................................................................41 Similar Law ...............................................................................................................................................................129 Specified Parties ........................................................................................................................................................100 Specified Party...........................................................................................................................................................100 spread...................................................................................................................................................................... A-49 Spread Excess......................................................................................................................................................... A-42 Stated Maturity Date............................................................................................................................................... A-42 Step-Up Obligation................................................................................................................................................. A-42 Structured Finance Security.................................................................................................................................... A-42 Subordinate.................................................................................................................................................................i, 2 Subordinated Collateral Management Fee.............................................................................................................. A-43 Subordinated Collateral Management Fee Interest................................................................................................. A-43 Subordinated Termination Event ............................................................................................................................ A-43 Subsidiary Guarantee...............................................................................................................................................5, 92 Subsidiary Holding Companies ...............................................................................................................................5, 28 Subsidiary Pledge Agreement........................................................................................................................................5 Swap and Security Documents ............................................................................................................................... A-43 Swap Counterparty ..................................................................................................................................................5, 28 Synthetic Letter of Credit ....................................................................................................................................... A-43 Synthetic Letter of Credit Deposit Requirement .................................................................................................... A-44 Synthetic Letter of Credit Reserve Account ........................................................................................................... A-44 Synthetic Security................................................................................................................................................... A-44 Synthetic Security Collateral .................................................................................................................................. A-44 Synthetic Security Collateral Account...............................................................................................................85, A-45 Synthetic Security Counterparty............................................................................................................................. A-44 Synthetic Security Issuer Account.....................................................................................................................86, A-45 Tax Advantaged Jurisdiction .................................................................................................................................. A-45 Tax Event...........................................................................................................................................................65, A-45 Total Diversity Score.............................................................................................................................................. A-45 Trading Plan ........................................................................................................................................................... A-47 Treasury.................................................................................................................................................................. A-47 TRS Termination Agreement ................................................................................................................................. A-47 Trustee ..............................................................................................................................................................i, 4, A-47 Trustee Expenses ...............................................................................................................................................93, A-47 Trustee Fee ........................................................................................................................................................93, A-47 U.S. Holder................................................................................................................................................................123 U.S. Persons.................................................................................................................................................................15 U.S. Residents .............................................................................................................................................................15 Underlying Instrument............................................................................................................................................ A-47 Unfunded Commitment .......................................................................................................................................... A-48 Unscheduled Principal Payments............................................................................................................................ A-48 Unsecured Loan...................................................................................................................................................... A-48 Weighted Average Coupon..................................................................................................................................... A-48 Weighted Average Coupon Test............................................................................................................................. A-48 Weighted Average Life .......................................................................................................................................... A-48 Weighted Average Life Test................................................................................................................................... A-48 Weighted Average Purchase Price.......................................................................................................................... A-48 Weighted Average Spread ...................................................................................................................................... A-48 Weighted Average Spread Test .............................................................................................................................. A-49

PRINCIPAL OFFICES OF THE CO-ISSUERS

Hudson Canyon Funding II, Ltd. c/o Walkers SPV Limited

Walker House, 87 Mary Street George Town, Grand Cayman, KY1-9001

Cayman Islands

Hudson Canyon Funding II, Inc. c/o Puglisi & Associates

850 Library Avenue, Suite 204 Newark, Delaware 19711

COLLATERAL MANAGER Invesco Senior Secured Management, Inc.

1166 Avenue of the Americas New York, New York 10036

TRUSTEE, PAYING AGENT AND TRANSFER AGENT

LaSalle Bank National Association 540 West Madison Street, Suite 2500

Chicago, Illinois 60661

LISTING AGENT AND PAYING AGENT IN IRELAND NCB STOCKBROKERS LIMITED

3 George's Dock International Financial Centre

Dublin 1, Ireland

LEGAL ADVISORS

To the Co-Issuers

As to U.S. Law

Freshfields Bruckhaus Deringer LLP 520 Madison Avenue

New York, New York 10022

As to Cayman Islands Law

Walkers Walker House, 87 Mary Street

George Town, Grand Cayman KY1-9001 Cayman Islands

To the Initial Purchaser and the Placement Agent

Freshfields Bruckhaus Deringer LLP 520 Madison Avenue

New York, New York 10022

To the Collateral Manager

Cleary Gottlieb Steen & Hamilton LLP

2000 Pennsylvania Ave, NW Washington, DC 20006