OMEGA CAPITAL EUROPE P.L.C.
(a public limited company incorporated in Ireland)
CHF25,000,000 Class H-7C1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured 5 per cent Notes due 2013
Issue price: 100 per cent.
The CHF25,000,000 Class H-7C1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured 5 per cent Notes due 2013 (the
"Class H-7C1 Notes") are obligations of Omega Capital Europe p.l.c. (the "Issuer"). The Class H-7C1 Notes have the same terms and conditions in all respects and form a single series with the outstanding €100,000,000 Class A-7E1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the "Class A-7E1 Notes"), the €10,000,000 Class A-7E3 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the "Class A-7E3 Notes"), the SGD35,000,000 Class A-7S1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the
"Class A-7S1 Notes"), the US$40,000,000 Class A-7U1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the "Class A-7U1 Notes"), the US$10,000,000 Class B-7U1 Fairway Series 1 (Omega Capital Europe p.l.c.
Series 23) Secured Floating Rate Notes due 2013 (the "Class B-7U1 Notes"), the €20,000,000 Class C-7E1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the "Class C-7E1 Notes"), the US$5,000,000 Class C-7U1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2013 (the "Class C-7U1 Notes"), the
€5,000,000 Class O-7E2 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured 18.06 per cent. Notes due 2013 (the "Class O-7E2 Notes"), the €5,000,000 Class A-10E1 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Floating Rate Notes due 2016 (the "Class A-10E1 Notes") and the €45,000,000 Class A-10E2 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured 5.92 per cent. Notes due 2016 (the "Class A-10E2 Notes" and, together with the Class A-7E1 Notes, the Class A-7E3 Notes, the Class A-7S1 Notes, the Class A-7U1 Notes, the Class B-7U1 Notes, the Class C-7E1 Notes, the Class C-7U1 Notes, the Class O- 7E2 Notes, the Class A-10E1 Notes and the Class A-10E2 Notes, the "Original Notes" ), the €20,050,000 Class F-10E2 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured 6 per cent Notes due 2016 (the "Class F-10E2 Notes"), the US$100,000,000 Class Z-5U0 Fairway Series 1 (Omega Capital Europe p.l.c. Series 23) Secured Notes due 2012 (the "Class Z-5U0 Notes" and, together with the Original Notes, the Class F-10E2 Notes and the Class H-7C1 Notes, the "Notes") of the Issuer.
Interest on the Class H-7C1 Notes, subject as provided below, will be payable annually (as set out in the Notes Information Table) in arrear in Swiss francs. In the event redemption of all or part of the Class H-7C1 Notes is postponed after the Scheduled Maturity Date or the Early Redemption Date, as the case may be, for each Interest Period from, and including, such date, the rate of interest on the Class H-7C1 Notes will be reduced to the Retention Interest Rate which is specified in the Notes Information Table as being applicable to the H-7C1 Notes, payable in arrear on the Final Redemption Date in Swiss francs, as specified in, and subject to, Condition 4 of the Notes.
Payments of principal and interest on the Notes will be made subject to withholding tax (if any) applicable to the Notes and the Issuer will not be obliged to pay additional amounts as a consequence of any such withholding or any other charges or taxes.
The net proceeds of the issue of the Class H-7C1 Notes, other than any Notes of such Class which are purchased and held by BNP Paribas and in respect of which the Issuer enters into a Total Return Swap Agreement with BNP Paribas, London branch have been used by the Issuer to acquire Collateral Securities from BNP Paribas, London branch under the Repurchase Agreement entered into in respect of the Class H-7C1 Notes. The Issuer has entered into a Credit Default Swap Agreement in respect of each Class of Original Notes, the Class F-10E2 Notes and the Class Z-5U0 Notes and has entered into a Credit Default Swap Agreement in respect of the Class H-7C1 Notes with BNP Paribas, London branch, relating to a Reference Portfolio comprising a portfolio of Reference Entities. The initial Reference Portfolio consists of 80 Reference Entities. The Reference Entities will be subject to substitution from time to time in accordance with the provisions of the Portfolio Management Agreement and the Class H-7C1 Credit Default Swap Agreement, and in connection with any such substitution, the Threshold Percentage and/or the Cap Percentage under the Class H-7C1 Credit Default Swap Agreement will increase or decrease as further described herein. Upon the notification by the Credit Default Swap Counterparty of the occurrence of a Credit Event with respect to a Reference Entity, the Issuer will be obliged, subject to the satisfaction of the conditions to settlement set out in the Class H-7C1 Credit Default Swap Agreement, to pay a Cash Settlement Amount to the Credit Default Swap Counterparty in respect of the Class H-7C1 Notes.
To the extent that the Issuer pays Cash Settlement Amounts to the Credit Default Swap Counterparty under the Credit Default Swap Agreement entered into in respect of the Class H-7C1 Notes, the principal amount outstanding of the Class H-7C1 Notes will be reduced pro rata by the Cash Settlement Amounts. The Issuer has the option to redeem the Notes in whole but not in part at their principal amount outstanding on any Interest Payment Date in the event of the imposition of withholding tax on payments in respect of the Notes, any Repurchase Agreement, any Credit Default Swap Agreement, any Currency Swap Agreement or any Total Return Swap Agreement. The Notes will also be redeemed early in the event of the early termination of any Repurchase Agreement, any Credit Default Swap Agreement, any Currency Swap Agreement or any Total Return Swap Agreement. The Issuer will be entitled to purchase Notes in the open market or otherwise. To the extent not so redeemed, the Class H-7C1 Notes are expected to be redeemed at their principal amount outstanding on the date set out in the Notes Information Table (the "Scheduled Maturity Date"). If the Issuer is notified at or prior to 11.59 am (Luxembourg time) on the day falling two Business Days prior to the Scheduled Maturity Date that a Loss Event has occurred under the Credit Default Swap Agreement relating to the Class H-7C1 Notes at or prior to 11.59 am (Luxembourg time) on the day falling two Business Days prior to the Credit Period End Date relating to such Credit Default Swap Agreement but the related Cash Settlement Amount has not been paid or calculated, as at the Scheduled Maturity Date, redemption of all or part of the Class H-7C1 Notes will be postponed until the Final Redemption Date.
Application has been made to the Irish Financial Services Regulatory Authority (the "IFSRA"), in its capacity as competent authority under Directive 2003/71/EC (the "Prospectus Directive"), for approval of this Prospectus in respect of the Class H-7C1 Notes. Such approval relates only to the Class H-7C1 Notes which are to be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of Directive 2004/39/EC or which are to be offered to the public in any Member State of the European Economic Area. This Prospectus comprises a prospectus for the purposes of the Prospectus Directive. Application has been made to the Irish Stock Exchange Limited (the "Irish Stock Exchange") for the Class H-7C1 Notes to be admitted to the official list of the Irish Stock Exchange and trading on its Regulated Market.
Particular attention is drawn to the section of this Prospectus entitled "Risk Factors". Capitalised terms used and not defined on this page are defined herein.
BNP PARIBAS
The Issuer declares that, having taken all reasonable care to ensure that such is the case, the information contained in this Prospectus is, to the best of its knowledge, in accordance with the facts and contains no omission likely to affect its import. Save as set out below, the Issuer is responsible for the information contained in this document.
BNP Paribas accepts responsibility for the information contained in this Prospectus which is set out in "Business of BNP Paribas". To the best of the knowledge and belief of BNP Paribas (which has taken all reasonable care to ensure that such is the case), such information is in accordance with the facts and does not omit anything likely to materially affect the import of such information.
BNP Paribas Asset Management makes no representation, warranty or undertaking, express or implied, and accepts no responsibility or liability as to the accuracy or completeness of the information contained in the Prospectus except for the information contained in "Description of the Portfolio Manager" below. To the best of the knowledge and belief of BNP Paribas Asset Management (which has taken reasonable care to ensure that such is the case), such information contained in "Description of the Portfolio Manager" below is in accordance with the facts and does not omit anything likely to affect the import of such information.
Save as provided in the Conditions, none of the Arranger, the Trustee or the Issuer is obliged to disclose to Noteholders or to each other at any time any information of which it is aware, whether on a confidential basis or otherwise, concerning the Reference Entities, the obligors under the Collateral Securities or their ability and/or intention to pay their debts as they become due.
The Notes are direct, secured, limited recourse obligations of the Issuer payable solely out of the funds available to the Issuer to the extent described herein. Upon enforcement of the security held by the Trustee, such amounts will be limited to the proceeds realised by such enforcement and available for such payment. As described herein, payment obligations in respect of the Class H-7C1 Notes is subject to the prior claims of the Repo Counterparty to receive amounts due in respect of the Repurchase Agreement relating to such Class of Notes, of the Operating Creditors to receive Operating Expenses and of the Credit Default Swap Counterparty to receive Cash Settlement Amounts under the H-7C1 Credit Default Swap Agreement if Credit Events occur with respect to any Reference Entities and upon an early termination of such Class H-7C1 Credit Default Swap Agreement or the Class H-7C1 Currency Swap Agreement, any early termination payments due to the Credit Default Swap Counterparty (save where the Credit Default Swap Counterparty is the defaulting or affected party thereunder) or to the Currency Swap Counterparty (save where the Currency Swap Counterparty is the Currency Swap Counterparty is the defaulting or affected party thereunder). Accordingly, holders of the Notes will be exposed to the credit risk of the Reference Entities to the full extent of their investment in the Class H-7C1 Notes, subject to the Principal Protection Ratio applicable to the Class H-7C1 Notes they hold, and there can be no assurance that the holders of the Notes will receive the full return on their investment in the Class H-7C1 Notes. Except as aforesaid, the Notes do not represent an interest in or obligations of, and are not insured or guaranteed by, any Reference Entity or by the Credit Default Swap Counterparty, the Repo Counterparty, the TRS Counterparty, the Arranger, the Portfolio Manager, the Portfolio Administrator, the Paying Agents, the Agent Bank, the Calculation Agent, the Account Bank, the Cash Manager or the Trustee.
No person has been authorised in connection with the issue, offering, subscription or sale of the Class H-7C1 Notes to give any information or to make any representation not contained in this Prospectus and, if given or made, such information or representation must not be relied upon as having been authorised by or on behalf of the Issuer, the Trustee, the Portfolio Manager or the Arranger. Neither the delivery of this Prospectus nor any sale or allotment made in connection with the offering of the Notes shall, under any circumstances, constitute a representation or
create any implication that there has been no change in the information contained herein or in the affairs or the financial position of the Issuer since the date hereof.
Purchasers of Notes should conduct such independent investigation and analysis regarding the Issuer, the Reference Entities, BNP Paribas, the Portfolio Manager and the Notes as they deem appropriate to evaluate the merits and risk of an investment in the Notes. None of the Arranger, the Portfolio Manager or the Trustee makes any representation, recommendation or warranty, express or implied, regarding the accuracy, adequacy, reasonableness or completeness of the information contained herein or in any further information, notice or other document which may at any time be supplied by the Issuer in connection with the Notes and accepts no responsibility or liability therefor. The Arranger will not review the financial condition or affairs of the Issuer during the life of the Notes nor advise any investor or potential investor in the Notes of any information coming to its attention.
This Prospectus does not constitute an offer of, or an invitation by, or on behalf of, the Issuer or the Arranger to subscribe for or to purchase any of the Notes and neither this Prospectus nor any part hereof may be used for or in connection with an offer or solicitation by any person in any jurisdiction in which such offer or solicitation is not authorised or to any person to whom it is unlawful to make such offer or solicitation.
No action has been taken to permit a public offering of the Notes or the distribution of this Prospectus in any jurisdiction where action would be required for such purposes. The distribution of this Prospectus and the offering, sale and delivery of the Notes in certain jurisdictions may be restricted by law. Persons into whose possession this Prospectus (or any part hereof) comes are required by the Issuer and the Arranger to inform themselves about and to observe any such restriction.
The Issuer has not been and will not be registered under the United States Investment Company Act of 1940, as amended (the "Investment Company Act"). The Notes have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the "Securities Act"). Consequently, the Notes may not be offered, sold, resold, delivered or transferred within the United States to, or for the account or benefit of, US persons (as defined in Regulation S under the Securities Act), except in accordance with the Securities Act or an exemption therefrom or in a transaction not subject to the registration requirements of the Securities Act and under circumstances designed to preclude the Issuer from having to register under the Investment Company Act. For a description of certain further restrictions on offers and sales of the Notes and distribution of this document see "Subscription and sale" below.
There is currently no market for the Notes. No assurance can be given that an active trading market in the Notes will develop or, if it does develop, that it will be maintained. Consequently, purchasers of the Notes must be prepared to hold such Notes until final redemption or maturity of the Notes.
Fees will be paid to third parties in respect of advisory and/or structuring services.
In this Prospectus, references to "euro" and "€" are references to the currency of the member states of the European Union that adopt the single currency in accordance with the Treaty establishing the European Community, as amended by the Treaty on European Union, references to "SGD" and "Singapore dollars" are references to the lawful currency of Singapore and references to "US$", "USD" and "US dollars" are references to the lawful currency of the United States of America and references to "CHF" and "Swiss francs" are references to the lawful currency of Switzerland.
The Class H-7C1 Notes are initially represented by a temporary global note in bearer form (the
"Temporary Global Note"), without coupons attached, which has been deposited with a common depositary (the "Common Depositary") for Clearstream Banking, société anonyme
("Clearstream, Luxembourg") and Euroclear Bank S.A./N.V. as operator of the Euroclear System ("Euroclear") on 27 December 2007 (the "Issue Date"). Interests in the Temporary Global Note will be exchangeable not earlier than the first day following 40 days after the Issue Date (upon certification of non-US beneficial ownership) for interests in a permanent global note in bearer form, without coupons attached, (the "Permanent Global Note" and, together with the Temporary Global Note, the "Global Notes"), for the Class H-7C1 Notes which was deposited with the Common Depositary on the Issue Date. Save in certain limited circumstances, H-7C1 Notes in definitive form will not be issued in exchange for the Global Notes.
The Class H-7C1 Notes will not be rated.
TABLE OF CONTENTS
SUMMARY OF THE TRANSACTION - 6 -
TRANSACTION DIAGRAM - 24 -
RISK FACTORS - 25 -
DESCRIPTION OF THE REFERENCE PORTFOLIO - 38 -
DESCRIPTION OF THE CLASS H-7C1CREDIT DEFAULT SWAP AGREEMENT - 62 - CREDIT DEFAULT SWAP AGREEMENTS INFORMATION TABLE - 99 - DESCRIPTION OF THE CLASS H-7C1REPURCHASE AGREEMENT - 100 - DESCRIPTION OF THE CLASS H-7C1CURRENCY SWAP AGREEMENTS - 107 - DESCRIPTION OF THE CLASS H-7C1TOTAL RETURN SWAP AGREEMENT - 110 - DESCRIPTION OF THE PORTFOLIO MANAGEMENT AGREEMENT - 114 -
DESCRIPTION OF THE ADJUSTMENT PROCEDURE - 125 -
DESCRIPTION OF THE SUBSTITUTION CRITERIA - 138 -
DEFINITIONS RELATING TO THE PORTFOLIO MANAGEMENT AGREEMENT - 141 - DESCRIPTION OF THE PORTFOLIO ADMINISTRATION AGREEMENT - 153 -
BUSINESS OF BNPPARIBAS - 159 -
DESCRIPTION OF THE PORTFOLIO MANAGER - 160 -
THE ISSUER - 163 -
TERMS AND CONDITIONS OF THE NOTES - 168 -
SUMMARY OF PROVISIONS RELATING TO THE NOTES WHILE IN GLOBAL FORM - 221 -
TAXATION - 224 -
SUBSCRIPTION AND SALE - 227 -
GENERAL INFORMATION - 234 -
INDEX OF DEFINED TERMS - 235 -
SUMMARY OF THE TRANSACTION
The following is a description of the principal features of the transaction. It should be read in conjunction with, and is qualified in its entirety by reference to, the detailed information appearing elsewhere in this Prospectus. Capitalised terms used in this section and not defined are defined elsewhere in this Prospectus – see "Index of defined terms".
Issuer
Omega Capital Europe p.l.c., a public limited company incorporated with limited liability under the laws of Ireland, having its registered office at 4th Floor, 25/28 Adelaide Road, Dublin 2, Ireland.
Repo Counterparty, Credit Default Swap Counterparty, Currency Swap Counterparty, TRS Counterparty and Account Bank
BNP Paribas, London branch, 10 Harewood Avenue, London NW1 6AA.
Pledgee's Representative
BNP Paribas, Luxembourg branch.
Principal Paying Agent
BNP Paribas, Luxembourg branch.
Agent Bank, Cash Manager
BNP Paribas Securities Services, Luxembourg branch.
Paying Agents
BNP Paribas Securities Services, Luxembourg branch and BNP Paribas Securities Services, Dublin branch.
Portfolio Manager
BNP Paribas Asset Management.
Portfolio Administrator
Fortis Intertrust (Netherlands) B.V.
Trustee
The Law Debenture Trust Corporation p.l.c.
Arranger
BNP Paribas, London branch.
The Class H-7C1 Notes
The Class H-7C1 Notes described in the Notes Information Table (as set out in the section entitled "Terms and Conditions of the Notes" below) were issued on the Issue Date by the Issuer.
The Class H-7C1 Notes have the characteristics set out in the Notes Information Table and will mature on the Scheduled Maturity Date relating to such Class of Notes but will be subject to earlier mandatory or optional redemption or purchase by the Issuer in the circumstances described below and in Condition 5 of the Notes. If the Issuer is notified at or prior to the Credit Period End Date that a Loss Event has occurred under the Credit Default Swap Agreement entered into in respect of the Class H-7C1 Notes but the related Cash Settlement Amount has not
been paid or calculated as at the Scheduled Maturity Date, redemption of all or part of the Class H-7C1 Notes will be postponed until the Final Redemption Date.
Use of proceeds
The Issuer used the proceeds of the Placed Notes of the Class H-7C1 Notes to make a payment to the Currency Swap Counterparty and received in return an amount in euros equal to the principal amount outstanding of such Placed Notes (converted into euros at the Fixed Exchange Rate (as such term is defined in the relevant Currency Swap Agreement)). Such amount was used to purchase the Collateral Securities from the Repo Counterparty under the Repurchase Agreement relating to the Class H-7C1 Notes.
The Issuer used the net proceeds of the Class H-7C1 Notes which form the TRS Noteholding in respect of the Class H-7C1 Notes on the Issue Date in respect of the Class H-7C1 Notes to pay to the TRS Counterparty the amount which was due under the Total Return Swap Agreement relating to the Class H-7C1 Notes on such date.
Status of the Class H-7C1 Notes
The Class H-7C1 Notes form a single series with the Original Notes which were issued on 10 April 2006 (the "Original Issue Date"), the original Class F-10E2 Notes (the "Original Class F- 10E2 Notes") which were issued on 30 May 2006 (the "Original Class F-10E2 Issue Date"), the further Class F-10E2 Notes (the "New Class F-10E2 Notes", and together with the Original Class F-10E2 Notes, the "Class F-10E2 Notes") which were issued on 29 September 2006 (the
"New Class F-10E2 Issue Date") and the Class Z-5U0 Notes (the "Class Z-5U0 Notes") which were issued on 19 April 2007 (the "Class Z-5U0 Issue Date"). The Original Notes are constituted by the same trust instrument (the "Original Trust Instrument") dated 7 April 2006 between, inter alia, the Issuer and the Trustee, the Original Class F-10E2 Notes are constituted by the supplemental trust instrument which is supplemental to the Original Trust Instrument dated 26 May 2006 entered into by the same parties (the "Supplemental Trust Instrument"), the New Class F-10E2 Notes are constituted by the supplemental trust instrument which is supplemental to the Original Trust Instrument dated 28 September 2006 entered into by the same parties (the
"Second Supplemental Trust Instrument"), the Class Z-5U0 Notes are constituted by a third supplemental trust instrument which is supplemental to the Original Trust Instrument dated 18 April 2007 entered into by the same parties (the "Third Supplemental Trust Instrument") and the Class H-7C1 Notes are constituted by a fourth supplemental trust instrument which is supplemental to the Original Trust Instrument dated 21 December 2007 (the "Fourth Supplemental Trust Instrument" and, together with the Original Trust Instrument, the Supplemental Trust Instrument, the Second Supplemental Trust Instrument and the Third Supplemental Trust Instrument, the "Trust Instrument"). The Notes are secured by the same security (see "Security for the Notes" below) pursuant to a deed of charge dated the Original Issue Date between, inter alia, the Issuer, the Credit Default Swap Counterparty, the Account Bank, the Paying Agents, the Portfolio Manager, the Portfolio Administrator, the Cash Manager, the Agent Bank and the Trustee as supplemented by a supplemental deed of charge between the same parties dated the Original Class F-10E2 Issue Date, a second supplemental deed of charge between the same parties dated the New Class F-10E2 Issue Date, a third supplemental deed of charge between the same parties dated the Class Z-5U0 Issue Date and a fourth supplemental deed of charge between the same parties dated the Issue Date (together the "Deed of Charge").
Each Class of Notes ranks pari passu with each other Class of Notes save that if, on the enforcement of the security for the Notes, the proceeds of the realisation of the Collateral Securities owned by the Issuer and the other assets of the Issuer received by the Trustee for the benefit of the Noteholders in respect of any Class of Notes prove insufficient to make payments in respect of that Class of Notes, no other assets will be available for payment of any such deficiency.
The Trust Instrument and the Deed of Charge contain provisions requiring the Trustee to have regard to the interests of the holders of each Class of Notes as regards all powers, trusts,
authorities, duties and discretions of the Trustee (except where expressly provided otherwise) but require the Trustee, in any such case, to have regard only to the interests of the Noteholders if, in the opinion of the Trustee, there is a conflict between the interests of the holders of the Notes and the other Secured Parties. The Deed of Charge also requires the Issuer to provide written confirmation to the Trustee, on an annual basis, that no Event of Default or other matter which is required to be brought to the Trustee’s attention has occurred.
The Class H-7C1 Notes are the obligations of the Issuer only. The Class H-7C1 Notes will not be obligations or responsibilities of, or guaranteed by, any person other than the Issuer. In particular, the Class H-7C1 Notes will not be obligations of, will not be guaranteed by and will not be the responsibility of any Reference Entity, the Credit Default Swap Counterparty, the Repo Counterparty, the Currency Swap Counterparty, the TRS Counterparty, the Portfolio Manager, the Portfolio Administrator, the Arranger, the Paying Agents, the Agent Bank, the Calculation Agent, the Account Bank, the Cash Manager or the Trustee.
Interest on the Notes
The interest rate applicable to the Class H-7C1 Notes is specified in the Notes Information Table.
Interest on the Class H-7C1 Notes will, subject as provided below, be payable annually in arrear in Swiss francs (subject to adjustment for non-business days). Each Interest Period begins on (and includes) an Interest Payment Date (or, in the case of the first Interest Period, the Issue Date) and ends on (but excludes) the next Interest Payment Date relating to the Class H-7C1 Notes. Where there is a Retention, the rate of interest applicable to the Class H-7C1 Notes for the Interest Period commencing on the Scheduled Maturity Date or the Early Redemption Date relating to the Class H-7C1 Notes, as the case may be, will be the Retention Interest Rate applicable to the Class H-7C1 Notes (as specified in the Notes Information Table) which will be payable in arrear on the Final Redemption Date relating to the Class H-7C1 Notes.
Interest payments will be made subject to withholding tax (if any) applicable to the Class H-7C1 Notes without the Issuer or any Paying Agent being obliged to pay additional amounts as a consequence of any such withholding.
Mandatory redemption
If any Repurchase Agreement, any Credit Default Swap Agreement, any Currency Swap Agreement or any Total Return Swap Agreement is terminated for any reason other than as a consequence of a default by the Issuer thereunder or under the Notes or the Issuer purchases all the Notes of a Class pursuant to Condition 5(e), the Issuer will be obliged to redeem each Class of Notes at their principal amount outstanding (reduced, where applicable, as described in
"Description of the Credit Default Swap Agreement" below) together with (a) accrued interest (to the extent applicable), (b) an amount equal to the product of (i) the balance deemed to be standing to the credit of the relevant Trading Reserve Account, if any, at the relevant Interest Payment Date after payment to the Portfolio Manager of the Manager Performance Payment and (ii) one divided by the Placed Percentage as at such date provided that the Trading Reserve Payment Date in respect of such Class of Notes has not already occurred and (c) in the case of the Class Z-5U0 Notes, an amount equal to the Final Redemption Yield, if any, at the relevant Interest Payment Date.
Optional redemption
The Issuer may (but is not obliged to) redeem all (but not some only) of the Notes at their principal amount outstanding (reduced, where applicable, as described in "Description of the Credit Default Swap Agreements" below) on any Interest Payment Date in the event that the Issuer is obliged to make any withholding or deduction for tax from payments in respect of the Notes or any withholding or deduction for tax is required from payments under any Repurchase Agreement, Credit Default Swap Agreement, Currency Swap Agreement or Total Return Swap Agreement or on the occurrence of certain tax events with reference to the Issuer, the Repo Counterparty the Credit Default Swap Counterparty, the Currency Swap Counterparty or the TRS Counterparty. In addition, on the relevant Interest Payment Date, the holders of the Notes of the relevant Class will receive an amount equal to the sum of (a) the product of (i) the balance deemed to be standing to the credit of the relevant Trading Reserve Account, if any, at the relevant date after payment to the Portfolio Manager of the Manager Performance Payment and (ii) one divided by the Placed Percentage as at such date provided that the Trading Reserve Payment Date in respect of such Class of Notes has not already occurred and (b) in the case of the Class Z-5U0 Notes, an amount equal to the Final Redemption Yield, if any, at the relevant Interest Payment Date.
Purchase
The Issuer may at any time and from time to time purchase any of the Notes in the open market or otherwise provided that (i) written consent of the Credit Default Swap Counterparty has been obtained, (ii) the Issuer has sufficient funds (which shall not include any funds which the Issuer would, in the normal course of events, use to perform its obligations under the Relevant Agreements) available to purchase such Notes, to meet any termination payment due to the Credit Default Swap Counterparty under the Class H-7C1 Credit Default Swap Agreement, to the Repo Counterparty under the Class H-7C1 Repurchase Agreement to the Currency Swap Counterparty under the Class H-7C1 Currency Swap Agreement, to the TRS Counterparty under the Class H-7C1 Total Return Swap Agreement and to pay any expenses and taxes and (iii) notification of any purchase has been given to the Principal Paying Agent, the Portfolio Manager, Moody's and the Cash Manager at least three Business Days prior to the date of such purchase.
If the Issuer purchases any Class H-7C1 Notes, (i) such Class H-7C1 Notes will be cancelled and may not be reissued or resold, (ii) the payment obligations under the Class H-7C1 Credit Default Swap Agreement, the Class H-7C1 Currency Swap Agreement, the Class H-7C1 Total Return Swap Agreement and the Class H-7C1 Repurchase Agreement shall be reduced rateably, (iii) the receipts from the Repo Counterparty following the repurchase of Collateral Securities by the Repo Counterparty shall be released from the security created pursuant to the Deed of Charge and (iv) the Trading Reserve Account relating to the applicable Class H-7C1 Notes will be deemed to be reduced proportionately.
Final redemption
To the extent not otherwise redeemed, the Class H-7C1 Notes are expected to be redeemed at their principal amount outstanding (reduced as described in "Description of the Credit Default Swap Agreements" below) on the Scheduled Maturity Date. If the Issuer is notified at or prior to 11.59 am (Luxembourg time) on the second Business Day prior to the Scheduled Maturity Date or, if the Notes are to be redeemed early pursuant to Conditions 5(c) or (d), the Early Redemption Date relating to such Class that a Loss Event has occurred in respect of the Class H-7C1 Credit Default Swap Agreement relating to the Class H-7C1 Notes at or prior to 11.59 am (Luxembourg time) on the second Business Day prior to the Credit Period End Date applicable to such Credit Default Swap Agreement or the Early Redemption Date, as the case may be, but the related Cash Settlement Amount has not been paid or calculated as at the Scheduled Maturity Date or, the Early Redemption Date, as the case may be, redemption of all or part of the Class H-7C1 Notes will be postponed until the Final Redemption Date relating to the Class H-7C1 Notes. In addition, on the later of the Scheduled Maturity Date or the Early Redemption Date, as the case
may be, and the Final Redemption Date, the holders of the Class H-7C1 Notes will receive an amount equal to the sum of (i) the product of (1) the balance deemed to be standing to the credit of the relevant Trading Reserve Account, if any, at the relevant date after payment to the Portfolio Manager of the Manager Performance Payment and (2) one divided by the Placed Percentage applicable to the Class H-7C1 Notes as at such date provided that the Trading Reserve Payment Date in respect of the Class H-7C1 Notes has not already occurred.
Class H-7C1 Repurchase Agreement
On the Issue Date, the Issuer entered into the Class H-7C1 Repurchase Agreement in respect of the Class H-7C1 Notes, pursuant to which the Issuer will enter into a series of Transactions with the Repo Counterparty in respect of Collateral Securities. Under such Transactions, the Repo Counterparty will be the seller of Collateral Securities and the Issuer will be the buyer. The first Transaction commenced with a Purchase Date falling on the Issue Date and will end with a Repurchase Date falling on the first Repo Date. Each subsequent Transaction will commence on a Repo Date and end on the next following Repo Date with the last such Transaction terminating on the Scheduled Maturity Date relating to the relevant Class of Notes, subject as described below.
The "Repo Dates" in respect of the Class H-7C1 Notes will be 20 March, 20 June, 20 September and 20 December in each year, from and including 20 June 2008 to, and, including 20 June 2013, the Scheduled Maturity Date or the Early Redemption Date, as the case may be (or, if such day is not a Business Day, the next succeeding Business Day unless that day falls in the next calendar month in which case such date will be the first preceding day which is a Business Day) and any Final Redemption Date.
On the Issue Date, the Issuer purchased from the Repo Counterparty under the Class H-7C1 Repurchase Agreement Collateral Securities with a market value equal to the principal amount outstanding of the Placed Notes of such Class on such date for a consideration equal to such principal amount outstanding which purchase the Issuer will finance with the net proceeds of the issue of the Placed Notes of such Class. On each Repurchase Date, the Repo Counterparty will repurchase securities equivalent to the Collateral Securities sold by it on the previous Repurchase Date (or, in the case of the first Repurchase Date, the Issue Date) for a consideration equal to the Purchase Price for that Transaction together with the Price Differential for that Transaction. Subsequent Transactions need not relate to the same portfolio of Collateral Securities, but will have the same Purchase Price, subject as described below.
If the TRS Counterparty notifies the Issuer, the Portfolio Manager and the Repo Counterparty that the TRS Noteholding relating to the Class H-7C1 Notes will decrease as a result of the sale by the TRS Counterparty or any affiliate of Class H-7C1 Notes which form part of the TRS Noteholding to investors, on the date of such sale, the Repo Counterparty will sell to the Issuer Collateral Securities with a market value as at such date equal to the principal amount outstanding of such Class H-7C1 Notes which are sold to investors by the TRS Counterparty against payment by the Issuer to the Repo Counterparty of an amount equal to the principal amount outstanding of such Class H-7C1 Notes. The Repo Counterparty will procure that any such Collateral Securities are delivered to the Euroclear Pledged Securities Account of the Issuer which relates to the Class H-7C1 Notes.
Alternatively, if the TRS Counterparty notifies the Issuer, the Portfolio Manager and the Repo Counterparty that the TRS Noteholding relating to the Class H-7C1 Notes will increase as result of the purchase by the TRS Counterparty or any affiliate of Class H-7C1 Notes which will form part of the TRS Noteholding relating to such Class, on the date of such purchase the Repo Counterparty will purchase from the Issuer equivalent securities to the Collateral Securities with a market value as at such date equal to the principal amount outstanding of such Class H-7C1 Notes which are being purchased by the TRS Counterparty against payment to the Issuer of an amount equal to the principal amount outstanding of such Class H-7C1 Notes.
Under the terms of the Class H-7C1 Repurchase Agreement, the Repo Counterparty will repurchase securities equivalent to the Collateral Securities from the Issuer from time to time in such amounts as are necessary to enable the Issuer to pay the amount which is calculated to be payable by the Issuer to the Credit Default Swap Counterparty following the calculation of Cash Settlement Amounts under the Class H-7C1 Credit Default Swap Agreement. The Repurchase Price for such Transaction and the Purchase Price for all subsequent Transactions shall then be reduced by an amount equal to the amount of securities repurchased by the Repo Counterparty provided that it shall be deemed that there is no such reduction for the purposes of calculating the Price Differential. Similarly, if the Issuer purchases any of the Class H-7C1 Notes pursuant to Condition 5(e) of the Notes, the Repo Counterparty will repurchase securities equivalent to Collateral Securities from the Issuer from time to time in an amount equal to the principal amount outstanding of the Class H-7C1 Notes then being purchased and the Repurchase Price for such Transaction and the Purchase Price for all subsequent Transactions shall then be reduced by an amount equal to such principal amount outstanding. In such circumstances, a termination payment may be due to the Repo Counterparty from the Issuer in accordance with the provisions of the Repurchase Agreement.
If the Issuer is notified at or prior to 11.59 am (Luxembourg time) on the second Business Day prior to the Scheduled Maturity Date or the Early Redemption Date, as the case may be, that a Loss Event has occurred in respect of the Class H-7C1 Credit Default Swap Agreement at or prior to 11.59 am (Luxembourg time) on the day falling two Business Days prior to the Class H- 7C1 Credit Period End Date relating to the Credit Default Swap Agreement or, if all the Class H- 7C1 Notes are redeemed early pursuant to Conditions 5(c) or (d), the Early Redemption Date but the related Cash Settlement Amount has not been paid or calculated as at the Scheduled Maturity Date or the Early Redemption Date, as the case may be, the Class H-7C1 Repurchase Agreement shall continue for a further Transaction in respect of Collateral Securities with a Purchase Price equal to the Retention in respect of the Class H-7C1 Notes, which shall terminate on the Final Redemption Date.
Class H-7C1 Credit Default Swap Agreement
The Issuer entered into the Class H-7C1 Credit Default Swap Agreement with the Credit Default Swap Counterparty in respect of the Class H-7C1 Notes. Under the Class H-7C1 Credit Default Swap Agreement, the Issuer has agreed to provide credit protection in respect of a portfolio (the
"Reference Portfolio") of reference entities (the "Reference Entities"). The initial Reference Portfolio consists of 80 Reference Entities. The protection which will be sold in respect of the Reference Portfolio under the Class H-7C1 Credit Default Swap Agreement from time to time is equal to the principal amount outstanding of Class H-7C1 Notes at the relevant time multiplied by the difference between 100 per cent and the Principal Protection Ratio relating to the Class H- 7C1 Notes.
Substitution
The Reference Entities in the Reference Portfolio under the Class H-7C1 Credit Default Swap Agreement may be substituted from time to time in accordance with the terms of the Portfolio Management Agreement, subject to the Substitution Criteria (as set out in the "Description of the Substitution Criteria" below) being satisfied. In order to effect a Substitution, the same Substitution must be made in respect of each Credit Default Swap Agreement. Any such Substitution shall be made in accordance with either the Subordination Adjustment Method or the Tranche Width Adjustment Method and, as a result of the Substitution in respect of the Class H- 7C1 Credit Default Swap Agreement, the Threshold Percentage and/or the Cap Percentage relating to the Class H-7C1 Notes may be adjusted.
Premium
On each Interest Payment Date, the Credit Default Swap Counterparty will pay to the Issuer a premium in euros under the Class H-7C1 Credit Default Swap Agreement. The Issuer anticipates that such premium, together with the Price Differential received under the Class H-7C1
Repurchase Agreement and the amounts received from the Currency Swap Counterparty under the Class H-7C1 Currency Swap Agreement will fully fund its obligation to pay interest on the Class H-7C1 Notes on each Interest Payment Date, amounts due to the Currency Swap Counterparty on such date and the Management Fee due to the Portfolio Manager on such date in respect of the Class H-7C1 Notes.
Credit Events
If a Credit Event or a Potential Credit Event (as defined in "Description of the Credit Default Swap Agreements" below) occurs in respect of a Reference Entity on or prior to the second Business Day prior to Credit Period End Date applicable to the Class H-7C1 Credit Default Swap Agreement, the Credit Default Swap Counterparty may in its sole discretion serve a Credit Event Notice on the Issuer, the Calculation Agent, the Cash Manager, the Portfolio Manager, the Portfolio Administrator and the Trustee at any time prior to 11.59 am (Luxembourg time) on the second Business Day prior to the Credit Period End Date. In such case, a Reference Loss Percentage will be determined in accordance with the provisions of the Class H-7C1 Credit Default Swap Agreement.
Conditions to Settlement
In respect of the Class H-7C1 Credit Default Swap Agreement, following service of a Credit Event Notice thereunder the Issuer will be required to pay an amount equal to the product of the Cash Settlement Amount and the Placed Percentage at the relevant time to the Credit Default Swap Counterparty on the third Business Day following satisfaction of the following conditions:
(a) the Credit Default Swap Counterparty shall have delivered the relevant Credit Event Notice to the Issuer, the Calculation Agent, the Cash Manager, the Portfolio Manager, the Portfolio Administrator, Moody's and the Trustee in respect of the affected Reference Entity; and
(b) the Portfolio Administrator shall have certified to the Issuer, the Credit Default Swap Counterparty, the Calculation Agent, the Portfolio Manager and the Trustee that:
(i) Publicly Available Information (as defined in the "Description of the Credit Default Swap Agreements" below) exists that the relevant Credit Event has occurred;
(ii) the Reference Portfolio Aggregate Loss Percentage in respect of the Class H-7C1 Notes exceeds the Threshold Percentage for the Class H-7C1 Notes after inclusion of the relevant Reference Loss Percentage and is below the Cap Percentage for the Class H-7C1 Notes before inclusion of the relevant Reference Loss Percentage; and
(iii) the Reference Loss Percentages and any Cash Settlement Amount have been correctly calculated in accordance with the Class H-7C1 Credit Default Swap Agreement and that the Reference Portfolio Aggregate Loss Percentage has been calculated as set out therein,
provided that these conditions to settlement have not previously been satisfied in respect of such Reference Entity (except where the relevant Credit Event is Restructuring, in which case, the conditions to settlement may be satisfied more than once, as further described in "Description of the Credit Default Swap Agreements" below).
Under the Class H-7C1 Credit Default Swap Agreement, upon determination of the Final Price, the Calculation Agent will determine a Cash Settlement Amount in respect of such Credit Default Swap Agreement which will be equal to the product of:
(a) the Reference Loss Percentage (determined in the manner set out in "Description of the Credit Default Swap Agreement" below) less (i) if the Reference Portfolio Aggregate Loss Percentage in respect of the Class H-7C1 Credit Default Swap Agreement prior to taking such Reference Loss Percentage into account is below the Threshold Percentage, the amount of such deficiency and (ii) if the Reference Portfolio Aggregate Loss Percentage after taking such Reference Loss Percentage into account is above the Cap Percentage in respect of the Class H- 7C1 Credit Default Swap Agreement, the amount of such excess;
(b) the Reference Portfolio Notional Amount in respect of the Class H-7C1 Credit Default Swap Agreement as at the date the Final Price is calculated; and
(c) a percentage equal to 100 per cent less the Principal Protection Ratio applicable to the Class H-7C1 Notes.
Notwithstanding the foregoing, the Issuer will only be obliged to pay to the Credit Default Swap Counterparty an amount equal to the product of such Cash Settlement Amount which has been determined and the Placed Percentage relating to the Class H-7C1 Notes as at the date the Cash Settlement Amount is being determined.
The Threshold Percentage and the Cap Percentage under the Class H-7C1 Credit Default Swap Agreement may vary (either downwards or upwards) from time to time following the Substitution of a Reference Entity or following a Monetisation or a Demonetisation (each such term as defined in "Description of the Portfolio Management Agreement" below). If at any time when a Cash Settlement Amount in respect of the Class H-7C1 Credit Default Swap Agreement is being determined there are amounts deemed to be standing to the credit of the Trading Reserve Account relating to such Credit Default Swap Agreement, the Cap Percentage and the Threshold Percentage under the Class H-7C1 Credit Default Swap Agreement may be increased in order to reduce the Cash Settlement Amount calculated thereunder.
Reduction of Notes
On each Cash Settlement Date the principal amount outstanding of the Class H-7C1 Notes will be reduced by the proportion of the Cash Settlement Amount calculated under the Class H-7C1 Credit Default Swap Agreement which is paid by the Issuer to the Credit Default Swap Counterparty, and each such Class H-7C1 Note's principal amount outstanding will be reduced pro rata on such Cash Settlement Date without payment to the holders of the Class H-7C1 Notes.
Class H-7C1 Currency Swap Agreement
On the Issue Date, the Issuer entered into the Class H-7C1 Currency Swap Agreement in respect of the Class H-7C1 Notes with BNP Paribas, London branch. The Issuer will pay amounts received under the Credit Default Swap Agreement (other than amounts received in respect of Operating Expenses or the Management Fees if any payable to the Portfolio Manager) and the Repurchase Agreement entered into in connection with such Class of Notes to the Currency Swap Counterparty and receive from the Currency Swap Counterparty amounts in Swiss francs in order to pay amounts due to holders of the Class H-7C1 Notes which are Placed Notes.
Portfolio Management Agreement
In connection with the Original Credit Default Swap Agreements, on the Original Issue Date the Issuer entered into a portfolio management agreement (the "Original Portfolio Management Agreement") with the Portfolio Manager, the Credit Default Swap Counterparty and the Trustee.
On the Original Class F-10E2 Issue Date, the Issuer, the Portfolio Manager and the Credit Default Swap Counterparty and the Trustee entered into a supplemental portfolio management agreement to the Original Portfolio Management Agreement relating to the credit default swap agreement entered into by the Issuer in respect of the Original Class F-10E2 Notes (the
"Supplemental Portfolio Management Agreement"), on the New Class F-10E2 Issue Date, the Issuer, the Portfolio Manager and the Credit Default Swap Counterparty and the Trustee entered into a supplemental portfolio management agreement to the Original Portfolio Management Agreement relating to the credit default swap agreement entered into by the Issuer in respect of the New Class F-10E2 Notes (the "Second Supplemental Portfolio Management Agreement") and on the Class Z-5U0 Issue Date, the Issuer, the Portfolio Manager and the Credit Default Swap Counterparty and the Trustee entered into a third supplemental portfolio management agreement to the Original Portfolio Management Agreement relating to the credit default swap agreement in respect of the Class Z-5U0 Notes entered into by the Issuer in respect of the Class Z-5U0 Notes (the "Third Supplemental Portfolio Management Agreement"). On the Issue Date, the Issuer entered into a fourth supplemental portfolio management agreement to the Original Portfolio Management Agreement relating to the Class H-7C1 Credit Default Swap Agreement in respect of the Class H-7C1 Notes (the "Fourth Supplemental Portfolio Management Agreement", and together with the Original Portfolio Management Agreement, the Supplemental Portfolio Management Agreement, the Second Supplemental Portfolio Management Agreement and the Third Supplemental Portfolio Management Agreement, the
"Portfolio Management Agreement"). Under the Portfolio Management Agreement the Portfolio Manager may, on behalf of the Issuer, as it thinks appropriate from time to time, (i) make changes to the Reference Entities comprising a Reference Portfolio, including the addition or removal of one or more Reference Entities, (ii) increase the Cap Percentage and the Threshold Percentage of each Credit Default Swap Agreement by way of a deemed payment to the Credit Default Swap Counterparty from the Trading Reserve Account relating to the relevant Class of Notes, (iii) decrease the Cap Percentage and the Threshold Percentage of each Credit Default Swap Agreement by way of an increase in the amount deemed to be in the Trading Reserve Account relating to the relevant Class of Notes.
The Portfolio Manager's duties and rights to act as the Portfolio Manager are limited to the duties and rights specifically provided for in the Portfolio Management Agreement.
Class H-7C1 Total Return Swap Agreement
The Issuer will enter into a total return swap agreement with the TRS Counterparty in respect of the Class H-7C1 Notes.
Under the terms of the Class H-7C1 Total Return Swap Agreement, on the Issue Date, the Issuer paid the TRS Counterparty an amount equal to the issue amount of the Class H-7C1 Notes purchased by the TRS Counterparty or its affiliates but not sold to investors. Thereafter, if the TRS Counterparty sells any Class H-7C1 Notes which form part of the TRS Noteholding relating to the Class H-7C1 Total Return Swap Agreement to another investor, the TRS Counterparty will pay to the Issuer on the date of such sale the principal amount outstanding of the Class H-7C1 Notes which are the subject of such sale. Alternatively, if the TRS Counterparty purchases any Class H-7C1 Notes which it determines should form part of the TRS Noteholding relating to the Class H-7C1 Total Return Swap Agreement, the Issuer will pay to the TRS Counterparty on the date of such purchase an amount equal to the principal amount outstanding of the Class H-7C1 Notes which are the subject of such purchase.
In addition, the TRS Counterparty has paid to the Issuer under the Class H-7C1 Total Return Swap Agreement an amount equal to the amount of all interest and principal due to be paid to
holders of the Class H-7C1 Notes which form part of the TRS Noteholding in respect of such Class on the relevant date for payment together with a proportion of any Final Trading Reserve Yield due to holders of the Class H-7C1 Notes on the Trading Reserve Payment Date relating thereto.
Bank accounts and cash management Cash management
BNP Paribas Securities Services, Luxembourg branch has agreed to act as cash manager (the
"Cash Manager") for the Issuer pursuant to a cash management agreement dated the Issue Date which is supplemental to a cash management agreement entered into on the Original Issue Date (together, the "Cash Management Agreement") between the Issuer, the Cash Manager and the Trustee.
The Issuer's Accounts
In respect of each Class of Notes, the Issuer has established a current account denominated in euros, and, where the relevant Class of Notes is denominated in a currency other than euros, an account denominated in the same currency as the relevant Class of Notes (together, the
"Issuer's Accounts") with BNP Paribas, London branch (the "Account Bank") pursuant to a bank agreement dated the Issue Date which is supplemental to a bank agreement entered into on the Original Issue Date (together, the "Bank Agreement") between the Issuer, the Account Bank, the Cash Manager and the Trustee.
Interest Payment Dates
On each Interest Payment Date in respect of a Class of Notes for the purposes of this section
"Interest Payment Dates", the "Applicable Class") prior to enforcement of the security for the Notes (save for the Scheduled Maturity Date, the Early Redemption Date (if any) and the Final Redemption Date (if any)), the Cash Manager will apply the balance standing to the credit of the Issuer's Accounts in respect of the Applicable Class (save for (i) any amounts paid to the Issuer by the Credit Default Swap Counterparty, the TRS Counterparty or the Currency Swap Counterparty, as the case may be, under any Credit Support Annex entered into by the parties to the Credit Default Swap Agreement, the Total Return Swap Agreement or the Currency Swap Agreement, as the case may be, relating to the Applicable Class which are paid into such Issuer's Account prior to the entry by the Issuer into a GIC relating thereto and (ii) any amounts paid to the Issuer by the Repo Counterparty following the sale of Collateral Securities in order to allow the Issuer to pay any Cash Settlement Amount) to make the following payments in the following order of priority:
(a) first, to pay a proportion of the Operating Expenses due and payable to the Trustee equal to the relevant Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class to the extent that such payment on such date does not exceed the Operating Expenses Cap multiplied by the Operating Expenses Factor relating to the Applicable Class;
(b) secondly, to pay pro rata a proportion of the Operating Expenses due and payable to the Operating Creditors other than the Trustee equal to such Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class to the extent that such payment on such date and any payment made in accordance with sub-paragraph (a) above does not exceed the Operating Expenses Cap multiplied by the Operating Expenses Factor relating to the Applicable Class;
(c) thirdly, to pay to the Credit Default Swap Counterparty any amount which is due on such date from the Issuer to the Credit Default Swap Counterparty under the
terms of the Credit Default Swap Agreement which is entered into in relation to the Applicable Class;
(d) fourthly, to pay amounts due to the Currency Swap Counterparty on such date under the Currency Swap Agreement, if any, entered into in relation to the Applicable Class;
(e) fifthly, to pay to the Portfolio Manager the proportion of the Management Fee due to the Portfolio Manager on such date under the Portfolio Management Agreement which is calculated by reference to the Applicable Class;
(f) sixthly, to pay any interest due and payable on the Applicable Class on such date;
(g) seventhly, if such Interest Payment Date is also the Trading Reserve Payment Date relating to the Applicable Class, to pay pari passu:
(i) to each Portfolio Manager which is appointed by the Issuer pursuant to the Portfolio Management Agreement on a pari passu basis the proportion of the Manager Performance Payment relating to the Applicable Class which is due thereto, as determined in accordance with the Portfolio Management Agreement; and
(ii) pro rata to the holders of the Applicable Class the Final Trading Reserve Yield, if any, due on such date in respect of the Applicable Class;
(h) eighthly, to pay a proportion of the Operating Expenses due and payable to the Trustee equal to such Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class which were not paid under sub-paragraph (a) above; and
(i) ninthly, to pay pro rata a proportion of the Operating Expenses due and payable to the Operating Creditors other than the Trustee equal to such Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class which were not paid under sub-paragraph (b) above,
provided that any Operating Expenses in respect of which demand is notified to the Cash Manager less than 10 Business Days prior to the relevant Interest Payment Date shall be paid on the next Interest Payment Date following such Interest Payment Date.
"Operating Expenses" means all fees, costs, charges, indemnities, losses, damages, proceedings, claims, demands, liabilities and expenses (all inclusive of VAT and in each case in respect of the Relevant Agreements or the Notes (save for (xi) to (xiii) below)) payable by the Issuer on the relevant Interest Payment Date to (i) the Trustee, (ii) any receiver of the Issuer, (iii) the Principal Paying Agent, (iv) the Cash Manager, (v) the Account Bank, (vi) the Irish Stock Exchange, (vii) the Pledgee’s Representative, (viii) any independent calculation agents appointed pursuant to the Credit Default Swap Agreement, (ix) the Portfolio Administrator pursuant to the Portfolio Administration Agreement, (x) the provider of corporate services to the Issuer (the
"Corporate Services Provider"), (xii) any director or auditor of the Issuer and (xii) any other creditor from time to time of the Issuer (save for the Noteholders, the Credit Default Swap Counterparty, the Repo Counterparty, the TRS Counterparty, the Portfolio Manager, the Currency Swap Counterparty or any secured party in respect of any other series of notes issued by the Issuer) who has been notified by the Corporate Services Provider to the Cash Manager on behalf of the Issuer and, after service of an Enforcement Notice, the Trustee, where applicable, in accordance with the relevant agreement for corporate services (together, the "Operating Creditors").
"Operating Expenses Factor" means, in relation to a Class of Notes as at any time, the principal amount outstanding of such Class of Notes at the relevant date divided by the principal
amount outstanding of the Notes on such date (converted, in the case of any Class of Notes which is not denominated in euros, into euros at the Fixed Exchange Rate).
"Operating Expenses Cap" means €80,000.
Pledged Accounts
Prior to enforcement of the security for the Notes, on each Repurchase Date under the H-7C1 Repurchase Agreement (save where such date is the Scheduled Maturity Date, the Early Redemption Date (if any) or the Final Redemption Date (if any) relating to the Class H-7C1 Notes), BNP Paribas, Luxembourg branch as Pledgee's Representative will apply the Repurchase Price under the Class H-7C1 Repurchase Agreement and received in the relevant Pledged Cash Account by paying the Price Differential in respect of such Class of Notes into the Issuer's Account relating to the Class H-7C1 Notes and the remainder of such Repurchase Price to the Repo Counterparty as the Purchase Price in respect of such Repurchase Agreement.
Prior to enforcement of the security for the Notes, on each Cash Settlement Date under the Class H-7C1 Credit Default Swap Agreement entered into in respect of the Class H-7C1 Notes (save where such date is the Scheduled Maturity Date, the Early Redemption Date and the Final Redemption Date (in each case, if any), the Pledgee's Representative will apply the amount received from the Repo Counterparty in respect of the Cash Settlement Amount to be paid on that day in respect of such Credit Default Swap Agreement by paying it into the Issuer's Account relating to Class H-7C1 Notes, and the Cash Manager, on behalf of the Issuer, will pay it to the Credit Default Swap Counterparty.
Prior to enforcement of the security for the Notes, on the Scheduled Maturity Date, the Early Redemption Date (if any) and the Final Redemption Date (if any), the Pledgee's Representative will apply the Repurchase Price received into the Pledged Cash Account held in respect of the Class H-7C1 Notes by paying it into the relevant Issuer's Account, where it will be disbursed as set out below.
Maturity
On the Scheduled Maturity Date and any subsequent Final Redemption Date in respect of a Class of Notes (for the purposes of this paragraph "Maturity", the "Applicable Class"), the Cash Manager will apply the balance standing to the credit of the Issuer's Accounts opened in respect of the Applicable Class (save for, where applicable, any amounts paid to the Issuer by the Credit Default Swap Counterparty under the Credit Default Swap Agreement, the TRS Counterparty under the Total Return Swap Agreement or the Currency Swap Counterparty under the Currency Swap Agreement (to the extent entered into in respect of the Applicable Class), as the case may be, pursuant to any Credit Support Annex entered into by the parties thereto which are paid into the Issuer's Accounts relating to the Applicable Class prior to the entry by the Issuer into a GIC relating thereto) to make the following payments in the following order of priority:
(a) first, to pay a proportion of the Operating Expenses due and payable to the Trustee equal to such Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class to the extent that such payment on such date does not exceed the Operating Expenses Cap multiplied by the Operating Expenses Factor relating to such Class of Notes;
(b) secondly, to pay pro rata a proportion of the Operating Expenses due and payable to the Operating Creditors other than the Trustee equal to such Operating Expenses multiplied by the Operating Expenses Factor relating to the Applicable Class to the extent that such payment on such date and any payment made in accordance with sub-paragraph (a) above does not exceed the Operating Expenses Cap multiplied by the Operating Expenses Factor relating to such Class of Notes;
