Class v III Prospectus

7/27/2019 Class v III Prospectus

1/209

NY3:#7409513

IMPORTANT NOTICE

ATTACHED IS AN ELECTRONIC COPY OF THE OFFERING CIRCULAR (THE "OFFERING CIRCULAR"),DATED MARCH 29, 2007, RELATING TO THE OFFERING BY (I) CLASS V FUNDING III, LTD., ASISSUER, AND CLASS V FUNDING III, CORP., AS CO-ISSUER, OF CLASS S FLOATING RATE NOTESDUE 2015, CLASS A1 FLOATING RATE NOTES DUE 2052, CLASS A2 FLOATING RATE NOTES DUE2052, CLASS A3 FLOATING RATE NOTES DUE 2052, CLASS A4 FLOATING RATE NOTES DUE 2052,CLASS B DEFERRABLE FLOATING RATE NOTES DUE 2052 AND CLASS C DEFERRABLE FLOATINGRATE NOTES DUE 2052 AND (II) THE ISSUER OF CLASS Q COMBINATION NOTES DUE 2052 ANDINCOME NOTES DUE 2052, IN EACH CASE IN THE PRINCIPAL AMOUNTS DESCRIBED THEREIN. NOREGISTRATION STATEMENT RELATING TO THESE SECURITIES HAS BEEN FILED WITH THESECURITIES AND EXCHANGE COMMISSION. THESE SECURITIES ARE BEING OFFERED PURSUANTTO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE UNITED STATESSECURITIES ACT OF 1933, AS AMENDED. THIS OFFERING CIRCULAR IS CONFIDENTIAL AND WILLNOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY, NOR WILLTHERE BE ANY SALE OF THESE SECURITIES IN ANY JURISDICTION WHERE SUCH OFFER,SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATIONUNDER THE SECURITIES LAWS OF ANY JURISDICTION.

DISTRIBUTION OF THIS ELECTRONIC TRANSMISSION OF THE OFFERING CIRCULAR TO ANYPERSON OTHER THAN (A) THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION FROM THEINITIAL PURCHASER AND PLACEMENT AGENT ON BEHALF OF THE ISSUER AND/OR THECO-ISSUER AND (B) ANY PERSON RETAINED TO ADVISE THE PERSON RECEIVING THISELECTRONIC TRANSMISSION WITH RESPECT TO THE OFFERING CONTEMPLATED BY THEOFFERING CIRCULAR (EACH, AN "AUTHORIZED RECIPIENT") IS UNAUTHORIZED. ANYPHOTOCOPYING, DISCLOSURE OR ALTERATION OF THE CONTENTS OF THE OFFERING CIRCULAR,AND ANY FORWARDING OF A COPY OF THE OFFERING CIRCULAR OR ANY PORTION THEREOF BYELECTRONIC MAIL OR ANY OTHER MEANS TO ANY PERSON OTHER THAN AN AUTHORIZEDRECIPIENT, IS PROHIBITED. BY ACCEPTING DELIVERY OF THIS OFFERING CIRCULAR, EACH

RECIPIENT HEREOF AGREES TO THE FOREGOING.

THE INFORMATION CONTAINED HEREIN SUPERSEDES ANY PREVIOUS SUCH INFORMATIONDELIVERED TO ANY PROSPECTIVE INVESTOR AND MAY BE SUPERSEDED BY INFORMATIONDELIVERED TO SUCH PROSPECTIVE INVESTOR PRIOR TO THE TIME OF SALE.


2/209

NY3:#7409513

OFFERING CIRCULAR

U.S.$39,200,000 ClassS Floating Rate Notes Due 2015U.S.$500,000,000 ClassA1 Floating Rate Notes Due 2052*U.S.$200,000,000 ClassA2 Floating Rate Notes Due 2052U.S.$120,000,000 ClassA3 Floating Rate Notes Due 2052U.S.$75,000,000 ClassA4 Floating Rate Notes Due 2052

U.S.$50,000,000 ClassB Deferrable Floating Rate Notes Due 2052U.S.$35,000,000 ClassC Deferrable Floating Rate Notes Due 2052

U.S.$5,000,000 ClassQ Combination Notes Due 2052U.S.$22,000,000 Income Notes Due 2052

_________________________

CLASS V FUNDING III, LTD.CLASS V FUNDING III, CORP.

*The Class A1 Notes are not offered hereby and will be issuable from time to time in Class A1 Note Fundings to the Class A1 Swap Counterparty or itsClass A1 Designee in an aggregate amount up to the initial Class A1 Swap Notional Amount.

The Class S Notes, the Class A1 Notes, the Class A2 Notes, the Class A3 Notes, the Class A4 Notes, the Class B Notes,the Class C Notes, the Class Q Combination Notes and the Income Notes (collectively, the "Notes", the Notes other than the ClassA1 Notes, the "Listed Notes") will be issued by the Issuer, a newly formed exempted company incorporated under the CompaniesLaw (2004 Revision) of the Cayman Islands. The Notes other than the Income Notes (including the Income Note Component) (the"Secured Notes") will constitute secured limited recourse debt obligations of the Issuer, and the Income Notes will constituteunsecured limited recourse debt obligations of the Issuer. The Class S Notes, the Class A Notes, the Class B Notes and the Class C

Notes will be co-issued on a limited recourse basis by the Co-Issuer, a newly formed Delaware corporation.

The Secured Notes will be issued and secured pursuant to an indenture, dated as of the Closing Date, among theCo-Issuers and the Trustee. The Income Notes will be issued pursuant to an Income Note Paying Agency Agreement, dated as ofthe Closing Date, between the Issuer and the Income Note Paying Agent. The Income Notes will not be secured by the Collateral

but will be entitled to certain benefits of the Indenture and all proceeds of the Collateral remaining after payment of the SecuredNotes and all other expenses of, and satisfaction of creditors' claims against, the Issuer.

Interest on the Secured Notes and distributions on the Income Notes will be payable quarterly in arrears on each PaymentDate, commencing on the Payment Date in May 28, 2007 and ending on the Maturity DateFinal. The Notes will be redeemableas described under the caption "Description of the NotesRedemption" and otherwise as described elsewhere herein. The Issuerwill use the net proceeds of the offering to purchase interests in Eligible Collateral Debt Securities. The Eligible Collateral DebtSecurities will be pledged to secure the Secured Obligations and will be required to satisfy certain criteria described herein. CreditSuisse Alternative Capital, Inc. will act as the Manager for the portfolio of assets.

It is a condition to issuance that the Secured Notes are rated as set forth in the Principal Terms Table. The Income Noteswill not be rated as of the Closing Date and the Issuer does not intend to seek a rating for the Income Notes.

Application has been made to the Irish Financial Services Regulatory Authority (the "Financial Regulator"), as competentauthority under Directive 2003/71/EC (the "Prospectus Directive") for the Prospectus (the "Prospectus") to be approved. ThisOffering Circular constitutes the Prospectus for the purposes of the Prospectus Directive. Application will be made to the IrishStock Exchange for the Listed Notes to be admitted to the Official List and to trading on its regulated market. There can be noassurance that such listing will be approved or maintained. Approval by the Financial Regulator relates only to the Notes that are to

be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of theDirective 93/22/EEC or which are to be offered to the public in any Member State of the European Economic Area.

_______________________________

Investing in the Notes involves risks. See "Risk Factors"._______________________________

The Notes have not been registered under the Securities Act or any state securities laws, and neither of the Co-Issuers hasbeen or will be registered under Investment Company Act. In the United States, the Notes are being offered in reliance on anexemption provided by Rule 144A under the Securities Act, or another applicable exemption from registration under the Securities

Act, to Persons that are both (a) QIBs or in the case of the Notes junior to the Class A Notes only, Accredited Investors and (b) QPs.The Notes also are being offered outside the United States to non-U.S. Persons in accordance with Regulation S. For a descriptionof certain restrictions on transfers of the Notes, see "Purchase and Transfer Restrictions".

Citigroup, as Initial Purchaser and as Placement Agent, expects to deliver the Notes to purchasers on or about the ClosingDate. The definitions of most defined terms are located in a glossary and the page numbers for definitions of all defined terms arelocated in an index of defined terms, each appearing at the end of this Offering Circular.

_________________

CitigroupMarch 29, 2007


3/209

NY3:#7409513 i

_________________

NOTICE FOR NEW HAMPSHIRE RESIDENTS ONLY: 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 (THE "RSA")

WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY ISEFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW

HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE THAT ANY

DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT MISLEADING.

NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS

AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY OF

STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR

RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR

TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY

PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY REPRESENTATION

INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.


4/209

NY3:#7409513 ii

You should rely only on the information contained in this offering circular (this "Offering

Circular"). The Co-Issuers have not authorized anyone to provide you with different information. The

Co-Issuers, the Initial Purchaser and the Placement Agent are not making an offer of these securities in any

jurisdiction where an offer is not permitted. You 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

NOTICE TO PURCHASERS...................................................................................................................................... v

SUMMARY OF TERMS............................................................................................................................................ 1

RISK FACTORS....................................................................................................................................................... 25

THE ISSUER AND THE CO-ISSUER..................................................................................................................... 52The Issuer .................................................................................................................................................... 52The Co-Issuer.............................................................................................................................................. 52

Initial Capitalization of the Issuer ...............................................................................................................53Capitalization of the Co-Issuer.................................................................................................................... 53The Administrator ....................................................................................................................................... 53

DESCRIPTION OF THE NOTES............................................................................................................................. 55General ........................................................................................................................................................55Status and Security ...................................................................................................................................... 55Income Notes...............................................................................................................................................55Class Q Combination Notes ........................................................................................................................ 55Interest on Secured Notes............................................................................................................................56Principal of Secured Notes.......................................................................................................................... 58Payments on Income Notes ......................................................................................................................... 58Dissolution; Liquidating Distributions........................................................................................................58Redemption ................................................................................................................................................. 59Redemption Procedures...............................................................................................................................59Cancellation.................................................................................................................................................60No Gross-Up ............................................................................................................................................... 60Payments ..................................................................................................................................................... 60Settlement, Clearing and Registration of the Notes..................................................................................... 61

THE CLASS A1 SWAP............................................................................................................................................ 66Notional Amount......................................................................................................................................... 66Class A1 Note Fundings.............................................................................................................................. 66Class A1 Option Fee ................................................................................................................................... 67Mandatory Note Funding ............................................................................................................................ 67Class A1 Swap Ratings Event..................................................................................................................... 68

CITIGROUP GLOBAL MARKETS LIMITED ....................................................................................................... 69

CITIGROUP INC......................................................................................................................................................70

CITIBANK, N.A. ...................................................................................................................................................... 71

THE INDENTURE AND THE INCOME NOTE PAYING AGENCY AGREEMENT .......................................... 72Events of Default......................................................................................................................................... 72Notices......................................................................................................................................................... 74Modification of the Indenture......................................................................................................................74Standard of Conduct.................................................................................................................................... 76Consolidation, Merger or Transfer of Assets ..............................................................................................77


5/209

NY3:#7409513 iii

No Petitions for Bankruptcy........................................................................................................................ 77Secured Note Paying Agents....................................................................................................................... 77Collateral Administrator.............................................................................................................................. 77Trustee......................................................................................................................................................... 77Voting Rights of the Holders of Income Notes ........................................................................................... 78Income Note Paying Agency Agreement .................................................................................................... 78Reports ........................................................................................................................................................79

SECURITY FOR THE SECURED OBLIGATIONS ...............................................................................................80Closing Date................................................................................................................................................80Ramp-Up End Date ..................................................................................................................................... 80Portfolio Quality Tests and Portfolio Limitations ....................................................................................... 80The Coverage Tests..................................................................................................................................... 80Sale of Eligible Collateral Debt Securities and CDS Assets ....................................................................... 80Purchase of Eligible Collateral Debt Securities; Investment Criteria.......................................................... 82CDS Assets.................................................................................................................................................. 82Collection Account...................................................................................................................................... 88Expense Reserve Account ...........................................................................................................................89Hedge Collateral Account ...........................................................................................................................89Hedge Termination Receipts Account......................................................................................................... 89

Hedge Replacement Account...................................................................................................................... 90Cashflow Swap Collateral Account............................................................................................................. 90Payment Account ........................................................................................................................................ 90CDS Asset Collateral Account .................................................................................................................... 90CDS Asset Issuer Account .......................................................................................................................... 91Reserve Account .........................................................................................................................................91Covered Short CDS Asset Collateral Account ............................................................................................ 92Class A1 Mandatory Note Funding Reserve Account................................................................................. 92Hedge Agreements ...................................................................................................................................... 92Cashflow Swap Agreement ......................................................................................................................... 93CDS Collateral Agreement.......................................................................................................................... 96Covered Short CDS Assets.......................................................................................................................... 98

THE MANAGER.................................................................................................................................................... 100

General ...................................................................................................................................................... 100Investment Approach and Analysis........................................................................................................... 101Personnel................................................................................................................................................... 101

THE MANAGEMENT AGREEMENT .................................................................................................................. 108General ...................................................................................................................................................... 108Termination and Assignment of the Management Agreement; Appointment of Successor...................... 108Limitation of Liability; Indemnity............................................................................................................. 110Compensation of the Manager .................................................................................................................. 111Disclosure and Consent Provisions Relating to "Principal Trades" and Cross-Transactions.................... 111

CERTAIN MATURITY AND PREPAYMENT CONSIDERATIONS ................................................................. 113General ...................................................................................................................................................... 113Prepayment................................................................................................................................................ 113

Weighted Average Life and Redemption .................................................................................................. 113Yield.......................................................................................................................................................... 113

PURCHASE AND TRANSFER RESTRICTIONS ................................................................................................ 115Secured Notes and Class Q Combination Notes ....................................................................................... 116Income Notes............................................................................................................................................. 122

CERTAIN TAX CONSIDERATIONS ................................................................................................................... 128United States Federal Income Tax Treatment of the Issuer....................................................................... 128United States Federal Income Taxation of the Holders............................................................................. 129Information Reporting and Backup Withholding...................................................................................... 131


6/209

NY3:#7409513 iv

Treatment of the Class Q Combination Notes........................................................................................... 132Disclosure of Reportable Transactions and Maintenance of Participants List .......................................... 132Foreign, State and Local Taxes................................................................................................................. 132Cayman Islands Tax Considerations ......................................................................................................... 132German Tax Considerations...................................................................................................................... 133

CERTAIN ERISA CONSIDERATIONS................................................................................................................ 135

CERTAIN LEGAL INVESTMENT CONSIDERATIONS.................................................................................... 138

PLAN OF DISTRIBUTION.................................................................................................................................... 139

LISTING AND GENERAL INFORMATION........................................................................................................ 141

CERTAIN LEGAL MATTERS .............................................................................................................................. 142

GLOSSARY............................................................................................................................................................ 143

SPECIFIED TYPES................................................................................................................................................ 180

INDEX OF DEFINED TERMS .............................................................................................................................. 188


7/209

NY3:#7409513 v

_________________

This Offering Circular has been prepared by the Co-Issuers solely for use in connection with the

proposed offering of the Notes and the listing of the Listed Notes described herein. 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 securities. 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. Eachprospective investor, by accepting delivery of this Offering Circular, agrees to the foregoing and to make no

copies (paper or electronic) of this Offering Circular or any documents referred to herein. Notwithstanding

the foregoing, no offeree shall be restricted from disclosing the United States tax treatment or United States

tax structure of the transactions described in this Offering Circular.

The Initial Purchaser, the Placement Agent, the Manager and the Trustee make no representation or

warranty, express or implied, as to the accuracy or completeness of the information contained in this OfferingCircular, except, in the case of the Manager, for the sections entitled "The Manager", "Risk FactorsPotential Conflicts of Interest Involving the Manager" and "Risk FactorsCDO of CDO SecuritiesExperience; Dependence on Manager and Key Personnel Thereof; Relationship to Prior Investment

Results"(collectively, the "Manager Sections"). Nothing contained in this Offering Circular is, or will be

relied upon as, a promise or representation by the Initial Purchaser, the Placement Agent, the Manager or

the Trustee as to the future. None of the Initial Purchaser, the Placement Agent, the Manager and the

Trustee has independently verified any of the information contained herein (financial, legal or otherwise) andassumes no responsibility for the accuracy or completeness of any such information, except, in the case of the

Manager, for the Manager Sections.

NONE OF THE SECURITIES AND EXCHANGE COMMISSION, ANY STATE

SECURITIES REGULATOR OR ANY OTHER UNITED STATESREGULATORYAUTHORITY HAS APPROVED OR DISAPPROVED THE NOTES, AND NONE OF THE

FOREGOING AUTHORITIES HAS PASSED UPON OR ENDORSED THE MERITS OF THIS

OFFERING OR THE ACCURACY OR ADEQUACY OF THIS OFFERING CIRCULAR. ANY

REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.

In making an investment decision, prospective investors must rely on their own examination of the

Co-Issuers and the terms of the offering contemplated hereby, including the merits and risks involved.

Prospective investors should not construe anything in this Offering Circular as legal, regulatory, business,

accounting, investment 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, but reference is made to the actual documents for complete information. All such summaries are

qualified in their entirety by such reference. Copies of documents referred to herein will be made available to

prospective investors upon request to the Initial Purchaser or the Placement Agent.

NOTICE 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 OFANY OTHER JURISDICTION AND MAY NOT BE OFFERED, SOLD OR OTHERWISE TRANSFERREDUNLESS AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT AND APPLICABLESTATE SECURITIES LAWS IS AVAILABLE. THE CO-ISSUERS ARE RELYING ON AN EXEMPTIONFROM REGISTRATION UNDER THE INVESTMENT COMPANY ACT, AND NO TRANSFER OF A NOTEMAY BE MADE WHICH WOULD CAUSE EITHER OF THE CO-ISSUERS TO BECOME SUBJECT TO THEREGISTRATION REQUIREMENTS OF THE INVESTMENT COMPANY ACT. THE NOTES WILL ALSO BESUBJECT TO CERTAIN OTHER RESTRICTIONS ON TRANSFER DESCRIBED HEREIN. PROSPECTIVEPURCHASERS OF THE NOTES SHOULD PROCEED ON THE ASSUMPTION THAT THEY MUST HOLD


8/209

NY3:#7409513 vi

THEIR INVESTMENT FOR AN INDEFINITE PERIOD OF TIME OR UNTIL THEIR STATED MATURITY ORANY EARLIER REDEMPTION.

THE CO-ISSUED NOTES WILL BE LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUERAND THE CO-ISSUER AND THE NON-CO-ISSUED NOTES WILL BE LIMITED RECOURSE DEBTOBLIGATIONS OF THE ISSUER ONLY. PRINCIPAL OF AND INTEREST ON THE SECURED NOTES ANDDISTRIBUTIONS ON THE INCOME NOTES WILL BE PAID, IN ACCORDANCE WITH THE PRIORITY OF

PAYMENTS SET FORTH HEREIN, SOLELY FROM AND TO THE EXTENT OF THE AVAILABLEPROCEEDS FROM THE DISTRIBUTIONS ON THE COLLATERAL, WHICH IS THE ONLY SOURCE OFPAYMENTS ON THE NOTES.

THE NOTES DO NOT REPRESENT DEPOSITS OR OTHER INTERESTS IN OR OBLIGATIONS OF,AND ARE NOT GUARANTEED BY OR SECURED BY THE ASSETS OF, THE MANAGER, THE INITIALPURCHASER, THE PLACEMENT AGENT, THE TRUSTEE, THE COLLATERAL ADMINISTRATOR, THESHARE TRUSTEE, THE ADMINISTRATOR OR ANY OF THEIR RESPECTIVE AFFILIATES. NEITHERTHE NOTES NOR THE RELATED COLLATERAL IS INSURED OR GUARANTEED BY THE FEDERALDEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENTAL AGENCY OR PERSON. FORTHESE REASONS, AMONG OTHERS, AN INVESTMENT IN THE NOTES IS NOT SUITABLE FOR ALLINVESTORS AND IS APPROPRIATE ONLY FOR AN INVESTOR CAPABLE OF (A) ANALYZING ANDASSESSING THE RISKS ASSOCIATED WITH DEFAULTS, LOSSES AND RECOVERIES ON,

REINVESTMENT OF PROCEEDS OF AND OTHER CHARACTERISTICS OF ASSETS SUCH AS THOSEINCLUDED AMONG THE ELIGIBLE COLLATERAL DEBT SECURITIES AND (B) BEARING SUCH RISKSAND THE FINANCIAL CONSEQUENCES THEREOF AS THEY RELATE TO AN INVESTMENT IN THENOTES.

NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANYREPRESENTATION NOT CONTAINED IN THIS OFFERING CIRCULAR AND, IF GIVEN OR MADE, SUCHINFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON. THIS OFFERING CIRCULARDOES NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY ANY OFTHE NOTES IN ANY JURISDICTION TO ANY PERSON TO WHICH IT IS UNLAWFUL TO MAKE SUCHOFFER IN SUCH JURISDICTION NOR TO ANY PERSON WHO HAS NOT RECEIVED A COPY OF THISOFFERING CIRCULAR AND EACH CURRENT AMENDMENT OR SUPPLEMENT HERETO, IF ANY.

THIS OFFERING CIRCULAR HAS BEEN PREPARED BY THE CO-ISSUERS SOLELY FOR USE INCONNECTION WITH THE OFFERING OF THE NOTES AND THE LISTING OF THE NOTES ASDESCRIBED HEREIN. THE CO-ISSUERS ACCEPT RESPONSIBILITY FOR THE INFORMATIONCONTAINED IN THIS OFFERING CIRCULAR OTHER THAN INFORMATION PROVIDED IN THEMANAGER SECTIONS. TO THE BEST KNOWLEDGE AND BELIEF OF THE CO-ISSUERS, HAVINGTAKEN ALL REASONABLE CARE THAT SUCH IS THE CASE, THE INFORMATION CONTAINED INTHIS OFFERING CIRCULAR IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHINGLIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE MANAGER ACCEPTSRESPONSIBILITY FOR THE INFORMATION CONTAINED IN THE SECTIONS ENTITLED "THEMANAGER", "RISK FACTORSPOTENTIAL CONFLICTS OF INTEREST INVOLVING THE MANAGER"AND "RISK FACTORSCDO OF CDO SECURITIES EXPERIENCE; DEPENDENCE ON MANAGER ANDKEY PERSONNEL THEREOF; RELATIONSHIP TO PRIOR INVESTMENT RESULTS". TO THE BESTKNOWLEDGE AND BELIEF OF THE MANAGER, HAVING TAKEN ALL REASONABLE CARE THATSUCH IS THE CASE, THE INFORMATION CONTAINED IN THE SECTIONS ENTITLED "THE MANAGER",

"RISK FACTORSPOTENTIAL CONFLICTS OF INTEREST INVOLVING THE MANAGER" AND "RISKFACTORSCDO OF CDO SECURITIES EXPERIENCE; DEPENDENCE ON MANAGER AND KEYPERSONNEL THEREOF; RELATIONSHIP TO PRIOR INVESTMENT RESULTS" IS IN ACCORDANCEWITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCHINFORMATION.

THE DELIVERY OF THIS OFFERING CIRCULAR AT ANY TIME DOES NOT IMPLY THAT THEINFORMATION CONTAINED HEREIN IS CORRECT AT ANY TIME SUBSEQUENT TO ITS DATE.


9/209

NY3:#7409513 vii

IT IS EXPECTED THAT PROSPECTIVE INVESTORS INTERESTED IN PARTICIPATING IN THISOFFERING ARE WILLING AND ABLE TO CONDUCT AN INDEPENDENT INVESTIGATION OF THERISKS POSED BY AN INVESTMENT IN THE NOTES. REPRESENTATIVES OF THE INITIALPURCHASER AND THE PLACEMENT AGENT WILL BE AVAILABLE TO ANSWER QUESTIONSCONCERNING THE CO-ISSUERS, THE NOTES, THE MANAGER AND THE COLLATERAL AND WILL,UPON REQUEST, MAKE AVAILABLE SUCH OTHER INFORMATION AS INVESTORS MAYREASONABLY REQUEST.

THIS OFFERING CIRCULAR IS NOT INTENDED TO FURNISH LEGAL, REGULATORY, TAX,ACCOUNTING, INVESTMENT OR OTHER ADVICE TO ANY PROSPECTIVE PURCHASER OF THENOTES. THIS OFFERING CIRCULAR SHOULD BE REVIEWED BY EACH PROSPECTIVE PURCHASERAND ITS LEGAL, REGULATORY, TAX, ACCOUNTING, INVESTMENT AND OTHER ADVISORS.INVESTORS WHOSE INVESTMENT AUTHORITY IS SUBJECT TO LEGAL RESTRICTIONS SHOULDCONSULT THEIR LEGAL ADVISORS TO DETERMINE WHETHER AND TO WHAT EXTENT THE NOTESCONSTITUTE LEGAL INVESTMENTS FOR THEM.

IN MAKING AN INVESTMENT DECISION, INVESTORS MUST RELY ON THEIR OWNEXAMINATION OF THE CO-ISSUERS AND THE TERMS OF THE OFFERING, INCLUDING THE MERITSAND RISKS INVOLVED. THE NOTES HAVE NOT BEEN RECOMMENDED BY ANY FEDERAL ORSTATE SECURITIES COMMISSION OR ANY OTHER REGULATORY AUTHORITY. FURTHERMORE,

THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THEADEQUACY OF THIS DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL.

EACH INITIAL INVESTOR IN THE NOTES ISSUED IN THE FORM OF GLOBAL NOTES WILL BEDEEMED TO HAVE MADE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER"PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. EACH PURCHASER OF THE NOTES ISSUEDIN THE FORM OF CERTIFICATED NOTES WILL BE REQUIRED TO MAKE CERTAIN PURCHASERREPRESENTATIONS IN WRITING AS DESCRIBED UNDER "PURCHASE AND TRANSFERRESTRICTIONS" HEREIN. IN ADDITION, THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILLBE SUBJECT TO RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN, INCLUDING, WITHOUTLIMITATION, THE REQUIREMENT THAT WITH RESPECT TO THE CERTIFICATED NOTESTRANSFERRED OR EXCHANGED, SUBSEQUENT TRANSFEREES FURNISH A REPRESENTATIONLETTER IN THE FORM PRESCRIBED BY THE INDENTURE OR THE INCOME NOTE PAYING AGENCYAGREEMENT, AS APPLICABLE. ANY RESALE OR OTHER TRANSFER, OR ATTEMPTED RESALE OROTHER ATTEMPTED TRANSFER, OF NOTES WHICH IS NOT MADE IN COMPLIANCE WITH THEAPPLICABLE TRANSFER RESTRICTIONS WILL BE NULL AND VOIDAB INITIO. SEE "PURCHASE ANDTRANSFER RESTRICTIONS".

NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBEFOR THE NOTES, WITHIN THE MEANING OF SECTION 194 OF THE CAYMAN ISLANDS COMPANIESLAW (2004 REVISION), AND THIS DOCUMENT MAY NOT BE ISSUED OR PASSED TO ANY SUCHPERSON.

________________

NOTICE TO RESIDENTS OF CHINA

EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED ANDAGREED THAT NEITHER IT NOR ANY OF ITS AFFILIATES HAS OFFERED OR SOLD OR WILL OFFEROR SELL ANY OF THE NOTES IN THE PEOPLE'S REPUBLIC OF CHINA (EXCLUDING HONG KONG,MACAU AND TAIWAN) AS PART OF THE INITIAL DISTRIBUTION OF THE NOTES.

NOTICE TO RESIDENTS OF GERMANY

THE NOTES HAVE NOT BEEN REGISTERED OR AUTHORIZED FOR PUBLIC DISTRIBUTIONUNDER GERMAN LAW.


10/209

NY3:#7409513 viii

ACCORDINGLY, THE NOTES MAY NOT BE DISTRIBUTED TO OR WITHIN GERMANY BY WAYOF A PUBLIC OFFER, PUBLIC ADVERTISEMENT OR IN ANY SIMILAR MANNER AND THIS OFFERINGCIRCULAR AND ANY OTHER DOCUMENT RELATING TO THE NOTES, AS WELL AS INFORMATIONCONTAINED THEREIN, MAY NOT BE SUPPLIED TO THE PUBLIC IN GERMANY OR USED INCONNECTION WITH ANY OFFER FOR SUBSCRIPTION OF NOTES TO THE PUBLIC IN GERMANY ORANY OTHER MEANS OF PUBLIC MARKETING.

THIS OFFERING CIRCULAR AND OTHER OFFERING MATERIALS RELATING TO THE OFFEROF NOTES ARE STRICTLY CONFIDENTIAL AND MAY NOT BE DISTRIBUTED TO ANY PERSON ORENTITY OTHER THAN THE RECIPIENT HEREOF TO WHOM THIS OFFERING CIRCULAR ISPERSONALLY ADDRESSED.

NOTICE TO RESIDENTS OF HONG KONG

EACH OF THE INITIAL PURCHASER AND PLACEMENT AGENT REPRESENTS AND AGREESTHAT:

(A) IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER OR SELL IN HONG KONG, BYMEANS OF ANY DOCUMENT, ANY NOTES OTHER THAN (I) TO PERSONS WHOSEORDINARY BUSINESS IS TO BUY OR SELL SHARES OR DEBENTURES (WHETHER AS

PRINCIPAL OR AGENT); OR (II) TO "PROFESSIONAL INVESTORS" AS DEFINED IN THESECURITIES AND FUTURES ORDINANCE (CAP. 571) OF HONG KONG AND ANYRULES MADE UNDER THAT ORDINANCE; OR (III) IN OTHER CIRCUMSTANCESWHICH DO NOT RESULT IN THE DOCUMENT BEING A "PROSPECTUS" AS DEFINED INTHE COMPANIES ORDINANCE (CAP. 32) OF HONG KONG OR WHICH DO NOTCONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THATORDINANCE; AND

(B) IT HAS NOT ISSUED OR HAD IN ITS POSSESSION FOR THE PURPOSES OF ISSUE, ANDWILL NOT ISSUE OR HAVE IN ITS POSSESSION FOR THE PURPOSES OF ISSUE,WHETHER IN HONG KONG OR ELSEWHERE, ANY ADVERTISEMENT, INVITATION ORDOCUMENT RELATING TO THE NOTES, WHICH IS DIRECTED AT, OR THE CONTENTSOF WHICH ARE LIKELY TO BE ACCESSED OR READ BY, THE PUBLIC OF HONGKONG (EXCEPT IF PERMITTED TO DO SO UNDER THE SECURITIES LAWS OF HONGKONG) OTHER THAN WITH RESPECT TO NOTES WHICH ARE OR ARE INTENDED TOBE DISPOSED OF ONLY TO PERSONS OUTSIDE HONG KONG OR ONLY TO"PROFESSIONAL INVESTORS" AS DEFINED IN THE SECURITIES AND FUTURESORDINANCE AND ANY RULES MADE UNDER THAT ORDINANCE.

NOTICE TO RESIDENTS OF IRELAND

THE NOTES WILL NOT AND MAY NOT BE OFFERED, SOLD, TRANSFERRED OR DELIVERED,WHETHER DIRECTLY OR INDIRECTLY, OTHERWISE THAN IN CIRCUMSTANCES WHICH DO NOTCONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE IRISH COMPANIES ACT,1963-2005 AND THE NOTES WILL NOT AND MAY NOT BE THE SUBJECT OF AN OFFER IN IRELANDWHICH WOULD REQUIRE THE PUBLICATION OF A PROSPECTUS PURSUANT TO ARTICLE 3 OFDIRECTIVE 2003/71/EC. NO APPLICATION FORM HAS BEEN ISSUED OR WILL BE ISSUED IN THE

REPUBLIC OF IRELAND IN RESPECT OF THE NOTES.

NOTICE TO RESIDENTS OF JAPAN

THE NOTES HAVE NOT BEEN, AND WILL NOT BE, REGISTERED UNDER THE SECURITIESAND EXCHANGE LAW OF JAPAN. NEITHER THE NOTES NOR ANY INTEREST THEREIN MAY BEOFFERED, SOLD, RESOLD OR OTHERWISE TRANSFERRED, DIRECTLY OR INDIRECTLY, IN JAPANOR TO OR FOR THE ACCOUNT OF ANY RESIDENT IN JAPAN (WHICH TERM AS USED HEREINMEANS ANY PERSON RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OR OTHER ENTITYORGANIZED UNDER THE LAWS OF JAPAN), OR TO OTHERS FOR RE-OFFERING OR SALE, DIRECTLY


11/209

NY3:#7409513 ix

OR INDIRECTLY, IN JAPAN OR TO A RESIDENT OF JAPAN EXCEPT PURSUANT TO AN EXEMPTIONFROM THE REGISTRATION REQUIREMENTS OF, AND OTHERWISE IN COMPLIANCE WITH, THESECURITIES AND EXCHANGE LAW AND ANY OTHER APPLICABLE LAW, REGULATIONS ANDMINISTERIAL GUIDELINES OF JAPAN.

NOTICE TO RESIDENTS OF KOREA

NEITHER THE INITIAL PURCHASER NOR THE PLACEMENT AGENT IS MAKING ANYREPRESENTATION WITH RESPECT TO THE ELIGIBILITY OF ANY RECIPIENTS OF THIS OFFERINGCIRCULAR TO ACQUIRE THE SECURITIES DESCRIBED HEREIN UNDER THE LAWS OF KOREA,INCLUDING BUT WITHOUT LIMITATION THE FOREIGN EXCHANGE TRANSACTION ACT ANDREGULATIONS THEREUNDER. PROSPECTIVE INVESTORS WHO ARE KOREAN RESIDENTS SHOULDBE ADVISED OF THE INVESTMENT PROCEDURES UNDER THE LAWS OF KOREA, INCLUDING BUTWITHOUT LIMITATION, FILING REQUIREMENTS UNDER THE FOREIGN EXCHANGE TRANSACTIONACT AND REGULATIONS THEREUNDER.

THE SECURITIES HAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGEACT OF KOREA OR THE INDIRECT INVESTMENT ASSET MANAGEMENT BUSINESS ACT OF KOREA,AND NONE OF THE SECURITIES MAY BE OFFERED, SOLD OR DELIVERED, DIRECTLY ORINDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA, OR TO ANY PERSON FOR RE-OFFERING

OR RESALE, DIRECTLY OR INDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA, EXCEPT ASPERMITTED BY APPLICABLE LAWS AND REGULATIONS OF KOREA.

NOTICE TO RESIDENTS OF PHILIPPINES

IN ACCORDANCE WITH THE REQUIREMENTS OF THE SECURITIES REGULATION CODE("SRC") AND THE SECURITIES AND EXCHANGE COMMISSION ("SEC"), WE HEREBY DISCLOSE THAT:

THE NOTES BEING OFFERED OR SOLD HAVE NOT BEEN REGISTERED WITH THE SECUNDER THE SRC. ANY FUTURE OFFER OR SALE OF THE NOTES IS SUBJECT TO REGISTRATIONREQUIREMENTS UNDER THE SRC UNLESS SUCH OFFER OR SALE QUALIFIES AS AN EXEMPTTRANSACTION.

THE NOTES ARE BEING OFFERED TO INVESTORS IN THE PHILIPPINES ON THEUNDERSTANDING THAT EACH SUCH OFFEREE IS A "QUALIFIED BUYER" AS DEFINED IN THESRC/THIS IS A PRIVATE PLACEMENT TO FEWER THAN TWENTY (20) INVESTORS IN THEPHILIPPINES WITHIN A TWELVE-MONTH PERIOD. CONSEQUENTLY, THE OFFER OF THE NOTES ISEXEMPT FROM REGISTRATION WITH THE SEC UNDER SECTIONS 10.1(1)/10.1(K) OF THE SRC. ACONFIRMATION OF EXCEPTION FROM THE SEC THAT THE OFFER AND SALE OF THE NOTES IN THEPHILIPPINES SO QUALIFIES AS AN EXEMPT TRANSACTION HAS NOT BEEN OBTAINED.

NOTICE TO RESIDENTS OF SINGAPORE

THE OFFER OR INVITATION WHICH IS THE SUBJECT OF THIS OFFERING CIRCULAR IS NOTALLOWED TO BE MADE TO THE RETAIL PUBLIC. THIS OFFERING CIRCULAR IS NOT APROSPECTUS AS DEFINED IN THE SECURITIES AND FUTURES ACT, CHAPTER 289 OF SINGAPORE("SFA"). ACCORDINGLY, STATUTORY LIABILITY UNDER THAT ACT IN RELATION TO THECONTENT OF PROSPECTUSES WOULD NOT APPLY. YOU SHOULD CONSIDER CAREFULLYWHETHER THE INVESTMENT IS SUITABLE FOR YOU.

EACH DEALER HAS ACKNOWLEDGED THAT THIS OFFERING CIRCULAR HAS NOT BEENREGISTERED AS A PROSPECTUS WITH THE MONETARY AUTHORITY OF SINGAPORE.ACCORDINGLY, EACH DEALER HAS REPRESENTED, WARRANTED AND AGREED THAT IT HAS NOTOFFERED OR SOLD ANY NOTES OR CAUSED SUCH NOTES TO BE MADE THE SUBJECT OF ANINVITATION FOR SUBSCRIPTION OR PURCHASE AND WILL NOT OFFER OR SELL SUCH NOTES ORCAUSE SUCH NOTES TO BE MADE THE SUBJECT OF AN INVITATION FOR SUBSCRIPTION ORPURCHASE, AND HAS NOT CIRCULATED OR DISTRIBUTED, NOR WILL IT CIRCULATE OR


12/209

NY3:#7409513 x

DISTRIBUTE, THIS OFFERING CIRCULAR OR ANY OTHER DOCUMENT OR MATERIAL INCONNECTION WITH THE OFFER OR SALE, OR INVITATION FOR SUBSCRIPTION OR PURCHASE, OFSUCH NOTES, WHETHER DIRECTLY OR INDIRECTLY, TO PERSONS IN SINGAPORE OTHER THAN(I) TO AN INSTITUTIONAL INVESTOR UNDER SECTION 304 OF THE SFA, (II) TO A RELEVANTPERSON PURSUANT TO SECTION 305(1), OR ANY PERSON PURSUANT TO SECTION 305(2), AND INACCORDANCE WITH THE CONDITIONS SPECIFIED IN SECTION 305 OF THE SFA OR (III) OTHERWISEPURSUANT TO, AND IN ACCORDANCE WITH THE CONDITIONS OF, ANY OTHER APPLICABLE

PROVISION OF THE SFA.

WHERE NOTES ARE SUBSCRIBED OR PURCHASED UNDER SECTION 305 BY A RELEVANTPERSON WHICH IS:

(A) A CORPORATION (WHICH IS NOT AN ACCREDITED INVESTOR (AS DEFINED INSECTION 4A OF THE SFA)) THE SOLE BUSINESS OF WHICH IS TO HOLDINVESTMENTS AND THE ENTIRE SHARE CAPITAL OF WHICH IS OWNED BY ONE ORMORE INDIVIDUALS, EACH OF WHOM IS AN ACCREDITED INVESTOR; OR

(B) A TRUST (WHERE THE TRUSTEE IS NOT AN ACCREDITED INVESTOR) WHOSE SOLEPURPOSE IS TO HOLD INVESTMENTS AND EACH BENEFICIARY OF THE TRUST ISAN INDIVIDUAL WHO IS AN ACCREDITED INVESTOR, SHARES, DEBENTURES AND

UNITS OF SHARES AND DEBENTURES OF THAT CORPORATION OR THEBENEFICIARIES' RIGHTS AND INTEREST (HOWSOEVER DESCRIBED) IN THATTRUST SHALL NOT BE TRANSFERRED WITHIN 6 MONTHS AFTER THATCORPORATION OR THAT TRUST HAS ACQUIRED THE NOTES PURSUANT TO ANOFFER MADE UNDER SECTION 305 EXCEPT:

1. TO AN INSTITUTIONAL INVESTOR (FOR CORPORATIONS, UNDERSECTION 274 OF THE SFA) OR TO A RELEVANT PERSON DEFINED INSECTION 305(5) OF THE SFA, OR TO ANY PERSON PURSUANT TO AN OFFERTHAT IS MADE ON TERMS THAT SUCH SHARES, DEBENTURES AND UNITSOF SHARES AND DEBENTURES OF THAT CORPORATION OR SUCH RIGHTSAND INTEREST IN THAT TRUST ARE ACQUIRED AT A CONSIDERATION OFNOT LESS THAN S$200,000 (OR ITS EQUIVALENT IN A FOREIGN CURRENCY)FOR EACH TRANSACTION, WHETHER SUCH AMOUNT IS TO BE PAID FOR INCASH OR BY EXCHANGE OF SECURITIES OR OTHER ASSETS, AND FURTHERFOR CORPORATIONS, IN ACCORDANCE WITH THE CONDITIONS SPECIFIEDIN SECTION 275 OF THE SFA;

2. WHERE NO CONSIDERATION IS OR WILL BE GIVEN FOR THE TRANSFER; OR

3. WHERE THE TRANSFER IS BY OPERATION OF LAW.

NOTICE TO RESIDENTS OF SPAIN

THIS OFFERING CIRCULAR HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THECOMISION NACIONAL DEL MERCADO DE VALORES OF SPAIN AND MAY NOT BE DISTRIBUTED INSPAIN IN CONNECTION WITH THE OFFERING AND SALE OF THE NOTES WITHOUT COMPLYINGWITH ALL LEGAL AND REGULATORY REQUIREMENTS IN RELATION THERETO.

NOTICE TO RESIDENTS OF SWEDEN

THIS OFFERING CIRCULAR IS FOR THE RECIPIENT ONLY AND MAY NOT IN ANY WAY BEFORWARDED TO ANY OTHER PERSON OR TO THE PUBLIC IN SWEDEN.


13/209

NY3:#7409513 xi

NOTICE TO RESIDENTS OF TAIWAN

ANY OFFERING OR SALES ACTIVITIES IN CONNECTION WITH OFFSHORE SECURITIES INTHE TERRITORY OF TAIWAN ARE STRICTLY REGULATED. ANY OFFERING OR SALES OF THENOTES IN THE TERRITORY OF TAIWAN OR TO TAIWANESE INVESTORS MUST BE SUBJECT TOCERTAIN RESTRICTIONS UNDER THE APPLICABLE LAWS AND RULES. EACH SUBSCRIBER ORPURCHASER OF THE NOTES MUST SEEK PROFESSIONAL OPINIONS ON ITS ELIGIBILITY IN

SUBSCRIBING OR PURCHASING THE NOTES AND REPRESENTS AND WARRANTS THAT IT IS DULYQUALIFIED TO SUBSCRIBE OR PURCHASE THE NOTES UNDER THE APPLICABLE TAIWANESE LAWSAND RULES. ANY HOLDER OF THE NOTES MIGHT BE RESTRICTED FROM RESELLING THE NOTESIN TAIWAN EXCEPT AS OTHERWISE APPROVED BY THE REGULATOR IN TAIWAN OR ACCORDINGTO APPLICABLE TAIWANESE LAWS OR RULES.

NOTICE TO RESIDENTS OF THAILAND

EACH OF THE INITIAL PURCHASER AND PLACEMENT AGENT HAS REPRESENTED,WARRANTED AND AGREED THAT IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER OR SELLANY NOTES AND IT HAS NOT DISTRIBUTED AND WILL NOT DISTRIBUTE ANY OTHER DOCUMENTSOR MATERIAL IN CONNECTION WITH THE NOTES, EITHER DIRECTLY OR INDIRECTLY, INTHAILAND OR TO ANY RESIDENT OF THAILAND.

NOTICE TO RESIDENTS OF THE UNITED KINGDOM

EACH DEALER OF NOTES HAS REPRESENTED AND AGREED, AND EACH FUTURE DEALERWILL BE REQUIRED TO REPRESENT AND AGREE, THAT:

(A) IT HAS ONLY COMMUNICATED OR CAUSED TO BE COMMUNICATED AND WILLONLY COMMUNICATE OR CAUSE TO BE COMMUNICATED AN INVITATION ORINDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OFSECTION 21 OF THE FINANCIAL SERVICES AND MARKETS ACT OF 2000 (THE"FSMA")) RECEIVED BY IT IN CONNECTION WITH THE ISSUE OR SALE OF ANYNOTES IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FSMA DOES NOTAPPLY TO THE CO-ISSUERS; AND

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

________________

NOTICE TO FLORIDA RESIDENTS

THE NOTES ARE OFFERED PURSUANT TO A CLAIM OF EXEMPTION UNDER SECTION 517.061OF THE FLORIDA SECURITIES ACT AND HAVE NOT BEEN REGISTERED UNDER SAID ACT IN THESTATE OF FLORIDA. ALL FLORIDA RESIDENTS WHO ARE NOT INSTITUTIONAL INVESTORSDESCRIBED IN SECTION 517.061(7) OF THE FLORIDA SECURITIES ACT HAVE THE RIGHT TO VOIDTHEIR PURCHASE OF THE NOTES WITHOUT PENALTY WITHIN THREE DAYS AFTER THE FIRSTTENDER OF CONSIDERATION.

NOTICE TO GEORGIA RESIDENTS

THE NOTES HAVE BEEN ISSUED OR SOLD IN RELIANCE ON PARAGRAPH (13) OF CODESECTION 10-5-9 OF THE GEORGIA SECURITIES ACT OF 1973, AND MAY NOT BE SOLD ORTRANSFERRED EXCEPT IN A TRANSACTION WHICH IS EXEMPT UNDER SUCH ACT OR PURSUANTTO AN EFFECTIVE REGISTRATION UNDER SUCH ACT.

________________


14/209

NY3:#7409513 xii

The distribution of this Offering Circular and the offering of the Notes may also be restricted by law incertain other jurisdictions. Consequently, nothing contained herein will constitute an offer to sell, or a solicitation ofan offer to buy, (a) any securities other than the Notes or (b) any Notes in any jurisdiction in which it is unlawful forsuch Person to make such an offer or solicitation. Persons into whose possession this Offering Circular comes arerequired by the Co-Issuers, the Initial Purchaser and the Placement Agent to inform themselves about, and toobserve, any such restrictions.

________________

AVAILABLE INFORMATION

To permit compliance with Rule 144A under the Securities Act in connection with the resale of the Notes,the Applicable Issuers will be required to furnish, upon request of a Holder of a Note, to such Holder and aprospective 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 either of the Co-Issuers (or with respect to the Non-Co-IssuedNotes, the Issuer) are not reporting companies under Section 13 or Section 15(d) of the Exchange Act or exemptfrom reporting pursuant to Rule 12g3-2(b) under the Exchange Act.

To the extent the Issuer, the Trustee or the Manager delivers any annual or other periodic report to theHolders of the Notes, the Issuer will include in such report a reminder that (1) each Holder of an interest in the

Rule 144A Global Notes must be able to make the acknowledgements, representations and agreements described in"Purchase and Transfer Restrictions"; (2) each Holder of an interest in the Rule 144A Global Notes must be both aQIB and a QP that can make all of the representations applicable to a Holder that is a U.S. Person; (3) interests in theRule 144A Global Notes are transferable only to QIBs that are QPs and that are able to make suchacknowledgements, representations and agreements; and (4) the Co-Issuers have the right to compel any Holder whodoes not meet the transfer restrictions to transfer its interest in the Rule 144A Global Notes to a Person designatedby the Applicable Issuers or sell such interests on behalf of the Holder on such terms as the Issuer may choose.

________________

FORWARD-LOOKING STATEMENTS

This Offering Circular contains forward-looking statements, which can be identified by words like

"anticipate", "believe", "plan", "hope", "goal", "expect", "future", "intend", "will", "could" and "should" and bysimilar expressions. The information referred to under "Certain Maturity and Prepayment Considerations" may alsobe deemed to contain forward-looking statements. Prospective investors should not place undue reliance onforward-looking statements. Actual results could differ materially from those referred to in forward-lookingstatements for many reasons, including the risks described in "Risk Factors" and the matters referred to under"Certain Maturity and Prepayment Considerations", which matters include assumptions referred to therein.Forward-looking statements are necessarily speculative in nature, and it can be expected that some or all of theassumptions underlying forward-looking statements will not materialize or will vary significantly from actualresults. Accordingly, forward-looking statements are only an estimate. Actual results may vary fromforward-looking statements, and the variations may be material.

Some important factors that could cause actual results to differ materially from those in anyforward-looking statements include changes in interest rates, market, financial or legal uncertainties, the timing ofacquisitions and sales of the Eligible Collateral Debt Securities, differences in the actual allocation of the EligibleCollateral Debt Securities among asset categories from those assumed, mismatches between the timing of accrualand receipt of Interest Collections and Principal Collections from the Eligible Collateral Debt Securities, availablefunds caps, floors or other caps on the interest rate payable on the Eligible Collateral Debt Securities, timingmismatches on the reset of the interest rates between the Eligible Collateral Debt Securities and the Notes, thetiming and frequency of defaults under the Eligible Collateral Debt Securities and differences in the actualprepayment rates with respect to the Eligible Collateral Debt Securities from those assumed, among others.Consequently, without limiting the generality of the foregoing, the inclusion of forward-looking statements hereinshould not be regarded as a representation by the Issuer, the Co-Issuer, the Manager, the Trustee, the InitialPurchaser or the Placement Agent or any of their respective affiliates or any other Person of the results that willactually be achieved by the Issuer or the Co-Issuer or the Notes. None of the foregoing Persons has any obligation


15/209

NY3:#7409513 xiii

to update or otherwise revise any forward-looking statements, including any revisions to reflect changes ineconomic conditions or other circumstances arising after the date hereof or to reflect the occurrence of unanticipatedevents, even if the underlying assumptions do not come to fruition.


16/209

NY3:#7409513 xiv

SUMMARIES OF DOCUMENTS; AVAILABILITY OF DOCUMENTS

This Offering Circular summarizes certain provisions of the Notes, the Transaction Documents and certainother transactions and documents. The summaries do not purport to be complete and (whether or not so statedherein) are subject to, are qualified in their entirety by reference to the provisions of the actual documents (includingdefinitions of terms). Following the Closing Date, copies of the Indenture may be obtained by investors uponrequest in writing to the Trustee at the address specified in the Counterparty Table and copies of the Income Note

Paying Agency Agreement may be obtained by investors upon request in writing to the Income Note Paying Agentat the address specified in the Counterparty Table.

________________

All references herein to "U.S.$", "$" or "dollars" are to United States dollars.

________________


17/209

NY3:#7409513 1

SUMMARY OF TERMS

The following summary does not purport to be complete and is qualified in its entirety by reference to the

detailed information appearing elsewhere in this Offering Circular and related documents referred to herein.

Defined terms used herein may be defined elsewhere in this Offering Circular. The definitions of most defined terms

are located in a glossary and the page numbers for definitions of all defined terms are located in an index of defined

terms, each appearing at the end of this Offering Circular.

Counterparty Table

Issuer Class V Funding III, Ltd.Registered Number MC-181338c/o Maples Finance LimitedP.O. Box 1093 GT, Queensgate HouseSouth Church Street, George TownGrand Cayman, Cayman IslandsTel: 345-945-7099

Co-Issuer Class V Funding III, Corp., a Delaware corporation

Registration No. 4293449c/o The Corporation Trust Company1209 Orange StreetWilmington, Delaware 19801Tel: 302-777-0247

Co-Issuers The Issuer and the Co-Issuer

Manager Credit Suisse Alternative Capital, Inc.Eleven Madison AvenueNew York, New York 10010

Trustee, Indenture Registrar, Income

Note Registrar, Income Note PayingAgent, Collateral Administrator,

Custodian, Note Calculation Agent,

Secured Note Paying Agent and

Corporate Trust Office

LaSalle Bank National Association ("LaSalle")

181 West Madison Street, 32nd FloorChicago, Illinois 60602

Initial Purchaser of the Secured Notes

and Placement Agent for the Class Q

Combination Notes the Income Notes

Citigroup Global Markets Inc. ("Citigroup")Attn: Fixed Income Global Structured Credit Products Group390 Greenwich StreetNew York, NY 10013

Class A1 Swap Counterparty Citigroup Global Markets Limited ("CGML")Citigroup Centre25 Canada SquareLondon E14 5LBUnited Kingdom

CDS Collateral Securities

Counterparty

Citibank, N.A.250 West Street, 10th FloorNew York, New York 10013Attention: Director Derivatives OperationsFacsimile No.: (212) 723-2956

with a copy to:


18/209

NY3:#7409513 2

Legal Department77 Water Street, 9th FloorNew York, New York 10004Attention: Department HeadFacsimile No.: (212) 657 1452

Initial CDS Asset Counterparty Citibank, N.A. (New York or London)

Cashflow Swap Counterparty IXIS Financial Products Inc.9 West 57th StreetNew York, NY 10019

Note Paying Agents Secured Note Paying Agent and Irish Note Paying Agent

Share Registrar, Share Trustee and

Administrator

Maples Finance LimitedP.O. Box 1093 GTQueensgate House, South Church StreetGeorge Town, Grand CaymanCayman Islands

Irish Note Paying Agent Maples Finance Dublin75 St. Stephen's GreenDublin 2Ireland

Irish Listing Agent Maples and Calder Listing Services Limited75 St. Stephen's GreenDublin 2Ireland

Independent Accountant Deloitte & Touche LLP, or any successor accounting firm selectedpursuant to the Indenture, which will periodically perform certainprocedures with respect to the Collateral and the compliance with the

Portfolio Limitations, Coverage Tests, Portfolio Quality Tests,Payment Reports and tax reports as required by the Indenture

Notes Offered Hereby Class S Notes, Class A2 Notes, Class A3 Notes, Class A4 Notes,Class B Notes, Class C Notes, Class Q Combination Notesand Income Notes.

Principal Balance Target U.S.$1,000,000,000


19/209


20/209

NY3:#7409513 4

Class Designation S A1 A2 A3 A4 B C

MinimumDenominations

$500,000 $1 $500,000 $500,000 $500,000 $250,000 $250,0

Integrals $1,000 $1 $1,000 $1,000 $1,000 $1,000 $1,000

Forms

Rule 144A Global Global Global Global Global Global Globa

Regulation S Global Global Global Global Global Global Globa

Acc'd Investor N/A N/A N/A N/A N/A Physical Physic

Maximum BenefitPlan Investors N/A N/A N/A N/A N/A N/A N/A

1 The Class A1 Notes will be issuable from time to time in Class A1 Note Fundings to the Class A1 Swap Counterparty or its Class the initial Class A1 Swap Notional Amount. No amount of Class A1 Notes will be issued on the Closing Date.

2 The Class A1 Notes will accrue interest at the interest rate specified above on the Class A1 Note Amount.3 The Class Q Combination Notes will be comprised of (i) a Class C Component; and (ii) an Income Note Component. For purpose

Deferrable Interest and Secured Note status, the Class Q Combination Notes will be characterized in the manner, and to the extentof the respective Components of the Class Q Combination Notes is also included in the amount indicated opposite the caption "Orapplicable to the Classes of Notes that comprise the Class Q Combination Notes.

4 The Class Q Combination Notes are rated as to the ultimate payment of their Class Q Combination Note Notional Balance and theClass Q Combination Notes. In the event that the Class Q Combination Note Notional Balance is reduced to zero, holders of the Creceive payments in accordance with the Priority of Payments to the extent allocated to their related components and such paymen

5 The Principal Balance of the Class S Notes is not taken into account when calculating the Principal Coverage Ratio.6

As to the payment of interest and principal subject to the Priority of Payments.7 The Co-Issuers expect to use a different CUSIP number for each separate Class A1 Note Funding; a list of such CUSIPs will be m

Class A1 Notes are issued following each Class A1 Note Funding.


21/209

NY3:#7409513 5

Date Table

Class A1 Swap

Termination Date

The earliest of (a) the Maturity DateStated of the Class A1 Notes, (b) theRedemption Date and (c) such earlier date, if any, on which the Class A1 SwapNotional Amount is reduced to zero in accordance with the terms of the Class A1Swap.

Closing Date February 28, 2007

Date of Incorporation of

Issuer

January 30, 2007

Date of Incorporation of

Co-Issuer

January 31, 2007

Mandatory Redemption

DateInitial

The Payment Date occurring in February 2015

Optional Redemption

DateInitial

The Payment Date occurring in February 2010

Payment Date The 28th day of each February, May, August and November commencing on thePayment Date in May 2007 (or if any such day is not a Business Day, on the nextsucceeding Business Day), and ending on (and including) the Maturity DateStated.

Ramp-Up End Date The earlier to occur of (i) the date 60 days following the Closing Date and (ii) the dateon which the Issuer has acquired (or entered into agreements providing for theacquisition of) Eligible Collateral Debt Securities having a Principal BalanceAggregate of at least the Principal Balance Target.

Interest Payments Interest will accrue on the Outstanding principal amount of each Secured Note foreach Periodic Interest Accrual Period at the Periodic Interest Rate for the relevantClass and will be payable in arrears on each Payment Date through the MaturityDateFinal for such Class.

To the extent Periodic Interest for any Periodic Interest Accrual Period is not paid onany Class of Deferrable Interest Notes that is not the most Senior Class Outstanding onany Payment Date, the amount of such shortfall will not be deemed due and payableunder the Indenture (and the failure to pay such amount will not constitute an Event ofDefault), but the Periodic Interest Cumulative Shortfall Amount for such Class ofDeferrable Interest Notes will be increased by the amount of such interest shortfall,which will not be payable as Periodic Interest on any subsequent Payment Date. ThePeriodic Interest Cumulative Shortfall Amount for each Class of Deferrable InterestNotes as of any Payment Date will be added to the principal amount of such Class of

Deferrable Interest Notes and will accrue interest at the Periodic Interest Rate for suchClass, and such accrued interest will be payable on any subsequent Payment Datepursuant to the Priority of Payments as interest on such Class of Deferrable InterestNotes or added to the Periodic Interest Cumulative Shortfall Amount as aforesaid.

See "Description of the NotesInterest on Secured Notes".


22/209

NY3:#7409513 6

Income Note

Distributions

Distributions on the Income Notes will be payable to the extent funds are available forsuch purpose in accordance with the Priority of Payments, on each Payment Datethrough the Maturity DateFinal, unless redeemed pursuant to a Redemption priorthereto. The Holders of the Income Notes will not be entitled to receive interest on theIncome Notes at a stated rate. See "Description of the NotesIncome Notes" and "Priority of Payments".

Payments on Class QCombination Notes

On each date on which payments, whether from Interest Collections, PrincipalCollections or redemption or otherwise, are made on any Class of Notes to which oneof the Components of the Class Q Combination Notes relates, a portion of suchpayment will be allocated to such Component in the proportion that the principalamount of such Component bears to the principal of the related Class (including suchComponent). No other payments will be made on the Class Q Combination Notes.

Maturity DateStated Each Class of Notes will mature on the date specified in the Principal Terms Table forsuch Class, or if such day is not a Business Day, the next succeeding Business Day(the "Maturity DateStated"), or, in the case of each Class of Secured Notes, suchearlier date on which the Principal BalanceAggregate of such Class (including, withrespect to each Class of Deferrable Interest Notes, the Periodic Interest CumulativeShortfall Amount with respect to such Class) is paid in full (the "Maturity DateFinal").

Redemption The Issuer will attempt a redemption in accordance with certain procedures specifiedin the Indenture, (i) on any Payment Date occurring on or after the OptionalRedemption DateInitial, if the Issuer is so directed in writing by the Holders of notless than 66% of the Principal BalanceAggregate of the Outstanding IncomeNotes, (ii) on any Payment Date, if a Tax Event has occurred and is continuing and theIssuer is so directed in writing by a Majority of the Outstanding Income Notes or(iii) on the Mandatory Redemption DateInitial or any subsequent Payment Date, ifthe Secured Notes have not been redeemed or repaid in full on or prior to such date(any such redemption, a "Redemption");providedthat certain conditions are satisfied.See "Description of the NotesRedemption".

The Income Notes will not be subject to Redemption prior to their Maturity DateStated but may be redeemed after all the Secured Notes have been paid in full. Theavailability of funds for payments or distributions to the Holders of the Income Notes

in connection with any Redemption will be limited as described herein.Priority of Payments

Application of InterestCollections on PaymentDates

On each Payment Date, Interest Collections with respect to such Payment Date, to theextent of Available Funds, will be applied by the Trustee in the following order ofpriority (the "Priority of PaymentsInterest Collections"):

(A) to the payment of taxes and filing and registration fees owed by theCo-Issuers, if any;

(B) to paypari passu (i) to any CDS Asset Counterparty, any CDS AssetInterest Payments due under any CDS Asset, (ii) to any Covered Short CDS AssetCounterparty, any amounts due under any Covered Short CDS Asset other thanany Subordinated Covered Short CDS Termination Payment, (iii) to the CDSCollateral Securities Counterparty, any amounts due under the CDS Collateral

Agreement other than any CDS Asset/SCA Issuer Termination Payment orSubordinated CDS Asset/SCA Termination Payment, and (iv) to the Initial CDSAsset Counterparty, any accrued and unpaid Intermediation Fee;

(C) to the payment,pro rata, to the Trustee and the Income Note PayingAgent of accrued and unpaid fees owing to them, collectively, up to a maximumamount on any Payment Date equal to the greater of (x) U.S.$6,250 and(y) 0.0025% of the average of the Principal BalancePortfolio on the first day ofthe related Period and the Principal BalancePortfolio on the last day of suchPeriod;


23/209

NY3:#7409513 7

(D) first, to the payment,pro rata, to the Trustee, the Income Note PayingAgent and the Collateral Administrator of all accrued and unpaid AdministrativeExpenses (other than indemnities) owing to them, and second, to the payment,prorata, of any remaining accrued and unpaid Administrative Expenses (other thanindemnities) of the Co-Issuers, and third, to the payment, in the following order, ofany remaining accrued and unpaid Administrative Expenses consisting ofindemnities of the Co-Issuers payable by them pursuant to the terms of theTransaction Documents (i) to the Trustee, the Collateral Administrator and theIncome Note Paying Agent and (ii) to other Persons to which such payments aredue, andfourth, on each Payment Date other than the Maturity DateFinal, to theExpense Reserve Account until the balance of such account reaches U.S.$50,000;providedthat the aggregate payments pursuant to this clause (D) on any PaymentDate together with all other Administrative Expenses paid since the previousPayment Date may not exceed U.S.$50,000;

(E) to the payment of the Management Fee then due and unpaid;

(F) to the payment to the Cashflow Swap Counterparty, any Cashflow SwapFee Payment;

(G) to paypari passu (i) to the payment of Periodic Interest on the Class A1

Notes (including Defaulted Interest thereon), (ii) to the Class A1 SwapCounterparty, any accrued and unpaid Class A1 Option Fee, and (iii) to thepayment of Periodic Interest on the Class S Notes (including Defaulted Interestthereon);

(H) to paypari passu (i) to the Holders of the Class A1 Notes funded in aClass A1 Note Funding to obtain funds to pay CDS Asset Interest Payments, theClass A1 Note Amount and (ii) U.S.$1,960,000 to the repayment of principal onthe Class S Notes until the Principal BalanceAggregate of the Class S Notes isreduced to zero;

(I) to payparipassu (i) to any Hedge Counterparty any Hedge Payment dueto such Hedge Counterparty and (ii) to the Cashflow Swap Counterparty anyCashflow Swap Payment;

(J) first, to the payment of Periodic Interest on the Class A2 Notes (includingDefaulted Interest thereon), second, to the payment of Periodic Interest on theClass A3 Notes (including Defaulted Interest thereon), and third, to the payment ofPeriodic Interest on the Class A4 Notes (including Defaulted Interest thereon);

(K) if the Principal Coverage Test or, from the second Payment Date, theInterest Coverage Test with respect to the Class A Notes is not satisfied on thePeriod End Date with respect to the related Payment Datefirst, to paypari passu(i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then todeposit to the Capacity Subaccount of the Reserve Account, such deposit reducingthe Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal ofany Outstanding Class S Notes, in the case of (i) and (ii) above, to the extentnecessary to cause such Coverage Test to be satisfied as of such Period End Date,

and second, to pay principal of any Outstanding Class A Notes (other than theClass A1 Notes), in order of seniority from the most Senior Class to the mostJunior Class, in each case, to the extent necessary to cause such Coverage Test tobe satisfied as of such Period End Date;

(L) on each Payment Date other than the Maturity DateFinal, to theCollection Account as Interest Collections an amount equal to the Semi-AnnualInterest ReserveAggregate;


24/209

NY3:#7409513 8

(M) to the payment of Periodic Interest on the Class B Notes (including, if nomore Senior Class of Notes is Outstanding, Defaulted Interest thereon);

(N) if the Principal Coverage Test or, from the second Payment Date, theInterest Coverage Test with respect to the Class B Notes is not satisfied on thePeriod End Date with respect to the related Payment Date,first, to paypari passu(i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to

deposit to the Capacity Subaccount of the Reserve Account, such deposit reducingthe Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal ofany Outstanding Class S Notes, in the case of (i) and (ii) above, to the extentnecessary to cause such Coverage Test to be satisfied as of such Period End Date,and second to pay principal of any Outstanding Class A2 Notes, Class A3 Notes,Class A4 Notes and Class B Notes, in order of seniority from the most SeniorClass to the most Junior Class, in each case, to the extent necessary to cause suchCoverage Test to be satisfied as of such Period End Date;

(O) to the payment of the Periodic Interest Cumulative Shortfall Amount withrespect to the Class B Notes;

(P) to the payment of Periodic Interest on the Class C Notes (including, if nomore Senior Class of Notes is Outstanding, Defaulted Interest thereon);

(Q) if the Principal Coverage Test or, from the second Payment Date, theInterest Coverage Test with respect to the Class C Notes is not satisfied on thePeriod End Date with respect to the related Payment Date first, to pay principal ofany Outstanding Class C Notes to the extent necessary to cause such CoverageTest to be satisfied as of such Period End Date, second, to paypari passu (i) to theHolders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit tothe Capacity Subaccount of the Reserve Account, such deposit reducing theClass A1 Swap Notional Amount until it is reduced to zero and (ii) principal ofany Outstanding Class S Notes, in the case of (i) and (ii) above, to the extentnecessary to cause such Coverage Test to be satisfied as of such Period End Date,and third, to pay principal of any Outstanding Class A2 Notes, Class A3 Notes,Class A4 Notes and Class B Notes, in order of seniority from the most SeniorClass to the most Junior Class, in each case, to the extent necessary to cause suchCoverage Test to be satisfied as of such Period End Date;

(R) if a Ratings Confirmation Failure has occurred,first, to paypari passu(i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then todeposit to the Capacity Subaccount of the Reserve Account, such deposit reducingthe Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal ofany Outstanding Class S Notes, in the case of (i) and (ii) above, to the extentnecessary to cause each Rating Agency to confirm or reinstate its respective InitialRatings, and second, to pay principal of any other Outstanding Secured Notes, inorder of seniority from the most Senior Class to the most Junior Class, in eachcase, to the extent necessary to cause each Rating Agency to confirm or reinstateits respective Initial Ratings;

(S) to the payment of the Periodic Interest Cumulative Shortfall Amount withrespect to the Class C Notes;

(T) until the third anniversary of the Closing Date, at the Manager's option, tothe Collection Account as Interest Collections for the next Period, up to theamount of Interest Collections received during the related Period representingaccrued interest received on sale of Eligible Collateral Debt Securities to the extentnot previously reinvested in Eligible Collateral Debt Securities; and


25/209

NY3:#7409513 9

(U) any remaining amounts as follows:

(i) on and after the second Payment Date, 25% of any remaining amountsto pay, principal of the Outstanding Class C Notes;

(ii) any remaining amounts after payments pursuant to clause (i) above, tothe payment of Administrative Expenses not paid pursuant to clause (D) above(in the same order or priority), to the extent not paid in full thereunder due to thelimitations stated therein;

(iii) any remaining amounts after payments pursuant to clauses (i) and (ii)above, to paypari passu Defaulted CDS Asset Termination Payments andtermination payments and Implied Writedown Excess Payment ReimbursementAmounts and any other amounts due and payable to each CDS AssetCounterparty, CDS Collateral Securities Counterparty, Cashflow SwapCounterparty and any Hedge Counterparty in respect of any Subordinated CDSAsset/SCA Termination Payments, Cashflow Swap PaymentsDefaulted orHedge PaymentsDefaulted, as the case may be; and

(iv) any remaining amounts after payments pursuant to clauses (i) and (ii)and (iii) above, to the Income Note Paying Agent, on behalf of the Issuer, fordistributions on the Income Notes (including for the redemption thereof, as

applicable) in accordance with the Income Note Paying Agency Agreement.

Application of Principal

Collections on Payment

Dates

On each Payment Date, after giving effect to the application of Interest Collectionspursuant to the Priority of PaymentsInterest Collections, Principal Collections withrespect to such Payment Date, to the extent of Available Funds, will be applied by theTrustee in the following order of priority (the "Priority of PaymentsPrincipalCollections" and, together with the Priority of PaymentsInterest Collections, the"Priority of Payments"):

(A) to the payment of amounts referred to in clauses (A) and (B) of thePriority of PaymentsInterest Collections (in the same order of priority) to theextent not paid in full thereunder;

(B) to paypari passu (i) to any CDS Asset Counterparty, any CDS AssetPrincipal Payments and CDS Asset/SCA Issuer Termination Payments (other than

any Subordinated CDS Asset/SCA Termination Payments) owing to it, (ii) to anyCovered Short CDS Asset Counterparty, any termination payments due under anyCovered Short CDS Assets other than any Subordinated Covered Short CDSTermination Payments, and (iii) to the CDS Collateral Securities Counterparty,any CDS Asset/SCA Issuer Termination Payments (other than any SubordinatedCDS Asset/SCA Termination Payments) owing to it;

(C) to the payment of amounts referred to in clauses (C) through (G) of

the Priority of PaymentsInterest Collections (in the same order of priority) to

the extent not paid in full thereunder;

(D) to pay,pari passu (i) to the Holders of any Class A1 Notes, the Class A1Note Amount to the extent not paid previously with Interest Collections and (ii) tothe payment of amounts referred to in clause (H)(ii) of the Priority of PaymentsInterest Collections to the extent not paid in full thereunder;

(E) to the payment of amounts referred to in clauses (I) through (P) of thePriority of PaymentsInterest Collections to the extent not paid in fullthereunder;

(F) if the Principal Coverage Test or, from the second Payment Date, theInterest Coverage Test with respect to the Class C Notes is not satisfied on thePeriod End Date with respect to the related Payment Date,first, to paypari passu(i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then todeposit to the Capacity Subaccount of the Reserve Account, such deposit reducing


26/209

NY3:#7409513 10

the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principalof any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extentnecessary to cause such Coverage Test to be satisfied as of such Period End Date,and second, to pay principal of any other Outstanding Secured Notes, in order ofseniority from the most Senior Class to the most Junior Class, in each case, to theextent necessary to cause such Coverage Test to be satisfied as of such Period EndDate;

(G) to the payment of amounts referred to in clauses (R) through (S) of thePriority of PaymentsInterest Collections (in the same order of priority) to theextent not paid in full thereunder;

(H) until the third anniversary of the Closing Date, at the Manager'soption, to pay to the Collection Account, to remain available for application to thepurchase of Eligible Collateral Debt Securities, an amount equal to any remainingPrincipal Collections;

(I) first to paypari passu (1) to the Holders of the Class A1 Notes, theClass A1 Note Amount, and then to deposit to the Capacity Subaccount of theReserve Account, such deposit reducing the Class A1 Swap Notional Amountuntil it is reduced to zero and (ii) principal of any Outstanding Class S Notes untilthe Principal BalanceAggregate of the Class S Notes is reduced to zero and

second, to pay principal of any Outstanding Class A2 Notes, Class A3 Notes,Class A4 Notes, Class B Notes and Class C Notes in such order until suchSecured Notes are redeemed in full;

(J) to the payment of the amounts referred to in clauses (U)(ii) and(U)(iii) of the Priority of PaymentsInterest Collections (in the same order ofpriority), to the extent not paid in full thereunder; and

(K) any remaining amounts to the Income Note Paying Agent, on behalfof the Issuer, for distributions on the Income Notes (including for the redemptionthereof, as applicable) in accordance with the Income Note Paying AgencyAgreement.

Application of Interest

and Principal

Collections; Compliancewith Coverage Tests

In connection with the Priority of Payments (1) for purposes of determining if anyCoverage Test is satisfied such calculation will be determined after giving effect to

any payments of principal pursuant to the clause providing for prepayment and anypreceding clause on the related Payment Date and (2) payment of principal notconstituting the Periodic Interest Cumulative Shortfall Amount with respect to eachClass of Deferrable Interest Notes will be paid before principal constituting thePeriodic Interest Cumulative Shortfall Amount, if any, with respect to such Class.

Notwithstanding the Priority of Payments, no distributions may be made on any of theIncome Notes on any Payment Date prior to the receipt by the Issuer of Rating AgencyConfirmation in connection with the Ramp-Up End Date. On any Payment Date priorto receipt of such Rating Agency Confirmation, to the extent that the Issuer has excessfunds that would otherwise have been distributed to the Holders of Income Notespursuant to the Priority of Payments, such funds shall be retained by the Issuer anddistributed to such Holders of Income Notes upon receipt of Rating AgencyConfirmation.

In determining the amount of any disbursement to be made, pursuant to the Priority ofPayments, the Trustee on behalf of the Issuer will ensure that no such disbursementpursuant to any such clause will be made to the extent that such disbursement wouldcause any Coverage Test referred to in any such previous-lettered clause not to besatisfied, if such Coverage Test were recalculated as of the related Period End Date ona pro forma basis, after giving effect to such disbursement and each otherdisbursement theretofore made on such Payment Date pursuant to the Priority ofPayments.


27/209

NY3:#7409513 11

Coverage Tests The portfolio of Eligible Collateral Debt Securities and Eligible Investments shallsatisfy the Principal Coverage Tests as of the Closing Date and the Ramp-Up EndDate. The Coverage Tests will also be required to be satisfied as of the Period EndDate related to any Payment Date (beginning with the second Payment Date, in thecase of the Interest Coverage Tests). The Coverage Tests will be used on each PeriodEnd Date (beginning on the Period End Date relating to the second Payment Date inthe case of the Interest Coverage Tests) while any Secured Notes are Outstanding todetermine whether principal prepayments will be required to be made in accordancewith the Priority of Payments. See "Priority of Payments" and "Risk FactorsMandatory Principal Prepayment of Notes".

General Terms of the

Class A1 Swap and the

Class A1 Notes

On the Closing Date, the Issuer will enter into a swap agreement (the "Class A1Swap") with the Class A1 Swap Counterparty. The Class A1 Swap Counterparty willbe required to satisfy the Class A1 Requisite Ratings. Citigroup Inc. will provide aguaranty for the Class A1 Swap Counterparty's performance under the Class A1 Swapin order to satisfy the Class A1 Requisite Ratings. See "The Class A1 Swap".

Class A1 Note Fundings Pursuant to the Class A1 Swap, the Issuer will be entitled to obtain Class A1 NoteFundings from time to time in an initial amount of up to U.S.$500,000,000, as reducedfrom time to time to the extent required in accordance with the Priority of Payments orin accordance with the terms of the Class A1 Swap (such initial amount, as reduced asof any date of determination, the "Class A1 Swap Notional Amount").

Reductions in Class A1

Swap Notional Amount

Subject to satisfaction of the conditions to borrowing, the Issuer may obtain Class A1Note Fundings from time to time in an aggregate principal amount at any one timeoutstanding up to the full amount of the Class A1 Swap Notional Amount. The Issuermay obtain Class A1 Note Fundings only in order to (i) pay any CDS Asset LossPayment, (ii) make any CDS Asset Interest Payment or (iii) pay any CDS Asset/SCAIssuer Termination Payment (other than a Subordinated CDS Asset/SCA TerminationPayment). The Class A1 Swap will terminate on the Class A1 Swap TerminationDate.

On each Class A1 Note Funding Date, the Class A1 Swap Notional Amount will bereduced by the Principal BalanceAggregate of the Class A1 Notes issued on suchdate. The Class A1 Swap Notional Amount will not be increased after any suchreduction. See "The Class A1 SwapNotional Amount".

Class A1 Option Fee The Class A1 Option Fee will accrue on the Class A1 Swap Notional AmountAverage at a rate equal to 0.28% per annum (the "Class A1 Option Fee Rate") and willbe payable in arrears on each Payment Date in accordance with the Priority ofPayments.

Payments on Class A1

Notes

Interest shall accrue on the Class A1 Notes at the Periodic Interest Rate for theClass A1 Notes. On each Payment Date, the Issuer is required to make interest andprincipal payments on the Class A1 Notes in accordance with the Priority of Payments.

Class A1 Swap Ratings

Event

If a Class A1 Swap Ratings Event shall occur and be continuing, and if the MandatoryFunding/Ratings Provisions are applicable, the Class A1 Swap Counterparty will takeone of the following actions (at its own expense and while continuing otherwise toperform its obligations pursuant to the Class A1 Swap): (A) transfer all of its rightsand obligations under the Class A1 Swap to another entity with ratings at least equal tothe thresholds set forth in the definition of "Class A1 Swap Ratings Event"; or(B) cause an entity with ratings at least equal to the thresholds set forth in thedefinition of "Class A1 Swap Ratings Event" to guarantee or provide an indemnity orletter of credit in respect of the obligations of the Class A1 Swap Counterparty. In


28/209

NY3:#7409513 12

addition, if a Class A1 Swap Ratings Event has occurred and is continuing for 30 days,the Class A1 Swap Counterparty will be obligated to fund a Class A1 Mandatory NoteFunding if the Mandatory Funding/Ratings Provisions are applicable.

CDS Asset CollateralAccount

Establishment of Account The Trustee will establish the CDS Asset Collateral Account for the benefit of theCDS Asset Counterparties. The CDS Asset Collateral Account will initially haveU.S.$369,000,000 on deposit, and the balance in such account may be increased anddecreased from time to time at the discretion of the Manager;providedthat, as of anydate of determination, the sum of the balance in the CDS Asset Collateral Accountplus the amount on deposit in the Capacity Subaccount of the Reserve Accountplusthe Class A1 Swap Notional Amount is at least equal to the Net Aggregate AdjustedNotional Amount as of such date (in other words, the CDS Asset Capacity Amountdoes not become a negative number). Amounts maintained in the CDS AssetCollateral Account will be assets of the Issuer and the claims of the CDS AssetCounterparties will not be limited to such amounts.

Deposits to and

Investments in the

Account

Amounts will be transferred from the Capacity Subaccount of the Reserve Account tothe CDS Asset Collateral Account at the discretion of the Manager. Amounts on

deposit from time to time in the CDS Asset Collateral Account will be invested inCDS Collateral Eligible Securities in accordance with the CDS Collateral Agreement.

Discretionary Transfers

to the Account

Until the third anniversary of the Closing Date, the Manager may determine to useSale Proceeds from dispositions of Cash Assets to increase the CDS Asset CapacityAmount. Upon making such a determination, the Manager must first repay anyaccrued and unpaid interest on and principal of the Class A1 Notes and then transferany remaining Sale Proceeds to the CDS Asset Collateral Account in order tocollateralize the acquisition of such additional CDS

Date post:	02-Apr-2018
Category:	Documents
Upload:	carrieonic
View:	218 times
Download:	0 times