GSAA HET 2005-15, Tranche B2 / BSABS 2005-TC2, Tranche M6 - securitized a fourth time in STAtic Res...

7/30/2019 GSAA HET 2005-15, Tranche B2 / BSABS 2005-TC2, Tranche M6 - securitized a fourth time in STAtic Res CDO 2005C

1/191

STAtic ResidenTial CDO 2005-C Ltd.STAtic ResidenTial CDO 2005-C Corp.

Up to U.S.$325,000,000 Class A-1 Variable Funding Notes Due 2038U.S.$59,500,000 Class A-2 Floating Rate Notes Due 2038U.S.$44,000,000 Class B Floating Rate Notes Due 2038U.S.$17,500,000 Class C Deferrable Interest Floating Rate Notes Due 2038U.S.$23,000,000 Class D Deferrable Interest Floating Rate Notes Due 2038

U.S.$10,000,000 Class E Deferrable Interest Floating Rate Notes Due 2038

STAtic ResidenTial CDO 2005-C Ltd., an exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Issuand STAtic ResidenTial CDO 2005-C Corp., a Delaware corporation (the "Co-Issuer" and, together with the Issuer, the "Co-Issuers"), will issue uU.S.$325,000,000 Class A-1 Variable Funding Notes due 2038 consisting of a Class A-1 F Floating Rate Variable Funding Note and a Class A-Fixed Rate Variable Funding Note, as further described herein (collectively, the "Class A-1 Notes"), and will issue U.S.$59,500,000 Class A-2 FloaRate Notes due 2038 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes"), U.S.$44,000,000 Class B Floating RNotes due 2038 (the "Class B Notes"), U.S.$17,500,000 Class C Deferrable Interest Floating Rate Notes due 2038 (the "Class C NoteU.S.$23,000,000 Class D Deferrable Interest Floating Rate Notes due 2038 (the "Class D Notes") and U.S.$10,000,000 Class E Deferrable InteFloating Rate Notes due 2038 (the "Class E Notes" and, together with the Class A Notes, the Class B Notes, the Class C Notes and the ClasNotes, the "Notes"). The Notes will be issued and secured pursuant to an Indenture (the "Indenture") dated as of January 20, 2006 (the "CloDate") among the Issuer, the Co-Issuer and LaSalle Bank National Association, as trustee (the "Trustee"). Concurrently with the issuance ofNotes, the Issuer will issue U.S.$21,000,000 Aggregate Outstanding Amount of its Class F Subordinated Notes (the "Class F Subordinated NoteThe Class F Subordinated Notes are not being offered hereby.

Concurrently with the issuance of the Notes, the Issuer will enter into multiple Credit Default Swap transactions (each, a "Credit Default Swap"together, the "Credit Default Swap Portfolio") with Deutsche Bank Aktiengesellschaft ("Deutsche Bank AG") acting through its London Bra("Deutsche Bank AG London") (in any capacity described herein, the "Bank" and, in its capacity as Credit Default Swap counterparty, the "CrDefault Swap Counterparty"). Each Credit Default Swap will reference a notional principal amount of a Residential ABS Security (as defined he(each such referenced obligation, a "Reference Obligation"), whereby the Issuer will assume credit and interest rate risk with respect to eReference Obligation. The Initial Credit Default Swap Portfolio Notional Amount, together with Principal Proceeds deposited in the Principal CollecSubaccount on the Closing Date, will total U.S.$500,000,000.

It is a condition to the issuance of the Notes that the Class A Notes be rated "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AAAStandard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("Standard & Poor's"and, together with Moody's, in each cfor so long as such entity is rating a then outstanding Class of Notes, the "Rating Agencies"), that the Class B Notes be rated at least "Aa1Moody's and at least "AA+" by Standard & Poor's, that the Class C Notes be rated at least "Aa3" by Moody's and at least "AA-" by Standard & Pothat the Class D Notes be rated at least "A2" by Moody's and at least "A-" by Standard & Poor's and that the Class E Notes be rated at least "Baa2Moody's and at least "BBB" by Standard & Poor's.

Application has been made to the Irish Financial Services Regulatory Authority, as competent authority under Directive 2003/71/EC (the "Prospe

Directive"), for the Prospectus to be approved. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Officiaand trading on its regulated market.

This document constitutes a prospectus for the purposes of the Prospectus Directive.

SEE "RISK FACTORS" IN THIS PROSPECTUS FOR A DESCRIPTION OF CERTAIN FACTORS AND RISKS THAT SHOULD BE CONSIDERECONNECTION WITH AN INVESTMENT IN THE NOTES.

THE NOTES ARE LIMITED RECOURSE OBLIGATIONS OF THE CO-ISSUERS, PAYABLE SOLELY FROM THE COLLATERAL DESCRIHEREIN. THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY TRUSTEE, THE INITIAL PURCHASER, THE CREDIT DEFAULT SWAP COUNTERPARTY OR ANY OF THEIR RESPECTIVE AFFILIATES.

THE NOTES BEING OFFERED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933,AMENDED (THE "SECURITIES ACT"), UNDER APPLICABLE STATE SECURITIES LAWS OR UNDER THE LAWS OF ANY OTHJURISDICTION. THE NOTES ARE BEING OFFERED (A) IN THE UNITED STATES IN RELIANCE UPON AN EXEMPTION FROM T

REGISTRATION REQUIREMENTS OF THE SECURITIES ACT PURSUANT TO RULE 144A UNDER THE SECURITIES ACT ("RULE 144A")"QUALIFIED INSTITUTIONAL BUYERS" (AS DEFINED IN RULE 144A) THAT ARE QUALIFIED PURCHASERS AND (B) OUTSIDE THE UNISTATES TO PERSONS WHO ARE NOT U.S. PERSONS (AS DEFINED IN REGULATION S) IN OFFSHORE TRANSACTIONS IN RELIANCEREGULATION S ("REGULATION S") UNDER THE SECURITIES ACT AND, IN EACH CASE, IN ACCORDANCE WITH APPLICABLE LAWS. NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE. SEE "TRANSFER RESTRICTIONS".

The Notes are offered by Deutsche Bank Securities Inc., as initial purchaser (the "Initial Purchaser"), subject to prior sale when, as and if issued. nitial Purchaser reserves the right to withdraw, cancel or modify such offer and to reject orders in whole or in part. It is expected that the Notes w

delivered on or about the Closing Date through the facilities of The Depository Trust Company ("DTC") against payment therefor in same-day funds

Deutsche Bank SecuritiesThe date of this Prospectus is July 7, 2006


2/191

ii

(cover continued)

The Notes offered by the Co-Issuers in the United States will be offered in reliance on an exemption fromthe registration requirements of the Securities Act and will be represented by one or more global notes(the "Rule 144A Global Notes") in fully registered form without interest coupons deposited with, andregistered in the name of, DTC (or its nominee). The Notes offered by the Co-Issuers outside the United

States will be offered in reliance upon Regulation S under the Securities Act and will be represented byone or more permanent global notes (the "Regulation S Global Notes") in fully registered form withoutinterest coupons deposited with, and registered in the name of, DTC (or its nominee), initially for theaccounts of Euroclear Bank S.A./N.V., as operator of the Euroclear system ("Euroclear"), and/orClearstream Banking, socit anonyme("Clearstream"). Except in the limited circumstances describedherein, certificated Notes will not be issued in exchange for beneficial interests in a global note. See"Description of the NotesForm, Denomination, Registration and Transfer".

_________________________

THE DISTRIBUTION OF THIS PROSPECTUS AND THE OFFER OR SALE OF NOTES MAY BERESTRICTED BY LAW IN CERTAIN JURISDICTIONS. NONE OF THE ISSUER, THE CO-ISSUER ORTHE INITIAL PURCHASER REPRESENTS THAT THIS DOCUMENT MAY BE LAWFULLYDISTRIBUTED, OR THAT ANY NOTES MAY BE LAWFULLY OFFERED, IN COMPLIANCE WITH ANYAPPLICABLE REGISTRATION OR OTHER REQUIREMENTS IN ANY SUCH JURISDICTION, ORPURSUANT TO AN EXEMPTION AVAILABLE THEREUNDER, OR ASSUME ANY RESPONSIBILITYFOR FACILITATING ANY SUCH DISTRIBUTION OR OFFERING. IN PARTICULAR, NO ACTION HASBEEN TAKEN BY THE ISSUER, THE CO-ISSUER OR THE INITIAL PURCHASER WHICH WOULDPERMIT A PUBLIC OFFERING OF ANY NOTES OR DISTRIBUTION OF THIS DOCUMENT IN ANYJURISDICTION WHERE ACTION FOR THAT PURPOSE IS REQUIRED. ACCORDINGLY, NO NOTESMAY BE OFFERED OR SOLD, DIRECTLY OR INDIRECTLY, AND NEITHER THIS PROSPECTUSNOR ANY ADVERTISEMENT OR OTHER OFFERING MATERIAL MAY BE DISTRIBUTED ORPUBLISHED IN ANY JURISDICTION, EXCEPT UNDER CIRCUMSTANCES THAT WILL RESULT INCOMPLIANCE WITH ANY APPLICABLE LAWS AND REGULATIONS. PERSONS INTO WHOSEPOSSESSION THIS PROSPECTUS OR ANY NOTES COME MUST INFORM THEMSELVES ABOUTAND OBSERVE ANY SUCH RESTRICTIONS.

_________________________

NOTICE TO NEW HAMPSHIRE RESIDENTS

NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSEHAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE REVISED STATUTES WITHTHE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELYREGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES AFINDING BY THE SECRETARY OF STATE THAT ANY DOCUMENT FILED UNDER RSA 421-B ISTRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT ANEXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THATTHE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONSOF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY OR TRANSACTION.

IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY P

ROSPECTIVE PURCHASER, CUSTOMER OR CLIENT ANY REPRESENTATION INCONSISTENTWITH THE PROVISIONS OF THIS PARAGRAPH.

_________________________


3/191

iii

NOTICE TO RESIDENTS OF GERMANY

THE INITIAL PURCHASER HAS CONFIRMED THAT IT WILL COMPLY WITH THE GERMANSECURITIES SALES PROSPECTUS ACT (WERTPAPIERVERKAUFS-PROSPEKTGESETZ). INPARTICULAR, THE INITIAL PURCHASER HAS REPRESENTED THAT IT HAS NOT ENGAGED AND

AGREED THAT IT WILL NOT ENGAGE IN ANY PUBLIC OFFERING (FFENTLICHES ANGEBOT)

WITHIN THE MEANING OF THE GERMAN SECURITIES SALES PROSPECTUS ACT (WERTPAPIER-VERKAUFSPROSPEKTGESETZ) WITH RESPECT TO ANY NOTES OTHERWISE THAN INACCORDANCE WITH ALL LEGAL AND REGULATORY REQUIREMENTS APPLICABLE IN GERMANY.

_________________________

NO PERSON IS AUTHORIZED IN CONNECTION WITH ANY OFFERING MADE HEREBY TO GIVEANY INFORMATION OR MAKE ANY REPRESENTATION OTHER THAN AS CONTAINED HEREINAND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIEDUPON AS HAVING BEEN AUTHORIZED BY THE ISSUER, THE CO-ISSUER, THE TRUSTEE, THECREDIT DEFAULT SWAP COUNTERPARTY, THE COLLATERAL ADMINISTRATOR OR THE INITIALPURCHASER OR ANY OF THEIR RESPECTIVE AFFILIATES. THIS PROSPECTUS DOES NOTCONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, (A) ANYSECURITIES OTHER THAN THE NOTES OR (B) ANY OFFERED SECURITY IN ANY JURISDICTIONIN WHICH IT IS UNLAWFUL FOR SUCH PERSON TO MAKE SUCH AN OFFER OR SOLICITATION.THE DISTRIBUTION OF THIS PROSPECTUS AND THE OFFERING OF THE NOTES IN CERTAINJURISDICTIONS MAY BE RESTRICTED BY LAW. PERSONS INTO WHOSE POSSESSION THISPROSPECTUS COMES ARE REQUIRED BY THE CO-ISSUERS AND THE INITIAL PURCHASER TOINFORM THEMSELVES ABOUT, AND TO OBSERVE, ANY SUCH RESTRICTIONS. IN PARTICULAR,THERE ARE RESTRICTIONS ON THE DISTRIBUTION OF THIS PROSPECTUS, AND THE OFFER

AND SALE OF NOTES, IN THE UNITED STATES OF AMERICA, THE UNITED KINGDOM AND THECAYMAN ISLANDS. SEE "PLAN OF DISTRIBUTION". NEITHER THE DELIVERY OF THISPROSPECTUS NOR ANY SALE MADE HEREUNDER SHALL UNDER ANY CIRCUMSTANCES IMPLYTHAT THERE HAS BEEN NO CHANGE IN THE AFFAIRS OF THE CO-ISSUERS OR THAT THEINFORMATION HEREIN IS CORRECT AS OF ANY DATE SUBSEQUENT TO THE DATE AS OFWHICH SUCH INFORMATION IS GIVEN HEREIN. THE CO-ISSUERS AND THE INITIAL PURCHASERRESERVE THE RIGHT, FOR ANY REASON, TO REJECT ANY OFFER TO PURCHASE IN WHOLE OR

IN PART, TO ALLOT TO ANY OFFEREE LESS THAN THE FULL AMOUNT OF OFFERED SECURITIESSOUGHT BY SUCH OFFEREE OR TO SELL LESS THAN THE AGGREGATE OUTSTANDING

AMOUNT OF ANY CLASS OF NOTES.

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT ORTHE SECURITIES LAWS OF ANY STATE. THE NOTES ARE TO BE PURCHASED FOR INVESTMENTONLY AND MAY NOT BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED BY AN INVESTORDIRECTLY OR INDIRECTLY WITHIN THE UNITED STATES OR TO OR FOR THE ACCOUNT OF U.S.PERSONS (AS DEFINED IN REGULATION S) EXCEPT PURSUANT TO AN EXEMPTION FROM THEREGISTRATION REQUIREMENTS OF THE SECURITIES ACT. PROSPECTIVE PURCHASERS AREHEREBY NOTIFIED THAT THE SELLER OF ANY NOTES MAY BE RELYING ON THE EXEMPTIONFROM THE REGISTRATION REQUIREMENTS OF SECTION 5 OF THE SECURITIES ACT PROVIDEDBY RULE 144A OR ANOTHER EXEMPTION FROM THE REGISTRATION REQUIREMENTS UNDER

THE SECURITIES ACT. FOR CERTAIN RESTRICTIONS ON RESALE, SEE "DESCRIPTION OF THENOTESFORM, DENOMINATION, REGISTRATION AND TRANSFER" AND "TRANSFERRESTRICTIONS". A TRANSFER OF NOTES IS SUBJECT TO THE RESTRICTIONS DESCRIBEDHEREIN, INCLUDING THAT NO SALE, PLEDGE, TRANSFER OR EXCHANGE MAY BE MADE OF ANOTE (1) EXCEPT AS PERMITTED UNDER THE SECURITIES ACT AND APPLICABLE STATESECURITIES LAWS PURSUANT TO AN EXEMPTION FROM REGISTRATION AS DESCRIBEDHEREIN, (2) EXCEPT IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS,IF APPLICABLE, SET FORTH IN THE INDENTURE AND (3) IN A DENOMINATION LESS THAN THEREQUIRED MINIMUM DENOMINATION. THE NOTES ARE SUBJECT TO FURTHER RESTRICTIONSON TRANSFER. SEE "TRANSFER RESTRICTIONS".


4/191

iv

NEITHER THE CO-ISSUERS NOR THE COLLATERAL HAS BEEN REGISTERED UNDER THEUNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENTCOMPANY ACT"), BY REASON OF THE EXEMPTION FROM REGISTRATION CONTAINED INSECTION 3(c)(7) THEREOF. NO TRANSFER OF NOTES WHICH WOULD HAVE THE EFFECT OFREQUIRING EITHER OF THE CO-ISSUERS OR THE COLLATERAL TO REGISTER AS ANINVESTMENT COMPANY UNDER THE INVESTMENT COMPANY ACT WILL BE PERMITTED. ANYTRANSFER OF A DEFINITIVE NOTE MAY BE EFFECTED ONLY ON THE NOTE REGISTERMAINTAINED BY THE NOTE REGISTRAR PURSUANT TO THE INDENTURE. ANY TRANSFER OF ANINTEREST IN A RULE 144A GLOBAL NOTE, OR A REGULATION S GLOBAL NOTE WILL BE SHOWNON, AND TRANSFERS THEREOF WILL BE EFFECTED ONLY THROUGH, RECORDS MAINTAINEDBY DTC AND ITS DIRECT AND INDIRECT PARTICIPANTS (INCLUDING, IN THE CASE OFREGULATION S GLOBAL NOTES, EUROCLEAR AND CLEARSTREAM).

EACH ORIGINAL PURCHASER AND EACH SUBSEQUENT TRANSFEREE OF A NOTE WILL BEDEEMED TO REPRESENT AND WARRANT THAT EITHER (A) IT IS NOT AN "EMPLOYEE BENEFITPLAN" AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACTOF 1974, AS AMENDED (ERISA) AND SUBJECT TO ERISA, A PLAN DESCRIBED IN SECTION4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE"CODE") AND SUBJECT TO SECTION 4975 OF THE CODE, AN ENTITY WHICH IS DEEMED TOHOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101, WHICH

PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR AGOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S.FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE PROVISIONS OF SECTION406 OF ERISA OR SECTION 4975 OF THE CODE, OR (B) ITS PURCHASE, HOLDING ANDDISPOSITION OF SUCH NOTE WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTIONUNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF AGOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN, A VIOLATION OF ANY SUBSTANTIALLYSIMILAR U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW). ANY PURPORTED TRANSFER OF ANOTE TO A PURCHASER OR SUBSEQUENT TRANSFEREE THAT DOES NOT COMPLY WITH THE

ABOVE REQUIREMENTS SHALL BE NULL AND VOID AB INITIO.

THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE UNITED STATESSECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION OR

OTHER REGULATORY AUTHORITY, AND NONE OF THE FOREGOING AUTHORITIES HASCONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS PROSPECTUS. ANYREPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.

This Prospectus has been prepared by the Co-Issuers solely for use in connection with the offering of theNotes described herein (the "Offering") and for listing purposes. The Co-Issuers have taken allreasonable care to confirm that the information contained in this Prospectus is, to the best of theirknowledge, true and accurate in all material respects and is not misleading in any material respect andthat there are no other facts relating to the Co-Issuers or the Notes, the omission of which makes thisProspectus as a whole or any such information contained herein, in light of the circumstances underwhich it was made, misleading in any material respect. The Co-Issuers accept responsibility accordingly.The Co-Issuers disclaim any obligation to update such information and do not intend to do so. Neither theInitial Purchaser nor any of its Affiliates makes any representation or warranty as to, or has independently

verified or assumes any responsibility for, the accuracy or completeness of the information containedherein. Neither the Initial Purchaser nor any of its Affiliates has independently verified any suchinformation or assumes any responsibility for its accuracy or completeness. Neither the Credit DefaultSwap Counterparty nor any of its respective Affiliates makes any representation or warranty as to, hasindependently verified or assumes any responsibility for, the accuracy and completeness of theinformation contained herein. Nothing contained in this Prospectus is or should be relied upon as apromise or representation as to future results or events. Neither the Trustee nor the Collateral

Administrator has participated in the preparation of this Prospectus and neither of them assumes anyresponsibility for its contents.


5/191

v

All of the statements in this Prospectus with respect to the business of the Co-Issuers, and any financialprojections or other forecasts, are based on information furnished by the Co-Issuers. See " ForwardLooking Statements" and "Risk FactorsProjections, Forecasts and Estimates". Neither the InitialPurchaser nor its Affiliates assumes any responsibility for the performance of any obligations of either ofthe Co-Issuers or any other persons described in this Prospectus or for the due execution, validity orenforceability of the Notes, instruments or documents delivered in connection with the Notes or for thevalue or validity of any collateral or security interests pledged in connection therewith.

This Prospectus contains summaries of certain documents. The summaries do not purport to be completeand are qualified in their entirety by reference to such documents, copies of which will be made availableto offerees upon request. Requests and inquiries regarding this Prospectus or such documents should bedirected to Deutsche Bank Securities Inc., 60 Wall Street, New York, New York 10005, Attention: GlobalCDO Group. Copies of such documents may also be obtained free of charge from the Irish Paying Agentlocated in Dublin, Ireland.

The Co-Issuers will make available to any offeree of the Notes, prior to the issuance thereof, theopportunity to ask questions of and to receive answers from the Co-Issuers or a person acting on theirbehalf concerning the terms and conditions of the Offering, the Co-Issuers or any other relevant mattersand to obtain any additional information to the extent the Co-Issuers possess such information or canobtain it without unreasonable expense. The information referred to in this paragraph will also be

obtainable at the office of the Irish Paying Agent in Dublin, Ireland.

Each Purchaser of a Note offered and sold in the United States will be deemed to represent that it is aQualified Institutional Buyer purchasing for its own account, to whom notice is given that the resale,pledge or other transfer is being made in reliance on the exemption from Securities Act registrationprovided by Rule 144A. Each Purchaser of the Notes will also be deemed to acknowledge that the Noteshave not been and will not be registered under the Securities Act and may not be reoffered, resold,pledged or otherwise transferred except (a)(i) to a person whom the seller reasonably believes is aQualified Institutional Buyer, purchasing for its own account, to whom notice is given that the resale,pledge or other transfer is being made in reliance on the exemption from Securities Act registrationprovided by Rule 144A, or (ii) in an offshore transaction in accordance with Rule 903 or 904 of RegulationS, (b) in compliance with the certification and other requirements, if applicable, set forth in the Indentureand (c) in accordance with any applicable securities laws of any state of the United States and any other

relevant jurisdiction. Each Purchaser of a Note that is a U.S. resident (within the meaning of theInvestment Company Act) will be deemed to represent that it or the account for which it is purchasingsuch Notes is a Qualified Purchaser. A "Qualified Purchaser" is (i) a "qualified purchaser" as defined inthe Investment Company Act or (ii) a company beneficially owned exclusively by one or more "qualifiedpurchasers". For a description of these and certain other restrictions on offers and sales of the Notes anddistribution of this Prospectus, see "Transfer Restrictions".

Although the Initial Purchaser may from time to time make a market in any Class of Notes, the InitialPurchaser is under no obligation to do so. In the event that the Initial Purchaser commences any market-making, the Initial Purchaser may discontinue the same at any time. There can be no assurance that asecondary market for any Class of the Notes will develop, or if a secondary market does develop, that itwill provide the holders of such Class of Notes with liquidity of investment or that it will continue for the lifeof such Class of Notes.

PROSPECTIVE INVESTORS SHOULD READ THIS PROSPECTUS CAREFULLY BEFORE DECIDINGWHETHER TO INVEST IN THE NOTES AND SHOULD PAY PARTICULAR ATTENTION TO THEINFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS". INVESTMENT IN THENOTES IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. INVESTORS SHOULDUNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPTTHEM FOR AN EXTENDED PERIOD OF TIME.

THIS PROSPECTUS IS FOR INFORMATION PURPOSES ONLY AND IS NOT INTENDED TO BERELIED UPON ALONE AS THE BASIS FOR AN INVESTMENT DECISION. IN MAKING AN


6/191

vi

INVESTMENT DECISION, PROSPECTIVE INVESTORS MUST RELY ON THEIR OWN EXAMINATIONOF THE CO-ISSUERS AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKSINVOLVED AND MUST NOT RELY UPON INFORMATION PROVIDED BY OR STATEMENTS MADEBY THE INITIAL PURCHASER OR ANY OF ITS AFFILIATES. INVESTORS SHOULD BE AWARE THATTHEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF AN INVESTMENT IN NOTES FOR

AN INDEFINITE PERIOD OF TIME.

NONE OF THE CO-ISSUERS, THE TRUSTEE, THE CREDIT DEFAULT SWAP COUNTERPARTY, THECOLLATERAL ADMINISTRATOR, THE INITIAL PURCHASER AND THEIR RESPECTIVE AFFILIATESMAKES ANY REPRESENTATION TO ANY OFFEREE OR PURCHASER OF NOTES REGARDING THELEGALITY OF INVESTMENT THEREIN BY SUCH OFFEREE OR PURCHASER UNDER APPLICABLELEGAL INVESTMENT OR SIMILAR LAWS OR REGULATIONS OR THE PROPER CLASSIFICATIONOF SUCH AN INVESTMENT THEREUNDER.

THE CONTENTS OF THIS PROSPECTUS ARE NOT TO BE CONSTRUED AS LEGAL, BUSINESS ORTAX ADVICE. EACH PROSPECTIVE INVESTOR SHOULD CONSULT ITS OWN ATTORNEY,BUSINESS ADVISOR AND TAX ADVISOR AS TO LEGAL, BUSINESS AND TAX ADVICE.INVESTMENT IN THE NOTES MAY NOT BE SUITABLE FOR ALL RECIPIENTS OF THISPROSPECTUS.

NOTWITHSTANDING ANY OTHER EXPRESS OR IMPLIED AGREEMENT TO THE CONTRARY, THEISSUER, THE INITIAL PURCHASER AND EACH RECIPIENT HEREOF AGREE THAT EACH OF THEM

AND EACH OF THEIR EMPLOYEES, REPRESENTATIVES, AND OTHER AGENTS MAY DISCLOSE,IMMEDIATELY UPON COMMENCEMENT OF DISCUSSIONS, TO ANY AND ALL PERSONS,WITHOUT LIMITATION OF ANY KIND, THE TAX TREATMENT AND TAX STRUCTURE OF THETRANSACTION AND ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX

ANALYSES) THAT ARE PROVIDED TO ANY OF THEM RELATING TO SUCH TAX TREATMENT ANDTAX STRUCTURE UNDER APPLICABLE U.S. FEDERAL, STATE AND LOCAL LAW, EXCEPT WHERECONFIDENTIALITY IS REASONABLY NECESSARY TO COMPLY WITH U.S. FEDERAL, STATE, ORCAYMAN ISLAND'S SECURITIES LAWS. FOR PURPOSES OF THIS PARAGRAPH, THE TERMS"TAX", "TAX TREATMENT", "TAX STRUCTURE", AND "TAX BENEFIT" ARE DEFINED UNDERTREASURY REGULATION 1.6011-4(c) AND APPLICABLE U.S. STATE AND LOCAL LAW.

In this Prospectus, references to "U.S. Dollars", "Dollars" and "U.S.$" are to United States dollars.

NOTICE TO RESIDENTS OF THE CAYMAN ISLANDS

THE CO-ISSUERS ARE PROHIBITED FROM MAKING ANY INVITATION TO THE PUBLIC IN THECAYMAN ISLANDS TO SUBSCRIBE FOR THE NOTES UNLESS THE ISSUER IS LISTED ON THECAYMAN ISLANDS STOCK EXCHANGE.

NOTICE TO RESIDENTS OF THE UNITED KINGDOM

THE INITIAL PURCHASER HAS AGREED THAT (A) IT HAS ONLY COMMUNICATED OR CAUSED TOBE COMMUNICATED, AND WILL ONLY COMMUNICATE OR CAUSE TO BE COMMUNICATED, ANINVITATION OR INDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OF

SECTION 21 OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (THE "FSMA,") RECEIVEDBY IT IN CONNECTION WITH THE ISSUE OR SALE OF ANY SECURITIES IN CIRCUMSTANCES INWHICH SECTION 21(1) OF THE FSMA DOES NOT APPLY TO THE ISSUER; AND (B) IT HASCOMPLIED AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF THE FSMA WITHRESPECT TO ANYTHING DONE BY IT IN RELATION TO THE SECURITIES IN, FROM OROTHERWISE INVOLVING THE UNITED KINGDOM.


7/191

vii

AVAILABLE INFORMATION

To permit compliance with Rule 144A under the Securities Act in connection with the sale of the Notes,each of the Co-Issuers will be required to furnish, upon request of a holder of a Note, to such holder anda prospective purchaser designated by such holder the information required to be delivered under Rule144A(d)(4) under the Securities Act if at the time of the request such Co-Issuer is not a reporting

company under Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended (the "ExchangeAct"), or if at the time of the request such Co-Issuer is not exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. Such information may be obtained from the Trustee or Transfer Agentlocated in Dublin, Ireland. It is not contemplated that either of the Co-Issuers will be such a reportingcompany or so exempt.

FORWARD LOOKING STATEMENTS

Any projections, forecasts and estimates contained herein are forward looking statements and are basedupon certain assumptions. Projections are necessarily speculative in nature, and it can be expected thatsome or all of the assumptions underlying the projections will not materialize or will vary significantly fromactual results. Accordingly, the projections are only an estimate. Actual results may vary from theprojections, and the variations may be material. Some important factors that could cause actual results todiffer materially from those in any forward looking statements include changes in interest rates, market,financial or legal uncertainties, the timing and frequency of Writedowns, Writedown ReimbursementPayment Amounts, Failures to Pay Principal, Principal Shortfall Reimbursement Payment Amounts,Interest Shortfall Payment Amounts and Interest Shortfall Reimbursement Payment Amounts inconnection with the Reference Obligations, mismatches between the timing of accrual and receipt ofInterest Proceeds and Principal Proceeds, and defaults under Credit Default Swaps, among others.Consequently, the inclusion of projections herein should not be regarded as a representation by theIssuer, the Co-Issuer, the Bank, the Credit Default Swap Counterparty, the Trustee, the Collateral

Administrator, the Initial Purchaser or any of their respective Affiliates or any other person or entity of theresults that will actually be achieved by the Issuer. None of the Issuer, the Co-Issuer, the Bank, the CreditDefault Swap Counterparty, the Trustee, the Collateral Administrator, the Initial Purchaser and theirrespective Affiliates has any obligation to update or otherwise revise any projections, including anyrevisions to reflect changes in economic conditions or other circumstances arising after the date hereof orto reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to

fruition.


8/191

viii

TABLE OF CONTENTS

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

RISK FACTORS.......................................................................................................................................... 14

DESCRIPTION OF THE NOTES................................................................................................................ 23

Status and Security .......................................................................................................................... 23The Class A-1 Notes ........................................................................................................................ 23

Interest.............................................................................................................................................. 25

Determination of LIBOR ...................................................................................................................25

Principal ............................................................................................................................................ 27

Auction Call Redemption.................................................................................................................. 28

Optional Redemption........................................................................................................................ 29

Clean-up Call.................................................................................................................................... 29

Redemption Price/Redemption Amount........................................................................................... 29

Redemption Procedures................................................................................................................... 30

Cancellation...................................................................................................................................... 32

Payments.......................................................................................................................................... 32

Priority of Payments ......................................................................................................................... 33

The Coverage Tests ......................................................................................................................... 41

The Reverse Turbo Condition .......................................................................................................... 44

Form, Denomination, Registration and Transfer .............................................................................. 44

No Gross-Up..................................................................................................................................... 49

Additional Notes ...............................................................................................................................49

The Indenture ................................................................................................................................... 50

MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS.................................................................57

THE CO-ISSUERS...................................................................................................................................... 59

General............................................................................................................................................. 59

Capitalization .................................................................................................................................... 60

Business ........................................................................................................................................... 60

SECURITY FOR THE NOTES.................................................................................................................... 61

General............................................................................................................................................. 61

The Collateral Quality Tests.............................................................................................................61Eligibility Criteria ............................................................................................................................... 62

The Collateral Account, the Collection Account, the Payment Account, the Closing ExpenseAccount and the Credit Default Swap Issuer Account..................................................................... 66

THE CREDIT DEFAULT SWAPS............................................................................................................... 68

THE INVESTMENT AGREEMENT............................................................................................................. 80

The Investment Agreement Provider ............................................................................................... 80


9/191

ix

The Investment Agreement Insurer.................................................................................................. 81

DESCRIPTION OF THE CREDIT DEFAULT SWAP PORTFOLIO............................................................ 83

DEUTSCHE BANK AKTIENGESELLSCHAFT ........................................................................................... 90

CERTAIN TAX CONSIDERATIONS......................................................................................................... 102

United States Tax Considerations.................................................................................................. 102Tax Treatment of the Issuer ...........................................................................................................103

Tax Treatment of U.S. Holders of the Notes..................................................................................104

Possible Recharacterization of the Notes ......................................................................................107

Transfer Reporting Requirements .................................................................................................. 107

Tax Return Disclosure and Investor List Requirements................................................................. 107

Tax Treatment of Non-U.S. Holders of Notes ................................................................................108

Information Reporting and Backup Withholding............................................................................. 108

Cayman Islands Tax Considerations .............................................................................................109

ERISA CONSIDERATIONS...................................................................................................................... 111The Notes ....................................................................................................................................... 112

PRESCRIPTION .......................................................................................................................................113

PLAN OF DISTRIBUTION ........................................................................................................................113

United States .................................................................................................................................. 113

United Kingdom.............................................................................................................................. 114

Cayman Islands.............................................................................................................................. 114

General........................................................................................................................................... 114

TRANSFER RESTRICTIONS................................................................................................................... 115

Investor Representations on Original Purchase............................................................................. 115

LISTING AND GENERAL INFORMATION ............................................................................................... 121

LEGAL MATTERS .................................................................................................................................... 122

GLOSSARY OF DEFINED TERMS.......................................................................................................... 123

ANNEX A SPECIFIED TYPES OF ASSET-BACKED SECURITIES......................................................A-1

ANNEX B MOODYS TERMINOLOGY...................................................................................................B-1

ANNEX C STANDARD & POORS TERMINOLOGY ............................................................................ C-1

ANNEX D FORM OF CONFIRMATION.................................................................................................D-1

ANNEX E LIST OF REFERENCE OBLIGATIONS.................................................................................E-1


10/191

1

SUMMARY OF TERMS

The following summary is qualified in its entirety by, and should be read in conjunction with, themore detailed information appearing elsewhere in this Prospectus. A Glossary of defined terms appearsat the back of this Prospectus.

Securities Offered .......................... Up to U.S.$325,000,000 Aggregate Outstanding Amount ofClass A-1 Notes, consisting of Class A-1 F Notes and Class A-1U Notes, each as further described herein.

U.S.$59,500,000 Aggregate Outstanding Amount of Class A-2Notes.

U.S.$44,000,000 Aggregate Outstanding Amount of Class BNotes.

U.S.$17,500,000 Aggregate Outstanding Amount of Class CNotes.

U.S.$23,000,000 Aggregate Outstanding Amount of Class DNotes.

U.S.$10,000,000 Aggregate Outstanding Amount of Class ENotes.

Each of the Class A-1 Notes, Class A-2 Notes, Class B Notes,Class C Notes, Class D Notes and Class E Notes are hereinreferred to as a Class of Notes. The entire principal amount ofeach Class of Notes will be issued on the Closing Date.

The Notes will be issued and secured pursuant to the Indenture.The Credit Default Swap Counterparty and Deutsche Bank AG,as holder of the Financed Amount, will also be express SecuredParties under the Indenture. See "Description of the NotesStatus and Security" and "The Indenture". The Notes will belimited recourse debt obligations of the Co-Issuers, and theClass F Subordinated Notes will be limited recourse debtobligations of the Issuer, in each case secured solely by apledge of the Collateral by the Issuer to the Trustee pursuant tothe Indenture for the benefit of the holders of the Notes and theClass F Subordinated Notes, the Trustee, the Collateral

Administrator, the Class F Subordinated Note Paying Agent, theSecurities Intermediary, the Administrator, the Credit DefaultSwap Counterparty and, to the extent of the Financed Amount,Deutsche Bank AG (collectively, the "Secured Parties"). To theextent the assets of the Collateral are insufficient to pay all

amounts due on the Notes, the Co-Issuers shall have no furtherobligations in respect of the Notes and any amounts whichremain outstanding but unpaid shall be extinguished. See"Description of the NotesStatus and Security".

All of the Class A-1 Notes are entitled to receive payments paripassuamong themselves, all of the Class A-2 Notes are entitledto receive payments pari passu among themselves, all of theClass B Notes are entitled to receive payments pari passu


11/191

2

among themselves, all of the Class C Notes are entitled toreceive payments pari passu among themselves, all of theClass D Notes are entitled to receive payments pari passuamong themselves and all of the Class E Notes are entitled toreceive payments pari passu among themselves. The relativeorder of seniority of payment of each Class of Notes is asfollows: first, Class A-1 Notes, second, Class A-2 Notes, third,Class B Notes, fourth, Class C Notes, fifth, Class D Notes andsixth, Class E Notes, with (i) each Class of Notes (other than theClass E Notes) in such list being "Senior" to each other Class ofNotes that follows such Class of Notes in such list and (ii) eachClass of Notes (other than the Class A-1 Notes) in such list being"Subordinate" to each other Class of Notes that precedes suchClass of Notes in such list.

No payment of interest on any Class of Notes will be made untilall accrued and unpaid interest on the Notes of each Class thatis Senior to such Class and that remain outstanding has beenpaid in full. Payments of principal shall be paid to each Class ofNotes on a pari passu basis unless a Sequential Principal

Payment Event is in effect, in which case no payment of principalof any Class of Notes will be made until the Class A-1Commitment Amount has been reduced to zero and all principalof, and all accrued and unpaid interest on, the Notes of eachClass that is Senior to such Class and that remain outstandinghave been paid in full. See "Description of the NotesPriority ofPayments".

Class A-1 Notes..............................

General The Class A-1 Notes will be issued as Class A-1 F Floating RateVariable Funding Notes (the "Class A-1 F Notes") and Class

A-1 U Fixed Rate Variable Funding Notes (the "Class A-1 U

Notes"). All payments to the holders of the Class A-1 F Noteswill be made pro rata among the holders of such Class A-1 FNotes and all payments to the holders of the Class A-1 U Noteswill be made pro rata among the holders of such Class A-1 UNotes. Pursuant to the Class A-1 Note Purchase Agreement,the Issuer may from time to time request an Incremental Fundingfrom the Class A-1 U Noteholder and pursuant to such request,such Class A-1 U Noteholder will deposit, on the nextIncremental Funding Date, an amount with the Issuer equal tosuch Incremental Funding. In exchange for such depositedamount, the Issuer will increase the Aggregate Outstanding

Amount of the Class A-1 F Notes (the "Class A-1 FundedAmount") in an amount equal to such Incremental Funding and

the Class A-1 Unfunded Amount with respect to the Class A-1 UNotes shall be reduced by such Incremental Funding. TheAggregate Outstanding Amount of the Class A-1 F Notes maynot exceed the Class A-1 Commitment Amount. The "Class A-1Commitment Amount", with respect to the Class A-1 Unfunded

Amount and the Class A-1 Funded Amount in the aggregate, willequal $325,000,000 on the Closing Date and will be subject toreduction as described herein under "Description of the NotesPriority of PaymentsPrincipal Proceeds" and "Description ofthe NotesPriority of PaymentsCredit Default Swap


12/191

3

Allocations". The Class A-1 Unfunded Amount will be reduced to$0 on the Commitment Period Termination Date. As of theClosing Date the Class A-1 Funded Amount will be $0 and theClass A-1 Unfunded Amount will be $325,000,000. It is not acondition to closing that the Issuer request funding of anyamount under the Class A-1 Notes on the Closing Date.

The obligations of the Co-Issuers under the Class A-1 Notes willbe secured pursuant to the Indenture by, and payable solelyfrom and to the extent of available proceeds from, the Collateral.

Prior to the Final Maturity Date, subject to compliance with theClass A-1 Note Purchase Agreement and the Indenture and solong as the Class A-1 Unfunded Amount is greater than zero, theIssuer may request additional Incremental Fundings asnecessary for the Issuer to make certain payments under theCredit Default Swaps, as described under "Priority ofPaymentsCredit Default Swap Allocations".

If any holder of a Class A-1 U Note does not at any time duringthe Commitment Period satisfy the Class A-1 U NoteholderRating Criteria, then such holder will (i) immediately give noticeof such fact to the Issuer, the Trustee, the Credit Default SwapCounterparty and each Rating Agency and (ii) not later than 30days after the date on which such holder fails to satisfy the Class

A-1 U Noteholder Rating Criteria do one of the following: (A)fund a deposit of its Pro Rata Share of the Class A-1 Unfunded

Amount into a Class A-1 U Noteholder Account, (B) obtain aguaranty or other form of credit enhancement that satisfies theRating Condition and is approved by the Credit Default SwapCounterparty, (C) transfer all of its rights and obligations inrespect of all Class A-1 U Notes held by such holder to a personthat satisfies the Class A-1 U Noteholder Rating Criteria on the

date of such assignment or (D) take such other action as may beagreed with the relevant Rating Agency, the Credit Default SwapCounterparty, the Issuer and the Trustee.

In certain circumstances, the Class A-1 Commitment Amountmay be reduced along with a reduction in the funded amountand/or the unfunded amount. See "Priority of PaymentsCredit Default Swap Allocations".

The Class A-1 U Notes and the Class A-1 F Notes shall vote asa single class.

For the purposes of the foregoing:

"Class A-1 Note Purchase Agreement", means the Class A-1Note Purchase Agreement dated as of January 20, 2006, by andamong the Issuer, the Trustee and the Class A-1 Noteholder,relating to a variable funding credit facility to be provided to theIssuer by the Class A-1 Noteholders, on or after the ClosingDate, on the terms set forth therein.

"Class A-1 Noteholder" shall initially be AIG Financial ProductsCorp. The holders of the Class A-1 U Notes shall be the "Class


13/191

4

A-1 U Noteholders" and the holders of the Class A-1 F Notesshall be the "Class A-1 F Noteholders".

"Class A-1 U Noteholder Rating Criteria" will be satisfied withrespect to any Class A-1 U Noteholder as of any specified date ifthe short-term debt, deposit or similar obligations of such holder

(or any Affiliate thereof that unconditionally and absolutelyguarantees the obligations of such holder) are on such daterated "P-1" by Moodys and "A-1+" by Standard & Poors and thelong-term debt obligations of such holder (or any Affiliate thereofthat unconditionally and absolutely guarantees the obligations ofsuch holder) are on such date rated at least "AA-" by Standard &Poors and "Aa3" by Moodys.

"Class A-1 Unfunded Amount" means the positive difference,if any, between (i) the Class A-1 Commitment Amount and (ii)the Class A-1 Funded Amount; provided that the Class A-1Unfunded Amount shall not be increased following any reductionthereof.

"Incremental Funding" means a payment by the holder of theClass A-1 U Notes to the Issuer as (i) a reduction of the Class

A-1 Unfunded Amount with respect to such holder's Class A-1 UNotes and (ii) an increase in the Aggregate Outstanding Amountof such holder's Class A-1 F Notes.

"Incremental Funding Date" means the fourth Business Dayfollowing the 25th day of each calendar month; provided that ifthe 25th day of any calendar month shall fall on a day which isnot a Business Day, the Incremental Funding Date shall be thefourth Business Day following the Business Day next succeedingthe 25th day of such calendar month.

"Pro Rata Share" means with respect to any holder of Class A-1U Notes at any time, the ratio (expressed as a percentage) equalto (a) the Class A-1 Unfunded Amount represented by the Class

A-1 U Note held by such holder at such time to (b) the Class A-1Unfunded Amount at such time.

"Commitment Period" means the period commencing with andincluding the Closing Date, and ending on but excluding theCommitment Period Termination Date.

"Commitment Period Termination Date" means the earliest tooccur of (a) the Final Maturity Date, (b) the sale, foreclosure orother disposition of the Collateral under the Indenture due to an

Event of Default or (c) the redemption of the Class A-1 Notes infull and the reduction of the Class A-1 Commitment Amount tozero.

Interest on the Class A-1 Notes.... On each Payment Date, to the extent amounts are availabletherefore, the Issuer will be required to pay the Class A-1 FNoteholder interest on the Class A-1 F Notes equal to the Class

A-1 Funded Amount Interest and the Class A-1 U Noteholderinterest on the Class A-1 U Notes equal to the Class A-1Unfunded Amount Interest.


14/191

5

"Class A-1 Cumulative Interest Amount" means with respectto any Interest Period, the sum of the Class A-1 Funded AmountInterest and the Class A-1 Unfunded Amount Interest.

"Class A-1 Funded Amount Interest" means, from time totime, with respect to the Class A-1 F Notes and any Payment

Date, the sum of:(i) the product of (a) the Class A-1 Funded Amount as of

the immediately preceding Payment Date, (b) the ClassA-1 F Note Interest Rate during the related InterestPeriod and (c) the actual number of days in the relatedInterest Period divided by 360;

(ii) the sum, with respect to each Incremental Fundingduring the related Interest Period, of the products of (a)each Incremental Funding and (b) the Class A-1 F NoteInterest Rate with respect to such Incremental Funding,and (c) the actual number of days from and includingsuch Incremental Funding Date to but excluding suchPayment Date divided by 360; and

(iii) the Class A-1 F Note Defaulted Interest.

"Class A-1 F Note Interest Rate" means with respect to anyInterest Period, LIBOR plus0.350% per annum.

"Class A-1 Unfunded Amount Interest" means, from time totime, with respect to the Class A-1 U Notes and any PaymentDate, the sum of

(i) the product of (a) the Class A-1 Weighted AverageUnfunded Amount, (b) the Class A-1 U Note

Commitment Rate and (c) the actual number of days inthe related Interest Period dividedby 360; and

(ii) the Class A-1 U Note Defaulted Interest.

"Class A-1 Weighted Average Unfunded Amount" means,with respect to the Class A-1 Unfunded Amount for any InterestPeriod, the quotient of (i) the sum of the Class A-1 Unfunded

Amount for each day of such Interest Period divided by (ii) theactual number of days in such Interest Period.

"Class A-1 U Note Commitment Rate" means 0.190% perannum.

"Class A-1 F Note Defaulted Interest" means with respect toany Interest Period, any shortfall or shortfalls in the payment ofthe Class A-1 Funded Amount Interest with respect to anypreceding Payment Date or Payment Dates, together withinterest accrued thereon at the Class A-1 F Note Interest Rate,net of any Class A-1 F Note Defaulted Interest paid, if any, priorto such Payment Date.


15/191

6

"Class A-1 U Note Defaulted Interest" means with respect toany Interest Period, any shortfall or shortfalls in the payment ofClass A-1 Unfunded Amount Interest with respect to anypreceding Payment Date or Payment Dates, together withinterest accrued thereon at the Class A-1 U Note CommitmentRate, net of any Class A-1 Unfunded Defaulted Interest paid, ifany, prior to such Payment Date.

Class F Subordinated Notes ......... The Issuer will also issue U.S.$21,000,000 AggregateOutstanding Amount of Class F Subordinated Notes inaccordance with Appendix A to the Class F Subordinated NotePaying Agency Agreement and secured in accordance with adeed of covenant, dated January 20, 2006 (the "Deed ofCovenant") and subject to the Class F Subordinated NotePaying Agency Agreement, dated as of the Closing Date (the"Class F Subordinated Note Paying Agency Agreement"),between the Issuer and LaSalle Bank National Association, asClass F Subordinated Note paying agent (in such capacity, the"Class F Subordinated Note Paying Agent"). The Class FSubordinated Notes are not being offered hereby.

The Co-Issuers ............................... The Issuer is an exempted company incorporated with limitedliability under The Companies Law (2004 Revision) of theCayman Islands pursuant to its Memorandum and Articles of

Association (the "Issuer Charter") and is in good standingunder the laws of the Cayman Islands. The Indenture and theIssuer Charter will provide that the activities of the Issuer arelimited to (i) acquiring and disposing of, and investing andreinvesting in, Eligible Investments and acquiring DeliveredObligations, (ii) entering into and performing its obligations underthe Indenture, the Deed of Covenant, the Class A-1 NotePurchase Agreement, the Administration Agreement, theCollateral Administration Agreement, the Credit Default Swaps,

the Notes and the Class F Subordinated Note Paying AgencyAgreement, (iii) issuing and selling the Notes and the Class FSubordinated Notes, (iv) pledging the Collateral as security for itsobligations in respect of the Notes and the Class F SubordinatedNotes and otherwise for the benefit of the Secured Parties, (v)owning and managing the Co-Issuer and (vi) other activitiesincidental to the foregoing.

The Co-Issuer is incorporated in Delaware for the sole purposeof co-issuing the Notes. The entire authorized share capital ofthe Co-Issuer is owned by the Issuer.

The Issuer will not have any material assets other than the Credit

Default Swaps, Eligible Investments, any Delivered Obligationsand rights under certain other agreements entered into asdescribed herein.

The Co-Issuer will not have any assets (other than the proceedsof its shares, being U.S.$1,000) and will not pledge any assets tosecure the Notes. The Co-Issuer will have no claim against theIssuer in respect of the Collateral.

Trustee ............................................ LaSalle Bank National Association


16/191

7

Credit Default SwapCounterparty................................... Deutsche Bank AG London

Use of Proceeds............................. The net proceeds from the issuance and sale of the Notes andthe Class F Subordinated Notes are expected to be U.S.$175,000,000. On the Closing Date, the Issuer will use the net

proceeds of the Offering of the Notes and the Class FSubordinated Notes (a) to invest in Eligible Investments to beheld in the Collateral Account with a purchase price equal to theexcess of (i) the Aggregate Principal Balance of the CreditDefault Swaps over (ii) the Class A-1 Commitment Amount as ofthe Closing Date and (b) deposit Principal Proceeds into thePrincipal Collection Subaccount pursuant to clause (B) of thedefinition of "Principal Proceeds".

Expenses......................................... Approximately U.S.$9,043,999.

Financed Amount........................... The organizational and structuring fees and expenses of the Co-Issuers (including, without limitation, the legal fees and expensesof counsel to the Co-Issuers and the Initial Purchaser) and thefees and expenses of offering the Notes will be financed on theClosing Date by Deutsche Bank AG and will be included as partof the Financed Amount payable in accordance with the Priorityof Payments.

Security for the Notes.................... Pursuant to the Indenture, the Notes, together with the Issuer'sobligations to the Secured Parties, will be secured by: (i) theCredit Default Swap Portfolio, including all present andcontinuing exclusive right, power and authority of the Issuer tomake claim for, collect and receive any and all monies receivableunder each Credit Default Swap and any Delivered Obligation,(ii) the Collateral Administration Agreement and the Class A-1Note Purchase Agreement, (iii) the Accounts and all securities,

investment property, money, instruments or other propertycredited thereto or deposited therein, and all income, earnings,interest, and other distributions received or receivable in respectthereof, (iv) all accounts, chattel paper, deposit accounts,documents, general intangibles, goods, instruments, investmentproperty, letter-of-credit rights, letters of credit, money, and oil,gas, and other minerals, consisting of, arising from, or relating to,any of the foregoing, (v) all other property of the Issuer and (vi)all proceeds of the foregoing (collectively, the "Collateral"). Inthe event of any realization on the Collateral, proceeds will beallocated to the payment of each Class of Notes in accordancewith the Priority of Payments.

Credit Default Swaps ..................... Concurrently with the issuance of the Notes, the Issuer will enterinto multiple Credit Default Swap transactions with the CreditDefault Swap Counterparty. Each Credit Default Swap willreference a notional principal amount of a Residential ABSSecurity, whereby the Issuer will assume credit and interest raterisk with respect to each Reference Obligation. The aggregateNotional Amount of the Credit Default Swap Portfolio togetherwith the Principal Proceeds deposited in the Principal CollectionSubaccount on the Closing Date will total U.S.$500,000,000.For a description of the Credit Default Swaps, see "The Credit


17/191

8

Default Swaps" herein. The confirmation of each of the CreditDefault Swaps will be in the form generally known as the "Pay

As You Go" confirmation, as further described in "RiskFactorsLegal Risk Relating to the Synthetic Securities."

Annex E hereto lists the individual Reference Obligations to be

referenced in the Credit Default Swap Portfolio as of the ClosingDate and no additions, removals, substitutions or modificationswill be permitted to be made with respect to the Credit DefaultSwap Portfolio. In addition, the Issuer will be required to holdany Delivered Obligations until the earlier of the maturity date ofsuch Delivered Obligations and the Final Maturity Date withrespect to the Notes.

Investment Agreement .................. Amounts on deposit in the Collateral Account will be invested inEligible Investments and will initially be invested pursuant to aninvestment agreement, dated as of the Closing Date (the"Investment Agreement"), among the Issuer, the Trustee andFSA Capital Management Services LLC, as investmentagreement provider (in such capacity, the "Investment

Agreement Provider"). See "The Investment Agreement".

Interest Paymentson the Notes ................................... The Class A-1 Notes will bear interest at the rate as described

under "Summary of TermsInterest on the Class A-1 Notes".The Class A-2 Notes will bear interest at a floating rate perannum equal to LIBOR plus 0.550%. The Class B Notes willbear interest at a floating rate per annumequal to LIBOR plus0.650%. The Class C Notes will bear interest at a floating rateper annumequal to LIBOR plus 1.250%. The Class D Notes willbear interest at a floating rate per annumequal to LIBOR plus2.400%. The Class E Notes will bear interest at a floating rateper annumequal to LIBOR plus 4.500%. Interest on the Notes

will be computed on the basis of a 360-day year and the actualnumber of days elapsed.

Interest on the Notes will accrue from the Closing Date. Accruedand unpaid interest will be payable in arrears on each PaymentDate, if and to the extent that funds are available on suchPayment Date, in accordance with the Priority of Payments.With respect to the first Payment Date, interest will accrue on the

Aggregate Outstanding Amount of each Class of Notes(determined as of the Closing Date) from the Closing Date to andexcluding the first Payment Date. With respect to eachsubsequent Payment Date, interest will accrue on the AggregateOutstanding Amount of each Class of Notes (determined as of

the first day of the related Interest Period and after giving effectto any payment of principal or redemption on such day) from theprior Payment Date to and excluding such Payment Date.

Any interest on any Class of Notes that is not paid as aforesaidor otherwise by operation of the Priority of Payments will be paid,together with interest accrued thereon, and any interest accruedon such accrued interest, at the applicable rate of interest forsuch Class, on the next subsequent Payment Date on whichfunds are available pursuant to the Priority of Payments.


18/191

9

So long as any Class A Note or Class B Note remainsOutstanding, failure to make payment in respect of interest onthe Class C Notes on any Payment Date by reason of the Priorityof Payments will not constitute an Event of Default under theIndenture.

So long as any Class A Note, Class B Note or Class C Noteremains Outstanding, failure to make payment in respect ofinterest on the Class D Notes on any Payment Date by reason ofthe Priority of Payments will not constitute an Event of Defaultunder the Indenture.

So long as any Class A Note, Class B Note, Class C Note orClass D Note remains Outstanding, failure to make payment inrespect of interest on the Class E Notes on any Payment Dateby reason of the Priority of Payments will not constitute an Eventof Default under the Indenture.

Principal Repaymentof the Notes .................................... The principal of each of the Class A-1 Notes, the Class A-2

Notes, the Class B Notes, the Class C Notes, the Class D Notesand the Class E Notes (each, a "Class" of Notes ) is required tobe paid by their Stated Maturity, unless redeemed or repaid priorthereto. See "Description of the NotesPrincipal". PrincipalProceeds will be applied on each Payment Date in accordancewith the Priority of Payments to pay principal of each Class ofNotes on a pari passubasis; providedthat if (i) a Coverage Testis not satisfied on the related Measurement Date and suchCoverage Test has not been cured, (ii) on any DeterminationDate the Aggregate Principal Balance of the Credit DefaultSwaps, Delivered Obligations and Principal Proceeds is (orwould be as a result of any distributions to be made on therelated Payment Date) 50% or less of the Aggregate Principal

Balance of the Credit Default Swaps, Delivered Obligations andPrincipal Proceeds as of the Closing Date, (iii) the SequentialOvercollateralization Test is not satisfied or was not satisfied onany prior Determination Date, (iv) the rating of the Class A Noteshas been downgraded at least two rating sub categories byMoody's or Standard & Poor's since the Closing Date, or the longterm rating of the Class B Notes, Class C Notes, Class D Notesor Class E Notes has been downgraded by at least three ratingsub categories by Moody's or Standard & Poor's since theClosing Date or (v) there is an occurrence of an Event of Defaultunder the Indenture (each a "Sequential Principal PaymentEvent"), payments will be made in accordance with theRedemption Payment Sequence and no payment of principal will

be made on any Class of Notes until the Class A-1 CommitmentAmount has been reduced to zero and all principal of and allaccrued and unpaid interest on each Class that is Senior to suchClass and that remains Outstanding has been paid in full. See"Description of the NotesPriority of Payments" and "Redemption Payment Sequence". The amount of principalpayments of a Class of Notes made on a given Payment Date, ifany, will depend upon, among other things, the amount andfrequency of principal payments on the Reference Obligationsand Delivered Obligations.


19/191

10

Payment Dates ............................... Payments on the Notes will be payable in U.S. dollars in arrearson the 12th day of February, May, August and November of eachcalendar year, commencing in May 2006, and on the FinalMaturity Date (each, a "Payment Date"); provided that if anysuch date is not a Business Day, the relevant Payment Date willbe the next succeeding Business Day.

Priority of Payments ...................... On each Payment Date and on the Final Maturity Date, InterestProceeds and Principal Proceeds, to the extent of availablefunds in the Collection Account, will be applied in the order ofpriority set forth under "Description of the NotesPriority ofPayments".

Stated Maturityand Average Life ............................ The Stated Maturity of each Class of Notes is May 12, 2038 (the

"Stated Maturity"). Each Class of Notes will mature at theStated Maturity unless redeemed or repaid prior thereto. Withrespect to each Class of Notes, the earlier of the Stated Maturityand the Payment Date on which the Aggregate Outstanding

Amount of such Class of Notes is paid in full, including the

Redemption Date, an Auction Redemption Date or theoccurrence of an Event of Default and an acceleration of theNotes, is referred to herein as the "Final Maturity Date". Theaverage life of each Class of Notes may be less than the numberof years until their Stated Maturity. See "Risk FactorsProjections, Forecasts and Estimates".

Auction Call Redemption .............. If the Notes have not been redeemed in full on or prior to thePayment Date occurring in November 2013, then an auction (an"Auction") of the Credit Default Swaps and the DeliveredObligations (the "Auction Collateral") will be conducted by theTrustee on behalf of the Issuer and, provided that certainconditions are satisfied, the Auction Collateral will be sold or

transferred to one or more Qualified Bidders (as defined herein)and the Notes will be redeemed on the Payment Date occurringin February 2014. If such conditions are not satisfied and theauction is not successfully conducted on such Payment Date, theTrustee will conduct auctions prior to each subsequentalternating Payment Date until the Notes are redeemed in full.No Auction Call Redemption shall occur unless the Auction CallRedemption Amount is paid in full on the date of suchredemption in accordance with the Priority of Payments. TheTrustee may, at the expense of the Issuer, engage anindependent investment banking firm to perform any of thefunctions of the Trustee set forth in this paragraph. See"Description of the NotesAuction Call Redemption."

Optional Redemptionof the Notes .................................... Subject to certain conditions described herein, on any Payment

Date occurring on or after the February 2009 Payment Date, theIssuer may redeem the Notes (such redemption, an "OptionalRedemption"), in whole but not in part, acting at the direction ofthe holders of not less than the majority of the AggregateOutstanding Amount of the Class F Subordinated Notes. NoOptional Redemption shall occur unless the Redemption Amount(which includes the Redemption Price payable to the holders of


20/191

11

the Notes) is paid in full on the date of such redemption inaccordance with the Priority of Payments. See "Description ofthe NotesOptional Redemption".

Clean-up Call .................................. The Notes will be redeemed at the Redemption Price by theIssuer (such redemption, a "Clean-up Call"), in whole but not in

part, at the option of the Issuer, if so directed by the holders ofthe majority of the Aggregate Outstanding Amount of the Class FSubordinated Notes, on or after the Payment Date on which the

Aggregate Principal Balance of the Credit Default Swaps hasbeen reduced to U.S.$75,000,000 or less. No Clean-up Call maybe effected unless the Redemption Amount is paid in full inaccordance with the Priority of Payments. See "Description ofthe NotesClean-up Call".

Redemption Price........................... The amount payable to the holders of the Notes in connectionwith any Optional Redemption, Auction Call Redemption or aClean-up Call (the "Redemption Price") with respect to eachClass of Notes, other than the Class A-1 U Notes, will be anamount equal to the Aggregate Outstanding Amount of such

Note being redeemed plus the Cumulative Interest Amountthereon plus with respect to the Class C Notes, any Class CDeferred Interest, with respect to the Class D Notes, any Class DDeferred Interest and with respect to the Class E Notes, anyClass E Deferred Interest, as applicable, and with respect to theClass A-1 U Notes will be the accrued and unpaid Class A-1Unfunded Amount Interest.

The Placement................................ The Notes are being offered for sale by Deutsche BankSecurities Inc., as Initial Purchaser, to investors (the "OriginalPurchasers") (i) in the United States who are QualifiedInstitutional Buyers (as defined in Rule 144A, "QualifiedInstitutional Buyers") in reliance on the exemption from

registration provided by Rule 144A and (ii) outside the UnitedStates in offshore transactions in reliance on Regulation S and,in each case, in accordance with any applicable securities lawsof any state of the United States and any other relevant

jurisdiction. Notes offered for sale to a U.S. resident (within themeaning of the Investment Company Act) will be offered only toQualified Purchasers. See "Plan of Distribution" and "TransferRestrictions".

Ratings ............................................ It is a condition to the issuance of the Notes that the Class ANotes be rated "Aaa" by Moody's and "AAA" by Standard &Poor's, that the Class B Notes be rated at least "Aa1" byMoody's and at least "AA+" by Standard & Poor's, that the

Class C Notes be rated at least "Aa3" by Moody's and at least"AA-" by Standard & Poor's, that the Class D Notes be rated atleast "A2" by Moody's and at least "A-" by Standard & Poor's andthat the Class E Notes be rated at least "Baa2" by Moody's andat least "BBB" by Standard & Poor's.

The ratings assigned to the Notes by Standard & Poor's addressthe timely payment of interest on, and the ultimate payment ofthe principal of, the Class A Notes and the Class B Notes andultimate payment of principal of and the ultimate payment of


21/191

12

interest on the Class C Notes, the Class D Notes and theClass E Notes. The ratings of the Notes by Moody's address theultimate cash receipt of all required payments as provided by thegoverning documents, and are based on the expected loss to theholders of Notes of each Class relative to the promise ofreceiving the present value of such payments. Additionally, theratings of the Notes by Moody's takes into consideration thecurrent credit quality of the Reference Obligations and EligibleInvestments, the Credit Default Swap Counterparty and theguarantor of the Investment Agreement Provider, and thecollateral posting and replacement obligations under the CreditDefault Swaps and the Investment Agreement. A security ratingis not a recommendation to buy, sell or hold securities and maybe subject to revision or withdrawal at any time.

For so long as any Class of Notes are listed on the Irish StockExchange and to the extent required by applicable stockexchange rules, the Co-Issuers will inform the Company

Announcements Office of the Irish Stock Exchange if any ratingassigned by the Rating Agencies to such Notes is reduced or

withdrawn.

Minimum Denominations .............. The Notes will be issuable in a minimum denomination ofU.S.$1,000,000 and will be offered only in such minimumdenomination and integral multiples of U.S.$1.00 in excessthereof.

After issuance, a Note may fail to be in compliance with theminimum denomination requirement stated above as a result ofthe repayment of principal thereof in accordance with the Priorityof Payments. See "Transfer Restrictions".

Form, Registration

and Transfer ofthe Notes......................................... The Notes offered in reliance upon Regulation S will be

represented by one or more Regulation S Global Notes in fullyregistered form without interest coupons deposited with theTrustee as custodian for, and registered in the name of, DTC (orits nominee), for the accounts of Euroclear and/or Clearstream.

Interests in the Regulation S Global Notes will be shown on, andtransfers thereof will be effected only through, recordsmaintained by DTC and its direct and indirect participants(including Euroclear and Clearstream). Interests in a RegulationS Global Note may be held only through Euroclear orClearstream.

The Notes offered in the United States in reliance on Rule 144Aunder the Securities Act will be represented by one or more Rule144A Global Notes in fully registered form without interestcoupons deposited with the Trustee as custodian for, andregistered in the name of, DTC (or its nominee). Interests in Rule144A Global Notes will be shown on, and transfers thereof willbe effected only through, records maintained by DTC and itsdirect and indirect participants.


22/191

13

The Regulation S Global Notes and the Rule 144A Global Notesare collectively referred to herein as "Global Notes". Undercertain limited circumstances described herein, definitiveregistered Notes may be issued in exchange for Global Notes.See "Description of the NotesForm, Denomination,Registration and Transfer" and "Transfer Restrictions".

Additional Notes............................. From time to time after the Closing Date, the Issuers may, withwritten prior consent of the Credit Swap Counterparty and themajority of the Aggregate Outstanding Amount of the Class FSubordinated Notes, issue and sell additional Notes (such notes,the "Additional Notes") if certain conditions are satisfied. See"Description of the NotesAdditional Notes".

Listing.............................................. Application will be made to list the Notes on the Irish StockExchange. There can be no assurance that listing on the IrishStock Exchange will be granted.

Listing Agent .................................. Deutsche Bank (Luxembourg) S.A.

Irish Paying Agent.......................... Deutsche International Corporate Services (Ireland) Ltd.

Governing Law ............................... The Notes, the Indenture, the Credit Default Swaps, the ClassA-1 Note Purchase Agreement and the Collateral AdministrationAgreement will be governed by, and construed in accordancewith, the law of the State of New York.

Tax Matters ..................................... See "Certain Tax Considerations".

Certain ERISA Considerations ..... Any fiduciary of a Plan, or an entity whose underlying assetsinclude assets of a Plan by reason of a Plan's investment in suchentity, or of a governmental, church, non-U.S. or other planwhich is subject to fiduciary standards similar to those of ERISA,

who proposes to cause such a plan or entity to purchase Notesshould determine whether, under the general fiduciary standardsof ERISA or other applicable law, an investment in the Notes isappropriate for such plan or entity. Each Original Purchaser andsubsequent transferee of a Note that is, or is acting on behalf of,an employee benefit plan or other plan subject to ERISA and/orSection 4975 of the Code will be deemed to have representedand warranted that its investment in the Notes will not result in anon-exempt prohibited transaction under ERISA and/or Section4975 of the Code (or, in the case of a governmental, church,non-U.S. or other plan, a violation of any similar U.S. federal,state, local or non-U.S. law). See "ERISA Considerations".


23/191

14

RISK FACTORS

An investment in the Notes involves certain risks. Prospective investors should carefully consider thefollowing factors, in addition to the matters set forth elsewhere in this Prospectus, prior to investing in theNotes.

Risks relating to the Notes

Suitability. Prospective investors should ensure that they understand the nature of the CreditDefault Swaps, the form of confirmation for which is attached as Annex D, and the extent of theirexposure to risk, that they have sufficient knowledge, experience and access to professional advisers tomake their own legal, regulatory, tax, accounting and financial evaluation of the merits and risks ofpurchasing a Note and that they consider the suitability of any such purchase of a Note in light of theirown circumstances and financial condition.

Limited Liquidity of Notes. There is currently no market for the Notes. Although the InitialPurchaser may from time to time make a market in Notes, the Initial Purchaser is under no obligation todo so. In the event that the Initial Purchaser commences any market-making, it may discontinue the sameat any time. There can be no assurance that a secondary market for any of the Notes will develop, or if asecondary market does develop, that it will provide the holders of such Notes with liquidity of investmentor that it will continue for the life of the Notes. In addition, the Notes are subject to certain transfer

restrictions and can only be transferred to certain transferees as described under "Transfer Restrictions".Consequently, an investor in the Notes must be prepared to hold its Notes for an indefinite period of timeor until their Stated Maturity.

Limited Recourse Obligations. The Notes are limited recourse obligations of the Co-Issuers.The Notes are payable solely from the Collateral pledged by the Issuer to secure the Notes. None of thesecurity holders, members, officers, directors, managers or incorporators of the Issuer, the Co-Issuer, theTrustee, the Administrator, any Rating Agency, the Share Trustee, the Class F Subordinated Note Paying

Agent, the Collateral Administrator, the Initial Purchaser, any Credit Default Swap Counterparty, any oftheir respective Affiliates and any other person or entity will be obligated to make payments on the Notes.Consequently, the holders of Notes must rely solely on amounts received in respect of the Collateralpledged to secure the Notes for the payment of principal thereof and interest thereon. There can be noassurance that the distributions on the Collateral pledged by the Issuer to secure the Notes will be

sufficient to make payments on any Class of Notes, in particular after making payments on more SeniorClasses of Notes and certain other required amounts ranking Senior to such Class. The Issuer's ability tomake payments in respect of any Class of Notes will be constrained by the terms of the Notes of Classesmore Senior to such Class and the Indenture. If distributions on the Collateral are insufficient to makepayments on the Notes, no other assets will be available for payment of the deficiency and, followingliquidation of all the Collateral, the obligations of the Co-Issuers to pay such deficiencies will beextinguished.

Subordination of each Class of Subordinate Notes. No payment of interest on any Class ofNotes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to suchClass and that remain outstanding has been paid in full. The Notes are paid pari passu in respect ofpayments of principal; provided that if a Sequential Principal Payment Event is in effect, payments ofprincipal will be made in accordance with the Redemption Payment Sequence and no payment ofprincipal of any Class of Notes will be made until the Class A-1 Commitment Amount has been reducedto zero and all principal of and all accrued and unpaid interest on the Notes of each Class that is Senior tosuch Class and that remain outstanding have been paid in full. So long as any more Senior Class ofNotes remains outstanding, failure to make payment in respect of interest on the Class C Notes, theClass D Notes or the Class E Notes on any Payment Date by reason of the Priority of Payments will notconstitute an Event of Default under the Indenture. In the event of any realization on the Collateral,proceeds will be allocated to the Notes and other amounts in accordance with the provisions describedunder "Priority of PaymentsCredit Default Swap Allocations" and the Priority of Payments. To theextent that any losses are suffered by any of the holders of any Notes, such losses will be borne first, bythe holders of the Class E Notes, second by the holders of the Class D Notes, third, by the holders of theClass C Notes, fourth, by the holders of the Class B Notes fifth, by the holders of the Class A-2 Notes and


24/191

15

sixth, by the holders of the Class A-1 Notes. See "Description of the NotesThe Indenture" and "Priority of Payments".

Interests of Holders of a Class of Notes may not be Aligned with Interests of Holders ofOther Classes. The interests of the holders of a Class of Notes may not be aligned and may be adverseto the interests of the holders of other Classes of Notes. Accordingly, the exercise of remedies, votingrights or consent rights by the holders of one Class of Notes may be adverse to the holders of otherClasses of Notes. In particular, if an Event of Default occurs, the holders of the most Senior Class of

Notes then outstanding will be entitled to determine certain remedies to be exercised under the Indenture.The exercise of such remedies could be adverse to the interests of the holders of Subordinate Classes.

Incremental Fundings and Prepayments of the Class A-1 Notes. Holders of the Class A-1 UNotes will, upon request by the Issuer for an Incremental Funding, advance funds to the Issuer equal tosuch Incremental Funding; provided that at the time of and immediately after giving effect to suchIncremental Funding certain conditions are satisfied, as described herein. Notwithstanding theoccurrence of an Event of Default, the Class A-1 U Noteholders will be required to advance funds to theIssuer at any time to the extent necessary to satisfy the Issuer's obligations to make certain paymentsunder the Credit Default Swaps, as described herein.

There can be no assurance that the applicable conditions to an Incremental Funding of the ClassA-1 U Notes will be satisfied or that, if the Class A-1 U Noteholder fails to fund such an Incremental

Funding, a replacement for the Class A-1 U Noteholder can be found. If the Issuer is unable to make arequired payment under a Credit Default Swap because the Class A-1 U Noteholder fails to fund such anIncremental Funding and no replacement for the Class A-1 U Noteholder can be found, the Issuer maydefault on the Credit Default Swaps, in which case the Issuer may be subject to claims for terminationpayments by the Credit Default Swap Counterparty, which could have material and adverseconsequences on the interests of the holders of the Notes.

The Exercise of Certain Rights by the Class F Subordinated Notes could be Adverse to theInterests of the Holders of the Notes. Interests of the holders of the Class F Subordinated Notes maybe different from and adverse to the interests of the holders of the Notes. In particular, if the holders ofthe Class F Subordinated Notes elect to exercise an Optional Redemption or Clean-Up Call, the holdersof the Notes may not be able to invest the proceeds of the redemption of their Notes in one or morecomparable investments providing a return equal to or greater than the return such holders of the Notesexpected to obtain from their investment in the Notes.

Average Lives of the Notes and Prepayment Considerations. The average life of each Classof Notes is expected to be shorter than the number of years until the Stated Maturity.

The average life of each Class of Notes will be affected by the financial condition of the obligorson or issuers of the Reference Obligations and the characteristics of the Reference Obligations, includingthe existence and frequency of exercise of any prepayment, optional redemption, redemption or sinkingfund features, the prevailing level of interest rates, the redemption price, the actual default rate and theactual level of recoveries on any defaulted assets, and the frequency of tender or exchange offers for theReference Obligations. Furthermore, the average life of each Class of Notes may be affected by theoccurrence of an Optional Redemption, Clean-up Call or Auction Call Redemption of the Notes. See"Security for the Notes".

Restrictions on Transfer. The Co-Issuers have not registered with the United States Securitiesand Exchange Commission (the "SEC") as an investment company pursuant to the Investment Company

Act. The Issuer has not so registered in reliance on an exception for investment companies organizedunder the laws of a jurisdiction other than the United States or any state thereof (i) whose investorsresident in the United States are solely Qualified Purchasers and (ii) which do not make a public offeringof their securities in the United States. While counsel for the Co-Issuers will opine, in connection with thesale of the Notes by the Initial Purchaser and the Co-Issuers, as applicable, that neither the Issuer nor theCo-Issuer is on the Closing Date an investment company required to be registered under the InvestmentCompany Act (assuming, for the purposes of such opinion, that the Notes are sold by the Initial Purchaserand the Co-Issuers, as applicable, in accordance with the terms of the Notes, the Indenture and otherrelated Transaction Documents), no opinion or no-action position has been requested of the SEC. If the


25/191

16

SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but inviolation of the Investment Company Act had failed, to register as an investment company, possibleconsequences include, but are not limited to, the following: (i) the SEC could apply to a district court toenjoin the violation; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, asthe case may be, and recover any damages caused by the violation; and (iii) any contract to which theIssuer or the Co-Issuer, a

GSAA HET 2005-15, Tranche B2 / BSABS 2005-TC2, Tranche M6 - securitized a fourth time in STAtic Res...

Documents

Transcript of GSAA HET 2005-15, Tranche B2 / BSABS 2005-TC2, Tranche M6 - securitized a fourth time in STAtic Res...