Amendments to Series 2008-115 Notes

9th Jan 2009 07:00



JPMorgan Chase & Co. 

8 January, 2009

 

Company Announcement

JPMorgan Chase & Co.

270 Park Avenue

New York, New York 10017-2070

U.S.A.(the "Issuer")

8 January, 2009

Re: JPMorgan Chase & Co. Series 2008-115 Notes

Amendments to 80,000,000 Fixed Rate Single Name Cash Settled Notes linked to Merrill Lynch & Co., Inc. due 2013 issued by JPMorgan Chase & Co. pursuant to the U.S.$14,000,000,000 Structured Euro Medium Term Note Programme of JPMorgan Chase & Co. (ISIN: XS0388846114) (the "Notes").

We refer to the Series Prospectus in respect of the Notes approved by the UKLA on October 1, 2008 (the "Series Prospectus").

The Issuer wishes to announce that pursuant to the written consent of the holders of 100 per cent. of the Aggregate Nominal Amount of the Notes on 6 January 2009 (the "Effective Date") and with effect from and including the Effective Date, the Terms and Conditions of the Notes were amended and restated so as to be in the form set out in Annex 1 hereto.

Capitalised terms used but not defined herein shall have the meaning given to them in the Series Prospectus.

  

ANNEX 1: AMENDED AND RESTATED TERMS AND CONDITIONS

Part A - Terms and Conditions of the Notes

The terms and conditions of the Notes shall consist of the terms and conditions set out in the Base Prospectus (the "Base Conditions") as amended or supplemented below. References in the Base Conditions to Final Terms shall be deemed to refer to the terms set out below.

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933 AS AMENDED (THE "SECURITIES ACT") AND THE NOTES COMPRISE BEARER NOTES THAT ARE SUBJECT TO U.S. TAX LAW REQUIREMENTS. SUBJECT TO CERTAIN EXCEPTIONS, THE NOTES MAY NOT BE OFFERED, SOLD, OR DELIVERED WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT ("REGULATION S")). THIS SERIES PROSPECTUS HAS BEEN PREPARED BY THE ISSUER FOR USE IN CONNECTION WITH THE OFFER AND SALE OF THE NOTES OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS IN RELIANCE ON REGULATION S AND FOR LISTING OF THE NOTES ON THE LONDON STOCK EXCHANGE. 

THE RETURN ON YOUR NOTE IS, IN PART, LINKED TO WHETHER A CREDIT EVENT OCCURS WITH RESPECT TO THE REFERENCE ENTITY. YOUR ACCEPTANCE OF THE NOTES CONSTITUTES A REPRESENTATION THAT YOU HAVE UNDERTAKEN SUCH INVESTIGATION OF THE REFERENCE ENTITY, AND SUCH OTHER MATTERS AS YOU DEEM RELEVANT, AS YOU MAY DEEM NECESSARY OR APPROPRIATE IN ORDER FOR YOU TO EVALUATE THE RISKS TO YOU OF YOUR INVESTMENT IN THE NOTES.

1.	Issuer:		JPMorgan Chase & Co.
2.	(i)  Series Number:		2008-115
	(ii)  Tranche Number:		01
3.	Specified Currency or Currencies:		Mexican Pesos ("MXN"), the lawful currency of the United Mexican States ("Mexico"). MXN will be deemed to include any successor currency of Mexico.
4.	Aggregate Nominal Amount of Notes admitted to trading:
	(i)  Series:		MXN 80,000,000
	(ii)  Tranche:		MXN 80,000,000
5.	(i)  Issue Price:		100.00 per cent. of the Aggregate Nominal Amount.
	(ii)  MXN Proceeds		MXN 80,000,000
6.	(i)  Specified Denominations:		MXN 1,000,000
	(ii)  Calculation Amount:		MXN 1,000,000
7.	(i)  Issue Date:		October 3, 2008
	(ii)  Interest Commencement Date:		Credit Event Date (if any)
8.	Maturity Date:		October 3, 2013 (the "Scheduled Maturity Date"), provided that: (i) if  a Credit Event has occurred prior to or on the Cut-off Date relating to the Scheduled Maturity Date, in respect of which the Final Valuation Date has not then occurred, the Maturity Date shall be the final Credit Event Payment Date; and (ii) the Maturity Date may also be postponed as a result of the occurrence of a Convertibility Event.  If the Maturity Date is not a Business Day, it will be adjusted to the next following Business Day.
			In the event that the Maturity Date is postponed in accordance with the above provisions, no additional amount shall be payable in respect of interest from the Scheduled Maturity Date as a result of such postponement.
9.	Interest Basis:		Fixed Rate.
10.	Redemption/Payment Basis:		Redemption at par (subject to payment, in respect of each Note, of the Additional Credit Event Amount. Further particulars specified in paragraph 35 below.
11.	Change of Interest or Redemption/ Payment Basis:		Not Applicable (but see further particulars relating to Additional Credit Event Amounts specified in paragraph 35 below).
12.	Put/Call Options:		Not Applicable
13.	Status of the Notes:		Senior
14.	Method of distribution:		Non-syndicated
PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE
15.	Fixed Rate Note Provisions:		Applicable upon the occurrence of a Credit Event.
	(i)  Rate(s) of Interest:		8.60 per cent. per annum
	(ii)  Interest Payment Date(s):		Each Reference Interest Payment Date falling after the Credit Event Date commencing on the first Reference Interest Payment Date to so fall, provided that if such date is not a Business Day, then the Interest Payment Date shall be the first following Business Day.  "Reference Interest Payment Date" means the third calendar day of April and October of each year, commencing on and including April 3, 2009 and ending on but including the Scheduled Maturity Date.
	(iii)  Fixed Coupon Amount(s):		Not Applicable, provided that interest will be payable upon the occurrence of a Credit Event and notwithstanding Condition 4(a), the amount of interest payable in respect of each Note and in respect of an Interest Period shall be determined per Specified Denomination by the Calculation Agent according to the following formula:
			MXN 1,000,000 x Rate of Interest x Day Count Fraction
	(iv) Broken Amount(s):		Not Applicable
	(v) Day Count Fraction:		Act/360
	vi)  Determination Dates:		Not Applicable
	vii) Other terms relating to the method of calculating interest for Fixed Rate Notes:		Not Applicable
16.	Floating Rate Note Provisions:		Not Applicable
17.	Zero Coupon Note Provisions:		Not Applicable
18.	Index Linked Interest Note/Other variable- linked interest Note Provisions:		Not Applicable
19.	Dual Currency Note Provisions:		Not Applicable (subject to payments in USD in the event of a Convertibility Event)
PROVISIONS RELATING TO REDEMPTION
20.	Issuer Call:		Not Applicable
21.	Investor Put:		Not Applicable
22.	Final Redemption Amount of each Note:		The Final Redemption Amount payable in respect of each Note on the Scheduled Maturity Date shall be MXN 1,000,000 per Calculation Amount. See also provisions relating to "Additional payment following Credit Event" in paragraph 35 below.
23.	(i)  Early Redemption Amount(s) of each  Note payable on redemption for taxation  reasons or on event of default (or in the  case of Index Linked Redemption Notes,  following an Index Adjustment Event in  accordance with Condition 5(h)(iii) or  other early redemption and/or the method  of calculating the same (if required or if  different from that set out in the  Conditions):		Condition 5(c) shall not apply to the Notes. In the case of early redemption on event of default, the Final Redemption Amount of each Note.
	(ii)  Unmatured Coupons to become void  upon early redemption (Bearer Notes  only) (Condition 8):		Yes
24.	Index Linked Redemption Notes:		Not Applicable
25.	Credit Linked Notes:		Applicable
		(i) Reference Entity:		Merrill Lynch & Co., Inc. and any Successors
		(ii) Credit Event(s):		As set out in the North American Trading Standards Annex below
		(iii) Calculation Agent responsible for determining the occurrence of a Credit Event(s) and amount payable/deliverable in the event of such Credit Event(s):		J.P. Morgan Chase Bank, N.A.
		(iv) Relevant provisions on the occurrence of a Credit Event(s):		As set out in the provisions contained in Schedule 1 of these Final Terms and paragraph 35 below
	(v) Other terms or special conditions:				As set out in the provisions contained in Schedule 1 of these Final Terms, provided that the following amendments shall apply: (i) all references to the "Company" shall be read and construed as references to the Issuer; (ii)  all references to "Swap Counterparty", "Morgan", "Morgan Business Day", "Liquidation", "Liquidation Proceeds", "Notional Swap Early Termination Amount", "Outstanding Charged Assets", "Broker", "Custodian", "Issuing Counterparty", "Confirmation", "Reference Portfolio", "Seller", "Swap Agreement, "Swap Transaction" "Primary Morgan Floating Amount", "Secondary Morgan Floating Amount", "Primary Morgan Fixed Amount", "Secondary Morgan Fixed Amount" and "Uncured Default" shall be deemed to be of no effect and the provisions of Schedule 1 shall be read and construed accordingly; (iii) all references to "Payment Business Days" shall be read as references to the Business Days;  (iv) all references to "Conditions" shall be read as references to the Terms and Conditions of the Notes; (v) all references to "Redemption Amount" payable upon a Credit Event shall be read as references to the "Additional Credit Event Amount";  (vi) sub-clause (iv) of the definition of "Grace Period" in Section 1.12 of Schedule 1 shall not apply; (vii) Section 2.2(b)(III)(A) of Schedule 1 shall be amended such that: (a) the reference to "the Maturity Date" in the ninth line shall be read as a reference to "Credit Event Payment Date"; and (b) the sentence beginning "In addition, if no Credit Event occurs" shall be deleted in its entirety; (viii) Section 2.2(b)(III)(B) of Schedule 1 shall, for the avoidance of doubt, be of no effect for the purpose of the Notes; (ix) Section 2.2(b)(III)(C) of Schedule 1 shall be deleted in its entirety and replaced with the following:  "More than one Credit Event may occur but, subject always to the provisions relating to Multiple Credit Event Notices, not more than one Credit Event may occur with respect to a single Successor."; (x) Section 2.2(e) of Schedule 1 shall be amended by the inclusion of the following words after the words "Successor Reference Entity" in the first line of the penultimate paragraph: "(other than the original Reference Entity if the original Reference Entity is itself identified as the Successor Reference Entity)"; (xi) Section 2.20 of Schedule 1 shall be amended by the inclusion of the word "(a)" after the words "Section 2.15" in the first line thereof; and (xii) the fourth paragraph of Section 3.9 of Schedule 1 shall be amended such that; (a) references to "principal and interest payable under the Notes" in the fourth line thereof shall be read as references to the "Additional Credit Event Amount"; (b) the reference to "Condition 11" shall be read as a reference to "Condition 5"; and (c) the sentence beginning "Notwithstanding the provisions of Condition 6" shall be deleted in its entirety. Notwithstanding the provisions of Schedule 1 of these Final Terms: (i)  the Calculation Agent shall be deemed to have provided sufficient information for the purposes of determining any Final Price with respect to any Reference Obligation (regardless of the form of the same), if it has provided the relevant Dealers with:  a detailed description of the Reference Obligation; and (b) in the event that such obligation is in the form of a Bond or Loan, the outstanding principal balance or Due and Payable Amount of the Reference Obligation and if available, the CUSIP or ISIN number (if such identifying number is not available, the rate and tenor of the Reference Obligation); and (ii)  in the event that (a) a Benchmark Obligation specified for any Reference Entity is redeemed in whole or (b) in the opinion of the Calculation Agent (I) the aggregate amounts due under any Benchmark Obligation have been materially reduced by redemption or otherwise (other than due to any scheduled redemption, amortisation or prepayments, (II) any Benchmark Obligation is an Underlying Obligation with a Qualifying Affiliate Guarantee of a Reference Entity and, other than due to the existence or occurrence of a Credit Event, the Qualifying Affiliate Guarantee of that Reference Entity is no longer a valid and binding obligation of such Reference Entity enforceable in accordance with its terms, or (III) for any reason, other than due to the existence or occurrence of a Credit Event, any Benchmark Obligation is no longer an obligation of the Reference Entity, the Calculation Agent may, at any time after such event identify an Obligation to replace such Benchmark Obligation. Any substitute Benchmark Obligation shall be an Obligation that (a) ranks pari passu or, if no such Obligation exists (in the Calculation Agent's discretion) ranks senior in priority of payment with the Benchmark Obligation as of the later of (I) (A) the Trade Date or (B) the date on which the related entity becomes a Reference Entity and (II) the date on which such Benchmark Obligation was issued or incurred (and not reflecting any change to such ranking in priority of payment after such date); (b) in the opinion of the Calculation Agent preserves the economic equivalent as closely as practicable as determined by the Calculation Agent of the delivery and payment obligations of the parties under the Notes; and (c) is an obligation of the Reference Entity (either directly or as provider of a Qualifying Affiliate Guarantee).
PAYMENTS/PHYSICAL DELIVERY
26.	Additional Financial Centre(s) or other special provisions relating to Payment Dates:				New York City, London, and for the avoidance of doubt, Mexico City
27.	Physical Delivery:				Not Applicable
GENERAL PROVISIONS APPLICABLE TO THE NOTES
28.	Form of Notes:				Bearer Notes
					Temporary Global Note exchangeable for a Permanent Global Note which is exchangeable for definitive Bearer Notes at the request of any holder or upon an Exchange Event, as set out in the Terms and Conditions.
29.	Talons for future Coupons or Receipts to be attached to Definitive Notes (and dates on which such Talons mature):				No
30.	Details relating to Partly Paid Notes: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences of failure to pay, including any right of the Issuer to forfeit the Notes and interest due on late payment:				Not Applicable
31.	Details relating to Instalment Notes:				Not Applicable
32.	Redenomination, renominalisation and reconventioning provisions:				Not Applicable
33.	New Global Note:				No
34.	Consolidation provisions:				Not Applicable
35.	Other final terms or special conditions:				Applicable
	Additional payment following Credit Event:				If a Credit Event occurs in the period from and including the Trade Date to and including the Credit Observation End Date, the Noteholders will receive, in respect of each Note, the Additional Credit Event Amount on the Credit Event Payment Date.
	Convertibility Event:				In the event that, at any time, the Government of Mexico by means of any law, rule, regulation or decree, takes any action (together a "Governmental Action") which is in effect or has effect on any relevant payment date, as the case may be, which legally or de facto prevents or has the effect of restricting or limiting:
					(i)  the general availability of MXN in Mexico,
					(ii)  the general availability of MXN in any foreign exchange market or the availability of MXN in commercially reasonable terms,
					(iii)  the exchange of U.S. dollars ("USD") for MXN, or
					(iv)  the transfer or receipt of MXN inside or outside of Mexico,
					(any such occurrence in clause (i), (ii), (iii) or (iv) being a "Convertibility Event"), then the Issuer, at its option, may deliver to or to the order of the Noteholders (to the extent and in the manner permitted by applicable law) (a) in Mexico the amount due in MXN, or (b) outside Mexico and the United States a USD amount to accounts designated by the Noteholders, or established by the Issuer for the benefit of Noteholders, calculated based on the MXN amount that was due, converted to USD based on the exchange rate on the date of determination, as determined by the Calculation Agent acting in good faith and in a commercially reasonable manner and, in either case, the Issuer's obligations shall be deemed fully satisfied and discharged upon transfer of the necessary amounts in the relevant currency.
	Taxation:				Condition 7 shall not apply to the Notes and shall be replaced by the following provision:
					The Issuer shall not be required to gross up for any taxes, including Mexican, United States or United Kingdom taxes.
	Additional Definitions:				For the purposes of the Conditions:
					"Additional Credit Event Amount" means, in respect of each Note, such Note's pro rata share of an amount in MXN determined by the Calculation Agent in accordance with the following formula: Aggregate Nominal Amount x Protection Leverage x (1 - Final Price)
					provided always that in the event that a Restructuring Credit Event has occurred with respect to the Reference Entity and the provisions of Schedule 1 relating to Multiple Credit Event Notices apply, the Additional Credit Event Amount calculated in respect of each Note following delivery of any Valuation Date Designation Notice shall be such Note's pro rata share of an amount in MXN determined by the Calculation Agent by multiplying (1-Final Price) by a portion of the product of the Aggregate Nominal Amount x Protection Leverage that bears the same proportion that the relevant Designated Amount bears to the initial Credit Position.
					"Business Day" means any day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in London, New York City and Mexico City.
					"Credit Event Payment Date" means the date that is five Business Days following the Final Valuation Date, and for the avoidance of doubt such date may be after the Scheduled Maturity Date. In the event that a Credit Event Payment Date occurs after the Scheduled Maturity Date, no additional amount shall be payable in respect of interest from the Scheduled Maturity Date to the Credit Event Payment Date.
					"Interest Period" mean each period from (and including) one Interest Payment Date to (but excluding) the next Interest Payment Date, provided that: (i) the first Interest Period shall commence on and include the Credit Event Date; and (ii) the final Interest Period shall, notwithstanding any postponement of the Maturity Date, end on and exclude the Scheduled Maturity Date.
					"Protection Leverage" means 2.15.
	Withholding Tax:				Notwithstanding Condition 7, all payments in respect of the Notes will be made subject to deduction or withholding for or on account of any present or future tax, assessment or other governmental charge, of whatever nature imposed or levied by or within any Tax Jurisdiction or by or within any political subdivision or taxing authority thereof or therein and the Issuer shall not be required to pay any Additional Amounts to any Noteholder as a result of any such deduction or withholding.
DISTRIBUTION
36.	(i) If syndicated, names of Managers:				Not Applicable
	(ii)  Stabilising Manager (if any):				Not Applicable
37.	If non-syndicated, name of relevant Dealer:				J.P. Morgan Securities Ltd.
38.	Whether TEFRA D rules applicable or TEFRA rules not applicable:				TEFRA D rules applicable
39.	Additional selling restrictions:				The Notes will not be and are not intended to be registered in the securities section of the Mexican National Securities Registry (Registro Nacional De Valores), and, therefore, the Notes are not and may not be offered publicly in Mexico, and may not be the subject of brokerage activities (within the meaning of the Mexican Securities Market Law) within Mexico. The Notes may be the subject of a private placement in Mexico, pursuant to Article 8 of the securities market law in effect locally.
GENERAL
40.	Additional steps that may only be taken following approval by an Extraordinary Resolution in accordance with Condition 12:				Not Applicable
ISIN: XS0388846114
Common Code: 038884611

LISTING AND ADMISSION TO TRADING APPLICATION 

These Terms and Conditions of the Notes comprise the final terms required to list and have admitted to trading the issue of Notes described herein pursuant to the U.S.$14,000,000,000 Structured Euro Medium Term Note Programme of JPMorgan Chase & Co.

DEEMED REPRESENTATIONS

By its purchase of a Note, the holder is deemed to have represented to the Issuer that (a) it is purchasing that Note as principal (and not as agent or in any other capacity); (b) it has the power to purchase that Note and to execute any documentation relating to that Note and has taken all necessary action to authorise such purchase and execution; (c) the Issuer is not acting as fiduciary for it; (d) it is not relying on any representations made by the Issuer with respect to that Note; (e) it 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, hedging, and trading decisions based upon such judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Issuer; and (f) it is a sophisticated investor and has purchased that Note with a full understanding of the terms, conditions and risks thereof and it is capable of and willing to assume those risks.

The Purchaser should be aware that the current turmoil in the credit markets affecting money centre banks and the U.S. credit markets generally, and the U.S. government response to such turmoil could adversely affect the value of the Notes and payments in accordance with the terms of the Notes. The consequences of recent financial markets legislation and the strategic investment by Bank of America in Merrill Lynch cannot be known at this time.

RESPONSIBILITY

The Issuer accepts responsibility for the information contained in these Terms and Conditions of the Notes.

Signed on behalf of the Issuer:

By: 

Duly authorised

  Part B - Other Information

1.	Listing and Admission to Trading
	(i)  Listing:	An application will be made to the UK Listing Authority for the Notes described in this Series Prospectus to be admitted to the Official List of the UK Listing Authority.
		An application will also be made to list the Notes on the Sistema International de Cotizationes ("SIC") maintained by the Bolsa Mexicana de Valores, S.A. de C.V.
	(ii)  Admission to trading:	An application will be made for the Notes to be admitted to trading on the London Stock Exchange's Regulated Market.
		An application will also be made for the Notes to be admitted to trading on the SIC.
	(iii)  Estimate of total expenses related to admission to trading:	The expenses relating to admission to trading will not be deducted from the net proceeds of the issue.
2	Ratings
	The expected rating for the Notes is Aa2 by Moody's. This is to be provided after the issuance of the Notes.
3.	Notification
	Not Applicable
4.	Interests of Natural and Legal Persons Involved in the Issue
	Save as discussed in the section entitled "Subscription and Sale" in the Base Prospectus, so far as the Issuer is aware, no person involved in the offer of the Notes has an interest material to the offer.
5.	Reasons for the Offer, Estimated Net Proceeds and Total Expenses
	(i)  Reasons for the offer	General corporate purposes (including hedging arrangements, and not for reasons other than making profit and/or hedging risks).
	(ii)  Estimated net proceeds (after estimated total expenses):	MXN 79,832,150
	(iii)  Estimated total expenses:	MXN 167,850, payable by the Dealer.
6.	Performance of Index/Formula/Other Variable
	Not Applicable
7.	Authorisation of Board
	The Notes are issued pursuant to authority granted by resolutions of the Board of Directors of the Issuer on January 18, 2005, and resolutions of the Borrowings Committee of the Issuer on November 30, 2005, November 1, 2006 and November 6, 2007.
8.	Operational Information
	(i) Intended to be held in a manner which would allow Eurosystem eligibility:	No
	(ii)  Any clearing system(s) and the address of such clearing system(s) other than Euroclear and Clearstream, Luxembourg and the relevant identification number(s):	Indeval
	(iii)  Delivery:	Delivery against payment
	(iv)  Additional Paying Agent(s) (if any):	Not Applicable
9.	Material Adverse Change
	Note: The disclosures under this Paragraph 9 are qualified in their entirety by all reports filed by the Issuer with the United States Securities and Exchange Commission subsequent to the date of the reports herein referenced. There has been no material adverse change in the prospects of the Issuer since December 31, 2007, except as disclosed in (A) the Annual Report of the Issuer for the year ended December 31, 2007, at (i) "Notes to Consolidated Financial Statements - Note 29: Commitments and Contingencies" (pages 167-168); (ii) Part I, Item 3, "Legal Proceedings" (pages 8-12); (iii) "Management's Discussion and Analysis - Executive Overview" (pages 28-30); (iv) "Management's Discussion and Analysis - Consolidated Results of Operations" (pages 31-35); (v) "Management's Discussion and Analysis - Business Segment Results" (pages 38-60); and (vi) "Management's Discussion and Analysis - Risk Management" (pages 69-95); (B) the Quarterly Report of the Issuer for the quarter ended March 31, 2008, including (i) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Other Business Events" (pages 5-6); (ii) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Executive Overview" (pages 7-10); (iii) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Consolidated Results of Operations" (pages 10-12); (iv) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Business Segment Results" (pages 15-37); (v) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Off-Balance Sheet Arrangements and Contractual Cash Obligations" (pages 44-46); (vi) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Liquidity Risk Management - Credit Ratings" (page 48); (vii) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Credit Portfolio" (page 49); (viii) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Wholesale Credit Portfolio" (page 50); (ix) "Management's Discussion and Analysis of Financial Condition and Results of Operations - Consumer Credit Portfolio" (page 57); (x) "Notes to Consolidated Financial Statements - Note 2: Business Changes and Developments" (pages 73-74); (xi) "Notes to Consolidated Financial Statements - Note 10: Securities" (Pages 85-86); (xii) "Notes to Consolidated Financial Statements - Note 18: Earnings per Share" (page 101); (xiii) "Notes to Consolidated Financial Statements - Note 20: Commodities and Contingencies (page 103); (xiv) "Notes to Consolidated Financial Statements - Note 21: Accounting for Derivative Instruments and Hedging Activities" (page 103); (xv) "Notes to Consolidated Financial Statements - Note 22: Off-Balance Sheet Lending-Related Financial Instruments and Guarantees" (pages 103-105); (C) the Form 14A for the Issuer dated March 31, 2008 filed by JPMorgan Chase & Co. with the SEC in relation to the acquisition by the Issuer of The Bear Stearns Companies, Inc., (D) the Form 8-Ks for the Issuer dated March 16, 2008, March 16, 2008, March 24, 2008, April 16, 2008, April 16, 2008, June 5, 2008, and July 31, 2008 filed by JPMorgan Chase & Co. with the SEC in relation to the acquisition by the Issuer of The Bear Stearns Companies, Inc. and the Issuer's results of operations and financial condition for the first six months ended June 30, 2008; (E) the Form 8-K/A for the Issuer dated June 30, 2008 filed by JPMorgan Chase & Co. with the SEC relating to guarantees given by the Issuer in respect of debts of Bear Stearns Companies Inc.; (F) the JPMorgan Chase & Co. June 30, 2008 Form 10-Q, including (i) Part I, Item 1, "Notes to Consolidated Financial Statements - Note 25: Commitments and Contingencies" (pages 121-122); (ii) Part I, Item 2, "Management's Discussions and Analysis - Executive Overview" (pages 7-10); (iii) Part I, Item 2, "Management's Discussions and Analysis - Consolidated Returns of Operations" (pages 11-14); (iv) Part I, Item 2, "Management's Discussions and Analysis - Business Segment Results" (pages 18-38); and (v) Part II, Item 1, "Legal Proceedings" (pages 136-139); and (G) the Form 8-K for the Issuer dated September 25, 2008 filed by filed by JPMorgan Chase & Co. with the SEC relating to the acquisition of certain assets and liabilities of the banking operations of Washington Mutual.
10.	Significant Change in Financial or Trading Position
	Note: The disclosures under this Paragraph 10 are qualified in their entirety by all reports filed by the Issuer with the United States Securities and Exchange Commission subsequent to the date of the reports herein referenced. There has been no significant change in the financial or trading position of the JPMorgan Chase & Co. group since September 30, 2008, except as disclosed in (A) the Form 8-Ks for the Issuer dated July 17, 2008 and July 31, 2008 filed by JPMorgan Chase & Co. with the SEC in relation to the acquisition by the Issuer of The Bear Stearns Companies, Inc. and the Issuer's results of operations and financial condition for the first six months ended June 30, 2008; (B) the Form 8-K/A for the Issuer dated June 30, 2008 filed by JPMorgan Chase & Co. with the SEC relating to guarantees given by the Issuer in respect of debts of Bear Stearns Companies Inc.; (C) the JPMorgan Chase & Co. June 30, 2008 Form 10-Q, including (i) Part I, Item 1, "Notes to Consolidated Financial Statements - Note 25: Commitments and Contingencies" (pages 121-122); (ii) Part I, Item 2, "Management's Discussions and Analysis - Executive Overview" (pages 7-10); (iii) Part I, Item 2, "Management's Discussions and Analysis - Consolidated Returns of Operations" (pages 11-14); (iv) Part I, Item 2, "Management's Discussions and Analysis - Business Segment Results" (pages 18-38); and (v) Part II, Item 1, "Legal Proceedings" (pages 136-139); and (D) the Form 8-K for the Issuer dated September 25, 2008 filed by filed by JPMorgan Chase & Co. with the SEC relating to the acquisition of certain assets and liabilities of the banking operations of Washington Mutual.
11.	Legal Proceedings
	Note: The disclosures under this Paragraph 11 are qualified in their entirety by all reports filed by the Issuer with the United States Securities and Exchange Commission subsequent to the date of the reports herein referenced. Except as disclosed (A) in the section entitled "Legal Proceedings" in the Annual Report of the Issuer for the year ended December 31, 2007 (pages 8-12); (B) Part I, Item 1, "Notes to Consolidated Financial Statements - Note 2: Business Changes and Developments" in the Quarterly Report of the Issuer for the quarter ended March 31, 2008 (page 74); and (C) Part I, Item 1, "Notes to Consolidated Financial Statements - Note 2: Business Changes and Developments" in the Quarterly Report of the Issuer for the quarter ended June 30, 2008 (page 80), neither the Issuer nor any of its subsidiaries is or has been involved in any governmental, legal or arbitration proceedings (including any such proceedings which are pending or threatened of which the Issuer is aware) during the 12 months preceding the date of this Series Prospectus which may have or have had in the recent past significant effects on the financial position or profitability of the Issuer and/or its subsidiaries.
12.	General
	The aggregate nominal amount of Notes issued has been translated into U.S. dollars at the rate of MXN 10.64 per USD 1.00 (being the applicable exchange rate on  September 24, 2008), producing a sum of: USD 7,518,797.
	The Issuer does not intend to provide post-issuance information. See Page 112 of the Base Prospectus.

  Schedule 1

ARTICLE I

CERTAIN GENERAL DEFINITIONS

Section 1.1. Credit Derivative Transaction.

N/A

Section 1.2. Confirmation.

N/A

Section 1.3. Term.

N/A

Section 1.4. Effective Date.

N/A

Section 1.5. Trade Date.

"Trade Date" means the date specified as such in the Swap Agreement or, as the case may be, the Final Terms.

Section 1.6. Scheduled Termination Date. 

N/A

Section 1.7. Termination Date. 

N/A

Section 1.8. Event Determination Date. 

N/A

Section 1.9. Notice Delivery Period. 

N/A

Section 1.10. Requirements Regarding Notices. 

N/A

Section 1.11. Grace Period Extension Date. 

N/A

Section 1.12. Grace Period; Grace Period Business Day.

(a) "Grace Period" means:

(i) subject to subclauses (ii) and (iii), the applicable grace period with respect to payments under the relevant Obligation under the terms of such Obligation in effect as of the later of (a) (x) the Trade Date or (y) if later, the date the relevant entity first becomes a Reference Entity and (b) the date as of which such Obligation is issued or incurred;

(ii) if with respect to a Reference Entity in respect of which Potential Failure to Pay applies, a Potential Failure to Pay has occurred on or prior to the Credit Observation End Date and the applicable grace period cannot, by its terms, expire on or prior to the Credit Observation End Date, the Grace Period shall be deemed to be the lesser of such grace period and the period specified as such in the relevant Standard or, if no period is specified, thirty calendar days;

(iii) if at such date referred to in (i) above, no grace period with respect to payments or a grace period with respect to payments of less than three Grace Period Business Days is applicable under the terms of such Obligation, a Grace Period of three Grace Period Business Days shall be deemed to apply to such Obligation, provided that, unless the Reference Entity is one in respect of which Potential Failure to Pay applies, such deemed Grace Period shall expire no later than the Credit Observation End Date; and

(iv) in the event that the Calculation Agent is not able to ascertain the Grace Period applicable with respect to any Obligation, it shall be deemed that the Grace Period with respect to that Obligation is thirty days. If the terms of the relevant Obligations are not publicly available such that the length of any grace period, conditions precedent to the commencement of any such grace period or whether any such conditions are satisfied cannot be established, it shall be deemed that the Grace Period is a period of thirty days from the due date for payment and all conditions precedent to the commencement thereof were satisfied on such due date.

(b) "Grace Period Business Day" means a day on which commercial banks and foreign exchange markets are generally open to settle payments in the place or places and on the days specified for that purpose in the relevant Obligation and if a place or places are not so specified, in the jurisdiction of the Obligation Currency.

Section 1.13. Potential Failure to Pay. "Potential Failure to Pay" means with respect to a Reference Entity in respect of which Potential Failure to Pay is applicable, the determination by the Calculation Agent that Publicly Available Information exists confirming the existence or occurrence of a failure on or before the Credit Observation End Date by a Reference Entity to make, when and where due, any payments in an aggregate amount of not less than the Payment Requirement under one or more Obligations, without regard to any grace period or any conditions precedent to the commencement of any grace period applicable to such Obligations, in accordance with the terms of such Obligations at the time of such failure. 

Section 1.14. Calculation Agent. 

N/A

Section 1.15. Calculation Agent City. 

N/A

Section 1.16. Valuation Business Day. "Valuation Business Day" means a day on which commercial banks and foreign exchange markets are generally open to settle payments in London, New York and TARGET and in any additional location that is specified as being applicable in the relevant Standard.

Section 1.17. Calculation Agent City Business Day. 

N/A

Section 1.18. Affiliate. "Affiliate" means, in relation to any person, any entity controlled, directly or indirectly, by the person, any entity that controls, directly or indirectly, the person or any entity, directly or indirectly, under common control with the person. For this purpose, "control" of any entity or person means ownership of a majority of the voting power of the entity or person.

Section 1.19. Buyer. 

N/A

Section 1.20. Seller. 

N/A

Section 1.21. TARGET Settlement Day. 

N/A

ARTICLE II

GENERAL TERMS RELATING TO CREDIT DERIVATIVE TRANSACTIONS

Section 2.1. Reference Entity. "Reference Entity" means each of the entities specified in or determined in accordance with the Swap Agreement or, as the case may be, the Final Terms and any Successors.

Section 2.2. Provisions for Determining a Successor.

(a) "Successor" means in relation to a Reference Entity that is not a Sovereign, the entity or entities, if any, determined as set forth below:

(i) if one entity directly or indirectly succeeds to seventy five per cent. or more of the Relevant Obligations of the Reference Entity by way of a Succession Event, that entity will be the sole Successor.

(ii) if one entity directly or indirectly succeeds to more than twenty five per cent. (but less than seventy five per cent.) of the Relevant Obligations of the Reference Entity by way of a Succession Event and not more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, the entity that succeeds to more than twenty five per cent. of the Relevant Obligations will be the sole Successor.

(iii) if more than one entity each directly or indirectly succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity by way of a Succession Event, and not more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, the entities that succeed to more than twenty five per cent. of the Relevant Obligations will each be a Successor and the Credit Position will be divided and the terms of the Notes and the provisions of the Swap Agreement, if any, will be amended in accordance with the provisions of paragraph (b) below.

(iv) if one or more entities each directly or indirectly succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity by way of a Succession Event and more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, each such entity and the Reference Entity will each be a Successor and the Credit Position will be divided and the terms of the Notes and the provisions of the Swap Agreement, if any, will be amended in accordance with the provisions of paragraph (b) below.

(v) If one or more entities directly or indirectly succeed to a portion of the Relevant Obligations of the Reference Entity by way of a Succession Event, but no entity succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity and the Reference Entity continues to exist, there will be no Successor and the Reference Entity and the Credit Position will not be changed in any way as a result of the Succession Event.

(vi) if one or more entities directly or indirectly succeed to a portion of the Relevant Obligations of the Reference Entity by way of a Succession Event, but no entity succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity and the Reference Entity ceases to exist, the entity which succeeds to the greatest percentage of Relevant Obligations (or, if two or more entities succeed to an equal percentage of Relevant Obligations, the entity from among those entities which succeeds to the greatest percentage of obligations) of the Reference Entity will be the sole Successor.

The Calculation Agent will be responsible for determining as soon as reasonably practicable after it becomes aware of the relevant Succession Event (but no earlier than fourteen calendar days after the legally effective date of the Succession Event) and with effect from the legally effective date of the Succession Event whether the relevant thresholds set forth above have been met, or which entity qualifies under Section 2.2(a)(vi), as applicable. In calculating the percentages used to determine whether the relevant thresholds set forth above have been met, or which entity qualifies under Section 2.2(a)(vi), as applicable, the Calculation Agent shall use in respect of each applicable Relevant Obligation included in such calculation, the amount of the liability in respect of such Relevant Obligation listed in "Best Available Information" below.

(b) Where pursuant to (a)(iii) or (a)(iv) above, one or more Successors has been identified, the following provisions will apply with effect from the Succession Date in respect of the Notes and the Swap Agreement:

(I) except in the case of (IV) below, each Successor shall be a Reference Entity for the purposes of the Conditions and the Swap Agreement;

(II) except in the case of (IV) below, the Credit Position of each such Successor shall be equal to the Credit Position of the Reference Entity to which that Successor relates, divided by the number of Successors (including that original Reference Entity if applicable) to that Reference Entity, provided that if any Successor was a Reference Entity immediately prior to the relevant Succession Event, the Credit Position determined in accordance with the previous sentence shall be added to the existing Credit Position of that Reference Entity;

(III) if the Notes or, as the case may be, the Swap Agreement is linked to a single Reference Entity and there is more than one Successor to that Reference Entity:

(A) The Notes will not redeem in whole upon the occurrence of a Credit Event in respect of a Successor but an Instalment Amount shall be payable each time a Credit Event occurs in respect of a different Successor which shall be calculated in the same way as the Redemption Amount payable upon the occurrence of a Credit Event of the original Reference Entity except that the Credit Position shall be the Credit Position of the relevant Successor and in respect of a Credit Event in respect of a Successor there shall only be a Liquidation of a portion of the Outstanding Charged Assets in an amount equivalent to the Credit Position of the relevant Successor (subject to adjustment for rounding). The Instalment Date for any such Instalment Amount shall be determined in accordance with the provisions for determining the Maturity Date following a Credit Event. In addition, if no Credit Event occurs with respect to any Successors an Instalment Amount will be due in respect of each such Successor on the Scheduled Maturity Date or, if an Uncured Default exists with respect to the relevant Successor on the Cut-off Date preceding the Scheduled Maturity Date, the Maturity Date, equivalent to the Credit Position of the relevant Successor. More than one Instalment Amount may be payable on the same day in respect of different Successors. 

(B) The amount of interest accruing and payable in respect of the Notes will be reduced with effect from the date on which it would have been reduced upon the occurrence of a Credit Event in respect of the original Reference Entity but the balance on which interest is calculated shall only be reduced by the Credit Position of the Successor in respect of which the relevant Credit Event occurred.

(C) More than one Credit Event may occur but not more than one Credit Event may occur with respect to a single Successor.

(D) The Swap Agreement will not terminate in whole upon the occurrence of a Credit Event in respect of a Successor.

(E) Under the Swap Agreement, upon each occurrence of a Credit Event of a Successor, the Issuing Counterparty and Morgan shall make payment or delivery of a portion of the amounts payable or assets deliverable following a Credit Event of the original Reference Entity, such portion being equal to the Credit Position of the relevant Successor divided by the Credit Position of the original Reference Entity and the Fixed Amounts and/or Floating Amounts payable by the parties shall continue to be payable but the Fixed Rate Payer Calculation Amounts and/or Floating Rate Payer Calculation Amounts on which such amounts are calculated shall be reduced from the date that such payments would have ceased to be payable following a Credit Event of the original Reference Entity by a portion equivalent to the Credit Position of the relevant Successor divided by the Credit Position of the original Reference Entity (subject to adjustment for rounding).

Upon the identification of more than one Successor, the Calculation Agent acting in good faith shall revise the Conditions to reflect the above provisions and preserve as far as possible the economic effects of the original Notes and the Company will cause such revised Conditions to be substituted for the original Conditions and such revised Conditions shall, in the absence of manifest error, be binding on the Company, the Trustee, the Noteholders, the Couponholders and the agents appointed under the Agency Agreement.

Upon the identification of more than one Successor, the Calculation Agent acting in good faith shall revise the provisions of the Swap Agreement to reflect the above provisions and preserve as far as possible the economic effects of the original Swap Agreement and Morgan and the Issuing Counterparty will cause such revised provisions to be substituted for the original provisions and such revised provisions shall, in the absence of manifest error, be binding on Morgan and the Issuing Counterparty.

(IV) If the Notes or, as the case may be, the Swap Agreement is linked to more than one Reference Entity and the Notes are issued on the basis that they will be redeemed in whole (or the Swap Agreement will be terminated) on the occurrence of a Credit Event in respect of a single Reference Entity, then

(A) if there is more than one Successor to the relevant Reference Entity and such Successors do not include any Reference Entity (other than the Original Reference Entity), the Calculation Agent has the right to select one of the Successors (including the Original Reference Entity) to be the Reference Entity in place of such Reference Entity and that Successor shall become a Reference Entity under the Notes and the Swap Agreement; or 

(B) if there is one or more Successors and such Successor or Successors include one or more Reference Entities (other than the Original Reference Entity) then (x) each of those Reference Entities (other than the Original Reference Entity, if the Original Reference Entity is a Successor), shall continue to be Reference Entities; and (y) the Calculation Agent shall, in its sole discretion, select a Replacement Entity to replace the Original Reference Entity. Such entity shall be deemed to be the sole Successor on and with effect from the date of the Succession Event (if the entity selected was a Successor) or from the date of notification to the parties, in any other case.

Such selection shall be final and binding in respect of the Notes, on the Company, the Trustee, the Noteholders, the Couponholders and the agents appointed under the Agency Agreement, and in respect of the Swap Agreement, Morgan and the Issuing Counterparty. The Calculation Agent shall give notice to the parties of the Replacement Entity so selected as soon as reasonably practicable after making such selection.

"Geographical Area" means North America, Europe or Asia Pacific, as the case may be.

"Original Reference Entity" means the Reference Entity which has been subject to the Succession Event.

"Replacement Entity" means an entity which is either:

(1) one of the Successors to the Original Reference Entity (including, if applicable, the Original Reference Entity); or

(2) an entity that is incorporated within the same Geographical Area as the Original Reference Entity and which is of a similar or better credit quality than the Original Reference Entity, as measured by Standard & Poor's, a Division of The McGraw-Hill Companies, Inc., and/or by Moody's Investors Service, at the date of the relevant Succession Event.

Notwithstanding, inter alia, its geographical location or type, any Successor to a Reference Entity to which a particular Standard applies shall be treated as a Reference Entity to which the same Standard applies. If (i) Reference Entities to which more than one Standard applies have the same Successor, or (ii) a Reference Entity to which one Standard applies is the Successor to a Reference Entity to which a different Standard applies then (a) for all purposes the provisions relating to Successor shall be applied separately to each category of Reference Entity to which a particular Standard applies and which is affected by the relevant Succession Event and (b) each relevant Successor and each entity involved shall be treated as a separate and distinct entity as it affects any category of Reference Entity to which a particular Standard applies from the same entity as it affects any other category of Reference Entity and (c) all provisions relating to Successor will be applied separately to any affected category of Reference Entity to which a particular Standard applies in respect of their respective Credit Positions (which, in the case of any Reference Entity to which "Multiple Credit Event Notices" is stated as being applicable in the relevant Standard and in respect of which a Restructuring Credit Event has occurred shall be its Remaining Credit Position) and in no event shall such Credit Positions be combined.

In selecting any Successor under (b)(IV) above, the Calculation Agent is under no obligation to the Noteholders, the Couponholders or any other person and, provided that the Successor selected meets the criteria specified above, is entitled, and indeed will endeavour, to select the least credit-worthy of the Successors. In making any selection, the Calculation Agent will not be liable to account to the Noteholders, the Couponholders, the Company, the Issuing Counterparty or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

(c) "Succession Event" means an event such as a merger, consolidation, amalgamation, transfer of assets or liabilities, demerger, spin-off or other similar event in which one entity succeeds to the obligations of another entity, whether by operation of law or pursuant to any agreement. Notwithstanding the foregoing, "Succession Event" shall not include an event in which the holders of obligations of the Reference Entity exchange such obligations for the obligations of another entity, unless such exchange occurs in connection with a merger, consolidation, amalgamation, transfer of assets or liabilities, demerger, spin off or other similar event.

(d) For purposes of Section 2.2 "succeed" means, with respect to a Reference Entity and its Relevant Obligations (or, as applicable, obligations), that a party other than such Reference Entity (i) assumes or becomes liable for such Relevant Obligations (or, as applicable, obligations) whether by operation of law or pursuant to any agreement or (ii) issues Bonds that are exchanged for Relevant Obligations (or, as applicable, obligations), and in either case such Reference Entity is no longer an obligor (primarily or secondarily) or guarantor or insurer with respect to such Relevant Obligations (or, as applicable, obligations). The determinations required pursuant to Section 2.2(a) shall be made, in the case of an exchange offer, on the basis of the outstanding principal balance of Relevant Obligations tendered and accepted in the exchange and not on the basis of the outstanding principal balance of Bonds for which Relevant Obligations have been exchanged.

(e) If:

(i) a Benchmark Obligation has been specified with respect to a Reference Entity,

(ii) one or more Successors to the Reference Entity have been identified by the Calculation Agent, and

(iii) any one or more such Successors have not assumed the Benchmark Obligation,

the Calculation Agent may identify a Benchmark Obligation for any or all of the Successor Reference Entities in accordance with the provisions of Section 2.30.

If the original Reference Entity is not identified as a Successor Reference Entity no further rights or obligations shall exist in relation to a Credit Event occurring with respect to that original Reference Entity unless, with respect to a Credit Event, notwithstanding that the determination that a Credit Event has occurred is made, or the Publicly Available Information is dated, on or after the relevant Succession Date, the relevant Failure to Pay, Repudiation/Moratorium, Restructuring, Obligation Acceleration or Bankruptcy (as applicable) occurred on or prior to the Succession Date in which case a Credit Event Date will occur with respect to the relevant event notwithstanding that the Reference Entity is, after the Succession Date, not a Reference Entity.

In respect of each Successor Reference Entity, any Failure to Pay, Repudiation/Moratorium, Restructuring, Obligation Acceleration or Bankruptcy (as applicable) which occurs prior to the Succession Date shall not constitute a Credit Event notwithstanding that Publicly Available Information with respect thereto is dated on or after the Succession Date, but without prejudice to any subsequent such event which occurs on or after the Succession Date (whether or not related to an earlier event) being a Credit Event, including a Failure to Pay which occurs on or after the Succession Date in respect of a Potential Failure to Pay which occurs prior to the Succession Date.

"Succession Date" means the legally effective date of the Succession Event or where (b)(iv) applies and the Replacement Entity is not a Successor, the date on which the Calculation Agent gives notice to the parties of its selection.

(f) N/A

(g) "Relevant Obligations" means the Obligations constituting Bonds and Loans of the Reference Entity outstanding immediately prior to the effective date of the Succession Event, excluding any debt obligations outstanding between the Reference Entity and any of its Affiliates, as determined by the Calculation Agent. The Calculation Agent will determine the entity which succeeds to such Relevant Obligations on the basis of the Best Available Information. If the date on which the Best Available Information becomes available or is filed precedes the Succession Date, any assumptions as to the allocation of obligations between or among entities contained in the Best Available Information will be deemed to have been fulfilled as of the Succession Date, whether or not this is in fact the case.

(h) "Best Available Information" means:

(i) in the case of a Reference Entity which files information with its primary securities regulator or primary stock exchange that includes unconsolidated, pro forma financial information which assumes that the relevant Succession Event has occurred or which provides such information to its shareholders, creditors or other persons whose approval of the Succession Event is required, that unconsolidated, pro forma financial information and, if provided subsequently to the provision of unconsolidated, pro forma financial information but before the Calculation Agent makes its determination for the purposes of this Section 2.2, other relevant information that is contained in any written communication provided by the Reference Entity to its primary securities regulator, primary stock exchange, shareholders, creditors or other persons whose approval of the Succession Event is required, or

(ii) in the case of a Reference Entity which does not file with its primary securities regulators or primary stock exchange, and which does not provide to shareholders, creditors or other persons whose approval of the Succession Event is required, the information contemplated in (i) above, the best publicly available information at the disposal of the Calculation Agent to allow it to make a determination for the purposes of this Section 2.2.

Information which is made available more than fourteen calendar days after the legally effective date of the Succession Event shall not constitute Best Available Information.

(i) In relation to a Sovereign Reference Entity, "Successor" means any direct or indirect successor(s) to that Reference Entity irrespective of whether such successor(s) assumes any of the obligations of such Reference Entity.

Section 2.3. Benchmark Obligation. "Benchmark Obligation" means, with respect to the relevant Reference Entity, the Benchmark Obligation specified in the Swap Agreement or, as the case may be, the Final Terms or such Obligation as may replace such Benchmark Obligation in accordance with the provisions of Section 2.30.

Section 2.4. Reference Price. 

N/A

Section 2.5. Fixed Amount. 

N/A

Section 2.6. Fixed Rate Payer. 

N/A

Section 2.7. Fixed Rate Payer Calculation Amount. 

N/A

Section 2.8. Fixed Rate Payer Period End Date. 

N/A

Section 2.9. Fixed Rate Payer Calculation Period. 

N/A

Section 2.10. Fixed Rate Payer Payment Date. 

N/A

Section 2.11. Business Day Convention.

N/A

Section 2.12. Floating Rate Payer. 

N/A

Section 2.13. Floating Rate Payer Calculation Amount.

N/A

Section 2.14. Obligation. "Obligation" means (a) each obligation of the relevant Reference Entity (either directly or (i) in respect of a Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of any Qualifying Guarantee, (ii) in respect of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable, as provider of any Qualifying Affiliate Guarantee or (iii) in respect of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies is specified as being applicable in the relevant Standard, any Qualifying Policy) determined pursuant to the method described in Section 2.19 (but excluding any Excluded Obligation); and (b) each Benchmark Obligation, unless specified in the applicable Final Terms or Swap Agreement as an Excluded Obligation.

Section 2.15. Reference Obligation. "Reference Obligation" means in respect of each Reference Entity, subject to Sections 2.32(a) and 2.33(a), an obligation as selected by the Calculation Agent in its sole discretion on or before the relevant Valuation Date, which is either:

(a) an obligation of the Reference Entity (either directly or (i) in respect of a Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of any Qualifying Guarantee and (ii) in respect of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable in the relevant Standard, as provider of any Qualifying Affiliate Guarantee or, in respect of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies is specified as being applicable in the relevant Standard, any Qualifying Policy) determined pursuant to the method described in Section 2.20 (but excluding any Excluded Reference Obligation) that (i) is payable in an amount equal to its outstanding principal balance or Due and Payable Amount, as applicable, (ii) is not subject to any counterclaim, defence (other than a counterclaim or defence based on the factors set forth in (a) to (d) of Section 11.2 below) or right of set off by or of a Reference Entity or, as applicable, an Underlying Obligor or Insured Obligor, as the case may be) and (iii) in the case of a Qualifying Guarantee other than a Qualifying Affiliate Guarantee is capable, at the Relevant Date, of immediate assertion or demand by or on behalf of the holder or holders against the Reference Entity for an amount at least equal to the outstanding principal balance or Due and Payable Amount being valued or delivered apart from the giving of any notice of non-payment or similar procedural requirement, it being understood that acceleration of an Underlying Obligation shall not be considered a procedural requirement; 

(b) the Benchmark Obligation (if any) for such Reference Entity; or

(c) solely in relation to a Restructuring Credit Event applicable to a Sovereign Reference Entity, any Sovereign Restructured Deliverable Obligation (but excluding any Excluded Reference Obligation) that (i) is payable in an amount equal to its outstanding principal balance or Due and Payable Amount, as applicable, (ii) is not subject to any counterclaim, defence (other than a counterclaim or defence based on the factors set forth in (a) to (d) of Section 11.2 below) or right of set off by or of a Reference Entity or, as applicable, an Underlying Obligor and (iii) in the case of a Qualifying Guarantee other than a Qualifying Affiliate Guarantee, is capable, at the Relevant Date, of immediate assertion or demand by or on behalf of the holder or holders against the Reference Entity for an amount at least equal to the outstanding principal balance or Due and Payable Amount being valued or delivered apart from the giving of any notice of non-payment or similar procedural requirement, it being understood that acceleration of an Underlying Obligation shall not be considered a procedural requirement.

Section 2.16. Sovereign Restructured Deliverable Obligation. "Sovereign Restructured Deliverable Obligation" means an Obligation of a Sovereign Reference Entity (a) in respect of which a Restructuring Credit Event has occurred and (b) described by the Reference Obligation Category specified in the relevant Standard, and subject to Section 2.21(c), having each of the Reference Obligation Characteristics, if any, specified in the relevant Standard, in each case, immediately preceding the date on which such Restructuring is legally effective in accordance with the terms of the documentation governing such Restructuring without regard to whether the Obligation would satisfy such Reference Obligation Category or Reference Obligation Characteristics after such Restructuring.

Section 2.17. Excluded Obligation. "Excluded Obligation" means any obligation of a Reference Entity specified as such or of a type described in the relevant Standard.

Section 2.18. Excluded Reference Obligation. "Excluded Reference Obligation" means any obligation of a Reference Entity specified as such or of a type described in the relevant Standard.

Section 2.19. Method for Determining Obligations. For the purposes of Section 2.14(a), the term "Obligation" may be defined as each obligation of each Reference Entity described by the Obligation Category specified as being applicable in the relevant Standard and having each of the Obligation Characteristics, if any, specified as being applicable in the relevant Standard, in each case as of the date of the event the subject of the "Credit Event". The following terms shall have the following meanings:

(a) "Obligation Category" means Payment, Borrowed Money, Reference Obligations Only, Bond, Loan, or Bond or Loan, only one of which shall be specified in the relevant Standard and:

(i) "Payment" means any obligation (whether present or future, contingent or otherwise) for the payment or repayment of money, including without limitation, "Borrowed Money";

(ii) "Borrowed Money" means any obligation (excluding an obligation under a revolving credit arrangement for which there are no outstanding, unpaid drawings in respect of principal) for the payment or repayment of borrowed money (which term shall include, without limitation, deposits and reimbursement obligations arising from drawings pursuant to letters of credit);

(iii) "Reference Obligations Only" means any obligation that is a Benchmark Obligation only and no Obligation Characteristics shall be applicable to Reference Obligations Only;

(iv) "Bond" means any obligation of a type included in the "Borrowed Money" Obligation Category that is in the form of, or represented by, a bond, note (other than notes delivered pursuant to Loans), certificated debt security or other debt security and shall not include any other type of "Borrowed Money";

(v) "Loan" means any obligation of a type included in the "Borrowed Money" Obligation Category that is documented by a term loan agreement, revolving loan agreement or other similar credit agreement and shall not include any other type of "Borrowed Money"; and

(vi) "Bond or Loan" means any obligation that is either a Bond or a Loan.

(b) "Obligation Characteristics" means any one or more of Not Subordinated, Specified Currency - Standard Specified Currencies, Not Sovereign Lender, Not Domestic Currency, Not Domestic Law, Listed and Not Domestic Issuance, and:

(i) (A) "Not Subordinated" means an obligation that is not Subordinated to (i) the most senior Benchmark Obligation in priority of payment or (ii) if no Benchmark Obligation is specified with respect to the relevant Reference Entity in the Swap Agreement or, as the case may be, the Final Terms, any unsubordinated Borrowed Money obligation of the Reference Entity. For purposes of determining whether an obligation satisfies the "Not Subordinated" Obligation Characteristic or Reference Obligation Characteristic , the ranking in priority of payment of each Benchmark Obligation shall be determined as of the later of (1) (x) the Trade Date or (y) if later, the date on which the related entity becomes a Reference Entity and (2) the date on which such Benchmark Obligation was issued or incurred and shall not reflect any change to such ranking in priority of payment after such later date.

(B) "Subordination" means, with respect to an obligation (the "Subordinated Obligation") and another obligation of the Reference Entity to which such obligation is being compared (the "Senior Obligation"), a contractual, trust or similar arrangement providing that (i) upon the liquidation, dissolution, reorganisation or winding up of the Reference Entity, claims of the holders of the Senior Obligation will be satisfied prior to the claims of the holders of the Subordinated Obligation or (ii) the holders of the Subordinated Obligation will not be entitled to receive or retain payments in respect of their claims against the Reference Entity at any time that the Reference Entity is in payment arrears or is otherwise in default under the Senior Obligation. "Subordinated" will be construed accordingly. For purposes of determining whether Subordination exists or whether an obligation is Subordinated with respect to another obligation to which it is being compared, the existence of preferred creditors arising by operation of law or of collateral, credit support or other credit enhancement arrangements shall not be taken into account, except that, notwithstanding the foregoing, priorities arising by operation of law shall be taken into account where the Reference Entity is a Sovereign.

(ii) "Specified Currency - Standard Specified Currencies" means an obligation that is payable in any of the lawful currencies of Canada, Japan, Switzerland, the United Kingdom and the United States of America or the euro (or any successor currency to any of the aforementioned currencies) or any currency specified in addition thereto in the relevant Standard.

(iii) "Not Sovereign Lender" means any obligation that is not primarily owed to a Sovereign or Supranational Organisation including, without limitation, obligations generally referred to as "Paris Club debt". 

(iv) "Not Domestic Currency" means any obligation that is payable in any currency other than the Domestic Currency.

(v) "Not Domestic Law" means any obligation that is not governed by the laws of (A) the relevant Reference Entity, if such Reference Entity is a Sovereign, or (B) the jurisdiction of organisation of the relevant Reference Entity, if such Reference Entity is not a Sovereign.

(vi) "Listed" means an obligation that is quoted, listed or ordinarily purchased and sold on an exchange.

(vii) "Not Domestic Issuance" means any obligation other than an obligation that was, at the time the relevant obligation was issued (or reissued, as the case may be) or incurred, intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. Any obligation that is registered or qualified for sale outside the domestic market of the relevant Reference Entity (regardless of whether such obligation is also registered or qualified for sale within the domestic market of the relevant Reference Entity) shall be deemed not to be intended for sale primarily in the domestic market of the Reference Entity.

Section 2.20. Method for Determining Reference Obligations. For purposes of Section 2.15, the term "Reference Obligation" may be defined as each obligation of each Reference Entity described by the Reference Obligation Category specified as being applicable in the relevant Standard, and, subject to Section 2.21(c), having each of the Reference Obligation Characteristics, if any, specified as being applicable in the relevant Standard, in each case, as of the relevant Relevant Date. The following terms shall have the following meanings:

(a) "Reference Obligation Category" means one of Payment, Borrowed Money, Reference Obligations Only, Bond, Loan, or Bond or Loan (each as defined in Section 2.19(a), except that, for the purpose of determining Reference Obligations, Section 2.19(a)(iii) (Reference Obligations Only) shall be amended to state that no Reference Obligation Characteristics shall be applicable to Reference Obligations Only).

(b) "Reference Obligation Characteristics" means any one or more of Not Subordinated, Specified Currency, Not Sovereign Lender, Not Domestic Currency, Not Domestic Law, Listed, Not Contingent, Not Domestic Issuance, Assignable Loan, Consent Required Loan, Direct Loan Participation, Transferable, Maximum Maturity, Accelerated or Matured and Not Bearer.

(i) "Not Contingent" means any obligation having as of the Relevant Date and all times thereafter an outstanding principal balance or, in the case of obligations that are not Borrowed Money, a Due and Payable Amount, that pursuant to the terms of such obligation may not be reduced as a result of the occurrence or non-occurrence of an event or circumstance (other than payment). A Convertible Obligation, an Exchangeable Obligation and an Accreting Obligation shall satisfy the "Not Contingent" Reference Obligation Characteristic if such Convertible Obligation, Exchangeable Obligation or Accreting Obligation otherwise meets the requirements of the preceding sentence so long as, in the case of a Convertible Obligation or an Exchangeable Obligation, the right (A) to convert or exchange such obligation or (B) to require the issuer to purchase or redeem such obligation (if the issuer has exercised or may exercise the right to pay the purchase or redemption price, in whole or in part, in Equity Securities) has not been exercised (or such exercise has been effectively rescinded) on or before the Relevant Date. If a Reference Obligation is a Convertible Obligation or an Exchangeable Obligation, then (subject to Section 7.4 hereof) such Reference Obligation may be included as a Reference Obligation only if the rights referred to in clauses (A) and (B) of this Section 2.20(b)(i) have not been exercised (or such exercise has been effectively rescinded) on or before the Relevant Date. An Insured Instrument will not be regarded as failing to satisfy "Not Contingent" Reference Obligation Characteristic solely because such Insured Instrument is subject to provisions limiting recourse in respect of such Insured Instrument to the proceeds of specified assets (including proceeds subject to a priority of payments) or reducing the amount of any Instrument Payments owing under such Insured Instrument, provided that such provisions are not applicable to the Qualifying Policy by the terms thereof and the Qualifying Policy continues to guarantee or insure, as applicable, the Instrument Payments that would have been required to be made absent any such limitation or reduction.

(ii) "Assignable Loan" means a Loan that is capable of being assigned or novated to, at a minimum, commercial banks or financial institutions (irrespective of their jurisdiction of organisation) that are not then a lender or a member of the relevant lending syndicate, without the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the applicable borrower if a Reference Entity is guaranteeing such Loan) or any agent.

(iii) "Consent Required Loan" means a Loan that is, as of the relevant Relevant Date, capable of being assigned or novated with the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the relevant borrower if a Reference Entity is guaranteeing such Loan) or any agent.

(iv) "Direct Loan Participation" means a Loan in respect of which, pursuant to a participation agreement, Morgan (in the case of a Long Reference Entity) or the Issuing Counterparty (in the case of a Short Reference Entity) (the "Buyer") is capable of creating or procuring the creation of, a contractual right in favour of, (I) where Morgan is the Buyer, a commercial bank or other financial institution (irrespective of its jurisdiction of incorporation) that provides such entity with recourse to the participation seller for a specified share in any payments due under the relevant Loan which are received by such participation seller, any such agreement to be entered into between (i) such entity and (ii) either (A) the Buyer (to the extent the Buyer is then a lender or a member of the relevant lending syndicate), or (B) a Qualifying Participation Seller (if any) (to the extent such Qualifying Participation Seller is then a lender or a member of the relevant lending syndicate) (and where "Qualifying Participation Seller" means any participation seller that meets the requirements specified in the relevant Standard and if no such requirements are specified there shall be no Qualifying Participation Seller) or (II) where the Issuing Counterparty is the Buyer, Morgan that provides Morgan with recourse to the participation seller for a specified share in any payments due under the relevant Loan which are received by such participation seller, any such agreement to be entered into between (i) Morgan and (ii) a Qualifying Participation Seller (if any) (to the extent such Qualifying Participation Seller is then a lender or a member of the relevant lending syndicate) (and where "Qualifying Participation Seller" means any participation seller that meets the requirements specified in the relevant Standard and if no such requirements are specified there shall be no Qualifying Participation Seller). 

(v) "Transferable" means an obligation that is transferable to institutional investors without any contractual, statutory or regulatory restriction provided that none of the following shall be considered contractual, statutory or regulatory restrictions:

(A) contractual, statutory or regulatory restrictions that provide for eligibility for resale pursuant to Rule 144A or Regulation S promulgated under the United States Securities Act of 1933, as amended (and any contractual, statutory or regulatory restrictions promulgated under the laws of any jurisdiction having a similar effect in relation to the eligibility for resale of an obligation); or

(B) restrictions on permitted investments such as statutory or regulatory investment restrictions on insurance companies and pension funds,

and if specified as being applicable to a Reference Obligation Category, the Transferable Reference Obligation Characteristic shall be applicable only in respect of obligations within that Reference Obligation Category that are not Loans.

(vi) "Maximum Maturity" means an obligation that has a remaining maturity from the relevant Relevant Date of not greater than the period specified in the relevant Standard or, if no such period is specified, 30 years. 

(vii) "Accelerated or Matured" means an obligation under which the total amount owed, whether at maturity, by reason of acceleration, upon termination or otherwise (other than amounts in respect of default interest, indemnities, tax gross-ups and other similar amounts), is, or on or prior to the Relevant Date will be, due and payable in full in accordance with the terms of such obligation, or would have been but for, and without regard to, any limitation imposed under any applicable insolvency laws.

(viii) "Not Bearer" means any obligation that is not a bearer instrument unless interests with respect to such bearer instrument are cleared via the Euroclear system, Clearstream International or any other internationally recognised clearing system.

Section 2.21. Interpretation of Provisions. 

Unless expressly agreed to by the parties that this Section 2.21 is not applicable:

(a) If the Obligation Characteristic "Listed" is specified as being applicable in the relevant Standard, the Notes or, as the case may be, the Swap Agreement shall be construed as though Listed had been specified as an Obligation Characteristic only with respect to Bonds and shall only be relevant if Bonds are covered by the selected Obligation Category.

(b) If (i) either of the Reference Obligation Characteristics "Listed" or "Not Bearer" is specified as being applicable in the relevant Standard, the Confirmation shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Bonds and shall only be relevant if Bonds are covered by the selected Reference Obligation Category; (ii) the Reference Obligation Characteristic "Transferable" is specified as being applicable in the relevant Standard, the Notes or, as the case may be, the Swap Agreement shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Reference Obligations that are not Loans (and shall only be relevant to the extent that obligations other than Loans are covered by the selected Reference Obligation Category); or (iii) any of the Reference Obligation Characteristics "Assignable Loan", "Consent Required Loan" or "Direct Loan Participation" is specified as being applicable in the relevant Standard, the Notes or, as the case may be, the Swap Agreement shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Loans and shall only be relevant if Loans are covered by the selected Reference Obligation Category.

(c) If, in respect of the Reference Entity, any of "Payment", "Borrowed Money", "Loan" or "Bond or Loan" is specified under "Reference Obligation" as being applicable in the relevant Standard and more than one of "Assignable Loan", "Consent Required Loan" and "Direct Loan Participation" are specified as Reference Obligation Characteristics under "Reference Obligation" as being applicable in the relevant Standard, the Reference Obligations may include any Loan that satisfies any one of such Reference Obligation Characteristics specified and need not satisfy all such Reference Obligation Characteristics.

(d) In the event that an Obligation or Reference Obligation is a Qualifying Guarantee or Qualifying Policy, the following will apply:

(i) For the purposes of the application of "Obligation Category" and "Reference Obligation Category", the Qualifying Guarantee or the Qualifying Policy, as the case may be, shall be deemed to satisfy the same category or categories as those that describe the Underlying Obligation or the Insured Instrument, as the case may be.

(ii) In the event that an Obligation or Reference Obligation is a Qualifying Policy for the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics both the Qualifying Policy and the Insured Instrument must satisfy on the Relevant Date each of the applicable Obligation Characteristics or Reference Obligation Characteristics if any, specified in the relevant Standard from the following list: "Standard Specified Currency", "Not Sovereign Lender", "Not Domestic Currency" and "Not Domestic Law" . For these purposes, unless otherwise specified in the relevant Standard, (A) the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro shall not be a Domestic Currency and (B) the laws of England and the laws of the State of New York shall not be a Domestic Law.

For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics only the Qualifying Policy must satisfy on the Relevant Date the Obligation Characteristic or the Reference Obligation Characteristic of Not Subordinated, if specified in the relevant Standard.

(iii) For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics both the Qualifying Guarantee and the Underlying Obligation must satisfy on the Relevant Date each of the applicable Obligation Characteristics or Reference Obligation Characteristics if any, specified in the relevant Standard from the following list: "Not Subordinated", "Standard Specified Currency", "Not Sovereign Lender", "Not Domestic Currency" and "Not Domestic Law". For these purposes, unless otherwise specified in the relevant Standard, (A) the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro shall not be a Domestic Currency and (B) the laws of England and the laws of the State of New York shall not be a Domestic Law.

(iv) For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics only the Underlying Obligation or Insured Instrument, as the case may be, must satisfy on the Relevant Date each of the applicable Obligation Characteristics or the Reference Obligation Characteristics, if any, specified in the relevant Standard from the following list: "Listed", "Not Contingent", "Not Domestic Issuance", "Assignable Loan", "Consent Required Loan", "Direct Loan Participation", "Transferable", "Maximum Maturity", (subject to (ix) below) "Accelerated or Matured" and "Not Bearer".

(v) For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics to an Underlying Obligation or Insured Instrument, as the case may be, references to the Reference Entity shall be deemed to refer to the Underlying Obligor or Insured Obligor, as the case may be.

(vi) The terms "outstanding principal balance" and "Due and Payable Amount" when used in connection with Qualifying Guarantees are to be interpreted to be the then "outstanding principal balance" or "Due and Payable Amount", as applicable, of the Underlying Obligation which is supported by a Qualifying Guarantee.

(vii) The Obligation Category Borrowed Money and the Obligation Category and Reference Obligation Category Bond shall be deemed to include distributions payable under an Insured Instrument in the form of a pass through certificate or similar funded beneficial interest, the Reference Obligation Category Bond shall be deemed to include such an Insured Instrument and the terms "obligation" and "obligor" in respect of such an Insured Instrument shall be construed accordingly.

(viii) References in the definitions of Assignable Loan and Consent Required Loan to the "guarantor" and "guaranteeing" shall be deemed to include the "insurer" and "insuring", respectively.

(ix) Neither the Qualifying Policy nor the Insured Instrument must satisfy on the Relevant Date the Reference Obligation Characteristic of "Accelerated or Matured", whether or not that characteristic is otherwise specified as applicable in the relevant Standard.

(x) If the "Assignable Loan", "Consent Required Loan", "Direct Loan Participation" or "Transferable" Reference Obligation Characteristics are specified in the relevant Standard, if the benefit of the Qualifying Policy is not transferred as part of any transfer of the Insured Instrument, the Qualifying Policy must be transferable at least to the same extent as the Insured Instrument. 

(xi) With respect to an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the term "outstanding principal balance" shall mean the outstanding Certificate Balance and "maturity", as such term is used in the "Maximum Maturity Reference Obligation Characteristic", shall mean the specified date by which the Qualifying Policy guarantees or insures, as applicable, that the ultimate distribution of the Certificate Balance will occur.

"Relevant Date" means, in relation to an Obligation, the date of the event the subject of the Credit Event and in relation to a Reference Obligation, the Valuation Date.

Section 2.22. Qualifying Participation Seller. 

N/A

Section 2.23.  Qualifying Guarantee and Qualifying Policy. 

(a) "Qualifying Guarantee" means an arrangement evidenced by a written instrument pursuant to which a Reference Entity irrevocably agrees (by guarantee of payment or equivalent legal arrangement) to pay all amounts due under an obligation (the "Underlying Obligation") for which another party is the obligor (the "Underlying Obligor"). Qualifying Guarantees shall exclude any arrangement (i) structured as a surety bond, financial guarantee insurance policy, letter of credit or equivalent legal arrangement or (ii) pursuant to the terms of which the payment obligations of the Reference Entity can be discharged, reduced or otherwise altered or assigned (other than by operation of law) as a result of the occurrence or non-occurrence of an event or circumstance (other than payment). The benefit of a Qualifying Guarantee must be capable of being delivered together with the delivery of the Underlying Obligation.

(b) "Qualifying Policy" means a financial guaranty insurance policy or similar financial guarantee pursuant to which a Reference Entity irrevocably guarantees or insures all Instrument Payments (as defined below) of an instrument that constitutes Borrowed Money (modified as set forth below) (the "Insured Instrument") for which another party (including a special purpose entity or trust) is the obligor (the "Insured Obligor"). Qualifying Policies shall exclude any arrangement (i) structured as a surety bond, letter of credit or equivalent legal arrangement or (ii) pursuant to the express contractual terms of which the payment obligations of the Reference Entity can be discharged or reduced as a result of the occurrence or non-occurrence of any event or circumstance (other than the payment of Instrument Payments). The benefit of a Qualifying Policy must be capable of being delivered together with the delivery of the Insured Instrument. 

"Instrument Payments" means (A) in the case of any Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest, (x) the specified periodic distributions in respect of interest or other return on the Certificate Balance on or prior to the ultimate distribution of the Certificate Balance (y) the ultimate distribution of the Certificate Balance on or prior to a specified date, and (B) in the case of any other Insured Instrument, the scheduled payments of principal and interest, in the case of both (A) and (B) (1) determined without regard to limited recourse or reduction provisions of the type described in "Not Contingent" under "Reference Obligation Characteristics" above and (2) excluding sums in respect of default interest, indemnities, tax gross-ups, make-whole amounts, early redemption premiums and other similar amounts (whether or not guaranteed or insured by the Qualifying Policy). 

"Certificate Balance" means, in the case of an Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest, the unit principal balance, certificate balance or similar measure of unreimbursed principal investment.

Section 2.24. Qualifying Affiliate Guarantee. "Qualifying Affiliate Guarantee" means a Qualifying Guarantee provided by a Reference Entity in respect of an Underlying Obligation of a Downstream Affiliate of that Reference Entity.

Section 2.25. Downstream Affiliate and Voting Shares. 

(a) "Downstream Affiliate" means an entity whose outstanding Voting Shares were, at the date of issuance of the Qualifying Guarantee, more than 50% owned, directly or indirectly, by the Reference Entity.

(b) "Voting Shares" shall mean those shares or other interests that have the power to elect the board of directors or similar governing body of an entity.

Section 2.26. Sovereign. "Sovereign" means any state, political subdivision or government, or any agency, instrumentality, ministry, department or other authority (including, without limiting the foregoing, the central bank) thereof.

Section 2.27. Sovereign Agency. "Sovereign Agency" means any agency, instrumentality, ministry, department or other authority (including, without limiting the foregoing, the central bank) of a Sovereign.

Section 2.28. Supranational Organisation. "Supranational Organisation" means any entity or organisation established by treaty or other arrangement between two or more Sovereigns or the Sovereign Agencies of two or more Sovereigns and includes without limiting the foregoing, the International Monetary Fund, European Central Bank, International Bank for Reconstruction and Development and European Bank for Reconstruction and Development.

Section 2.29. Domestic Currency. "Domestic Currency" means the currency specified as such in the relevant Standard and any successor currency. If no currency is so specified, the Domestic Currency shall be the lawful currency and any successor currency of (a) the relevant Reference Entity, if the Reference Entity is a Sovereign, or (b) the jurisdiction in which the relevant Reference Entity is organised, if the Reference Entity is not a Sovereign. In no event shall Domestic Currency include any successor currency if such successor currency is the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro (or any successor currency to any such currency).

Section 2.30. Substitute Reference Obligation. 

(a) In the event that (i) a Benchmark Obligation specified for any Reference Entity is redeemed in whole or (ii) in the opinion of the Calculation Agent (A) the aggregate amounts due under any Benchmark Obligation have been materially reduced by redemption or otherwise (other than due to any scheduled redemption, amortisation or prepayments), (B) any Benchmark Obligation is an Underlying Obligation or Insured Instrument, as the case may be, with a Qualifying Guarantee or Qualifying Policy, as the case may be, of a Reference Entity and, other than due to the existence or occurrence of a Credit Event, the Qualifying Guarantee or the Qualifying Policy, as the case may be, is no longer a valid and binding obligation of such Reference Entity enforceable in accordance with its terms or (C) for any other reason, other than due to the existence or occurrence of a Credit Event, any Benchmark Obligation is no longer an obligation of a Reference Entity, the Calculation Agent may, at any time after such event identify an Obligation to replace such Benchmark Obligation. 

(b) Any substitute Benchmark Obligation shall be an Obligation that (1) ranks pari passu (or, if no such Obligation exists, then, in the Calculation Agent's discretion, an Obligation that ranks senior) in priority of payment with the Benchmark Obligation (with the ranking in priority of payment of such Benchmark Obligation being determined as of the later of (A) (x) the Trade Date or (y) if later, the date on which the related entity becomes a Reference Entity and (B) the date on which such Benchmark Obligation was issued or incurred and not reflecting any change to such ranking in priority of payment after such later date), (2) in the opinion of the Calculation Agent preserves the economic equivalent as closely as practicable as determined by the Calculation Agent of the delivery and payment obligations under the Notes and (3) is an obligation of a Reference Entity (either directly or in the case of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable in the relevant Standard as provider of a Qualifying Affiliate Guarantee or in respect of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies is specified as being applicable in the relevant Standard, the Qualifying Policy, as the case may be, or, in the case of any Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of a Qualifying Guarantee).The Obligation identified by the Calculation Agent shall, without further action, replace such Benchmark Obligation. The Benchmark Obligation for any Successor shall be deemed to be the "Benchmark Obligation" from the Succession Date.

(c) N/A

(d) N/A

(e) N/A

(f) For the purposes of identification of a Benchmark Obligation, any change in the Benchmark Obligation's CUSIP or ISIN number or other similar identifier will not, in and of itself, convert such Benchmark Obligation into a different Obligation. 

In the event that any Reference Entity is the Successor of any other Reference Entities or any Reference Entities have the same Successor and the Benchmark Obligation of either the Original Reference Entity or the Successor (but not both) is Subordinated and the Benchmark Obligation of the other entity is not Subordinated the Successor Reference Entity shall be treated as one Reference Entity with a Credit Position equal to the sum of the relevant Credit Positions except that upon the occurrence of a Credit Event with respect to that Successor, a portion of its Credit Position will be determined on the basis of a Subordinated Obligation and a portion of its Credit Position will be determined on the basis of an Obligation that is not a Subordinated Obligation. The Credit Position of the relevant Successor shall be divided into the portion of the Credit Position attributable to the entity in respect of which a Subordinated Obligation was specified as a Benchmark Obligation (the "Subordinated Credit Position") and the portion of that Credit Position attributable to the entity in respect of which an obligation that was not a Subordinated Obligation was specified as the Benchmark Obligation (the "Senior Credit Position"). In the event that a Credit Event occurs with respect to that Successor, the Redemption Amount or, as the case may be, Instalment Amount or Triggered Reference Entity Loss shall be equal to the aggregate amount of the amount calculated with respect to the Subordinated Credit Position and a Reference Obligation that is a Subordinated Obligation and the amount calculated with respect to the Senior Credit Position and a Reference Obligation that is not a Subordinated Obligation.

In the event that such Successor is subject to, or involved in, any further Succession Event, the Credit Position of such Successor (or the Successor to that entity, as the case may be) shall be determined in accordance with the foregoing, taking into account and maintaining any distinction between the Subordinated Credit Position and Senior Credit Position already established for the relevant entity.

For the avoidance of doubt and subject as provided in Section 4.1 (i) a Credit Event may occur on one occasion only with respect to any Reference Entity, notwithstanding the apportionment of its Credit Position pursuant to the foregoing, and (ii) except for the purposes of determining the Redemption Amount or, as the case may be, the Instalment Amount or Triggered Reference Entity Loss, each reference in the Notes or, as the case may be, the Swap Agreement to "Credit Position" shall be deemed to be a reference to the aggregate of the Subordinated Credit Position and Senior Credit Position with respect to the relevant entity, unless the context requires otherwise.

For this purpose the Credit Position of any relevant Reference Entity which is a Defaulted Credit shall be zero, except in the case of a Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard where the Credit Position shall be the Remaining Credit Position.

Section 2.31. Merger of Reference Entity and Seller. 

N/A

Section 2.32. Restructuring Maturity Limitation and Fully Transferable Obligation.

(a) For the purpose of a Reference Entity in respect of which a Restructuring Credit Event has occurred, and "Restructuring Maturity Limitation and Fully Transferable Obligation" is specified under "Credit Events - Restructuring" as being applicable in the relevant Standard, and Restructuring is the only Credit Event, the Reference Obligation will be an obligation (i) which is a Fully Transferable Obligation and (ii) has a final maturity date not later than the Restructuring Maturity Limitation Date. With respect to an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the term "final maturity date", as such term is used in Sections 2.32(a) and 2.33(a) and the definition of "Restructuring Maturity Limitation Date" shall mean the specified date by which the Qualifying Policy guarantees or insures, as applicable, that the ultimate distribution of the Certificate Balance will occur.

(b) "Fully Transferable Obligation" means a Reference Obligation that is either Transferable, in the case of Bonds, or capable of being assigned or novated to all Eligible Transferees without the consent of any person being required, in the case of any Reference Obligation other than Bonds. Any requirement that notification of novation, assignment or transfer of a Reference Obligation be provided to a trustee, fiscal agent, administrative agent, clearing agent or paying agent for a Reference Obligation shall not be considered to be a requirement for consent for purposes of this Section 2.32 (b). In the event that a Fully Transferable Obligation is a Qualifying Policy, the Insured Instrument must meet the requirements of this definition.

For purposes of determining whether a Reference Obligation satisfies the requirements of the definition of Fully Transferable Obligation, such determination shall be made as of the Relevant Date by the Calculation Agent in its sole discretion.

(c) "Restructuring Maturity Limitation Date" means the date that is the earlier of (x) 30 months following the Restructuring Date and (y) the latest final maturity date of any Restructured Bond or Loan, provided, however, that under no circumstances shall the Restructuring Maturity Limitation Date be earlier than the Scheduled Maturity Date of the Notes or later than 30 months following the Scheduled Maturity Date of the Notes and if it is, it shall be deemed to be the Scheduled Maturity Date or 30 months following the Scheduled Maturity Date of the Notes, as the case may be.

(d) "Restructuring Date" means, with respect to a Restructured Bond or Loan, the date on which a Restructuring is legally effective in accordance with the terms of the documentation governing such Restructuring.

(e) "Restructured Bond or Loan" means an Obligation which is a Bond or Loan and in respect of which a Restructuring Credit Event has occurred.

(f) "Eligible Transferee" means each of the following:

(i) (A) any bank or other financial institution;

(B) an insurance or reinsurance company;

(C) a mutual fund, unit trust or similar collective investment vehicle (other than an entity specified in subclause (iii)(A) below); and

(D) a registered or licensed broker or dealer (other than a natural person or proprietorship),

provided, however, in each case that such entity has total assets of at least U.S.$500,000,000.

(ii) an Affiliate of an entity specified in the preceding subclause (i);

(iii) each of a corporation, partnership, proprietorship, organisation, trust or other entity:

(A) that is an investment vehicle (including, without limitation, any hedge fund, issuer of collateralised debt obligations, commercial paper conduit or other special purpose vehicle) that (1) has total assets of at least U.S.$100,000,000 or (2) is one of a group of investment vehicles under common control or management having, in the aggregate, total assets of at least U.S.$100,000,000; or

(B) that has total assets of at least U.S.$500,000,000; or

(C) the obligations of which under an agreement, contract, or transaction are guaranteed or otherwise supported by a letter of credit or keepwell, support, or other agreement by an entity described in subclauses (i), (ii), (iii)(B) or (iv) of this Section 2.32(f); and

(iv) a Sovereign, Sovereign Agency or Supranational Organisation.

All references in this Section 2.32(f) to U.S.$ include equivalent amounts in other currencies.

Section 2.33. Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation.

(a) For the purpose of a Reference Entity in respect of which a Restructuring Credit Event has occurred and "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation" is specified under "Credit Events - Restructuring" as being applicable in the relevant Standard and Restructuring is the only Credit Event, then the Reference Obligation must be an obligation (i) which is a Conditionally Transferable Obligation and (ii) has a final maturity date not later than the applicable Modified Restructuring Maturity Limitation Date. With respect to an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the term "final maturity date", as such term is used in this paragraph and in Section 2.32 (a) above shall mean the specified date by which the Qualifying Policy guarantees or insures, as applicable, that the ultimate distribution of the Certificate Balance will occur.

(b) "Conditionally Transferable Obligation" means a Reference Obligation that is either Transferable, in the case of Bonds, or capable of being assigned or novated to all Modified Eligible Transferees without the consent of any person being required, in the case of any Reference Obligation other than Bonds, provided, however, that a Reference Obligation other than Bonds will be a Conditionally Transferable Obligation notwithstanding that consent of the Reference Entity or the guarantor, if any, of a Reference Obligation other than Bonds (or the consent of the relevant obligor if a Reference Entity is guaranteeing such Reference Obligation) or any agent is required for such novation, assignment or transfer so long as the terms of such Reference Obligation provide that such consent may not be unreasonably withheld or delayed. Any requirement that notification of novation, assignment or transfer of a Reference Obligation be provided to a trustee, fiscal agent, administrative agent, clearing agent or paying agent for a Reference Obligation shall not be considered to be a requirement for consent for purposes of 2.33(b). In the event that a Conditionally Transferable Obligation is a Qualifying Policy, the Insured Instrument must meet the requirements of this definition and references to the "guarantor" and "guaranteeing" in this paragraph shall be deemed to include the "insurer" and "insuring", respectively.

(i) N/A

(ii) For the purposes of determining whether a Reference Obligation satisfies the requirements of the definition of Conditionally Transferable Obligation, such determination shall be made as of the Relevant Date, taking into account only the terms of the Reference Obligation and any related transfer or consent documents which have been obtained by the Calculation Agent.

(c) "Modified Restructuring Maturity Limitation Date" means with respect to a Reference Obligation, the date that is the later of (x) the Scheduled Maturity Date of the Notes and (y) 60 months following the Restructuring Date in the case of a Restructured Bond or Loan, or 30 months following the Restructuring Date in the case of all other Reference Obligations.

(d) "Restructuring Date" means, with respect to a Restructured Bond or Loan, the date on which a Restructuring is legally effective in accordance with the terms of the documentation governing such Restructuring.

(e) "Restructured Bond or Loan" means an Obligation which is a Bond or Loan and in respect of which a Restructuring Credit Event has occurred.

(f) "Modified Eligible Transferee" means any bank, financial institution or other entity which is regularly engaged in or established for the purpose of making, purchasing or investing in loans, securities and other financial assets.

ARTICLE III

CONDITIONS TO SETTLEMENT

Section 3.1. Settlement. 

N/A

Section 3.2. Conditions to Settlement.

N/A

Section 3.3. Credit Event Notice. 

N/A

Section 3.4. Notice of Physical Settlement. 

N/A

Section 3.5. Publicly Available Information. "Publicly Available Information" means:

(a)  information that in the sole discretion of the Calculation Agent reasonably confirms any of the facts relevant to the determination that a Credit Event or a Potential Failure to Pay or a Potential Repudiation/Moratorium has occurred and which (i) has been published in or on not less than 2 Public Sources, regardless of whether the reader or user thereof pays a fee to obtain such information; provided that, if the Calculation Agent or any of its Affiliates is cited as the sole source of such information, then such information shall not be deemed to be Publicly Available Information unless such party or its Affiliate is acting in its capacity as trustee, fiscal agent, administrative agent, clearing agent or paying agent for an Obligation; (ii) is information received from or published by (A) a Reference Entity (or a Sovereign Agency in respect of a Reference Entity which is a Sovereign), or (B) a trustee, fiscal agent, administrative agent, clearing agent or paying agent for an Obligation; (iii) is information contained in any petition or filing instituting a proceeding described in Section 4.2(d) against or by a Reference Entity; or (iv) is information contained in any order, decree, notice or filing, however described, of or filed with a court, tribunal, exchange, regulatory authority or similar administrative, regulatory or judicial body.

(b) In the event that the Calculation Agent is (i) the sole source of information in its capacity as trustee, fiscal agent, administrative agent, clearing agent or paying agent for an Obligation and (ii) a holder of the Obligation with respect to which a Credit Event has occurred, then the Calculation Agent shall also be required to deliver an Officer's Certification to (i) in respect of the Notes, the Company and (ii) in respect of the Swap Agreement, the Issuing Counterparty. "Officer's Certification" means a certificate signed by a Managing Director (or other substantively equivalent title) of the Calculation Agent, which shall certify the occurrence of a Credit Event with respect to a Reference Entity.

(c)  In relation to any information of the type described in Section 3.5(a)(ii), (iii) and (iv), the person receiving such information may assume that such information has been disclosed to it without violating any law, agreement or understanding regarding the confidentiality of such information and that the party delivering such information has not taken any action or entered into any agreement or understanding with the Reference Entity or any Affiliate of the Reference Entity that would be breached by, or would prevent, the disclosure of such information to third parties.

(d)  Publicly Available Information need not state (i) in relation to Section 2.25, the percentage of Voting Shares owned, directly or indirectly, by the Reference Entity and (ii) that such occurrence (A) has met the Payment Requirement or Default Requirement (B) is the result of exceeding any applicable Grace Period or (C) has met the subjective criteria specified in Potential Failure to Pay, Potential Repudiation/Moratorium or in certain Credit Events.

(e) Once Publicly Available Information exists that an event has occurred in respect of any Reference Entity or any Obligation, then such event will be deemed to continue unless Publicly Available Information exists to the effect that such event in respect of the relevant Reference Entity or Obligation has been cured. In the absence of any Publicly Available Information to the effect that any such event has been cured coming to the notice of the Calculation Agent, the Calculation Agent shall be entitled to assume that such event is continuing for the purposes of determining whether any cure has occurred within the Grace Period and the Calculation Agent shall determine the existence or occurrence of a Potential Failure to Pay, Potential Repudiation/Moratorium or Credit Event accordingly. The Calculation Agent shall make reasonable efforts to establish whether Publicly Available Information exists to the effect that the relevant event has been cured.

Section 3.6. Notice of Publicly Available Information. 

N/A

Section 3.7. Public Source. "Public Source" means, with respect to any Reference Entity, each Additional Public Source of Publicly Available Information specified as such in the Swap Agreement or, as the case may be, the Final Terms and each of Bloomberg Service, Reuters Monitor Money Rates Services, Dow Jones Newswires, Wall Street Journal, New York Times, Nihon Keizai Shinbun, Asahi Shinbun, Yomiuri Shinbun, Financial Times, La Tribune, Les Echos and The Australian Financial Review (and successor publications), the main source(s) of business news in the country in which the Reference Entity is organised and any other internationally recognised published or electronically displayed news sources.

Section 3.8. Specified Number.

N/A

Section 3.9. Credit Event Notice After Restructuring. The occurrence of a Restructuring Credit Event and a Credit Event Date with respect to a Reference Entity in respect of which "Multiple Credit Event Notices" is stated to be applicable in the relevant Standard shall not at any time when the Remaining Credit Position of such Reference Entity is greater than zero, preclude the occurrence of a further Credit Event in respect of such Reference Entity.

Once a Credit Event has occurred with respect to a Reference Entity in respect of which "Multiple Credit Event Notices" is stated to be applicable in the relevant Standard (other than following a Restructuring Credit Event when the Remaining Credit Position of such Reference Entity is greater than zero), no further Credit Event or Uncured Default may occur with respect to such Reference Entity except to the extent that such Reference Entity is the Successor to one or more other Reference Entities (or Successor thereof) in respect of which no Credit Event (other than a Restructuring Credit Event as aforesaid with respect to a Reference Entity (or Successor thereof) which is itself a Reference Entity in respect of which "Multiple Credit Event Notices" is stated to be applicable in the relevant Standard and as a result of which the Remaining Credit Position of such Reference Entity (or Successor thereof) is greater than zero) has previously occurred.

The following provisions shall apply to Reference Entities in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard:

A Reference Entity which has been subject to a Restructuring Credit Event and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard shall be treated as a separate Defaulted Credit in respect of each Valuation Date Designation Notice with a Credit Position equal to the relevant Designated Amount and all provisions related to the calculation of principal and interest payable under the Notes shall be construed accordingly. Notwithstanding the provisions of Condition 11 where the Notes provide that following the occurrence of a Credit Event (and satisfaction of any conditions related thereto) the Redemption Amount shall become due, the Redemption Amount shall not become due as a result of a Restructuring Credit Event unless a Valuation Date Designation Notice has been given and only in respect of the Designated Amount. Notwithstanding the provisions of Condition 6 no adjustment to the amount of interest payable in respect of the Notes shall be made as a result of a Restructuring Credit Event unless a Valuation Date Designation Notice has been given and only in respect of the Designated Amount. For the avoidance of doubt a Restructuring Credit Event must occur on or prior to the Credit Observation End Date or as the case may be the Cut-off Date but a Valuation Date Designation Notice may be given after the Credit Observation End Date or as the case may be the Cut-off Date.

Where the Notes provide that following the occurrence of a Credit Event (and satisfaction of any conditions related thereto) there shall be a Liquidation of the Outstanding Charged Assets, following each Valuation Date Designation Notice there shall be a Liquidation of a proportionate amount of the Outstanding Charged Assets equal to the proportion which the relevant Designated Amount bears to the Credit Position of the relevant Defaulted Credit and for this purpose, notwithstanding Condition 4(d), the "Liquidation Period" shall be the period from and including the later of (i) the day on which the Valuation Date Designation Notice is given to but excluding the date falling 7 Payment Business Days after the date of the Valuation Date Designation Notice.

For the purpose of calculating the Notional Swap Early Termination Amount, where applicable, references to interest and principal payable on the Original Charged Assets and interest and principal payable on the Notes shall be deemed to refer to amounts payable on a proportion of the Outstanding Charged Assets equal to the proportion to be liquidated as provided above and to interest and principal which would have been payable in respect of the Designated Amount, respectively.

In the definition of "Liquidation Proceeds" reference to the Charged Assets shall be deemed to refer to a portion of the Charged Assets equal to the Designated Amount.

The payment obligations of the parties under the Swap Agreement shall be amended to match the reduction in the Outstanding Charged Assets (if applicable) and in the principal and interest payable under the Notes.

Save as provided above, all references in the Conditions and the Swap Agreement to the "Credit Position" insofar as it relates to a Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard shall be deemed to be references to the Remaining Credit Position of such Reference Entity except for calculation of the Final Price attributable to the Designated Amount, where "Remaining Credit Position" means, in respect of each Reference Entity in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard at any time, the initial Credit Position of such Reference Entity, less the aggregate of all Designated Amounts (if any) in respect of such Reference Entity. For all the purposes hereof, insofar as the Remaining Credit Position of any Reference Entity in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard is, at any time, greater than zero, such Reference Entity shall be treated as a non-Defaulted Credit.

ARTICLE IV

CREDIT EVENTS

Section 4.1. Credit Event. "Credit Event" means the determination by the Calculation Agent that Publicly Available Information exists confirming the existence or occurrence on or after 12:01 a.m., Greenwich Mean Time on the date on which credit protection in respect of the relevant Reference Entity commences (as determined in accordance with the Conditions or the Swap Agreement, as applicable) and at or prior to 11:59 p.m., Greenwich Mean Time on the Credit Observation End Date in respect of any Reference Entity or any Obligation of any Reference Entity of any of the events specified as being Credit Events applicable to such Reference Entity in the relevant Standard except where, if Failure to Pay or Repudiation/Moratorium are applicable, the Credit Event is a Failure to Pay or Repudiation/Moratorium following a Potential Failure to Pay or Potential Repudiation/Moratorium (as the case may be) which existed at the Credit Observation End Date, where the Publicly Available Information may confirm the existence or occurrence after the Credit Observation End Date of the relevant event. If an occurrence would otherwise constitute a Credit Event, such occurrence will constitute a Credit Event whether or not such occurrence arises directly or indirectly from, or is subject to a defence based upon: (a) any lack or alleged lack of authority or capacity of a Reference Entity to enter into any Obligation or, as applicable, an Underlying Obligor to enter into any Underlying Obligation, (b) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any Obligation or, as applicable, any Underlying Obligation, however described, (c) any applicable law, order, regulation, decree or notice, however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (d) the imposition of, or any change in, any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority, however described.

Once a Credit Event has occurred with respect to a Reference Entity, no further Credit Event, Potential Failure to Pay or Potential Repudiation/Moratorium may occur with respect to such Reference Entity except (i) to the extent that such Reference Entity is the Successor to one or more other Reference Entities (or Successor thereof) in respect of which no Credit Event has previously occurred, (ii) in the case of a Reference Entity in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard and in respect of which a Restructuring Credit Event has occurred, to the extent of its Remaining Credit Position and (iii) to the extent, if any, that additional credit protection on such Reference Entity is subsequently obtained as may be permitted in accordance with the terms of the Notes or, as the case may be, the Swap Agreement (which shall include, without limitation, where such Reference Entity is subsequently added back to the Reference Portfolio by or on behalf of the Company pursuant to any right of the Company to effect changes to the Reference Portfolio).

The event the subject of the Credit Event need not be continuing on the Credit Event Date nor on the date the Noteholders are notified by the Principal Paying Agent on behalf of the Company of the determination by the Calculation Agent of the existence or occurrence of a Credit Event.

Section 4.2. Bankruptcy. "Bankruptcy" means a Reference Entity (a) is dissolved (other than pursuant to a consolidation, amalgamation or merger); (b) becomes insolvent or is unable to pay its debts or fails or admits in writing in a judicial, regulatory or administrative proceeding or filing its inability generally to pay its debts as they become due; (c) makes a general assignment, arrangement or composition with or for the benefit of its creditors; (d) institutes or has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation, and, in the case of any such proceeding or petition instituted or presented against it, such proceeding or petition (i) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (ii) is not dismissed, discharged, stayed or restrained in each case within thirty calendar days of the institution or presentation thereof; (e) has a resolution passed for its winding-up, official management or liquidation (other than pursuant to a consolidation, amalgamation or merger); (f) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all its assets; (g) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all its assets and such secured party maintains possession, or any such process is not dismissed, discharged, stayed or restrained, in each case within thirty calendar days thereafter; or (h) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in clauses (a) to (g) (inclusive).

Section 4.3. Obligation Acceleration. "Obligation Acceleration" means one or more Obligations in an aggregate amount of not less than the Default Requirement have become due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event (however described), other than a failure to make any required payment in respect of a Reference Entity under one or more Obligations.

Section 4.4. Obligation Default. 

N/A

Section 4.5. Failure to Pay. "Failure to Pay" means, after the expiration of any applicable Grace Period (after the satisfaction of any conditions precedent to the commencement of such Grace Period), the failure by a Reference Entity to make, when and where due, any payments in an aggregate amount of not less than the Payment Requirement under one or more Obligations, in accordance with the terms of such Obligations at the time of such failure.

Section 4.6. Repudiation/Moratorium.

(a) "Repudiation/Moratorium" means the occurrence of both of the following events: (i) on or before the Credit Observation End Date an authorised officer of a Reference Entity or a Governmental Authority (x) disaffirms, disclaims, repudiates or rejects, in whole or in part, or challenges the validity of, one or more Obligations in an aggregate amount of not less than the Default Requirement or (y) declares or imposes a moratorium, standstill, roll-over or deferral, whether de facto or de jure, with respect to one or more Obligations in an aggregate amount of not less than the Default Requirement and (ii) a Failure to Pay, determined without regard to the Payment Requirement, or a Restructuring, determined without regard to the Default Requirement, with respect to any such Obligation occurs on or prior to the Repudiation/Moratorium Evaluation Date.

(b) "Repudiation/Moratorium Evaluation Date" means, if a Potential Repudiation/Moratorium occurs on or prior to the Credit Observation End Date, (i) if the Obligations to which such Potential Repudiation/Moratorium relates include Bonds, the date that is the later of (A) the date that is 60 days after the date of such Potential Repudiation/Moratorium and (B) the first payment date under any such Bond after the date of such Potential Repudiation/Moratorium (or, if later, the expiration date of any applicable Grace Period in respect of such payment date) and (ii) if the Obligations to which such Potential Repudiation/Moratorium relates do not include Bonds, the date that is 60 days after the date of such Potential Repudiation/Moratorium.

(c) "Potential Repudiation/Moratorium" means with respect to a Reference Entity in respect of which Potential Repudiation/Moratorium is stated to be applicable, the determination by the Calculation Agent that Publicly Available Information exists confirming the occurrence of an event described in paragraph (i) of the definition of Repudiation/Moratorium.

(d) N/A

(e) N/A

Section 4.7. Restructuring.

(a) "Restructuring" means with respect to one or more Obligations and in relation to an aggregate amount of not less than the Default Requirement, any one or more of the following events occurs in a form that binds all holders of such Obligation, is agreed between the Reference Entity or a Governmental Authority and a sufficient number of holders of such Obligation to bind all holders of the Obligation or is announced (or otherwise decreed) by a Reference Entity or a Governmental Authority in a form that binds all holders of such Obligation, and such event is not expressly provided for under the terms of such Obligation in effect as of the later of (i) (x) the Trade Date or (y) if later, the date on which the related entity became a Reference Entity and (ii) the date as of which such Obligation is issued or incurred:

(i) a reduction in the rate or amount of interest payable or the amount of scheduled interest accruals;

(ii) a reduction in the amount of principal or premium payable at maturity or at scheduled redemption dates;

(iii) a postponement or other deferral of a date or dates for either (A) the payment or accrual of interest or (B) the payment of principal or premium;

(iv) a change in the ranking in priority of payment of any Obligation, causing the Subordination of such Obligation to any other Obligation; or

(v) any change in the currency or composition of any payment of interest or principal to any currency which is not a Permitted Currency, where "Permitted Currency" means (i) the legal tender of any Group of 7 country (or any country that becomes a member of the Group of 7 if such Group of 7 expands its membership) or (ii) the legal tender of any country which, as of the date of such change, is a member of the Organisation for Economic Cooperation and Development and has a local currency long-term debt rating of either AAA or higher assigned to it by Standard & Poor's, a Division of The McGraw-Hill Companies, Inc. or any successor to the rating business thereof, Aaa or higher assigned to it by Moody's Investors Service or any successor to the rating business thereof or AAA or higher assigned to it by Fitch Ratings Ltd. or any successor to the rating business thereof,

provided that with respect to an Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest or a Qualifying Policy with respect thereto, Section 4.7 (a) (i) to (v) is hereby amended to read as follows:

(i) a reduction in the rate or amount of the Instrument Payments described in Clause (A)(x) of the definition thereof that are guaranteed or insured by the Qualifying Policy;

(ii) a reduction in the amount of the Instrument Payments described in Clause (A)(y) of the definition thereof that are guaranteed or insured by the Qualifying Policy;

(iii) a postponement or other deferral of a date or dates for either (A) the payment or accrual of the Instrument Payments described in Clause (A)(x) of the definition thereof or (B) the payment of the Instrument Payments described in Clause (A)(y) of the definition thereof, in each case that are guaranteed or insured by the Qualifying Policy;

(iv) a change in the ranking in priority of payment of (A) any Obligation under a Qualifying Policy in respect of Instrument Payments, causing the Subordination of such Obligation to any other Obligation or (B) any Instrument Payments, causing the Subordination of such Insured Instrument to any other instrument in the form of a pass-through certificate or similar funded beneficial interest issued by the Insured Obligor, it being understood that, for this purpose, Subordination will be deemed to include any such change that results in a lower ranking under a priority of payments provision applicable to the relevant Instrument Payments; or

(v) any change in the currency or composition of any payment of Instrument Payments that are guaranteed or insured by the Qualifying Policy to any currency which is not a Permitted Currency.

(b) Notwithstanding the provisions of Section 4.7(a), none of the following shall constitute a Restructuring:

(i) the payment in euros of interest or principal in relation to an Obligation denominated in a currency of a Member State of the European Union that adopts or has adopted the single currency in accordance with the Treaty establishing the European Community, as amended by the Treaty on European Union;

(ii) the occurrence of, agreement to or announcement of any of the events described in Section 4.7(a)(i) to (v) due to an administrative adjustment, accounting adjustment or tax adjustment or other technical adjustment occurring in the ordinary course of business; and

(iii) the occurrence of, agreement to or announcement of any of the events described in Section 4.7(a)(i) to (v) in circumstances where such event does not directly or indirectly result from a deterioration in the creditworthiness or financial condition of the Reference Entity or, in the case of a Qualifying Policy and an Insured Instrument, where (A) the Qualifying Policy continues to guarantee or insure, as applicable, that the same Instrument Payments will be made on the same dates on which the Qualifying Policy guaranteed or insured that such Instrument Payments would be made prior to such event and (B) such event is not a change in the ranking in the priority of payment of the Qualifying Policy.

(c) For the purposes of Sections 4.7(a), 4.7(b) and 4.9, the term Obligation shall be deemed to include Underlying Obligations for which the Reference Entity is acting as provider of (i) in the case of a Reference Entity in respect of which "All Guarantees" is not stated to be applicable in the relevant Standard, a Qualifying Affiliate Guarantee and (ii) in the case of a Reference Entity in respect of which "All Guarantees" is stated to be applicable in the relevant Standard, a Qualifying Guarantee. In the case of a Qualifying Guarantee, references to the Reference Entity in Section 4.7(a) shall be deemed to refer to the Underlying Obligor and the reference to the Reference Entity in Section 4.7(b) shall continue to refer to the Reference Entity.

(d) In the case of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies is specified as being applicable in the relevant Standard, for the purposes of Sections 4.7(a), 4.7(b) and 4.9, the term Obligation shall be deemed to include Insured Instruments for which the Reference Entity is acting as provider of a Qualifying Policy. In the case of a Qualifying Policy and an Insured Instrument, references to the Reference Entity in Section 4.7(a) shall be deemed to refer to the Insured Obligor and the reference to the Reference Entity in Section 4.7(b) shall continue to refer to the Reference Entity.

The determination under (b) and (c) of "Restructuring" above shall be made by the Calculation Agent in its sole discretion. 

Section 4.8. Certain Definitions Relating to Credit Events.

(a) "Default Requirement" means the amount specified as being applicable to the Reference Entity in the relevant Standard applicable to such Reference Entity or, if no such amount is specified, U.S.$10,000,000 or its equivalent in the relevant Obligation Currency, in either case, as of the occurrence of the Credit Event.

(b) "Governmental Authority" means any de facto or de jure government (or any agency, instrumentality, ministry or department thereof), court, tribunal, administrative or other governmental authority or any other entity (private or public) charged with the regulation of the financial markets (including the central bank) of a Reference Entity or of the jurisdiction of organisation of a Reference Entity.

(c) "Obligation Currency" means the currency or currencies in which an Obligation is denominated.

(d) "Payment Requirement" means the amount specified as being applicable to the Reference Entity in the relevant Standard applicable to such Reference Entity or, if no such amount is specified, U.S.$1,000,000 or its equivalent in the relevant Obligation Currency, in either case, as of the occurrence of the relevant Failure to Pay or Potential Failure to Pay, as applicable.

Section 4.9. Limitation on Obligations in Connection with Section 4.7. If "Multiple Holder Obligation" is stated to be applicable in the relevant Standard to any Reference Entity and an Obligation, the occurrence of, agreement to, or announcement of, any of the events described in Section 4.7(a)(i) to (v) in respect of such Obligation shall not be a Restructuring in relation to such Reference Entity unless such Obligation in respect of any such events is a Multiple Holder Obligation.

"Multiple Holder Obligation" means an Obligation that (i) at the time of the event which constitutes a Restructuring Credit Event, is held by more than three holders that are not Affiliates of each other and (ii) with respect to which a percentage of holders (determined pursuant to the terms of the Obligation as in effect on the date of such event) at least equal to sixty-six and two-thirds is required to consent to the event which constitutes a Restructuring Credit Event, provided that any Obligation that is a Bond shall be deemed to satisfy the requirement in Section 4.9(a)(ii).

ARTICLE V

FIXED AMOUNTS

N/A

ARTICLE VI

GENERAL TERMS RELATING TO SETTLEMENT

N/A

ARTICLE VII

TERMS RELATING TO CASH SETTLEMENT

Section 7.1. Cash Settlement. 

N/A

Section 7.2. Cash Settlement Date. 

N/A

Section 7.3. Cash Settlement Amount. 

N/A

Section 7.4. Final Price.

(a) Subject to Section 7.4(b), "Final Price" shall mean, in respect of a Reference Entity, the percentage equal to (i) where the Company is selling credit protection to the Counterparty in respect of such Reference Entity, the highest of the bid quotations or (ii) where the Company is buying credit protection from the Counterparty in respect of such Reference Entity, the lowest of the offer quotations obtained from Dealers with respect to the Valuation Date relating to such Reference Entity in the manner provided below.

The Calculation Agent shall attempt to obtain Full Quotations with respect to each Valuation Date from the Dealers. If the Calculation Agent is unable to obtain two or more such Full Quotations on the same Valuation Business Day within three Valuation Business Days of a Valuation Date, then on the next following Valuation Business Day (and, if necessary, on each Valuation Business Day thereafter until the fifteenth Valuation Business Day following the relevant Valuation Date) the Calculation Agent shall attempt to obtain Full Quotations from five or more Dealers and, if two or more Full Quotations are not available, a Weighted Average Quotation.

If the Calculation Agent is able to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day within fifteen Valuation Business Days of a Valuation Date, the Calculation Agent shall use such Full Quotations or Weighted Average Quotation to determine the Final Price. If the Calculation Agent is unable to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day within fifteen Valuation Business Days of a Valuation Date, the quotations shall be deemed to be any Full Quotation obtained from a Dealer at the Valuation Time on such fifteenth Valuation Business Day, or if no Full Quotation is obtained, the weighted average of any firm quotations for the Reference Obligation obtained from Dealers at the Valuation Time on such fifteenth Valuation Business Day with respect to the aggregate portion of the Quotation Amount for which such quotations were obtained and a quotation determined by the Calculation Agent in a commercially reasonable manner for the balance of the Quotation Amount for which firm quotations were not obtained on such day. In respect of the Calculation Agent determining such quotation:

(i) the Calculation Agent may (but is not obliged to) determine the quotation by reference to credit default swap spreads prevailing in the market at that time, including with respect to any hedge transaction it is a party to in its capacity as Counterparty; and 

(ii) the quotation may be zero.

In the event that the Reference Obligation is converted or exchanged into any other type of property at any time after the Valuation Date, such property shall be deemed to constitute the Reference Obligation for the purposes of determining the Final Price;

where:

"Dealers" means, for the purposes of this definition only, as selected by the Calculation Agent in its sole discretion, at least five dealers in obligations of the type of obligations for which quotations are to be obtained and which will include no more than one dealer which is an Affiliate of the Calculation Agent.

"Full Quotation" means a firm bid quotation or a firm offer quotation, for a sale or purchase, as the case may be, of an amount of the Reference Obligation of the relevant Defaulted Credit with an outstanding principal amount or Due and Payable Amount equal to the Quotation Amount.

If the Maximum Quotation Amount (as defined in the Swap Agreement) in respect of any Defaulted Credit is greater than U.S.$20,000,000 (or the equivalent in the relevant currency), the Calculation Agent may designate more than one Quotation Amount (each of which may be a different amount and may have a different Reference Obligation selected in respect of it) in respect of such Defaulted Credit provided that (i) no single Quotation Amount shall be greater than U.S.$20,000,000 (or the equivalent in the relevant currency) and (ii) the aggregate of all Quotation Amounts designated in respect of a Defaulted Credit shall be less than or equal to the Maximum Quotation Amount for such Defaulted Credit. The Calculation Agent shall obtain such quotations in respect of each Quotation Amount in accordance with the terms of Final Price above and any valuation that occurs on the same Valuation Business Day as any other valuation in respect of such Defaulted Credit shall be deemed to have occurred on a different Valuation Business Day for the purposes of determining Final Price only. In such circumstances, the Final Price in respect of the relevant Defaulted Credit shall be calculated on the basis of the weighted average of the Final Prices obtained in respect of each such Quotation Amount.

However, in the event that any Reference Obligation is an obligation that is in the form of a Loan and which has the characteristic "Consent Required Loan", the Calculation Agent shall only be permitted to use a firm quotation from a Dealer to determine the Final Price of that obligation if the Calculation Agent provided that Dealer with the information reasonably required by that Dealer to give that firm quotation. For the sake of clarity, information which may be reasonably requested by that Dealer (and which shall be provided by the Calculation Agent if requested in relation to that quotation) may include any of the following:

(i) the name of the debtor;

(ii) the governing law;

(iii) guarantee (existence and description);

(iv) surety (existence and description);

(v) description of the covenants;

(vi) maturity and amortisation profile;

(vii) coupon;

(viii) revolver or term loan;

(ix) drawn or not; and

(x) the effective date of the loan.

(b) In the event that the outstanding principal amount of the Reference Obligation accretes with time, the Final Price of the Reference Obligation shall be the price of that Reference Obligation determined as provided in the Swap Agreement or, as the case may be, the Final Terms and expressed as a percentage of the outstanding principal balance of that obligation as at the Valuation Date. For the purposes of the foregoing the outstanding principal balance of that Reference Obligation shall be determined by the Calculation Agent in a commercially reasonable manner.

In the event that the Reference Obligation selected by the Calculation Agent has been converted, exchanged or otherwise transformed into any other type of property, including equity, then that property shall be deemed to constitute the Reference Obligation. The Calculation Agent shall determine the Final Price of that property in accordance with the Valuation Provisions, modified by the Calculation Agent only to the extent necessary to make them compatible with the type and amount of property being so valued. Any such Final Price shall be deemed to be the Final Price of the Reference Obligation for the purposes of the Notes or, as the case may be, the Swap Agreement.

The Calculation Agent shall be deemed to have provided sufficient information for the purposes of determining any Final Price with respect to any Reference Obligation (regardless of the form of the same), if it has provided the relevant Dealers with:

(i) a detailed description of the Reference Obligation; and

(ii) in the event that such obligation is in the form of a Bond or Loan, the outstanding principal balance or Due and Payable Amount of the Reference Obligation and if available, the CUSIP or ISIN number (if such identifying number is not available, the rate and tenor of the Reference Obligation).

Section 7.5. Valuation Method.

N/A

Section 7.6. Market Value. 

N/A

Section 7.7. Quotation. 

N/A

Section 7.8. Valuation Date. "Valuation Date" means in respect of a Defaulted Credit (subject as provided in relation to a Defaulted Credit resulting from a Restructuring Credit Event in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard) as selected by the Calculation Agent in its sole discretion any Valuation Business Day falling in the period from and including the 52nd Valuation Business Day following (i) the Credit Event Date or, as the case may be, (ii) the date of the Valuation Date Designation Notice to and including the 75th Valuation Business Day following (i) the Credit Event Date or, as the case may be, (ii) the date of the Valuation Date Designation Notice. The Calculation Agent will select as the Valuation Date a day falling in the period from and including the 52nd Valuation Business Day to and including the 75th Valuation Business Day following (i) the Credit Event Date or, as the case may be, (ii) the date of the Valuation Date Designation Notice unless the Calculation Agent notifies the Company and the Counterparty (either orally or in writing) that it has information stating that one or more obligations it intended to use as Reference Obligations may be redeemed, exchanged, converted into other property or otherwise materially amended or altered on or prior to such 52nd Business Day, in which event the Valuation Date shall be the date such notification is provided. Each obligation which the Calculation Agent intends to use as a Reference Obligation must meet the definition of "Reference Obligation" on the Valuation Date. 

"Valuation Date Designation Notice" means, in respect of the occurrence of a Restructuring Credit Event with respect to a Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard, each notice from the Calculation Agent to the Company notifying it of its selection of a Valuation Date for a Designated Amount in respect of such Reference Entity, provided that such Valuation Date is no later than the day falling 75 Valuation Business Days following, in respect of the Notes, the Scheduled Maturity Date or, in relation to the Swap Agreement, the Scheduled Termination Date (the period from the Credit Event Date to the day falling 75 Valuation Business Days following the Scheduled Maturity Date, or as the case may be the Scheduled Termination Date being the "Valuation Period"). 

Notwithstanding anything to the contrary contained herein, the "Valuation Date" in respect of a Defaulted Credit insofar as such Defaulted Credit is a Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard and to the extent of the relevant Designated Amount, shall be the Valuation Business Day so selected by the Calculation Agent, provided that such Valuation Business Day is on or before the day falling 75 Valuation Business Days following the Scheduled Maturity Date.

For the avoidance of doubt:

(i) more than one Valuation Date Designation Notice may be delivered from time to time following the occurrence of a Restructuring Credit Event in respect of a Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard provided that the sum of the Designated Amounts in respect of any such Reference Entity does not exceed the Credit Position; 

(ii) the Calculation Agent may select a different Reference Obligation in respect of each Valuation Date; and

(iii) at any time following the occurrence of a Restructuring Credit Event in respect of any Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard, the Calculation Agent may, by delivery to the Company of a Valuation Date Designation Notice, designate such amount of the Credit Position of such Reference Entity (the "Designated Amount") as it determines in its absolute discretion to be subject to a Valuation Date, provided that the Designated Amount shall be in an amount of at least the Minimum Designated Amount or an integral multiple thereof.

Section 7.9. Quotation Method. 

N/A

Section 7.10. Full Quotation. 

N/A

Section 7.11. Weighted Average Quotation. "Weighted Average Quotation" means the weighted average of the firm bid quotations or firm offer quotations, as the case may be, obtained from Dealers at the Valuation Time, to the extent reasonably practical, each for an amount of the Reference Obligation with an outstanding principal amount of as large a size as available but less than the Quotation Amount (but of a size at least equal to the Minimum Quotation Amount or, if quotations of such size are not available as near in size as practicable to the Minimum Quotation Amount) that in the aggregate are approximately equal to the Quotation Amount and, for the avoidance of doubt, if bids for an aggregate of greater than the Quotation Amount are obtained, the lowest bids shall be disregarded or reduced in weight in calculating the weighted average).

Section 7.12. Quotation Amount. "Quotation Amount" means an amount selected by the Calculation Agent in its sole discretion, subject to a minimum of the Minimum Quotation Amount and a maximum of the Maximum Quotation Amount.

"Minimum Designated Amount" means the amount (if any) specified as such in the Swap Agreement or, as the case may be, the Final Terms.

Section 7.13. Minimum and Maximum Quotation Amount. "Minimum Quotation Amount" means the amount specified as such in the Swap Agreement or, as the case may be, the Final Terms or, if no such amount is specified, U.S.$1,000,000.

"Maximum Quotation Amount" means (i) where the Credit Position is not specified to be a percentage, the Credit Position of the relevant Reference Entity, save that in the case of a Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard, the Maximum Quotation Amount shall be equal to the relevant Designated Amount and (ii) where the Credit Position is specified to be a percentage, the amount specified in the Swap Agreement or, if no such amount is specified in the Swap Agreement, U.S.$100,000,000, save that in the case of a Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" is specified as being applicable in the relevant Standard, the Maximum Quotation Amount shall be equal to the amount determined in accordance with the foregoing multiplied by the quotient of the relevant Designated Amount (as numerator) and the Credit Position (as denominator).

Section 7.14. Valuation Time. "Valuation Time" means, as selected by the Calculation Agent in its sole discretion, any time at or after 11.00 am London time. 

Section 7.15. Dealer. "Dealers" means, as selected by the Calculation Agent in its sole discretion, at least five dealers which are either (i) dealers in obligations of the type of obligations for which quotations are to be obtained (which may include any such dealer which is an Affiliate of the Calculation Agent) or (ii) named in the Swap Agreement or, as the case may be, the Final Terms (including the respective Successors of such named dealers).

Section 7.16. Representative Amount. 

N/A

ARTICLE VIII

TERMS RELATING TO PHYSICAL SETTLEMENT

Section 8.1. Physical Settlement. 

N/A

Section 8.2. Deliver. 

N/A

Section 8.3. Delivery Date. 

N/A

Section 8.4. Physical Settlement Date. 

N/A

Section 8.5. Physical Settlement Amount. 

N/A

Section 8.6. Physical Settlement Period. 

N/A

Section 8.7. Provisions Applicable to Convertible, Exchangeable and Accreting Obligations.

(a) (i) With respect to any Accreting Obligation, "outstanding principal balance" means the Accreted Amount thereof.

(ii) With respect to any Exchangeable Obligation that is not an Accreting Obligation, "outstanding principal balance" shall exclude any amount that may be payable under the terms of such obligation in respect of the value of the Equity Securities for which such obligation is exchangeable.

(b) (i) "Accreted Amount" means with respect to an Accreting Obligation, an amount equal to (A) the sum of (1) the original issue price of such obligation and (2) the portion of the amount payable at maturity that has accreted in accordance with the terms of the obligation (or as otherwise described below), less (B) any cash payments made by the obligor thereunder that, under the terms of such obligation, reduce the amount payable at maturity (unless such cash payments have been accounted for in Clause (A)(2) above), in each case calculated as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the Relevant Date. Such Accreted Amount shall not include any accrued and unpaid periodic cash interest payments (as determined by the Calculation Agent). If an Accreting Obligation is expressed to accrete pursuant to a straight-line method or if such Obligation's yield to maturity is not specified in, nor implied from, the terms of such Obligation, then, for purposes of Clause (A)(2) above, the Accreted Amount shall be calculated using a rate equal to the yield to maturity of such Obligation. Such yield shall be determined on a semi-annual bond equivalent basis using the original issue price of such obligation and the amount payable at the scheduled maturity of such obligation, and shall be determined as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the Relevant Date. The Accreted Amount shall exclude, in the case of an Exchangeable Obligation, any amount that may be payable under the terms of such obligation in respect of the value of the Equity Securities for which such obligation is exchangeable.

(ii) "Accreting Obligation" means any obligation (including, without limitation, a Convertible Obligation or an Exchangeable Obligation), the terms of which expressly provide for an amount payable upon acceleration equal to the original issue price (whether or not equal to the face amount thereof) plus an additional amount or amounts (on account of original issue discount or other accruals of interest or principal not payable on a periodic basis) that will or may accrete, whether or not (A) payment of such additional amounts is subject to a contingency or determined by reference to a formula or index, or (B) periodic cash interest is also payable.

(iii) "Convertible Obligation" means any obligation that is convertible, in whole or in part, into Equity Securities solely at the option of holders of such obligation or a trustee or similar agent acting for the benefit only of holders of such obligation (or the cash equivalent thereof, whether the cash settlement option is that of the issuer or of (or for the benefit of) the holders of such obligation).

(iv) "Equity Securities" means:

(A) in the case of a Convertible Obligation, equity securities (including options and warrants) of the issuer of such obligation or depositary receipts representing those equity securities of the issuer of such obligation together with any other property distributed to or made available to holders of those equity securities from time to time; and

(B) in the case of an Exchangeable Obligation, equity securities (including options and warrants) of a person other than the issuer of such obligation or depositary receipts representing those equity securities of a person other than the issuer of such obligation together with any other property distributed to or made available to holders of those equity securities from time to time.

(v) "Exchangeable Obligation" means any obligation that is exchangeable, in whole or in part, for Equity Securities solely at the option of holders of such obligation or a trustee or similar agent acting for the benefit only of holders of such obligation (or the cash equivalent thereof, whether the cash settlement option is that of the issuer or of (or for the benefit of) the holders of such obligation).

Section 8.8. Due and Payable Amount. "Due and Payable Amount" means the amount that is due and payable under (and in accordance with the terms of) a Reference Obligation as of the Valuation Date, whether by reason of acceleration, maturity, termination or otherwise (excluding sums in respect of default interest, indemnities, tax gross ups and other similar amounts).

Section 8.9. Currency Amount. 

N/A

Section 8.10. Currency Rate. 

N/A

Section 8.11. Escrow.

N/A

ARTICLE IX

ADDITIONAL REPRESENTATIONS AND AGREEMENTS OF THE PARTIES

N/A

ARTICLE X

NOVATION PROVISIONS

N/A

ARTICLE XI

SUPPLEMENTARY PROVISIONS

Section 11.1. Definitions.

"Calculation Agent" means, in respect of the Notes, the "Determination Agent" specified in the Conditions (unless no Determination Agent is specified in which case it shall mean the "Calculation Agent" specified in the Conditions), and in respect of the Swap Agreement, the "Calculation Agent" specified in the Swap Agreement.

"Credit Event Date" means the day on which the Calculation Agent gives notice to the Company that a Credit Event has occurred.

"Credit Observation End Date" means the Cut-off Date relating to, in respect of the Notes, the Scheduled Maturity Date, or in respect of the Swap Agreement, the Scheduled Termination Date, or such other date as may be specified in the Final Terms in respect of the Notes or the Confirmation in respect of the Swap Agreement.

"Credit Position" means, as applicable: (i) subject to the other provisions hereof, in respect of each Reference Entity the amount specified as the Credit Position for that Reference Entity in the Swap Agreement, or as the case may be, the Final Terms, provided that if further Notes are issued which form a single Series with the Notes, the Credit Position in respect of each Reference Entity will be increased pro rata to the aggregate principal amount of such further Notes and in the case that Notes are repurchased and cancelled, the Credit Position in respect of each Reference Entity shall be reduced pro rata; or (ii) subject to the other provisions hereof, in respect of each Reference Entity in a Reference Portfolio, the percentage determined as the Credit Position for that Reference Entity in accordance with the Swap Agreement (and which in the case of the initial Reference Entities are set out in the Swap Agreement).

"Cut-off Date" means (a) in respect of the Notes and (i) any date which is an Interest Payment Date, the third Payment Business Day preceding such Interest Payment Date (save that if a Counterparty Termination Event occurs then, in respect of the Interest Payment Date falling on the Early Redemption Date, the related Cut-off Date shall be the Early Valuation Date) and (ii) in respect of any other date, the third Payment Business Day preceding such date and (b) in respect of the Swap Agreement (i) and any date which is a Payment Date in respect of a Primary Morgan Floating Amount, a Secondary Morgan Floating Amount, a Primary Morgan Fixed Amount or a Secondary Morgan Fixed Amount, as the case may be, the third Morgan Business Day preceding such date and (ii) in respect of any other date, the third Morgan Business Day preceding such date.

"Default Correction Date" means with respect to an Uncured Default: (i) the day (if any) on which Publicly Available Information exists confirming that a Potential Failure to Pay has been cured and ceases to exist, as determined by the Calculation Agent, provided that such Potential Failure to Pay is cured within the originally applicable grace period prior to the expiry of which such debt is not capable of being declared due and payable, and provided that such cure occurs before a Credit Event as a result of a Failure to Pay occurs or (ii) the Repudiation/Moratorium Evaluation Date, provided that no Failure to Pay, determined without regard to the Payment Requirement or Restructuring, and without regard to the Default Requirement has occurred on or prior to the Repudiation/Moratorium Evaluation Date.

"Defaulted Credit" means, on any day, each Reference Entity in respect of which a Credit Event Date has occurred or, in the case of a Reference Entity in respect of which "Multiple Credit Event Notices" is stated to be applicable in the relevant Standard and in respect of which a Restructuring Credit Event has occurred, and subject to the terms hereof, in respect of which the Calculation Agent has given a Valuation Date Designation Notice to (i) in respect of the Notes, the Company and (ii) in respect of the Swap Agreement, the Issuing Counterparty.

"Final Valuation Date" means, in respect of a Defaulted Credit:

(a) the day on which the Final Price in respect of such Defaulted Credit is determined, unless sub-paragraph (b) below applies; or

(b) where the Notes provide that following the occurrence of a Credit Event (and satisfaction of any conditions related thereto) there shall be a Liquidation of the Outstanding Charged Assets, the later of:

(i) the day on which the Final Price in respect of such Defaulted Credit is determined; and

(ii) the day on which the final payment in respect of the Liquidation of the Outstanding Charged Assets is received by the Broker or, as the case may be, the Custodian,

provided that if the Outstanding Charged Assets have not been realised by the last day of the Liquidation Period (and for such purpose "realisation" shall include any Expected Realisation), the Final Valuation Date shall be the last day of the Liquidation Period.

"Expected Realisation" means any contract of sale or arrangement made for redemption, realisation or repayment of any Outstanding Charged Assets entered into on or prior to the last day of the Liquidation Period where payment in respect thereof is not due to be received by the Broker or, as the case may be, the Custodian until after the last day of the Liquidation Period.

In selecting any Valuation Date or in making any other selection hereunder, the Calculation Agent is under no obligation to the Noteholders, the Couponholders or any other person and, provided that it makes the relevant selection in accordance with the terms hereof, the Calculation Agent will not be liable to any person in the event that a lower price is obtained as a result of that selection than would have been obtained if a different selection had been made, or for any other consequence of the relevant selection. In making any selection, the Calculation Agent will not be liable to account to the Noteholders, the Couponholders or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

"Long Reference Entity" means any Reference Entity in a Reference Portfolio in respect of which the related Credit Position is positive.

"Number of Notes" means on any day the number of Notes in issue on such day, including Notes of any Series forming a single series with the Notes.

"Restructuring Credit Event" means a Credit Event which meets the requirements of a "Restructuring".

"Short Reference Entity" means any Reference Entity in a Reference Portfolio in respect of which the related Credit Position is negative.

"Standard" means, in relation to a Reference Entity, the trading standard attached to, identified in or incorporated by reference into the Swap Agreement or, as the case may be, the Final Terms, and which is specified as applying and applies to such Reference Entity.

"Uncured Default" means a Potential Failure to Pay or Potential Repudiation/Moratorium has occurred and neither a Credit Event as a result of a Failure to Pay or Repudiation/Moratorium, as the case may be, nor a Default Correction Date has occurred.

Section 11.2. General.

The Principal Paying Agent on behalf of the Company shall as soon as practicable give notice to the Noteholders of the determination by the Calculation Agent of the existence or occurrence of a Credit Event or the existence or occurrence of a Potential Failure to Pay or a Potential Repudiation/Moratorium which leads to a reduction in the amount payable on any date.

All calculations and determinations made by the Calculation Agent in relation to the Notes shall (save in the case of manifest error at the time the relevant determination is made) be final and binding on the Company, the Trustee, the agents appointed under the Agency Agreement and the Noteholders and Couponholders.

All calculations and determinations made by the Calculation Agent in relation to the Swap Agreement shall (save in the case of manifest error at the time the relevant determination is made) be final and binding on Morgan and the Issuing Counterparty.

In selecting any Reference Obligations hereunder, the Calculation Agent is under no obligation to the Noteholders, the Couponholders or any other person and, provided that the obligation selected meets the criteria in the definition of "Reference Obligations", is entitled, and indeed will endeavour, to select obligations with the lowest price (in respect of a Long Reference Entity) or the highest price (in respect of a Short Reference Entity) of any obligations which meet such criteria. In making any selection, the Calculation Agent will not be liable to account to the Noteholders, the Couponholders or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

The rights and obligations of the parties under the Notes and the Swap Agreement respectively are irrespective of the existence or amount of the parties' credit exposure to a Reference Entity and no party need suffer any loss or provide evidence of any loss as a result of the occurrence of a Credit Event.

When determining the existence or occurrence of any Potential Failure to Pay, Potential Repudiation/Moratorium or any Credit Event, the Calculation Agent shall make such determination based on the occurrence of an event whether or not the occurrence of the relevant event arises directly or indirectly from or is subject to a defence based upon (a) any lack or alleged lack of authority or capacity of the relevant Reference Entity to enter into any Obligation or, as applicable, an Underlying Obligor or Insured Obligor, as the case may be, to enter into any Underlying Obligation or Insured Instrument, as the case may be, (b) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any Obligation or, as applicable, any Underlying Obligation or Insured Instrument, as the case may be, however described, (c) any applicable law, order, regulation, decree or notice, however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (d) the imposition of or any change in any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority.

No person shall have any right to enforce any term or condition of the Notes or the Swap Agreement under the Contracts (Rights of Third Parties) Act 1999.

  ANNEX

Trade Date:	September 11, 2008
Applicable Events for Credit Event:	In respect of the Reference Entity, those specified in respect of such Reference Entity in the Standard.
Reference Entity:	North American Reference Entity.
North American Reference Entity:	The entity in respect of which "North American" is specified as being the Applicable Trading Standard in Schedule 2.
Minimum Designated Amount:	USD 1,000,000 or the equivalent in the relevant currency.
Credit Position:	Aggregate Nominal Amount as converted into USD on the relevant date by the Calculation Agent in its sole discretion.
Minimum Quotation Amount:	USD 1,000,000 or the equivalent in the relevant currency.
Additional Specified Currency	Not applicable
Benchmark Obligation:	The obligation specified as such in Schedule 2 in respect of the Reference Entity.
Additional Public Sources:	Not applicable
Potential Failure to Pay	Not Applicable
Potential Repudiation /Moratorium	Not Applicable
Final Price:	Means in respect of the Reference Entity the percentage equal to the Market Value determined based on offer quotations obtained from Dealers with respect to the Valuation Date relating to the Reference Entity in the manner provided below.
	The Calculation Agent shall require each Dealer to provide firm offer quotations (exclusive of unpaid interest and expressed as a percentage of the unpaid principal) for a sale of an amount of the Reference Obligation of the relevant Defaulted Credit with an outstanding principal amount or Due and Payable Amount equal to the Quotation Amount (a "Full Quotation") as of the Valuation Time on such Valuation Date. If at least two such Full Quotations are not available on the same Valuation Business Day, within three Valuation Business Days of the relevant Valuation Date, then on the next Valuation Business Day, (and, if necessary, on each Valuation Business Day thereafter until the fifteenth Valuation Business Day following the relevant Valuation Date) the Calculation Agent shall attempt to obtain such Full Quotations from at least five Dealers and, if at least two such Full Quotations are not available a Weighted Average Quotation. If the Calculation Agent is able to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day on or prior to the fifteenth Valuation Business Day following the relevant Valuation Date, the Calculation Agent shall use such Full Quotations or Weighted Average Quotations to determine the Final Price.  If the Calculation Agent is unable to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day on or prior to the fifteenth Valuation Business Day following the relevant Valuation Date, the Final Price shall be based on any Full Quotation obtained from a Dealer at the Valuation Time on such fifteenth Valuation Business Day or, if no Full Quotation is obtained, the Weighted Average Quotations obtained on such fifteenth Valuation Business Day with respect to the aggregate portion of the Quotation Amount for which such quotations were obtained and a quotation deemed to be 100% for the balance of the Quotation Amount for which firm quotations were not obtained on such day.
Market Value	Means with respect to the Reference Obligation on a Valuation Date, (a) if more than three Full Quotations are obtained, the arithmetic mean of such Full Quotations, disregarding the Full Quotations having the highest or lowest Values (and, if more than one such Full Quotations have the same highest value or lowest value, then one of such highest or lowest Full Quotations shall be disregarded), (b) if exactly three Full Quotations are obtained, the Full Quotation remaining after disregarding the highest and lowest Full Quotations (and, if more than one such Full Quotations have the same highest value or lowest value, then one of such highest or lowest Full Quotations shall be disregarded), (c) if exactly two Full Quotations are obtained, the arithmetic mean of such Full Quotations, (d) if fewer than two Full Quotations are obtained and a Weighted Average Quotation is obtained, such Weighted Average Quotation, (e) if fewer than two Full Quotations are obtained and no Weighted Average Quotation is obtained, subject to the provisions of "Final Price" above, an amount as determined by the Calculation Agent.
Valuation Date	Means in respect of a Defaulted Credit (subject as provided in relation to a Defaulted Credit resulting from a Restructuring Credit Event in respect of the Reference Entity in respect of which "Multiple Credit Event Notice" is specified as being applicable in the relevant Standard), as selected by the Calculation Agent in its sole discretion any Valuation Business Day falling on or after the Credit Event Date and on or before the 125th Valuation Business Day following the Credit Event Date relating to such Defaulted Credit.
Valuation Date Designation Notice	Means, in respect of the occurrence of a Restructuring Credit Event with respect to the Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard, each notice from the Calculation Agent to the Company notifying it of its selection of a Valuation Date for a Designated Amount in respect of the Reference Entity, provided that such Valuation Date is no later than the day falling 125 Valuation Business Days following, in respect of the Notes, the Scheduled Maturity Date or, in relation to the Swap Transaction, the Scheduled Termination Date (the period from the Credit Event Date to the day falling 125 Valuation Business Days following the Scheduled Maturity Date, or as the case may be the Scheduled Termination Date being the "Valuation Period").  Notwithstanding anything to the contrary contained herein, the "Valuation Date" in respect of a Defaulted Credit insofar as such Defaulted Credit is the Reference Entity in respect of which a Restructuring Credit Event has occurred and in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard and to the extent of the relevant Designated Amount, shall be the Valuation Business Day so selected by the Calculation Agent, provided that such Valuation Business Day is on or before the day falling 125 Valuation Business Days following the Scheduled Maturity Date. For the avoidance of doubt: (i) more than one Valuation Date Designation Notice may be delivered from time to time following the occurrence of a Restructuring Credit Event in respect of the Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard provided that the sum of the Designated Amounts in respect of any the Reference Entity does not exceed the Credit Position;  (ii) the Calculation Agent may select a different Reference Obligation in respect of each Valuation Date; and at any time following the occurrence of a Restructuring Credit Event in respect of the Reference Entity in respect of which "Multiple Credit Event Notices" are specified as being applicable in the relevant Standard, the Calculation Agent may, by delivery to the Company of a Valuation Date Designation Notice, designate such amount of the Credit Position of the Reference Entity (the "Designated Amount") as it determines in its absolute discretion to be subject to a Valuation Date, provided that the Designated Amount shall be in an amount of at least the Minimum Designated Amount or an integral multiple thereof.
Dealers:	As selected by the Calculation Agent in its sole discretion, at least five dealers which are either (i) dealers in obligations of the type of obligations for which Quotations are to be obtained (which may include any such dealer which is an affiliate of the Calculation Agent) or (ii) named in the Final Terms (including the Respective Successors of such named dealers).

The following amendments shall apply in relation to the Trading Standards Annex attached to this Schedule and Annex:

  

NORTH AMERICAN TRADING STANDARDS ANNEX

Business Day:	London and New York
Credit Events:	The following Credit Events shall apply with respect to Reference Entities to which North American Trading Standards apply:
	Bankruptcy (except with respect to any Reference Entity that is a Sovereign)
	Failure to Pay
		Payment Requirement:		USD 1,000,000
	Restructuring
			Multiple Holder Obligation:	Applicable
		Default Requirement:		USD 10,000,000
			Restructuring Maturity Limitation and Fully Transferable Obligation:		Applicable
Obligation(s):	For the purposes of the table below; "Yes" shall mean that the relevant selection is applicable; and "No" shall mean that the relevant selection is not applicable.

	Obligation Categories		Obligation Characteristics
No	Payment	No	Not Subordinated
Yes	Borrowed Money	No	Specified Currency - Standard Specified Currencies
No	Reference Obligation(s) Only	No	Not Sovereign Lender
No	Bond	No	Not Domestic Currency
No	Loan	No	Not Domestic Law
No	Bond or Loan	No	Listed
		No	Not Domestic Issuance

Excluded Obligations:	None
All Guarantees:	Not Applicable

Deliverable Obligation(s):

For the purposes of the table below; "Yes" shall mean that the relevant selection is applicable; and "No" shall mean that the relevant selection is not applicable

	Deliverable Obligation Categories		Deliverable Obligation Characteristics
No	Payment	Yes	Not Subordinated
No	Borrowed Money	Yes	Specified Currency - Standard Specified Currencies
No	Reference Obligation(s) Only	No	Not Sovereign Lender
No	Bond	No	Not Domestic Currency
No	Loan	No	Not Domestic Law
Yes	Bond or Loan	No	Listed
		Yes	Not Contingent
		No	Not Domestic Issuance
		Yes	Assignable Loan
		Yes	Consent Required Loan
		No	Direct Loan Participation Qualifying Participation Seller:
		Yes	Transferable
		Yes, 30 years	Maximum Maturity
		No	Accelerated or Matured
		Yes	Not Bearer

Excluded Deliverable Obligations:	None
Deliverable Obligations:	Exclude Accrued Interest
Section 3.9 of the 2003 Definitions:	Applicable
Physical Settlement:	Where Physical Settlement is applicable the following terms shall also apply:
Physical Settlement Period:	As specified in Section 8.6 of the 2003 Definitions, but in no event longer than 30 Business Days.
Additional Condition to Settlement:	Notice of Physical Settlement.
Cap on Settlement Fallback	Not Applicable

  Schedule 2

Reference Entity	Credit Position	Benchmark Obligation		Applicable Trading Standards
Merrill Lynch & Co., Inc.	Aggregate Nominal Amount as converted into USD on the relevant date by the Calculation Agent in its sole discretion.	Primary obligor:	Merrill Lynch & Co., Inc.	North American
		Guarantor (if any):	None
		Maturity:	January 15, 2015
		Coupon:	5.0%
		CUSIP/ISIN:	59018YUW9/ US59018YUW91

ENDDOCILFEALIITIIA

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