€143,550,000 Series 1 Participating Notes due 2015 (the "Series 1 Participating Notes")
issued pursuant to the
Multi-Issuer Secured Note Programme
(the Programme)
CAVENDISH OPPORTUNITY INVESTMENTS LIMITED
Cavendish Opportunity Investments Limited (the "Company") (incorporated in Ireland with
limited liability under the Companies Acts 1963-2006 with company number 458315)
SERIES 1 PARTICIPATING NOTES PROSPECTUS
Arranged by:
AE Global Investment Solutions Limited
Bessborough House
17 Cavendish Square
London W1G 0PH
United Kingdom
Authorised and regulated by the Financial
Services Authority.
The date of this Series Prospectus is 10 July 2008
This Series Prospectus (the “Series Prospectus”) constitutes the prospectus for the purposes of
the Directive 2003/71/EC (the “Prospectus Directive”). Application has been made to the Irish
Financial Services Regulatory Authority (the “Financial Regulator”), as competent authority
under the Prospectus Directive for the Series Prospectus to be approved. This Series
Prospectus, under which the Series 1 Participating Notes are issued should be read in
conjunction with the Base Prospectus dated 9 July 2008 (the "Base Prospectus"). Application
has been made to the Irish Stock Exchange for the Series 1 Participating Notes to be admitted to
the official list and to trading on its regulated market. There can be no assurance that such listing
will be approved or maintained. A copy of the Series Prospectus will be filed with the Irish
Companies Registration Office within 14 days of approval as required by Regulation 38(1)(b) of
S.I. No 324 Prospectus (Directive 2003/71/EC) Regulations 2005 (the "Irish Prospectus
Regulations").
Terms defined in the Base Prospectus shall have the same meaning in this Series Prospectus. This
Series Prospectus is to be read in conjunction with the Base Prospectus.
THE NOTES WILL BE OBLIGATIONS SOLELY OF THE ISSUER AND WILL NOT BE
GUARANTEED BY, OR BE THE RESPONSIBILITY OF, ANY OTHER ENTITY.
Save as provided herein, the Issuer accepts responsibility for the information contained in this Series
Prospectus. To the best of the knowledge and belief of the Issuer (which has taken all reasonable
care to ensure that this is the case), the information contained in this Series Prospectus is in
accordance with the facts and does not omit anything likely to affect the import of such information.
The delivery of this Series Prospectus at any time does not imply any information contained herein is
correct at any time subsequent to the date hereof. AE Global Investment Solutions Limited (the
“Manager") accepts responsibility for the information contained in the sections headed
"Investment Opportunity" and “The Manager”. To the best of the knowledge and belief of the
Manager (who 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 affect the import of such
information. Neither the Manager nor any of its Affiliates (as defined below) accepts any
responsibility for the accuracy and completeness of any other information contained in this
document.
The distribution of this Series Prospectus and the offering or sale of the Notes in certain jurisdictions
may be restricted by law. Persons into whose possession this Series Prospectus comes are required
by the Issuer and the Arranger to inform themselves about and to observe any such restriction.
The Arranger is acting exclusively on behalf of the Issuer in connection with the issue of the Notes
and will not regard any other person as its customer or be responsible to any other person for
providing the protections afforded to customers of the Arranger or for advising any such person in
relation to the Notes.
Defined terms used in this Series Prospectus shall, except where otherwise defined herein or in the
Base Prospectus have the meanings set forth in the "Master Definitions Schedule" as set out in the
attached Appendix 1.
Error! Unknown document property name.
Table of Contents
1
2
3
4
5
6
7
8
9
10
11
Incorporation by Reference .....................................................................................................4
Terms and Conditions of the Series 1 Participating Notes .....................................................5
Portfolio Eligibility Criteria and Concentration Limitations ....................................................17
Investment Opportunity .........................................................................................................21
The Manager .........................................................................................................................22
Key Person Provisions ..........................................................................................................24
Appointment of Noteholder Committee .................................................................................24
Other Transaction Parties......................................................................................................25
Principal Agreements ............................................................................................................26
Transfer Restrictions .............................................................................................................33
Listing and General Information ............................................................................................34
Appendix 1 (Master Definitions Schedule)……………………………………………………...37
Appendix 2 (Form of Monthly Report)……………………………………………………………54
3
1
Incorporation by Reference
This Series Prospectus should be read and construed in conjunction with the Base Prospectus dated
10 July 2008 relating to the Programme which has been published prior to the Series Prospectus and
that has been approved by the Financial Regulator and filed with it and shall be deemed to be
incorporated in, and form part of, this Series Prospectus, save that any statement contained in any of
the documents incorporated by reference in, and forming part of, this Series Prospectus shall be
deemed to be modified or superseded for the purpose of this Series Prospectus to the extent that a
statement contained herein modifies or supersedes such earlier statement (whether expressly, by
implication or otherwise). Any statement so modified or superseded shall not be deemed, except as
so modified or superseded, to constitute part of this Series Prospectus. This Series Prospectus must
be read in conjunction with the Base Prospectus and full information on the Issuer and the Notes is
only available on the basis of the combination of the provisions set out within this document and the
Base Prospectus.
Upon the oral or written request therefor, the Issuer will make available a copy of this Series
Prospectus (and any documents incorporated by reference in this Series Prospectus) free of charge,
at the specified offices of the Issuer. Written or oral requests for such documents should be directed
to the specified office of the Issuer.
Supplements
If at any time the Issuer shall be required to prepare a supplemental prospectus pursuant to the Irish
Prospectus Regulations and/or Article 16 of the Prospectus Directive, the Issuer will prepare and
make available an appropriate amendment or supplement to this Series Prospectus which shall
constitute a supplemental prospectus as required by the Financial Regulator and the Irish Prospectus
Regulations and the Prospectus Directive.
4
2
Terms and Conditions of the Series 1 Participating Notes
THE PARTIES:
"Issuer"
Cavendish ABS Opportunity Investments Ltd, a company incorporated
under the laws of Ireland.
"Manager"
AE Global Investment Solutions Limited, a company incorporated under the
laws of England and Wales.
THE OFFERED
NOTES:
"Series 1
Participating Notes"
The offered notes shall comprise a programme issuance from the
Programme and will consist of €143,550,000 Series 1 Participating Notes
due 2015 (the "Series 1 Participating Notes").
The Series 1 Participating Notes will rank pari passu and without
preference among themselves for all purposes. The Series 1 Participating
Notes are tradeable without restriction, subject at all times to applicable
law.
"ISIN CODE"
"Issue Size"
Series 1 Participating Notes: XS0376220280
€143,550,000
"Issue Price"
100.00%
"Form of Notes"
The Series 1 Participating Notes will be represented initially by a temporary
global note in bearer form (the “Temporary Global Note”), without
coupons or talons, which will be deposited on the Issue Date with a
common depositary for Euroclear and Clearstream, Luxembourg.
Interests in the Temporary Global Note relating to the Series 1 Participating
Notes will be exchangeable for interests in a permanent global note relating
to the Series 1 Participating Notes in bearer form (each a “Permanent
Global Note”) without coupons or talons, 40 calendar days after the Issue
Date provided certification of non-U.S. beneficial ownership by the
Noteholders of the Series 1 Participating Notes has been received. The
Permanent Global Notes will also be deposited with the common
depositary. Series 1 Participating Notes in definitive form (each a
“Definitive Note”) will be issued only in certain limited circumstances.
Unless Series 1 Participating Notes in definitive form are so issued and for
so long as the Global Notes remain in effect, the Series 1 Participating
Notes will be transferable in accordance with the rules and procedures for
the time being of Euroclear and Clearstream, Luxembourg.
"Minimum Holdings"
The Series 1 Participating Notes will be issued to investors only in
minimum holdings of €100,000.
"Minimum
The Series 1 Participating Notes will be issued in minimum denominations
5
Denomination"
of €50,000.
"Distributions"
Prior to the end of the Reinvestment Period, all amounts that would
otherwise be available for distribution shall roll-up and be re-invested in the
Portfolio (or held in a designated reinvestment account (the “Reinvestment
Account”)) (save where, in the Manager’s sole judgement, an insufficient
quantity of Portfolio Collateral is available for the purposes of reinvestment
in which case distributions will be made pro rata to the Series 1
Participating Notes). See section "Waterfall" below.
"Distribution Dates"
Quarterly. The 15th day of August, November, February and May in each
year commencing in August 2008, as well as the Maturity Date and the
Redemption Date, in each case, to the extent not a Business Day,
adjusted in accordance with the Modified Following Business Day
Convention.
It is anticipated that payments of principal and interest on the Series 1
Participating Notes will be made only on the Redemption Date in
connection with the realisation of the Portfolio.
"Status"
The Series 1 Participating Notes (and the Senior Funding Notes (as
defined below), if any) will be limited recourse debt obligations of the
Issuer, secured by the Collateral.
"Collateral"
The Notes will be secured in favour of the Trustee for the benefit of the
secured parties by security over:
(a)
the Portfolio Collateral and Eligible Investments purchased by the
Issuer;
(b)
the Accounts of the Issuer (including, but not limited to, the
Reinvestment Account, the Principal Collections Account, the
Interest Collections Account, the Uninvested Proceeds Account, the
Revolving Reserve Account and the Performance Fee Account);
and
(c)
an assignment by way of security of various of the Issuer’s other
rights and certain of the agreements described herein or related
thereto.
"Issue Date"
10 July 2008.
"Reinvestment
Period"
A period of approximately 4 years concluding on 31 July 2012 (unless
extended pursuant to an Auction Call Extension).
"Interest"
The Series 1 Participating Notes do not have a specified rate of interest.
Interest shall be payable in respect of the Series 1 Participating Notes on
an available funds basis in arrears on each Distribution Date and shall
continue to be so payable in accordance with the Priorities of Payment
notwithstanding the redemption in full of any Series 1 Participating Notes
at their applicable Redemption Prices.
Interest will cease to be payable in respect of each Series 1 Participating
Note upon the date that all of the Collateral has been realised and no
6
Interest Proceeds or Principal Proceeds remain available for distribution in
accordance with the Priorities of Payment. If the aggregate of income and
gains earned by the Issuer during an accounting period exceeds the costs
and expenses of the Issuer for that accounting period, such excess shall
accrue as additional interest on the Series 1 Participating Notes but such
excess amount shall only be payable as interest on the Series 1
Participating Notes on any Distribution Date after payment in full of all
amounts payable by the Issuer pursuant to the relevant Priorities of
Payment on such Distribution Date.
"Prescription"
"Auction Call"
"Auction Call
Extension"
Claims against the Issuer for payment in respect of the Series 1
Participating Notes, receipts and coupons (which, for this purpose, shall not
include talons) shall be prescribed and become void unless made within 10
years (in the case of principal) or five years (in the case of interest) from
the appropriate relevant payment date in respect thereof.
On the expiry of the Reinvestment Period, the Manager will use
commercially reasonable efforts to arrange the sale of the Portfolio in
accordance with the provisions of Collateral Management Agreement. The
Manager will solicit bids for the Portfolio from at least two bona fide bidders
as described below. The Manager and its affiliates, along with entities for
whom the Manager acts as investment manager, will be entitled to bid for
the Portfolio in whole or in part, subject to certain conditions.
By notice to the Issuer prior to the expiry of the Reinvestment Period,
Participating Noteholders holding at least 80% in aggregate principal
amount of the Series 1 Participating Notes then outstanding may extend
the Reinvestment Period for further periods of up to two years, subject to
any such extension of the Reinvestment Period expiring no later than 31
July, 2014.
In addition, the Manager may request the Noteholder Committee to
consider a request to postpone the auction call upon the expiry of the
Reinvestment Period, which such postponement would require the
approval of a majority of the Noteholder Committee provided always that
the Noteholder Committee will have been considered to have approved the
request for postponement which is referred to it and to which it does not
respond within 10 Business Days of written notification thereof pursuant to
the terms of the Collateral Management Agreement.
"Optional
Redemption"
The Series 1 Participating Notes may be redeemed by way of optional
redemption by the Issuer, in whole but not in part, from the proceeds of
liquidation or realisation of the Collateral:
(a) at the Manager’s sole discretion; and
(b) upon the occurrence of certain tax events including inter alia, where the
Issuer is finally determined for United Kingdom tax purposes to be resident
in the United Kingdom or carrying on a trade through a United Kingdom
permanent establishment and therefore subject to United Kingdom
corporation tax on profits of that trade.
7
"Redemption Date"
"Further Issuance of
Series 1 Participating
Notes"
The earlier to occur of:
(a)
31 July 2015;
(b)
the redemption in full of the Series 1 Participating Notes by way of
Optional Redemption or the redemption following the end of the
Reinvestment Period as described herein; and
(c)
the date of the realisation of the security over the Collateral in the
event that the Series 1 Participating Notes are accelerated
following the occurrence of an Event of Default.
Subject to approval by 80% in aggregate principal amount of the
Participating Noteholders, additional tranches of the Series 1 Participating
Notes may be issued, and the Issuer will use the proceeds thereof to
(amongst other things) purchase additional Portfolio Collateral.
The Participating Noteholders shall have pre-emption rights in relation to
any further issuance of tranches of the Series 1 Participating Notes.
"Repurchase of
Series 1 Participating
Notes"
"Event of Default"
The Issuer, at the discretion of the Manager, may repurchase or redeem up
to 15% of the aggregate initial principal amount of the Series 1 Participating
Notes on the open market provided that such repurchase or redemption is
made at a price less than the then current net asset value as calculated by
the Calculation Agent pursuant to the terms of the Calculation Agency
Agreement. Any Series 1 Participating Notes so repurchased shall be
cancelled.
the occurrence of any of the following events shall constitute an Event of
Default:
(i)
Non-Payment of Interest: failure by the Issuer to pay any interest
amounts on the Series 1 Participating Notes when the same becomes due
and payable or the Issuer fails to pay any interest on the Senior Funding
Notes (if any) when the same becomes due and payable;
(ii)
Non-Payment of Principal: failure by the Issuer to pay any
principal when the same becomes due and payable on any of the Notes
provided that, in each case, such failure to pay such amount continues for a
period of 5 Business Days;
(iii)
Default under Priorities of Payment: failure by the Issuer to
disburse, out of amounts available in the Payment Account, any other
amount in accordance with the Priorities of Payment and which failure
(save for such failure as described in paragraphs (i) and (ii) above)
continues for a period of at least 10 Business Days;
(iv)
Breach of Other Obligations: breach of any other obligations of
the Issuer under the Notes or under any Transaction Document to which
the Issuer is a party (other than a covenant, warranty or other default, in the
performance or breach of which is dealt with elsewhere under this definition
of “Event of Default”) which continues for 30 Business Days after the
Trustee has given written notice of it to the Issuer, certifying that the default
is, in its opinion, materially prejudicial to the interests of the holders of the
Senior Funding Notes (if any) or, following redemption in full of the Senior
8
Funding Notes (if any), the holders of the Series 1 Participating Notes at
such time;
(v)
Insolvency Proceedings: proceedings are initiated against the
Issuer under any applicable liquidation, insolvency, examination,
bankruptcy, composition, reorganisation or other similar laws (together,
“Insolvency Law”), or a receiver, trustee, administrator, administrative
receiver, examiner, custodian, conservator or other similar official (a
“Receiver”) is appointed in relation to the Issuer or in relation to the whole
or a substantial part of the undertaking or assets of the Issuer; or a windingup petition is presented in respect of, or a winding-up order is applied for, or
a distress or execution or other process is levied or enforced upon or sued
out against the whole or a substantial part of the undertaking or assets of
the Issuer and in any of the foregoing cases except in relation to the
appointment of a Receiver, is not discharged within twenty Business Days;
or the Issuer becomes or is, or could be deemed by law or a court to be,
insolvent or bankrupt or unable to pay its debts when due, or initiates or
consents to proceedings relating to itself under any applicable Insolvency
Law, or seeks the appointment of a Receiver, or makes a conveyance or
assignment for the benefit of its creditors generally or otherwise becomes
subject to any reorganisation or amalgamation (other than on terms
previously approved in writing by the Trustee) or the Issuer becomes
subject to a moratorium or other similar procedure; or
(vi)
Illegality: it is or will become unlawful for the Issuer to perform or
comply with any one or more of its material obligations under the Series 1
Participating Notes.
"Governing Law"
"Listing"
"Ratings"
"Clearing"
"Eligible Purchasers"
Irish law
Irish Stock Exchange
None
Euroclear and Clearstream
The Series 1 Participating Notes will be offered outside of the United States
to non-U.S. Persons (as defined in Regulation S under the Securities Act)
in “offshore transactions” in reliance on Regulation S.
FEES AND
EXPENSES:
"Initial Fee"
"Annual Fee"
"Performance Fee"
An Initial Fee of €250,000 will be payable to the Manager.
An Annual Fee of 1.25% per annum of the initial principal amount issued of
the Series 1 Participating Notes (including, for the avoidance of doubt, the
initial principal amount of any Series 1 Participating Notes issued after the
Issue Date) will be payable to the Manager. Annual fees are to be paid
quarterly in arrears.
A Performance Fee of 20% of all amounts available to be distributed to
Participating Noteholders after the Benchmark Return has been reduced to
9
zero.
The amount payable in relation to the Performance Fee shall be paid in
accordance with the Priority of Payments into the Performance Fee
Account on each Distribution Date.
On any Distribution Date (including the Redemption Date) on which the
amounts on deposit in the Performance Fee Account (excluding interest
accrued thereon) exceed the amount of the Performance Fee calculated as
of such date, the excess shall be withdrawn from the Performance Fee
Account and paid to the Interest Collections Account.
On the Redemption Date, the Performance Fee shall be paid to the
Manager from amounts on deposit in the Performance Fee Account.
The “Benchmark Return” shall be a notional amount (which may not be
less than zero) equal to:
(1) on the Issue Date, the initial aggregate principal amount of the Series 1
Participating Notes;
(2) on the first Distribution Date, equal to the initial aggregate principal
amount of the Series 1 Participating Notes (i) increased by one month
Euribor thereon for the period from the Issue Date to such Distribution
Date, compounded monthly and (ii) reduced by all distributions of principal
or interest made to holders of the Series 1 Participating Notes under the
Priority of Payments on such Distribution Date; and
(3) on all subsequent Distribution Dates, an amount equal to the
Benchmark Return determined on the immediately preceding Distribution
Date, (i) increased by one month Euribor thereon for the period from the
preceding Distribution Date to such Distribution Date, compounded monthly
and (ii) reduced by all distributions of principal or interest made to holders
Series 1 Participating Notes under the Priority of Payments on such
Distribution Date.
For the purposes of calculating the Benchmark Return, (i) all distributions
to Noteholders on any Distribution Date shall be deemed applied firstly to
accrued uncompounded Euribor on the notional amount, and then to the
notional amount.; and (ii) one month Euribor shall be reset on the last day
of each month, modified in accordance with the Modified Following
Business Day Convention, except that one month Euribor for the period
from the Issue Date until 15 August 2008 shall be 4.448 percent per
annum.
In the event that additional tranches of Series 1 Participating Notes are
issued, the Performance Fee in respect thereof for each such additional
tranche of Series 1 Participating Notes, if any, will be calculated separately
from those of the initial Series 1 Participating Notes.
"Initial set up
Expenses"
Borne by the Manager.
THE PORTFOLIO:
"Portfolio"
The Portfolio Collateral and Eligible Investments held by or on behalf of
the Issuer from time to time.
10
“Portfolio Collateral”
"Use of Proceeds"
“Ramp-Up Period”
“Ramp-Up Date”
"Leverage"
The diversified pool of Collateral Debt Securities purchased by the
Issuer (or on its behalf) on the Issue Date and from time to time
thereafter.
The net proceeds from the issuance of the Notes on the Issue Date
after payment of applicable fees and expenses are expected to be
approximately €143,300,000 (the “Issue Proceeds”). Such proceeds
will be deposited in the Principal Collections Account for transfer to the
Uninvested Proceeds Account.
The period beginning on the Issue Date and ending on, but excluding,
the Ramp-up Date.
The date falling on the first anniversary of the Issue Date (or, if such
day is not a Business Day, the next succeeding Business Day).
The Issuer may, with the Manager’s approval, issue a class of notes or
loans which will be senior to the Series 1 Participating Notes and secured
on the Portfolio on a limited recourse basis (the "Senior Funding Notes",
and, together with the Series 1 Participating Notes, the "Notes").
The aggregate principal amount of the Senior Funding Notes will not
exceed 66% of the nominal value of the assets comprising the Portfolio
immediately following the issuance of the Senior Funding Notes.
The minimum term of the Senior Funding Notes shall be the shorter of (i)
24 months and (ii) the period from issuance to the occurrence of the
Redemption Date, whichever is shorter. The Senior Funding Notes shall be
repayable out of the proceeds of (a) the realisation of the Portfolio or (b) if
such Senior Funding Notes mature prior to the Redemption Date, the
issuance of further Senior Funding Notes.
No Senior Funding Notes will be issued on the Issue Date. Senior Funding
Notes issued subsequently shall be offered initially to the Participating
Noteholders pro rata to their holdings of the Series 1 Participating Notes.
Any Senior Funding Notes not thereby subscribed may be placed by the
Arranger with other investors. There is no assurance that the Arranger will
be successful in arranging the placement of the Senior Funding Notes on
behalf of the Issuer or the refinancing of Senior Funding Notes at maturity
thereof and the Issuer is not at any time obliged to issue Senior Funding
Notes.
Subject as provided above, the terms and conditions of the Senior Funding
Notes, if any, issued by the Issuer shall be determined in the Manager’s
sole discretion provided that, solely to the extent that the proposed terms
thereof provide for a spread in excess of 200 basis points over Euribor, the
approval of the Noteholder Committee (as defined below) shall be required
as a pre-condition to such issuance of Senior Funding Notes.
"Currency Hedging"
"Interest Rate
Hedging"
The Issuer will be required to hedge the expected cashflows from non-Euro
denominated Collateral Debt Securities through vanilla currency swaps,
balance guaranteed currency swaps or portfolio level currency hedges or
otherwise as the Manager may determine in its sole discretion.
Fixed rate Collateral Debt Securities (and floating rate Collateral Debt
Securities where the applicable reset period for such Collateral Debt
11
Securities is longer than one year) shall be swapped to Euribor pursuant to
the terms of interest rate hedge agreements, the terms of which shall be
determined in the Manager's sole discretion.
"Credit Hedging"
"Reporting"
The Issuer may write credit protection on asset backed securities ("ABS")
up to an amount equal to 10% of the initial aggregate principal amount of
the Notes. The Issuer may buy credit protection up to an amount equal to
25% of the initial aggregate principal amount of the Notes. Any ABS the
subject of such Credit Hedging arrangements shall satisfy the Eligibility
Criteria save to the extent that references thereunder to "purchased" shall
be construed as "becoming subject to the terms of such Credit Hedging
arrangements" and as may otherwise be provided under the Eligibility
Criteria.
On a monthly basis the Calculation Agent will provide a report in the form
set out under “Form of Monthly Report” in the attached Appendix 2 (the
“Monthly Report”).
On a quarterly basis the Manager will provide a report (the “Payment Date
Report”) stating the aggregate non-default cash flow projection of the
Portfolio.
It is expected that a market price service, such as MarkiT or Euroabs,
will be utilised for reporting. In the event that such a service is not
available the Calculation Agent or, as the case may be, the Manager
may use theoretical models or the original asset price when valuing a
Collateral Debt Security. Investors should note that such prices may not
be representative on the realisation of the Portfolio. The Calculation
Agent or, as the case may be, the Manager shall have the right to change
the way Monthly Reports and Payment Date Reports are distributed in
order to make such distribution more convenient and/or more
accessible to the above parties (provided that, for so long as the Series
1 Participating Notes are listed on the Irish Stock Exchange, such
distributions will comply with any applicable rules thereof) and the
Calculation Agent or, as the case may be, the Manager shall provide
timely and adequate notification to all above parties regarding any such
changes. In no event will the Calculation Agent, the Manager or the Cash
Manager be liable for any dissemination of reports required hereunder
and investors should note that such reports are for information
purposes only and, accordingly, neither the Calculation Agent, the
Manager nor the Cash Manager shall make any representation or
warranty or otherwise bear any liability of any kind in connection with
any such reports.
12
Priorities of Payment:
"Interest Waterfall"
The Cash Manager shall direct, on behalf of the Issuer, on each
Distribution Date the disbursement of Interest Proceeds and Principal
Proceeds transferred to the Payment Account (other than amounts
representing collateral posted by any Currency Hedge Counterparty to the
extent that such amounts have not been released to the Issuer pursuant to
the terms of the relevant Currency Hedge Agreement) on the Business Day
prior thereto, in accordance with the following Priorities of Payment as
calculated by the Calculation Agent pursuant to the terms of the Calculation
Agency Agreement on each Determination Date.
On each Distribution Date, Interest Proceeds shall be applied in the
following order of priority (the “Interest Waterfall”):
(A)
to the payment of:
(i) any taxes owed by the Issuer to the Irish tax authorities required
to be paid by the Issuer; and
(ii) thereafter, (x) accrued and unpaid Administrative Expenses and
(y) on a pari passu and pro rata basis of Trustee and Agents Fees
and Expenses, in each case plus any value added tax thereon, if
applicable;
(B)
to the payment of the Annual Fee due and payable (plus any value
added tax thereon (if applicable) on such Distribution Date
(including any Annual Fee (plus any value added tax thereon (if
applicable) not paid on any prior Distribution Date);
(C)
to the payment on a pari passu and pro rata basis of termination
payments payable to any Swap Counterparty under any applicable
Swap Agreement arising other than as a result of (a) an event of
default under any such Swap Agreement for which the applicable
Swap Counterparty is the defaulting party or (b) a termination event
under any Swap Agreement for which the applicable Swap
Counterparty is the sole Affected Party (as defined in the applicable
Swap Agreement);
(D)
to the payment of interest due and payable in respect of the Senior
Funding Notes (if any) in relation to the Interest Accrual Period
ending prior to such Distribution Date, pro rata;
(E)
to the extent not paid under paragraph (B) of the “Principal
Waterfall”, to the payment of principal due and payable in respect of
the Senior Funding Notes on such Distribution Date, pro rata;
(F)
in the sole discretion of the Manager (acting on behalf of the
Issuer), to the payment to the Principal Collections Account of an
amount equal to any investment losses or shortfalls (as determined
by the Manager) incurred on the Portfolio during the Interest
Accrual Period ending prior to such Distribution Date;
(G)
to the payment to the Principal Collections Account of an amount
equal to any amounts paid pursuant to paragraph (A) of the
“Principal Waterfall” on any preceding Distribution Date to the
13
extent not previously reimbursed under this paragraph (G);
"Principal Waterfall"
(H)
prior to the conclusion of the Reinvestment Period, at the sole
discretion of the Manager (acting on behalf of the Issuer), in
payment to the Reinvestment Account;
(I)
to the payment, pari passu and on a pro rata basis, of the cost of (i)
entry into any Replacement Swap Agreement to the extent not paid
out of termination payments received by the Issuer on termination
of an existing Swap Agreement and (ii) any termination payments
payable to a Swap Counterparty under an applicable Swap
Agreement as a result of (a) an event of default under such Swap
Agreement for which the Swap Counterparty is the defaulting party
or (b) a termination event under a Swap Agreement for which the
Swap Counterparty is the sole Affected Party (as defined in the
applicable Swap Agreement);
(J)
to the payment to the Performance Fee Account of an amount
equal to (i) the Performance Fee (if any) calculated as of such
Distribution Date (plus any value added tax thereon (if applicable)
less (ii) the amount of funds on deposit in the Performance Fee
Account on such Distribution Date prior to such payment; and
(K)
to the payment of all remaining amounts as interest on the Series 1
Participating Notes on a pro rata basis (determined upon
redemption in full thereof by reference to the proportion that the
principal amount of the Series 1 Participating Notes bore to the
principal amount outstanding of the Series 1 Participating Notes
immediately prior to the redemption thereof).
On each Distribution Date, Principal Proceeds shall be applied in the
following order of priority (the “Principal Waterfall”):
(A)
to the payment of the amounts referred to in paragraphs (A) to (D)
(inclusive) of the Interest Waterfall in the priority set out therein and
to the extent not paid in full thereunder;
(B)
to the payment of principal of the Senior Funding Notes (if any) due
and payable on such Distribution Date on a pro rata basis;
(C)
prior to the conclusion of the Reinvestment Period, at the sole
discretion of the Manager (acting on behalf of the Issuer), in
payment to the Reinvestment Account;
(D)
to the payment to the Interest Collections Account of an amount
equal to any amounts paid pursuant to paragraph (E) of the
Interest Waterfall on any preceding Distribution Date to the extent
not previously reimbursed under this paragraph (D);
(E)
in the sole discretion of the Issuer (acting on the advice of the
Manager), to the prepayment of the Senior Funding Notes (if any),
until redeemed in full;
(F)
to the payment to the Interest Collections Account of an amount
14
equal to the aggregate of any amounts paid pursuant to paragraph
(H) of the Interest Waterfall on any preceding Distribution Date to
the extent not previously reimbursed under this paragraph (F);
(G)
to the payment of the amounts referred to in paragraphs (I) and (J)
(inclusive) of the Interest Waterfall in the priority set out therein and
to the extent not paid in full thereunder;
(H)
on each Distribution Date falling on or after the expiry of the
Reinvestment Period and each Distribution Date thereafter, to
redeem the Series 1 Participating Notes in whole in part on a pro
rata and pari passu basis, until redeemed in full; and
(I)
on the Redemption Date, to the payment of all remaining amounts
as interest on the Series 1 Participating Notes on a pro rata basis
(determined upon redemption in full thereof by reference to the
proportion that the principal amount of the Series 1 Participating
Notes bore to the principal amount outstanding of the Series 1
Participating Notes immediately prior to the redemption thereof).
Prospective investors are advised that it is anticipated that payments
of principal and interest on the Series 1 Participating Notes and the
Performance Fee will be made primarily on the Redemption Date in
connection with the realisation of the Portfolio.
THE ACCOUNTS OF
THE ISSUER
The Issuer shall, prior to the Issue Date, establish accounts with BNP
Paribas Securities Services, Luxembourg branch (the “Account Bank”)
and may in addition establish such currency accounts as may be required
from time to time in connection with the acquisition of non-Euro
denominated Collateral Debt Securities (collectively, the “Accounts”).
The Issuer, at the direction of the Manager, may invest the balances
standing to the credit of the Accounts in Eligible Investments from time to
time.
The Issuer will establish the Accounts as follows with the parties specified,
each of which shall be governed in accordance with the provisions of the
Cash Management Agreement:
(i)
an interest bearing account (“Interest Collections Account”) held
with the Account Bank to which Interest Proceeds are to be transferred
promptly upon receipt thereof. Payments are to be made from the Interest
Collections Account to the Payment Account by the Cash Manager as
directed by the Calculation Agent;
(ii)
an interest bearing account (“Principal Collections Account”)
held with the Account Bank to which Principal Proceeds are to be
transferred promptly upon receipt thereof. Payments are to be made from
the Principal Collections Account to the Payment Account by the Cash
Manager as directed by the Calculation Agent;
(iii)
An interest bearing account (“Payment Account”) held with the
Account Bank. Payments are to be made from the Payment Account in
accordance with the Priorities of Payment by the Cash Manager as
directed by the Calculation Agent;
15
(iv)
An interest bearing account ("Reinvestment Account") held with
the Account Bank. Amounts standing to the credit of the Reinvestment
Account may be applied to (i) the purchase of Collateral Debt Securities
and of Eligible Investments, (ii) at the discretion of the Issuer, in
prepayment of the Senior Funding Notes, if any and/or (iii) in payment to
the Payment Account for distribution as Principal Proceeds pursuant to the
Priorities of Payment or in transfer to the Interest Collections Accounts (in
reimbursement of previous transfers from that account);
(v)
An interest bearing account (“Revolving Reserve Account”) held
with the Account Bank into which amounts equal to the Unfunded Amounts
in respect of Revolving Collateral Debt Securities acquired by (or on behalf
of) the Issuer and certain principal payments received in respect of
Revolving Collateral Debt Securities are paid. The Issuer shall only
withdraw amounts from the Revolving Reserve Account to the extent that
(a) the Issuer is obliged pursuant to the terms of an applicable Revolving
Collateral Debt Security to make payment of all or part of the applicable
Unfunded Amount pursuant to the terms thereof or (b) such Revolving
Collateral Debt Security has been sold or otherwise disposed of by the
Issuer, redeemed in full by the underlying obligor thereof or otherwise,
pursuant to the terms of such Revolving Collateral Debt Security, the
Issuer is unconditionally no longer subject to an obligation to advance
Unfunded Amounts to the underlying obligor of such Revolving Collateral
Debt Security pursuant to the terms thereof;
(vi)
An interest bearing account (“Uninvested Proceeds Account”)
held with the Account Bank to which the proceeds of issuance of the
Series 1 Participating Notes and the Senior Funding Notes (if any) are to
be transferred following their initial deposit in the Principal Collections
Account. Payments are to be made from the Uninvested Proceeds
Proceeds Account to the Reinvestment Account by the Cash Manager as
directed by the Manager;
(vii)
An interest bearing account (“Performance Fee Account”) held
with the Account Bank to which the Performance Fee (if any) shall be paid
on any Distribution Date (save for the Redemption Date) pursuant to the
Priority of Payment. Payments of the balance standing to the credit of the
Performance Fee Account (and interest accrued thereon) are to be made
from the Performance Fee Account to the Manager in accordance with
“Performance Fee”, above.
16
3
Acquisitions and Disposals, Portfolio Eligibility Criteria and Concentration
Limitations
Acquisition and Disposal of Collateral Debt Securities
3.1
Acquisition Requirements
Any acquisition of a Collateral Debt Security by the Manager on behalf of the Issuer will be subject to
the requirements that:
(a)
such Collateral Debt Security satisfies the Eligibility Criteria and the Concentration Limits are
satisfied, maintained or improved as a result of the purchase of such Portfolio Collateral;
(b)
no Event of Default shall have occurred and be continuing, provided that the Manager may
acquire a Collateral Debt Security on behalf of the Issuer, subject to and in accordance with
the terms of the Collateral Management Agreement, which is the subject of a commitment
entered into prior to the receipt of notice by the Manager of the occurrence of an Event of
Default;
(c)
the Manager is not prohibited from trading in such Collateral Debt Security in accordance with
applicable law;
(d)
such Collateral Debt Security is a “qualifying asset” for the purposes of section 110 of the Irish
Taxes Consolidation Act, 1997;
(e)
such acquisition is made on an “arm’s length” basis and for fair market value; and
(f)
there are sufficient funds standing to the credit of the Reinvestment Account, the Principal
Collection Account or the Interest Collections Account (to the extent a transfer would be made
to the Reinvestment Account on the next Distribution Date to fund the acquisition of that asset
(including in the case of a Revolving Collateral Debt Obligation, to fund the deposit of the
required Revolving Reserve Account Amount).
3.2
Discretionary Disposal
Subject to the terms of the Collateral Management Agreement, the Manager may dispose of any
Collateral Debt Security at any time during the Reinvestment Period.
3.3
Disposal Following Optional Redemption of the Notes
Following the issue of any notice of an optional redemption of the Notes in accordance with the terms
and conditions of the Series 1 Participating Notes, the Manager, acting on behalf of the Issuer, shall,
on behalf of the Issuer, dispose or cause the disposal of the Collateral Debt Securities and/or Eligible
Investments in the open market or otherwise, provided that:
(a)
the Sale Proceeds therefrom are used to pay all amounts as the case may be, to redeem the
Notes (in whole but not in part) and to pay all amounts ranking in priority thereto in
accordance with the Priorities of Payments; and
(b)
following receipt of such notifications from the Calculation Agent pursuant to Clause 10
(Realisation of Collateral) of the Calculation Agency Agreement the Manager shall, at least 5
Business Days before the proposed Redemption Date, on behalf of the Issuer, have certified
to the Trustee (who shall rely on such certification without further enquiry) in form satisfactory
to the Trustee that the Manager (on behalf of the Issuer) has entered into a binding
agreement or agreements to sell or otherwise dispose of, not later than the Business Day
immediately preceding the proposed Redemption Date, upon the payment in immediately
available funds, all or part of the Portfolio and that the net proceeds of the sale thereof,
Error! Unknown document property name.
together with amounts realisable from Eligible Investments maturing on or prior to the
proposed Redemption Date and amounts standing to the credit of the Accounts, is at least
equal to the principal amount outstanding of the Notes plus, in the case of the Senior Funding
Notes (if any), accrued interest thereon together with any amounts payable in seniority thereto
pursuant to the Priorities of Payment; and
(c)
notify the Issuer (who shall procure that notice thereof is given to the Noteholders pursuant to
Condition 18 (Notices)), the Cash Manager and the Trustee that the conditions of paragraph
(b) above have (or have not) been satisfied (as the case may be).
Upon any sale of all or any part of the Portfolio for the purposes of this paragraph 3 (Disposal
Following Option Redemption of the Notes), the Manager shall forward an Issuer Order to the Trustee
pursuant to which the Trustee shall (in reliance on such Issuer Order and without liability in respect of
any loss occasioned thereby or further enquiry) release the relevant Portfolio Collateral pursuant to
the terms of the Trust Deed and the Manager shall direct that the Sale Proceeds thereof are credited
to the Payment Account for application in redemption of the Notes.
The Manager shall only sell any Portfolio Collateral pursuant to this paragraph 3 (Disposal Following
Optional Redemption of the Notes) at a price which it reasonably believes to be close to the highest
available price (at such time as the price is negotiated and having regard to all of the circumstances
then persisting in the market or otherwise) for such Portfolio Collateral.
3.4
Disposal following Conclusion of the Reinvestment Period
Following the conclusion of the Reinvestment Period, the Manager on behalf of the Issuer shall use
all commercially reasonable efforts to procure the liquidation of the Portfolio of Collateral Debt
Securities and Eligible Investments so that the proceeds thereof are available in immediately
available funds not later than one Business Day prior to the scheduled Redemption Date.
3.5
Enforcement of Security
Upon receipt of notification from the Trustee of the enforcement by the Trustee of the security over
the Portfolio Collateral following the occurrence of an Event of Default, the Manager shall, if so
instructed by the Trustee in accordance with the Collateral Management Agreement, realise the
Portfolio to the extent required by the Trustee and at the direction of the Trustee.
3.6
Revolving Collateral Debt Securities
The Manager (acting on behalf of the Issuer) may from time to time acquire Collateral Debt Securities
which are Revolving Collateral Debt Securities.
Each Revolving Collateral Debt Security will, pursuant to its terms, require the Issuer to make one or
more future advances in Euro. Such Revolving Collateral Debt Securities may provide that it may be
repaid and reborrowed from time to time by the obligor thereunder. Upon acquisition of any
Revolving Collateral Debt Security, the Issuer shall deposit into the Revolving Reserve Account and
shall maintain therein from time to time the an amount equal to the aggregate principal amounts of the
Unfunded Amounts under each of the Revolving Collateral Debt Securities (the “Revolving Reserve
Account Amount“). To the extent required under the terms of any Revolving Collateral Debt
Security, the Manager (acting on behalf of the Issuer) may direct that amounts standing to the credit
of the Revolving Reserve Account be deposited with a third party from time to time as collateral in
respect of the obligations of the Issuer to the obligor under the applicable Revolving Collateral Debt
Security and upon receipt of an Issuer Order the Trustee shall release such amounts from the
security granted thereover pursuant to the Trust Deed.
The Issuer shall not make a withdrawal of any amount comprising the Revolving Reserve Account
Amount from the Revolving Reserve Account save to the extent that (a) the Issuer is obliged pursuant
to the terms of an applicable Revolving Collateral Debt Security to make payment of all or part of the
applicable Unfunded Amount pursuant to the terms thereof or (b) the elected Revolving Collateral
Debt Security has been sold or otherwise disposed of by the Issuer, redeemed in full by the
18
underlying obligor thereof or otherwise, pursuant to the terms of such Revolving Collateral Debt
Security, the Issuer is unconditionally no longer subject to an obligation to advance Unfunded
Amounts to the underlying obligor of such Revolving Collateral Debt Security pursuant to the terms
thereof.
3.7
Collateral Debt Security Eligibility Criteria
Each Collateral Debt Security (and any Reference Obligation relating to any Credit Default Swap save
to the extent that references to "purchased" in connection with a Reference Obligation shall be
construed as "becoming subject to the terms of such Credit Hedging arrangements") shall, as at the
date of acquisition by the Issuer thereof, be required to satisfy each of the Eligibility Criteria
(collectively, the “Eligibility Criteria”) (and any other criteria which the Noteholder Committee may
agree with the Manager from time to time) set out below:
(a)
it is a Collateral Debt Security;
(b)
it is denominated in euro and is not convertible into or payable in any other currency or, if not
denominated in euro, is denominated in the lawful currency of any European Economic Area
Country, Swiss Francs, U.S. Dollars, Canadian Dollars, New Zealand Dollars or Australian
Dollars that will be hedged pursuant to a Currency Hedge Agreement;
(c)
it is an obligation issued by an issuer incorporated or organised under the laws of the United
States, the Cayman Islands, Jersey, Australia, Singapore, Hong Kong, New Zealand, the
British Virgin Islands, Bermuda, Guernsey, Canada, Switzerland or a member state of the
European Union;
(d)
it is an obligation capable of being sold, assigned or participated to the Issuer free of any
encumbrances;
(e)
save for where it is a Revolving Collateral Debt Security, it is not an obligation pursuant to
which future advances may be required to be made by the Issuer;
(f)
upon acquisition, it is an obligation capable (or in the case of a Reference Obligation the
subject of Credit Hedging arrangements, the related Credit Default Swap is capable) of being,
and will be, the subject of a first fixed charge or first priority security interest in favour of the
Trustee for the benefit of the Secured Parties pursuant to the Trust Deed;
(g)
it is not, at the time it is purchased, known to the Manager (after making all reasonable
enquiries) to be an obligation the acquisition of which by the Issuer will result in a breach of
applicable selling restrictions or a breach of contractual restriction on transfer;
(h)
it will not result in the imposition of any present or future, actual or contingent, monetary
liabilities or obligations on the Issuer (other than with respect to Revolving Collateral Debt
Securities);
(i)
it is not an obligation which at the time of purchase, is the subject of an offer of exchange,
conversion or tender by its obligor, for securities or any other type of consideration (other than
cash);
(j)
it is not a US asset-backed security, nor does the underlying portfolio thereof comprise
entirely or substantially of US asset-backed securities;
(k)
it is not an obligation convertible into equity at the option of the obligor thereof; and
(l)
it is a qualifying asset (as defined in Section 110 of the Irish Taxes Consolidation Act, 1997).
The failure by any Collateral Debt Security to satisfy the Eligibility Criteria at any time after its
acquisition shall not cause any obligation which would otherwise be a Collateral Debt Security not to
be a Collateral Debt Security so long as such obligation was a Collateral Debt Security satisfying the
Eligibility Criteria when purchased by or on behalf of the Issuer or, if earlier, the Issuer (or the
Manager on behalf of the Issuer) enters into a binding commitment to acquire such Collateral Debt
Security.
19
3.8
Concentration Limitations
The Issuer, upon the recommendation of the Manager pursuant to the terms of the Collateral
Management Agreement, may purchase Portfolio Collateral only if the following criteria (collectively,
the “Concentration Limitations”) are satisfied, maintained or improved as a result of the purchase of
such Portfolio Collateral on the day of purchase of such Portfolio Collateral:
(a)
the acquisition value of fixed rate Collateral Debt Securities comprised in the Portfolio shall
not exceed 20% of the aggregate acquisition value of the Portfolio;
(b)
the acquisition value of Collateral Debt Securities originated or serviced by a single originator
comprised in the Portfolio shall not exceed 20% of the aggregate acquisition value of the
Portfolio;
(c)
the weighted average life of the Portfolio shall not exceed 8 years weighted by the
acquisition value of the Collateral Debt Securities comprised in the Portfolio;
(d)
the minimum number of obligors of Collateral Debt Securities comprised in the Portfolio shall
be 10;
(e)
the acquisition value of Collateral Debt Securities of any one single obligor comprised in the
Portfolio shall not exceed 10% of the aggregate acquisition value of the Portfolio.
(f)
the acquisition value of Collateral Debt Securities comprised in the Portfolio with more than
an exposure of 10 per cent. or more to US asset-backed securities comprised in the Portfolio
shall not exceed 0.0% of the aggregate acquisition value of the Portfolio;
(g)
the acquisition value of Collateral Debt Securities comprised in the Portfolio issued by an
issuer incorporated or organised under the laws of a country that is not a member state of the
European Union shall not exceed 10% of the aggregate acquisition value of the Portfolio;
(h)
the acquisition value of Collateral Debt Securities which are not rated by any of Moody's,
Fitch or S&P shall not to exceed 10% of the aggregate acquisition value of the Portfolio;
(i)
the aggregate principal amount of Reference Obligations on which the Issuer writes credit
protection pursuant to the terms of Credit Default Swaps may not exceed 10% of the initial
aggregate principal value of the Notes; and
(j)
the aggregate principal amount of Reference Obligations on which the Issuer buys credit
protection pursuant to the terms of Credit Default Swaps may not exceed 25% of the initial
aggregate principal value of the Notes.
The Calculation Agent will measure the Concentration Limitations on each Measurement Date from
and including the Ramp-up Date. For the purposes of measuring the Concentration Limitations, the
Issuer’s exposure under any net long Credit Default Swaps will be deemed to be the nominal amount
outstanding of the relevant Reference Obligation in respect of such Credit Default Swap.
Notwithstanding the foregoing, the Portfolio may not satisfy the aforementioned Concentration
Limitations to the extent that the Noteholder Committee confirm such exceptions.
3.9
Other Matters Relating to the Eligibility Criteria and the Concentration Limitations
In connection with the above calculations, the Issuer, the Manager, the Calculation Agent, the Cash
Manager and the Trustee may rely exclusively on reports relating to any Collateral Debt Security
delivered to the Issuer, the Manager or the Trustee by the underlying issuer or obligor, trustee,
servicer or collateral manager of such Collateral Debt Security.
For the avoidance of doubt if the Issuer has previously entered into a commitment to acquire an
obligation or security for inclusion in the Portfolio then the Issuer need not comply further with any of
the Eligibility Criteria or Concentration Limitations on the date of such acquisition if the Issuer
complied with each of the Eligibility Criteria and Concentration Limitations on the trade date on which
the Issuer entered into such commitment.
20
For the purpose of confirming compliance with the Eligibility Criteria and the Concentration
Limitations, the conversion into euro of the Principal Balance of any Collateral Debt Security in any
currency other than euro shall be deemed to be made at the rate of exchange applicable under the
relevant Currency Hedge Agreement or if with respect to such Collateral Debt Security, no Currency
Hedge Agreement has been executed in relation thereto, the then applicable spot rate of exchange, in
each case, as determined by the Manager in good faith.
4
Investment Opportunity
Investment and Funding Strategy
The investment objective of the Issuer is to capitalise on the recent market disruption in the European
ABS markets. The Issuer's investment strategy will be to seek to buy older Collateral Debt Securities
at discounts which may be afforded by current market conditions and to hold such Collateral Debt
Securities until maturity or disposal by way of sale upon a market recovery.
The Issuer, at the direction of the Manager, will consider other investment situations including
distressed ABS securities where it believes that the likely cashflows from such Collateral Debt
Securities exceed the acquisition price. The Issuer, at the direction of the Manager, will also target
“odd lot” bond sizes, generally consisting of parcels of Collateral Debt Securities with an individual
aggregate principal amount thereof of less than €1,000,000 each which may be available at a
discount driven purely by their comparatively small size.
The Manager may arrange leverage on the Portfolio to enhance returns to investors by issuing Senior
Funding Notes. The Manager does not expect to add leverage until the Portfolio is close to fully
invested and in no event shall leverage 66% of the nominal value of the assets comprising the
Portfolio immediately following the issuance of the Senior Funding Notes. Such leverage is expected
to be medium term in nature with a minimum initial term of two years. No assurance can be given
that the Manager will be able to arrange the issuance of any such Senior Funding Notes.
Purchasers of the Notes will be dependent upon the judgement and ability of the Manager in taking
investment decisions on behalf of the Issuer and as to the exercise of any voting rights or remedies
with respect to the Collateral Debt Securities comprising the Issuer’s Portfolio. No assurance can be
given that the Manager will achieve the investment objectives of the Issuer.
Previous Investment Performance of the Manager
The Manager is the collateral manager of Cavendish Square Funding PLC ("Cavendish 1") and
Cavendish Square Funding 2 Limited ("Cavendish 2”), which are each CDOs of European
mezzanine ABS. Since issuance, the performance of the deals has been as follows:
Cavendish 1
Cavendish 2
Date issuance CDO Coupon Inception
01/02/2006
8.41%
30/08/2007
9.49%
Defaults
Cavendish 1
Cavendish 2
0.00
0.00
Downgrades
to CCC
0.00
0.00
Coupon last year
10.55%
N/A
Upgrade/Downgrade
ratio
2.2x
3.1x
Coupon last period
10.50%
16.42%
Fitch Credit Outlook
ratio
2.8x
5.1x
21
Data as of 31/05/08. The upgrade/downgrade ratios include rating changes by S&P, Fitch and Moody’s which have occurred in the
portfolios since their accumulation started in warehousing stage and include all assets which have been held if the rating change
occurred whilst it was held in the portfolio.
Cavendish 1 and Cavendish 2 have average collateral credit quality of BBB/BBB- and operate with an
average of approximately 95% leverage. The Issuer intends to operate with significantly less leverage
(as described above) and with higher collateral credit quality.
Whilst the above indicates the past performance of Cavendish 1 and Cavendish 2, no assurance
can be given that the Manager will obtain similar performance on the Portfolio for the Issuer in
respect of the issue of the Series 1 Participating Notes or that the objectives of the Issuer will be
achieved.
5
The Manager
Summary
AE Global Investment Solutions Ltd (the "Manager") is an investment manager specialising in ABS,
securitisation and related advisory services.
The Manager was incorporated as a limited liability company in England and Wales on 14 February
2002. The Manager is authorised and regulated under the Financial Services and Markets Act 2000
and has permission by the Financial Services Authority (the “FSA”) to, among others: (i) advise on
investments; (ii) arrange deals in investments; (iii) arrange safeguarding and administration of assets;
(vi) deal in investments as agent; (vii) make arrangements with a view to transactions in investments;
and (viii) manage investments.
The Manager’s ABS experience arises predominantly from the management of various portfolios of
mezzanine European ABS and from involvement of the principals in the structuring and rating of
securitisations across Europe. The Manager manages and supervises over Euro 1,000 million of
predominantly mezzanine European ABS and related reference securities. Its principals have over 35
years of combined experience in the European ABS market and have participated in it since its
beginning.
Personnel of the Manager
As at the date of this Prospectus, the Manager has a team of seven professionals.
Miguel Alcober, Principal
Miguel Alcober incorporated the Manager in 2002 and is a member of its board of directors. Prior to
that, Mr. Alcober was a senior member of the securitisation group of Morgan Stanley in London where
he worked in ABS between 1998 and 2002. Prior to Morgan Stanley, Mr. Alcober worked for JP
Morgan between 1996 and 1998 and for Morgan Stanley’s International Securitisation Group between
1994 and 1996. Mr. Alcober worked as a corporate credit analyst at Bank of America in 1993. Mr.
Alcober’s professional career spans over 10 years of European securitisation, during which he
structured over 20 securitisations.
Mr. Alcober has structured numerous residential mortgage backed securities for debut issuers (such
as BBVA, Bancaja, Caixa Catalunya and Bacob Bank), the first securitisation in Belgium, the first
securitisation by a French corporate, the first European EETC, three Italian non performing loan
securitisations (International Credit Recovery 3, 4 and 5) and the first European stranded cost
securitisation. He was also involved in the rating process for the first non-German covered bond, the
first multi-peril catastrophe bond in Europe and the first European maritime container ABS. Mr.
Alcober holds Licenciado & MBA degrees from ESADE Barcelona (top 10%), CEMS Master Degree
from the University of Cologne (Germany), and as part of this course of study, participated in the
22
International MBA programme of the University of Michigan, Ann Arbor. Mr. Alcober is a Spanish
national and can converse in German, Italian and Swedish.
Richard Stow, Principal
Richard Stow joined the Manager in May 2003 and is a member of its board of directors. Mr. Stow
has worked in the securitisation markets since 1991, initially at Standard & Poor’s as a ratings analyst
(1991-1994) and then from 1994-1997 as one of the two founders of Duff & Phelps Credit Rating in
London (subsequently absorbed into Fitch Ratings). As a ratings analyst, Mr. Stow was initially
responsible for surveillance before moving to lead analyst positions in most sectors of the assetbacked market including RMBS (prime and sub-prime), CMBS, ABS (consumer credit, large lease
portfolios, etc) and CDOs.
Mr. Stow left ratings analysis in 1997 to join Nomura’s principal finance group working primarily on
acquisition financing using both traditional leveraged loans and securitisation. Mr. Stow’s
securitisation responsibilities covered pub companies (including Grand Pub Co., Unique and
Premier), sub-prime mortgages (Kensington and Bluestone) and inventory (such as champagne and
diamonds). Mr. Stow joined Barclays Capital in 2001 as a senior member of the corporate
securitisation team focusing on using securitisation technology to raise efficient finance for corporate
clients in sectors as diverse as pubs, infrastructure and telecoms.
Mr. Stow is a British national. He holds a Bachelors Degree in Biology from Buckingham University
and is a member of the Securities Institute.
John Daly, Principal
John Daly joined the Manager in October 2003 having worked at Morgan Stanley in London between
1992 and 2003. From 1998 to 2003, Mr. Daly worked in the securitisation group of Morgan Stanley in
London. Mr. Daly has also been a director of a number of Morgan Stanley subsidiaries. In particular,
Mr. Daly was a board member of Morgan Stanley Mortgage Servicing Limited, a specialist loan
administration business managing approximately U.S.$10 billion in loan assets.
Prior to joining Morgan Stanley’s securitisation group in 1998, Mr. Daly was a senior manager in the
fixed income controllers group which supported Morgan Stanley's fixed income sales and trading
activities in Europe. Prior to joining Morgan Stanley, Mr. Daly held various finance positions Mr. Daly
is an Irish national. He has a Bachelor's Degree in Commerce (Accounting) awarded by the National
University of Ireland (University College Dublin) and is an associate of the Chartered Institute of
Management Accountants and a member of the Securities Institute.
Esther Ortega
Esther Ortega joined the Manager in March 2004. Prior to joining the Manager, Ms. Ortega worked for
Morgan Stanley in Spain between 1999 and 2004 where she managed a residential mortgage
securitisation team and administered two RMBS funds. Ms. Ortega worked closely with the Morgan
Stanley securitisation group in London and was involved in several securitisation transactions.
Before joining Morgan Stanley, Ms. Ortega worked for Ahorro y Titulización where she participated in
the structuring of two residential mortgage backed securitisation transactions. Ms. Ortega has a
Masters’ degree in Economics and a Masters’ degree in Law by ICADE (E-3).
Rebecca Williams
Ms. Williams joined the Manager in May 2003. Prior to joining the Manager, Ms. Williams worked at
Morgan Stanley from 1999-2003 as Project Co-ordinator and Executive Assistant of the origination
team within the Securitised Products Group in London.
Prior to joining Morgan Stanley, Ms. Williams gained wide experience as a Russian and Italian
language translator for Glencore and Actinvest, as an English trainer at the Polyglot School (Moscow)
and Arlington Language Services (Milan), and personal assistant at New Holland UK .
23
Ms. Williams has a degree in Russian and Italian awarded by the University of Leeds and a MA in
Technical and Specialised Translation (Merit) from the University of Westminster. Ms. Williams is a
British national.
Raju Ahmed
Raju Ahmed joined the Manager in May 2006. His responsibilities include settlements, reconciliation
with collateral administration parties and accounting. Mr. Ahmed has a BA in Accountancy and
Finance from Thames Valley University.
6
Key Person Provisions
The "Key Persons" are Miguel Alcober and Richard Stow. During the Reinvestment Period, the Key
Persons will devote substantially all of their business time to the affairs of the Manager or its affiliates
(whether in a capacity as employee, officers or consultants) and will devote such portion of their time
to the management of the portfolio as is reasonably necessary to properly manage the portfolio. A
failure to comply with this obligation by one of the Key Persons other than by reason of a Temporary
Disability shall be a "Key Person Event", a failure to comply with this obligation by both Key Persons
other than by reason of a Temporary Disability will be a "Dual Key Person Event".
If a Key Person Event or Dual Key Person Event occurs, the Manager shall as soon as is reasonably
practicable notify the Trustee and the Noteholders of such event.
Following a Key Person Event the Collateral Manager will use its reasonable endeavours to find a
replacement for the relevant Key Person within a 3 month period. If no suitable replacement is
appointed within this period or if the replacement is not reasonably acceptable to the Noteholder
Committee then the Reinvestment Period will cease. For the avoidance of doubt a replacement will
be deemed found as soon as that person has signed an employment contract and any time required
for contractual gardening leave in his previous employment will be disregarded provided that this
period is 6 months or less.
Following a Dual Key Person Event the Reinvestment Period shall end immediately.
"Temporary Disability" shall mean the inability to devote such time and effort to the investment and
other activities of managing the Portfolio for any period of up to 45 days within a period of 360 days,
due to physical, mental or emotional incapacity resulting from injury, sickness or disease.
7
Appointment of Noteholder Committee
The Manager and the Initial Noteholders shall establish a committee (the "Noteholder Committee")
to represent their interests and to advise the Manager about the following matters:
a)
b)
the occurrence of a Key Person Event;
the making of an Auction Call Extension;
24
c)
d)
e)
the acquisition of Portfolio Collateral that does not meet the Eligibility Criteria;
the making of exceptions to the Concentration Limitations; and
the issuance of Senior Funding Notes, solely to the extent that the proposed terms thereof
provide for a spread in excess of 200 basis points over Euribor.
Before taking any action in connection with the matters referred to in (b) to (e) above, the Manager
shall notify the Noteholder Committee of the action it intends to take in relation thereto and, except as
set out below must not take any action which is inconsistent with the advice or recommendation of the
Noteholder Committee. In the event that the Manager receives legal advice that immediate action is
required to meet its duty of care it may take whatever reasonable action it considers necessary
without receiving the Noteholder Committee's response.
The Noteholder Committee will be considered to have no comment on, and to have approved, any
matter which is referred to the Noteholder Committee and to which they do not respond within 10
Business Days of written notification.
Nothing herein shall override the obligation of the Manager to comply with the Collateral Management
Agreement.
Membership of the Noteholder Committee
The Noteholder Committee shall comprise five members. One member shall be appointed by the
Manager and four members by the Participating Noteholders (save that where one investor accounts
for more than 50% of the Participating Notes, that investor may appoint two members). Decisions of
the Noteholder Committee shall require the affirmative vote of the majority of the members of the
Noteholder Committee.
The appointment of members of the committee shall terminate if their appointing organization ceases
to a holder of the Participating Notes. In such cases, or following any resignations which may occur,
the committee may appoint replacement members who are Noteholders or are otherwise nominated
by the Noteholders or, as the case may be, the Manager.
8
Other Transaction Parties
The Cash Manager, The Account Bank, The Custodian and the Principal Paying Agent
BNP Paribas Securities Services, Luxembourg branch is the Luxembourg branch of BNP Paribas
Securities Services and is registered as a branch under the number B 86862 with the Luxembourg
Registry of Commerce and Trade and registered as a bank in Luxembourg by the Commission de
Surveillance du Secteur Financier. BNP Paribas Securities Services is a French Société Anonyme,
organised under the laws of France, having its registered office at 3 rue d'Antin, 75002 Paris,
registered with the Paris Registre du Commerce et de Sociétés under number B 552 108 011.
Pursuant to a Cash Management Agreement between the Issuer and the Cash Manager to be
entered into on the Issue Date (the "Cash Management Agreement"), the Cash Manager will be
obligated to perform certain functions on behalf of the Issuer with respect to the administration of the
Collateral. If the Cash Manager resigns or is removed, the Issuer will appoint a successor.
The Trustee
Capita Trust Company Limited, acting through its office at 7th Floor, Phoenix House, 18 King William
Street, London EC4N 7HE, in its capacity as trustee under the Master Trust Terms (the "Trustee”).
The Trustee will hold the benefit of the security granted by the Issuer over the Collateral on trust for
25
the Secured Parties and will hold the Issuer’s payment and other covenants and obligations in respect
of the Notes on trust for the Noteholders.
The Trustee may retire by giving the Issuer not less than 90 calendar days written notice or the
Trustee may be removed by the Issuer. If a successor trustee is not duly appointed within 80 calendar
days from the date of notice of retirement in respect of such replacement trustee, the Trustee itself
shall have the right to nominate a replacement trustee with relevant experience in the European
collateral debt securities market.
The Corporate Services Provider
Capita Trust Company (Ireland) Ltd of Unit 5, Manor Business Park, Manor Street, Dublin 7, Ireland is
the Corporate Services Provider of the Issuer. Its duties include the provision of certain management,
administrative, accounting and related services. The appointment of the Corporate Services Provider
may be terminated upon 14 days’ notice at any time within 12 months of the happening of certain
events and upon 3 months’ notice subject to the appointment of an alternative Corporate Services
Provider on similar terms to the existing Corporate Services Provider.
9
Principal Agreements
For so long as the Notes are outstanding the following documents will be available, during usual
business hours on any weekday (Saturdays, Sundays and public holidays excepted) for inspection in
physical form at the registered office of the Issuer and at the specified office of the Arranger (subject
to the provision of three Business Days notice to the Arranger). The descriptions of documents set out
herein are summaries only, and are qualified by the documents in all respects.
Collateral Management Agreement
Pursuant to the Collateral Management Agreement dated the Issue Date and made between the
Issuer, the Manager and BNP Paribas Security Services, Luxembourg branch, the Manager has been
appointed as the collateral manager of the Issuer in relation to the Notes. The Manager shall make
recommendations to the Issuer regarding the composition of the Portfolio and shall advise the Issuer
as to the Portfolio Collateral and Eligible Investments to be purchased by it on the Issuer’s behalf and
will monitor the performance and credit quality of the Portfolio Collateral and Eligible Investments on
an ongoing basis pursuant to the Collateral Management Agreement.
During the Reinvestment Period the Issuer, with the assistance of the Manager and in accordance
with the provisions of the Collateral Management Agreement, may purchase Portfolio Collateral in an
aggregate amount equal to the amounts deposited in the Reinvestment Account subject to the
satisfaction of the Eligibility Criteria.
The Manager (acting on behalf of the Issuer) is permitted and/or in certain circumstances required
subject to certain requirements to sell Portfolio Collateral.
The Calculation Agent shall determine and shall provide notification as to whether the relevant criteria
which are required to be satisfied in connection with any sale or acquisition of Portfolio Collateral are
satisfied. If any such criteria are not complied with, the Calculation Agent shall notify the Manager of
the reasons and the extent of such non-compliance.
26
Purchasers of the Notes will be dependent upon the judgement and ability of the Manager in taking
investment decisions on behalf of the Issuer and as to the exercise of any voting rights or remedies
with respect to the Collateral Debt Securities comprising the Issuer’s Portfolio. No assurance can be
given that the Manager will achieve the investment objectives of the Issuer.
Collateral Management Fees
As compensation for services rendered and for the performance of its obligations under the
Collateral Management Agreement, the Manager will be entitled to receive the Initial Collateral
Management Fee, the Annual Fee and the Performance Fee, each as described more fully in the
Conditions.
Sale of Portfolio Collateral Following Optional Redemption or the End of the Reinvestment Period
Following the conclusion of the Reinvestment Period, the Manager on behalf of the Issuer shall use all
commercially reasonable efforts to procure the liquidation of the Portfolio of Collateral Debt Securities
and Eligible Investments so that the proceeds thereof are available in immediately available funds not
later than 1 Business Day prior to the scheduled Redemption Date.
The Manager will use commercially reasonable efforts to arrange the sale of the Portfolio Collateral
following the expiry of the Reinvestment Period or in connection with an Optional Redemption in
accordance with the following provisions:
(a)
Auction Call. Within 30 days of the end of the Reinvestment Period, the Manager (or, if the
Manager's appointment has terminated and no substitute has been appointed, the Trustee or a
receiver on its behalf) will solicit offers for the Portfolio from at least two bona fide bidders in
accordance with all applicable securities and other laws. The date on which the second bid
shall be received shall be the Auction Call Date; or
(b)
Phased Realisation. If the Manager is unable to obtain two bona fide bids (excluding, for the
avoidance of doubt, bids received from the Manager or any of its Affiliates) , or if the Manager
considers a phased sale to be the preferable route to maximise returns, the Manager shall (i)
appoint an independent valuation agent approved by the Noteholder Committee to value the
Portfolio Collateral (either separately or as a block or blocks) proposed to be sold or (ii) shall
agree a valuation for the Portfolio Collateral with the Noteholder Committee and such Portfolio
Collateral may not be sold (either separately or as a block or blocks) for less than its value as
determined by such valuation agent or as agreed with the Noteholder Committee. The
Manager shall use its reasonable endeavours to conclude such sales within a period of three
months (or such other time, if longer, as agreed with the Noteholder Committee) from the
conclusion of the Reinvestment Period.
In sales effected pursuant to the Collateral Management Agreement as described in paragraphs (a)
(Auction Call) and (b) (Phased Realisation) above, the Manager will sell the relevant Portfolio
Collateral to the highest bidder having considered all relevant conditions of the offer. The proceeds
from such liquidation of the Portfolio Collateral (in whole or in part) will be converted by the Manager
to Euros at the applicable spot rate if received in a currency other than Euros. No sale of the Portfolio
or any portion of it may be made to the Manager or any of its Affiliates unless (i) the Manager has
used all reasonable efforts to secure offers for the asset(s) to be sold and has communicated to
potential bidders the deadline by which offers must be made (to be not less than 3 Business Days
after the date of the request for offers) and (ii) the Manager or Affiliate’s offer (as the case may be) is
on terms which are at least as favourable as those made by the independent bona fide bidder
providing the highest bid.
Prospective investors are advised that the market value of the Collateral Debt Securities intended to
comprise the Issuer’s Portfolio may fluctuate with, amongst other things, the financial condition of the
27
underlying obligors or issuers of such Collateral Debt Securities and the underlying assets thereof,
general economic conditions, the condition of certain financial markets or the financial markets
generally, political events developments or trends in a particular industry or industries and changes in
prevailing interest rates. Accordingly, there is no guarantee that upon realisation of the Collateral
Debt Securities comprising the Issuer’s Portfolio that the Issuer shall, in accordance with the Priorities
of Payment, be able to make full repayment of the principal of the Notes and interest thereon. The
Notes comprise limited recourse obligations of the Issuer and are payable solely from amounts
received in respect of the Portfolio Collateral and other Collateral securing the Notes.
In particular, prospective investors are reminded that the Series 1 Participating Notes are fully
subordinated to the Senior Funding Notes (if any) and to certain other payments pursuant to the
Priorities of Payment. No payments of interest will be made on any Series 1 Participating Notes until
interest on the Senior Funding Notes has been paid in full in accordance with the Priorities of
Payment. No payment of principal will be made on the Series 1 Participating Notes until the
outstanding principal on the Senior Funding Notes then due and payable has been paid in full
accordance with the Priorities of Payment.
Retirement and Removal of the Manager
The Collateral Manager may resign from its appointment under the Collateral Management
Agreement, at any time without assigning any reason therefore upon the lesser of: (a) giving not less
than 60 Business Days prior written notice to that effect to the Issuer and the Trustee, and (b) such
period as agreed in writing between the Issuer, the Trustee and the Collateral Manger by notice in
writing to the Issuer and the Trustee.
The Manager may be removed, subject to the appointment of a successor Manager, by the Issuer for
“cause” upon 25 Business Days prior written notice by the Issuer at the direction of a Majority of the
Participating Noteholders. For purposes of the Collateral Management Agreement, “cause” will mean
any of the following events:
(a)
failure by the Manager to comply with or perform any material provision of the Collateral
Management Agreement if such failure is not remedied within 120 calendar days of
receiving written notice from the Issuer or the Trustee unless such violation does not, in the
reasonable opinion of the Trustee (acting on behalf of the Noteholders), have a Material
Adverse Effect on the Noteholders, and the Manager is using all reasonable efforts to effect
a cure and a cure can be effected without regard to a time period;
(b)
the Manager consolidates or amalgamates with, or merges with or into, or transfers all or
substantially all of its assets to, another person and at the time of such consolidation,
amalgamation, merger or transfer, the resulting, surviving or transferee person fails to
assume all of the obligations of the Manager under the Collateral Management Agreement
by reason of operation of law or pursuant to an agreement reasonably satisfactory to the
Issuer and the Trustee (such approval not to be unreasonably withheld or delayed);
(c)
if (i) any procedure is commenced with a view to the winding-up or reorganisation of the
Manager (except a voluntary liquidation or reorganisation for the purpose of reconstruction
or amalgamation upon terms previously approved in writing by the Trustee) or with a view to
the appointment of an administrator, receiver or trustee in relation to the Manager or any of
its assets (this procedure may be a court procedure or any other step which under the laws
of England and Wales is a possible means of achieving any of those results) provided that
such an event shall not constitute “cause” if such event has been cured within 60 calendar
days of the Manager becoming aware of, or receiving notice from the Issuer or the Trustee
of, the same, (ii) 33 per cent. or more of the current and fixed assets (provided that such
amount is equal to or greater than £500,000) of the Manager (by reference to its most
recent annual audited accounts) is subject to attachment, sequestration or the execution of
28
distress, or (iii) the Manager is unable to pay its debts within the meaning of Section 123 of
the Insolvency Act 1986 or admits its inability to pay its debts as and when they fall due or
seeks a composition or arrangement with its creditors or any class of them, or (iv) the
Manager is subject to proceedings analogous to those in (i) to (iii) above in any other
jurisdiction provided that any matter mentioned in any of (ii) to (iv) above shall not constitute
“cause” if such event has been cured within 60 calendar days of its commencement or
existence;
(d)
any licences and authorisations which are materially necessary and essential for the
performance of the Manager's obligations under the Collateral Management Agreement are
not in place and the Manager has not obtained such licences and/or authorisations within 90
calendar days of being required to obtain such licences and/or authorisation or such other
time as agreed between the Manager and the Trustee;
(e)
the occurrence of an Event of Default (other than an Event of Default arising from illegality),
where the Trustee has within 10 Business Days of the occurrence of such Event of Default
satisfied itself (at its sole discretion) that such Event of Default was caused by any
negligence (which has, in the opinion of the Trustee (acting reasonably, on behalf of the
Noteholders), a Material Adverse Effect on the Noteholders) or fraud of the Manager; or
(f)
the Manager has been convicted of a criminal offence relating to fraud or criminal activity in
the performance of its obligations under this Agreement.
As more particularly described in the Collateral Management Agreement, no removal, termination or
resignation of the Manager will be effective unless (i) a successor thereto has agreed in writing to
assume all of its duties and obligations under the Collateral Management Agreement, (ii) 10 calendar
days’ prior notice has been given to the Trustee, (iii) such successor is an institution that (A) has an
ability professionally and competently to perform duties similar to those imposed upon the Manager
under this Agreement, as determined by the Issuer at the direction in writing of the Noteholder
Committee, (B) is legally qualified and has the necessary authorisations and capacity to act as a
successor Manager and assumes all of the responsibilities, duties and obligations of the Manager,
hereunder and under the applicable terms of the Trust Deed, and (C) will perform its duties as
Manager under the Collateral Management Agreement without causing the Issuer or itself to become
subject to tax in any jurisdiction where such successor is incorporated, established, doing business,
has a permanent establishment or is otherwise considered tax resident.
Limitations on the Responsibility of the Manager
Notwithstanding any other provision of the Collateral Management Agreement, none of the Manager,
its directors, officers, shareholders, members, partners, agents and employees of any of their
Affiliates or their respective directors, officers, shareholders, members, partners, agents and
employees of any of their Affiliates (collectively, the “Specified Parties”, and individually, each a
“Specified Party”) will be liable to the Issuer, any Secured Party or any other Person in connection
directly or indirectly with the issuance of the Notes and the entering into the Transaction Documents,
the transactions contemplated by the Prospectus relating to the Notes or anything done in connection
therewith or pursuant thereto (collectively, the “Transaction”), (i) for any acts or omission by such
Specified Party or any other Specified Party under or in connection with the Collateral Management
Agreement or the terms of the Trust Deed applicable to it, or for any decrease in the value of the
Portfolio or for any action of the Issuer or any Secured Party or any other Person or any of their
respective Affiliates in connection directly or indirectly with the Transaction, in following or declining to
follow any advice, recommendation or direction of the Manager, except by reason of acts or
omissions constituting bad faith, wilful misconduct or negligence in the performance or reckless
disregard of the duties of the Manager under the Collateral Management Agreement and the terms of
the Trust Deed applicable to it (provided that in no case shall any Specified Party be liable for
consequential, special or punitive damages) or (ii) for any losses, claims, damages, judgments,
29
assessments, costs, expenses or other liabilities (including lawyers’ and accountants’ fees and
expenses) (collectively “Liabilities”) incurred by the Issuer, any Secured Party or any other Person or
any of their respective Affiliates in connection directly or indirectly with the Transaction, except with
respect to the information concerning the Manager provided by the Manager expressly for use in the
section entitled “The Manager” herein, to the extent such information contains any untrue statement
of material fact or omits to state a material fact necessary in order to make the statements therein, in
the light of the circumstances under which they were made, not misleading. The matters described in
the exceptions to clauses (i) and (ii) in the immediately preceding sentence are collectively referred to
herein as “Manager Breaches”.
The Manager makes no representation or warranty as to the performance of the Portfolio or the yield
achieved or achievable in respect of any Portfolio Collateral or that sufficient funds will be available on
each Distribution Date or the Redemption Date to satisfy the Issuer’s payment obligations.
Indemnification of the Manager
Pursuant to and subject to the terms of the Collateral Management Agreement, the Issuer has
indemnified and held harmless the Manager and each of its officers, directors, employees,
representatives and agents (each an “Issuer Indemnified Party” and together, the “Issuer
Indemnified Parties”), on an after-tax basis, against any and all liabilities, actions, proceedings,
claims, demands, costs (including, but not limited to, any legal costs) or expenses whatsoever, other
than taxation on the profits of the Manager and its Affiliates, (which shall be paid solely out of the
Collateral and in accordance with the Priorities of Payment) which it may incur or be subject to where
such liabilities, actions, proceedings, claims, demand or costs resulted from (i) any material
inaccuracy or misrepresentation in, or material breach of, any of the warranties, representations,
covenants or agreements made by the Issuer in the Collateral Management Agreement, (ii) any act or
omission by the Issuer or any of its officers or directors constituting negligence or wilful misconduct or
(iii) the performance by each such Issuer Indemnified Party of its obligations under the Collateral
Management Agreement, except (A) to the extent of any action taken or omitted to be taken by the
Issuer Indemnified Party under the Collateral Management Agreement or in connection therewith if
such act or omission resulted from (y) any material inaccuracy or misrepresentation in, or material
breach of, any of the warranties, representations, covenants or agreements made by the Manager in
the Collateral Management Agreement or (z) any act or omission under the Collateral Management
Agreement by such Issuer Indemnified Party constituting a fraud, negligence, wilful default or wilful
misconduct and (B) for consequential, special or punitive damages; provided that no Issuer
Indemnified Party will be indemnified for any liabilities, actions, proceedings, claims, demand or costs
it incurs as a result of any acts or omissions by any Issuer Indemnified Party constituting a Manager
Breach.
Conflicts of Interest
The Manager may, in the course of its business, have potential conflicts of interest with the Company
in circumstances relating to investment opportunity. The Manager has written to the Company and
has confirmed that it does not intend to establish other vehicles that will compete directly with the
Company until the Company has invested at least €120,000,000. Once the Company has invested in
excess of €120,000,000 the Manager will, however, have regard to its obligations under the Collateral
Management Agreement and, in particular, to its obligations to act in the best interests of the
Company and the Noteholders so far as practicable, having regard to its obligations to other clients
when undertaking any investments where conflicts of interest may arise. In the event that a conflict of
interest does arise the Manager will endeavour to ensure that such conflicts are resolved fairly, and
that investment opportunities are allocated fairly.
The Manager may enter into other arrangements with or be retained by Noteholders or any other
Secured Parties or other Persons to provide services that are unrelated to the Collateral Management
Agreement.
Governing Law
30
The Collateral Management Agreement will be governed by and construed in accordance with Irish
law.
Cash Management Agreement
Appointment and Services Provided by the Cash Manager
The Issuer has appointed the Cash Manager, pursuant to the Cash Management Agreement to act as
the Issuer’s Cash Manager with certain authority to provide management and administrative services
and exercise such rights, powers and discretions as are specifically delegated to the Cash Manager
by the terms of the Cash Management Agreement. The Cash Manager shall (without prejudice to any
of its specific obligations thereunder) perform its duties and obligations in good faith and with due skill
and care.
Fees
The Cash Manager shall, subject to and in accordance with the Priorities of Payments, be paid a
fee in arrears on each Distribution Date. Any fee not paid on the Distribution Date on which it is
due will be due on the next occurring Distribution Date.
Retirement and Removal of the Cash Manager
Pursuant to the Cash Management Agreement, the Cash Manager may retire its appointment
thereunder at any time without assigning any reason therefor by giving not less than 90 Business
Days prior written notice to that effect to the Issuer, the Trustee and the Manager (or such other
period as may be agreed in writing between the Issuer, the Trustee, the Manager and the Cash
Manager).
The Cash Manager may, subject to the appointment of a successor Cash Manager, be removed,
without cause, upon no less than 60 Business Days written notice by the Issuer.
The Cash Manager may be removed, subject to the appointment of a successor Cash Manager as
described below, for “cause” upon 20 calendar days prior written notice by the Issuer.
For the purposes of the Cash Management Agreement, “cause” will mean: (a) violation by the Cash
Manager of any material provision of the Cash Management Agreement and failure to cure such
violation within 30 calendar days or the earlier of becoming aware of, or receiving notice from the
Issuer of such violation (unless such violation does not, in the reasonable opinion of the Trustee
(acting on behalf of the Noteholders), have a material adverse effect on the Noteholders, and the
Cash Manager is using all reasonable endeavours to effect a cure and a cure can be effected without
regard to a time period); (b) the commencement of any proceedings by or against the Cash Manager
under any applicable liquidation, insolvency, bankruptcy, composition, reorganisation or other similar
laws (including the presentation of a petition for the winding-up or an application for the administration
of the Cash Manager); or the appointment of a receiver, trustee, administrator, liquidator or other
similar official in relation to the whole or any substantial part of the undertaking or the assets of the
Cash Manager; (c) the Cash Manager consolidates or amalgamates with, or merges with or into, or
transfers all or substantially all of its assets to, another Person and at the time of such consolidation,
amalgamation, merger or transfer, the resulting, surviving or transferee Person fails to assume all of
the obligations of the Cash Manager under the Cash Management Agreement by reason of operation
of law or pursuant to an agreement reasonably satisfactory to the Issuer (such approval not to be
unreasonably withheld or delayed) and the Trustee; (d) the occurrence of an Event of Default (other
than an Event of Default arising from illegality), where the Trustee has within 10 Business Days of the
occurrence of such Event of Default satisfied itself (at its sole discretion) that such Event of Default
was caused by any negligence (which has in the opinion of the Trustee (acting reasonably), a
material adverse effect on the Noteholders or fraud of the Cash Manager); or (e) the Cash Manager
31
has been indicted for an act constituting fraud or criminal activity in the performance of its obligations
under this Agreement, or the Cash Manager being otherwise convicted of a criminal offence
materially related to its primary business.
Governing Law
The Cash Management Agreement will be governed by and construed in accordance with Irish law.
Calculation Agency Agreement
The Issuer has appointed the Calculation Agent pursuant to a Calculation Agency Agreement dated
the Issue Date and made between, among others, the Issuer and the Calculation Agent (the
"Calculation Agency Agreement"), and the Calculation Agent has agreed to be the Issuer’s agent
as Calculation Agent with authority to (i) provide reporting services to the Issuer, (ii) maintain a
collateral database detailing the Portfolio Collateral held by the Issuer from time to time, (iii) calculate
the Concentration Limitations, Redemption Prices and amounts payable in accordance with the
Priorities of Payment and (iv) determine the satisfaction of the Eligibility Criteria upon the acquisition
of a Collateral Debt Security.
Pursuant to the Calculation Agent Agreement, the Calculation Agent shall, based on information
provided by the Issuer and/or any of the Agents thereof, the Manager and/or the Cash Manager,
prepare and where applicable, distribute each of the Reports in accordance with the Conditions and
the terms thereof.
Fees
The Calculation Agent shall, subject to and in accordance with the Priorities of Payments, be
paid a fee in arrears on each Distribution Date. Any fee not paid on the Distribution Date on
which it is due will be due on the next occurring Distribution Date.
Retirement and Removal of the Calculation Agent
Pursuant to the Calculation Agency Agreement, the Calculation Agent may retire its appointment
thereunder at any time without assigning any reason therefor by giving not less than 120 Business
Days prior written notice to that effect to the Issuer, the Trustee and the Manager (or such other
period as may be agreed in writing between the Issuer, the Trustee, the Manager and the Calculation
Agent).
The Calculation Agent may, subject to the appointment of a successor Calculation Agent, be
removed, without cause, upon no less than 60 Business Days written notice by the Issuer.
The Calculation Agent may be removed, subject to the appointment of a successor Calculation Agent
as described below, for “cause” upon 20 calendar days prior written notice by the Issuer.
For the purposes of the Calculation Agency Agreement, “cause” will mean: (a) violation by the
Calculation Agent of any material provision of the Calculation Agency Agreement and failure to cure
such violation within 30 calendar days or the earlier of becoming aware of, or receiving notice from
the Issuer of such violation (unless such violation does not, in the reasonable opinion of the Trustee
(acting on behalf of the Noteholders), have a material adverse effect on the Noteholders, and the
Calculation Agent is using all reasonable endeavours to effect a cure and a cure can be effected
without regard to a time period); (b) the commencement of any proceedings by or against the
Calculation Agent under any applicable liquidation, insolvency, bankruptcy, composition,
reorganisation or other similar laws (including the presentation of a petition for the winding-up or an
application for the administration of the Calculation Agent); or the appointment of a receiver, trustee,
administrator, liquidator or other similar official in relation to the whole or any substantial part of the
undertaking or the assets of the Calculation Agent; (c) the Calculation Agent consolidates or
amalgamates with, or merges with or into, or transfers all or substantially all of its assets to, another
32
Person and at the time of such consolidation, amalgamation, merger or transfer, the resulting,
surviving or transferee Person fails to assume all of the obligations of the Calculation Agent under the
Calculation Agency Agreement by reason of operation of law or pursuant to an agreement reasonably
satisfactory to the Issuer (such approval not to be unreasonably withheld or delayed) and the Trustee;
(d) the occurrence of an Event of Default (other than an Event of Default arising from illegality), where
the Trustee has within 10 Business Days of the occurrence of such Event of Default satisfied itself (at
its sole discretion) that such Event of Default was caused by any negligence (which has in the opinion
of the Trustee (acting reasonably), a material adverse effect on the Noteholders or fraud of the
Calculation Agent); or (e) the Calculation Agent has been indicted for an act constituting fraud or
criminal activity in the performance of its obligations under this Agreement, or the Calculation Agent
being otherwise convicted of a criminal offence materially related to its primary business.
Governing Law
The Calculation Agency Agreement will be governed by and construed in accordance with Irish law.
10
Transfer Restrictions
Prospective purchasers are advised to consult their legal and other professional advisors prior to
making any offer, resale, pledge or other transfer of the Notes. Details of certain restrictions on offers
and sale of Notes and the distribution of this Prospectus are contained in the section headed “Selling
Restrictions” in the Base Prospectus.
Deemed Representations
Each person who becomes an owner of a beneficial interest in a Global Note will be deemed to have
represented and agreed as follows:
(a)
In connection with the purchase of the Notes (provided that no such representation made
under paragraphs (A), (B), (C) and (E) hereunder is made with respect to the Manager by any Affiliate
of the Manager): (A) none of the Issuer, the Manager or any of their respective Affiliates is acting as a
fiduciary or financial or investment adviser for such beneficial owner; (B) such beneficial owner is not
relying (for purpose of making any investment decision or otherwise) upon any advice, counsel or
representations (whether written or oral) of the Issuer, the Manager or any of their respective Affiliates
other than in a current offering circular for such Notes and to the extent made by such party; (C) such
beneficial owner has consulted with its own legal, regulatory, tax, business, investment, financial and
accounting advisors to the extent it has deemed necessary, and it has made its own investment
decisions (including decisions regarding the suitability of any transaction pursuant to the Trust Deed)
based upon its own judgment and upon any advice from such advisers as it has deemed necessary
and not upon any view expressed by the Issuer, the Manager or any of their respective Affiliates; (D)
such beneficial owner is purchasing the Notes with a full understanding of all of the terms, conditions
and risks thereof (economic and otherwise), and it is capable of assuming and willing to assume
(financially and otherwise) those risks; and (E) such beneficial owner is a sophisticated investor.
(b)
In addition, each purchaser of the Notes will be required to undertake that it will notify any
person (a “transferee”) to whom it offers, delivers, pledges or otherwise transfers any Note held by it
(or any beneficial interest or participation therein) of the transfer restrictions with respect to the Notes
and further that it will obtain from such transferee a written agreement containing representations and
undertakings substantially in the form of those given by the applicable transferor prior to any such
transfer.
Legends
33
The Notes will bear a legend substantially in the form set forth below:
“THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES
SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”), ANY STATE SECURITIES
LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION.
THIS NOTE AND ANY INTEREST HEREIN MAY BE TRANSFERRED ONLY IN ACCORDANCE
WITH THE SECURITIES ACT AND ALL APPLICABLE LAWS OF ANY OTHER JURISDICTION. ANY
UNITED STATES PERSON (AS DEFINED IN THE UNITED STATES INTERNAL REVENUE CODE
OF 1986, AS AMENDED (THE “CODE”)) WHO HOLDS THIS OBLIGATION WILL BE SUBJECT TO
LIMITATIONS UNDER THE UNITED STATES INCOME TAX LAWS, INCLUDING THE
LIMITATIONS PROVIDED IN SECTION 165(J) AND 1287(A) OF THE CODE. EACH PURCHASER
OF THIS NOTE OR ANY INTEREST HEREIN AGREES THAT IT WILL DELIVER TO EACH
PURCHASER OF THIS NOTE OR ANY INTEREST HEREIN A NOTICE SUBSTANTIALLY TO THE
EFFECT OF THIS LEGEND”.
11
Listing and General Information
1.
Application will be made to the Irish Financial Services Regulatory Authority, as competent
authority under the Prospectus Directive for the Series Prospectus to be approved.
Application will be made to the Irish Stock Exchange for the Series 1 Participating Notes to be
admitted to the Daily Official List. Application has been made to the Irish Stock Exchange for
the Series 1 Participating Notes to be admitted to the official list and to trading on its regulated
market. It is expected that the total expenses relating to the application for admission of the
Series 1 Participating Notes to the official list of the Irish Stock Exchange and to trading on its
regulated market will be approximately €3,500.
2
The Issuer has obtained all necessary consents, approvals and authorisations in connection
with the issue and performance of the Notes. The issue of the Notes was authorised by
resolutions of the Board of Directors passed on 2 July 2008.
3
The Issuer has not been involved in any governmental, legal or arbitration proceedings
(including any such proceedings that are pending or threatened of which the Issuer is aware)
since incorporation preceding the date of this Series Prospectus that may have, or have had
in the recent past, significant effects in the context of the issue of Notes on its financial
position. Since incorporation, the Issuer has not commenced trading nor published annual
reports or accounts.
4
For so long as the Notes are outstanding the following documents will be available, during
usual business hours on any weekday (Saturdays, Sundays and public holidays excepted) for
inspection in physical form at the registered office of the Issuer and (subject to the provision of
three Business Days notice to the Arranger) at the specified office of the Arranger:
5
4.1
the Memorandum and Articles of Association of the Issuer;
4.2
the Master Trust Terms; and
4.3
all audited annual financial statements of the Issuer as and when published.
Maples and Calder, as the Irish Listing Agent, is acting solely in its capacity as listing agent
for the Issuer in connection with the Series 1 Participating Notes and is not itself seeking
admission of the Series 1 Participating Notes to the official list of the Irish Stock Exchange or
to trading on the Irish Stock Exchange for the purposes of the Prospectus Directive.
34
Appendix 1
Master Definitions Schedule
1.
Definitions
In any document expressly and specifically incorporating by reference this Master Definitions
Schedule the following expressions shall, except where the context otherwise requires and where
otherwise defined therein, have the following meanings:
“Account Bank" means BNP Paribas Securities Services, Luxembourg Branch.
“Accounts” means the Interest Collections Account, the Uninvested Proceeds Account, the Principal
Collections Account, the Reinvestment Account, the Revolving Reserve Account, the Performance
Fee Account, the Currency Account(s) (if any), any Custody Account, and the Payment Account and
“Account” means any of them.
“Additional Secured Party” means, after the Issue Date, any Person becoming a Currency Hedge
Counterparty, an Interest Rate Hedging Counterparty, a Credit Default Swap Counterparty, a Senior
Funding Noteholder and any other Person who may become a party to the Trust Deed as a Secured
Party.
“Administrative Expenses” means amounts due and payable in the following order of priority:
(1)
(2)
pari passu and pro rata, to
(a)
the directors, accountants, agents, advisors and counsel of the Issuer, including
amounts payable to the Agents pursuant to the Agency Agreement and the
Calculation Agency Agreement, the Issuer Fee and amounts payable to the Corporate
Administrator pursuant to the Corporate Administration Agreement (including, on the
Redemption Date, the payment of the Series Conclusion Amount (if any) to the Issuer
Share Capital Account); and
(b)
the Cash Manager pursuant to the Cash Management Agreement; and thereafter
pari passu and pro rata, to
(a)
the Rating Agencies which may from time to time be requested to assign a
confidential credit estimate to any Collateral Debt Security, for fees and expenses in
connection with any such rating or confidential credit estimate, including any
surveillance fees;
(b)
the Manager pursuant to the Collateral Management Agreement whether by way of
indemnity or otherwise but excluding any Collateral Management Fees;
(c)
and on account of (i) all registered office fees, (ii) all fees payable to the Irish
companies registration office, (iii) all fees, costs and expenses properly incurred by
the Issuer to defend any claim brought against it, (iv) the fee of €500 for entering into
the transaction described herein, and (v) all fees, costs and expenses in connection
with any indemnity claims;
35
(d)
the Irish Stock Exchange and the Irish Listing Agent in respect of the listing of any of
the Notes;
(e)
any other Person in respect of any governmental fee or charge (but excluding any
taxes payable to any tax authority or any amount comprising, resulting from or
referable to any tax liability); and
any other Person in respect of any fees, expenses or other amounts payable in
connection with the Notes or the sale thereof or, following repayment of the Notes
and/or the liquidation of the Issuer excluding in each case any amount comprising,
resulting from or referable to any tax liability other than any taxes payable to any tax
authority,
(f)
provided, however, that “Administrative Expenses” shall not include any Trustee and Agent Fees
and Expenses or amounts due or accrued with respect to the actions taken on or in connection with
the Issue Date which are payable out of the proceeds of the issue of the Notes.
“Affiliate” or “Affiliated” means with respect to a Person, (a) any other Person who, directly or
indirectly, is in control of, or controlled by, or is under common control with, such Person or (b) any
other Person who is a director, officer or employee (i) of such Person, (ii) of any associate, subsidiary
or parent company of such Person or (iii) of any Person described in (a) above. For the purposes of
this definition, control of a Person shall mean the power, direct or indirect, whether by contract or
otherwise (A) to vote more than 50 per cent. of the share capital or similar rights of ownership or
control of such Person, or (B) to direct or cause the direction of the management and policies of such
Person.
“Agency Agreement” means the Master Agency Terms as amended and supplemented by the
Supplemental Deed.
“Agent” means each of the Paying Agents, the Agent Bank, the Account Bank, the Calculation Agent,
the Cash Manager and the Custodian and each of their permitted successors or assigns.
“Agent Bank” means BNP Paribas Securities Services, Luxembourg Branch or any Person appointed
as agent bank under the Agency Agreement.
“Aggregate Principal Amount” means with respect to any date of determination, when used with
respect to the entirety or part of the Portfolio Collateral, the aggregate Principal Balances of such
Portfolio Collateral on such date of determination.
"Annual Fee” means 1.25% per annum of the initial principal amount issued of the Series 1
Participating Notes (including, for the avoidance of doubt, the initial principal amount of any Series 1
Participating Notes issued after the Issue Date) to be paid quarterly in arrears.
“Arranger” means AE Global Investment Solutions Limited.
“Asset Backed Securities” means securities (including without limitation, CBOs, CDOs, CLOs)
which typically entitle the holders thereof to receive payments that depend primarily on the cash flow
from a specified pool of financial assets, either fixed or revolving, that by their terms convert into cash
within a finite time period, together with rights or other assets designed to assure the servicing or
timely distribution of proceeds to holders of such securities and “Asset Backed Security” means
each such security.
“Auction Call Extension” means an extension of the Reinvestment Period (i) by written notice to the
Issuer prior to 31 July 2012 by Participating Noteholders holding at least 80% in aggregate principal
amount of the Series 1 Participating Notes then outstanding for further periods of up to two years,
subject to any such extension of the Reinvestment Period expiring no later than 31 July 2014 and (ii)
to such date as the Manager may request the Noteholder Committee, subject to the approval of a
36
majority of the Noteholder Committee provided always that the Noteholder Committee will have been
considered to have approved the request for postponement which is referred to it and to which it does
not respond within 10 Business Days of written notification thereof.
“Balance” means on any date, with respect to each Account and any Eligible Investment therein, the
aggregate in euros of:
(a)
the current balance of cash, demand deposits, time deposits, certificates of deposit, federal
funds and commercial bank money market accounts;
(b)
the outstanding principal amount of interest-bearing corporate and government securities,
money market accounts and repurchase obligations;
(c)
the current purchase price (but not greater than the face amount) of non-interest-bearing
government and corporate securities, commercial paper and certificates of deposit; and
the purchase price of assets subject to repurchase obligations.
(d)
"Base Prospectus" means the Base Prospectus dated 9 July 2008.
“Benchmark Return” means a notional amount (which may not be less than zero) equal to:
(1)
on the Issue Date, the initial aggregate principal amount of the Series 1 Participating Notes;
(2)
on the first Distribution Date, equal to the initial aggregate principal amount of the Series 1
Participating Notes (i) increased by one month Euribor thereon for the period from the Issue
Date to such Distribution Date, compounded monthly and (ii) reduced by all distributions of
principal or interest made to holders of the Series 1 Participating Notes under the Priority of
Payments on such Distribution Date; and
(3)
on all subsequent Distribution Dates, an amount equal to the Benchmark Return determined
on the immediately preceding Distribution Date, (i) increased by one month Euribor thereon
for the period from the preceding Distribution Date to such Distribution Date, compounded
monthly and (ii) reduced by all distributions of principal or interest made to holders Series 1
Participating Notes under the Priority of Payments on such Distribution Date,
provided that for the purposes of calculating the Benchmark Return, (i) all distributions to Noteholders
on any Distribution Date shall be deemed applied firstly to accrued uncompounded Euribor on the
notional amount, and then to the notional amount.; and (ii) one month Euribor shall be reset on the
last day of each month, modified in accordance with the Modified Following Business Day
Convention, except that one month Euribor for the period from the Issue Date until 15 August 2008
shall be 4.448 percent per annum.
“Business Day” means (save to the extent otherwise defined) a day on which:
(a)
commercial banks and foreign exchange markets are open to settle payments in London and
Luxembourg (other than a Saturday or a Sunday or a public holiday); and
(b)
the Trans European Automated Real Time Gross Settlement Express Transfer System
(TARGET) (or any successor thereto) is operating credit or transfer instructions in respect of
payments in euro.
"Calculation Agent" means AE Global Investment Solutions Limited.
"Calculation Agency Agreement" means the calculation agency agreement dated the Issuer Date
and made between, among others, the Issuer and the Calculation Agent.
“Cash Management Agreement” means the cash management agreement dated the Issue Date and
made between, among others, the Issuer and the Cash Manager.
37
“Cash Manager " means BNP Paribas Securities Services, Luxembourg Branch.
“CBO” means a collateralised bond obligation.
“CDO” means a collateralised debt obligation.
“Clearing Systems” means Euroclear and Clearstream, Luxembourg.
“Clearstream, Luxembourg” means Clearstream Banking, société anonyme.
“CLO” means a collateralised loan obligation other than a SME CLO.
“CMBS” means a security issued as part of a securitisation of a pool of receivables at least 50 per
cent. of which are commercial mortgage receivables or as so designated by the Rating Agencies.
“Collateral” means the property, assets, interests and benefits described in Condition 7 (Security for
the Notes) which are charged and/or assigned to the Trustee from time to time for the benefit of the
Secured Parties pursuant to the Trust Deed.
“Collateral Debt Security” means any Asset Backed Security or any Structured Finance Security.
“Collateral Management Agreement” means the collateral management agreement dated the Issue
Date and made between, among others, the Issuer and the Manager.
“Collateral Management Fees” means the Initial Fee, the Annual Fee and the Performance Fee.
“Commitment Revolving Collateral Debt Security Amount” means, with respect to any Revolving
Collateral Debt Security, the maximum aggregate principal amount Outstanding (whether at the time
funded or unfunded) of advances at any time outstanding that the Issuer could be required to make to
the obligor under the Underlying Instruments relating thereto.
“Common Depositary” means BNP Paribas Securities Services as common depositary for Euroclear
and Clearstream, Luxembourg.
“Concentration Limitations” has the meaning ascribed to it in the Calculation Agency Agreement.
“Conditions” means the terms and conditions, being the terms and conditions of (as applicable) the
Senior Funding Notes and the Participating Notes.
“Corporate Administration Agreement” means the corporate services agreement dated on or about
the Issue Date and entered into between the Issuer and the Corporate Administrator, pursuant to
which the Corporate Administrator will provide corporate services to the Issuer.
“Corporate Administrator” means the Corporate Services Provider or such Person appointed as
Corporate Administrator under the Corporate Administration Agreement.
"Corporate Services Provider" means Capita Trust Company (Ireland) Limited.
“Credit Default Swap” means each credit default swap agreement comprising an ISDA master
agreement together with the schedule, confirmations and any credit support annexes relating thereto,
entered into between the Issuer and a Credit Default Swap Counterparty evidencing one or more
credit default swap transactions entered into by the Issuer from time to time, as amended,
supplemented or replaced from time to time and including any guarantee thereof.
38
“Credit Default Swap Counterparty” means each financial institution which enters into a Credit
Default Swap with the Issuer, or any successor currency hedge counterparty.
“Currency Accounts” or “Currency Account” means each non-euro currency account or accounts
so entitled that are held by the Issuer with the Account Bank.
“Currency Hedge Agreement” means each ISDA master agreement together with the schedule,
confirmations and any credit support annexes relating thereto, entered into between the Issuer and a
Currency Hedge Counterparty evidencing one or more transactions entered into by the Issuer from
time to time, as amended, supplemented or replaced from time to time and including any guarantee
thereof and any credit support document entered into pursuant to the terms thereof and including any
Replacement Currency Hedge Agreement entered into in replacement thereof, and “Currency Hedge
Agreements” means, as the context may require, any or all of them.
“Currency Hedge Agreement” means each ISDA master agreement together with the schedule,
confirmations and any credit support annexes relating thereto, entered into between the Issuer and a
Currency Hedge Counterparty evidencing one or more transactions entered into by the Issuer from
time to time, as amended, supplemented or replaced from time to time and including any guarantee
thereof and any credit support document entered into pursuant to the terms thereof and including any
Replacement Currency Hedge Agreement entered into in replacement thereof, and “Currency Hedge
Agreements” means, as the context may require, any or all of them.
“Currency Hedge Counterparty” means each financial institution which enters into a Currency
Hedge Agreement with the Issuer, or any successor currency hedge counterparty.
"Custodian" means BNP Paribas Securities Services, Luxembourg Branch.
“Custody Account” means the custody account or accounts established on the books of the
Custodian in accordance with the provisions of the Agency Agreement which term shall include each
cash account relating to each such custody account (if any).
“Declaration of Trust” means the declaration of trust entered into by Capita Trust Nominees No.1
Limited pursuant to which it holds the issued ordinary shares of the Issuer on trust for certain
charitable purposes.
“Definitive Note” means a note in definitive form representing one or more Notes of a Class and to
be issued in the circumstances set out in Condition 21 (Description of the Notes while in Global
Form).
“Determination Date” means, in relation to a Payment Period, the last Business Day of such
Payment Period, or in the event of any acceleration of the Notes pursuant to Condition 13 (Events of
Default), the day on which the Notes become due and payable, or in the event of any redemption of
the Notes following the occurrence of an Event of Default, the applicable Redemption Date.
“Distribution” means any payment of principal or interest or any dividend or premium or other
amount or asset paid or delivered on or in respect of any Portfolio Collateral or Eligible Investment.
“Distribution Date” means the 15th day of August, November, February and May in each year
commencing in August 2008, as well as the Maturity Date and the Redemption Date, in each case, to
the extent not a Business Day, adjusted in accordance with the Modified Following Business Day
Convention.
"Dual Key Person Event" means a failure to comply other than by reason of a Temporary Disability
by both of the Key Persons with the obligation of the Key Persons to devote substantially all of their
business time to the affairs of the Manager or its affiliates (whether in a capacity as employee, officers
39
or consultants) and to devote such portion of their time to the management of the Portfolio as is
reasonably necessary to properly manage the portfolio.
“Eligibility Criteria” means the eligibility criteria specified in the Calculation Agency Agreement.
“Euro Equivalent” means: (a) subject to the application of sub-paragraph (b) below and without
double-counting, an amount expressed in euros, which is equal to a specified amount denominated in
a currency other than euros, as determined by the Issuer, following consultation with the Cash
Manager, by reference to the prevailing spot rate of exchange on the relevant date; or (b) in the case
of non-euro proceeds standing to the credit of the Currency Accounts (or in the case of any other noneuro amount in respect of which a Currency Hedge Agreement so provides) which are scheduled to
be paid by the Issuer under a Currency Hedge Agreement on the next following Distribution Date, the
amount expressed in euros to be paid in respect of such amount as set out in the relevant Currency
Hedge Agreement on the relevant date.
“Euroclear” means Euroclear Bank S.A./N.V.
“European Economic Area Countries” means the member states of the European Union and
Iceland, Liechtenstein and Norway and each an “European Economic Area Country”.
“Event of Default” the occurrence of any of the following events shall constitute an “Event of Default”:
(i)
Non-Payment of Interest: failure by the Issuer to pay any interest amounts on the Series 1
Participating Notes when the same becomes due and payable or the Issuer fails to pay any
interest on the Senior Funding Notes (if any) when the same becomes due and payable;
(ii)
Non-Payment of Principal: failure by the Issuer to pay any principal when the same becomes
due and payable on any of the Notes provided that, in each case, such failure to pay such
amount continues for a period of 5 Business Days;
(iii)
Default under Priorities of Payment: failure by the Issuer to disburse, out of amounts
available in the Payment Account, any other amount in accordance with the Priorities of
Payment for which failure (save for such failure as described in paragraphs (i) and (ii) above)
continues for a period of at least 10 Business Days;
(iv)
Breach of Other Obligations: breach of any other obligations of the Issuer under the Notes or
under any Transaction Document to which the Issuer is a party (other than a covenant,
warranty or other default in the performance or breach of which is dealt with elsewhere under
this definition of “Event of Default”) which continues for 30 Business Days after the Trustee
has given written notice of it to the Issuer, certifying that the default is, in its opinion,
materially prejudicial to the interests of the holders of the Senior Funding Notes (if any) or,
following redemption in full of the Senior Funding Notes (if any), the holders of the Series 1
Participating Notes at such time;
(v)
Insolvency Proceedings: proceedings are initiated against the Issuer under any applicable
liquidation, insolvency, examination, bankruptcy, composition, reorganisation or other similar
laws (together, “Insolvency Law”), or a receiver, trustee, administrator, administrative
receiver, examiner, custodian, conservator or other similar official (a “Receiver”) is appointed
in relation to the Issuer or in relation to the whole or a substantial part of the undertaking or
assets of the Issuer; or a winding-up petition is presented in respect of, or a winding-up order
is applied for, or a distress or execution or other process is levied or enforced upon or sued
out against the whole or a substantial part of the undertaking or assets of the Issuer and in
any of the foregoing cases except in relation to the appointment of a Receiver, is not
discharged within twenty Business Days; or the Issuer becomes or is, or could be deemed by
law or a court to be, insolvent or bankrupt or unable to pay its debts when due, or initiates or
40
consents to proceedings relating to itself under any applicable Insolvency Law, or seeks the
appointment of a Receiver, or makes a conveyance or assignment for the benefit of its
creditors generally or otherwise becomes subject to any reorganisation or amalgamation
(other than on terms previously approved in writing by the Trustee) or the Issuer becomes
subject to a moratorium or other similar procedure; or
(vi)
Illegality: it is or will become unlawful for the Issuer to perform or comply with any one or more
of its material obligations under the Series 1 Participating Notes.
“Financial Regulator” means Irish Financial Services Regulatory Authority.
“Fitch” means Fitch Ratings Ltd or any of its respective successors or assignees.
“Fixed Rate Portfolio Collateral” means each Collateral Debt Security that bears interest at a fixed
rate.
“Floating Rate Portfolio Collateral” means each Collateral Debt Security that is not a Fixed Rate
Portfolio Collateral.
“Further Note Classes” means any further issuance of any Senior Funding Notes or Series 1
Participating Notes.
“Further Notes” means any Further Note Classes.
“Incumbency Certificate” shall bear the meaning set out in Clause 11.4 of the Cash Management
Agreement.
“Independent Director” means a duly appointed member of the board of directors of the relevant
entity who should not have been, at the time of such appointment, or at any time in the preceding five
years (i) a direct or indirect legal or beneficial owner in such entity or any of its affiliates (excluding de
minimus ownership interests), (ii) a creditor, supplier, employee, officer, director, family member,
manager or contractor of the relevant entity or (iii) a person who controls (directly or indirectly) the
entity or its affiliates or any creditor, supplier, employee, officer, director, family member, manager or
contractor of such entity.
“Independent Pricing Service” means MarkiT and/or ABS Xchange and any independent pricing
service as agreed between the Issuer and the Manager
"Initial Issuer" means Cavendish Opportunity Investments Limited, a private company with limited
liability incorporated in Ireland under the Irish Companies Acts 1963-2006.
“Initial Noteholders” means the Participating Noteholders on the issue date of such Participating
Notes.
“Initial Fee” means the amount of €250,000 payable by the Issuer to the Manager on the Issue Date.
“Interest Accrual Period” means the period from and including the Issue Date to but excluding the
first Distribution Date and each successive period from and including each Distribution Date to but
excluding the following Distribution Date.
“Interest Amount” means, on each Distribution Date, the amount of interest payable in respect of the
principal amount of the Notes of any Class indicated, for any Interest Accrual Period being:
41
(a)
in the case of the Senior Funding Notes (if any) the amount calculated by the Agent Bank as
soon as practicable after 11:00 am (Brussels time) on the relevant Interest Determination
Date in accordance with the terms and conditions of such Senior Funding Notes (if any); and
(b)
in the case of the Participating Notes the amount calculated as provided pursuant to the
Priorities of Payment.
“Interest Collections Account” means the interest bearing account of the Issuer with the Account
Bank so entitled.
“Interest Determination Date” means in respect of each Interest Accrual Period, the second
Business Day before the beginning of that Interest Accrual Period.
“Interest Proceeds” means all amounts paid into the Interest Collection Account from time to time by
or on behalf of the Issuer during the related Payment Period together with any other amounts
transferred from the relevant Accounts to be disbursed as Interest Proceeds.
“Interest Rate Hedging Agreement” means each ISDA master agreement together with the
schedule, confirmation and credit support annexes relating thereto, entered into between the Issuer
and an Interest Rate Hedging Counterparty evidencing one or more transactions, as amended,
supplemented and/or replaced from time to time, and “Interest Rate Hedging Agreements” means
all of them.
“Interest Rate Hedging Counterparty” means each financial institution which enters into an Interest
Hedging Agreement with the Issuer.
“Investment Company Act” means the United States Investment Company Act of 1940, as
amended.
“Irish Listing Agent” means Maples and Calder.
“Irish Stock Exchange” means the Irish Stock Exchange Limited.
“ISDA” means the International Swaps and Derivatives Association, Inc.
“Issue Date” means the date on which the Notes are issued pursuant to the terms of the Trust Deed
or such later date as may be agreed between the Issuer and the Arranger.
"Issuer" means the Initial Issuer or such other issuer company as may accede to the Programme by
executing a Supplemental Deed.
“Issuer Fee” means €1,000, the corporate benefit paid by the Manager to the Issuer.
“Issuer Order” means an issuer order in substantially the same form as set out in Schedule 3 (Form
of Issuer Order) to the Cash Management Agreement.
“Issuer Share Capital Account” means the account in the name of the Issuer in which, inter alia, the
issued and paid-up share capital of the Issuer has been deposited.
"Key Persons" means Miguel Alcober and Richard Stow.
"Key Person Event" means a failure to comply other than by reason of a Temporary Disability by one
of the Key Persons with the obligation of the Key Persons to devote substantially all of their business
time to the affairs of the Manager or its affiliates (whether in a capacity as employee, officers or
42
consultants) and to devote such portion of their time to the management of the Portfolio as is
reasonably necessary to properly manage the portfolio.
“Majority” means with respect to the Senior Funding Notes or the Series 1 Participating Notes, the
holders of more than 50 per cent. of the Aggregate Principal Amount Outstanding of the Notes of
such Senior Funding Notes or Series 1 Participating Notes, as the case may be.
“Management Fees” means each of the Initial Collateral Management Fee, the Annual Fee and the
Performance Fee.
"Manager" means AE Global Investment Solutions Ltd.
“Master Agency Terms” means the Master Agency Terms July 2008 Edition for the Programme.
“Master Trust Terms” means the Master Trust Terms July 2008 Edition for the Programme.
“Maturity Date” means the Distribution Date falling on 31 July 2015 or, in the event that such a day is
not a Business Day, the next following Business Day.
“Measurement Date” means:
(a)
the Ramp-up Date;
(b)
each Determination Date falling after the Ramp-up Date;
(c)
after the Ramp-up Date, any day on which the purchase of a Collateral Debt Security occurs;
(d)
after the Issue Date, any day on which the sale, default or prepayment of a Collateral Debt
Security occurs;
(e)
the date of any Report; and
(f)
upon written request (by at least five Business Days' notice), each date specified by the
Manager at its discretion.
“Minimum Denomination” means €50,000 (and higher integral multiples of thereof €1,000 thereof).
“Modified Following Business Day Convention” means the convention for adjusting any relevant
date if it would otherwise fall on a day that is not a Business Day, which provides that the relevant
date shall be the following day that is a Business Day unless that day falls in the next calendar month,
in which case that date will be the first preceding day that is a Business Day.
“Moody’s” means Moody’s Investors Service Limited and includes any successor to its rating
business.
“Non-Euro Obligation” means a Collateral Debt Security denominated in a currency other than
euros.
"Noteholder Committee" means the committee established by the Manager and the Initial
Noteholders to represent their interests and to advise the Manager in relation to certain matters as set
out in the Conditions.
“Noteholders” means the Senior Funding Noteholders and the Participating Noteholders or, as the
context requires, any of them.
43
"Notes" means the Senior Funding Notes together with the Series 1 Participating Notes.
“Outstanding” means, on any date of determination, (1) in relation to the Notes, all the Notes issued
and their respective Deferred Interest (if any) other than:
(a)
those Notes which have been redeemed pursuant to the Trust Deed with the exception of the
Participating Notes in relation to which amounts of Interest Proceeds and Principal Proceeds
have, or may become, payable notwithstanding redemption of the principal amount of such
Participating Notes in full;
(b)
those Notes in respect of which the date for redemption in accordance with the relevant
Conditions has occurred and the redemption moneys (including premium (if any) and all
interest payable in respect thereof and any interest payable under the relevant Conditions
after such date) have been duly paid to the Trustee or to any of the Paying Agents in the
manner provided in the Agency Agreement (and where appropriate notice to that effect has
been given to the relevant Noteholders in accordance with Condition 18 (Notices)) and remain
available for payment against presentation of the relevant Notes;
(c)
those Notes which have become void pursuant to Condition 21.4 (Prescription);
(d)
any Global Note to the extent that it shall have been exchanged for Definitive Notes and in the
case of any such Note, to the extent of the extinguishment of the amount thereof by payment
in respect thereof; and
(e)
those mutilated or defaced Notes for which replacement Notes have been issued pursuant to
the Conditions,
provided that for each of the following purposes, namely:
(i)
the right to attend and vote at any meeting of the Noteholders of a Class;
(ii)
the determination of how many and which of the relevant Notes are for the time being
Outstanding for the purposes of Clause 19 (Enforcement) of the Trust Deed, Conditions 13
(Events of Default) and 14 (Enforcement), a written resolution and any direction or request by
Noteholders of a Class pursuant to the Conditions and the Trust Deed;
(iii)
any discretion, power or authority (whether contained in the Trust Deed or vested by
operation of law) which the Trustee is required, expressly or implicitly, to exercise in or by
reference to the interests of the Noteholders or any of them; and
(iv)
the determination (where relevant) by the Trustee as to whether any event, circumstance,
matter or thing, in its opinion, is materially prejudicial to the interests of the Noteholders of any
Class,
those Notes (if any) which are for the time being held by, for the benefit of, or on behalf of, the Issuer
and not cancelled shall (unless and until ceasing to be so held) be deemed not to remain Outstanding
(the Trustee shall assume that there are no such holdings except to the extent it is otherwise
expressly aware and shall not be bound or concerned to make any enquiry in connection therewith).
“Participating Global Note” means the Participating Note represented by a global note in bearer
form.
“Participating Noteholders” means the persons who are for the time being the holders of the
Participating Notes, which expression shall mean, whilst any Participating Global Note remains
Outstanding in relation to the Participating Notes represented thereby, each person who is for the
44
time being shown in the records of the Clearing System through which interests in the Participating
Global Note, as applicable, are held as the holder of a particular principal amount of such
Participating Notes for all purposes (in which regard any certificate or other document issued by the
Clearing System as to the principal amount of Participating Notes represented by the global note
standing to the account of any person shall be conclusive and binding for all purposes) other than
with respect to the payment of any principal and interest on such Participating Notes, the right to
which shall be vested, as against the Issuer, solely in the bearer of the Participating Note, as
applicable, in accordance with and subject to its terms and the terms of the Trust Deed and “holder”
(in respect of Participating Notes) shall be construed accordingly.
“Participating Permanent Global Note” means the permanent global note issued in respect of the
Participating Notes in or substantially in the form set out in Schedule 1, Part B (Form of Permanent
Global Note) of the Trust Deed.
“Participating Temporary Global Note” means the temporary global note in bearer form to be
issued on the Issue Date in respect of the Participating Notes.
“Payment Account” means the account in the name of the Issuer held with the Account Bank so
entitled.
“Payment Date Report” means the report prepared by the Manager, on behalf of the Issuer, as of
each Determination Date.
“Payment Period” means, with respect to any Distribution Date, the three calendar month period
immediately preceding such Distribution Date, or (a) in the case of the Payment Period relating to the
first Distribution Date, the period commencing on the Issue Date and ending on the day immediately
preceding such Distribution Date and (b) in the case of the Payment Period applicable to the
Distribution Date which is the Maturity Date of any Note, ending on the day preceding such
Distribution Date) both inclusive.
“Permanent Global Notes” means the Senior Funding Permanent Global Note and the Participating
Permanent Global Note.
“Person” means an individual, corporation (including a business trust), partnership (including any
limited partnership or any limited liability partnership), joint venture, association, joint stock company,
trust (including any beneficiary thereof), unincorporated association or government or any agency or
political subdivision thereof.
"Performance Fee" means a Performance Fee of 20% of all amounts available to be distributed to
Participating Noteholders after the Benchmark Return has been reduced to zero and payable into the
Performance Fee Account on each Distribution Date in accordance with the Priorities of Payment.
“Performance Fee Account” means the account in the name of the Issuer held with the Account
bank so entitled.
“Portfolio” means the Portfolio Collateral and Eligible Investments held by or on behalf of the Issuer
from time to time.
“Portfolio Collateral” means the pool of Collateral Debt Securities and Credit Default Swaps
purchased by the Issuer (or on its behalf) on the Issue Date (if any) and from time to time thereafter.
“Principal Balance” means, (A) with respect to each Collateral Debt Security (excluding Revolving
Collateral Debt Securities) and/or Eligible Investment, as of any date of determination, the
outstanding principal amount thereof (subject, in the case of Eligible Investments, to the definition of
Balance) and (B) with respect to each Revolving Collateral Debt Security, as at the date of
45
determination, shall be the outstanding principal amount thereof, plus the amounts standing to the
credit of the Revolving Reserve Account related thereto and all amounts of Revolving Collateral Debt
Securities Amount designated to such Revolving Collateral Debt Security. Where a Collateral Debt
Security is denominated in a currency other than euro, the Principal Balance shall be calculated by
converting the non-euro amount into euros using the foreign exchange rate set out under the relevant
Currency Hedge Agreement for such Collateral Debt Security.
“Principal Collection Account” means the interest bearing account of the Issuer with the Account
Bank so entitled.
"Principal Paying Agent" means BNP Paribas Securities Services, Luxembourg Branch.
“Principal Proceeds” shall mean all amounts transferred to the Principal Collections Account during
the applicable Payment Period.
“Priorities of Payment” means, in the case of Interest Proceeds, the priorities of payment set out
under “Interest Waterfall” in the Conditions and, in the case of Principal Proceeds, the priorities of
payment set out under “Principal Waterfall” in the Conditions.
“Programme” means the multi-issuer secured note programme described in the Base Prospectus.
"Prospectus" means the Base Prospectus and Series Prospectus together.
"Prospectus Directive" means Directive 2003/71/EC.
“Purchased Accrued Interest” means with respect to any Payment Period, all payments of interest
received during such Payment Period on the Portfolio Collateral and Eligible Investments to the extent
such payments constitute proceeds from accrued interest purchased with Principal Proceeds and/or
the proceeds from the issuance of the Notes.
“Ramp-up Date” means the date falling on the first anniversary of the Issue Date (or, if such day is
not a Business Day, the next succeeding Business Day).
“Ramp-Up Period” means the period beginning on the Issue Date and ending on, but excluding, the
Ramp-Up Date.
“Rating Agencies” means Fitch, S&P and Moody's or, if at any time either Fitch, S&P or Moody's
ceases to provide rating services, any other internationally recognised investment rating agency
appointed by the Issuer, with the prior written approval of the Trustee. In the event that at any time the
Rating Agencies do not include either or both of Fitch or S&P, references to rating categories of such
rating agency, in the Conditions, the Trust Deed and the Transaction Documents shall be deemed
instead to be references to the equivalent categories of such other rating agency as of the most
recent date on which such other rating agency published ratings for the type of security in respect of
which such alternative rating agency is used.
“Rating Agency” means each and any of the Rating Agencies.
“Redemption Date” means the earlier to occur of:
(a)
the Maturity Date;
(b)
the redemption in full of the Series 1 Participating Notes by way of optional redemption or the
redemption following the end of the Reinvestment Period as described herein and
(c)
the date of the realisation of the security over the Collateral in the event that the Series 1
Participating Notes are accelerated following the occurrence of an event of default.
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“Redemption Determination Date” means the day falling 5 Business Days prior to the proposed
Redemption Date.
“Redemption Notice” means a redemption notice in the form available from any of the Paying Agents
which has been duly completed by a Noteholder and which specifies, inter alia, the applicable
Redemption Date.
“Redemption Price” means, when used with respect to:
(a)
any Senior Funding Note to be redeemed pursuant to the conditions thereof, 100 per cent. of
the principal amount Outstanding of such Senior Funding Note to be redeemed, together with
interest accrued thereon to the date of redemption or in the case of a partial redemption, 100
per cent. of the principal amount Outstanding of the relevant portion of such Senior Funding
Note to be redeemed together with interest accrued thereon to the date of redemption save to
the extent otherwise specified in the conditions thereof;
(b)
any Participating Note to be redeemed pursuant to the Conditions, such Participating Note's
pro rata share (based on the proportion which the principal amount Outstanding of such
Participating Note bears to the aggregate principal amount Outstanding of all Participating
Notes immediately prior to such redemption) of the aggregate proceeds of liquidation of the
Collateral or realisation of the security thereover in such circumstances remaining following
application thereof in accordance with the Priorities of Payment.
“Reference Obligation” means a Collateral Debt Obligation relating to a Credit Default Swap.
“Regulation S” means Regulation S under the Securities Act.
"Reinvestment Account" means an interest-bearing account into which all amounts that would
otherwise be available for distribution shall be held pending re-investment in the Portfolio.
“Reinvestment Period” means the period from and including the Issue Date to and including the later
to occur of (a) the 31 July 2012 (adjusted in accordance with the Modified Following Business Day
Convention) and (b) such later date selected pursuant to one or more Auction Call Extensions.
“Replacement Currency Hedge Agreement” means any replacement currency hedge agreement
entered into after any replacement of the initial Currency Hedge Agreement.
“Report” means the Monthly Report and the Payment Date Report.
“Reservations” means (i) the principle that equitable remedies are remedies which may be granted
or refused at the discretion of the court; (ii) the limitation of enforcement by laws relating to
bankruptcy, insolvency, liquidation, court protection, reorganisation, court schemes, moratoria,
administration and other laws generally affecting the rights of creditors, the time barring of claims
under any applicable limitation acts; (iii) the exceptions to the enforceability of choice of governing law
and choice of jurisdiction clauses contained in the Rome Convention on The Law Applicable to
Contractual Obligations and Council Regulation (EC) No. 44/2001 (the “Brussels Regulation”)
respectively; and (iv) the possibility that a court may strike out provisions of a contract as being invalid
for reasons of oppression, undue influence or similar reasons.
“Revolving Collateral Debt Security” means any Collateral Debt Security that pursuant to the terms
of its Underlying Instruments may require one or more future advances in Euro to be made to the
obligor by the Issuer, but any such Collateral Debt Security will be a Revolving Collateral Debt
Security only until all commitments to make advances to the obligor expire or are terminated or
reduced to zero.
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“Revolving Reserve Account” means the bank account of the Issuer with the Account Bank into
which amounts equal to the Unfunded Amounts in respect of Revolving Collateral Debt Securities and
certain principal payments received in respect of Revolving Collateral Debt Securities, are paid.
“Revolving Reserve Account Amounts” means an amount which upon the acquisition of any
Revolving Collateral Debt Security the Issuer shall deposit into the Revolving Reserve Account and
shall maintain therein from time to time the an amount equal to the aggregate principal amounts of the
Unfunded Amounts under each of such Revolving Collateral Debt Securities.
“S&P” means Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc.
and includes any successors to its rating business.
“Sale Proceeds” means (a) in the case of any Collateral Debt Security (other than a Reference
Obligation which is subject to hedging arrangements), all proceeds (including any fees received in
connection with such sale and Purchased Accrued Interest) excluding interest designated as Interest
Proceeds by the Manager (such designation not to exceed the total amount of the accrued interest)
received upon the sale of any Collateral Debt Security pursuant to the terms of the Collateral
Management Agreement, and (b) in the case of any Collateral Debt Security which is a Reference
Obligation that is subject to a Credit Default Swap, all amounts payable by the applicable Credit
Default Swap Counterparty under the related Credit Default Swap in exchange for payment by the
Issuer of the sale proceeds of any Collateral Debt Security as described in (a) above, in each case
net of any amounts expended by or payable by the Manager or the Cash Manager (on behalf of the
Issuer) in connection with such sale or other disposition.
“Secured Obligations” means all present and future obligations and liabilities (whether actual or
contingent) of the Issuer to:
(a)
the Noteholders pursuant to the Conditions and the provisions of the Trust Deed;
(b)
the Trustee pursuant to the Trust Deed;
(c)
the Agents pursuant to the Agency Agreement;
(d)
the Manager pursuant to the Collateral Management Agreement;
(e)
the Cash Manager pursuant to the Cash Management Agreement;
(f)
the Arranger pursuant to the Subscription Agreement;
(g)
any Currency Hedge Counterparty pursuant to the Currency Hedge Agreements;
(h)
the Corporate Administrator pursuant to the Corporate Administration Agreement;
(i)
the Calculation Agent pursuant to the Calculation Agency Agreement;
(j)
any Interest Rate Hedging Counterparty pursuant to the Interest Rate Hedging
Agreements;
(k)
any Credit Default Swap Counterparty pursuant to the Credit Default Swaps; and
(l)
any Additional Secured Party.
“Secured Party” means each of the Participating Noteholders, the Manager, the Cash Manager, the
Trustee, the Agents, the Arranger, the Corporate Administrator, any Currency Hedge Counterparty,
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any Interest Rate Hedging Counterparty, any Credit Default Swap Counterparty and each Additional
Secured Party and “Secured Parties” means all of the above.
“Securities Act” means the United States Securities Act of 1933, as amended.
“Security” means the security created by the Issuer in favour of the Trustee pursuant to the terms of
the Trust Deed.
“Seller” means any Person from whom the Issuer purchases any Portfolio Collateral.
"Senior Funding Notes" or “Senior Notes” means a class of notes or loans which will be senior to
the Series 1 Participating Notes and secured on the portfolio on a limited recourse basis.
“Senior Funding Permanent Global Note” means any permanent global note issued in respect of
the Senior Funding Notes (if any).
“Senior Funding Temporary Global Note” means any temporary global note in bearer form issued
in respect of the Senior Funding Notes (if any).
"Series 1 Participating Notes" or “Participating Notes” means the €143,550,000 Series 1
Participating Notes due 2015.
“Series Conclusion Amount” means an amount payable on the Redemption Date to the Issuer
Share Capital Account solely in the event that, on the Redemption Date, the Issuer will not thereafter
have outstanding any other Series of Notes, such amount to be agreed among the Manager and the
Corporate Services Provider as being equal to the anticipated administrative costs of the Issuer for
one calendar year following the Redemption Date.
"Series Prospectus" means the Series Prospectus dated 10 July 2008.
“SME CLO” means any CLO that entitles the holders thereof to receive payments that depend
(except for rights or other assets designed to assure the servicing or timely distribution or proceeds to
holders of such CLO) on the cash flow from corporate loans to small and medium sized enterprises.
“Structured Finance Security” means any debt security that is issued in connection with the
securitisation of operating cash flows of an obligor that is not an Asset Backed Security.
“Senior Funding Global Note” means the Senior Funding Note represented by a global note in
bearer form.
“Senior Funding Temporary Global Note” means the temporary global note in bearer form to be
issued on the Subsequent Issue Date in respect of an issuance of Senior Funding Notes hereunder.
“Subsequent Issue Date” means any date upon which Further Notes are issued subject to Condition
17 (Further Issues).
“Supplemental Deed” means the supplemental deed dated the Issue Date and made between,
among others, the Issuer, the Trustee and the Manager.
“Swap Agreement” means any Currency Hedge Agreement, Interest Rate Hedge Agreement or
Credit Default Swap.
"Temporary Disability" means the inability to devote such time and effort to the investment and other
activities of managing the Portfolio for any period of up to 45 days within a period of 360 days, due to
physical, mental or emotional incapacity resulting from injury, sickness or disease.
49
“Temporary Global Notes” means the Senior Funding Temporary Global Note and the Participating
Temporary Global Note.
“Test Request” means each notice (in such form as may be agreed between the Manager and the
Calculation Agent from time to time and which may for the avoidance of doubt, be given by e-mail)
from the Manager to the Calculation Agent notifying the Calculation Agent that the Issuer (or the
Manager on behalf of the Issuer), wishes to purchase or dispose of a Collateral Debt Security
specifying all details so required of the proposed Collateral Debt Security to be purchased or
disposed and requesting the Calculation Agent to carry out the necessary tests in accordance with
the Calculation Agency Agreement and notify the Manager the extent to which the relevant tests were
satisfied or were not satisfied such notice to be copied to the Issuer and the Trustee.
“Transaction Creditors” means each of the Secured Parties and any other Person to whom the
Issuer owes any obligations from time to time.
“Transaction Documents” means the Trust Deed, the Collateral Management Agreement, the Cash
Management Agreement, the Agency Agreement, the Calculation Agency Agreement, the
Subscription Agreement, the Corporate Administration Agreement and any Swap Agreement.
"Trust Deed" means the Master Trust Terms July 2008 Edition as supplemented by the
Supplemental Deed.
"Trustee" means Capita Trust Company Limited.
“Trustee and Agents Fees and Expenses” means the fees and expenses and other amounts
payable to the Trustee pursuant to the Trust Deed and to the Agents pursuant to the Agency
Agreement, the Calculation Agency Agreement and the Conditions from time to time.
“U.S.” or “U.S.A.” means the United States of America.
“Underlying Instrument” means with respect to any Collateral Debt Security, any indenture, pooling
and servicing agreement, trust agreement, instrument, or other agreement pursuant to which such
Collateral Debt Security has been created or issued or of which the holders of such Collateral Debt
Security are the beneficiaries, and any instrument evidencing or constituting such Collateral Debt
Security (in the case of any Collateral Debt Security evidenced by or in the form of instruments).
“Unfunded Amount” means, with respect to any Revolving Collateral Debt Security, the excess, if
any, of (i) the Commitment Revolving Collateral Debt Security Amount under such Revolving
Collateral Debt Security, at such time over (ii) the Funding thereof at such time.
“Uninvested Proceeds Account” means the account of the Issuer held with the Account Bank so
entitled.
2.
Principles of Interpretation and Construction
Save where the contrary is indicated, any reference in the Transaction Documents to:
i)
a particular Transaction Document or any other agreement or document shall be construed as
a reference to that Transaction Document or, as the case may be, such other agreement or
document as the same may have been, or may from time to time be amended, varied, novated
or supplemented in accordance with its terms or the terms of any other Transaction Document;
50
ii)
a statute shall be construed as a reference to such statute as the same may have been, or
may from time to time be, amended or re-enacted to the extent such amendment or reenactment is substantially to the same effect as such statute on the date hereof;
iii)
references to fees, costs, charges or expenses shall include any value added tax or similar
charged or chargeable in respect thereof; and
iv)
a time of day shall be construed as a reference to London time.
Clause, Part and Schedule headings are for ease of reference only.
In this Master Definitions Schedule and in any agreement, instrument or deed in which this Master
Definitions Schedule is expressed to be incorporated or to which this Master Definitions Schedule is
expressed to apply:
a)
words denoting the singular number only shall include the plural number also and vice versa;
b)
words denoting one gender only shall include the other genders;
c)
words denoting persons only shall include firms and corporations and vice versa;
d)
references to any statutory provision shall be deemed also to refer to any statutory
modification or re-enactment thereof or any statutory instrument, order or regulation made
thereunder or under any such re-enactment; and
e)
references to any agreement or other document shall be deemed also to refer to such
agreement or document as amended or varied or supplemented or novated from time to time.
Save where the context otherwise requires, references in any Transaction Document (or other
document incorporating the terms hereof) to any party to the Transaction Documents (or other
document incorporating the terms hereof) shall include references to its successors and permitted
assigns, whether in security or otherwise, whomsoever.
Save where the context otherwise requires, references in any Transaction Document (or other
document incorporating the terms hereof) to any statutory provision shall be deemed also to refer to
any statutory modification or re-enactment thereof or to any statutory instrument, order or regulation
made thereunder or under any such re-enactment.
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Appendix 2
Form of Monthly Report
52
REGISTERED OFFICE OF THE ISSUER
1 Adelaide Court
Adelaide Road
Dublin 2
Ireland
THE MANAGER AND CALCULATION AGENT
AE Global Investment Solutions Ltd
Bessborough House
17 Cavendish Square
London W1G 0PH
THE TRUSTEE
Capita Trust Company Ltd
7th Floor, Phoenix House
18 King William Street
London EC4N 7HE
THE CASH MANAGER, THE ACCOUNT BANK,
THE CUSTODIAN AND THE PRINCIPAL PAYING AGENT
BNP Paribas Securities Services, Luxembourg Branch
33, rue de Gasperlich
Howald-Hesperange
L-2085 Luxembourg
LEGAL ADVISORS
To the Issuer and the Manager as to Irish Law
To the Issuer as to Spanish Law
Maples and Calder
75 St. Stephens Green,
Dublin 2, Ireland
Allen & Overy
Pedro de Valdivia 10
28006 Madrid
Spain
To the Manager as to English Law
To the Trustee as to Irish law
Speechly Bircham LLP
6 New Street Square,
London EC4A 3LX
LK Shields Solicitors
39/40 Upper Mount Street,
Dublin 2,
Ireland
To the Manager as to English Regulatory Law
Sidley Austin LLP
Woolgate Exchange
25 Basinghall Street
London EC2V 5HA
IRISH LISTING AGENT
Maples and Calder
Error! Unknown document property name.
75 St. Stephens Green
Dublin 2, Ireland
Error! Unknown document property name.
54