Ratings

• The quality and location of the collateral properties is good. Standard & Poor's overall property score is 2.2.
• Investment-grade tenants represent 80% of total gross rent passing.
• The weighted-average unexpired lease term to first break or maturity is 12.64 years, which compares well with the loan term of 4.54 years.
• The collateral properties are fully let.
• The loan documentation contains a range of individually tailored financial and LTV ratio covenants, breach of which will trigger a loan event of default.
• The borrowers are jointly liable and the master loan agreement has created cross-collateralized securities.

• The loan is interest-only, leaving a significant refinance bullet at loan maturity in 2010. This is mitigated by the quality of the properties and the security of income. The size of the refinancing bullet is reflected in the preliminary ratings assigned to the notes.
• One of the loans (the Undershaft loan) accounts for 44.5% of the pool. This loan is secured on a prominent landmark building in the City of London and let to an investment-grade tenant until 2024.
• There is no diversity, either geographically or by asset type, as all the properties are office buildings located in the City of London. However, the office properties are well located and the City of London office market is the U.K.'s second largest office market.
• All properties have single tenants. The two major tenants are investment-grade entities: JPMorgan Chase Bank, N.A. (AA-/Stable/A-1+) and CGU International Insurance PLC (CGU; AA-/Stable/A-1+). In addition, the properties provide good quality office accommodation.
• The borrowers have additional debt in the form of B notes, sold to a single lender. The junior lender has certain rights in the respect of the administration of the loan. Junior debt is subordinated to the noteholders via an intercreditor deed and some administration rights will fall away in certain circumstances.
• The swap agreements at the borrower level will terminate one month before loan maturity dates. They will also terminate following a loan event of default.

The loans are secured by a comprehensive security package granted by the borrowers under the terms of the master loan agreement. This includes first-ranking mortgages over the properties, charges over the borrowers' bank accounts, charges over the rental income derived from the secured properties and charges over the shares in the borrower vehicles.

The security package will be assigned to the trustee under the deed of charge and assignment. In addition, the issuer will grant security to the trustee over its bank accounts and rights in the various transaction documents to the note trustee for the benefit of the noteholders and other secured creditors.

A liquidity facility will be available to enable the issuer to cover shortfalls of senior expenses and interest payments.

The day 1 liquidity facility amount will be approximately £36 million, which represents 6.75% of the aggregate principal amount note balance, and approximately 15 months of interest payments under the notes.

As the outstanding principal balances of the notes reduce, the liquidity may reduce. However, the liquidity facility will not reduce to less than either £12 million or 7.75% of the outstanding principal amount of the notes.

The liquidity facility may also be reduced following confirmation from Standard & Poor's that the notes will not be downgraded as a consequence of the proposed reduction.

Under the master loan agreement, each borrower is required to enter into an interest rate swap agreement. Société Générale is the swap counterparty for the Undershaft loan and Barclays Capital PLC is the counterparty for the Victoria Embankment and Millennium Bridge House loans. Under the agreements, the borrowers pay a fixed interest rate to the swap counterparties, which in turn pay a floating interest rate to the borrowers to enable them to meet their floating-rate interest payment obligations under the loan.

The swap agreements will expire one month before loan maturity dates.

The agreements are not structured to survive loan acceleration or enforcement of security. Therefore, they would terminate following a loan event of default, if it was not cured by the junior lender.

Any associated break costs would rank senior to the noteholder payments, which would reduce the level of recoveries available to the noteholders.

At the note level, the issued notes will have floating-rate coupons based on three-month LIBOR. As the interest payments under the loans and the notes will occur on the same dates, there is no requirement for a basis swap agreement in the transaction.

All excess spread will flow through the issuer-level priority of payments and will subsequently be paid to the seller of the loans, Société Générale.

Any principal prepayments and the final bullet repayments received on the loans will be applied to the notes sequentially.

Release premiums received following the sale of a property will be treated as prepayments and applied to the notes sequentially.

The current principal outstanding under the loans is £534.96 million. The difference between that figure and the initial note issuance will be repaid on the first interest payment date, in April 2006.

The legal final maturity of the notes will occur in 2013.

Under the terms of the loan, there is no scheduled repayment of principal before the expected maturity of the notes in 2010.

Optional redemption in full can occur if:

• There is a change in law affecting the transaction (e.g., U.K. tax law); or
• The aggregate principal amount outstanding of all notes is less than 10%.

Prepayment of some of the loans may give rise to circumstances where the interest margin on the remaining loans will not be sufficient to pay the interest coupon on the class D notes. This risk arises as a consequence of spread compression between the interest margins paid on the underlying loans and the weighted-average coupon paid on the notes. The mismatch only arises in certain prepayment scenarios.

However, on closing, Société Générale will fund a cash reserve to cover any shortfalls on the class D interest margin. Société Générale has run numerous prepayment scenarios and considered that the maximum amount of any shortfall will be equal to the cash reserve amount. As a consequence, there is no requirement for an available funds cap.

There is additional debt outstanding that does not form part of the securitization. This additional debt of £90.3 million has been granted by Société Générale and will be sold as three B notes purchased by the same third party.

The relationship between the senior loans (and thus the noteholders) and the junior B note lenders is governed by an intercreditor agreement.

All of the scheduled amortization on the loans, plus any excess cash remaining after debt service payments, will be applied to repay the junior nonsecuritized debt.

The junior lenders have certain rights in respect of the administration of the whole loan. These rights principally relate to giving consent to amendments to the credit agreement but also include consent rights in respect of the release of security and the release of any obligor under the loan.

These rights remain with the junior lenders, until a control valuation event occurs, i.e., when the actual principal amount of the junior loans is less than 25% of the initial principal amount of the junior loans. Following a control valuation event, certain rights will pass to the most junior class of notes, including those relating to the release of any obligor or security.

After a material loan event of default, all debt service payments (interest and principal) will be first allocated to the senior lenders and thus to the noteholders.

The junior lenders have the ability to cure payment defaults in respect of the senior loan twice in any year and no more than four times during the term of the senior loan. In addition, the junior lenders can buy the senior loan, subject to certain conditions. The purchase price includes all amounts due to the issuer (included securitization costs) by the relevant borrower.

The junior lenders will be the controlling party until a control valuation event occurs. After a control valuation event, the most junior class of notes outstanding will be the controlling party in the transaction.

The controlling party in the transaction will have the right to terminate the appointment of the special servicer, if applicable. Subject to certain conditions, they may appoint an operating advisor to represent their interests.

The Aviva Tower is a landmark, grade A office building of 315,000 sq. ft centrally located in the City of London (see image 1).

The building was built in 1969 but entirely refurbished in 1994. The property is in good condition and provides good-quality office accommodation in a prominent location. Standard & Poor's considers this property to be an institutional-grade investment property.

The entire building is let to one of the principal operating subsidiaries of Aviva PLC, CGU. The lease expires in April 2024, giving an unexpired lease term of 18.16 years.

The current annual passing rent is £16.5 million, which equates to a rent of £52.37 per sq. ft. The Aviva Tower is considered over-rented by around 12%, with a market rent of about £14.75 million.

CGU has sublet part of its space and 55% of the rental income derives from subtenants (see table 2).

Table 2 Rent Paid By The Top Four Subtenants
Tenant name	Gross rent (£)	Lease expiry	Subtenant as percentage of the total property rent
Amlin PLC	2,088,203	April 27, 2024	13
Quilter & Co Ltd.	1,409,335	April 29, 2014	9
Sony UK Ltd.	1,123,886	April 29, 2009	7
RK Carvill & Co. Ltd.	951,508	April 30, 2009	6

60 Victoria Embankment is a prominent office building located on the western edge of the City of London (see image 2).

The property comprises a substantial office complex, incorporating the original City of London Boys School (the Great Hall building). This was converted and extended in 1991 at the same time as the rest of the property was built (The Main and the Island buildings). Overall, the property provides 414,000 sq. ft of grade A office and ancillary accommodation with car parking for 17 vehicles.

The property is fully let to JPMorgan Chase Bank on a full repairing and insuring lease that expires in March 2016. The unexpired lease term is 10.06 years.

The current passing rent of £18 million reflects a rate of approximately £43.5 per sq. ft. The property is considered over-rented by around 15.4%, with a market rent of £15.6 million.

The fourth, fifth, and sixth floors have been sublet to Unilever until January 2008.

Millennium Bridge House is located two hundred meters south of St Paul's Cathedral, on High Timber Street, in the City of London (see image 3).

The property was built in 1988 and extensively refurbished in 2001. The building provides approximately 198,843 sq. ft of good quality office accommodation on five floors.

The property is held on a long leasehold and the landlord is entitled to receive a head rent of the greater of £400,000 and 20% of net rents received.

The entire property is let to SBCI Investment Banking Ltd., ultimately owned by UBS AG (AA+/Stable/A-1+), under a lease expiring in September 2013. The unexpired lease term is 7.54 years. The fourth floor is not occupied by the tenant and is currently being refurbished.

SBCI Investment Banking has sublet the entire property to Old Mutual PLC until September 2013.

The annual passing rent is £8.80 million, of which 20% is paid to the City Corporation, the landlord under the headlease, leaving a net rent of £7.04 million per year. The property is considered over-rented by around 18.9%, with a market rent of £7.70 million per year (before payment of the head lease).

Société Générale originated the loans in the past six months. The loans were originated with the intention of securitization.

Hatfield Philips International Ltd. was appointed servicer and special servicer of the loans. Servicing fees are 0.025% annually on the principal balance of the loans.

An annual special servicing fee of up to 0.19% becomes payable once a loan is transferred into special servicing. Servicing transfer events include a loan event of default, late payment, and borrower insolvency or bankruptcy.

A liquidation fee of up to 1.0% is also payable to the special servicer from net realization proceeds following enforcement of loan security. A restructuring fee is also payable to the special servicer for any loans that were, but are no longer, specially serviced. The restructuring fee is 0.3% of all interest and principal collected in respect of any transferred loan. The restructuring and liquidation fees are paid senior to the rated notes.

Prime Location and Properties Limited Partnership, the Undershaft property borrower, is a limited partnership acting through its general partner. The partnership is registered in England and Wales and its only asset is the collateral property. The general partner is a limited company ultimately owned by Buckingham Securities.

The borrower holds the beneficial title to the property but Capita IRG Trustee Ltd., a separate third-party independent trust corporation, holds the legal title to the property.

The two other borrowers are SPEs incorporated in Jersey and ultimately owned by Buckingham Securities.

Dominion Corporate Trustees Ltd. and Dominion Trust Ltd. are independent trustee companies and hold the legal and beneficial titles to the Victoria Embankment property.

The borrower under the Millennium Bridge House property holds the legal and beneficial titles to the property.

Each borrower is obliged to open and maintain a collection account, into which rental income is directly paid, at SG Hambros Bank Ltd., a subsidiary of Société Générale.

This account is charged to the issuer. The security agent has sole signing rights in relation to the collection account.

Under the master loan agreement, the tenants are able to pay the rent into the property manager account. Each borrower has appointed a managing agent that could collect rents. The managing agents have entered into a duty of care agreement to hold funds on trust for the borrowers. When the managing agent receives rental income, it must be paid promptly into the borrower collection account.

Each borrower is required to obtain and maintain building insurance for the usual perils, which will include terrorism cover and a minimum of three years' loss-of-rent.

Under the loan documentation, the minimum rating requirement for the insurance provider is 'A-'.

JPMorgan Chase Bank will self-insure the building while it is the tenant for 60 Victoria Embankment and has a net worth of at least $1.5 billion. We understand that the property is currently insured by JPMorgan Chase Bank's insurance subsidiary, Park Assurance Co. There is no loss of rent insurance for that property.

Consistent with U.K. lending practices, no specific environmental review has been commissioned on the collateral properties. As part of their property appraisal, the valuers have been instructed to advise whether, in their view, given current and historical uses for the property and its immediate environs, specialist environmental reports should be commissioned.