ROCKALL CLO B.V. - Irish Stock Exchange

ROCKALL CLO B.V.
(a private limited company with limited liability incorporated under the laws of The Netherlands, having its statutory seat in Amsterdam)
€408,250,000 VF-1 Senior Secured Variable Funding Notes due 2013
€100,000,000 Class A-1 Senior Secured Floating Rate Notes due 2013
€6,250,000 Class B-1 Second Senior Secured Floating Rate Notes due 2013
€12,250,000 Class C-1 Third Senior Secured Floating Rate Notes due 2013
€12,250,000 Class D-1 Fourth Senior Secured Floating Rate Notes due 2013
€41,000,000 Class E-1a Preferred Subordinated Notes due 2055
€41,000,000 Class E-1b Subordinated Notes due 2055
€4,000,000 Class E-2 Subordinated Notes due 2055
Rockall CLO B.V. (the "Issuer") will issue its €408,250,000 VF-1 Senior Secured Variable Funding Notes due 2013 (the "VF-1 Notes"), €100,000,000 Class A-1 Senior Secured Floating
Rate Notes due 2013 (the "Class A-1 Notes"), €6,250,000 Class B-1 Second Senior Secured Floating Rate Notes due 2013 (the "Class B-1 Notes"), €12,250,000 Class C-1 Third Senior
Secured Floating Rate Notes due 2013 (the "Class C-1 Notes"), €12,250,000 Class D-1 Fourth Senior Secured Floating Rate Notes due 2013 (the "Class D-1 Notes"), €41,000,000 Class
E-1a Preferred Subordinated Notes due 2055, (the "Class E-1a Preferred Subordinated Notes"), €41,000,000 Class E-1b Subordinated Notes due 2055, (the "Class E-1b Subordinated
Notes" and together with the Class E-1a Preferred Subordinated Notes, the “Class E-1 Subordinated Notes”) and €4,000,000 Class E-2 Subordinated Notes due 2055 (the "Class E-2
Subordinated Notes” and together with the Class E-1 Subordinated Notes, the "Class E Subordinated Notes"). The Class A-1 Notes, the Class B-1 Notes, the Class C-1 Notes and the
Class D-1 Notes are together referred to herein as the "Initial Rated Notes". The Initial Rated Notes and the Class E Subordinated Notes are collectively referred to herein as the "Specified
Notes" and each class thereof as a "Class". The VF-1 Notes and the Specified Notes will be issued and secured pursuant to a master trust deed and trust instruments supplemental thereto
(together, the "Trust Deed") dated on or about 21 June 2006 (the "Initial Closing Date"), made between (amongst others) the Issuer and ABN AMRO Trustees Limited in its capacity as
trustee (the "Trustee"). The VF-1 Notes and the Specified Notes will be initially offered at the prices specified in the section of this Offering Circular headed "Summary" or such other prices
as may be negotiated at the time of sale.
The assets securing the VF-1 Notes and the Specified Notes will consist primarily of a portfolio of loans and to a lesser extent, high yield securities and special opportunity investments in
respect of which Babson Capital Europe Limited (a private company incorporated in England and Wales with limited liability with registered number 03005774) is acting as Collateral Manager
(the "Collateral Manager"). The acquisition of such portfolio will be financed by advances made pursuant to the VF-1 Notes which will rank pari passu with the Class A-1 Notes and the issue
proceeds of the Specified Notes.
Interest on the VF-1 Notes will accrue from the date of each Increase (as defined below) in accordance with the terms of the VF-1 Instrument (see the section of this Offering Circular headed
"Description of the Terms and Conditions of the VF-1 Notes"). Interest on the Notes will accrue from the Closing Date and be payable quarterly in arrear on 15 September, 15 December, 15
March and 15 June (as adjusted for non-Business Days), in each year (each a "Payment Date"), commencing on 15 September 2006 and ending on the applicable Maturity Date (as defined
herein). Payments of any interest on the Class E Subordinated Notes will be made on each Payment Date. The Rated Notes and the Class E Subordinated Notes will be subject to
mandatory redemption and optional redemption, in each case, as described herein (see Condition 7 (Redemption)).
See the section of this Offering Circular headed "Risk Factors" for a discussion of certain factors to be considered in connection with an investment in the VF Notes (as defined
herein) and the Notes.
It is a condition of the issue and sale of the VF-1 Notes that the VF-1 Notes will be issued with the following ratings from Standard & Poor's Ratings Group, a division of The McGraw-Hill
Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's" and, together with S&P, the "Rating Agencies"): "AAA" from S&P and "Aaa" from Moody’s. It is a condition of the
issue and sale of the Specified Notes that the Rated Notes be issued with at least the following ratings from the Rating Agencies: the Class A-1 Notes: "AAA" from S&P and "Aaa" from
Moody's, the Class B-1 Notes: "AA" from S&P and "Aa2" from Moody's, the Class C-1 Notes: "A" from S&P and "A2" from Moody's and the Class D-1 Notes: “BBB” from S&P and “Baa2”
from Moody’s. The Class E Subordinated Notes being offered hereby will not be rated. The ratings assigned to the VF-1 Notes and the Class A-1 Notes address the timely payment of
interest and the ultimate repayment of principal. The ratings assigned to the Class B-1 Notes, the Class C-1 Notes and the Class D-1 Notes address the ultimate payment of interest and the
ultimate repayment of principal. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time by the
applicable Rating Agency.
Application has been made to the Irish Financial Services Regulatory Authority (the "IFSRA"), as competent authority under Directive 2003/71/EC, for this prospectus to be approved.
Application has been made to the Irish Stock Exchange for the VF-1 Notes and the Specified Notes to be admitted to the Official List and trading on its regulated market. It is anticipated that
the VF-1 Notes and the Specified Notes will be admitted to trading on or about the Initial Closing Date. However there can be no assurance that listing will be granted. Subject to the
application to the IFSRA as competent authority in accordance with the requirements of Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 (the
"Prospectus Directive") being approved, this Offering Circular will comprise a prospectus for the purposes of the Prospectus Directive and accordingly any reference herein to "Offering
Circular" (as defined below), shall be deemed to be to a prospectus for the purposes of the Prospectus Directive. No application will be made to list the VF-1 Notes and the Specified Notes
on any other stock exchange unless required to be made pursuant to the Trust Deed.
Regulation S Notes of the VF Notes will each be represented on issue by definitive notes in fully registered form, without interest coupons or principal receipts attached (each a “VF Note
Regulation S Note”). VF Note Regulation S Notes will be issued to each VF Noteholder and a note of such VF Noteholder’s commitment entered in the VFN Register. Transfers of VF Note
Regulation S Notes will only be effected in accordance with the terms of the master trust deed and trust instrument supplemental thereto constituting the VF Notes (together, the “VF
Instrument”). Rule 144A Notes of the VF Notes will each be represented on issue by definitive notes in fully registered form, without interest coupons or principal receipts attached (each a
“VF Note Rule 144A Note”). Transfers of the VF Note Rule 144A Notes will only be effected in accordance with the VF Instrument. Regulation S Notes of each Class of Notes will each be
represented on issue by beneficial interests in one or more Regulation S Global Notes in fully registered form, without interest coupons or principal receipts attached (each, a "Regulation S
Global Note" and together, the "Regulation S Global Notes"). Rule 144A Notes of each Class of Notes will each be represented on issue by beneficial interests in one or more Rule 144A
Global Notes in fully registered form, without interest coupons or principal receipts attached (each, a "Rule 144A Global Note" and together, the "Rule 144A Global Notes" and, the
Regulation S Global Notes and the Rule 144A Global Notes together, the "Global Notes"). The Regulation S Global Notes will be deposited on or about the Initial Closing Date with and
registered in the name of HSBC Issuer Services Common Depositary Nominee (UK) Limited as nominee for HSBC Bank plc as common depositary for Euroclear Bank S.A./N.V. as operator
of the Euroclear System ("Euroclear") and Clearstream Banking, société anonyme ("Clearstream, Luxembourg"). Neither U.S. Persons (as defined in Regulation S under the Securities
Act) nor U.S. residents (as determined for the purposes of the Investment Company Act) may hold an interest in a Regulation S Global Note at any time. The Rule 144A Global Notes, in fully
registered form, without interest coupons, will be deposited on or about the Initial Closing Date with LaSalle Bank National Association as custodian for Cede & Co. as nominee for The
Depository Trust Company ("DTC"). Ownership interests in the Global Notes will be shown on, and transfers thereof will only be effected through, records maintained by DTC, Euroclear and
Clearstream, Luxembourg and their respective participants. Notes in definitive form will be issued in exchange for the Global Notes only in limited circumstances (see the sections of this
Offering Circular headed "Form of the VF Notes and the Notes" and "Book-Entry Clearance Procedures" below).
THE VF NOTES AND THE NOTES HAVE NOT BEEN AND ARE NOT EXPECTED TO BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE
"SECURITIES ACT"), OR THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES. THE ISSUER HAS NOT REGISTERED AND DOES NOT INTEND TO REGISTER AS AN
INVESTMENT COMPANY UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT") IN RELIANCE ON THE
EXCLUSION PROVIDED IN SECTION 3(C)(7) THEREOF. THE VF NOTES AND THE NOTES ARE BEING OFFERED BY THE ISSUER THROUGH IXIS SECURITIES NORTH AMERICA
INC. (IN ITS CAPACITY AS PLACEMENT AGENT OF THE OFFERING OF THE VF NOTES AND THE NOTES, THE "PLACEMENT AGENT") AND SOLD ONLY: (A) OUTSIDE THE
UNITED STATES TO NON-U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) IN OFFSHORE TRANSACTIONS IN RELIANCE ON REGULATION S
UNDER THE SECURITIES ACT ("REGULATION S NOTES") AND (B) WITHIN THE UNITED STATES TO QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED IN RULE 144A UNDER
THE SECURITIES ACT) IN RELIANCE ON RULE 144A UNDER THE SECURITIES ACT ("RULE 144A NOTES") WHO ARE ALSO QUALIFIED PURCHASERS ("QUALIFIED
PURCHASERS") FOR THE PURPOSES OF SECTION 3(C)(7) OF THE INVESTMENT COMPANY ACT. THE ISSUER WILL NOT BE REGISTERED UNDER THE INVESTMENT
COMPANY ACT. INTERESTS IN THE VF NOTES AND THE NOTES WILL BE SUBJECT TO CERTAIN RESTRICTIONS ON TRANSFER, AND EACH PURCHASER OF THE VF NOTES
AND THE NOTES OFFERED HEREBY IN MAKING ITS PURCHASE WILL BE DEEMED TO HAVE MADE CERTAIN ACKNOWLEDGEMENTS, REPRESENTATIONS AND
AGREEMENTS. THE VF NOTES AND THE NOTES MAY NOT BE REOFFERED, RESOLD, PLEDGED, EXCHANGED OR OTHERWISE TRANSFERRED EXCEPT IN TRANSACTIONS
EXEMPT FROM, OR NOT SUBJECT TO THE REGISTRATION REQUIREMENTS OF, THE SECURITIES ACT AND ANY OTHER APPLICABLE SECURITIES LAWS. THE VF NOTES
AND THE NOTES ARE SUBJECT TO OTHER RESTRICTIONS ON TRANSFERABILITY AND RESALE SET FORTH IN “PLAN OF DISTRIBUTION” AND “TRANSFER RESTRICTIONS”.
BY ITS PURCHASE OF THE VF NOTES AND THE NOTES OR ITS INTEREST THEREIN, EACH PURCHASER WILL BE DEEMED TO HAVE (1) REPRESENTED AND WARRANTED
THAT (I) IT IS A QIB (AS DEFINED HEREIN) THAT IS A QUALIFIED PURCHASER ACTING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF ANOTHER QIB THAT IS A
QUALIFIED PURCHASER OR (II) IT IS A NON-U.S. PERSON LOCATED OUTSIDE OF THE UNITED STATES AND (2) AGREED THAT IT WILL ONLY RESELL OR OTHERWISE
TRANSFER SUCH VF NOTES AND NOTES IN ACCORDANCE WITH THE APPLICABLE RESTRICTIONS SET FORTH HEREIN (SEE THE SECTIONS OF THIS OFFERING CIRCULAR
HEADED "PLAN OF DISTRIBUTION" AND "TRANSFER RESTRICTIONS"). IT IS EXPECTED THAT DELIVERY OF THE VF-1 NOTES AND THE SPECIFIED NOTES WILL BE MADE TO
PURCHASERS ON OR ABOUT INITIAL CLOSING DATE.
Dated 23 June 2006

PRIORITIES OF NOTES
The VF Notes and the Class A Notes will rank pari passu with the rights of any Secured Hedging Counterparties
and rateably without any preference among themselves for all purposes and in priority to the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Subordinated Notes. The Class B Notes will rank in priority to
the Class C Notes, the Class D Notes and the Class E Subordinated Notes. The Class C Notes will rank in
priority to the Class D Notes and the Class E Subordinated Notes. The Class D Notes will rank in priority to the
Class E Subordinated Notes. The Class E-1 Subordinated Notes will rank rateably with the Class E-2
Subordinated Notes for all purposes but subordinate to the Rated Notes and the rights of Secured Hedging
Counterparties. The Class E-1a Preferred Subordinated Notes will rank in priority to the Class E-1b
Subordinated Notes.
LIMITED RECOURSE AND NON-PETITION
The VF Notes and the Notes are limited recourse obligations of the Issuer which are payable solely out of
amounts received by or on behalf of the Issuer in respect of the Collateral. The net proceeds of the realisation of
the security over the Collateral following a Transaction Default or the aggregate proceeds of liquidation of the
Collateral may be insufficient to pay all amounts due to the VF Noteholders and Noteholders after making
payments to other creditors of the Issuer ranking prior thereto or pari passu therewith. In the event of a shortfall
in such proceeds, the Issuer will not be obliged to pay, and the other assets (including the Issuer Dutch Account
and the rights of the Issuer under the Management Agreement) of the Issuer will not be available for payment of,
such shortfall, all claims in respect of which shall be extinguished (see Condition 4 (Security)).
RESPONSIBILITY
The Issuer accepts responsibility for the information contained in this Offering Circular (save for the information
contained in the sections of this Offering Circular headed "Description of the Collateral Manager" and
"Description of the Collateral Administrator"). To the best of the knowledge and belief of the Issuer (which has
taken all reasonable care to ensure that such is the case), such information is in accordance with the facts and
does not omit anything likely to affect the import of such information. IXIS Securities North America Inc. does not
accept responsibility for the accuracy, adequacy, reasonableness or completeness of the information contained
therein. The delivery of this Offering Circular at any time does not imply that the information herein is correct at
any time subsequent to the date of this Offering Circular (hereinafter, this "Offering Circular").
The Collateral Manager accepts responsibility for the information contained in the section of this Offering Circular
headed "Description of the Collateral Manager". To the best of the knowledge and belief of the Collateral
Manager (which has taken all reasonable care to ensure that such is the case), such information is in accordance
with the facts and does not omit anything likely to affect the import of such information. Neither IXIS Securities
North America Inc. nor the Issuer accepts responsibility for the accuracy, adequacy, reasonableness or
completeness of the information contained therein.
The Collateral Administrator accepts responsibility for the information contained in the section of this Offering
Circular headed "Description of the Collateral Administrator". To the best of the knowledge and belief of the
Collateral Administrator (which has taken all reasonable care to ensure that such is the case), such information is
in accordance with the facts and does not omit anything likely to affect the import of such information. Neither
IXIS Securities North America Inc. nor the Issuer accepts responsibility for the accuracy, adequacy,
reasonableness or completeness of the information contained therein.
DISCLAIMER
None of the Placement Agent, the Trustee, the Collateral Manager (save in respect of the section of this Offering
Circular headed "Description of the Collateral Manager"), the Collateral Administrator (save in respect of the
section of this Offering Circular headed "Description of the Collateral Administrator"), any Agent or any other
party (including any Secured Hedging Counterparty) has separately verified the information contained in this
Offering Circular and, accordingly, none of the Placement Agent, the Trustee, the Collateral Manager (save as
specified above), the Collateral Administrator (save as specified above), any Agent or the Issuer (save for the
Issuer as specified above in relation to the acceptance of responsibility) or any other party (including any Secured
Hedging Counterparty) makes any representation, recommendation or warranty, express or implied, regarding
the accuracy, adequacy, reasonableness or completeness of the information contained in this Offering Circular or
in any further notice or other document which may at any time be supplied in connection with the VF Notes, or
Notes or accepts any responsibility or liability therefor. None of the Placement Agent, the Trustee, the Collateral
Manager, the Collateral Administrator (save as specified above), any Agent or any other party (including any
Secured Hedging Counterparty) undertakes to review the financial condition or affairs of the Issuer during the life
of the arrangements contemplated by this Offering Circular nor to advise any investor or potential investor in the
VF Notes or the Notes of any information coming to the attention of any of the aforementioned parties which is
not included in this Offering Circular.
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OFFER/INVITATION/DISTRIBUTION RESTRICTIONS
THIS OFFERING CIRCULAR DOES NOT CONSTITUTE AN OFFER OF, OR AN INVITATION BY OR ON
BEHALF OF THE ISSUER, THE PLACEMENT AGENT OR ANY OF THEIR AFFILIATES, THE COLLATERAL
MANAGER, THE COLLATERAL ADMINISTRATOR OR ANY OTHER PERSON TO SUBSCRIBE FOR OR
PURCHASE ANY OF THE VF NOTES OR THE NOTES. THE DISTRIBUTION OF THIS OFFERING CIRCULAR
AND THE OFFERING OF THE VF NOTES AND THE NOTES IN CERTAIN JURISDICTIONS MAY BE
RESTRICTED BY LAW. PERSONS INTO WHOSE POSSESSION THIS OFFERING CIRCULAR COMES ARE
REQUIRED BY THE ISSUER AND THE PLACEMENT AGENT TO INFORM THEMSELVES ABOUT AND TO
OBSERVE ANY SUCH RESTRICTIONS. FOR A DESCRIPTION OF CERTAIN FURTHER RESTRICTIONS ON
OFFERS AND SALES OF THE VF NOTES AND THE NOTES AND DISTRIBUTION OF THIS OFFERING
CIRCULAR, SEE THE SECTIONS OF THIS OFFERING CIRCULAR HEADED "PLAN OF DISTRIBUTION" AND
"TRANSFER RESTRICTIONS" BELOW.
UNAUTHORISED INFORMATION
IN CONNECTION WITH THE ISSUE AND SALE OF THE VF NOTES OR THE NOTES, NO PERSON IS
AUTHORISED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN
THIS OFFERING CIRCULAR AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION
MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORISED BY OR ON BEHALF OF THE ISSUER, THE
PLACEMENT AGENT, THE TRUSTEE, THE COLLATERAL MANAGER OR THE COLLATERAL
ADMINISTRATOR. THE DELIVERY OF THIS OFFERING CIRCULAR AT ANY TIME DOES NOT IMPLY THAT
THE INFORMATION CONTAINED IN IT IS CORRECT AS AT ANY TIME SUBSEQUENT TO ITS DATE.
GENERAL NOTICE
For a discussion of certain factors regarding the Issuer, the VF Notes and the Notes that should be considered by
prospective purchasers of the VF Notes and Notes, see the Section of this Offering Circular headed "Risk
Factors".
See the Sections of this Offering Circular headed "Plan of Distribution" and "Transfer Restrictions" for certain
terms and conditions of the offering of the offered VF Notes and Notes hereunder.
EACH PURCHASER OF THE VF NOTES OR THE NOTES MUST COMPLY WITH ALL APPLICABLE LAWS
AND REGULATIONS IN FORCE IN EACH JURISDICTION AT ANY TIME IN WHICH IT PURCHASES, OFFERS
OR SELLS SUCH VF NOTES OR NOTES OR POSSESSES OR DISTRIBUTES THIS OFFERING CIRCULAR
AND MUST OBTAIN ANY CONSENT, APPROVAL OR PERMISSION REQUIRED FOR THE PURCHASE,
OFFER OR SALE BY IT OF SUCH VF NOTES OR NOTES UNDER THE LAWS AND REGULATIONS IN
FORCE IN ANY JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES,
OFFERS OR SALES, AND NONE OF THE ISSUER, THE PLACEMENT AGENT (OR ANY OF THEIR
AFFILIATES), THE COLLATERAL MANAGER, THE TRUSTEE OR THE COLLATERAL ADMINISTRATOR
SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR
THE VF NOTES AND THE NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE
AND MAY NOT BE TRANSFERRED OR RESOLD EXCEPT AS PERMITTED UNDER APPLICABLE
SECURITIES LAWS (INCLUDING UNITED STATES FEDERAL AND STATE SECURITIES LAWS).
INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF
THIS INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.
BY ITS PURCHASE OF ANY VF NOTE, CLASS A NOTE, CLASS B NOTE, CLASS C NOTE OR CLASS D
NOTE OR OF ANY INTEREST THEREIN, THE PURCHASER THEREOF AND EACH TRANSFEREE WILL BE
DEEMED TO HAVE REPRESENTED AND WARRANTED THAT, AT THE TIME OF ITS ACQUISITION AND
THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST
THEREIN, EITHER (A) IT IS NOT AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE
U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA")) THAT IS
SUBJECT TO SECTION 406 OF ERISA, A "PLAN" DESCRIBED IN SECTION 4975(e)(1) OF THE U.S.
INTERNAL REVENUE CODE OF 1986, AS AMENDED, (THE "CODE"), OR AN ENTITY WHOSE UNDERLYING
ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S
INVESTMENT IN THE ENTITY OR OTHERWISE, OR A GOVERNMENTAL PLAN, NON-U.S. PLAN OR
CHURCH PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAW OR
REGULATION ("SIMILAR LAWS") THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION
406 OF ERISA OR SECTION 4975 OF THE CODE OR (B) ITS PURCHASE, HOLDING AND DISPOSITION OF
SUCH VF NOTE, CLASS A NOTE, CLASS B NOTE, CLASS C NOTE OR CLASS D NOTE OR INTEREST
THEREIN WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER
SECTION 406 OF ERISA AND/OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL
PLAN, NON-U.S. PLAN OR CHURCH PLAN, A VIOLATION OF ANY SIMILAR LAWS).
EACH PURCHASER AND TRANSFEREE OF A CLASS E SUBORDINATED NOTE, OR OF ANY INTEREST
THEREIN, WILL BE REQUIRED TO HAVE EXECUTED AN INVESTOR LETTER WITH RESPECT THERETO
(SUBSTANTIALLY IN THE FORM PROVIDED IN SCHEDULE 1 TO THE MASTER TRUST DEED) WHICH
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STATES, AMONG OTHER THINGS, THAT THE PURCHASER OR TRANSFEREE REPRESENTS,
WARRANTS AND COVENANTS THAT, AT THE TIME OF ITS ACQUISITION AND THROUGHOUT THE
PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST THEREIN, (1) EITHER (A) IT
IS NOT, AND IS NOT USING THE ASSETS OF, A "BENEFIT PLAN INVESTOR" (AS DEFINED IN THE U.S.
DEPARTMENT OF LABOR "PLAN ASSETS REGULATION" AT 29 C.F.R. SECTION 2510.3-101) OR (B) IT IS,
OR IS USING THE ASSETS OF, A BENEFIT PLAN INVESTOR THAT IS NOT SUBJECT TO TITLE I OF ERISA
OR SECTION 4975 OF THE CODE OR SIMILAR LAWS AND (2) IT WILL NOT SELL OR OTHERWISE
TRANSFER ANY CLASS E SUBORDINATED NOTE, OR ANY INTEREST THEREIN, TO ANY PERSON
WITHOUT FIRST OBTAINING FROM SUCH PERSON THESE SAME FOREGOING WRITTEN
REPRESENTATIONS, WARRANTIES AND COVENANTS.
INTERNAL REVENUE SERVICE CIRCULAR 230 DISCLOSURE
PURSUANT TO INTERNAL REVENUE SERVICE CIRCULAR 230, WE HEREBY INFORM YOU THAT THE
DESCRIPTION SET FORTH HEREIN WITH RESPECT TO U.S. FEDERAL TAX ISSUES WAS NOT INTENDED
OR WRITTEN TO BE USED, AND SUCH DESCRIPTION CANNOT BE USED, BY ANY TAXPAYER FOR THE
PURPOSE OF AVOIDING ANY PENALTIES THAT MAY BE IMPOSED ON THE TAXPAYER UNDER THE U.S.
INTERNAL REVENUE CODE. SUCH DESCRIPTION WAS WRITTEN TO SUPPORT THE MARKETING OF
THE VF NOTES AND/OR THE NOTES. THIS DESCRIPTION IS LIMITED TO THE U.S. FEDERAL TAX ISSUES
DESCRIBED HEREIN. IT IS POSSIBLE THAT ADDITIONAL ISSUES MAY EXIST THAT COULD AFFECT THE
U.S. FEDERAL TAX TREATMENT OF AN INVESTMENT IN THE VF NOTES AND/OR THE NOTES, OR THE
MATTER THAT IS THE SUBJECT OF THE DESCRIPTION NOTED HEREIN, AND THIS DESCRIPTION DOES
NOT CONSIDER OR PROVIDE ANY CONCLUSIONS WITH RESPECT TO ANY SUCH ADDITIONAL ISSUES.
YOU SHOULD SEEK ADVICE BASED ON YOUR PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT
TAX ADVISER.
NOTWITHSTANDING ANYTHING TO THE CONTRARY CONTAINED HEREIN, EACH PROSPECTIVE
INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE OR OTHER AGENT OF EACH PROSPECTIVE
INVESTOR) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE TAX
TREATMENT AND TAX STRUCTURE OF AN INVESTMENT IN THE VF NOTES AND/OR THE NOTES AND
ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT ARE PROVIDED
TO THE PROSPECTIVE INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE.
EXCEPT TO THE EXTENT THAT SUCH DISCLOSURE IS SUBJECT TO RESTRICTIONS REASONABLY
NECESSARY TO COMPLY WITH SECURITIES LAWS, FOR THESE PURPOSES, THE TAX TREATMENT OF
AN INVESTMENT IN THE VF NOTES AND/OR THE NOTES MEANS THE PURPORTED OR CLAIMED U.S.
FEDERAL, STATE AND LOCAL INCOME TAX TREATMENT OF AN INVESTMENT IN THE VF NOTES
AND/OR THE NOTES. MOREOVER, THE TAX STRUCTURE OF AN INVESTMENT IN THE VF NOTES
AND/OR THE NOTES INCLUDES ANY FACT THAT MAY BE RELEVANT TO UNDERSTANDING THE
PURPORTED OR CLAIMED U.S. FEDERAL, STATE, AND LOCAL INCOME TAX TREATMENT OF AN
INVESTMENT IN THE VF NOTES AND/OR THE NOTES.
NOTICE TO NEW HAMPSHIRE RESIDENTS
NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS
BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE REVISED STATUTES (THE "RSA") WITH
THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR
A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE
SECRETARY OF STATE OF NEW HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS
TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN
EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE
SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR
RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR TRANSACTION. IT IS
UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER, OR
CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.
INFORMATION AS TO PLACEMENT WITHIN THE UNITED STATES
THE VF NOTES AND THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE U.S.
SECURITIES AND EXCHANGE COMMISSION (THE "SEC"), ANY STATE SECURITIES COMMISSION IN
THE UNITED STATES OR ANY OTHER U.S. REGULATORY AUTHORITY NOR HAVE ANY OF THE
FOREGOING AUTHORITIES PASSED UPON OR ENDORSED THE MERITS OF THE OFFERING OF THE VF
NOTES AND THE NOTES (THE "OFFERING") OR THE ACCURACY OR ADEQUACY OF THIS OFFERING
CIRCULAR. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENCE IN THE UNITED
STATES.
THE VF NOTES AND THE NOTES CANNOT BE OFFERED OR SOLD IN THE UNITED STATES OR TO U.S.
PERSONS UNLESS THEY ARE SUBSEQUENTLY REGISTERED UNDER THE SECURITIES ACT AND
APPLICABLE STATE SECURITIES LAWS OR AN EXEMPTION FROM SUCH REGISTRATION IS AVAILABLE.
FOR A DESCRIPTION OF CERTAIN RESTRICTIONS ON RESALE AND TRANSFER, SEE “PLAN OF
DISTRIBUTION” AND “TRANSFER RESTRICTIONS”.
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Each purchaser of VF Notes and Notes from the Placement Agent sold in the United States in reliance on the
exemption from the registration requirements of the Securities Act provided by Rule 144A thereof, and each
subsequent purchaser and transferee, shall be deemed to (i) represent that it is both a Qualified Institutional
Buyer, as defined in Rule 144A under the Securities Act (a “Qualified Institutional Buyer”) and a qualified
purchaser, for purposes of the Investment Company Act, purchasing for its own account or one or more accounts
with respect to which it exercises sole investment discretion, each of which is both a Qualified Institutional Buyer
and a Qualified Purchaser, and in each case is purchasing the VF Notes and the Notes for investment purposes
and not with a view to the resale, distribution or other disposition thereof, (ii) represent that it is not (x) a dealer of
the type described in paragraph (a)(1)(ii) of Rule 144A unless it owns and invests on a discretionary basis not
less than U.S.$25,000,000 in securities of issuers that are not affiliated to it, (y) a participant-directed employee
plan, such as a 401(k) plan, or any other type of plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of
Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan,
unless investment decisions with respect to the plan are made solely by the fiduciary, trustee or sponsor of such
plan, or (z) formed for the purpose of investing in the Issuer (except where each beneficial owner of the
purchaser is a Qualified Purchaser), (iii) represent that it, and each account for which it is purchasing, will hold
and transfer at least the minimum Authorised Denomination (as defined herein), (iv) acknowledge that the Issuer
may receive a list of participants holding positions in its securities from one or more book-entry registries and (v)
acknowledge that the VF Notes and the Notes have not been and will not be registered under the Securities Act
and may not be re-offered, resold, pledged or otherwise transferred except (1) to a Qualified Purchaser that the
seller reasonably believes is a Qualified Institutional Buyer, purchasing for its own account or one or more
accounts with respect to which it exercises sole investment discretion, each of which is a Qualified Purchaser that
the seller reasonably believes is a Qualified Institutional Buyer, to whom notice is given that the resale, pledge or
other transfer is being made in reliance on an exemption from the registration requirements of the Securities Act
and from which the same representations and acknowledgements are received as given by the purchaser in this
sentence, none of which is (x) a dealer of the type described in paragraph (a)(1)(ii) of Rule 144A unless it owns
and invests on a discretionary basis not less than U.S.$25,000,000 in securities of issuers that are not affiliated to
it, (y) a participant-directed employee plan, such as a 401(k) plan, or any other type of plan referred to in
paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of
Rule 144A that holds the assets of such a plan, unless investment decisions with respect to the plan are made
solely by the fiduciary, trustee or sponsor of such plan, or (z) formed for the purpose of investing in the Issuer
(except where each beneficial owner of the purchaser is a Qualified Purchaser), or (2) to a person that is neither
a U.S. Person nor a U.S. Resident in an “offshore transaction” in reliance on Regulation S. Except as otherwise
indicated, terms used in this paragraph have the meanings given to them by Regulation S. For a description of
these and certain other restrictions on offers and sales of the VF Notes and the Notes and distribution of this
Offering Circular, see “Plan of Distribution” and “Transfer Restrictions”.
Each purchaser of VF Notes and Notes from the Placement Agent sold outside the United States in reliance on
Regulation S will be deemed to represent that it (i) is neither a U.S. Person nor a U.S. Resident, (ii) is aware that
the sale to it is being made in reliance on an exemption from the registration requirements of the Securities Act
provided by Regulation S thereunder, (iii) is acquiring such VF Notes or Notes for its own account or one or more
accounts with respect to which it exercises sole investment discretion, none of which is a U.S. Person or a U.S.
Resident, and (iv) is not purchasing such VF Notes or Notes with a view to the resale, distribution or other
disposition thereof in the United States or to a U.S. Person or a U.S. Resident.
Neither the Issuer nor the Portfolio has been registered as an “investment company” under the Investment
Company Act, in reliance on the exclusion contained in Section 3(c)(7) thereof. No transfer of the VF Notes or
Notes that would have the effect of requiring the Issuer or the Portfolio to register as an investment company
under the Investment Company Act will be permitted.
In making an investment decision, investors must rely on their own examination of the Issuer and the terms of the
VF Notes or the Notes and the offering thereof described herein, including the merits and risks involved.
This Offering Circular has been prepared by the Issuer solely for use in connection with the offering of the
VF Notes and Notes described herein. Each of the Issuer and the Placement Agent reserves the right to reject
any offer to purchase VF Notes and/or Notes in whole or in part for any reason, or to sell less than the stated
initial principal amount of any VF Notes and/or Class of Notes offered hereby. This Offering Circular is personal
to each offeree to whom it has been delivered by the Issuer, the Placement Agent or any Affiliate thereof and
does not constitute an offer to any other person or to the public generally to subscribe for or otherwise acquire
the VF Notes and/or Notes. Distribution of this Offering Circular to any persons other than the Offeree and those
persons, if any, retained to advise such Offeree with respect thereto is unauthorised and any disclosure of any of
its contents, without the written consent of the Issuer, is prohibited. Each prospective purchaser in the United
States, by accepting delivery of this Offering Circular, agrees to the foregoing and to make no photocopies of this
Offering Circular or any other documents related hereto and thereto and, if the offeree does not purchase the
VF Notes or Notes of any Class or the offering is terminated, to return this Offering Circular and all documents
attached hereto to the Placement Agent.
- v -

GENERAL NOTICE TO RESIDENTS OF THE EU AND EEA
IN RELATION TO EACH MEMBER STATE OF THE EUROPEAN ECONOMIC AREA WHICH HAS
IMPLEMENTED THE PROSPECTUS DIRECTIVE (EACH, A "RELEVANT MEMBER STATE"), WITH EFFECT
FROM AND INCLUDING THE DATE ON WHICH THE PROSPECTUS DIRECTIVE IS IMPLEMENTED IN THAT
MEMBER STATE (THE "RELEVANT IMPLEMENTATION DATE") NO OFFER OF VF NOTES OR THE NOTES
TO THE PUBLIC IN THAT RELEVANT MEMBER STATE MAY BE MADE EXCEPT: (A) IN (OR IN GERMANY,
WHERE THE OFFER STARTS WITHIN) THE PERIOD BEGINNING ON THE DATE OF PUBLICATION OF A
PROSPECTUS IN RELATION TO THOSE VF NOTES OR NOTES WHICH HAS BEEN APPROVED BY THE
COMPETENT AUTHORITY IN THAT RELEVANT MEMBER STATE OR, WHERE APPROPRIATE, APPROVED
IN ANOTHER RELEVANT MEMBER STATE AND NOTIFIED TO THE COMPETENT AUTHORITY IN THAT
RELEVANT MEMBER STATE, ALL IN ACCORDANCE WITH THE PROSPECTUS DIRECTIVE AND ENDING
ON THE DATE WHICH IS 12 MONTHS AFTER THE DATE OF SUCH PUBLICATION, (B) AT ANY TIME TO
LEGAL ENTITIES WHICH ARE AUTHORISED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS
OR, IF NOT SO AUTHORISED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST
IN SECURITIES, (C) AT ANY TIME TO ANY LEGAL ENTITY WHICH HAS TWO OR MORE OF (1) AN
AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR, (2) A TOTAL BALANCE
SHEET OF MORE THAN €43,000,000 AND (3) AN ANNUAL NET TURNOVER OF MORE THAN €50,000,000,
AS SHOWN IN ITS LAST ANNUAL OR CONSOLIDATED ACCOUNTS, OR (D) AT ANY TIME IN ANY OTHER
CIRCUMSTANCES WHICH DO NOT REQUIRE THE PUBLICATION BY THE ISSUER OF A PROSPECTUS
PURSUANT TO ARTICLE 3 OF THE PROSPECTUS DIRECTIVE. FOR THESE PURPOSES, THE
EXPRESSION AN "OFFER OF VF NOTES OR NOTES TO THE PUBLIC" IN RELATION TO ANY VF NOTES
OR NOTES IN ANY RELEVANT MEMBER STATE MEANS THE COMMUNICATION IN ANY FORM AND BY
ANY MEANS OF SUFFICIENT INFORMATION ON THE TERMS OF THE OFFER AND THE VF NOTES OR
NOTES TO BE OFFERED SO AS TO ENABLE AN INVESTOR TO DECIDE TO PURCHASE OR SUBSCRIBE
FOR THE VF NOTES OR NOTES AS THE SAME MAY BE VARIED IN THAT MEMBER STATE BY ANY
MEASURE IMPLEMENTING THE PROSPECTUS DIRECTIVE IN THAT MEMBER STATE AND THE
EXPRESSION "PROSPECTUS DIRECTIVE" MEANS DIRECTIVE 2003/71/EC AND INCLUDES ANY
RELEVANT IMPLEMENTING MEASURE IN EACH RELEVANT MEMBER STATE.
NOTICE TO RESIDENTS OF THE UNITED KINGDOM
THE PLACEMENT AGENT HAS REPRESENTED, WARRANTED AND AGREED THAT:
(A)
(B)
IT HAS ONLY COMMUNICATED OR CAUSED TO BE COMMUNICATED AND WILL ONLY
COMMUNICATE OR CAUSE TO BE COMMUNICATED ANY INVITATION OR INDUCEMENT TO
ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OF SECTION 21 OF THE FINANCIAL
SERVICES AND MARKETS ACT 2000 (THE "FSMA")) RECEIVED BY IT IN CONNECTION WITH THE
ISSUE OR SALE OF ANY VF NOTES OR NOTES IN CIRCUMSTANCES IN WHICH SECTION 21(1)
OF THE FSMA DOES NOT APPLY TO THE ISSUER; AND
IT HAS COMPLIED AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF THE FSMA WITH
RESPECT TO ANYTHING DONE BY IT IN RELATION TO THE VF NOTES OR NOTES, FROM OR
OTHERWISE INVOLVING THE UNITED KINGDOM.
NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND
THE PLACEMENT AGENT HAS AGREED THAT IT WILL NOT UNDERWRITE THE ISSUE OF, OR PLACE, OR
OFFER, OR SELL THE VF NOTES OR NOTES EXCEPT IN CONFORMITY WITH THE PROVISIONS OF EC
DIRECTIVE 2003/71/EC, THE IRISH PROSPECTUS (DIRECTIVE 2003/71/EC) REGULATIONS 2005 AND THE
PROVISIONS OF THE IRISH COMPANIES ACTS 1963-2005.
TO THE EXTENT APPLICABLE, THE PLACEMENT AGENT CONFIRMS THAT IT WILL NOT UNDERWRITE
THE ISSUE OF, OR PLACEMENT OF, THE VF NOTES OR NOTES OTHERWISE THAN IN CONFORMITY
WITH EU DIRECTIVE 2003/6/EC AND THE IRISH MARKET ABUSE (DIRECTIVE 2003/6/EC) REGULATIONS
2005.
TO THE EXTENT APPLICABLE, THE PLACEMENT AGENT CONFIRMS THAT IT WILL NOT UNDERWRITE
THE ISSUE OF, OR PLACEMENT OF, THE VF NOTES OR NOTES OTHERWISE THAN IN CONFORMITY
WITH THE PROVISIONS OF THE IRISH INVESTMENT INTERMEDIARIES ACT 1995 (AS AMENDED),
INCLUDING, WITHOUT LIMITATION, SECTION 9, 23, (INCLUDING ANY ADVERTISING RESTRICTIONS
MADE THEREUNDER) AND ANY CODE OF CONDUCT RULES MADE UNDER SECTION 37 AND THE
PROVISIONS OF THE INVESTOR COMPENSATION ACT 1998, INCLUDING WITHOUT LIMITATION,
SECTION 21.
NOTICE TO RESIDENTS OF DENMARK
THIS OFFERING CIRCULAR HAS NOT BEEN AND WILL NOT BE FILED WITH OR APPROVED BY THE
DANISH FINANCIAL SUPERVISORY AUTHORITY OR ANY OTHER REGULATORY AUTHORITY IN THE
KINGDOM OF DENMARK. THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT THE VF
- vi -

NOTES AND NOTES HAVE NOT BEEN OFFERED OR SOLD AND MAY NOT BE OFFERED, SOLD OR
DELIVERED DIRECTLY OR INDIRECTLY IN DENMARK, UNLESS IN COMPLIANCE WITH CHAPTERS 6 OR
12 OF THE DANISH ACT ON TRADING IN SECURITIES AND EXECUTIVE ORDERS ISSUED PURSUANT
HERETO AS AMENDED FROM TIME TO TIME. ACCORDINGLY, THIS OFFERING CIRCULAR MAY NOT BE
MADE AVAILABLE NOR MAY INTERESTS IN THE ISSUER OTHERWISE BE MARKETED AND OFFERED
FOR SALE IN DENMARK OTHER THAN IN CIRCUMSTANCES WHICH ARE DEEMED NOT TO BE A
MARKETING OR AN OFFER TO THE PUBLIC IN DENMARK.
NOTICE TO RESIDENTS OF BERMUDA
THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT IT HAS NOT OFFERED OR SOLD AND
WILL NOT OFFER OR SELL ANY VF NOTES OR NOTES TO ANY PERSON, FIRM OR COMPANY
REGARDED AS A RESIDENT OF BERMUDA FOR EXCHANGE CONTROL PURPOSES AND WILL PROCURE
THAT ANY PURCHASER FROM IT OF ANY VF NOTES OR NOTES WILL COMPLY WITH SUCH
PROSCRIPTION.
NOTICE TO RESIDENTS OF NEW ZEALAND
THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT THE VF NOTES AND THE NOTES
MAY NOT BE OFFERED, SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY NOR MAY ANY OFFERING
MEMORANDUM, ANY PRICING CONDITIONS OR ADVERTISEMENT IN RELATION TO ANY OFFER OF VF
NOTES OR NOTES BE DISTRIBUTED IN NEW ZEALAND, OTHER THAN:
1. TO ANY OR ALL OF THE FOLLOWING ONLY:
(A)
(B)
(C)
PERSONS WHOSE PRINCIPAL BUSINESS IS THE INVESTMENT OF MONEY OR WHO, IN
THE COURSE OF AND FOR THE PURPOSES OF THEIR BUSINESS, HABITUALLY INVEST
MONEY, AND/OR
PERSONS WHO ARE REQUIRED TO PAY A MINIMUM SUBSCRIPTION PRICE
(DISREGARDING ANY AMOUNT PAID OR PAYABLE OUT OF MONEY LENT BY THE
RELEVANT ISSUER OR OFFEROR OR ANY ASSOCIATED PERSON OR EITHER OF
THEM) OF AT LEAST NZ$500,000 FOR THE VF NOTES AND THE NOTES BEFORE THE
ALLOTMENT OF THOSE VF NOTES AND NOTES, AND/OR
ANY OTHER PERSON WHO IN ALL CIRCUMSTANCES CAN PROPERLY BE REGARDED
AS HAVING BEEN SELECTED OTHER THAN AS A MEMBER OF THE PUBLIC, OR
2. IN OTHER CIRCUMSTANCES WHERE THERE IS NO CONTRAVENTION OF THE SECURITIES ACT
1978 OF NEW ZEALAND.
AVAILABLE INFORMATION
To permit compliance with Rule 144A under the Securities Act in connection with the sale of the VF Notes and
the Notes, the Collateral Administrator on behalf of the Issuer will be required to furnish or cause to be furnished,
upon request of a Holder of a VF Note or Note, to such Holder and a prospective purchaser who is a QIB
designated by such Holder, the information required to be delivered under Rule 144A(d)(4) under the Securities
Act if at the time of the request the Issuer is neither a reporting company under Section 13 or Section 15(d) of the
United States Securities Exchange Act of 1934 (the "Exchange Act"), nor exempt from reporting pursuant to
Rule 12g3-2(b) under the Exchange Act. All information made available by the Issuer pursuant to the terms of
this paragraph may also be obtained during usual business hours free of charge at the office of the Irish Paying
Agent.
CURRENCIES
In this Offering Circular, unless otherwise specified or the context otherwise requires, all references to "Euro" and
"€" are to the single currency introduced in January 1999 pursuant to the Treaty establishing the European
Community as amended, references to "U.S. Dollars" and "U.S.$" are to the lawful currency of the United States
and references to “GBP” and “Pounds Sterling” are to the lawful currency of the United Kingdom.
STABILISATION
In connection with the issue of the VF Notes and the Notes, IXIS Securities North America Inc. (the "Stabilising
Manager") (or persons acting on behalf of the Stabilising Manager) may over-allot VF Notes and Notes (provided
that, in the case of any tranche of VF Notes or Notes to be admitted to trading on the Irish Stock Exchange, the
aggregate principal amount of VF Notes or Notes allotted does not exceed 105 per cent. of the aggregate
principal amount of the relevant tranche) or effect transactions with a view to supporting the market price of the
VF Notes or Notes at a level higher than that which might otherwise prevail. However, there is no assurance that
the Stabilising Manager (or persons acting on behalf of the Stabilising Manager) will undertake stabilisation
action. Any stabilisation action may begin on or after the date on which adequate public disclosure of the terms of
the offer of the relevant tranche of VF Notes or Notes is made and, if begun, may be ended at any time, but it
must end no later than the earlier of 30 days after the issue date of the relevant tranche of VF Notes or Notes and
- vii -

60 days after the date of the allotment of the relevant tranche of VF Notes or Notes. Such stabilising shall be in
compliance with all applicable laws, regulations and rules. No such stabilising shall take place in or from The
Netherlands. For a description of these activities, see the section of this Offering Circular headed "Plan of
Distribution" below.
- viii -

CONTENTS
Page
SUMMARY.............................................................................................................................................................. 1
RISK FACTORS.................................................................................................................................................... 15
TERMS AND CONDITIONS ................................................................................................................................. 37
DESCRIPTION OF THE PORTFOLIO AND MARKET VALUATION METHODOLOGY ....................................... 94
MARKET VALUATION MANUAL.......................................................................................................................... 97
USE OF PROCEEDS.......................................................................................................................................... 129
FORM OF THE VF NOTES AND NOTES........................................................................................................... 130
BOOK-ENTRY CLEARANCE PROCEDURES ................................................................................................... 133
RATINGS OF THE NOTES................................................................................................................................. 138
DESCRIPTION OF THE ISSUER ....................................................................................................................... 139
DESCRIPTION OF THE COLLATERAL MANAGER .......................................................................................... 141
DESCRIPTION OF THE COLLATERAL ADMINISTRATOR............................................................................... 146
DESCRIPTION OF THE ACCOUNTS ................................................................................................................ 147
DESCRIPTION OF THE COLLATERAL MANAGEMENT AGREEMENT ........................................................... 148
DESCRIPTION OF THE TERMS AND CONDITIONS OF THE VF-1 NOTES.................................................... 152
DESCRIPTION OF THE SECURITY AND INTERCREDITOR DEED................................................................. 158
DESCRIPTION OF THE MASTER TRUST DEED NOTE ISSUANCE PROCEDURE........................................ 165
DESCRIPTION OF THE REPORTS ................................................................................................................... 167
HEDGING ARRANGEMENTS ............................................................................................................................ 169
TAX CONSIDERATIONS.................................................................................................................................... 170
CERTAIN ERISA CONSIDERATIONS ............................................................................................................... 178
PLAN OF DISTRIBUTION .................................................................................................................................. 181
TRANSFER RESTRICTIONS ............................................................................................................................. 184
SECTION 3(C)(7) PROCEDURES...................................................................................................................... 191
GENERAL INFORMATION................................................................................................................................. 192
GLOSSARY ........................................................................................................................................................ 194
- ix -

SUMMARY
The following summary ("Summary") does not purport to be complete and is qualified in its entirety by reference
to the detailed information appearing elsewhere in this Offering Circular and related documents referred to
herein. Capitalised terms not specifically defined in this Summary have the meanings set out in Condition 1
(Definitions) of the section of this Offering Circular headed "Terms and Conditions" or the "Market Valuation
Manual" included herein or are defined elsewhere in this Offering Circular. References to a "Condition" are to the
specified Condition in the section of this Offering Circular headed "Terms and Conditions" below. For a
discussion of certain risk factors to be considered in connection with an investment in the VF Notes or the Notes,
see the section of this Offering Circular headed "Risk Factors".
Issuer
Collateral Manager
VF-1 Notes and Notes:
Rockall CLO B.V., a private company with limited liability incorporated
under the laws of The Netherlands, having its statutory seat in
Amsterdam.
The issued share capital of the Issuer is €20,000. The Issuer will not
have any assets other than (i) the assets that comprise the Collateral
from time to time, and (ii) its rights to the Issuer Dutch Account and
under the Management Agreement. The rights and assets of the
Issuer (excluding its rights under the Management Agreement or to the
Issuer Dutch Account) will be charged or assigned by way of security
to the Trustee as security for the Issuer's obligations under the Notes
and to its other Secured Creditors (see the section of this Summary
headed "Security for the Notes" below).
Babson Capital Europe Limited.
Notes
Principal
Amount Rate of Interest
S&P Rating
of at least 1
Moody's Rating
of at least 1
Stated
Maturity
Initial Offer
Price 2
VF-1 €408,250,000 3 Applicable rate + "AAA" "Aaa" 2013 100%
0.32% 4
Class A-1 €100,000,000 3m EUR +
"AAA" "Aaa" 2013 100%
0.29% 5
Class B-1 €6,250,000 3m EUR +
"AA" "Aa2" 2013 100%
0.48% 5
Class C-1 €12,250,000 3m EUR +
"A" "A2" 2013 100%
0.73% 5
Class D-1 €12,250,000 3m EUR +
"BBB" "Baa2" 2013 100%
1.65% 5
Class E-1a €41,000,000 3m EUR +
- - 2055 100%
5.00% 5
Class E-1b €41,000,000 3m EUR +
- - 2055 100%
3.00% 5,6
Class E-2 €4,000,000 3m EUR +
3.00% 5,6 - - 2055 100%
1 The ratings assigned to the VF-1 Notes, Class A-1 Notes, the Class B-1 Notes, the Class C-1 Notes and Class D-1
Notes address the timely payment of interest and the ultimate payment of principal. The Class E-1a Preferred
Subordinated Notes, the Class E-1b Subordinated Notes and Class E-2 Subordinated Notes are not rated. A security
rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or
withdrawal at any time by the applicable Rating Agency.
2 The Placement Agent may offer the VF-1 Notes and the Specified Notes at other prices as may be negotiated at the
time of sale.
3 The Issuer intends to issue the VF-1 Notes to the Placement Agent on or about the Initial Closing Date and the
principal amount shown here represents the Total VF-1 Commitments as defined in the section of this Offering
Circular headed “Description of the Terms and Conditions of the VF-1 Notes”. The Placement Agent shall then
transfer the VF-1 Notes to an Eligible Transferee. Only following such transfer shall the Issuer serve an Increase
Request in respect of the VF-1 Notes. It is expected that the transfer and the service of an Increase Request will
take place on or around the Initial Closing Date.
4 The rate applicable to the VF-1 Notes shall be either an Interbank Rate or a Cost of Funds Rate, each as defined in
the section of this Offering Circular headed “Description of the Terms and Conditions of the VF-1 Notes”.
5 2 1 / 2 month EURIBOR in the case of the first interest period, as adjusted in accordance with Condition 6(c) (Rate of
Interest).
- 1 -

6 Holders of the Class E-1b Subordinated Notes and the Class E-2 Subordinated Notes may receive Additional Interest
on Payment Dates (see Condition 3(d) (Restricted Payments) and Condition 3(c) (Payment of Amounts)).
Trustee
Collateral Administrator
Custodian
Principal Paying Agent
Irish Listing and Paying Agent
Placement Agent
Eligible Purchasers
Partially Paid Issuances of
Class E Subordinated Notes
Payment Dates
Note Interest
Deferral of Interest
ABN AMRO Trustees Limited
ABN AMRO Bank N.V. (London Branch)
ABN AMRO Bank N.V. (London Branch)
ABN AMRO Bank N.V. (London Branch)
NCB Stockbrokers Limited
IXIS Securities North America Inc.
The VF Notes and the Notes of each Class will be offered:
(a)
(b)
outside of the United States to non-U.S. Persons (as defined in
Regulation S under the Securities Act) in "offshore transactions" in
reliance on Regulation S under the Securities Act and
within the United States to persons who are both QIBs, in reliance
on Rule 144A, and Qualified Purchasers for purposes of
Section 3(c)(7) of the Investment Company Act.
The Class E Subordinated Notes may be issued partially paid and subject
to the right of the Issuer, prior to the Class E Commitment Termination
Date, to demand further instalments of the subscription price from the
Class E Subordinated Noteholders, pro rata, according to their respective
holding, up to a prescribed level provided that (a) no more than 50 separate
Class E Partial Instalment Payments may be made in respect of the
Class E Subordinated Notes, (b) no such Class E Partial Instalment
Payment may be requested if, after and notwithstanding receipt and
application of the proceeds of such Class E Partial Instalment Payment, a
Transaction Default, a Transaction Event of Default or a failure to comply
with the Over Collateralisation Tests shall have occurred and be continuing
and (c) any such Class E Partial Instalment Payment shall be requested
and made without prejudice to the right of the Issuer to issue further
Class E Subordinated Notes pursuant to Condition 17 (Further Issues) (see
Condition 2(i) (Issue of Partially Paid Class E Subordinated Notes)).
In the event that a Class E Subordinated Noteholder fails to make the
applicable Class E Partial Instalment Payment on the relevant Class E
Partial Payment Date, then 1 per cent. of the Principal Amount Outstanding
of the amount previously paid up in respect of the Class E Subordinated
Notes will be forfeited with effect from the Class E Partial Payment Date on
which such Class E Partial Instalment Payment was due, no further
Class E Partial Instalment Payments shall be requested from such Class E
Subordinated Noteholder by or on behalf of the Issuer thereafter and such
Holder shall forfeit the right to make any further Class E Partial Instalment
Payments (see Condition 2(i) (Issue of Partially Paid Class E Subordinated
Notes)).
15 September, 15 December, 15 March and 15 June in each year,
commencing on 15 September 2006 (subject to adjustment for
non-Business Days in accordance with the Conditions).
Interest in respect of the Notes of each Class will be payable quarterly in
arrear on each Payment Date. Additional Interest will be payable on each
Payment Date if sums are then available to pay the same.
While any Class A Note is Outstanding, any interest payable on the
Class B Notes that would be payable to Class B Noteholders on a Payment
Date but is not paid by reason of the Intercreditor Arrangements shall be
added to the Principal Amount Outstanding of the Class B Notes on such
date and will thereafter cease to be payable as interest (but will, to the
extent permitted by law, bear interest at the applicable Rate of Interest).
The addition of interest on the Class B Notes to the Principal Amount
Outstanding thereof in lieu of the cash payment of such interest as
aforesaid shall be deemed to satisfy the payment of such interest and shall
not constitute an Event of Default under the Conditions and shall (i) upon
the payment of any principal on the Class B Notes be repaid prior to the
- 2 -

epayment of the same, (ii) unless prohibited under the Trust Deed or the
Intercreditor Arrangements, be repaid as soon as the Issuer (or the
Collateral Manager on the Issuer's behalf) deems such repayment prudent
provided that the Issuer (or the Collateral Manager on the Issuer's behalf)
shall have delivered a written certificate to the Trustee stating that there will
be sufficient funds available to pay all amounts due on the following
Payment Date and (iii) not be entitled to the benefit of any make-whole
premium (see Condition 6(e) (Non-Payment of Interest)).
While any Class A Note or any Class B Note is Outstanding, any interest
payable on the Class C Notes that would be payable to Class C
Noteholders on a Payment Date but is not paid by reason of the
Intercreditor Arrangements shall be added to the Principal Amount
Outstanding of the Class C Notes on such date and will thereafter cease to
be payable as interest (but will, to the extent permitted by law, bear interest
at the applicable Rate of Interest). The addition of interest on the Class C
Notes to the Principal Amount Outstanding thereof in lieu of the cash
payment of such interest as aforesaid shall be deemed to satisfy the
payment of such interest and shall not constitute an Event of Default under
the Conditions and shall (i) upon the payment of any principal on the
Class C Notes be repaid prior to the repayment of the same, (ii) unless
prohibited under the Trust Deed or the Intercreditor Arrangements, be
repaid as soon as the Issuer (or the Collateral Manager on the Issuer's
behalf) deems such repayment prudent provided that the Issuer (or the
Collateral Manager on the Issuer's behalf) shall have delivered a written
certificate to the Trustee stating that there will be sufficient funds available
to pay all amounts due on the following Payment Date and (iii) not be
entitled to the benefit of any make-whole premium (see
Condition 6(e)(Non-Payment of Interest)).
While any Class A Note, Class B Note or Class C Note is Outstanding, any
interest payable on the Class D Notes that would be payable to Class D
Noteholders on a Payment Date but is not paid by reason of the
Intercreditor Arrangements shall be added to the Principal Amount
Outstanding of the Class D Notes on such date and will thereafter cease to
be payable as interest (but will, to the extent permitted by law, bear interest
at the applicable Rate of Interest). The addition of interest on the Class D
Notes to the Principal Amount Outstanding thereof in lieu of the cash
payment of such interest as aforesaid shall be deemed to satisfy the
payment of such interest and shall not constitute an Event of Default under
the Conditions and shall (i) upon the payment of any principal on the
Class D Notes be repaid prior to the repayment of the same, (ii) unless
prohibited under the Trust Deed or the Intercreditor Arrangements, be
repaid as soon as the Issuer (or the Collateral Manager on the Issuer's
behalf) deems such repayment prudent provided that the Issuer (or the
Collateral Manager on the Issuer's behalf) shall have delivered a written
certificate to the Trustee stating that there will be sufficient funds available
to pay all amounts due on the following Payment Date and (iii) not be
entitled to the benefit of any make-whole premium (see Condition 6(e)
(Non-Payment of Interest)).
While any Class A Note, Class B Note, Class C Note or Class D Note is
Outstanding, any interest payable on any Class E Subordinated Note that
would be payable to Class E Subordinated Noteholders on a Payment Date
but is not paid by reason of the Intercreditor Arrangements shall be added
to the Principal Amount Outstanding of such Class E Subordinated Notes
on such date and will thereafter cease to be payable as interest (but will, to
the extent permitted by law, bear interest at the applicable Rate of Interest).
The addition of interest on any Class E Subordinated Notes to the Principal
Amount Outstanding thereof in lieu of the cash payment of such interest as
aforesaid shall be deemed to satisfy the payment of such interest and shall
not constitute an Event of Default under the Conditions. Repayment of
deferred interest will be in accordance with Condition 6(a) (Accrual of
Interest).
- 3 -

Principal Payments on the
Notes
Redemption Prices
Non-Call Periods
Security for the Notes
Credit Enhancement
Principal payments on the Notes may be made in the following
circumstances:
(a)
(b)
(c)
(d)
(e)
(f)
(g)
on the applicable Maturity Date thereof,
to Electing Class E Subordinated Noteholders in respect of
Class E Subordinated Notes (i) on any Optional Redemption Date
subject to the Liquidity Limitation Procedure and the Split
Redemption Procedure (together with certain other conditions)
and (ii) on any Delayed Payment Date,
in relation to the Class E Subordinated Notes, if the Principal
Amount Outstanding thereof falls below €25,000,000, subject to
the Collateral Manager's discretion and certain other conditions,
on any Payment Date following the occurrence of a Note Tax
Event subject to certain conditions,
following a breach of the Over-Collateralisation Tests in the event
that the Prepayment Cure Methodology or Projection Cure
Methodology is employed to remedy the same,
to the Holders of any Interest-Bearing Notes of an Associated
Mandatory Redemption Class in the event of a mandatory
redemption of the same, and
on any Redemption Date following the exercise by the Issuer
(upon the instruction of the Collateral Manager) of its right to
optionally redeem any Class of Rated Notes in whole or in part,
subject to certain conditions as set out in Condition 7(c)
(Redemption at the Option of the Issuer).
See Condition 5(c) (Over-Collateralisation Failure and Collateralisation
Shortfall Dates) and Condition 7 (Redemption).
The Redemption Price of each Class of Rated Notes will be (a) 100 per
cent. of the Principal Amount Outstanding of the Notes to be redeemed,
plus (b) accrued and unpaid interest thereon to the day of redemption
(including any accrued and unpaid deferred interest and, in the case of the
Class B Notes, the Class C Notes or the Class D Notes, any applicable
Blocked Junior Note Interest).
The Redemption Price for each Class E Subordinated Note will be an
amount equal to its pro rata share of (i) the aggregate proceeds of
liquidation of the Collateral referable thereto at any applicable time
(including any Premature Redemption Date) or (ii) on an enforcement, the
aggregate proceeds of realisation of the security over the Collateral and
application of the same in accordance with the Intercreditor Priority of
Payments, which amounts may, in either case, comprise Additional
Interest.
In respect of the Notes and the Class E Subordinated Notes such period
designated as a “Non-Call Period” in Condition 20 (Specific Conditions).
The Notes (together with the VF Notes) will be secured in favour of the
Security Trustee for the benefit of the Secured Creditors by security over
the Collateral.
The Notes (together with the VF Notes) will also be secured by charges or
assignments by way of security over the Issuer's other rights and assets,
including its rights under certain of the agreements described herein but
excluding its rights in respect of the Issuer Dutch Account and the
Management Agreement (see Condition 4 (Security)).
The Notes will have the benefit of limited credit enhancement in the form of
over-collateralisation provided by the excess of the Market Value of Issuer
Investments over the total outstanding amount of Issuer Indebtedness (see
the section of this Summary headed "Over-Collateralisation Testing"
below). In general, the amount of indebtedness that the Issuer will be able
to incur will depend on the types of assets, the credit rating of such assets,
the historical volatility in the market value of such assets and the respective
- 4 -

VF-1 Senior Secured Variable
Funding Notes
Types and Ranks of
Indebtedness
Intercreditor Arrangements
obligor and industry concentration levels of such assets comprising Issuer
Investments, as determined in accordance with the Market Valuation
Manual. In addition, the Class A Notes will have additional credit
enhancement in the form of the subordination of the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Subordinated Notes
while the Class B Notes will have additional credit enhancement in the form
of the subordination of the Class C Notes, the Class D Notes and the
Class E Subordinated Notes, the Class C Notes will have additional credit
enhancement in the form of the subordination of Class D Notes and the
Class E Subordinated Notes, the Class D Notes will have additional credit
enhancement in the form of the subordination of the Class E Subordinated
Notes. There can be no assurance that the subordination mentioned in this
paragraph will remain unchanged during the life of the Notes, nor that the
credit enhancement in the form of over-collateralisation mentioned above
will not be removed in the future following a decline in the Market Value of
the Issuer’s investments. (See the section of this Offering Circular headed
“Risk Factors – Removal of Credit Enhancement").
The Issuer will also fund itself through the issue of variable funding notes
(the "VF-1 Notes") in accordance with the Master Trust Deed and a trust
instrument supplemental thereto constituting the VF-1 Notes (the Master
Trust Deed and such supplemental trust instrument being, together, the
"VF-1 Instrument"). Pursuant to the VF-1 Instrument, each VF-1
Noteholder will commit to advance funds (each such advance, a "COF
Advance" or an "Interbank Advance", and each an "Advance"), as set
out in the VF-1 Instrument, to the Issuer in Euro or an Optional Currency
(as defined in the section of this Offering Circular headed "Description of
the Terms and Conditions of the VF-1 Notes"), in an aggregate principal
amount of up to the equivalent of €408,250,000. Each Advance under the
VF-1 Notes will be applied by the Issuer (or the Collateral Manager on the
Issuer's behalf), in the acquisition of Issuer Investments or in order to pay
any interest outstanding on the Notes or to pay Additional Interest. The
VF-1 Noteholders must also satisfy certain ratings criteria. If any VF-1
Noteholder fails to satisfy the rating requirements set out in the VF-1
Instrument or otherwise defaults on its obligation to provide Advances
under the VF-1 Instrument, the relevant VF-1 Noteholder shall use
commercially reasonable efforts to transfer all of its rights and obligations in
respect of the VF-1 Notes held by it to an entity that meets such ratings
requirement (by requiring the replaced Holder to transfer all of its rights and
obligations in respect of the VF-1 Note to the transferee entity). (See the
section of this Offering Circular headed "Description of the Terms and
Conditions of the VF-1 Notes").
Under the Transaction Documents the Issuer may, subject to the
restrictions and conditions contained therein, incur Issuer Indebtedness
with effect from the Initial Closing Date. Issuer Indebtedness may comprise
Senior Indebtedness, the Class B Notes, the Class C Notes, the Class D
Notes and the Class E Subordinated Notes. All such Indebtedness will be
subject to the terms of and, after the Initial Closing Date, may only be
issued in accordance with, the Security and Intercreditor Deed. The Issuer
Indebtedness which the Issuer intends to issue and enter into on the Initial
Closing Date will be (x) the VF-1 Notes and (y) the Class A-1 Notes, the
Class B-1 Notes, the Class C-1 Notes, the Class D-1 Notes and the
Class E Subordinated Notes. After the Initial Closing Date the Issuer may
incur further Issuer Indebtedness in the form of Notes (see Condition 17
(Further Issues) and the section of this Offering Circular headed
"Description of the Master Trust Deed Note Issuance Procedure").
The Security Documents will contain certain intercreditor arrangements
pursuant to which the rights of Noteholders and Secured Hedging
Counterparties from time to time will be established. Pursuant to these
arrangements the Class A Notes will rank pari passu with the rights of the
VF Notes and any Secured Hedging Counterparties in priority to the
Class B Notes that will in turn rank in priority to the Class C Notes that will
in turn rank in priority to the Class D Notes and that will in turn rank in
priority to the Class E Subordinated Notes. Upon enforcement of the
security created pursuant to the Security Documents the liquidation
proceeds will be applied in accordance with the Intercreditor Priority of
- 5 -

Payments (see the section of this Offering Circular headed "Description of
the Security and Intercreditor Deed" below).
Prepayment Amounts
The Portfolio
Issuer Investments
Ongoing Acquisition and
Disposal of Issuer Investments
Senior Prepayment Amounts Without prejudice to Condition 3(h) (Blockage
Periods) (see the section of this Summary headed "Blockage Periods") if,
at any time, any Senior Indebtedness is required to be prepaid, (x) no
payment shall be made on account of the principal of, premium (if any) or
interest on, or commitment fees (if any) or breakage costs (if any) with
respect to, the Class B Notes, Class C Notes or Class D Notes and (y) no
payment, including in respect of Additional Interest, shall be made with
respect to the Class E Subordinated Noteholders until such prepayment
has been made (see Condition 3(i) (Prepayment Amounts)).
Class B Notes Prepayment Amounts Without prejudice to Condition 3(h)
(Blockage Periods) (see the section of this Summary headed "Blockage
Periods") if, at any time, any Senior Indebtedness or Class B Notes are
required to be prepaid, (x) no payment shall be made on account of the
principal of, premium (if any) or interest on, or commitment fees (if any) or
breakage costs (if any) with respect to, the Class C Notes or Class D Notes
and (y) no payment, including in respect of Additional Interest, shall be
made with respect to the Class E Subordinated Noteholders until such
prepayment has been made (see Condition 3(i) (Prepayment Amounts)).
Class C Notes Prepayment Amounts Without prejudice to Condition 3(h)
(Blockage Periods) (see the section of this Summary headed "Blockage
Periods") if, at any time, any Senior Indebtedness, Class B Notes or
Class C Notes are required to be prepaid, (x) no payment shall be made on
account of the principal of, premium (if any) or interest on, or commitment
fees (if any) or breakage costs (if any) with respect to the Class D Notes
and (y) no payment, including in respect of Additional Interest, shall be
made with respect to the Class E Subordinated Noteholders until such
prepayment has been made (see Condition 3(i) (Prepayment Amounts)).
Class D Notes Prepayment Amounts Without prejudice to Condition 3(h)
(Blockage Periods) (see the section of this Summary headed "Blockage
Periods") if, at any time, any Senior Indebtedness, Class B Notes, Class C
Notes or Class D Notes are required to be prepaid, no payment, including
in respect of Additional Interest, shall be made with respect to the Class E
Subordinated Noteholders until such prepayment has been made (see
Condition 3(i) (Prepayment Amounts)).
The portfolio of Collateral that the Issuer may acquire from time to time may
consist primarily of loans and to a lesser extent high yield securities and
special opportunity investments such as distressed debt. Other than the
certain restrictions on the characteristics that Issuer Investments must have
when the Issuer (or Collateral Manager on its behalf) enters into a binding
commitment to acquire them ("Acquisition Criteria") (see the section of
this Offering Circular headed "Description of the Portfolio and Market
Valuation Methodology – Acquisition Criteria for Issuer Investments"), the
Collateral Management Agreement does not prescribe specific eligibility
criteria with which Issuer Investments must comply, however the Market
Valuation Manual includes certain limitations on the concentrations of
Issuer Investments that will be taken into account for the purpose of
computing compliance with the Over-Collateralisation Tests (see the
section of this Summary headed "Portfolio Excesses" below).
For the purpose of the Market Valuation Manual, Issuer Investments may
include Cash, Cash Equivalents, Government Securities, Loans, Securities,
and Hedging and Short-Sale Transactions (each as defined in the Market
Valuation Manual).
Pursuant to the Collateral Management Agreement and the Trust Deed, the
Collateral Manager (on behalf of the Issuer) is at liberty (subject to the
Acquisition Criteria) to acquire and dispose of investments constituting
Issuer Investments on a rolling basis throughout the life of the VF Notes
and the Notes. Whether such Issuer Investments will be taken into account
in determining compliance with the Over-Collateralisation Tests established
pursuant to the Market Valuation Manual (see the section of this Summary
headed "The Market Valuation Manual" below) will depend on the same not
- 6 -

comprising Excess Issuer Investments (see the section of this Summary
headed "Portfolio Excesses" below).
The Market Valuation Manual
Portfolio Excesses
Ascertaining Market Value and
Market Price
Over-Collateralisation Testing
The Issuer's investment strategy is governed by the Over-Collateralisation
Tests set out in the Market Valuation Manual. The Over-Collateralisation
Tests comprise formulae according to which the Rating Agencies
determine the permitted amount of Senior Indebtedness, Class B Notes,
Class C Notes and Class D Notes based upon the composition of its assets
in the form of Issuer Investments at any time. For each level of seniority of
such indebtedness, each of the Asset Categories between A-1 and K-2 is
allocated a specific Advance Rate (see the matrices referred to in the
definition of "Advance Rate" in the Market Valuation Manual). The
Advance Rates obtained by application of these matrices in turn determine
the applicable S&P Advance Amount and Moody's Advance Amount by
reference to which (together with reference to the Market Value of Issuer
Investments (see the section of this Summary headed "Ascertaining Market
Value and Market Price" below) in the relevant Asset Categories) the
Over-Collateralisation Tests are then computed (see definition of
"Over-Collateralisation Tests", "Senior Advance Amount", "Class B Notes
Advance Amount", "Class C Notes Advance Amount", “Class D Notes
Advance Amount” and "Market Value" in the Market Valuation Manual).
The Market Valuation Manual is included in full in this Offering Circular and
annexed to each of the Trust Deed and the Collateral Management
Agreement of which, respectively, it forms a part.
Although certain concentration parameters are contained in the Market
Valuation Manual (see definition of "Excess Issuer Investments" in the
Market Valuation Manual) they are not strict limitations in themselves but
determine which Issuer Investments at any time may be taken into
consideration when computing compliance with the Over-Collateralisation
Tests. Any Issuer Investments which are acquired in such percentages
that their concentration exceeds the relevant parameters will be deemed
Excess Issuer Investments and excluded from the Over-Collateralisation
Tests (see definitions of "Excluded Issuer Investments", "Non-Excluded
Issuer Investments", "S&P Advance Amount", "Moody's Advance Amount",
“Senior Advance Amount”, "Class B Notes Advance Amount", "Class C
Notes Advance Amount", "Class D Notes Advance Amount", "Senior
Over-Collateralisation Test", "Class B Notes Over-Collateralisation Test",
"Class C Notes Over-Collateralisation Test", “Class D Notes
Over-Collateralisation Test” and "Over-Collateralisation Tests" in the
Market Valuation Manual).
The Market Valuation Manual provides a mechanism for obtaining the
Market Value of Cash, Cash Equivalents, Unquoted Investments and other
Issuer Investments. The Market Value of certain Issuer Investments is
calculated by the Collateral Manager by reference to the Market Value
Price of the same. The Market Value Price is the bid price for each Issuer
Investment at such date obtained from an Approved Source (as defined in
the Market Valuation Manual), namely any of (a) the lower of two, or the
average of three, prices quoted by Approved Dealers or Approved
Investment Banking Firms, (b) in the case of an Approved Exchange, the
closing price on such Approved Exchange (or if such Approved Exchange
is closed for business at such date, then the most recent available closing
price) or (c) the price obtained from an Approved Pricing Service (see
definition of "Market Value" and "Market Value Price" in the Market
Valuation Manual).
The principal purpose of ascertaining the relevant Market Value of Issuer
Investments is to employ the same in determining compliance with the
Over-Collateralisation Tests.
Pursuant to the Trust Deed and the Security and Intercreditor Deed, the
Issuer will procure that the Collateral Manager, on behalf of the Issuer,
shall, on each Business Day that any Rated Notes or VF Notes remain
Outstanding, determine whether the Over-Collateralisation Tests have
been satisfied on such Business Day. This supports the Issuer's obligation
pursuant to the Market Valuation Manual to (A)(i) calculate (or procure
calculation by the Collateral Manager of) the Market Value of each Issuer
Investment that is not an Unquoted Investment on (x) the Valuation Date
- 7 -

for each calendar week and (y) to the extent that a Market Value Price
therefor is determined using an Approved Pricing Service, on each
Business Day and (ii) to calculate the Market Value of each Issuer
Investment that is an Unquoted Investment at least quarterly, or with
respect to Unquoted Investments having an aggregate Market Value in
excess of 4 per cent. of Total Capitalisation, at least monthly and (B) on
each Business Day on which any Rated Notes or VF Notes remain
Outstanding, determine whether the Over-Collateralisation Tests have
been satisfied by reference to the then most recent Quoted Issuer
Investment Valuation and/or the then most recent Unquoted Issuer
Investment Valuation (see Condition 5(b) (Over-Collateralisation Testing
and Reporting)).
The Over-Collateralisation Tests
Over-Collateralisation Failure
and Collateralisation Shortfall
Dates
Compliance with the Over-Collateralisation Tests is an obligation of the
Issuer under the Trust Deed. Subject to certain provisos the
Over-Collateralisation Tests are satisfied when either: (1)(a) the Senior
Advance Amount (as defined in the Market Valuation Manual) is greater
than or equal to the Principal Amount Outstanding of Senior Indebtedness
(as defined in Condition 1 (Definitions)), (b) the Class B Notes Advance
Amount (as defined in the Market Valuation Manual) is greater than or
equal to the sum of the Principal Amount Outstanding of Senior
Indebtedness and the Principal Amount Outstanding of the Class B Notes,
(c) the Class C Notes Advance Amount (as defined in the Market Valuation
Manual) is greater than or equal to the sum of the Principal Amount
Outstanding of Senior Indebtedness, the Principal Amount Outstanding of
the Class B Notes and the Principal Amount Outstanding of the Class C
Notes and (d) the Class D Notes Advance Amount (as defined in the
Market Valuation Manual) is greater than or equal to the sum of the
Principal Amount Outstanding of Senior Indebtedness, the Principal
Amount Outstanding of the Class B Notes, the Principal Amount
Outstanding of the Class C Notes and the Principal Amount Outstanding of
the Class D Notes or (2) the Issuer has complied with Condition 5(c)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates). In the
event that the Over-Collateralisation Tests are not satisfied, the Issuer (or
the Collateral Manager on its behalf) is obliged to employ certain strategies
to attempt to ensure compliance within specific timeframes (see
Condition 5(c) (Over-Collateralisation Failure and Collateralisation Shortfall
Dates)).
On the occurrence of a failure to comply with the Over-Collateralisation
Tests, the Issuer will procure that the Collateral Manager, on behalf of the
Issuer, shall, not later than the Business Day following the date on which
the breach occurred (such day being referred to in the Conditions as a
Collateralisation Shortfall Date), furnish the Rating Agencies, the VFN
Agent (for furnishing to the VF Noteholders) and the Trustee with a
Collateralisation Shortfall Valuation Statement. Upon the occurrence of a
Collateralisation Shortfall Date, the Issuer (or the Collateral Manager on its
behalf) shall, inter alia, also employ either the Prepayment Cure
Methodology or the Projection Cure Methodology in order to remedy the
breach of the Over-Collateralisation Tests. Pursuant to the Prepayment
Cure Methodology, the Issuer, or the Collateral Manager on its behalf, is
obliged to make prepayments of the VF Notes and Outstanding Notes (see
Condition 7(e)(i) (Mandatory Redemption upon Over-Collateralisation
Failure)) by reference to the seniority of the same up to the level necessary
to cure the relevant under-collateralisation (see paragraph (i) of
Condition 5(c) (Over-Collateralisation Failure and Collateralisation Shortfall
Dates)). Pursuant to the Projection Cure Methodology which the Issuer, or
the Collateral Manager on its behalf, may elect to adopt instead of the
Prepayment Cure Methodology, the Issuer (or the Collateral Manager on its
behalf) is obliged to furnish the Rating Agencies, the VFN Agent (for
furnishing to the VF Noteholders) and the Trustee with a Projection Cure
Statement showing projected compliance with the Over-Collateralisation
Tests by the Long-Stop Date by means of disposing of certain Issuer
Investments and acquiring others in accordance with a specific set of
timelines and redeeming VF Notes and Notes with the net proceeds of
such disposals and acquisitions and other liquidity available to the Issuer
(see paragraph (ii) of Condition 5(c) (Over-Collateralisation Failure and
Collateralisation Shortfall Dates)). In the event that the application of the
- 8 -

Under-Collateralisation Cure Methodologies fails to cure an
Over-Collateralisation Failure, the Issuer (or the Collateral Manager on its
behalf) shall make payments in accordance with the Prepayment Cure
Methodology in order to cure the resulting Supervening Shortfall by the
Long-Stop Date. Failure to do so will give rise to an Under-Collateralisation
Event, which constitutes an Event of Default for the purpose of the
Conditions (see Condition 10 (Events of Default)).
Blockage Periods
Upon the occurrence of a Senior Payment Default or in the event that the
Issuer fails to be in compliance with the Senior Over-Collateralisation Test
(before giving effect to any grace period set forth in the applicable
Transaction Documents), the Issuer and, upon receipt of actual knowledge
thereof, the Representative of the Holders of the applicable Senior
Indebtedness shall provide written notice (or telephone notice promptly
confirmed in writing) thereof to the Custodian, the Security Trustee and the
other Representatives (or all Representatives in the case of a notice by the
Issuer) and, unless and until such Senior Payment Default shall have been
cured or waived or shall have ceased to exist or the Issuer shall have come
into compliance with the Senior Over-Collateralisation Test, as the case
may be, no payment may be made by the Issuer, or on behalf of the Issuer,
on account of the Class B Notes, Class C Notes, Class D Notes or Class E
Subordinated Notes (including pursuant to an Offer to Purchase). Any
failure of the Issuer or any Representative to furnish such notice, or any
defect therein, shall not have any effect on the consequences of such
Senior Payment Default or such failure to comply with the Senior
Over-Collateralisation Test, in each case as provided in the applicable
Transaction Documents. (See Condition 3(h)(i) (Blockage Periods).
If a Senior Blockage Trigger Event shall occur and be continuing, the
Security Trustee shall, if directed by the Controlling Class to do so, provide
a Senior Blockage Notice to the Custodian, the Issuer and each
Representative stating that no payment may be made by the Issuer, or on
behalf of the Issuer, on account of Class B Notes, Class C Notes, Class D
Notes or Class E Subordinated Notes (including pursuant to an Offer to
Purchase) and until the end of the Senior Blockage Period, no such
payment shall be made by either the Issuer or the Security Trustee. No
more than one Senior Blockage Notice may be given during any period of
365 consecutive days. (See Condition 3(h)(i) (Blockage Periods)).
Upon the occurrence of a Class B Notes Payment Default or in the event
that the Issuer fails to be in compliance with the Class B Notes
Over-Collateralisation Test (before giving effect to any grace period set
forth in the applicable Transaction Documents), the Issuer and, upon
receipt of actual knowledge thereof, the Representative of the Holders of
the applicable Class B Notes shall provide written notice (or telephone
notice promptly confirmed in writing) thereof to the Custodian, the Security
Trustee and the other Representatives (or all Representatives in the case
of a notice by the Issuer) and, unless and until such Class B Notes
Payment Default shall have been cured or waived or shall have ceased to
exist or the Issuer shall have come into compliance with the Class B Notes
Over-Collateralisation Test, as the case may be, no payment may be made
by the Issuer, or on behalf of the Issuer, on account of the Class C Notes,
Class D Notes or Class E Subordinated Notes (including pursuant to an
Offer to Purchase), other than on account of: (x) first interest in the
following order of priority: first to the Holders of Senior Indebtedness and
second to the Class B Noteholders and (y) second (i) such amounts of
principal as are required to ensure compliance with the Class B
Noteholders Over-Collateralisation Test in accordance with the order of
priorities set out in Condition 3(i)(Prepayment Amounts) or (ii) the purchase
or other acquisition of Senior Indebtedness or, if no Senior Indebtedness is
then Outstanding, the Class B Notes (including pursuant to an Offer to
Purchase). Any failure of the Issuer or any Representative to furnish such
notice, or any defect therein, shall not have any effect on the
consequences of such Class B Note Payment Default or such failure to
comply with the Class B Notes Over-Collateralisation Test, in each case as
provided in the Conditions. (See Condition 3(h)(ii) (Blockage Periods)).
If a Class B Notes Blockage Trigger Event shall occur and be continuing,
- 9 -

the Security Trustee shall, if directed by the Controlling Class to do so,
provide a Class B Notes Blockage Notice to the Custodian, the Issuer and
each Representative stating that no payment may be made by the Issuer,
or on behalf of the Issuer, on account of Class C Notes, Class D Notes and
Class E Subordinated Notes (including pursuant to an Offer to Purchase)
and until the end of the Class B Notes Blockage Period, no such payment
shall be made by either the Issuer or the Security Trustee. No more than
one Class B Notes Blockage Notice may be given during any period of 365
consecutive days. (See Condition 3(h)(ii) (Blockage Periods)).
Upon the occurrence of a Class C Notes Payment Default or in the event
that the Issuer fails to be in compliance with the Class C Notes
Over-Collateralisation Test (before giving effect to any grace period set
forth in the applicable Transaction Document), the Issuer and, upon receipt
of actual knowledge thereof, the Representative of the Holders of the
applicable Class C Notes shall provide written notice (or telephone notice
promptly confirmed in writing) thereof to the Custodian, the Security
Trustee and the other Representatives (or all Representatives in the case
of a notice by the Issuer) and, unless and until such Class C Notes
Payment Default shall have been cured or waived or shall have ceased to
exist or the Issuer shall have come into compliance with the Class C Notes
Over-Collateralisation Test, as the case may be, no payment may be made
by the Issuer, or on behalf of the Issuer, on account of Class D Notes or
Class E Subordinated Notes (including pursuant to an Offer to Purchase),
other than on account of: (x) first interest in the following order of priority:
first to the Holders of Senior Indebtedness, second to the Holders of
Class B Notes and third to the Holders of Class C Notes and (y) second (i)
such amounts of principal as are required to ensure compliance with the
Class C Notes Over-Collateralisation Test in accordance with the order of
priorities set out in Condition 3(i)(Prepayment Amounts) or (ii) the purchase
or other acquisition of Senior Indebtedness or, if no Senior Indebtedness is
then Outstanding, Class B Notes or, if no Senior Indebtedness or Class B
Notes are then Outstanding, Class C Notes (including pursuant to an Offer
to Purchase). Any failure of the Issuer or any Representative to furnish
such notice, or any defect therein, shall not have any effect on the
consequences of such Class C Notes Payment Default or such failure to
comply with the Class C Notes Over-Collateralisation Test, in each case as
provided in the applicable Transaction Document. (See Condition 3(h)(iii)
(Blockage Periods)).
If a Class C Notes Blockage Trigger Event shall occur and be continuing,
the Security Trustee shall, if directed by the Controlling Class to do so,
provide a Class C Notes Blockage Notice to the Custodian, the Issuer and
each Representative stating that no payment may be made by the Issuer,
or on behalf of the Issuer, on account of Class D Notes or Class E
Subordinated Notes (including pursuant to an Offer to Purchase) and until
the end of the Class C Notes Blockage Period no such payment shall be
made by either the Issuer or the Security Trustee. No more than one
Class C Notes Blockage Notice may be given during any period of 365
consecutive days. (See Condition 3(h)(iii) (Blockage Periods)).
Upon the occurrence of a Class D Notes Payment Default or in the event
that the Issuer fails to be in compliance with the Class D Notes
Over-Collateralisation Test (before giving effect to any grace period set
forth in the applicable Transaction Document), the Issuer and, upon receipt
of actual knowledge thereof, the Representative of the Holders of the
applicable Class D Notes shall provide written notice (or telephone notice
promptly confirmed in writing) thereof to the Custodian, the Security
Trustee and the other Representatives (or all Representatives in the case
of a notice by the Issuer) and, unless and until such Class D Notes
Payment Default shall have been cured or waived or shall have ceased to
exist or the Issuer shall have come into compliance with the Class D Notes
Over-Collateralisation Test, as the case may be, no payment may be made
by the Issuer, or on behalf of the Issuer, on account of acquisition of
Class E Subordinated Notes (including pursuant to an Offer to Purchase),
other than on account of: (x) first interest in the following order of priority:
first to the Holders of Senior Indebtedness, second to the Class B
Noteholders, third to the Class C Noteholders and fourth to the Class D
- 10 -

Noteholders and (y) second (i) such amounts of principal as are required to
ensure compliance with the Class D Notes Over-Collateralisation Test in
accordance with the order of priorities set out in Condition 3(i)(Prepayment
Amounts) or (ii) the purchase or other acquisition of Senior Indebtedness
or, if no Senior Indebtedness is then Outstanding, Class B Notes or, if no
Senior Indebtedness or Class B Notes are then Outstanding, Class C
Notes or, if no Senior Indebtedness, Class B Notes or Class C Notes are
then Outstanding, the Class D Notes (including pursuant to an Offer to
Purchase). Any failure of the Issuer or any Representative to furnish such
notice, or any defect therein, shall not have any effect on the
consequences of such Class D Notes Payment Default or such failure to
comply with the Class D Notes Over-Collateralisation Test, in each case as
provided in the applicable Transaction Document. (See Condition 3(h)(iii)
(Blockage Periods)).
If a Class D Notes Blockage Trigger Event shall occur and be continuing,
the Security Trustee shall, if directed by the Controlling Class to do so,
provide a Class D Notes Blockage Notice to the Custodian, the Issuer and
each Representative stating that no payment may be made by the Issuer,
or on behalf of the Issuer, on account of the Class E Subordinated Notes
(including pursuant to an Offer to Purchase) and until the end of the
Class D Notes Blockage Period no such payment shall be made by either
the Issuer or the Security Trustee. No more than one Class D Notes
Blockage Notice may be given during any period of 365 consecutive days.
(See Condition 3(h)(iii) (Blockage Periods)).
Collateral Manager
Collateral Manager Fees
Secured Hedging Transactions
Pursuant to the Collateral Management Agreement, the Collateral Manager
is required to act on behalf of the Issuer to carry out the duties and
functions described herein generally and as more specifically set out in the
Collateral Management Agreement by reference, inter alia, to the Market
Valuation Manual, the terms and conditions of the Notes and the
Over-Collateralisation Tests. Pursuant to the Collateral Management
Agreement, the Issuer delegates authority to the Collateral Manager to
carry out certain functions in relation to the Collateral and the hedging
arrangements without the requirement for specific approval by the Issuer,
the Collateral Administrator or the Trustee (see the sections of this Offering
Circular headed "Description of the Collateral Management Agreement"
and "Description of the Portfolio and Market Valuation Methodology").
The fee paid to the Collateral Manager pursuant to the Collateral
Management Agreement will be comprised of a Management Fee and an
Incentive Fee which will be calculated and paid as follows.
Management Fee: The Management Fee will be payable in arrear on each
Payment Date. It will be pro rated for partial periods and be in an amount
of 0.50 per cent. of the daily weighted average Market Value of the Issuer
Investments (excluding Cash or Cash Equivalents) during the Due Period.
The Management Fee will rank in priority to the rights of the Holders of
Senior Indebtedness.
Incentive Fee: On each Payment Date in June, commencing on the
Payment Date falling in June 2007 (the “Incentive Fee Payment Date”),
the Issuer shall pay the Collateral Manager an Incentive Fee.
(See the section of this Offering Circular headed "Description of the
Collateral Management Agreement – Fees" for a full description and
calculation of the Incentive Fee).
Swap Transactions Generally The types of swap transaction in which the
Issuer may engage as contemplated by the Market Valuation Manual is
broad and includes: (i) any rate, basis, currency, debt or equity swap,
futures or forward agreement, (ii) any put, call, cap, floor or collar
agreement, (iii) any option representing an obligation to buy or sell a
security, currency, debt or equity and (iv) any other similar agreement (see
definition of "Swap Transaction" in the Market Valuation Manual). In
particular it is anticipated that the Issuer may engage in currency and
interest rate hedging transactions to hedge its exposures from time to time
and minimise that element of the Collateral that is characterised as
"Excluded Issuer Investments" for the purpose of determining compliance
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with the Over-Collateralisation Tests.
Currency Hedging Transactions During the life of the Notes, the Issuer (or
the Collateral Manager on behalf of the Issuer) may enter into Currency
Hedging Transactions with Eligible Counterparties in order to hedge
currency exchange rate risks arising out of currency mismatches between
assets and liabilities of the Issuer from time to time (see definitions of
"Currency Hedging Transactions", "Hedging and Short-Sale Transactions",
"Unhedged Currency Investments", sub-paragraph (ix) of "Excess Issuer
Investments" and sub-paragraph (iv) of "Excluded Issuer Investments" in
the Market Valuation Manual).
Interest Rate Hedging Transactions During the life of the Notes, the Issuer
(or the Collateral Manager on behalf of the Issuer) may enter into Interest
Rate Hedging Transactions with Eligible Counterparties in order to manage
the interest rate-related risks in connection with the Issuer's issuance of,
and making of payments on, the Notes and ownership and disposition of
the Issuer Investments. Such Interest Rate Hedging Transactions shall be
documented pursuant to Form-Approved Swaps or a form of
documentation otherwise approved by means of a Rating Agency
Confirmation (see definitions of "Interest Rate Hedging Transactions" and
"Hedging and Short-Sale Transactions" in the Market Valuation Manual).
Priority of Secured Hedging Counterparties Payments required to be made
by the Issuer under any Secured Hedging Transaction will rank senior in
priority to payments on each Class of Notes other than the VF Notes and
the Class A Notes with which they will rank pari passu.
Eligible Counterparties The Market Valuation Manual establishes a set of
eligibility criteria for any Eligible Counterparty with which the Issuer may
enter into Hedging and Short-Sale Transactions from time to time (see
definition of "Eligible Counterparty" in the Market Valuation Manual).
See the section of this Offering Circular headed "Hedging Arrangements".
Form, Registration and Transfer
of the VF Notes and the Notes
Regulation S Notes of the VF Notes will each be represented on issue by
definitive notes in fully registered form, without interest coupons or principal
receipts attached (each a “VF Note Regulation S Note”). VF Note
Regulation S Notes will be issued to each VF Noteholder and a note of
such VF Noteholder’s commitment entered in the VFN Register.
Rule 144A Notes of the VF Notes will each be represented on issue by
definitive notes in fully registered form, without interest coupons or principal
receipts attached (each a “VF Note Rule 144A Note”). Transfers of the
VF Note Rule 144A Notes will only be effected in accordance with the VF
Instrument.
The Regulation S Notes of the Notes of each Class sold outside the United
States to non-U.S. Persons in reliance on Regulation S will be represented
on issue by beneficial interests in one or more Regulation S Global Notes
in fully registered form, without interest coupons or principal receipts, which
will be deposited on or about the Closing Date with, and registered in the
name of HSBC Issuer Services Common Depositary Nominee (UK) Limited
as nominee of HSBC Bank plc as common depositary for Euroclear and
Clearstream, Luxembourg (each as defined below). Transfers of VF Note
Regulation S Certificates will only be effected in accordance with the terms
of the VF Instrument. Beneficial interests in a Regulation S Global Note
may be held only through, and transfers thereof will only be effected
through, records maintained by Euroclear or Clearstream, Luxembourg at
any time. See “Form of the VF Notes and the Notes” and “Book-Entry
Clearance Procedures”. Interests in any Regulation S Note may not at any
time be held by any U.S. Person or U.S. Resident. Transfers of VF Note
Regulation S Certificates will only be effected in accordance with the terms
of the VF Instrument.
The Rule 144A Notes of the Notes of each Class sold in reliance on
Rule 144A within the United States to persons and outside the United
States to U.S. Persons, in each case, who are QIB/Qualified Purchasers
will be represented on issue by one or more Rule 144A Global Notes in
fully registered form, without interest coupons or principal receipts
- 12 -

deposited with LaSalle Bank National Association, as custodian for Cede &
Co. as nominee for The Depository Trust Company (“DTC”). Beneficial
interests in a Rule 144A Global Note may only be held through, and
transfers thereof will only be effected through, records maintained by DTC
at any time.
The Rule 144A Global Notes will bear a legend and such Rule 144A Global
Notes, or any interest therein, may not be transferred except in compliance
with the transfer restrictions set out in such legend. See “Transfer
Restrictions”.
No beneficial interest in a Rule 144A Global Note may be transferred to a
person who takes delivery thereof through a Regulation S Global Note
unless the transferor provides the Trustee with a written certification
substantially in the form set out in the Trust Deed regarding compliance
with certain of such transfer restrictions. Any transfer of a beneficial
interest in a Regulation S Global Note to a person who takes delivery
through an interest in a Rule 144A Global Note is also subject to
certification requirements substantially in the form set out in the Trust Deed
and each purchaser thereof shall be deemed to represent that such
purchaser is a Qualified Purchaser. In addition, interests in any of the
Regulation S Notes may not at any time be held by any U.S. Person or
U.S. Resident. See “Form of the VF Notes and the Notes” and “Book-Entry
Clearance Procedures”.
Except in the limited circumstances described herein, Notes in definitive,
certificated, fully registered form (“Definitive Notes”) will not be issued in
exchange for beneficial interests in either the Regulation S Global Notes or
the Rule 144A Global Notes. See “Form of the VF Notes and the Notes”.
Transfers of interests in the Notes are subject to certain restrictions and
must be made in accordance with the procedures set forth in the Trust
Deed. See “Form of VF Notes and the Notes”, “Book-Entry Clearance
Procedures” and “Transfer Restrictions”. Each purchaser of Notes in
making its purchase will be required to make, or will be deemed to have
made, certain acknowledgements, representations and agreements. See
“Transfer Restrictions”. The transfer of Notes in breach of certain of such
representations and agreements will result in affected Notes becoming
subject to certain forced transfer provisions. See Condition 2(h) (Forced
Transfer of Rule 144A Notes).
Authorised Denominations
Governing Law
Listing and Trading
Tax Status
The Regulation S Notes of the VF Notes and of each Class of Notes, other
than the Class E Subordinated Notes, will be issued in minimum
denominations of €500,000 and integral multiples of €1,000 in excess
thereof. Regulation S Notes which are Class E Subordinated Notes will be
issued in minimum denominations of €100,000 and integral multiples of
€1,000 in excess thereof.
The Rule 144A Notes of the VF Notes and of each Class will be issued in
minimum denominations of €250,000 and integral multiples of €1,000 in
excess thereof.
The VF Notes, the Notes and the other Transaction Documents entered
into on or before the Closing Date will be governed by English law except
the Management Agreement, which will be governed by Dutch law, and the
Pledge Agreement, which will be governed by Belgian law.
Application has been made to the Irish Financial Services Regulatory
Authority, as competent authority under Directive 2003/71/EC, for the
Offering Circular to be approved. Application has been made to the Irish
Stock Exchange for the VF-1 Notes and the Specified Notes to be admitted
to the Official List and trading on its regulated market (see the section of
this Offering Circular headed "General Information"). There is currently no
market for the VF-1 Notes or the Specified Notes and no assurance can be
given that such a market will develop (see the section of this Offering
Circular headed "Risk Factors –3.1 Limited Liquidity and Restrictions on
Transfer").
See the section of this Offering Circular headed "Tax Considerations".
- 13 -

ERISA Considerations
Limited Recourse
Withholding Tax
Generally, Plans (as defined in the section of this Offering Circular headed
"Certain ERISA Considerations") will be permitted to purchase the
VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and
the Class D Notes subject to the restrictions described herein. Plans will
not be permitted to purchase the Class E Subordinated Notes. Plans and
other employee benefit plans contemplating a purchase of the VF Notes,
the Class A Notes, Class B Notes, the Class C Notes or the Class D Notes
should consult with their counsel before making such a purchase. (See the
section of this Offering Circular headed "Certain ERISA Considerations".)
The VF Notes and the Notes are limited recourse obligations of the Issuer
which are payable solely out of amounts received by, or on behalf of, the
Issuer in respect of the Collateral. Payments on the VF Notes and Notes,
both prior to and following enforcement of the security over the Collateral,
are subordinated to the prior payment of certain fees and expenses of the
Issuer. The net proceeds of the realisation of the security over the
Collateral, following an Event of Default, may be insufficient to pay all
amounts due to the VF Noteholders, the Noteholders and other Secured
Creditors after making payments to other creditors of the Issuer ranking
prior to, or pari passu with, the Noteholders and other Secured Creditors. In
the event of a shortfall in such proceeds, the Issuer will not be obliged to
pay, and no other assets of the Issuer (including, without limitation, the
Issuer’s rights in respect of the Issuer Dutch Account and under the
Management Agreement) will be available for payment of, such shortfall
and all claims in respect of any such shortfall shall be extinguished. Such
shortfall will be borne first by the Class E Subordinated Noteholders, then
by the Class D Noteholders, then by the Class C Noteholders, then by the
Class B Noteholders and then by the Holders of Senior Indebtedness and
Secured Hedging Counterparties pari passu amongst themselves, in each
case in accordance with the priority of payments specified in the
Intercreditor Arrangements.
Payments of interest and principal on the VF-1 Notes and the Specified
Notes may be subject to income taxes, including applicable withholding
taxes and other taxes and the Issuer will not be obliged to pay any
additional amounts in relation to the VF-1 Notes and the Notes (see
Condition 9 (Taxation)). The VF Notes and the Notes are subject to
redemption at the option of the Controlling Class pursuant to an
Intercreditor Approval and the Class E Subordinated Noteholders acting by
Extraordinary Resolution upon the occurrence of a Note Tax Event, all
subject to, and in accordance with, the terms of Condition 7(d)
(Redemption for Tax Reasons).
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RISK FACTORS
An investment in the VF Notes and the Notes of any Class involves certain risks, including risks relating to the
Collateral securing such Notes and risks relating to the structure and rights of such VF Notes and the Notes and
the related arrangements. Prospective investors should carefully consider the following factors, in addition to the
matters set forth elsewhere in this Offering Circular, prior to investing in the VF Notes and the Notes of any Class.
The following discussion is not exhaustive of all possible risks relating to the matters contained in this Offering
Circular. Terms not defined in this section and not otherwise defined above have the meanings set out in
Condition 1 (Definitions).
1. GENERAL
1.1 General
It is intended that the Issuer will invest in Issuer Investments with certain risk characteristics as
described below. There can be no assurance that the Issuer's investments will be successful, that its
investment objectives will be achieved, that the VF Noteholders and the Noteholders will receive the full
amounts payable by the Issuer under the VF Notes or the Notes or that they will receive any return on
their investment in the VF Notes or the Notes. Prospective investors are therefore advised to review this
entire Offering Circular carefully and should consider, among other things, the risk factors set out in this
section before deciding whether to invest in the VF Notes or the Notes. Except as is otherwise stated
below, such risk factors are generally applicable to the VF Notes and all Classes of Notes, although the
degree of risk associated with each Class of Notes will vary in accordance with the degree of
subordination of the same. Neither the Placement Agent, the Security Trustee nor the Trustee
undertakes to review the financial condition or affairs of the Issuer or the Collateral Manager during the
life of the arrangements contemplated by this Offering Circular nor to advise any investor or potential
investor in the VF Notes or the Notes of any information coming to the attention of the Placement Agent
or the Trustee which is not included in this Offering Circular.
1.2 Suitability
Prospective purchasers of the VF Notes or the Notes of any Class should ensure that they understand
the nature of such VF Notes or the Notes and the extent of their exposure to risk, that they have
sufficient knowledge, experience and access to professional advisers to make their own legal, tax,
accounting and financial evaluation of the merits and risks of investment in such VF Notes or Notes and
that they consider the suitability of such VF Notes or Notes as an investment in light of their own
circumstances and financial condition.
1.3 Investment and Trading Risks
All investments risk the loss of capital. No guarantee or representation is made that the Issuer's
programme will be successful. Consistently with the limitations set out in the Market Valuation Manual
and the Collateral Management Agreement, the Issuer's investment strategy may utilise such
investment techniques as margin transactions, short-sales, leverage and the use of synthetic
instruments, swaps, options on securities, forward contracts and other derivative instruments, which
practices can, in certain circumstances, magnify the adverse impact to the Issuer.
1.4 Unspecified Use of Proceeds
Purchasers of VF Notes or Notes will not have an opportunity to evaluate for themselves the relevant
economic, financial and other information regarding the investments in which the proceeds of the
Offering will be invested and, accordingly, will be dependent upon the judgment and ability of the
Collateral Manager in investing and managing the funds of the Issuer. No assurance can be given that
the Issuer will be successful in obtaining suitable investments or that, if such investments are made, the
objectives of the Issuer will be achieved. The allocation of Issuer's assets to different Asset Categories
will vary over time and from time to time depending upon the availability of investments, the Collateral
Manager's assessment of market conditions, prevailing interest rates, relative values and other factors.
1.5 Potential for Insufficient Investment Opportunities
The Collateral Manager may not be able to identify and obtain a sufficient number of investment
opportunities to invest the full amount of funding that may be committed to the Issuer.
1.6 Issuer's Limited Assets
The VF Notes and the Notes have recourse only to the collateral charged by the Issuer (which excludes,
inter alia, the Issuer Dutch Account and the rights of the Issuer under the Management Agreement).
The Issuer is not expected to have any substantial assets other than the Collateral assigned to secure
the VF Notes, any Notes, any Secured Hedging Transactions and any other Issuer Indebtedness.
- 15 -

1.7 Removal of Credit Enhancement
The VF Notes and Notes will have the benefit of limited credit enhancement in the form of
over-collateralisation provided by the excess of the Market Value of Issuer Investments over the total
outstanding amount of Issuer Indebtedness. In addition, VF Notes and Class A Notes will initially have
additional credit enhancement in the form of the subordination of the Class B Notes, Class C Notes,
Class D Notes and Class E Subordinated Notes, the Class B Notes will initially have additional credit
enhancement in the form of the subordination of the Class C Notes, Class D Notes and Class E
Subordinated Notes, the Class C Notes will initially have additional credit enhancement in the form of
the subordination of the Class D Notes and Class E Subordinated Notes and the Class D Notes will
initially have additional credit enhancement in the form of the subordination of the Class E Subordinated
Notes. The amount of credit enhancement provided by the subordination is subject to change at any
time. The VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes
could lose the benefit of credit enhancement if the Class B Notes, the Class C Notes, the Class D Notes
and/or the Class E Subordinated Notes, as applicable, are redeemed or otherwise repaid prior to
repayment of the VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D
Notes. If the outstanding amount of the Class B Notes, the Class C Notes, the Class D Notes and/or the
Class E Subordinated Notes, as applicable, is reduced, the credit enhancement afforded to the
VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and/or the Class D Notes will
decrease and the credit exposure will increase. Thus prospective purchasers of the VF Notes and Notes
should not rely upon the subordination in the capital structure and should look only to the credit
enhancement provided by the over-collateralisation of the Market Value of Issuer Investments provided
by compliance with the Over-Collateralisation Tests. In particular, prospective purchasers of VF Notes,
Class A Notes, Class B Notes, the Class C Notes and the Class D Notes should be aware that, subject
to certain restrictions (see the section of these Risk Factors headed "3.17 Split Redemptions on Class E
Subordinated Notes" below), Holders of Class E Subordinated Notes may elect optionally to redeem
their Class E Subordinated Notes prior to the maturity of the VF Notes, the Class A Notes, the Class B
Notes, the Class C Notes and the Class D Notes. Prospective purchasers of VF Notes and Class A
Notes should also be aware that Class B Notes, Class C Notes and Class D Notes may be the subject
of an optional redemption or a mandatory redemption prior to their maturity (and the maturity of the
VF Notes and Class A Notes) (see the sections of these Risk Factors headed “3.3 Subordination of the
Class B Notes, Class C Notes, Class D Notes and Class E Subordinated Notes, 3.6 Mandatory
Redemption of the Notes and 3.7 Optional Redemption and Market Volatility" below) provided that, in
each case, such redemptions do not, by their occurrence, cause (i) a Transaction Default or (ii) the
Over-Collateralisation Tests to be breached. Further, in the event that any Notes with a maturity which
is shorter than that of the VF Notes, the Class A Notes, the Class B Notes, the Class C Notes or the
Class D Notes are issued pursuant to the Master Trust Deed and the Conditions (see Condition 17
(Further Issues)), such Notes may, subject to certain restrictions, be finally redeemed prior to the
VF Notes, the Class A Notes, the Class B Notes, the Class C Notes or the Class D Notes (see
Condition 7(a) (Final Redemption)).
1.8 Collateral Coverage and Withdrawal
So long as no event of default under the VF Conditions or the Conditions has occurred and is
continuing, upon request by the Issuer (or the Collateral Manager on its behalf), all or any portion of an
Issuer Investment or other asset in the Collateral may be released from the portfolio of Issuer
Investments if certain conditions are satisfied. Any Issuer Investment withdrawn or substituted may be
of a higher credit quality or be more liquid than the remaining Issuer Investments. In addition, the
Transaction Documents permit the Issuer, subject to compliance with certain terms, to redeem Notes or
discharge other Indebtedness that, in each case, may rank lower in priority than more senior Notes or
Indebtedness which remain outstanding at the time of such redemption or discharge.
1.9 Business and Regulatory Risks for Vehicles with Investment Strategies such as the Issuer's
Legal, tax and regulatory changes could occur during the term of the Issuer that may adversely affect
the Issuer. The regulatory environment for vehicles of the nature of the Issuer is evolving, and changes
in the regulation of the same may adversely affect the value of investments held by the Issuer and the
ability of the Issuer to obtain the leverage it might otherwise obtain or to pursue its investment and
trading strategies. In addition, the securities and futures markets are subject to comprehensive statutes,
regulations and margin requirements. Certain regulators and self-regulatory organisations and
exchanges are authorised to take extraordinary actions in the event of market emergencies. The
regulation of derivatives transactions and vehicles that engage in such transactions is an evolving area
of law and is subject to modification by government and judicial action. The effect of any future
regulatory change on the Issuer could be substantial and adverse.
1.10 Third-Party Involvement
The Issuer may co-invest with third parties in partnerships, joint ventures or other entities. Such
investments may involve risks not present in investments where a third-party is not involved, including
- 16 -

the possibility that a third-party co-venturer or partner may at any time have economic or business
interests or goals which are inconsistent with those of the Issuer, or may be in a position to take action
contrary to the investment objective of the Issuer. In addition, the Issuer may in certain circumstances
be liable for actions of its third-party co-venturer or partner.
1.11 Third-Party Litigation
The Issuer's investment activities subject it to the normal risks of becoming involved in litigation by third
parties. The expense of defending against claims by third parties and paying any amounts pursuant to
settlements or judgments would generally be borne by the Issuer and would reduce net assets.
2. RELATING TO THE COLLATERAL
2.1 Risks associated with a Leveraged Structure and Sale of Collateral
The Issuer will be substantially leveraged. The pro forma fully-funded indebtedness of the Issuer under
the VF-1 Notes and the Specified Notes (collectively, the "Initial Borrowing Arrangements") is
expected to be €625,000,000. In addition to indebtedness under the Initial Borrowing Arrangements, the
Initial Borrowing Arrangements permit the Issuer to (i) incur certain other indebtedness secured by the
Collateral and (ii) engage in Hedging and Short-Sale Transactions. Utilisation of leverage is a
speculative investment technique and involves certain risks to investors. The leverage provided to the
Issuer under the Initial Borrowing Arrangements and any other Issuer Indebtedness will result in interest
expense and other costs incurred in connection with such borrowings that may not be covered by the
net interest income, dividends and appreciation of Issuer Investments.
The Initial Borrowing Arrangements permit the Issuer to issue additional VF Notes and Notes, without
the consent of any VF Noteholders or Noteholders, as applicable. Depending on the terms and
conditions of any such future additional VF Notes or Notes, the Issuer may be more or less leveraged
than the Issuer would be with the Initial Borrowing Arrangements alone. The terms of any such
additional VF Notes or Notes may provide for a higher or lower interest rate than the interest rate under
the Initial Borrowing Arrangements. The issue of such additional VF Notes or Notes will result in interest
expense and other costs incurred in connection with such financing(s) that may not be covered by the
net interest income, dividends and appreciation of Issuer Investments.
The use of leverage will increase the volatility of the Net Asset Value from time to time. While the use of
borrowed funds will increase returns to the Issuer if the Issuer earns a greater return on the incremental
investments purchased with borrowed funds than it pays for such funds, the use of leverage will
decrease returns if the Issuer fails to earn as much on such incremental investments as it pays for such
funds. The effect of leverage may therefore result in a greater decrease in the Net Asset Value than if
the Issuer was not so leveraged. The extent of the Issuer's permitted leveraging at any time will be
determined by reference to the Market Value of the Issuer's investments established in accordance with
the Market Valuation Manual. As a consequence, if there is a substantial decline in the Market Value of
the Issuer's investments, the Issuer (or the Collateral Manager on its behalf) may be required to liquidate
investments in order to maintain compliance with its debt covenants and, as a result, the occurrence of a
sudden, precipitous drop in value of Issuer Investments could force the Issuer (or the Collateral
Manager on its behalf) to liquidate the same quickly, and not for fair value, in order to maintain
compliance with such debt covenants.
The VF Instrument will contain events of default which, under certain circumstances, could result in early
amortisation or in the acceleration of the maturities of these obligations. In the event of acceleration of
any debt under a VF Instrument in whole or in part, the Issuer may be required to dispose of all or a
significant portion of the Issuer Investments. Depending upon the liquidity of the Issuer Investment, such
a forced disposal of Issuer Investments could result in realisation of value of such investments
significantly below the anticipated Market Values for such Issuer Investments.
The substantial indebtedness of the Issuer could limit its ability to respond to changing business
conditions or to execute its investment programme. The VF Instrument imposes operating and financing
restrictions on the Issuer. Therefore, no assurance can be given that additional debt financing will be
available when needed or, if available, will be obtainable on terms that are favourable to the Issuer. It is
possible that the Issuer would need to sell Issuer Investments to repay indebtedness in order to meet
such restrictions, and these sales could occur when the value of the Issuer Investments is depressed.
If an event of default occurs under the VF Notes or the Trust Deed and the Collateral is sold, there can
be no assurance that the proceeds of such sale will be sufficient to pay in full the principal of and
accrued interest on the VF Notes (or amounts payable under any Secured Hedging Transactions) and
the Notes. In addition, under such circumstances, pursuant to the subordination provisions contained in
the Security Documents and the Intercreditor Arrangements, no payment on the Class B Notes will be
made until payment in full of obligations senior thereto, no payment on the Class C Notes will be made
until payment in full of obligations senior thereto, no payment on the Class D Notes will be made until
payment in full of obligations senior thereto and no payment on the Class E Subordinated Notes will be
- 17 -

made until payment in full of all other liabilities of the Issuer. Relative rights of Holders of the Senior
Indebtedness, the Class B Notes, the Class C Notes and the Class D Notes with respect to the
Collateral will be governed by the provisions of the Intercreditor Arrangements.
2.2 The Portfolio
The decision by any prospective Holder of VF Notes or Notes to invest in such VF Notes or Notes
should be based, among other things, on an evaluation of the Market Valuation Manual and the
Over-Collateralisation Tests. This Offering Circular does not contain any information regarding the
individual Issuer Investments on which the VF Notes and Notes will be secured from time to time,
however the Market Valuation Manual is set out in full herein.
Neither the Issuer nor the Placement Agent has made, or will make, any investigation into the obligors
under the Issuer Investments. The value of Issuer Investments comprised in the Issuer's portfolio of the
same (the "Portfolio") may fluctuate from time to time and none of the Issuer, the Trustee, the Security
Trustee, the Placement Agent, the Custodian, the Collateral Administrator, any Secured Hedging
Counterparty or any of their Affiliates are under any obligation to maintain the value of the Issuer
Investments at any particular level, although under the Collateral Management Agreement the Collateral
Manager is obliged to use reasonable care to ensure compliance by the Issuer with the
Over-Collateralisation Tests. On breach of the Over-Collateralisation Tests, the Collateral Manager is
obliged to ensure that one or more of the Under-Collateralisation Cure Methodologies is employed in
accordance with the Conditions. None of the Issuer, the Trustee, the Security Trustee, the Custodian,
the Collateral Manager, the Collateral Administrator, any Secured Hedging Counterparty, the Placement
Agent or any of their Affiliates has any liability to the VF Noteholders or Noteholders as to the amount or
value of, or any decrease in the value of, the Issuer Investments from time to time. Purchasers of any of
the VF Notes or Notes will not have an opportunity to evaluate for themselves the relevant economic,
financial and other information regarding the investments to be made by the Collateral Manager, acting
on behalf of the Issuer, and accordingly will be dependent upon the judgment and ability of the Collateral
Manager in acquiring investments for purchase on behalf of the Issuer over time. No assurance can be
given that the Collateral Manager, acting on behalf of the Issuer, will be successful in obtaining suitable
investments or that, if such investments are made, the objectives of the Issuer will be achieved.
2.3 Concentration of Issuer Investments
The diversification and concentration restrictions applicable to the Issuer Investments operate only
indirectly by causing Issuer Investments in excess of applicable diversification or concentration
restrictions to be excluded from the calculation of the Over-Collateralisation Tests. The Issuer is not
prohibited from holding Issuer Investments in excess of diversification and concentration restrictions
subject to such exclusion.
2.4 Nature of the Collateral
The Issuer will invest in a portfolio of Issuer Investments consisting at the time of acquisition of
predominantly below investment-grade loans and, to a lesser extent, High Yield Securities as well as
certain other investments, all of which will have greater credit and liquidity risk than investment-grade
sovereign or corporate bonds or loans. The Collateral is subject to credit, liquidity, interest rate and
currency risks. The prices of financial instruments in which the Issuer may invest can be highly volatile.
Price movements of High Yield Securities and other instruments in which the Issuer's assets may be
invested are influenced by, among other things, interest rates and currencies, changing supply and
demand relationships, trade, fiscal, monetary and exchange control programmes and policies of
governments, and national and international political and economic events and policies. In addition,
governments from time to time intervene, directly and by regulation, in certain markets, particularly those
in currencies and financial instrument options. Such intervention is often intended to influence prices
directly and may, together with other factors, cause all of such markets to move rapidly in the same
direction because of, among other things, interest rate fluctuations. The Issuer Investments are also
subject to the risk of the failure of any exchange on which its positions trade or of their clearing houses.
2.5 Nature of Below Investment-Grade Collateral
The Market Value of the Issuer Investments may be volatile and may fluctuate with, among other things,
changes in prevailing interest rates (particularly in the case of fixed rate Issuer Investments), general
economic conditions, the condition of certain financial markets, international political events,
developments or trends in any particular industry and the financial condition of the borrowers or issuers,
as the case may be, of the Issuer Investments. The rating of below investment-grade loans reflects a
greater possibility that adverse changes in the financial condition of a borrower or an issuer or in general
economic conditions or both may impair the ability of the relevant borrower or issuer, as the case may
be, to make payments of principal or interest. Such investments may be speculative.
A decrease in the Market Value of the Issuer Investments would adversely affect the proceeds that
could be obtained upon the sale of the Issuer Investments and could, ultimately, affect the ability of the
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Issuer to effect an optional redemption of the VF Notes or the Notes or pay the principal of the VF Notes
or the Notes upon a liquidation of the Issuer Investments following the occurrence of an Event of
Default.
The financial markets may experience substantial fluctuations in prices for High Yield Securities and
loans of the nature which the Issuer may acquire and limited liquidity for such obligations. No assurance
can be made that the conditions giving rise to such price fluctuations and limited liquidity will not occur,
subsist or become more acute following the Closing Date. During periods of limited liquidity and higher
price volatility, the Issuer's ability to acquire or dispose of Issuer Investments at a price and time that the
Issuer deems advantageous may be impaired. As a result, in periods of rising market prices the Issuer
may be unable to participate in price increases fully to the extent that it is either unable to dispose of
Issuer Investments whose prices have risen or to acquire Issuer Investments whose prices are on the
increase. The Issuer's inability to dispose fully and promptly of positions in declining markets will
conversely cause the Net Asset Value to decline as the value of unsold positions is marked to lower
prices. A decrease in the Market Value of the Issuer Investments would also adversely affect the
proceeds of sale that could be obtained upon the sale of the Issuer Investments and could ultimately
affect the ability of the Issuer to pay in full or redeem the VF Notes or the Notes.
2.6 Risks associated with Below Investment-Grade Investments and Investments in High Yield
Securities
The Issuer may invest in private and government debt securities and instruments, which may be unrated
or below investment-grade. It is likely that many of the debt instruments in which the Issuer invests may
be unrated, and whether or not rated, the debt instrument may have speculative characteristics. The
issuers of such instruments may face significant ongoing uncertainties and exposure to adverse
conditions that may undermine the issuer's ability to make timely payment of interest and principal.
Such instruments are regarded as predominantly speculative with respect to the issuer's capacity to pay
interest and repay principal in accordance with the terms of the obligations and involve major risk
exposure to adverse conditions. In addition, an economic recession could severely disrupt the market
for most of these securities and may have an adverse impact on the value of such instruments. It is also
likely that any such economic downturn could adversely affect the ability of the issuers of such securities
to repay principal and pay interest thereon and increase the incidence of default for such securities.
The Issuer may invest in High Yield Securities. Such securities are not generally exchange traded and,
as a result, these instruments trade in a smaller secondary market than exchange-traded bonds. In
addition, the Issuer may invest in bonds of issuers that do not have publicly traded equity securities,
making it more difficult to hedge the risks associated with such investments. High Yield Securities that
are below investment-grade or unrated face ongoing uncertainties and exposure to adverse business,
financial or economic conditions which could lead to the issuer's inability to meet timely interest and
principal payments. High Yield Securities are generally unsecured and may be subordinate to other
obligations of their issuers. The Market Values of certain of these lower-rated and unrated debt
securities tend to reflect individual corporate developments to a greater extent than do higher-rated
securities, which react primarily to fluctuations in the general level of interest rates, and tend to be more
sensitive to economic conditions than are higher-rated securities. As a result (and as noted above), the
market prices of such securities can be subject to abrupt and erratic market movements and changes in
liquidity and above-average price volatility, and the spread between the bid and asked prices of such
securities may be greater than those prevailing in other securities markets. Companies that issue such
securities are often highly leveraged and may not have available to them more traditional methods of
financing. Overall declines in below investment-grade securities and other markets may adversely
affect such issuers by inhibiting their ability to refinance their debt at maturity. It is also possible that a
major economic recession could severely disrupt the market for such securities and may have an
adverse impact on the value of such securities. In addition any such economic downturn could
adversely affect the ability of the issuers of such securities to repay principal and pay interest thereon
and increase the incidence of default of such securities. The potentially concentrated nature of the
Issuer's investment programme could magnify the effects of such risks.
High Yield Securities have historically experienced greater default rates than investment-grade
securities. Although several studies have been made of historical default rates in the U.S. and
European high yield markets, such studies do not necessarily provide a basis for drawing definitive
conclusions with respect to default rates and, in any event, do not necessarily provide a basis for
predicting future default rates in any of the high yield markets which may exceed the hypothetical default
rates assumed by investors in determining whether to purchase the VF Notes or Notes.
European High Yield Securities may be subordinated structurally as opposed to contractually to senior
secured debt holders. Structural subordination takes place when a high yield bond investor lends to a
holding company whose primary asset is ownership of a cash-generating operating company or
companies. The debt investment of the High Yield Securities investor is serviced by passing the
revenues and tangible assets from the operating companies upstream through the holding company
(which typically has no revenue-generating capacity of its own) to the bondholders. In the absence of
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inter-company guarantees such a process leaves the High Yield Securities investors deeply
subordinated to secured and unsecured creditors of the operating companies and means that investors
therein will not necessarily have access to the same security package as the senior lenders (even on a
second priority charge basis) or be able to participate directly in insolvency proceedings or
pre-insolvency discussions relating to the operating companies within the group. While this structure is
being used less frequently in Europe, it is nevertheless more common in Europe than the U.S.
In the case of High Yield Securities issued by issuers with their principal place of business in Europe,
structural subordination leads European High Yield Securities defaults to realise lower average
recoveries than their U.S. counterparts. Another factor affecting recovery rates for European High Yield
Securities is the bankruptcy regimes applicable in different European jurisdictions and the enforceability
of claims against the High Yield Securities issuer (see the section of these Risk Factors headed "2.16
Insolvency Considerations relating to Issuer Investments" below). It must be noted, however, that the
overall probability of default (based on credit rating) remains the same for both U.S. and European
credits. It is the severity of the effect of any default that differs between the two markets as a result of
the aforementioned factors.
In addition to the characteristics described above, High Yield Securities frequently have call or
redemption features that permit the issuer thereof to redeem such obligations prior to their final maturity
date. If such a call or redemption were exercised by an issuer during a period of declining interest rates,
the Collateral Manager, acting on behalf of the Issuer, may only be able to replace such called obligation
with a lower yielding obligation or be obliged to pay a premium for a similarly yielding obligation, thus
decreasing the net investment income from the Portfolio.
2.7 Risks relating to Loans
Senior loans and mezzanine loans of the type in which the Issuer may invest are often incurred by
obligors in connection with highly leveraged transactions, often (although not exclusively) to finance
internal growth, acquisitions, mergers and/or equity purchases. As a result of the additional debt
incurred by the obligor in the course of such a transaction, its creditworthiness is frequently judged by
the rating agencies to be below investment-grade. Higher levels of debt in an obligor may make it more
susceptible to adverse changes in the financial condition of its business and/or in general economic
conditions (including a sustained period of rising interest rates or an economic downturn) and may affect
the ability of the obligor to make payments of principal and interest on its debt.
Senior loans are typically senior in the capital structure, with mezzanine loans being subordinated to any
senior debt of the obligor. Senior loans are often secured by specific collateral, including but not limited
to trademarks, patents, accounts receivable, inventory, equipment, buildings, real estate, franchises and
common and preferred equity of the obligor and its subsidiaries. Mezzanine loans often have the benefit
of a second charge over such assets. Senior loans usually have shorter terms than more junior
obligations and may require mandatory prepayments from excess cash flow, asset dispositions and
offerings of debt and/or equity securities.
A below investment-grade loan or debt obligation or an interest in a below investment-grade loan is
generally considered speculative in nature and may become a defaulted obligation for a variety of
reasons. Upon any Issuer Investment becoming a defaulted obligation, such defaulted obligation may
become subject to either substantial workout negotiations or restructuring, which may entail, among
other things, a substantial reduction in the interest rate, a substantial write-down of principal or a
substantial change in the terms, conditions and covenants with respect to such defaulted obligation. In
addition, such negotiations or restructuring may be extensive and protracted, and may result in
uncertainty as to the ultimate recovery on such defaulted obligation. The liquidity of defaulted
obligations may be limited and, to the extent that defaulted obligations are sold, the proceeds from such
sale may not be equal to the amount of unpaid principal and interest thereon.
Senior loans and mezzanine loans also generally provide for restrictive covenants designed to limit the
activities of the obligors thereunder in an effort to protect the rights of lenders to receive timely payments
of interest on, and repayment of, principal of the loans. Such covenants may include restrictions on
dividend payments, specific mandatory minimum financial ratios, limits on total debt and other financial
tests. A breach of a covenant (after giving effect to any cure period) under a senior loan or mezzanine
loan which is not waived by the lending syndicate normally is an event of acceleration which allows the
syndicate to demand immediate repayment in full of the outstanding loan.
The fact that mezzanine loans are generally subordinated to any senior loan and potentially other
indebtedness of the relevant obligor thereunder, usually have a longer maturity than such other
indebtedness and will generally only have a second ranking security interest over any security granted
in respect thereof, increases the risk of non-payment thereunder of such mezzanine loans in an
enforcement situation.
Senior loans and mezzanine loans are unique and customised in nature and, along with the provision of
confidential information and the private syndication of the instruments, this means that senior loans and
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mezzanine loans are not as easily purchased or sold as a publicly traded security and historically the
trading volume for loans in the loan market has been small relative to other public markets. As
secondary market trading volumes increase, new loans are frequently adopting standardised
documentation to facilitate loan trading which should improve market liquidity. There can be no
assurance, however, that future levels of supply and demand in loan trading will provide an adequate
degree of liquidity or that the current level of liquidity will continue. This means that such assets will be
subject to greater disposal risk in the event that such assets are sold following enforcement of the
security over the Collateral or otherwise. The European market for mezzanine loans is also generally
less liquid than that for senior loans, resulting in increased disposal risk for such obligations.
Loans are generally repayable in whole or in part at any time at the option of the obligor thereunder at
par plus accrued and unpaid interest thereon. Prepayments on loans may be caused by a variety of
factors, which are difficult to predict. Accordingly, there exists a risk that loans purchased at a price
greater than par may experience a capital loss as a result of such a prepayment. In addition, proceeds
received upon such a prepayment are subject to reinvestment risk.
The Loans invested in by the Issuer will be term loans and revolving loans, may pay interest at a fixed or
floating rate and may be senior or subordinated. Purchasers of Loans are predominantly commercial
banks, investment funds and investment banks. In addition, the Issuer may make investments in
stressed or distressed Loans which are often less liquid than performing Loans. The Loans acquired by
the Issuer are likely to be below investment-grade.
2.8 Risks relating to Fixed Income Securities
The Issuer may invest in bonds or other fixed income securities including, without limitation, bank debt,
bonds, notes, debentures and commercial paper, as well as derivatives. Fixed income securities pay
fixed, variable or floating rates of interest. The value of fixed income securities in which the Issuer
invests will change in response to fluctuations in interest rates. In addition, the value of certain
fixed-income securities and loans can fluctuate in response to perceptions of creditworthiness, foreign
exchange rates, political stability or soundness of economic policies. Fixed income securities are
subject to the risk of the issuer's inability to meet principal and interest payments on its obligations (i.e.
credit risk) and are subject to price volatility due to such factors as interest rate sensitivity, market
perception of the creditworthiness of the issuer and general market liquidity (i.e. market risk).
2.9 Participations and Assignments
The Issuer may acquire interests in Issuer Investments which are loans either directly (by way of
novation or assignment) or indirectly (by way of participation). Each institution from which such an
interest is acquired is referred to herein as a "Selling Institution". Interests in loans acquired directly
by way of novation or assignment are referred to herein as "Assignments". Interests in loans acquired
indirectly by way of participation are referred to herein as "Participations".
The purchaser of an Assignment typically succeeds to all the rights of the assigning Selling Institution
and becomes entitled to the benefit of the loans and the other rights of the lender under the loan
agreement. The Issuer, as an assignee, will generally have the right to receive directly from the
borrower all payments of principal and interest to which it is entitled, provided that notice of such
Assignment has been given to the borrower. As a purchaser of an Assignment, the Issuer typically will
have the same voting rights as other lenders under the applicable loan agreement and will have the right
to vote to waive enforcement of breaches of covenants. The Issuer will generally also have the same
rights as other lenders to enforce compliance by the borrower with the terms of the loan agreement, to
set-off claims against the borrower and to have recourse to collateral supporting the loan. As a result,
the Issuer will generally not bear the credit risk of the Selling Institution and the insolvency of the Selling
Institution should have no effect on the ability of the Issuer to continue to receive payment of principal or
interest from the borrower. The Issuer will, however, assume the credit risk of the borrower.
Participations by the Issuer in a Selling Institution's portion of the loan typically results in a contractual
relationship only with such Selling Institution and not with the borrower under such loan. The Issuer
would, in such case, only be entitled to receive payments of principal and interest to the extent that the
Selling Institution has received such payments from the borrower. In purchasing Participations, the
Issuer generally will have no right to enforce compliance by the borrower with the terms of the applicable
loan agreement and the Issuer may not directly benefit from the collateral supporting the loan in respect
of which it has purchased a Participation. As a result, the Issuer will assume the credit risk of both the
borrower and the Selling Institution selling the Participation. In the event of the insolvency of the Selling
Institution, the Issuer may be treated as a general creditor of the Selling Institution and may not benefit
from any set-off between the Selling Institution and the borrower and the Issuer may suffer a loss to the
extent that the borrower sets-off claims against the Selling Institution. The Issuer may purchase a
Participation from a Selling Institution that does not itself retain any economic interest in the loan, and
therefore may have limited interest in monitoring the terms of the loan agreement and the continuing
creditworthiness of the borrower. When the Issuer holds a Participation in a loan it generally will not
have the right to participate directly in any vote to waive enforcement of any covenants breached by a
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orrower. A Selling Institution voting in connection with a potential waiver of a restrictive covenant may
have interests which are different from those of the Issuer and such Selling Institutions may not be
required to consider the interests of the Issuer in connection with the exercise of its votes. Additional
risks are therefore associated with the purchase of Participations by the Issuer as opposed to
Assignments.
2.10 Synthetic Securities
In addition to the credit risks associated with holding loans which are reference obligations under
synthetic securities, the Issuer will usually have a contractual relationship with the relevant synthetic
counterparty only, and not with the reference entity of the reference obligation (in each case as defined
in the relevant synthetic security). The Issuer generally will have no right directly to enforce compliance
by the reference entity with the terms of the reference obligation nor any rights of set-off against the
reference entity, nor have any voting rights with respect to the reference obligation. The Issuer will not
directly benefit from the collateral supporting the reference obligation and will not have the benefit of the
remedies that would normally be available to a holder of such reference obligation. In addition, in the
event of the insolvency of the synthetic counterparty, the Issuer will be treated as a general creditor of
such synthetic counterparty, and will not have any claim with respect to the reference obligation.
Consequently, the Issuer will be subject to the credit risk of the synthetic counterparty as well as that of
the reference entity. As a result, concentrations of synthetic securities entered into with any one
synthetic counterparty subject the VF Notes and the Notes to an additional degree of risk with respect to
default by such synthetic counterparty as well as by the reference entity. Although the Collateral
Manager will not perform independent credit analyses of the synthetic counterparties on behalf of the
Issuer, any such synthetic counterparty, or an entity guaranteeing such synthetic counterparty,
individually and in the aggregate, will be required to satisfy, at the time of purchase, the applicable rating
requirement for Eligible Counterparties for purposes of the Market Valuation Manual.
The Issuer expects that the returns on a synthetic security will generally reflect those of the related
reference obligation. However, as a result of the terms of the synthetic security and the assumption of
the credit risk of the applicable synthetic counterparty, a synthetic security may have a different
expected return, a different (and potentially greater) probability of default, a different (and potentially
greater) expected loss characteristic following a default and a different (and potentially lower) expected
recovery following default. Additionally, the terms of a synthetic security may provide for different
maturities, payment dates, interest rates, interest rate references and credit exposures and non-credit
related exposures for the Issuer than those of the reference obligation relating thereto.
Generally, upon the occurrence of certain specified credit events under a synthetic security relating to
the credit of the applicable reference entity, the relevant synthetic security will become repayable and its
terms will permit or require the synthetic counterparty to satisfy its repayment obligations under the
synthetic security in such circumstances by delivering to the Issuer a principal amount of reference
obligations or other deliverable obligations of the applicable reference entity equal to the original
principal amount of the applicable synthetic security or cash in an amount equal to the current Market
Value of such reference obligations. The value of such obligations or such amounts may be significantly
less than the original principal amount of such synthetic security or, in certain circumstances, equal
zero.
2.11 Collateral Valuation
Certain of the Collateral valuation procedures provided for by the Market Valuation Manual may cause
the calculated Market Value of the Collateral on any date to vary from the actual Market Value of the
Collateral. The Market Value of Issuer Investments (other than Cash or Cash Equivalents) for which a
Market Value has not been obtained from an Approved Source (each as defined in the Market Valuation
Manual) on the preceding Valuation Date ("Unquoted Investments") will be either (x) (i) the lower of
the bid prices from two Approved Investment Banking Firms or Approved Dealers (each as defined in
the Market Valuation Manual) or (ii) the average of the bid prices quoted by three Approved Investment
Banking Firms or Approved Dealers, in each case obtained at least monthly or quarterly, as applicable
or (y) appraised by an Approved Third-Party Appraiser (as defined in the Market Valuation Manual)
obtained at least monthly or quarterly, as applicable. The valuations of Unquoted Investments will be
provided on a less frequent basis than those for the remainder of the Collateral, with Unquoted
Investments being valued on a monthly or quarterly basis, as applicable. In addition, the Collateral
Manager will have wide discretion in selecting Approved Investment Banking Firms and Approved
Third-Party Appraisers (which may include the Placement Agent, a holder or dealer in some or all of the
VF Notes or Notes or any of their respective Affiliates). The actual Market Value of the Issuer's
Unquoted Investments may increase or decrease between the required valuations or appraisals
obtained by the Collateral Manager. With respect to the Class E Subordinated Notes, additional time
may elapse between the occurrence of an event of default and the exercise of remedies on behalf of the
Class E Subordinated Noteholders by reason of the subordination provisions contained in the
Intercreditor Arrangements.
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Although the various Advance Rates applicable to each Asset Category (as defined in the Market
Valuation Manual), will produce a discounted Market Value of all Issuer Investments in the Collateral
(other than Excluded Issuer Investments) that is intended to take account of potential declines in the
Market Value of Collateral between the date of the most recent valuations thereof made in accordance
with the Trust Deed and any sale or other realisation thereof, there is no assurance that (i) the Advance
Rates will be sufficient to protect against any actual decline in Market Value over that period or (ii) there
will not be adverse changes after the Closing Date in asset price volatility or other economic factors
relative to the assumptions employed in determining such Advance Rates.
2.12 Potential Illiquidity of Issuer Investments
The Market Value of Issuer Investments will fluctuate with, among other things, changes in market
interest rates, general economic conditions, economic conditions in particular industries, the condition of
financial markets and the financial condition of the issuers of Issuer Investments. In addition, the lack of
an established, liquid secondary market for some of the Issuer Investments may have an adverse effect
on the Market Value of Issuer Investments and on the Issuer's ability to dispose of them. Additionally,
Issuer Investments may be subject to certain transfer restrictions that may also contribute to illiquidity.
Therefore, no assurance can be given that, if the Issuer is determined to dispose of a particular
investment, it could dispose of such investment at the previously prevailing market price. Such illiquidity
may adversely affect the price and timing of liquidation of Issuer Investments upon the maturity of any
Issuer Indebtedness, upon the liquidation of the Collateral following the occurrence of an event of
default with respect to the VF Notes or the Notes or if it is necessary for the Issuer to sell Issuer
Investments to repay Indebtedness in order to meet the Over-Collateralisation Tests in the Initial
Borrowing Arrangements or equivalent tests in any other Transaction Document.
2.13 Concentration Risk
The Market Valuation Manual sets out certain limitations as to the concentration of Issuer Investments
that may be acquired from time to time. Issuer Investments acquired in excess of these concentration
limits will constitute Excess Issuer Investments and will be disregarded for the purpose of establishing
compliance with the Over-Collateralisation Tests.
In addition, however, the concentration of the Portfolio in any one obligor would subject the VF Notes
and the Notes to a greater degree of risk with respect to defaults by such obligor, and the concentration
of the Portfolio in any one industry, region or country could subject the VF Notes and the Notes to a
greater degree of risk with respect to economic downturns relating to such industry, region or country.
2.14 Interest Rate Risk
The VF Notes and the Notes issued on the Initial Closing Date bear interest at floating rates. VF Notes
and Notes issued following the Initial Closing Date may bear interest at fixed or floating rates. However,
the amount or proportion of the Issuer Investments securing the VF Notes and Notes that bear interest
at fixed or floating rates may not correspond to the amount or proportion of the VF Notes and Notes that
bear interest on such respective bases, and there will be no requirement as to the amount or proportion
of the Issuer Investments securing the VF Notes and Notes that must bear interest on a particular basis.
In addition, any payments of principal or interest received in respect of Issuer Investments and not
otherwise reinvested in further Issuer Investments or used to repay Advances under VF Notes will
generally be invested in Cash or Cash Equivalents. There is no requirement that such Cash or Cash
Equivalents bear interest on a particular basis, and the interest rates available for such are inherently
uncertain.
There may also be mismatches due to floating rate Issuer Investments and notes having their interest
rates reset based on different dates, frequencies and indices. As a result of such mismatches,
fluctuations in interest rates could adversely impact the ability of the Issuer to make payments on the
VF Notes and Notes. The Issuer may enter into one or more Secured Hedging Transactions or use
Advances under the VF Notes to reduce the impact of the interest rate mismatch. It is possible that the
Placement Agent and/or one or more of its Affiliates and/or one or more Affiliates of the Collateral
Manager, with acceptable credit support arrangements, if necessary, may act as counterparty with
respect to all or some of the Secured Hedging Transactions, which may create certain conflicts of
interest (see the section of these Risk Factors headed "4. Certain Conflicts of Interest" below).
In the event of the insolvency of a Secured Hedging Counterparty, the Issuer will be treated as a general
creditor of the applicable Secured Hedging Counterparty. Consequently, the Issuer will be subject to the
credit risk of such Secured Hedging Counterparty as well as that of the Issuer Investments.
2.15 Currency Risk
It is anticipated that a portion of the Issuer Investments will not be denominated in Euro. The
percentage of the Portfolio that is comprised of these types of securities may increase or decrease over
the life of the VF Notes and Notes. Notwithstanding that Issuer Investments not denominated in Euro
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may have an associated Secured Hedging Transaction which will include currency protection provisions,
losses may be incurred due to fluctuations in the Euro exchange rates in the event of a default under
any such Secured Hedging Transaction.
In addition, fluctuations in Euro exchange rates may result in a decrease in value of the Portfolio for the
purposes of sale thereof upon enforcement of the security over it. The Collateral Manager may also be
limited at the time of reinvestment in its choice of Issuer Investments because of the cost of entry into
such Secured Hedging Transactions and due to restrictions in the Collateral Management Agreement
with respect thereto.
The Issuer's ongoing payment obligations under such Secured Hedging Transactions (including
termination payments) may be significant. The payments associated with such hedging arrangements
generally rank senior to payments on the Class B Notes, the Class C Notes, the Class D Notes and the
Class E Subordinated Notes.
The Issuer will depend upon each Secured Hedging Counterparty to perform its obligations under any
applicable Secured Hedging Transactions. If any such Secured Hedging Counterparty defaults or
becomes unable to perform due to insolvency or otherwise, the Issuer may not receive payments it
would otherwise be entitled to from such Secured Hedging Counterparty to cover its foreign exchange
exposure.
2.16 Insolvency Considerations relating to Issuer Investments
Issuer Investments may be subject to various laws enacted for the protection of creditors in the
countries of the jurisdictions of incorporation of obligors and, if different, in which the obligors conduct
business and in which they hold assets, which may adversely affect such obligors' abilities to make
payment on a full or timely basis. These insolvency considerations will differ depending on the country
in which each obligor is located or domiciled and may differ depending on whether the obligor is a
non-sovereign or a sovereign entity. In particular, it should be noted that a number of continental
European jurisdictions operate "debtor-friendly" insolvency regimes which would result in delays in
payments under Issuer Investments where obligations thereunder are subject to such regimes, in the
event of their insolvency.
The different insolvency regimes applicable in the different European jurisdictions may result in a
corresponding variability of recovery rates for senior loans, mezzanine loans and High Yield Securities
entered into or issued by obligors in such jurisdictions. Reliable historical data is limited.
2.17 Changes in Tax Law, No Gross Up
Following acquisition by the Issuer, payments of interest on the Issuer Investments either will not be
subject to any withholding tax imposed by any jurisdiction (including pursuant to the operation of an
applicable tax treaty and, in some cases, the completion of procedural formalities) or, if and to the extent
that any such withholding tax does apply, the relevant obligor will be obliged to make gross up payments
to the Issuer that cover the full amount of such withholding tax. However, there can be no assurance
that, as a result of any change in any applicable law, rule or regulation or interpretation thereof, the
payments on the Issuer Investments might not in the future become subject to withholding tax or
increased withholding rates in respect of which the relevant obligor will not be obliged to gross up to the
Issuer. In such circumstances, the Issuer may be able, but will not be obliged, to take advantage of
(a) a double taxation treaty between The Netherlands and the jurisdiction from which the relevant
payment is made, (b) the current applicable law in the jurisdiction of the relevant obligor or (c) the fact
that the Issuer has taken a Participation in such Issuer Investments from a Selling Institution which is
able to pay interest payable under such Participation gross if paid in the ordinary course of its business.
In the event that the Issuer receives any interest payments on any Issuer Investments net of any
applicable withholding tax, the Over-Collateralisation Tests will be determined by reference to such net
receipts. Such tax would also reduce the amounts available to make payments on the VF Notes and the
Notes. There can be no assurance that remaining payments on the Issuer Investments would be
sufficient to make timely payments of interest, principal on each Maturity Date and other amounts
payable in respect of the VF Notes or the Notes of each Class.
2.18 Collateral Manager
The Collateral Manager is given authority in the Collateral Management Agreement to act as Collateral
Manager to the Issuer in respect of the Portfolio pursuant to and in accordance with the parameters and
criteria set out in the Collateral Management Agreement. The powers and duties of the Collateral
Manager in relation to the Portfolio include acting on behalf of the Issuer in relation to the acquisition
and sale of Issuer Investments and monitoring compliance with the Over-Collateralisation Tests in
accordance with the provisions of the Collateral Management Agreement (see the section of this
Offering Circular headed "Description of the Portfolio and Market Valuation Methodology"). Any analysis
by the Collateral Manager (on behalf of the Issuer) of obligors under Issuer Investments which it is
intending to purchase or which comprise Collateral from time to time will, in respect of Issuer
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Investments which are publicly listed bonds, be limited to a review of readily available public information
and, in respect of Issuer Investments which are Assignments or Participations of senior and mezzanine
loans and in relation to which the Collateral Manager has non-public information, such analysis will
include due diligence of the kind common in relation to senior and mezzanine loans of such kind.
The performance of any investment in the VF Notes and the Notes will be dependent in part on the
ability of the Collateral Manager to monitor the Portfolio and manage the sale and acquisition of Issuer
Investments and the performance of the Collateral Manager of its obligations under the Collateral
Management Agreement. The loss by the Collateral Manager of a number of its employees responsible
for managing the Portfolio could (if the Collateral Manager’s Affiliates do not transfer or second persons
of appropriate experience and expertise to replace such individuals or if such individuals are not
otherwise replaced by the Collateral Manager or any of its Affiliates) have a material adverse effect on
the ability of the Collateral Manager to perform its obligations under the Collateral Management
Agreement.
The Collateral Manager will agree in the Collateral Management Agreement to perform its obligations
under the Collateral Management Agreement with reasonable care and, subject to the terms and
conditions of the Collateral Management Agreement, to perform its obligations thereunder in a manner
consistent with practices and procedures generally followed by prudent institutional collateral managers.
The Collateral Manager is exempted from liability arising out of or in connection with the performance of
its duties under the Collateral Management Agreement except by reason of acts or omissions of the
Collateral Manager constituting wilful misconduct, negligence or other breach of the terms of the
Collateral Management Agreement having a material adverse effect on the interest of the Issuer, the
VF Noteholders, any Class of Noteholders (acting as a Class), the Security Trustee or the Trustee.
The Collateral Manager may under certain circumstances resign as described under the section of this
Offering Circular headed “Description of the Collateral Management Agreement”. However, subject to
and in accordance with the terms of the Collateral Management Agreement, such resignation will not be
effective unless and until the Issuer, or, under certain circumstances, the Collateral Manager on its
behalf, has appointed a Successor Collateral Manager (see the section of this Offering Circular headed
“Description of the Collateral Management Agreement”).
The Collateral Manager will be dependent upon the financial and managerial experience of certain
individuals associated with the Collateral Manager in the management of portfolios of fixed income
assets. The loss of key individuals from the Collateral Manager could (if the Collateral Manager’s
Affiliates do not transfer or second persons of appropriate experience and expertise to replace such
individuals or if such individuals are not otherwise replaced by the Collateral Manager or any of its
Affiliates) have a material adverse effect on the performance of the Portfolio and consequently, the
performance of the VF Notes and the Notes. Although the Collateral Manager is required, pursuant to its
entry into the Collateral Management Agreement, to commit an appropriate amount of its business
efforts to the management of the Portfolio, the Collateral Manager is not required to devote all of its time
to such affairs and may continue to advise and manage other investment funds in the future.
Prior investment results and returns achieved for accounts managed by Babson Capital Europe Limited
are not likely to be indicative of the Issuer's investment results. In addition, the nature of, and risks
associated with, the Issuer Investments to be acquired by the Issuer may differ materially from those
investments and strategies undertaken historically by Babson Capital Europe Limited, including by
reason of the diversity and other parameters required by the Collateral Management Agreement. There
can be no assurance that the Issuer's investments will perform as well as the past investments for any
such accounts.
2.19 Security: Fixed Charge
Security over the Issuer Investments held in Clearing Systems.
The Issuer Investments which are securities will be held by the Custodian. The Custodian will hold
certain of such securities (i) through its accounts with DTC, Euroclear or Clearstream, Luxembourg, as
appropriate and (ii) through its sub-custodians who will in turn hold such securities which are Synthetic
Securities both directly and through any appropriate clearing system. Those securities held in clearing
systems will not be held in special purpose accounts and will be fungible with other securities from the
same issue held in the same accounts on behalf of the other customers of the Custodian or its
sub-custodian, as the case may be. A first fixed charge over such securities which are Synthetic
Securities will be created under English law pursuant to the Security Documents on the Initial Closing
Date and will take effect as a security interest over the right of the Issuer to require delivery of equivalent
securities from the Custodian in accordance with the terms of the Agency Agreement (as defined in the
section of this Offering Circular headed "Terms and Conditions").
The Issuer Investments pursuant to the Security Documents which are securities held by the Custodian
on behalf of the Issuer through its account with Euroclear will also be the subject of a commercial pledge
under Belgian law created by the Issuer on the Initial Closing Date. The effect of this security interest
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will be to enable the Custodian, on enforcement, to sell the securities in the pledged account on behalf
of the Security Trustee. Such Belgian law pledge will not entitle the Security Trustee to require delivery
of the relevant securities from the depositary or depositaries that have physical custody of such
securities or allow the Security Trustee to rehypothecate such securities.
However, the English law charge and Belgian law pledge created pursuant to the Security Documents
may be insufficient to secure or ineffective in securing the Issuer Investments which are securities for
the benefit of VF Noteholders and Noteholders, particularly in the event of any insolvency or liquidation
of the Custodian or any sub-custodian that has priority over the right of the Issuer to require delivery of
such assets from the Custodian in accordance with the terms of the Agency Agreement. Any risk of loss
arising from any insufficiency or ineffectiveness of the security for the VF Notes or Notes must be borne
by the VF Noteholders or Noteholders without recourse to the Issuer, the Trustee, the Security Trustee,
the Placement Agent, the Collateral Manager, the Collateral Administrator or any other party.
In addition, custody and clearance risks may be associated with Issuer Investments which are securities
that do not clear through DTC, Euroclear or Clearstream, Luxembourg. There is a risk, for example, that
such securities could be counterfeit, or subject to a defect in title or claims to ownership by other parties.
Fixed Security
Although the English law security constituted by the Security Documents over the Issuer Investments
held from time to time, including the security over the Accounts, is expressed to take effect as fixed
security, it may (as a result of the substitutions of Issuer Investments contemplated by the Collateral
Management Agreement and the payments to be made from the Accounts in accordance with the
Conditions and the Trust Deed) take effect as a floating charge which, in particular, would rank after a
subsequently created fixed security interest. However, the Issuer has covenanted not to create any
such subsequent security interests without the consent of the Trustee.
Governing Law of Portfolio
The Security Documents other than the Pledge Agreement (which will be governed by Belgian law) will
be governed by English law. Some of the Issuer Investments may be obligations governed by laws of
jurisdiction other than England (or, as the case may be, Belgium) and which may require different and/or
additional procedures and/or documentation to create or perfect any security interest.
2.20 Event-Orientated Trading and Special Situation Investments
The Collateral Manager may cause the Issuer to engage in event-orientated trading and investment in
special situation investments, which often involve the purchase of a company's securities after the
company's announcement of a significant event.
The Collateral Manager, on behalf of the Issuer may invest and trade in securities of companies that it
believes are undervalued because, although such companies are not the subject of an announced
tender offer, merger or acquisition transaction, in the Collateral Manager's view such companies are
likely candidates for such a transaction. In such a case, if the anticipated transaction does not in fact
occur, the Collateral Manager, on behalf of the Issuer, may sell the securities at a loss.
The Issuer may, invest in securities of issuers in weak financial condition, experiencing poor operating
results, having substantial capital needs or negative net worth, facing special competitive or product
obsolescence problems, or that are involved in bankruptcy or reorganisation proceedings. Investments
of this type may involve financial and business risks that can result in losses. Among the risks inherent
in investments in troubled entities is the inability to obtain information as to the true condition of such
issuers. Such investments may also be affected adversely by laws relating to, among other things,
fraudulent transfers and other voidable transfers or payments, lender liability and the courts' power to
disallow, reduce, subordinate or disenfranchise particular claims. The market prices of such securities
are also subject to abrupt and erratic market movements and above-average price volatility, and the
spread between the bid and asked prices of such securities may be greater than normally expected with
respect to non-troubled issuers. It may take a number of years for the market price of such securities to
reflect their intrinsic value.
Securities of financially troubled companies require active monitoring and may, at times, require
participation in bankruptcy or reorganisation proceedings by the Collateral Manager. To the extent that
the Collateral Manager becomes involved in such proceedings, the Issuer may have a more active
participation in the affairs of the issuer than that assumed generally by an investor.
In liquidation (both in and out of bankruptcy) and other forms of corporate reorganisation, there exists
the risk that the reorganisation either will be unsuccessful (due to, for example, failure to obtain requisite
approvals), will be delayed (for example, until various liabilities, actual or contingent, have been
satisfied) or will result in a distribution of cash or a new security the value of which will be less than the
purchase price to the Issuer of the security in respect of which such distribution was made.
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In certain transactions, the Issuer may not be hedged against the risk of market fluctuations or, in
liquidation situations, may not assess accurately the value of the assets of the company being
liquidated. This can result in losses, even if the proposed transaction is consummated.
The Collateral Manager attempts to assess all of the foregoing risk factors, and others, in determining
the extent of the position the Issuer will take in the relevant securities and the price it is willing to pay for
such securities. However, such risks cannot be eliminated.
2.21 Zero Coupon and Deferred Interest Bonds
The Issuer may invest in zero coupon bonds and deferred interest bonds, which are debt obligations
issued at a significant discount from face value. The original discount approximates the total amount of
interest the bonds will accrue and compound over the period until maturity or the first interest accrual
date at a rate of interest reflecting the market rate of the security at the time of issuance. While zero
coupon bonds do not require the periodic payment of interest, deferred interest bonds generally provide
for a period of delay before the regular payment of interest begins. Such investments experience
greater volatility in the Market Value due to changes in interest rates in comparison to debt obligations
which provide for regular payments of interest.
2.22 "Spread Widening" Risk
For reasons not necessarily attributable to any of the risks set forth herein (for example, supply/demand
imbalances or other market forces), the prices of the securities in which the Issuer invests may decline
substantially. In particular, purchasing assets at what may appear to be "undervalued" levels is no
guarantee that these assets will not be trading at even lower levels at a time of valuation or at the time
of sale. It may not be possible to predict, or to hedge against, such "spread widening" risk.
2.23 Short Selling
Short selling involves selling securities which may or may not be owned and borrowing the same
securities for delivery to the purchaser, with an obligation to replace the borrowed securities at a later
date. Short selling allows the investor to profit from declines in securities prices. A short-sale creates
the risk of a significant loss, in that the price of the underlying security could rise significantly, thus
increasing the cost to the Issuer of buying those securities to cover the short position. There can be no
assurance that the security necessary to cover a short position will be available for purchase.
Additionally, certain market participants could accumulate such securities in a "short squeeze", which
would reduce the available supply, and thus increase the cost, of such securities. Purchasing securities
to close out the short position can itself cause the price of the securities to rise further, thereby
exacerbating the loss. While the Collateral Manager intends to employ any short selling principally as a
hedging technique, such short-sales may nonetheless be characterised as "naked", meaning that the
Issuer does not own the security being sold short. The Collateral Manager shall have sole discretion in
determining when, whether and in what manner to engage in short selling.
2.24 Other Hedging Transactions
Subject to compliance with the Initial Borrowing Arrangements, the Issuer, directly or indirectly, may opt
to, or may be required to, utilise a variety of financial instruments such as derivatives, options, swaps,
caps and floors and forward contracts, both for investment purposes and for risk management purposes
in order to: (i) protect against possible changes in the market value of the Portfolio resulting from
fluctuations in the securities markets and changes in interest rates, (ii) protect the Issuer's unrealised
gains in the value of the Portfolio, (iii) facilitate the sale of any such investments, (iv) establish a position
as a temporary substitute for other Issuer Investments, (v) enhance or preserve returns, spreads or
gains on any investment in the Portfolio, (vi) hedge the interest rate or currency exchange rate on any of
the Issuer's liabilities or assets, (vii) mitigate against any increase in the price of any Issuer Investments
the Issuer anticipates purchasing at a later date or (viii) for any other reason that the Collateral Manager
deems appropriate.
The Collateral Manager is not required to attempt to hedge all the financial risks of the Issuer and, for
various reasons, may determine not to do so. Furthermore, the Collateral Manager may not anticipate a
particular risk so as to hedge against it. While the Issuer may enter into hedging transactions in seeking
to reduce risk, such transactions may result in a poorer overall performance for the Issuer than if it had
not engaged in any such hedging transaction. For a variety of reasons, the Collateral Manager may not
seek to establish a perfect correlation between such hedging instruments and the assets or liabilities
being hedged. Such imperfect correlation may prevent the Issuer from achieving the intended hedge or
expose the Issuer to risk of loss. The success of the hedging strategy of the Issuer is subject to the
Collateral Manager's ability to assess correctly the degree of correlation between the performances of
the instruments used in the hedging strategy and the performance of the Issuer Investments or Debt
being hedged. Since the characteristics of many investments change as markets change or time
passes, the success of the Issuer's hedging strategy is also subject to the Collateral Manager's ability to
recalculate continually, readjust and execute hedges in an efficient and timely manner.
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2.25 Disclosure of Portfolio
The Issuer's audited financial statements will not include a detailed listing of positions held by the Issuer.
Such confidentiality is maintained for the purpose of preventing third parties from using information
concerning the Issuer's positions to its detriment. Examples of ways in which such information could be
used adversely to the Issuer include: (i) to "front run" the Issuer on sales, or additional purchases, of
such positions, (ii) to make it more difficult for the Issuer to protect its positions by withholding, or
causing others to withhold, prospective trades, (iii) to make it difficult to acquire or borrow Issuer
Investments or (iv) otherwise to interfere with the Issuer's investment objectives. For this reason, the
Collateral Manager believes it is important to take extra precautions to maintain the confidentiality of the
positions in the Portfolio. In addition, the Collateral Manager may be required to enter into confidentiality
agreements when purchasing assets which will comprise the Portfolio.
2.26 Lender Liability Considerations
In recent years, a number of judicial decisions in the United States and other jurisdictions have upheld
the right of borrowers to sue lenders or bondholders on the basis of various evolving legal theories
(collectively, termed "lender liability"). Generally, lender liability is founded upon the premise that an
institutional lender or bondholder has violated a duty (whether implied or contractual) of good faith and
fair dealing owed to the borrower or issuer or has assumed a degree of control over the borrower or
issuer resulting in the creation of a fiduciary duty owed to the borrower or issuer or its other creditors or
shareholders. Although it would be a novel application of the lender liability theories, the Issuer may be
subject to allegations of lender liability. However, neither the Issuer nor the Collateral Manager acting
on its behalf intend to engage in any conduct that would form the basis for a successful cause of action
based upon lender liability.
3. RELATING TO THE NOTES
3.1 Limited Liquidity and Restrictions on Transfer
Although there is currently a market for notes similar to the VF Notes and the Rated Notes there is
currently no market for the VF Notes and the Notes themselves. Although the Placement Agent has
advised the Issuer that it intends to make a market for the VF Notes and the Notes, the Placement
Agent is not obliged to do so, and any such market-making may be discontinued at any time without
notice. There can be no assurance that any secondary market for any of the VF Notes or the Notes will
develop or, if a secondary market does develop, that it will provide the VF Noteholders or the
Noteholders with liquidity of investment or that it will continue for the life of such VF Notes and the Notes
although Holders of Class E Subordinated Notes may exercise an optional redemption right following
the expiry of the Non-Call Period applicable to the Class E Subordinated Notes held by them, subject to
certain restrictions. Consequently, a purchaser of VF Note or a Rated Note must be prepared to hold
such VF Note or Rated Note for an indefinite period of time or until the Maturity Date of such VF Note or
Rated Note and a purchaser of a Class E Subordinated Note must be prepared to hold such Class E
Subordinated Note subject to the limitations on the optional redemption terms imposed thereon and, if
so required, up to the Maturity Date of the Class E Subordinated Notes. In addition, no sale,
assignment, participation, pledge or transfer of the VF Notes or the Notes may be effected if, among
other things, it would require the Issuer or any of its officers or directors to register under, or otherwise
be subject to the provisions of, the Investment Company Act or any other similar legislation or regulatory
action. Furthermore, the VF Notes and the Notes will not be registered under the Securities Act or any
U.S. state securities laws, and the Issuer has no plans, and is under no obligation, to register the
VF Notes or the Notes under the Securities Act. The VF Notes and the Notes are subject to certain
transfer restrictions and can be transferred only to certain transferees (see the sections of this Offering
Circular headed "Plan of Distribution" and "Transfer Restrictions"). Such restrictions on the transfer of
the Notes may further limit their liquidity.
3.2 Limited Recourse Obligations
The VF Notes and the Notes are limited recourse obligations of the Issuer and are payable solely from
amounts received in respect of the Collateral securing the VF Notes and the Notes. Payments on the
VF Notes and the Notes both prior to and following enforcement of the security over the Collateral are
subordinated to the prior payment of certain fees and expenses of, or payable by, the Issuer and to
payment of principal and interest on the VF Notes and prior ranking Classes of Notes and other
Transaction Creditors (see Condition 4(c) (Limited Recourse)). None of the Collateral Manager, the
Noteholders of any Class, the Placement Agent, any Secured Hedging Counterparty, the Trustee, the
Security Trustee, the Collateral Administrator, the Custodian, the Registrar, any Agent or any Affiliates
of any of the foregoing, the Issuer's Affiliates or any other person or entity (other than the Issuer) will be
obliged to make payments on the VF Notes or the Notes of any Class. Consequently, VF Noteholders
and Noteholders must rely solely on distributions in respect of, and liquidation proceeds of, Collateral
securing the VF Notes and the Notes for the payment of principal, interest and premium, if any, thereon.
There can be no assurance that the distributions on, or the sale proceeds of, the Collateral received and
amounts received under the Secured Hedging Transactions will be sufficient to make payments on the
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VF Notes or on any Class of Notes, after making payments on more senior Classes of Notes and certain
other required amounts to other creditors ranking pari passu with such VF Notes or such Class. If
distributions on the Collateral are insufficient to make payments on the VF Notes and Notes, no other
assets (and, in particular, no assets of the Collateral Manager, the Noteholders, the Placement Agent,
any Secured Hedging Counterparty, the Trustee, the Security Trustee, the Collateral Administrator, the
Custodian, any Agent or any Affiliates of any of the foregoing) will be available for payment of the
deficiency and following realisation of the Collateral and the application of the proceeds thereof in
accordance with the Intercreditor Priority of Payments, the obligations of the Issuer to pay such
deficiency shall be extinguished. Such shortfall will be borne first by (a) the Class E Subordinated
Noteholders, (b) thereafter, the Class D Noteholders, (d) thereafter, the Class C Noteholders,
(e) thereafter, the Class B Noteholders and (f) thereafter, the Class A Noteholders, VF Noteholders and
Secured Hedging Counterparties.
In addition, at any time while the VF Notes and the Notes are Outstanding, none of the VF Noteholders,
the Noteholders, the Trustee, the Security Trustee, nor any other Secured Creditor (nor any other
person acting on behalf of any of them) shall be entitled at any time to institute against the Issuer, or join
in any institution against the Issuer of, any bankruptcy, reorganisation, arrangement, insolvency,
winding-up, liquidation or other proceedings under any applicable bankruptcy or similar law in
connection with any obligations of the Issuer relating to the VF Notes, the Notes or the Trust Deed or
otherwise owed to the VF Noteholders or the Noteholders, save for lodging a claim in the liquidation of
the Issuer which is initiated by another party, or taking proceedings to obtain a declaration or judgment
as to the obligations of the Issuer, nor shall any of them have a claim arising in respect of the share
capital of the Issuer.
3.3 Subordination of the Class B Notes, the Class C Notes, the Class D Notes and the Class E
Subordinated Notes
No payment of interest on any Class of Notes may be made until all payments of interest due and
payable on each Priority Class with respect to such Class of Notes have been made in full in
accordance with the Intercreditor Priority of Payments. Payments on the Class E Subordinated Notes
will be made by the Issuer to the extent of available funds and no payments thereon will be made until
the payment of certain fees and expenses have been made and until interest on each Priority Class with
respect to the Class E Subordinated Notes has been paid.
Other than on a Premature Redemption Date and in certain specified circumstances on final redemption
pursuant to an optional redemption (see Condition 7 (Redemption)) and as permitted under the
Intercreditor Arrangements, no payment of principal on any Class of Notes may be made until (i) all
payments of principal due and payable on each Priority Class with respect to such Class of Notes and
(ii) any Outstanding Issuer Swap Termination Payments, have been made in full in accordance with the
Intercreditor Priority of Payments.
In the event of any acceleration of any Class of Notes occasioned by any enforcement action in respect
of the Collateral then all other Notes will also be subject to automatic redemption/acceleration and the
Collateral may, in either case, be liquidated. Liquidation of the Collateral at such time and/or remedies
pursued by the Security Trustee upon enforcement of the security over the Collateral could be adverse
to the interests of the Class A Noteholders, the VF Noteholders, the Class B Noteholders, the Class C
Noteholders, the Class D Noteholders or the Class E Subordinated Noteholders, as the case may be.
To the extent that any losses are incurred by the Issuer in respect of any Collateral, such losses will be
borne first by the Class E Subordinated Noteholders, then by the Class D Noteholders, then by the
Class C Noteholders, then by the Class B Noteholders and, finally, by the Class A Noteholders, the VF
Noteholders and other Secured Creditors. Remedies pursued by a Priority Class could be adverse to
the interests of a Junior Class.
3.4 Subordination through Conflicts between Classes
The Controlling Class at a given time will be entitled to determine the remedies to be exercised under
the Security Documents if events of default occur thereunder and to exercise certain other voting rights.
Such remedies, or actions taken pursuant to such other voting rights, could be adverse to the interests
of the Holders of the Classes of Notes not entitled to vote, and the Controlling Class entitled to vote at
any time will have no obligation to consider the effect of any such vote on the Holders of any Classes of
Notes not comprising such Controlling Class.
3.5 Liquidity and Cash Flow
The Issuer expects to obtain funds to pay its expenses and to pay the principal and interest on the
VF Notes, the Notes and all other Issuer Indebtedness from the cash flow generated on, and trading
gains from, sales of the Issuer Investments. The Issuer's ability to meet its obligations under the
VF Notes or the Notes will depend upon the future performance of the Issuer Investments managed by
the Collateral Manager. The VF Noteholders and Noteholders and Holders of all other Issuer
Indebtedness must rely upon the skills of the Collateral Manager as the Collateral Manager of the Issuer
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Investments to properly plan for expected and unexpected cash requirements of the Issuer, including
any obligation to make future extensions of credit or otherwise fund any Issuer Investment. If the
Collateral Manager does not obtain a sufficient number of investment opportunities or if the investments
made by the Collateral Manager do not generate the expected level of returns (whether from trading or
income), the Issuer's cash flow may not be sufficient to meet its funding obligations in respect of Issuer
Investments or to allow it to pay principal and interest in a timely manner on the VF Notes, the Notes or
any other Issuer Indebtedness. The failure to generate sufficient liquidity could therefore cause defaults
under the Transaction Documents and significantly adversely affect the value of the VF Notes and the
Notes.
3.6 Mandatory Redemption of the Notes
Under the Transaction Documents the Issuer is obliged to observe the Over-Collateralisation Tests
established by reference to the Market Valuation Manual which in turn reflects coverage expectations of
the Rating Agencies. Failure by the Issuer to comply with the Over-Collateralisation Tests may,
assuming the same does not give rise to an event of default under the Notes or that the Issuer does not
otherwise remedy the failure, result in mandatory redemption in whole or part of the Notes of each
Class. Such redemptions will take place in order of seniority, with Priority Classes being paid out prior
to Junior Classes. Depending on the timing of the Issuer's breach of the Over-Collateralisation Tests,
amounts of principal so paid may not be paid on Payment Dates (see Condition 5(c)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates)). The Class E Subordinated Notes
may also, if the Collateral Manager in its discretion so determines, be redeemed on a mandatory basis if
the aggregate Principal Amount Outstanding thereof falls below €25,000,000 (see Condition 7(e)(ii)
(Mandatory Class E Subordinated Note Redemptions for Liquidity Reasons)) and may also be
redeemed on a mandatory basis, as regards any relevant Class E Subordinated Noteholder, as a
consequence of the application of the Split Redemption Procedure (see Condition 7(b)(v) (Class E
Subordinated Note Split Redemption Procedure)). If on the occasion of the optional redemption of any
Class E Subordinated Notes the Issuer so elects, the Class A Notes and/or the Class B Notes and/or
the Class C Notes and/or the Class D Notes may also be redeemed in whole or in part on a mandatory
basis (see Condition 7(e)(iii) (Mandatory Redemption of Interest-Bearing Notes on Optional Redemption
of Class E Subordinated Notes)).
3.7 Optional Redemption and Market Volatility
A form of liquidity for the Class E Subordinated Notes is provided by the optional redemption provision
set out in Condition 7(b)(i) (Optional Redemption Requirements). There can be no assurance however
that such optional redemption provision will be capable of exercise in accordance with the conditions set
out in Condition 7(b)(iii) (Formalities for Optional Redemption and Associated Mandatory Redemption).
The Market Value of the Issuer Investments may fluctuate with, among other things, changes in
prevailing interest rates, foreign exchange rates, general economic conditions, the conditions of financial
markets (particularly the markets for senior and mezzanine loans), European and international political
events, events in the home countries of the obligors under the Issuer Investments or the countries in
which their assets and operations are based, developments or trends in any particular industry and the
financial condition of such issuers. The secondary market for senior and mezzanine loans has
experienced significant growth in recent years, however there can be no guarantee that such growth will
continue in the future. A decrease in the Market Value of the Portfolio would adversely affect the
amount of proceeds which could be realised upon liquidation of the Portfolio and ultimately the ability of
the Issuer to redeem the Class E Subordinated Notes pursuant to the right of optional redemption set
out in Condition 7(b)(i) (Optional Redemption Requirements). There can be no assurance that, upon
any such redemption, the proceeds realised would permit any payment on the Class E Subordinated
Notes after required payments are made in respect of the Rated Notes and to the other creditors of the
Issuer which rank in priority to the Holders of the Class E Subordinated Notes.
Subject to the provisions of the Security and Intercreditor Deed (including the subordination provisions
therein), pursuant to Condition 7(c) (Redemption at the Option of the Issuer), the Issuer may upon the
instructions of the Collateral Manager redeem any Rated Notes, in whole or in part, at the Redemption
Price on any Payment Date after the end of the relevant non-call period mentioned in Condition 20
provided that the Class B Notes may not be redeemed, nor may other payments of principal be made on
the Class B Notes, until all Outstanding Senior Indebtedness that is due and payable on such
Redemption Date under the Transaction Documents has been paid in full, the Class C Notes may not be
redeemed, nor may other payments of principal be made on the Class C Notes, until all Outstanding
Senior Indebtedness and Outstanding Class B Notes which are due and payable on such Redemption
Date under the Transaction Documents, as the case may be, have been paid in full and the Class D
Notes may not be redeemed, nor may other payments of principal be made on the Class D Notes, until
all Outstanding Senior Indebtedness, Outstanding Class B Notes and Outstanding Class C Notes which
are due and payable on such Redemption Date under the Transaction Documents, as the case may be,
have been paid in full.
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3.8 Future Ratings of the VF Notes and Rated Notes Not Assured and Limited in Scope
There is no assurance that a rating accorded to any of the VF Notes and Rated Notes will remain for
any given period of time or that a rating will not be lowered or withdrawn entirely by a Rating Agency if,
in its judgment, circumstances in the future so warrant. In the event that a rating initially assigned to any
of the VF Notes or Rated Notes is subsequently lowered for any reason, no person or entity is required
to provide any additional support or credit enhancement with respect to any such VF Notes or Notes and
the market value of such VF Notes or Notes is likely to be adversely affected.
3.9 Noteholders' Resolutions
The Trust Deed includes provisions for the passing of Resolutions (whether at a Noteholders' meeting
by way of vote or by Written Resolution) of the Noteholders in respect of (among any other matters)
amendments to the Conditions and/or the Transaction Documents. Such provisions include, among
other things, (i) quorum requirements for the holding of Noteholders' meetings and (ii) voting thresholds
required to pass Resolutions at such meetings (or through Written Resolutions). The quorum required
for a meeting of Noteholders (other than an adjourned meeting or a meeting of a particular Class) to
pass (A) an Ordinary Resolution is two or more persons holding or representing not less than 10 per
cent. and (B) an Extraordinary Resolution is two or more persons holding or representing not less than
(x) if there is a Majority Senior Holder at such time, 90 per cent. or (y) if there is no Majority Senior
Holder at such time, 66⅔ per cent., in each case of the aggregate Principal Amount Outstanding of each
Class of Notes. In both cases, the quorum is less at an adjourned meeting. The voting threshold at any
Noteholders' meeting in respect of (AA) an Ordinary Resolution of Noteholders is 50 per cent. and (BB)
an Extraordinary Resolution of all Noteholders is (xx) if there is a Majority Senior Holder at such time, 90
per cent. or (yy) if there is no Majority Senior Holder at such time, 66⅔ per cent., in each case of the
aggregate Principal Amount Outstanding of the Notes of each Class of those Notes represented at the
meeting. Accordingly, it is possible that, at any meeting of the Noteholders, an Ordinary Resolution or
an Extraordinary Resolution may be passed with less than 50 per cent. or 66⅔ per cent. of all the
Noteholders of each Class represented (see Condition 14 (Meetings of Noteholders, Modification,
Waiver and Substitution)).
3.10 Average Life and Prepayment Considerations
The Maturity Date of the VF Notes and the Rated Notes is 15 June 2013 and the Maturity Date of the
Class E Subordinated Notes is 15 June 2055 (subject, in each case, to adjustment for non-Business
Days in accordance with the Conditions), however, the principal of the Notes of each Class may be paid
in full prior to the applicable Maturity Date. Average life refers to the average amount of time that will
elapse from the date of issue of each Class of Notes until each Euro of the principal of such Note will be
repaid to the investor. In addition, the average life of each Class of Notes will be subject to any early
redemption of the Notes in accordance with the Conditions.
The average lives of each Class of Notes will be determined by the amount and frequency of principal
payments thereon, which are dependent upon, among other things, the amount of payments received at
or in advance of the scheduled maturity of any Issuer Investments (whether through sale, maturity,
redemption, default or other liquidation or disposition) which may be applied in redemption of the Notes
and whether any redemptions of the Notes occur pursuant to a mandatory redemption event. The
actual average lives and actual maturities of the Notes will be affected by the financial condition of the
obligors under the underlying Issuer Investments and the characteristics of such obligations, including
the existence and frequency of exercise of any optional or mandatory redemption features, the
prevailing level of interest rates, the redemption price, the actual default rate, the actual level of
recoveries on any defaulted obligations and the timing of defaults and recoveries and the frequency of
tender or exchange offers for such Issuer Investments. The Issuer Investments are generally expected
to be subject to optional redemption or prepayment by the obligor thereunder. Dispositions of any
Issuer Investments may change the composition and characteristics of the Issuer Investments
comprising Collateral from time to time and the rate of payment thereon and, accordingly, may affect the
actual average lives of the Notes. The rate and timing of future defaults and the amount and timing of
any cash realisation from any Issuer Investments also will affect the maturity and average lives of the
Notes as will the ability and discretion of the Collateral Manager, on behalf of the Issuer, to dispose of or
make investments in Issuer Investments.
3.11 Control by Controlling Class
The Controlling Class may generally direct the time, method and place of conducting any proceeding for
any remedy available to the Security Trustee or exercising any trust or power conferred on the Security
Trustee under the Security and Intercreditor Deed. While the Class A Notes are Outstanding, the
Controlling Class will generally consist of the Holders of the VF Notes, the Holders of the Class A Notes
and the counterparties under any Secured Hedging Transactions to the extent that they have claims
against the Issuer. As noted above however, the Holders of Class A Notes (or, as the case may be, any
other Senior Outstanding Class) may nevertheless not be in a position to determine the outcome of a
Controlling Class decision.
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3.12 Volatility of the Class E Subordinated Notes
The Class E Subordinated Notes represent an investment in the underlying Issuer Investments with a
greater degree of leveraging than that of the other Notes. Accordingly, it is expected that changes in the
market value of the Class E Subordinated Notes will be greater than changes in the Market Value of the
underlying Issuer Investments, which themselves are subject to credit, liquidity, interest rate and other
risks. Utilisation of leverage is a speculative investment technique and involves certain risks to investors
and will generally magnify the Class E Subordinated Noteholders' opportunities for gain and risk of loss.
3.13 Net Proceeds less than Aggregate Amount of the Notes
It is anticipated that the proceeds received by the Issuer on the Closing Date from the issuance of the
VF Notes and Notes, net of certain fees and expenses, will be less than the aggregate Principal Amount
Outstanding of the VF Notes and Notes. Consequently, it is anticipated that on the Closing Date the
proceeds arising from the sale of the Collateral would be insufficient to redeem all of the VF Notes the
Notes at or above par upon the occurrence of an Event of Default on or about that date.
3.14 Projections, Forecasts and Estimates
Estimates of the weighted average lives of the VF Notes and the Notes, together with any other
projections, forecasts and estimates provided to prospective purchasers of the VF Notes and the Notes,
are forward looking statements. Projections are necessarily speculative in nature, and it can be
expected that some or all of the assumptions underlying the projections will not materialise or will vary
significantly from actual results. Accordingly, the projections are only an estimate. Actual results may
vary from the projections, and the variations may be material.
Some important factors that could cause actual results to differ materially from those in any forward
looking statements include changes in interest rates, market, financial or legal uncertainties, the timing
of acquisitions of the Issuer Investments, differences in the actual allocation of the Portfolio among
Asset Categories from those assumed and the effectiveness of any Secured Hedging Transactions,
among others.
None of the Issuer, the Placement Agent, the Collateral Manager, the Collateral Administrator, the
Trustee, any Secured Hedging Counterparty, the Custodian, the Agents or any of their respective
Affiliates has any obligation to update or otherwise revise any projections, including any revisions to
reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect
the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition.
3.15 Certain ERISA Considerations
The VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes may,
subject to certain restrictions described herein, be sold or transferred to Plans (as defined herein). The
Class E Subordinated Notes appear to constitute indebtedness having substantial equity features for the
purposes of the Plan Assets Regulation (as defined herein) and therefore may not be acquired by
Benefit Plan Investors (as defined herein) that are subject to Title I of ERISA or to Section 4975 of the
Code or Similar Laws (as defined herein). However, if the assets of the Issuer were deemed to be plan
assets of such a plan the Issuer would be subject to certain fiduciary obligations under ERISA, and
certain transactions that the Issuer or the Collateral Manager, on behalf of the Issuer, might enter into,
or may have entered into, in the ordinary course of business might constitute or result in non-exempt
prohibited transactions under ERISA or Section 4975 of the Code and might have to be rescinded.
See the sections of this Offering Circular headed "Certain ERISA Considerations" and "Transfer
Restrictions" for a more detailed discussion of certain ERISA, Code and related considerations with
respect to an investment in the Notes.
3.16 Further Issuances of Non-Fungible VF Notes and Notes
Prospective purchasers of VF Notes should be aware that, in addition to any issuance of VF Notes
which are fungible with the VF Notes, the Issuer may from time to time during the life of the VF Notes
(but subject to certain restrictions) issue further VF Notes which rank pari passu in right of payment with,
and which comprise the same class as, the VF Notes but which have different terms (including
maturities) to the VF Notes and which are not fungible therewith ("Further Non-Fungible VF Notes").
Accordingly, notwithstanding that the Holders of the VF Notes and the Holders of Further Non-Fungible
VF Notes may have differing or competing economic interests (in particular if any Further Non-Fungible
VF Notes were to have maturities shorter than that of the VF Notes), any Resolutions passed, or actions
taken, by the Holders of VF Notes and the Further Non-Fungible VF Notes as a class will bind the
VF Noteholders and Holders of Further Non-Fungible VF Notes equally. Prospective purchasers of
VF Notes should also be aware that, in addition to any issuance of VF Notes which are fungible or nonfungible
(as the case may be) with the VF Notes then Outstanding, the Issuer may from time to time
during the life of the VF Notes (but subject to certain restrictions) issue further Class A Notes which rank
pari passu in right of payment with the VF Notes.
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Prospective purchasers of Class A Notes should be aware that, in addition to any issuance of Notes
which are fungible with the Class A Notes, the Issuer may from time to time during the life of the Class A
Notes (but subject to certain restrictions) issue further Notes which rank pari passu in right of payment
with, and which comprise the same Class as, the Class A Notes but which have different terms
(including maturities) to the Class A Notes and which are not fungible therewith ("Further Non-Fungible
Class A Notes"). Accordingly, notwithstanding that the Holders of the Class A Notes and the Holders of
Further Non-Fungible Class A Notes may have differing and/or competing economic interests (in
particular if any Further Non-Fungible Class A Notes were to have maturities shorter than that of the
Class A Notes), any Resolutions passed, or actions taken, by the Class comprising the Class A Notes
and the Further Non-Fungible Class A Notes as a Class will bind the Class A Noteholders and Holders
of Further Non-Fungible Class A Notes equally. Prospective purchasers of Class A Notes should also be
aware that, in addition to any issuance of Class A Notes which are fungible or non-fungible (as the case
may be) with the Class A Notes then Outstanding, the Issuer may from time to time during the life of the
Class A Notes (but subject to certain restrictions) issue further VF Notes which rank pari passu in right
of payment with the Class A Notes.
Prospective purchasers of Class B Notes should be aware that, in addition to any issuance of Notes
which are fungible with the Class B Notes, the Issuer may from time to time during the life of the Class B
Notes (but subject to certain restrictions) issue further Notes which rank pari passu in right of payment
with, and which comprise the same Class as, the Class B Notes but which have different terms
(including maturities) to the Class B Notes and which are not fungible therewith ("Further Non-Fungible
Class B Notes"). Accordingly, notwithstanding that the Holders of the Class B Notes and the Holders of
Further Non-Fungible Class B Notes may have differing and/or competing economic interests (in
particular if any Further Non-Fungible Class B Notes were to have maturities shorter than that of the
Class B Notes), any Resolutions passed, or actions taken, by the Class comprising the Class B Notes
and the Further Non-Fungible Class B Notes as a Class will bind the Class B Noteholders and Holders
of Further Non-Fungible Class B Notes equally.
Prospective purchasers of Class C Notes should be aware that, in addition to any issuance of Notes
which are fungible with the Class C Notes, the Issuer may from time to time during the life of the Class C
Notes (but subject to certain restrictions) issue further Notes which rank pari passu in right of payment
with, and which comprise the same Class as, the Class C Notes but which have different terms
(including maturities) to the Class C Notes and which are not fungible therewith ("Further Non-Fungible
Class C Notes"). Accordingly, notwithstanding that the Holders of the Class C Notes and the Holders of
Further Non-Fungible Class C Notes may have differing and/or competing economic interests (in
particular if any Further Non-Fungible Class C Notes were to have maturities shorter than that of the
Class C Notes), any Resolutions passed, or actions taken, by the Class comprising the Class C Notes
and the Further Non-Fungible Class C Notes as a Class will bind the Class C Noteholders and Holders
of Further Non-Fungible Class C Notes equally.
Prospective purchasers of Class D Notes should be aware that, in addition to any issuance of Notes
which are fungible with the Class D Notes, the Issuer may from time to time during the life of the Class D
Notes (but subject to certain restrictions) issue further Notes which rank pari passu in right of payment
with, and which comprise the same Class as, the Class D Notes but which have different terms
(including maturities) to the Class D Notes and which are not fungible therewith ("Further Non-Fungible
Class D Notes"). Accordingly, notwithstanding that the Holders of the Class D Notes and the Holders of
Further Non-Fungible Class D Notes may have differing and/or competing economic interests (in
particular if any Further Non-Fungible Class D Notes were to have maturities shorter than that of the
Class D Notes), any Resolutions passed, or actions taken, by the Class comprising the Class D Notes
and the Further Non-Fungible Class D Notes as a Class will bind the Class D Noteholders and Holders
of Further Non-Fungible Class D Notes equally.
Prospective purchasers of Class E Subordinated Notes should be aware that, in addition to any
issuance of Notes which are fungible with the Class E Subordinated Notes, the Issuer may from time to
time during the life of the Class E Subordinated Notes (but subject to certain restrictions) issue further
Notes which rank pari passu in right of payment with, and which comprise the same Class as, the
Class E Subordinated Notes but which have different terms (including redemption rights and rights to
receive Additional Interest) to the Class E Subordinated Notes and which are not fungible therewith
("Further Non-Fungible Class E Subordinated Notes"). Accordingly, notwithstanding that the Holders
of the Class E Subordinated Notes and the Holders of Further Non-Fungible Class E Subordinated
Notes may have differing and/or competing economic interests (in particular if any Further Non-Fungible
Class E Subordinated Notes were to have differing redemption rights or rights to Additional Interest),
any Resolutions passed, or actions taken, by the Class comprising the Class E Subordinated Notes and
the Further Non-Fungible Class E Subordinated Notes as a Class will bind the Class E Subordinated
Noteholders and Holders of Further Non-Fungible Class E Subordinated Notes equally.
In relation to the above see Condition 17 (Further Issues), the section of this Offering Circular headed
"Description of the Master Trust Deed Note Issuance Procedure", the section of this Offering Circular
headed "Description of the Security and Intercreditor Deed – Further Notes or VF Notes" and the
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sections of these Risk Factors headed "1.7 Removal of Credit Enhancement" and "3.4 Subordination
through Conflicts between Classes".
3.17 Split Redemptions on Class E Subordinated Notes
In the event that any Class E Subordinated Notes are redeemed prior to their maturity, up to 15 per
cent. of the Principal Amount Outstanding of the Class E Subordinated Notes comprising the relevant
Permitted Redemption Amount in respect of which any Holder is entitled to redemption may be withheld
for up to 18 months following the applicable Optional Redemption Date at the option of the Collateral
Manager. Such holding will take the form of Delayed Redemption Notes and may be redeemed on any
Payment Date during such 18-month period on notice from the Issuer. Delayed Redemption Notes will
cease to be fungible with any other Class E Subordinated Notes (other than equivalent Delayed
Redemption Notes). Accordingly, relevant Class E Subordinated Noteholders may not receive 100 per
cent. of their entitlement on the relevant Optional Redemption Date, may lose any secondary market
liquidity in that element of their holding represented by Delayed Redemption Notes and will have no
control over the Payment Date on which Delayed Redemption Notes may be redeemed in the applicable
18-month period. Further, the amount of Class E Subordinated Notes that may be redeemed on any
Optional Redemption Date is limited (see Condition 7(b) (Optional Redemption)).
3.18 Forfeiture of Partially Paid Class E Subordinated Notes
The Class E Subordinated Notes may be issued partially paid subject to the right of the Issuer to
demand up to fifty further partial instalments prior to the Class E Commitment Termination Date in total
up to the principal amount of the Class E Subordinated Notes. In the event that they are so issued,
such a demand is made and a Class E Subordinated Noteholder fails to make such payment, such
Class E Subordinated Noteholder shall forfeit 1 per cent. of the Principal Amount Outstanding of the
amount previously paid up in respect of the relevant Class E Subordinated Notes with effect from the
Class E Partial Instalment Payment Date on which such payment was due, no further Class E Partial
Instalment Payments shall be requested from such Class E Subordinated Noteholder by or on behalf of
the Issuer thereafter and such Class E Subordinated Noteholder shall forfeit the right to make any
further Class E Partial Instalment Payments.
4. CERTAIN CONFLICTS OF INTEREST
With respect to the VF Notes and the Notes, conflicts of interest may arise as a result of various factors
involving the Collateral Manager, the Placement Agent, the Collateral Administrator, the Trustee, their
Affiliates and others. The following briefly summarises some of these conflicts, but is not intended to be
an exhaustive list of all such potential conflicts.
Various potential and actual conflicts of interest may arise from the overall investment and other
activities of the Collateral Manager, its Affiliates and their respective clients and from the conduct by the
Placement Agent and its Affiliates of other transactions with the Issuer, including, without limitation,
acting as counterparty with respect to Secured Hedging Transactions, Participations and Synthetic
Securities or as party to or in connection with the investment of any funds in Cash or Cash Equivalents.
As further described below, the services of the Collateral Manager and its Affiliates are not exclusive to
the Issuer and the Collateral Manager and its Affiliates may provide similar services to others.
The Collateral Manager and/or its Affiliates and its clients may invest in securities that would be
appropriate as security for the VF Notes and Notes. Such investments may be different from those
made on behalf of the Issuer. The Collateral Manager and its Affiliates may also have ongoing
relationships with, render services to or engage in transactions with, companies whose securities are
pledged to secure the VF Notes and Notes and may own equity or debt securities issued by obligors on
Issuer Investments. As a result, officers or Affiliates of the Collateral Manager may possess information
relating to issuers of Issuer Investments which is not known to the individuals at the Collateral Manager
responsible for monitoring the Issuer Investments and performing the other obligations under the
Collateral Management Agreement. In addition, Affiliates and clients of the Collateral Manager may
invest in loans and securities that are senior to, or have interests different from or adverse to, the Issuer
Investments that are pledged to secure the VF Notes and Notes. The Collateral Manager and/or its
Affiliates may at certain times be simultaneously seeking to purchase or dispose of investments for its or
their own account, for the Issuer, for any similar entity for which it serves as manager or adviser and for
its clients or Affiliates. It is intended that all Issuer Investments will be purchased and sold by the Issuer
on terms prevailing in the market. Neither the Collateral Manager nor any of its Affiliates is under any
obligation to offer investment opportunities of which they have become aware to the Issuer or to account
to the Issuer for (or share with the Issuer or inform the Issuer of) any such transaction or any benefit
received by them from any such transaction. Furthermore, the Collateral Manager and/or its Affiliates
may make an investment on behalf of any account that they manage or advise without offering the
investment opportunity to, or making any investment on behalf of, the Issuer. The Collateral Manager
and/or its Affiliates have no affirmative obligation to offer any investments to the Issuer or to inform the
Issuer of any investments before offering any investments to other funds or accounts that the Collateral
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Manager and/or its Affiliates manage or advise. Furthermore, Affiliates of the Collateral Manager may
make an investment on their own behalf without offering the investment opportunity to, or the Collateral
Manager making any investment on behalf of, the Issuer. Affirmative obligations may exist or may arise
in the future, whereby Affiliates of the Collateral Manager are obliged to offer certain investments to
funds or accounts that such Affiliates manage or advise before or without the Collateral Manager
offering those investments to the Issuer. Affiliates of the Collateral Manager have no affirmative
obligation to offer any investments to the Issuer or to inform the Issuer of any investments before
engaging in any investments for themselves. The Collateral Manager will endeavour to resolve conflicts
with respect to investment opportunities in a manner which it deems equitable to the extent possible
under the prevailing facts and circumstances. Although the professional staff of the Collateral Manager
will devote as much time to the Issuer as the Collateral Manager deems appropriate to perform its duties
in accordance with the Collateral Management Agreement, those staff may have conflicts in allocating
their time and services among the Issuer and the Collateral Manager's other accounts.
On the Initial Closing Date, the Collateral Manager or one or more of its Affiliates intend to purchase
approximately €216.75 million of the Initial Issuance Notes.
In the event of the termination of the appointment of the Collateral Manager, the Issuer shall appoint any
substitute Collateral Manager that satisfies certain tests and is proposed by the Holders of 50 per cent.
or more in Principal Amount Outstanding of the Class E Subordinated Notes provided that the
Controlling Class Agent (at the direction of the Controlling Class) does not reject the appointment of
such substitute Collateral Manager within 30 days of such appointment and provided further that if the
Collateral Manager, any of its Affiliates or any funds in respect of which the Collateral Manager or its
Affiliates then exercise voting control, hold 50 per cent. or more in Principal Amount Outstanding of the
Class E Subordinated Notes, the Controlling Class Agent shall have the right to elect a substitute
Collateral Manager of its own choosing.
Any Notes held by or on behalf of the Collateral Manager and/or its Affiliates and/or any partners,
managing members, advisors, directors, officers or employees of the Collateral Manager or its Affiliates
will have voting rights with respect to any vote (or written direction or consent) in connection with the
removal of the Collateral Manager and will be deemed to be Outstanding in connection with any such
vote.
Investors should be aware that Affiliates of the Collateral Manager which hold Notes will have voting
rights with respect to any vote (or written direction or consent) in connection with the removal of the
Collateral Manager. In the event that any such vote were to occur, the Affiliates of the Collateral
Manager may not vote in the same way as a Noteholder which had no such connection with the
Collateral Manager, resulting in the Collateral Manager continuing to act in such capacity following such
a vote in circumstances where, had the Affiliates not been permitted to vote, it may have been removed.
The Collateral Manager, on behalf of the Issuer, may conduct principal trades with itself and its Affiliates,
subject to applicable law. The Collateral Manager may also effect client cross transactions where the
Collateral Manager causes a transaction to be effected between the Issuer and another account
managed by the Collateral Manager or any of its Affiliates. Client cross transactions enable the
Collateral Manager to purchase or sell a block of securities for the Issuer at a set price and possibly
avoid an unfavourable price movement that may be created through entrance into the market with such
purchase or sell order. In addition, without the prior authorisation of the Issuer, the Collateral Manager
may enter into agency cross transactions where any of its Affiliates acts as broker for the Issuer and for
the other party to the transaction, in which case any such Affiliate will receive commissions from, and
have a potentially conflicting division of loyalties and responsibilities towards both parties to the
transaction. Prior to closing, the Issuer acquired approximately €217 million of predominantly senior
secured loans from an affiliate of the Collateral Manager. The assets were sold at the bid price provided
by Mark-it Partners Limited (formerly LoanX) and the Collateral Manager acted as advisor to both
parties.
It is expected that the Placement Agent or its Affiliates will have, respectively, underwritten or placed
certain of the Issuer Investments at original issuance, will own equity or other securities of obligors
under Issuer Investments and will have provided investment banking services, advisory, banking and
other services to issuers of Issuer Investments. In addition, the Collateral Manager and/or its Affiliates
may own equity or other securities of obligors under Issuer Investments and may have provided
investment management and other services to issuers of Issuer Investments. From time to time, the
Collateral Manager may, on behalf of the Issuer, purchase or sell Issuer Investments through the
Placement Agent or its Affiliates. The Issuer may invest in the securities of companies affiliated with the
Placement Agent, the Collateral Manager or their respective Affiliates or companies in which the
Placement Agent, the Collateral Manager or their respective Affiliates have an equity or participation
interest. The purchase, holding and sale of such investments by the Issuer may enhance the
profitability of the Placement Agent's, the Collateral Manager's or their Affiliates' own investments in
such companies. In addition, it is expected that the Placement Agent or one or more Affiliates thereof
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may also act as counterparty with respect to one or more Synthetic Securities or Participations or act as
Secured Hedging Counterparty with respect to one or more Secured Hedging Transactions.
It is also possible that one or more Affiliates of the Collateral Manager may also act as counterparty with
respect to one or more Synthetic Securities, Participations or Secured Hedging Transactions. This may
result in a conflict of interest between the Collateral Manager in its role as such and any Affiliate thereof
acting as a counterparty under one or more such instruments as a result of the Collateral Manager's
position as manager on behalf of the Issuer in respect of such instruments and the authority delegated
to it to take action on the Issuer's behalf in respect of such instruments.
There is no limitation or restriction on the Collateral Manager, the Placement Agent or any of their
respective Affiliates with regard to acting as Collateral Manager (or in a similar role) to other parties or
persons. This and other future activities of the Collateral Manager, the Placement Agent and/or their
Affiliates may give rise to additional conflicts of interest.
5. INVESTMENT COMPANY ACT
The Issuer has not registered with the United States Securities and Exchange Commission (the "SEC")
as an investment company pursuant to the Investment Company Act, in reliance on an exemption under
Section 3(c)(7) under the Investment Company Act for investment companies (a) whose outstanding
securities are beneficially owned only by "qualified purchasers" (within the meaning given to such term
in the Investment Company Act and the regulations of the SEC thereunder) and certain transferees
thereof identified in Rule 3(c)(6) under the Investment Company Act and (b) which do not make a public
offering of their securities in the United States.
If the SEC or a court of competent jurisdiction were to find that the Issuer is required, but in violation of
the Investment Company Act had failed, to register as an investment company, possible consequences
include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the
violation, (ii) investors in the Issuer could sue the Issuer and seek recovery of any damages caused by
the violation and (iii) any contract to which the Issuer is party that is made in, or whose performance
involves a, violation of the Investment Company Act would be unenforceable in the United States by any
party to the contract unless a court in the United States were to find that under the circumstances
enforcement would produce a more equitable result than non-enforcement and would not be
inconsistent with the purposes of the Investment Company Act. Should the Issuer be subjected to any
or all of the foregoing, the Issuer could be materially and adversely affected.
Each initial purchaser of an interest in a Rule 144A Note and each transferee of an interest in a
Rule 144A Note will be deemed to represent at the time of purchase that, amongst other things, the
purchaser is a QIB/Qualifying Purchaser.
The Trust Deed provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer
determines that any holder of an interest in a Rule 144A Note is a U.S. Person that is not a
QIB/Qualifying Purchaser at the time it acquires an interest in a Rule 144A Note (any such person, a
“Non-Permitted Holder”), the Issuer shall, promptly after discovery that such person is a Non-Permitted
Holder by the Issuer or the Trustee (and notice by the Trustee to the Issuer, if the Trustee makes the
discovery), send notice to such Non-Permitted Holder demanding that such Non-Permitted Holder
transfer its interest to a person that is not a Non-Permitted Holder within 30 days of the date of such
notice. If such Non-Permitted Holder fails to effect the transfer required within such 30-day period,
(a) upon direction from the Issuer or the Collateral Manager on its behalf, such Non-Permitted Holder, at
the expense of the Issuer, shall cause such beneficial interest to be transferred in a commercially
reasonable sale to a person or entity that certifies to the Trustee and the Issuer, in connection with such
transfer, that such person or entity either is not a U.S. Person or is a QIB/Qualifying Purchaser and (b)
pending such transfer, no further payments will be made in respect of such beneficial interest.
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TERMS AND CONDITIONS
The following (excluding sections of text in italics appearing between any of the same) are the terms and
conditions of each of the Specified Notes, substantially in the form in which they will be endorsed on such
Specified Notes if issued in Definitive Note form, which will be incorporated by reference into the Global Notes of
each Class representing the Notes, subject to the provisions of such Global Notes, some of which will modify the
effect of these Conditions. See the section of this Offering Circular headed "Form of the VF Notes and the
Notes".
The issue of the Specified Notes of Rockall CLO B.V. (the "Issuer" which term shall include any successor
thereto or substitute therefor) was authorised by resolution of the Board of Managing Directors of the Issuer
dated 20 June 2006. The Specified Notes are constituted by a trust instrument dated the Closing Date (as
amended or supplemented from time to time, the "Relevant Trust Instrument") pursuant to a master trust deed
dated the Initial Closing Date (as amended from time to time, the "Master Trust Deed" and together with the
Relevant Trust Instrument and the other Trust Instruments, the "Trust Deed") in each case between (amongst
others) the Issuer and ABN AMRO Trustees Limited, in its capacity as trustee (the "Trustee", which expression
shall include any successor and all persons for the time being the trustee or trustees under the Trust Deed) for
the Noteholders from time to time.
These Conditions include summaries of, and are subject to, the detailed provisions of the Trust Deed (which
includes the forms of the certificates representing the Specified Notes). The following agreements, amongst
others, will be, or have been, entered into in relation to the Notes: (a) an agency agreement dated on or about
the Initial Closing Date (as amended from time to time, the "Agency Agreement") between, amongst others, the
Issuer, LaSalle Bank National Association as registrar (in such capacity, the “Registrar”, which term shall include
any successor or substitute registrar appointed pursuant to the terms of the Agency Agreement), NCB
Stockbrokers Limited as the Irish paying agent (the "Irish Paying Agent", which term shall include any successor
thereto or substitute therefor appointed pursuant to the terms of the Agency Agreement) and each of ABN AMRO
Bank N.V. (London Branch) as the initial transfer agents and together with the Registrar, (the "Transfer
Agents"), ABN AMRO Bank N.V. (London Branch) as principal paying agent, calculation agent and custodian
(respectively, the "Principal Paying Agent" and, together with the Irish Paying Agent, the "Paying Agents", the
"Calculation Agent" and the "Custodian", which terms shall include any successor thereto or substitute therefor,
appointed pursuant to the terms of the Agency Agreement) and the Trustee, (b) a Collateral Management
Agreement dated on or about the Initial Closing Date (as amended from time to time, the "Collateral
Management Agreement") between Babson Capital Europe Limited (the "Collateral Manager", which term shall
include any successor thereto or substitute therefor appointed pursuant to the terms of the Collateral
Management Agreement) as manager of the portfolio of Issuer Investments (as defined in the Market Valuation
Manual), the Issuer, ABN AMRO Bank N.V. (London Branch) as collateral administrator (the "Collateral
Administrator", which term shall include any successor thereto or substitute therefor appointed pursuant to the
terms of the Collateral Administration Agreement) and the Trustee, (c) a collateral administration agreement
dated on or about the Initial Closing Date (as amended from time to time, the "Collateral Administration
Agreement") between the Collateral Administrator, the Issuer, the Trustee and the Collateral Manager, (d)
certain Secured Hedging Agreements (as defined in Condition 1 (Definitions)) each between the Issuer and a
Secured Hedging Counterparty, (e) the security and intercreditor deed dated on or about the Initial Closing Date
(as amended from time to time, the "Security and Intercreditor Deed") between, amongst others, the Trustee in
its capacity as Security Trustee (the "Security Trustee", which term shall include any successor thereto or
substitute therefor appointed pursuant to the terms of the Security and Intercreditor Deed) and the Issuer, (f) a
management agreement dated on or about the Initial Closing Date (as amended from time to time, the
"Management Agreement") between the Issuer and the Managing Directors, which term shall include any
successor thereto or substitute therefor appointed pursuant to the terms of the Management Agreement, and (g)
the Pledge Agreement (as defined in Condition 1 (Definitions)). Copies of the Trust Deed, the Agency
Agreement, the Collateral Management Agreement, the Deposit Agreement, the Collateral Administration
Agreement, the Security and Intercreditor Deed, each Secured Hedging Agreement, the Management Agreement
and the Pledge Agreement are available for inspection during usual business hours at the principal office of the
Trustee (presently at 82 Bishopsgate, London EC2N 4BN, England) and at the Specified Offices of the Transfer
Agents for the time being. The Holders of each Class of Notes are entitled to the benefit of, are bound by and
are deemed to have notice of all the provisions of, the Security and Intercreditor Deed, the Master Trust Deed
and the Trust Instrument pursuant to which their Notes are issued and are deemed to have notice of all the
provisions of the Agency Agreement, the Collateral Management Agreement, the Collateral Administration
Agreement and the other Transaction Documents applicable to them.
1. Definitions
(a)
In these terms and conditions, capitalised terms not defined below have the meanings given to them in
the Market Valuation Manual and the following definitions apply throughout these terms and
conditions unless the context requires otherwise:
"Acceleration Notice" has the meaning given thereto in the Security and Intercreditor Deed.
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"Account-Holding Bank" means (a) in respect of the Paying Agent Account, the Principal Paying Agent
and (b) in respect of the Principal Custody Account and the Interest Custody Account, the Custodian.
"Accounts" means the Interest Custody Account(s), the Principal Custody Account(s), the Collection
Account and the Paying Agent Account and any other accounts established by the Issuer pursuant to
the Agency Agreement from time to time.
"Additional Interest" in respect of the Class E Subordinated Notes means amounts available for
disbursement as additional interest paid in accordance with Condition 3(c) (Payment of Amounts),
Condition 3(d) (Restricted Payments) and Condition 6 (Interest), as specified as such in Condition 20
(Specific Conditions) applicable thereto.
"Administrative Expenses" means the Issuer Fee together with amounts due and payable by the
Issuer to:
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
(k)
the independent accountants, agents and counsel of the Issuer, including amounts payable to
the Agents each pursuant to the Agency Agreement or, as the case may be, the relevant Trust
Instrument;
any Rating Agency in respect of the monitoring or surveillance of any VF Notes and Rated
Notes as the case may be or a confidential credit estimate in relation to any of the Issuer
Investments for fees and expenses in connection with any such monitoring, surveillance or
confidential credit estimate;
the Managing Directors pursuant to the Management Agreement;
the Collateral Manager pursuant to the Collateral Management Agreement (but excluding any
Collateral Management Fees and any VAT payable in respect thereof);
the Collateral Administrator pursuant to the Collateral Administration Agreement;
the Irish Stock Exchange;
any other person in respect of any governmental fee or charge (other than, for the avoidance of
doubt, taxes and statutory fees);
any other person in respect of any other fees or expenses permitted under these
Conditions and/or the Transaction Documents;
the Representatives and the Security Trustee in respect of services rendered by the same
pursuant to the Intercreditor Arrangements;
the Placement Agent, pursuant to each Dealer Fee Letter and
the payments of any applicable VAT required to be paid by the Issuer in respect of the
foregoing,
provided, however, that Administrative Expenses shall not include Trustee Fees and Expenses or
amounts due or accrued with respect to the actions taken on or in connection with any Closing Date
which are payable out of the proceeds of issue of the Notes on such Closing Date.
"Affiliate" or "Affiliated" means, in relation to any person, any other person who, directly or indirectly, is
in control of, or controlled by, or is under common control with, such person (and, for the purposes of
this definition, "control" of a person means the power, direct or indirect, (i) to vote more than 50 per
cent. of the securities having ordinary voting power for the election of directors of such person or (ii) to
direct or cause the direction of the management and policies of such person, whether by contract or
otherwise).
"Agent" means each of the Registrar, the Transfer Agents, the Representatives, the Principal Paying
Agent, the Calculation Agent, any VFN Agent and the Custodian and each of their permitted successors
and assignees.
"Amendment Buy-Out" has the meaning given thereto in Condition 14(c) (Modification and Waiver).
“Amendment Buy-Out Purchase Price” means (i) in respect of the Notes, the Redemption Price and
(ii) in respect of the VF Notes, repayment of any Advance plus accrued interest or such other amount as
may be agreed between the Noteholders, VF Noteholders and Amendment Buy-Out Purchasers, from
time to time.
“Amendment Buy-Out Purchaser” means the Collateral Manager (or any of its Affiliates acting as
principal or agent); provided that in the event that the Collateral Manager elects not to purchase
VF Notes or Notes from Holders pursuant to an Amendment Buy-Out, “Amendment Buy-Out Purchaser”
shall mean one or more qualifying purchasers (which may include the Placement Agent) or any of its
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Affiliates acting as principal or agent designated by the Collateral Manager; provided, however, none of
the Collateral Manager, the Placement Agent or any of their respective Affiliates shall have any duty to
act as an Amendment Buy-Out Purchaser.
"Applicable Currency Amendments" means, in relation to any Notes denominated in a currency other
than Euro such consequential amendments to the Base Conditions as are required to permit the
issuance of such Notes in such currency, provided that such amendments shall not prejudice the rights
of the Holders of any other Class of Notes Outstanding as at the date of such issuance.
"Associated Mandatory Redemption Class" has the meaning given thereto in Condition 7(e)(iii)
(Mandatory Redemption of Interest-Bearing Notes on Optional Redemption of Class E Subordinated
Notes).
"Authorised Denomination" means, in respect of any Note, the Minimum Denomination and any
denomination equal to one or more multiples of the Authorised Integral Amount in excess of the
Minimum Denomination.
"Authorised Integral Amount" means €1,000.
"Base Conditions" means Conditions 1 (Definitions) to 19 (Governing Law) inclusive.
"Blocked Junior Note Interest" means any payment of interest which is due to be paid on any Class of
Junior Interest-Bearing Notes but is not paid by virtue of the existence of a Blockage Period.
"Blockage Period" means a Senior Blockage Period, a Class B Notes Blockage Period, a Class C
Notes Blockage Period or a Class D Notes Blockage Period , as applicable.
"Business Day" means (save to the extent otherwise defined) a day:
(a)
(b)
(c)
on which the TARGET System is open;
on which commercial banks and foreign exchange markets settle payments in London (other
than a Saturday, Sunday or public holiday); and
for the purposes of the definition of Presentation Date, on which commercial banks and foreign
exchange markets settle payments in the place where the Holder presents or is entitled to
present a Note for payment.
"Class" means each or any class of Notes, being the Class A Notes, the Class B Notes, the Class C
Notes, the Class D Notes and the Class E Subordinated Notes whether or not issued pursuant to the
same Trust Instrument and whether or not the same are fungible with other Notes of the same class at
any given time and "Class of Noteholders" and "Class of Notes" shall be construed accordingly.
"Class A Noteholders" means the Holders of any Class A Notes from time to time.
"Class A Notes" means the Initial Issuance Notes and any other Class A Notes issued pursuant to the
Master Trust Deed which are designated as comprising "Senior Indebtedness" for the purposes of the
Security and Intercreditor Deed.
"Class B Noteholders" means the Holders of any Class B Notes from time to time.
"Class B Notes" means the Initial Issuance Class B Notes and any other Notes issued pursuant to the
Master Trust Deed which are designated as “Class B Notes”.
"Class B Notes Blockage Notice" has the meaning given thereto in Condition 3(h)(ii) (Blockage
Periods).
"Class B Notes Blockage Period" means the period commencing on the date of service of a Class B
Notes Blockage Notice and ending on the earliest of (a) 180 days after the date of such service, (b) the
date on which the default referred to in the definition of Class B Notes Blockage Trigger Event shall be
cured or otherwise waived, (c) the date on which the Representative of the Secured Creditors (at the
direction of the Controlling Class) shall otherwise give notice to the Issuer of the termination of the
Class B Notes Blockage Period and (d) the Class B Notes Discharge Date.
"Class B Notes Blockage Trigger Event" means the occurrence of a Trigger Event with respect to any
Class B Notes.
"Class B Notes Discharge Date" means the date on which all Class B Notes been fully discharged and
all commitments of the Class B Noteholders to the Issuer have been terminated or cancelled in
accordance with the Transaction Documents.
"Class B Notes Payment Default" means a Payment Default with respect to any Class B Notes.
"Class C Noteholders" means the Holders of any Class C Notes from time to time.
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"Class C Notes" means the Initial Issuance Class C Notes and any other Notes issued pursuant to the
Master Trust Deed which are designated as “Class C Notes”.
"Class C Notes Blockage Notice" has the meaning given thereto in Condition 3(h)(iii) (Blockage
Periods).
"Class C Notes Blockage Period" means the period commencing on the date of service of a Class C
Notes Blockage Notice and ending on the earliest of (a) 180 days after the date of such service, (b) the
date on which the default referred to in the definition of Class C Notes Blockage Trigger Event shall be
cured or otherwise waived, (c) the date on which the Representative of the Secured Creditors (at the
direction of the Controlling Class) shall otherwise give notice to the Issuer of the termination of the
Class C Notes Blockage Period and (d) the Class C Notes Discharge Date.
"Class C Notes Blockage Trigger Event" means the occurrence of a Trigger Event with respect to any
Class C Notes.
"Class C Notes Discharge Date" means the date on which all Class C Notes have been fully
discharged and all commitments of the Class C Noteholders to the Issuer have been terminated or
cancelled in accordance with the Transaction Documents.
"Class C Notes Payment Default" means a Payment Default with respect to any Class C Notes.
"Class D Noteholders" means the Holders of any Class D Notes from time to time.
"Class D Notes" means the Initial Issuance Class D Notes and any other Notes issued pursuant to the
Master Trust Deed which are designated as “Class D Notes”.
"Class D Notes Blockage Notice" has the meaning given thereto in Condition 3(h)(iii) (Blockage
Periods).
"Class D Notes Blockage Trigger Event" means the occurrence of a Trigger Event with respect to any
Class D Notes.
"Class D Notes Discharge Date" means the date on which all Class D Notes have been fully
discharged and all commitments of the Class D Noteholders to the Issuer have been terminated or
cancelled in accordance with the Transaction Documents.
"Class D Notes Payment Default" means a Payment Default with respect to any Class D Notes.
"Class E Commitment" in relation to any Class E Subordinated Notes which are issued partially paid,
the commitment so specified in Condition 20 (Specific Conditions) applicable thereto.
"Class E Commitment Termination Date" means, in relation to any Class E Subordinated Notes, the
date specified as such in Condition 20 (Specific Conditions) applicable thereto.
"Class E Mandatory Redemption Date" has the meaning given thereto in Condition 7(e)(ii) (Mandatory
Class E Subordinated Note Redemptions for Liquidity Reasons).
"Class E Partial Instalment Payments" has the meaning given thereto in Condition 2(i) (Issue of
Partially Paid Class E Subordinated Notes) and each a "Class E Partial Instalment Payment".
"Class E Partial Payment Date" has the meaning given thereto in Condition 2(i) (Issue of Partially Paid
Class E Subordinated Notes).
"Class E Subordinated Noteholders" means the Holders of any Class E Subordinated Notes from time
to time.
"Class E Subordinated Note Maturity Date" means, in relation to any Class E Subordinated Notes 15
June 2055, or such other date as may be specified in Condition 20 (Specific Conditions) applicable
thereto.
"Class E Subordinated Notes" means the Initial Issuance Class E Subordinated Notes and any other
Class E Subordinated Notes issued pursuant to the Master Trust Deed.
"Class E Subordinated Notes Discharge Date" means the date on which all Class E Subordinated
Notes have been fully discharged and all commitments of the Class E Subordinated Noteholders to the
Issuer have been terminated or cancelled in accordance with the Transaction Documents.
"Clearing System" means any of Euroclear, Clearstream, Luxembourg and DTC, as the case may be,
and includes any additional or alternative clearing systems specified in Condition 20 (Specific
Conditions).
"Clearstream, Luxembourg" means Clearstream Banking, société anonyme.
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"Closing Date" means, with respect to any Notes, the date specified as such in Condition 20 (Specific
Conditions) applicable thereto.
"Collateral" means the property, assets, rights and benefits of the Issuer which are secured from time to
time for the benefit of the Secured Creditors pursuant to the Security Documents.
"Collateral Acquisition Agreements" means each of the agreements entered into by the Issuer in
relation to the purchase by the Issuer of Loans, High Yield Securities, Cash Equivalents and other
Issuer Investments from time to time.
“Collateral Management Fees” means the Management Fee and the Incentive Fee.
"Collateral Manager Advance" means an advance made by the Collateral Manager to the Issuer
pursuant to the Collateral Management Agreement.
“Collateral Manager Termination Right" has the meaning given thereto in Condition (4)(d) (Acquisition
and Sale of Issuer Investments and Termination of Collateral Manager Appointment by Class E
Subordinated Noteholders).
"Collateralisation Shortfall Amount" as of any Business Day, means an amount equal to any of: (a)
the excess, if any, of the Principal Amount Outstanding of Senior Indebtedness over the Senior Advance
Amount, (b) the excess, if any, of the sum of the Principal Amount Outstanding of Senior Indebtedness
and the Principal Amount Outstanding of the Class B Notes over the Class B Notes Advance Amount,
(c) the excess, if any, of the sum of the Principal Amount Outstanding of Senior Indebtedness, the
Principal Amount Outstanding of the Class B Notes and the Principal Amount Outstanding of the
Class C Notes over the Class C Notes Advance Amount and (d) the excess, if any, of the sum of the
Principal Amount Outstanding of Senior Indebtedness, the Principal Amount Outstanding of the Class B
Notes, the Principal Amount Outstanding of the Class C Notes and the Principal Amount Outstanding of
the Class D Notes over the Class D Notes Advance Amount in each case as of the close of business on
such Business Day, as applicable.
"Collateralisation Shortfall Date" means the first Business Day in any period of one or more
consecutive Business Days on each of which, as of the close of business, there is a Collateralisation
Shortfall Amount greater than zero.
"Collateralisation Shortfall Valuation Statement" has the meaning given thereto in Condition 5(c)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates).
"Commitment" means each Loan Commitment and each Note Commitment.
"Committed Unsettled Status" means, at any time, in respect of the acquisition or disposal of any
investment which will, on acquisition or disposal, respectively, comprise or cease to comprise Collateral,
that the Issuer has and is committed to honour the terms of such acquisition or disposal but that at such
time (i) payment has not been received by the relevant transferor (being the Issuer in the case of a
disposal) or (ii) the transferee (being the Issuer in the case of an acquisition) has not taken delivery and
acquired beneficial ownership of the same.
"Conditions" means these terms and conditions and/or those applicable to any other Notes, as the
context may require.
"Controlling Class" means:
(a)
(b)
if the Senior Discharge Date has not occurred (i) at any time prior to any Liquidation Direction
(x) the Holders of Senior Indebtedness and (y) the parties committed to fund the Unused
Senior Commitments at such time representing in aggregate (A) if there is at such time a
Majority Senior Holder, more than 90 per cent. of all Senior Indebtedness and Unused Senior
Commitments outstanding at such time or (B) if there is at such time no Majority Senior Holder,
more than 50 per cent. of all Senior Indebtedness and Unused Senior Commitments
outstanding at such time and (ii) on and after the date of a Liquidation Direction (and for
purposes of issuing or revoking a Liquidation Direction), the Holders of Senior Indebtedness
representing in aggregate (A) if there is at such time a Majority Senior Holder, more than 90
per cent. of all Senior Indebtedness outstanding at such time or (B) if there is at such time no
Majority Senior Holder, more than 50 per cent. of all Senior Indebtedness outstanding at such
time,
if the Senior Discharge Date has occurred but the Class B Notes Discharge Date has not
occurred (i) at any time prior to any Liquidation Direction (x) the Class B Noteholders and
(y) the parties committed to fund the Unused Class B Notes Commitments at such time
representing in aggregate more than 50 per cent. of all Class B Notes and Unused Class B
Notes Commitments outstanding at such time and (ii) on and after the date of a Liquidation
Direction (and for purposes of issuing or revoking a Liquidation Direction), the Class B
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(c)
(d)
(e)
(f)
Noteholders representing in aggregate more than 50 per cent. of all Class B Notes outstanding
at such time,
if the Senior Discharge Date and the Class B Notes Discharge Date have each occurred but
the Class C Notes Discharge Date has not occurred, (i) at any time prior to any Liquidation
Direction (x) the Class C Noteholders and (y) the parties committed to fund the Unused
Class C Notes Commitments at such time representing in aggregate more than 50 per cent. of
all Class C Notes and Unused Class C Notes Commitments outstanding at such time and
(ii) on and after the date of a Liquidation Direction (and for purposes of issuing or revoking a
Liquidation Direction), the Class C Noteholders representing in aggregate more than 50 per
cent. of all Class C Notes outstanding at such time,
if the Senior Discharge Date, the Class B Notes Discharge Date and the Class C Notes
Discharge Date have each occurred but the Class D Notes Discharge Date has not occurred
(i) at any time prior to any Liquidation Direction (x) the Class D Noteholders and (y) the parties
committed to fund the Unused Class D Notes Commitments at such time representing in
aggregate more than 50 per cent. of all Class D Notes and Unused Class D Notes
Commitments at such time representing in aggregate more than 50 per cent. of all Class D
Notes and Unused Class D Notes Commitments outstanding at such time and (ii) on and after
the date of a Liquidation Direction (and for purposes of issuing or revoking a Liquidation
Direction), the Class D Noteholders representing in aggregate more than 50 per cent. of all
Class D Notes outstanding at such time,
if the Senior Discharge Date, the Class B Notes Discharge Date, the Class C Notes Discharge
Date and the Class D Notes Discharge Date have each occurred but the Class E Subordinated
Notes Discharge Date has not occurred (i) at any time prior to any Liquidation Direction (x) the
Class E Subordinated Noteholders and (y) the parties committed to fund the Unused Class E
Subordinated Notes at such time representing in aggregate more than 50 per cent. of all
Class E Subordinated Notes and Unused Class E Subordinated Notes Commitments
outstanding at such time and (ii) on and after the date of a Liquidation Direction (and for
purposes of issuing or revoking a Liquidation Direction), the Class E Subordinated Noteholders
representing in aggregate more than 50 per cent. of all Class E Subordinated Notes
outstanding at such time or
if the Senior Discharge Date, the Class B Notes Discharge Date, the Class C Notes Discharge
Date, the Class D Notes Discharge Date and the Class E Subordinated Notes Discharge Date
have occurred, the Collateral Manager or the Issuer, acting in accordance with the provisions
of the Transaction Documents.
"Controlling Class Agent" means the representative of the Controlling Class having authority to
provide notices from the Controlling Class to the Security Trustee as required under the Security and
Intercreditor Deed.
"Counterparty Downgrade Collateral" means any cash or securities delivered to the Issuer as
collateral for the obligations of the Secured Hedging Counterparty under a Secured Hedging
Transaction.
"Credit Default Protection Contract Exposure" means, as of any date of determination, the sum, for
each Credit Default Protection Contract, of the present values of the payments scheduled to be made by
the Issuer under such Credit Default Protection Contract using a discount rate equal to the applicable
Reinvestment Yield as determined by the Collateral Manager on behalf of the Issuer.
"Custody Cash Deposit" means the balance from time to time standing to the credit of the Principal
Custody Account, including all interest credited to the Principal Custody Account and the Issuer's rights,
title and interest in and to the benefit of the Principal Custody Account and to the Indebtedness
represented by such credit balance.
"Custody Deposit" means the Issuer Investments from time to time deposited in the Principal Custody
Account, including all Related Rights and the Issuer's right, title and interest in and to the benefit of the
Principal Custody Account.
"Dealer Fee Letter" means each letter agreement between the Placement Agent and Issuer in respect
of the issuance of any Notes.
"Dealer Fees" means any fees payable by the Issuer to the Placement Agent (or successor thereto)
pursuant to any Dealer Fee Letter.
"Debt" of any Person means, at any date, without duplication: (i) all obligations of such Person for
borrowed money, (ii) all obligations of such Person evidenced by bonds, debentures, notes or other
similar instruments, (iii) all obligations of such Person to pay the deferred purchase price of property or
services, except trade accounts payable arising in the ordinary course of business, (iv) all obligations of
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such Person as lessee under capital leases, (v) all non-contingent obligations of such Person to
reimburse or prepay any bank or other Person in respect of amounts paid under a letter of credit,
banker's acceptance or similar instrument, (vi) all of the foregoing obligations of others secured on any
asset of such Person, whether or not such debt is assumed by such Person and (vii) all of the foregoing
obligations of others guaranteed by such Person, provided that Debt shall in no event include any
obligations under any other Hedging and Short-Sale Transactions.
"Default" means any condition or event which constitutes an Event of Default or which with the giving of
notice or lapse of time or both would, unless cured or waived, become an Event of Default.
"Definitive Notes" has the meaning given thereto in Condition 2(a) (Form and Denomination).
"Delayed Redemption Notes" means, in relation to any Electing Class E Subordinated Noteholder, a
Principal Amount Outstanding of Class E Subordinated Notes held by such Electing Class E
Subordinated Noteholder equal to its pro rata share of the Reduction Amount as at the applicable Split
Date.
"Delayed Payment Date" has the meaning given thereto in Condition 7(b)(v) (Class E Subordinated
Note Split Redemption Procedure).
"Delivery Deadline" has the meaning given thereto in Condition 5(b) (Over-Collateralisation Testing and
Reporting).
"Deposits" means (a) the Custody Cash Deposit, (b) the Custody Deposit and (c) the Principal Paying
Agent Deposit.
"Determination Date" means the last Business Day of each Due Period, or in the event of any
redemption of the Notes, following the occurrence of an Event of Default, five Business Days prior to the
applicable Redemption Date.
"Diversity Compliance Period" means the period commencing on the Payment Date falling in
September 2006 and ending one year prior to the latest maturity date of any rated Issuer Indebtedness.
"Diversity Compliance Requirement" has the meaning given thereto in Condition 5(a)(viii) (Minimum
Investment Diversification Requirement).
"DTC" means The Depository Trust Company.
"Due Period" means, with respect to any Payment Date, the period commencing on and including the
day immediately following the fifth Business Day prior to the preceding Payment Date (or on the Closing
Date, in the case of the Due Period relating to the first Payment Date) and ending on the fifth Business
Day prior to such Payment Date.
"Elected Amount" has the meaning given thereto in Condition 7(b)(iv) (Class E Subordinated Note
Optional Redemption Limitation Procedure).
"Elected Class E Global Redemption Amount" has the meaning given thereto in Condition 7(b)(iv)
(Class E Subordinated Note Optional Redemption Limitation Procedure).
"Electing Class E Subordinated Noteholder" has the meaning given thereto in 7(b)(iv) (Class E
Subordinated Note Optional Redemption Limitation Procedure).
"Equivalent or Shorter Maturity" means, in respect of any Notes being redeemed pursuant to
Condition 7(a) (Final Redemption), any more senior Notes having a Maturity Date which is the same as,
or falls before, the Notes being so redeemed.
"EURIBID" means the arithmetic mean of the bid quotations of leading banks (rounded to four decimal
places with the mid-point rounded up) for Euro deposits in the Euro-zone Interbank market of a duration
equivalent to assets in respect of which such quotations are from time to time sought.
"EURIBOR" means the rate determined in accordance with Condition 6(c)(i) (Determination of Floating
Rates of Interest).
"EURIBOR Swaps" has the meaning given thereto in the definition of Reinvestment Yield.
"Euroclear" means Euroclear Bank S.A./N.V. as operator of the Euroclear System.
"Euro-zone" means the region comprised of Member States that have adopted the single currency in
accordance with the Treaty establishing the European Community, as amended.
"Event of Default" has the meaning given thereto in Condition 10 (Events of Default).
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"Exchange Date" means a day falling not less than 30 days after that on which the notice requiring
exchange is given and as which banks are open for business in the city in which the specified office of
the Register and any Transfer Agent is located.
"Excluded Assets" means all of the Issuer's rights, title and interest in and to (a) the Issuer Dutch
Account and any and all amounts standing to the credit thereof and (b) the Management Agreement, as
applicable from time to time.
"Extraordinary Resolution" means an extraordinary resolution as described in Condition 14 (Meetings
of Noteholders, Modification, Waiver and Substitution) and as further described in, and as defined in, the
Trust Deed.
"Fixed Rate Notes" means any Notes providing for the payment of a fixed rate of interest pursuant to
Condition 20 (Specific Conditions).
"Fixed Rate of Interest" has the meaning given thereto in Condition 6(c)(ii) (Interest on Fixed Rate
Notes).
"Floating Rate Notes" means any Notes providing for the payment of a floating rate of interest pursuant
to Condition 20 (Specific Conditions).
"Floating Rate of Interest" has the meaning given thereto in Condition 6(c)(i) (Determination of Floating
Rates of Interest).
"Form-Approved Swap" means a Secured Hedging Transaction the documentation for and structure of
which conforms (save for the amount and timing of periodic payments, the name and the economics of
the relevant Issuer Investment or reference entity, the notional amount, the effective date, the
termination date and other consequential and immaterial changes) to a form previously approved by the
Rating Agencies.
"Global Notes" has the meaning given thereto in Condition 2(a) (Form and Denomination).
"Hedging Arrangement" means any arrangement in respect of an interest rate swap, currency swap,
forward foreign exchange transaction, cap, floor, collar or option transaction entered into or in
connection with protection against or benefit from fluctuation in any rate or price.
"Hedging Representative" means the Trustee, Paying Agent or other similar Representative for the
Secured Hedging Counterparties from time to time appointed by and on behalf of Secured Hedging
Counterparties.
"Holder" means, on any date, with respect to any Notes or VF Notes outstanding, the holder of (or, as
the case may be, the holder of record of) such Notes or VF Notes or the person registered on any
register for such Notes or VF Notes as determined by the Transaction Documents.
"Incentive Fee" has the meaning given thereto in the Collateral Management Agreement.
"Indebtedness" means any obligation (whether incurred as principal or as surety) for the payment or
repayment of money, whether present or future, actual or contingent (including the payment of interest,
fees, costs and expenses and other charges).
"Initial Closing Date" means on or about 21 June 2006 (or such other date as may shortly follow such
date as may be agreed between the Issuer and the Placement Agent and is notified to the Noteholders
in accordance with Condition 16 (Notices) and the Irish Stock Exchange).
"Initial Issuance Class A Notes" means the €100,000,000 Class A-1 Senior Secured Floating Rate
Notes due 2013 issued on the Initial Closing Date.
"Initial Issuance Class B Notes" means the €6,250,000 Class B-1 Secured Floating Rate Notes due
2013 issued on the Initial Closing Date.
"Initial Issuance Class C Notes" means the €12,250,000 Class C-1 Secured Floating Rate Notes due
2013 issued on the Initial Closing Date.
"Initial Issuance Class D Notes" means the €12,250,000 Class D-1 Secured Floating Rate Notes due
2013 issued on the Initial Closing Date.
"Initial Issuance Class E Subordinated Notes" means the Initial Issuance Class E-1a Preferred
Subordinated Notes, the Initial Issuance Class E-1b Subordinated Notes and the Initial Issuance
Class E-2 Subordinated Notes.
"Initial Issuance Class E-1a Preferred Subordinated Notes" means the €41,000,000 Class E-1a
Preferred Subordinated Notes due 2055 issued on the Initial Closing Date.
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"Initial Issuance Class E-1b Subordinated Notes" means the €41,000,000 Class E-1b Subordinated
Notes due 2055 issued on the Initial Closing Date.
"Initial Issuance Class E-2 Subordinated Notes" means the €4,000,000 Class E-2 Subordinated
Notes due 2055 issued on the Initial Closing Date.
"Initial Issuance Notes" means the Initial Issuance Class A Notes and/or the Initial Issuance Class B
Notes and/or the Initial Issuance Class C Notes and/or the Initial Issuance Class D Notes and/or the
Initial Issuance Class E Subordinated Notes, as the context may require.
"Intercreditor Approval" means an instruction duly authorised by the Controlling Class from time to
time in accordance with the Intercreditor Arrangements.
"Intercreditor Arrangements" means the subordination arrangements between, inter alios, the
Secured Hedging Counterparties and the Trustee on behalf of the Noteholders established pursuant to
the Security Documents.
"Intercreditor Priority of Payments" means the priority of payments in respect of enforcement
distributions as set out and defined in the Security and Intercreditor Deed.
"Interest-Bearing Notes" means any Floating Rate Notes and/or any Fixed Rate Notes which bear
interest in accordance with Condition 6 (Interest).
"Interest Custody Account" means the custody account or accounts (including any cash account
relating to any securities account (each, a "Principal Custody Account")) established on the books of
the Custodian in accordance with the provisions of the Agency Agreement, in each case, held and
administered by the Custodian outside The Netherlands.
"Interest Determination Date" has the meaning given thereto in Condition 6(c)(i) (Determination of
Floating Rates of Interest).
"Interest Payment Amount" means on each Payment Date, the amount of interest payable in respect
of each Minimum Denomination and Authorised Integral Amount in original principal amount of the
Notes of any Class indicated for any Interest Period being, in the case of Interest-Bearing Notes, the
amount calculated by the Calculation Agent as soon as practicable after 11:00 a.m. (Brussels time) on
the relevant Interest Determination Date in accordance with Condition 6(c) (Rate of Interest) and
Condition 6(d) (Determination of Rates of Interest and Calculation of Interest Payment Amounts),
excluding, for the avoidance of doubt, any Blocked Junior Note Interest, but including any amounts
payable under Condition 6(d)(iii) (Determination of Rates of Interest and Calculation of Interest Payment
Amounts).
"Interest Period" means the period from and including the Closing Date to but excluding the first
Payment Date and each successive period from and including each Payment Date to but excluding the
following Payment Date.
"Investment Company Act" means the United States Investment Company Act of 1940, as amended.
"Irish Stock Exchange" means the Irish Stock Exchange Limited upon which any of the Notes are
listed from time to time.
"Issuer Dutch Account" means an account in the name of the Issuer with F. van Lanschot Bankiers
N.V., into which, amongst other things, €20,000 representing the fully paid up share capital of the Issuer
has been paid and the Issuer Fee has been and will be paid.
"Issuer Fee" means, €30,000 with respect to the first year of the transaction and thereafter €21,000 per
annum (subject to an inflation correction after the fifth year of the transaction).
"Issuer Indebtedness" means Senior Indebtedness, Class B Notes, Class C Notes, Class D Notes and
Class E Subordinated Notes (excluding, for the avoidance of doubt, any amounts owing under any
Secured Hedging Transaction).
"Junior Class" has the meaning given thereto in Condition 3(b) (Relationship among the Classes and
Payments on the Notes).
"Junior Interest-Bearing Notes" means (i) while any Class A Notes remain Outstanding, Class B
Notes, Class C Notes, Class D Notes and Class E-1a Preferred Subordinated Notes, (ii) while any
Class B Notes remain Outstanding but no Class A Notes remain Outstanding, Class C Notes, Class D
Notes and the Class E-1a Preferred Subordinated Notes, (iii) while any Class C Notes remain
Outstanding but no Class A Notes or Class B Notes remain Outstanding, any Class D Notes and the
Class E-1a Preferred Subordinated Notes and (iv) while any Class D Notes remain Outstanding but no
Class A Notes, Class B Notes or Class C Notes remain Outstanding, any Class E-1a Preferred
Subordinated Notes.
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"Ledger" means the ledger maintained by the Collateral Administrator for the purposes of recording
those amounts mentioned in Condition 3(b)(iii).
"Liquidation Direction" means a notice delivered by the Controlling Class Agent to the Security
Trustee following the occurrence of an Event of Default which is continuing (taking into account any
related grace periods), instructing the Security Trustee to proceed to enforce the Collateral or any part of
it.
"Liquidity Limitation Procedure" means the procedure described in Condition 7(b)(iv) (Class E
Subordinated Note Optional Redemption Limitation Procedure).
"Loan Commitment" means a commitment of any Holder of Issuer Indebtedness to make loans under
and pursuant to the terms of the Transaction Documents.
"Long-Stop Date" means the thirtieth day following a Collateralisation Shortfall Date provided that if
such date is not a Business Day, it shall be the deemed to be the next Business Day following such
thirtieth day.
“Management Fee” has the meaning given thereto in the Collateral Management Agreement.
"Majority Senior Holder" means any Person holding in aggregate more than 50 per cent. of the Senior
Indebtedness.
"Managing Directors" means Mrs M. Chr. Van der Sluijs-Plantz, Mrs. Th. F.C. Wijnen and Mr H.P.C.
Mourits, or such other person(s) who may be appointed as Managing Director(s) of the Issuer from time
to time.
"Market Valuation Manual" means, at any time, the manual of the same name in the form appearing at
Schedule 8 to the Master Trust Deed amended from time to time in accordance with the provisions of
the Master Trust Deed and the Security and Intercreditor Deed (including for the avoidance of doubt (x)
by the Rating Agencies in respect of any Advance Rates contained or to be contained therein on the
date of further issuance of any Rated Notes and (y) at the direction of the Trustee to modify references
to the applicable Specified Notes.
"Material Agreements" means (a) the Agency Agreement, (b) the Collateral Management Agreement,
(c) each Note Placement Agency Agreement, (d) any Collateral Acquisition Agreements (e) the Master
Trust Deed, (f) each Trust Instrument and (g) the Collateral Administration Agreement in each case in
the form initially entered into by the parties thereto.
"Maturity Date" means, as the context may require, the Class E Subordinated Note Maturity Date
and/or, with respect to any Notes which are not Class E Subordinated Notes, the Specified Maturity
Date.
"Maximum Funding Exposure" means, as of any date of determination, the sum of the Credit Default
Protection Contract Exposure, the Permitted Short-Sale Exposure and the Short-Sale TRS Contract
Exposure.
"Member State" means any member state of the European Union.
"Minimum Denomination" means, unless otherwise specified in Condition 20 (Specific Conditions):
(a) in the case of the Regulation S Notes which are Rated Notes, €500,000;
(b)
in the case of the Regulation S Notes which are Class E Subordinated Notes, €100,000; and
(c) in the case of all Rule 144A Notes, €250,000.
"Modified Following Business Day Convention" means the convention for adjusting any relevant date
if it would otherwise fall on a day that is not a Business Day, which provides that the relevant date shall
be the following day that is a Business Day unless that day falls in the next calendar month, in which
case that date will be the first preceding day that is a Business Day.
"Moody's" means Moody's Investors Service Inc. and any successor to its rating business.
"New Holders" has the meaning given thereto in Condition 17(a)(ix) (Further Issues).
"Non-Call Period" means, with respect to any Class E Subordinated Notes unless otherwise specified
in Condition 20 (Specific Conditions) with respect to such Notes, the period from and including the
Closing Date therefor, up to, but excluding, the Payment Date falling in 15 June 2007.
"Non-Permitted Holder" has the meaning given thereto in Condition 2(h) (Forced Transfer of
Rule 144A Notes).
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"Non-Petition Covenant" means a written covenant by a Person to the effect that, prior to the date that
is 2 years and 1 day after the payment in full of all Issuer Indebtedness (or, if longer, the preference
period then in effect under applicable law), it will not commence or otherwise institute against the Issuer
or any of its subsidiaries any bankruptcy, examination, reorganization, arrangement, insolvency or
liquidation proceeding or other similar proceedings.
"Note Commitment" means a commitment by any Holders of Issuer Indebtedness to purchase or
subscribe for or pay any amounts in respect of any Notes or VF Notes, or additional interests therein.
"Noteholders" means the Holders of any Notes from time to time.
"Note Placement Agency Agreement" means with respect to the issue of any Notes, the note
placement agency agreement between the Issuer and the Placement Agent applicable thereto.
"Notes" means any Class A Notes, Class B Notes, Class C Notes, Class D Notes and/or Class E
Subordinated Notes (whether or not the same constitute Specified Notes for the purposes of these
Conditions), as the context may require and each a “Note” thereof.
"Note Tax Event" means, at any time, the introduction of a new, or any change in, home jurisdiction or
foreign tax statute, treaty, regulation, rule, ruling, practice, procedure or judicial decision or interpretation
(whether proposed, temporary or final) which results in (or would on the next Payment Date result in)
any payment on the VF Notes or the Notes of any Class becoming properly subject to any withholding
tax or deduction on account of tax.
"Offer to Purchase" means a written offer by the Issuer to purchase all or a portion of any Class of
Notes at or below par on the terms and conditions set forth in the applicable Trust Instrument.
"Optional Redemption" means redemption by the Issuer of any Class E Subordinated Notes pursuant
to Condition 7 (Redemption).
"Optional Redemption Date" has the meaning given thereto in Condition 7(b)(i) (Optional
Redemption-Optional Redemption Requirements).
"Ordinary Resolution" means an ordinary resolution as described in Condition 14 (Meetings of
Noteholders, Modification, Waiver and Substitution) and as further described in, and as defined in, the
Trust Deed.
"Outstanding" means in relation to the Notes of a Class as of any date of determination, all of the Notes
of such Class issued and not previously redeemed as further defined in the Master Trust Deed and, in
relation to the VF Notes, the extent of the same outstanding under the Transaction Documents.
"Outstanding Issuer Swap Termination Payments" means, at any time, any amounts payable by the
Issuer to a Secured Hedging Counterparty upon termination or modification of a Secured Hedging
Transaction, pursuant to, and in accordance with, the terms thereof which are, at such time,
outstanding.
"Over-Collateralisation Failure" means the existence of a Collateralisation Shortfall Date which has
not at any time been remedied provided that the same does not qualify as an Under-Collateralisation
Event.
"Over-Collateralisation Test Report" means the report substantially in the form set out in the Collateral
Management Agreement certified by the Issuer (or the Collateral Manager on its behalf).
"Paying Agent Account" means the account of the Issuer (if any) maintained with the Principal Paying
Agent pursuant to the Agency Agreement.
"Payment Date" means, unless otherwise specified in Condition 20 (Specific Conditions) applicable to
any Notes, 15 September, 15 December, 15 March and 15 June in each year, commencing 15
September 2006, until and including the Class E Subordinated Note Maturity Date and, to the extent not
a Business Day, adjusted in accordance with the Modified Following Business Day Convention.
"Payment Default" means, with respect to any Issuer Indebtedness, an Event of Default under the
Transaction Documents resulting from the failure of the Issuer to pay any principal, interest or premium
on, or commitment fees or breakage costs in connection with such Issuer Indebtedness (whether due by
acceleration, mandatory prepayment or otherwise).
"Permitted Redemption Amount" has the meaning given thereto in Condition 7(b)(iv) (Class E
Subordinated Note Optional Redemption Limitation Procedure).
"Permitted Security Interest" has the meaning given thereto in Condition 5(a)(ii) (Limitations on
Security Interests).
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"Permitted Short-Sale Exposure" means, as of any date of determination, the sum, for each Permitted
Short-Sale Transaction, of (a) the product of (i) the difference between 100 per cent. (or, if the Permitted
Short-Sale Obligation borrowed is priced above par, the price expressed as a percentage of the
aggregate principal amount thereof) and the price (expressed as a percentage of the aggregate principal
amount thereof) at which the Permitted Short-Sale Obligation was sold short and (ii) the notional amount
of the Permitted Short-Sale Transaction and (b) the present value of all coupon payments to be made
on the notional amount of the Permitted Short-Sale Obligation through the term of the Permitted
Short-Sale Transaction using a discount rate equal to the applicable Reinvestment Yield as determined
by the Collateral Manager on behalf of the Issuer.
"Placement Agent" means IXIS Securities North America Inc., its successors and assigns.
"Pledge Agreement" means the pledge agreement governed by Belgian law between the Issuer and
the Security Trustee in respect of Issuer Investments held in Euroclear and dated on or about the Initial
Closing Date.
"Post Redemption Default Due Period" has the meaning given thereto in Condition 6(b) (Post
Redemption Default Interest).
"Post Redemption Default Payment Date" has the meaning given thereto in Condition 6(b) (Post
Redemption Default Interest).
"Premature Redemption Date" has the meaning given thereto in Condition 7(e)(iii) (Mandatory
Redemption of Interest-Bearing Notes on Optional Redemption of Class E Subordinated Notes).
"Premature Redemption Requirements" has the meaning given thereto in Condition 7(b)(i) (Optional
Redemption Requirements).
"Prepayment Cure Methodology" has the meaning given thereto in Condition 5(c)(i)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates).
"Prepayment Date" has the meaning given thereto in Condition 5(c)(i) (Over-Collateralisation Failure
and Collateralisation Shortfall Dates).
"Prepayment Priorities" has the meaning given thereto in Condition 5(c)(i) (Over-Collateralisation
Failure and Collateralisation Shortfall Dates).
"Prepayment Priority Levels" has the meaning given thereto in Condition 5(c)(i) (Over-Collateralisation
Failure and Collateralisation Shortfall Dates).
"Presentation Date" means a day on which a Holder presents, or is entitled to present (as the case
may be), a Note for payment and which (subject to Condition 12 (Prescription)) is a Business Day.
"Principal Amount Outstanding" means the principal amount of Issuer Indebtedness (which for the
purposes of the Over-Collateralisation Tests and the Collateralisation Shortfall Amount shall, if
applicable, be converted into Euros at the then-current spot rate, after taking into account the effect of
any Currency Hedging Transactions which can be associated with such Issuer Indebtedness), increased
as a result of the addition of any blocked or unpaid interest (which shall not include any amounts
credited to the Ledger) or any amounts reinvested in Condition 3(b)(ii)(B) being added to the principal
thereof (including, as applicable, any Blocked Junior Note Interest) and decreased by the cumulative
sum of all principal payments made on such Issuer Indebtedness.
"Principal Custody Account" has the meaning given thereto in the definition of Interest Custody
Account.
"Principal Paying Agent Deposit" means the balance from time to time standing to the credit of the
Paying Agent Account, including all interest credited to the Paying Agent Account and the Issuer's right,
title and interest in and to the benefit of the Paying Agent Account and to the Indebtedness represented
by such credit balance.
"Priority Class" has the meaning given thereto in Condition 3(b) (Relationship among the Classes and
Payments on the Notes).
"Projection Cure Methodology" has the meaning given thereto in Condition 5(c)(ii)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates).
"Projection Cure Settlement Default" has the meaning given thereto in Condition 5(d) (Insufficiency of
Projection Cure Methodology).
"Projection Cure Statement" has the meaning given thereto in Condition 5(c)(ii) (Over-Collateralisation
Failure and Collateralisation Shortfall Dates).
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"Projection Cure Statement Date" has the meaning given thereto in Condition 5(c)(ii)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates).
"pro rata" means, when used in respect of any payment of any amount to two or more persons or of two
or more obligations (each "Pro Rated Obligations") which is to be allocated between such Pro Rated
Obligations "pro rata", the allocation of the amount available for payment between such Pro Rated
Obligations in proportions equal to the proportion that the notional amount of each such Pro Rated
Obligation represents of the sum of the notional amount(s) of all such Pro Rated Obligations.
"QIB" means a Person who is a qualified institutional buyer as defined in Rule 144A.
"QIB/Qualified Purchaser" means a Person who is both a QIB and a Qualified Purchaser for the
purposes of Section 3(c)(7) of the Investment Company Act.
"Qualified Purchaser" means a Person who is a qualified purchaser as defined in Section 2(a)(51) of
the Investment Company Act.
"Quoted Issuer Investment Valuation" has the meaning given thereto in Condition 5(b)
(Over-Collateralisation Testing and Reporting).
"Rated Notes" means any Notes at any time Outstanding which have been awarded a Rating by one or
more Rating Agencies and includes the “Initial Rated Notes”.
"Rate of Interest" means the Floating Rate of Interest and/or the Fixed Rate of Interest, as the context
may require.
"Rating" with respect to any Rated Notes means that specified in Condition 20 (Specific Conditions)
applicable thereto.
"Rating Agencies" means Moody's and/or S&P as specified in Condition 20 (Specific Conditions),
provided that if at any time Moody's and/or S&P cease(s) to provide rating services, any other
internationally recognised statistical rating organisation selected by the Issuer (or the Collateral Manager
on its behalf) and approved by the Designated Approval Representative (a "Replacement Rating
Agency"). In the event that at any time a Rating Agency is replaced by a Replacement Rating Agency,
references to rating categories of the original Rating Agency in these Conditions, the Trust Deed and the
Collateral Management Agreement shall be deemed instead to be references to the equivalent
categories of the relevant Replacement Rating Agency as of the most recent date on which such other
Rating Agency published ratings for the type of security in respect of which such Replacement Rating
Agency is used and all references herein to "Rating Agencies" shall be construed accordingly.
"Rating Agency Confirmation" means, with respect to any specified action or determination, receipt by
the Issuer (or the Investment Manger on its behalf) and the Trustee of written confirmation by each
Rating Agency which has assigned ratings to the Notes that are Outstanding (or, if applicable, the
Rating Agency specified) that such specified action, determination or appointment will not result in the
reduction or withdrawal of any of the ratings currently assigned to the Notes rated by such Rating
Agency.
"Rating Requirement" means in the case of:
(a)
(b)
(c)
the Custodian, that the same has a short-term S&P issuer credit rating of at least "A-1" and a
short-term Moody's rating of "P-1" or a long-term Moody's senior unsecured rating of at least
"A1" or
a counterparty to a Currency Hedging Transaction, that the same has a short-term S&P issuer
credit rating of "A-1+" and a short-term Moody's rating of "P-1" or a long-term Moody's senior
unsecured rating of at least "A1" or
in the case of any other Person, either such Person has a short-term S&P issuer credit rating of
at least "A-1" or a long-term S&P issuer credit rating of at least "AA-" and a short-term Moody's
rating of "P-1" or a long-term Moody's senior unsecured rating of at least "Aa3"
or, in each case, if any of the requirements are not satisfied by any of the parties referred to above,
Rating Agency Confirmation is received in respect of such party or the obligations of such party are
guaranteed by an entity satisfying the applicable Rating Requirement.
"Redemption Breakage Costs" means, with respect to any Rated Note, losses sustained as a result of
a redemption pursuant to Condition 7(e)(i) (Mandatory Redemption Upon Over-Collateralisation Failure)
occurring on a date other than a Payment Date, equal to the product of (a) a rate equal to the excess, if
any, of (i) EURIBOR for such Note and the Interest Period during which such redemption occurs over (ii)
EURIBID, for the period from and including the applicable Redemption Date to but excluding the first
Payment Date following the Redemption Date (b) the amount of such redemption of such Note and (c)
- 49 -

the ratio of (i) the number of days from and including the applicable Redemption Date to, but excluding,
the first Payment Date following such Redemption Date and (ii) 360.
"Redemption Date" means each date specified for a redemption of the Notes of any Class pursuant to
Condition 7 (Redemption) or the date on which the Notes of such Class are accelerated pursuant to
Condition 10 (Events of Default) and, in each case, if such day is not a Business Day, as adjusted in
accordance with the Modified Following Business Day Convention.
"Redemption Price" means, when used with respect to:
(a)
(b)
any Note other than a Class E Subordinated Note to be redeemed pursuant to Condition 7(c)
(Redemption at the Option of the Issuer), Condition 7(d) (Redemption for Tax Reasons),
Condition 7(e)(i) (Mandatory Redemption Upon Over-Collateralisation Failure), 7(e)(iii)
(Mandatory Redemption of Interest-Bearing Notes on Optional Redemption of Class E
Subordinated Notes) or Condition 10 (Events of Default), 100 per cent. of the Principal Amount
Outstanding of such Note, together with accrued and unpaid interest thereon to the date of
redemption (including any accrued and unpaid deferred interest and, as the case may be in the
case of the Class B Notes, Class C Notes or Class D Notes (as the case may be), the
applicable Blocked Junior Note Interest), or
any Class E Subordinated Note to be redeemed pursuant to Condition 7(b) (Optional
Redemption), Condition 7(d) (Redemption for Tax Reasons), Condition 7(e)(i) or (ii) (Additional
Mandatory Redemption) or Condition 10 (Events of Default), (x) the aggregate proceeds of
liquidation of Collateral designated by reference to the Net Asset Value allocable to the Class E
Subordinated Note which is the subject of such redemption, net of the Collateral Manager's
good faith estimate of expenses for legal, accounting and administrative costs associated with
such redemption or (y) as applicable, such Class E Subordinated Note’s pro rata share based
on the Net Asset Value allocable to it of the aggregate proceeds of realisation of the security
over the Collateral remaining following application thereof in accordance with the Intercreditor
Priority of Payments.
"Reduction Amount" has the meaning given thereto in Condition 7(b)(v) (Class E Subordinated Note
Split Redemption Procedure).
"Reference Banks" has the meaning given thereto in Condition 6(i) (Reference Banks and Calculation
Agent).
“Register” means the register of holders of the legal title to the Definitive Notes kept by the Registrar
pursuant to the terms of the Agency Agreement.
"Regulation S" means Regulation S under the Securities Act.
"Regulation S Notes" means the VF Notes or Notes represented by a Regulation S Global Note,
Definitive Notes issued pursuant thereto or Definitive Notes which, on issue, are sold in reliance on
Regulation S.
"Regulation S Global Note" means a Global Note representing VF Notes or Notes which are (or, at any
time, may be) sold in reliance on Regulation S.
"Reinvestment Yield" means, in relation to a Hedging and Short-Sale Transaction, the rate on the
European Interbank offered rate swap agreement ("EURIBOR Swaps") (determined, if necessary, by
interpolating linearly between (1) the arithmetic mean of the annual bid and offered rates for the
EURIBOR Swap with the term closest to and greater than the maturity of the applicable Hedging and
Short-Sale Transaction and (2) the arithmetic mean of the annual bid and offered rates for the
EURIBOR Swap with the term closest to and less than the maturity of the applicable Hedging and
Short-Sale Transaction) corresponding to that on Reuters Screen ICAPEURO Page under the heading
"EURIBOR vs 6mth" (or any successor page on such service), expressed as a rate with a frequency
equal to that of such Hedging and Short-Sale Transaction.
"Related Rights" means, as the context may require, in relation to any Issuer Investments or the
Issuer's other assets (a) any proceeds of and any right to receive any dividend, distribution, interest or
other income paid or payable in relation to such Issuer Investments, (b) any right to receive, call for
delivery of or otherwise acquire any stocks, shares, securities, monies or other property of any kind,
accruing or offered at any time and all amounts relating thereto, whether in addition to or in substitution
for such Issuer Investments and (c) to the extent falling outside of (i) paragraph (a) and (b) of this
definition and (ii) the definition of Issuer Investments, any credit agreements, promissory notes, security
agreements, leases, financing statements, guaranties and other contracts, agreements, instruments and
other papers evidencing, securing, guaranteeing or otherwise relating to any Issuer Investment, together
with all of the Issuer's rights, title and interest in and to all inventory and other goods (including returned
or repossessed goods) securing, guaranteeing or otherwise relating to any Issuer Investments, in each
case, not including the Excluded Assets.
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"Relevant Margin" in respect of any Floating Rate Notes means the margin specified as such in
Condition 20 (Specific Conditions) applicable thereto.
"Relevant Outstanding Class" has the meaning given thereto in Condition 17 (Further Issues).
"Replacement Rating Agency" has the meaning given thereto within the definition of "Rating Agency".
"Report" means the Over-Collateralisation Test Report together with any other report furnished by the
Issuer pursuant to the Collateral Management Agreement.
"Repository" means the internet-based password-protected electronic repository of transaction
documents relating to privately offered and sold collateralised debt obligation securities located at
"http://www.cdolibrary.com". 1
"Representative" means (i) the VFN Agent under a VF Instrument, (ii) the Trustee, and (iii) the Hedging
Representative and (iv) the Persons identified as such in relation to Issuer Indebtedness issued after the
Initial Closing Date.
"Resolution" means any Ordinary Resolution or Extraordinary Resolution.
"Restricted Payment Provisos" means in relation to the making of any payment to which these
provisos are specified to apply that, immediately after making the same: (i) no Transaction Default or
Transaction Event of Default shall have occurred and be continuing, (ii) no Over-Collateralisation Failure
shall have occurred and be continuing and (iii) no circumstances have arisen which would call into
question the accuracy, as at the date that the same was given, in any material respect of any
representation or warranty of the Issuer in the Security Documents and the Transaction Documents.
"Restriction Notice" means any of an Acceleration Notice and/or Liquidation Direction.
"Rule 144A" means Rule 144A under the Securities Act.
"Rule 144A Notes" means the VF Notes in definitive form or Notes represented by a Rule 144A Global
Note, Definitive Notes issued pursuant thereto or Definitive Notes which, on issue, are sold in reliance
on Rule 144A.
"Rule 144A Global Note" means a Global Note representing VF Notes or Notes which are (or, at any
time, may be) sold in reliance on Rule 144A.
"S&P" means Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. and
any successor to its rating business.
"Secured Creditors" means the Placement Agent, the Noteholders, the Collateral Manager, the
Collateral Administrator, the Trustee, any receiver appointed by the Trustee pursuant to the terms of any
security document, the Security Trustee, any Secured Hedging Counterparty, any VF Noteholder and
the Agents.
"Secured Hedging Agreement" means any agreement evidencing or documenting a Secured Hedging
Transaction.
"Secured Hedging Counterparty" means a counterparty to a Secured Hedging Transaction which
satisfies the relevant Rating Requirement for the same and has the Dutch regulatory capacity to enter
into derivatives transactions with residents of The Netherlands.
"Secured Obligations" means all present and future obligations and liabilities (whether in respect of
principal, interest or otherwise, whether actual or contingent, whether owed jointly or severally and
whether owed as principal or surety or in any other capacity) of the Issuer to the Secured Creditors (or
any of them) under or in relation to any one or more of the Transaction Documents.
"Securities Act" means the U.S. Securities Act of 1933, as amended.
"Security Documents" means the Security and Intercreditor Deed, Pledge Agreement and any other
document which purportedly creates security in favour of the Security Trustee from time to time
executed by the Issuer including, without limitation, the security created pursuant to Condition 4(a)
(Security).
"Security Interest" means (a) a mortgage, charge, pledge, lien or other encumbrance or security
interest securing any obligation of any person, (b) any arrangement under which money or claims to, or
the benefit of, a bank or other account may be applied, set-off or made subject to a combination of
1
This website does not form part of this Offering Circular.
- 51 -

accounts so as to effect payment of sums owed or payable to any person or (c) any other type of
preferential arrangement (including title transfer and retention arrangements) having a similar effect.
"Senior Blockage Notice" has the meaning given thereto in Condition 3(h)(i) (Blockage Periods).
"Senior Blockage Period" means the period commencing on the date of service of a Senior Blockage
Notice and ending on the earliest of (a) 180 days after the date of such service, (b) the date on which
the default referred to in the definition of Senior Blockage Trigger Event shall be cured or otherwise
waived, (c) the date on which the Representative of the Secured Creditors (at the direction of the
Controlling Class) shall otherwise give notice to the Issuer of the termination of the Senior Blockage
Period and (d) the Senior Discharge Date.
"Senior Blockage Trigger Event" means the occurrence of a Trigger Event with respect to any Senior
Obligations.
"Senior Discharge Date" means the date on which all Senior Indebtedness has been fully discharged
and all commitments of the Holders of Senior Indebtedness to the Issuer have been terminated or
cancelled in accordance with the Transaction Documents (including, but not limited to, any commitment
or other obligation of a Secured Hedging Counterparty under a Secured Hedging Agreement).
"Senior Indebtedness" means all money and liabilities from time to time due, owing or incurred by the
Issuer in any currency or currencies, whether present or future, actual or contingent, whether incurred
solely or jointly with any other person and whether as principal or surety, together with all interest
accruing thereon and all costs, charges and expenses incurred in connection therewith, pursuant to (a)
the Class A Notes and (b) for so long as the same remain Outstanding, any Advances under any VF
Instrument and (c) any other amounts designated as "Senior Indebtedness" from time to time pursuant
to and in accordance with the Security and Intercreditor Deed.
"Senior Obligations" means collectively (i) with respect to all Senior Indebtedness, all obligations for
principal, interest, fees, indemnities or premiums owing in respect of Senior Indebtedness, whether
arising at law or in equity pursuant to any Transaction Document and (ii) the obligations of the Issuer
under Secured Hedging Transactions.
"Senior Outstanding Class" means Class A Notes, or if no Class A Notes remain outstanding, Class B
Notes, or if no Class A Notes or Class B Notes remain outstanding, Class C Notes, or if no Class A
Notes, Class B Notes or Class C Notes remain outstanding, Class D Notes or if no Class A Notes,
Class B Notes, Class C Notes or Class D Notes remain outstanding, Class E Subordinated Notes.
"Senior Payment Default" means a Payment Default with respect to any Senior Obligations.
"Short-Sale TRS Contract Exposure" means, as of any date of determination, with respect to each
Short-Sale TRS, the sum of (a) the product of (i) the difference between 100 per cent. (or, if the
Reference Security of Short-Sale TRS is priced above par, the price expressed as a percentage of the
aggregate principal amount of the Reference Security subject to such Short-Sale TRS) and the price
(expressed as a percentage of the aggregate principal amount thereof) at which such Reference
Security was sold short and (ii) the notional amount of such Short-Sale TRS and (b) the present value of
all coupon payments to be made on the notional amount of the Short-Sale TRS through the term of the
Short-Sale TRS using a discount rate equal to the applicable Reinvestment Yield as determined by the
Collateral Manager on behalf of the Issuer.
"Specific Conditions" means the conditions contained in Condition 20 (Specific Conditions).
"Specified Maturity Date" means in relation to any Notes which are not Class E Subordinated Notes,
the date specified as such in Condition 20 (Specific Conditions) applicable to the same.
"Specified Notes" means any Class A Notes, Class B Notes, Class C Notes, Class D Notes and/or
Class E Subordinated Notes constituted by the Relevant Trust Instrument and issued on the Closing
Date as specified in Condition 20 (Specific Conditions) of these Conditions.
"Specified Office" means, in relation to any Agent:
(a)
(b)
the office specified against its name in the Agency Agreement or
such other office as such Agent may specify in accordance with the Agency Agreement.
"Split Date" means each Optional Redemption Date on which a Reduction Amount becomes subject to
the operation of Condition 7(b)(v) (Class E Subordinated Note Split Redemption Procedure).
"Split Redemption Procedure" means the procedure described in Condition 7(b)(v) (Class E
Subordinated Note Split Redemption Procedure).
"Supervening Shortfall" has the meaning given thereto in Condition 5(d) (Insufficiency of Projection
Cure Methodology).
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"Synthetic Collateral" means any collateral which shall be in the form of cash or securities which is
required to be delivered by the Issuer as security for its obligations to any Synthetic Counterparty under
any Synthetic Security pursuant to the terms thereof provided that such Synthetic Collateral may not
consist of any securities that are Dutch Ineligible Securities. References to the price payable upon the
acquisition of or entry into a Synthetic Security acquired or entered into by the Issuer on an unfunded
basis shall be deemed to be the aggregate price of Synthetic Collateral required to be delivered by the
Issuer to the applicable Synthetic Counterparty.
"Synthetic Counterparty" means any Secured Hedging Counterparty required to make or receive
payments on a Synthetic Security.
"Synthetic Security" means either a Synthetic Purchase Contract or a credit-linked note in respect of
which each supporting credit default swap is a Form-Approved Swap or is in a form which has been the
subject of a Rating Agency Confirmation.
"TARGET System" means the Trans-European Automated Real-Time Gross Settlement Express
Transfer System (or, if such system ceases to be operative, such other system (if any) determined by
the Trustee to be a suitable replacement).
"Transaction Creditors" means each of the Secured Creditors, the Directors and any other Person
(other than any creditor of the Issuer who is not bound by any limited recourse and non-petition
provisions vis-à-vis the Issuer) to whom the Issuer owes any obligations from time to time.
"Transaction Default" means any condition or event which constitutes a Transaction Event of Default
or which with the giving of notice or lapse of time or both would, unless cured or waived, become a
Transaction Event of Default.
"Transaction Documents" means the Trust Deed, the Security Documents, all Outstanding Notes,
each Note Placement Agency Agreement, the Agency Agreement, each Collateral Acquisition
Agreement, the Collateral Management Agreement, the Collateral Administration Agreement, the
Management Agreement, any Secured Hedging Agreements, the VF Notes, each VF Instrument and
any document supplemental thereto or issued in connection therewith together with any other
documents specified as such in Condition 20 (Specific Conditions) with respect to any Notes (each as
amended, replaced or supplemented from time to time).
"Transaction Event of Default" means an Event of Default or any event of default under and as
defined in each or any Transaction Document.
"Trigger Event" means, with respect to any Issuer Indebtedness, a Transaction Event of Default (other
than a Payment Default) under the Transaction Documents (including any such Transaction Event of
Default relating to a cross-default) which would give the Noteholders and/or the VF Noteholders the right
to accelerate such Issuer Indebtedness prior to its stated maturity.
"Trust Instrument" means the Relevant Trust Instrument or any other trust instrument pursuant to
which VF Notes or Notes are constituted from time to time, as the context may require.
"Trustee Fees and Expenses" means the fees, costs, claims, indemnities, charges, disbursements,
liabilities and expenses and all other amounts payable by the Issuer to the Trustee, the Security Trustee
and any receiver appointed by it pursuant to the Trust Deed or any other Transaction Document from
time to time under or pursuant to the Trust Deed or any other Transaction Document plus any applicable
VAT required to be paid by the Issuer in respect of the foregoing.
"Under-Collateralisation Cure Methodologies" has the meaning given thereto in Condition 5(c)(ii)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates).
"Under-Collateralisation Cure Timeline" means the timelines specified in each of the
Under-Collateralisation Cure Methodologies curing the existence of a Collateralisation Shortfall Amount.
"Under-Collateralisation Event" means the failure by the Issuer following a Collateralisation Shortfall
Date to eliminate the Collateralisation Shortfall Amount that gave rise to such Collateralisation Shortfall
Date by employing one of the Under-Collateralisation Cure Methodologies (or any combination of the
same) within the applicable Under-Collateralisation Cure Timeline.
"Unquoted Issuer Investment Valuation" has the meaning given thereto in Condition 5(b)
(Over-Collateralisation Testing and Reporting).
"Unused Class B Notes Commitments" means the aggregate of available Commitments in respect of
the Class B Notes which are applicable for the time being.
"Unused Class C Notes Commitments" means the aggregate of available Commitments in respect of
the Class C Notes which are applicable for the time being.
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(b)
"Unused Class D Notes Commitments" means the aggregate of available Commitments in respect of
Class D Notes which are applicable for the time being.
"Unused Class E Subordinated Notes Commitments" means the aggregate of available
Commitments in respect of the Class E Subordinated Notes which are applicable for the time being.
"Unused Senior Commitments" means the aggregate of available Commitments in respect of Senior
Indebtedness which are applicable for the time being.
"VAT" shall be construed as a reference to value added tax including any similar tax which may be
imposed in place thereof from time to time.
"VF Conditions" means the conditions applicable to VF Notes, as the context may require.
"VF Instrument" means, together, the Master Trust Deed and a Trust Instrument pursuant to which
VF Notes are issued and constituted.
“VFN Agent” means any agent appointed pursuant to a Trust Investment, in relation to VF Notes.
"VF Notes" means any notes which are designated as VF Notes and are issued and constituted
pursuant to a Trust Instrument.
"VF Noteholders" means any Holder of a VF Note, as such Holder may be more particularly described
in the relevant VF Instrument.
Without prejudice to references to specified Agents or the Collateral Manager undertaking the same on
its behalf, references in these Conditions and the Market Valuation Manual to the Issuer effecting any
action shall be construed to include such actions being undertaken on its behalf by the Agents and/or
the Collateral Manager pursuant to the terms of the Transaction Documents.
2. Form, Denomination, Title and Transfer
(a)
(b)
(c)
Form and Denomination
The Notes of each Class sold outside the United States to persons who are not U.S. Persons
(as defined in Regulation S) in offshore transactions in reliance on Regulation S under the
Securities Act will be represented on issue by a permanent global note in fully registered form,
without interest coupons or principal receipts (each, a “Regulation S Global Note” and
together, the “Regulation S Global Notes”).
The Notes of each Class sold in reliance on Rule 144A under the Securities Act to QIB/QPs for
the purposes of Section 3(c)(7) of the Investment Company Act, will be represented by one or
more permanent global notes of such Class, in fully registered form, without interest coupons
or principal receipts (each, a “Rule 144A Global Note” and, together, the “Rule 144A Global
Notes” which together with the Regulation S Global Notes are referred to herein as the “Global
Notes”).
Except in limited circumstances owners of beneficial interests in Global Notes will not be
entitled to receive physical delivery of Notes in definitive form.
Title to the Registered Definitive Notes
Title to the Notes passes upon registration of transfers in the Register in accordance with the
provisions of the Agency Agreement and the Trust Deed. Notes will be transferable only on the
books of the Issuer and its agents. The registered Holder of any Note will (except as otherwise
required by law) be treated as its absolute owner for all purposes (whether or not it is overdue
and regardless of any notice of ownership, trust or any interest in it, any writing on it, or its theft
or loss) and no person will be liable for so treating the Holder.
Transfer
One or more Notes may be transferred in whole or in part in nominal amounts of the applicable
Authorised Denomination only upon the surrender, at the specified office of the Registrar or
any Transfer Agent, of the Definitive Note representing such Note(s) to be transferred, with the
form of transfer endorsed on such Definitive Note duly completed and executed and together
with such other evidence as the Registrar or Transfer Agent may reasonably require. In the
case of a transfer of part only of a holding of Notes represented by one Definitive Note, a new
Definitive Note will be issued to the transferee in respect of the part transferred and a further
new Definitive Note in respect of the balance of the holding not transferred will be issued to the
transferor.
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(d)
(e)
(f)
(g)
(h)
Delivery of New Definitive Notes
Each new Definitive Note to be issued pursuant to Condition 2(c) (Transfer) will be available for
delivery within five Business Days of receipt of such form of transfer or of surrender of an
existing Definitive Note upon partial redemption. Delivery of new Definitive Note(s) shall be
made at the specified office of the Transfer Agent or of the Registrar, as the case may be, to
whom delivery or surrender shall have been made or, at the option of the holder making such
delivery or surrender as aforesaid and as specified in the form of transfer or otherwise in
writing, shall be mailed by pre-paid first class post, at the risk of the holder entitled to the new
Definitive Note, to such address as may be so specified. In this Condition 2(d) (Delivery of
New Definitive Notes), “Business Day” means a day, other than a Saturday or Sunday, on
which banks are open for business in the place of the specified offices of the Transfer Agents
and the Registrar.
Transfer Free of Charge
Transfer of Notes and Definitive Notes representing such Notes in accordance with these
Conditions of the Notes on registration or transfer will be effected without charge by or on
behalf of the Issuer, the Registrar or the Transfer Agent, but upon payment (or the giving of
such indemnity as the Registrar or the relevant Transfer Agent may require in respect thereof)
of any tax or other governmental charges which may be imposed in relation to it.
Closed Periods
No Noteholder may require the transfer of a Note to be registered (i) during the period of 15
calendar days ending on the due date for redemption (in full) of that Note or (ii) during the
period of seven calendar days ending on (and including) any Record Date.
Regulations Concerning Transfer and Registration
All transfers of Notes and entries on the Register will be made subject to the detailed
regulations concerning the transfer of Notes scheduled to the Trust Deed, including without
limitation, that a transfer of Notes in breach of certain of such regulations will result in such
transfer being void ab initio. The regulations may be changed by the Issuer in any manner
which is reasonably required by the Issuer (after consultation with the Trustee) to reflect
changes in legal or regulatory requirements or in any other manner which, in the opinion of the
Issuer (after consultation with the Trustee and subject to not less than 60 days’ notice of any
such change having been given to the Noteholders in accordance with Condition 16 (Notices)),
is not prejudicial to the interests of the holders of the relevant Class of Notes. A copy of the
current regulations may be inspected at the offices of any Transfer Agent during usual
business hours on any Business Day for the term of the Notes and will be sent by the Registrar
to any Noteholder who so requests.
Forced Transfer of Rule 144A Notes
If the Issuer determines at any time that a U.S. holder of Rule 144A Notes is not a
QIB/Qualified Purchaser (any such person, a “Non-Permitted Holder”), the Trustee, at the
direction of the Issuer, may direct such Non-Permitted Holder to sell or transfer its Notes
outside the United States to a U.S. Person or within the United States to a U.S. Person that is a
QIB/Qualified Purchaser within 30 days following receipt of such notice. If such Non-Permitted
Holder fails to sell or transfer its Rule 144A Notes within such period, such Non-Permitted
Holder may be required by the Issuer to sell such Rule 144A Notes to a purchaser selected by
the Issuer on such terms as the Issuer may choose, subject to the transfer restrictions set out
herein. The Issuer may select the purchaser by soliciting one or more bids from one or more
brokers or other market professionals that regularly deal in securities similar to the Rule 144A
Notes and selling such Rule 144A Notes to the highest such bidder. However, the Issuer may
select a purchaser by any other means determined by it in its sole discretion. Each Noteholder
and each other person in the chain of title from the permitted Noteholder to the Non-Permitted
Holder by its acceptance of an interest in the Rule 144A Notes agrees to co-operate with the
Issuer and the Trustee to effect such transfers. The proceeds of such sale, net of any
commissions, expenses and taxes due in connection with such sale shall be remitted to the
selling Noteholder. The terms and conditions of any sale hereunder shall be determined in the
sole discretion of the Issuer, subject to the transfer restrictions set out herein, and neither the
Issuer nor the Trustee shall be liable to any person having an interest in the Notes sold as a
result of any such sale or the exercise of such discretion. The Issuer and the Trustee reserve
the right to require any holder of Rule 144A Notes to submit a written certification
substantiating that it is a QIB/Qualified Purchaser and a U.S. Person. If such holder fails to
submit any such requested written certification on a timely basis, the Issuer and the Trustee
have the right to assume that the holder of the Notes from whom such a certification is
requested is not a QIB/Qualified Purchaser or a non-U.S. Person. Furthermore, the Issuer
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and, as the case may be, the Trustee reserve the right to refuse to honour a transfer of
beneficial interests in a Rule 144A Note to any person who is either a non-U.S. Person or a
U.S. Person that is not a QIB/Qualified Purchaser.
(i)
3. Status
(a)
Issue of Partially Paid Class E Subordinated Notes
The following shall apply in respect of those Class E Subordinated Notes in Condition 20 which
refer to this Condition 2(i) thereunder:
Partially Paid Class E Subordinated Notes The Class E Subordinated Notes will be issued
partially paid and subject to the right of the Issuer to demand further partial instalments prior to
the Class E Commitment Termination Date (in relation to each such partially paid issuance,
"Class E Partial Instalment Payments") from Class E Subordinated Noteholders holding such
partially paid Class E Subordinated Notes, pro rata according to their respective holding, up to
the level of the Class E Commitment by service of a notice on Class E Subordinated
Noteholders not less than 5 Business Days prior to the applicable Class E Partial Payment
Date provided that (a) no more than 50 separate Class E Partial Instalment Payments may be
made with respect to each issuance of partially paid Class E Subordinated Notes, (b) no such
Class E Partial Instalment Payment may be requested if after and notwithstanding receipt and
application of the proceeds of the same a Transaction Default, a Transaction Event of Default
or a failure to comply with the Over Collateralisation Tests shall have occurred and be
continuing and (c) any such Class E Partial Instalment Payment shall be requested and made
without prejudice to the right of the Issuer to issue further Class E Subordinated Notes
pursuant to Condition 17 (Further Issues). Upon receipt of each Class E Partial Instalment
Payment the Paying Agent shall note or procure that there is noted on the schedule to the
relevant Global Note the attendant increase in the Principal Amount Outstanding of the Class E
Subordinated Notes and shall procure the signature of such notation on its behalf. To the
extent that any commitment fees accrue to the Class E Subordinated Noteholders of any
partially paid Class E Subordinated Note, accrual of the same shall terminate with effect from
the occurrence of an Event of Default which gives rise to enforcement pursuant to Condition 11
(Enforcement). In such circumstances no further Class E Partial Instalment Payments may be
demanded by the Issuer hereunder.
Forfeiture of Partially Paid Class E Subordinated Notes In the event that a Class E
Subordinated Noteholder fails to make a Class E Partial Instalment Payment, 1 per cent. of the
Principal Amount Outstanding of the Class E Subordinated Notes held by it in respect of which
such Class E Partial Instalment Payment was due shall be forfeited with effect from the Class E
Partial Payment Date on which such Class E Partial Instalment Payment was due. In the event
of the forfeiture of a Class E Subordinated Note as aforesaid, the Paying Agent shall note or
procure that there is noted on the schedule to the relevant Global Note, the aggregate principal
amount so forfeited and the remaining Principal Amount Outstanding of such Global Note and
shall procure the signature of such notation on its behalf. The Issuer and Paying Agent shall
cancel or procure the cancellation of each Global Note (or, as the case may be, Definitive
Note) in respect of which all the Notes represented thereby have been forfeited.
Responsibility of Trustee in respect of partial payments Following the receipt of each Class E
Partial Instalment Payment (the "Class E Partial Instalment Payment" and the date on which
any Class E Partial Instalment Payment is received, a "Class E Partial Payment Date"), the
Trustee shall confirm to the Noteholders and the Issuer (1) receipt of the relevant Class E
Partial Instalment Payment and (2) the resulting Principal Amount Outstanding of each Note
following receipt of the relevant Class E Partial Instalment Payment and the Issuer shall
provide notice of such information to the Noteholders in accordance with Condition 16
(Notices).
Status
The Notes of each Class constitute direct, general, secured, unconditional obligations of the
Issuer, recourse in respect of which is limited in the manner described in Condition 4(c)
(Limited Recourse). The Notes of each Class are secured in the manner described in
Condition 4(a) (Security) and, within each Class, shall at all times rank pari passu and without
any preference amongst themselves.
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(b)
Relationship among the Classes and Payments on the Notes
(i)
Priority Classes and Junior Classes
Class of Notes / VF Notes Junior Classes Priority Classes
Class A / VF B, C, D, E, None
Class B C, D, E, A / VF
Class C D, E, A / VF, B
Class D E A / VF, B, C
Class E Subordinated None A / VF, B, C, D
Except as described below, the Holders of each Class of Notes that is a Junior Class,
agree for the benefit of the Holders of the Notes of each Priority Class with respect to
such Class of Notes that such Class of Notes shall be fully subordinated and junior to
the Notes of each Priority Class to the extent and in the manner provided in this
Offering Circular and the Trust Deed. Where “Priority Class” in respect of any Class
of Notes means each Class of Notes that ranks senior to that Class, as indicated in
the table above, and “Junior Class” in respect of any Class of Notes means each
Class of Notes that ranks junior to that Class, as indicated in the table above.
The Notes of each Class are constituted by the Trust Deed and are secured on the
Collateral as further described in the Security Documents and subject always to the
Intercreditor Arrangements. Subject to any payment of the same which (w) is
permitted to be made pursuant to Condition 7(c) (Redemption at the Option of the
Issuer), (x) is permitted to be made on a Premature Redemption Date, (y) is permitted
to be made pursuant to Condition 7(a) (Final Redemption) or (z) is otherwise
permitted pursuant to the Intercreditor Arrangements, no payment of principal or
interest (including any Blocked Junior Note Interest or Additional Interest, as
applicable) on any Class of Notes may be made until (i) all payments of principal due
and payable on each Priority Class with respect to such Class of Notes and (ii) any
Outstanding Issuer Swap Termination Payments, have been made in full in
accordance with the Intercreditor Priority of Payments.
Subject to any payment of the same which (w) is permitted to be made pursuant to
Condition 7(c) (Redemption at the Option of the Issuer), (x) is permitted to be made
on a Premature Redemption Date, (y) is permitted to be made pursuant to
Condition 7(a) (Final Redemption) or (z) is otherwise permitted pursuant to the
Intercreditor Arrangements, no amount of principal (for the avoidance of doubt,
excluding any applicable Blocked Junior Note Interest) on any Class of Notes shall
become due and payable until redemption and payment in full of each Priority Class
with respect to such Class of Notes have been made in full in accordance with the
Intercreditor Priority of Payments. No Additional Interest in respect of Class E
Subordinated Notes shall become due and payable or be paid until redemption and
payment in full of each Priority Class and payment of all other liabilities of the Issuer in
accordance with Condition 7 (Redemption) and the Intercreditor Arrangements.
(ii)
Payments on Class E Subordinated Notes
To the extent that on any Payment Date the Collateral Manager has sums available to
it which may be applied on such Payment Date in favour of the Class E Subordinated
Noteholders (subject to Condition 3(c) (Payment of Amounts), this Condition 3(d) and
Condition 6 (Interest) and whether by way of interest (including amounts standing to
the credit of the Ledger) or Additional Interest, as the case may be), (x) the Collateral
Manager shall be entitled at its sole discretion (A) so to apply such sums or (B) to
reinvest such sums in the Portfolio or (y) in the event that the Collateral Manager
chooses so to apply such sums, each Holder of Class E Subordinated Notes shall be
entitled to require that the Collateral Manager applies the whole or part of those sums
to which such Holder is then entitled, by way of reinvestment in the Portfolio and any
such amounts reinvested shall be added to the Principal Amount Outstanding of such
Class E Subordinated Notes.
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(c)
(d)
(iii)
Ledger
If:
(xx)
(yy)
(zz)
the Collateral Manager acts pursuant to Condition 3(b)(ii)(x)(B) in respect of
interest on Class E-1a Preferred Subordinated Notes,
the Holders of Class E-1a Preferred Subordinated Notes act pursuant to
Condition 3(b)(ii)(y), or
on any Payment Date the amount available for payment to the Holders of
Class E-1a Preferred Subordinated Notes under paragraph (q)(i)(A) of the
Intercreditor Priority of Payments is less than the amount of interest then
payable to the Holders of Class E-1a Preferred Subordinated Notes,
then the amount by which:
(aa)
(bb)
the aggregate of (A) the sums so reinvested under (xx) or (yy) and (B) those
paid to the Class E-1a Preferred Subordinated Noteholders, or
the sums then available for payment under (zz)
is less than the amount of interest then payable to the Holders of the Class E-1a
Preferred Subordinated Notes, shall be added to the Ledger and applied in
accordance with this Condition 3 and the Intercreditor Priority of Payments.
The outstanding balance on the Ledger shall bear interest at the Rate of Interest
applicable to the Class E-1a Preferred Subordinated Notes.
Payment of Amounts
On each Payment Date, the Issuer shall (a) in relation to any Class A Notes, pay or procure the
payment of the Interest Payment Amount payable to Class A Noteholders on such date,
(b) subject to Condition 3(d) (Restricted Payments) in relation to any Class B Notes, pay or
procure the payment of the Interest Payment Amount payable to Class B Noteholders on such
date, (c) subject to Condition 3(d) (Restricted Payments) in relation to any Class C Notes, pay
or procure the payment of the Interest Payment Amount payable to Class C Noteholders on
such date, (d) subject to Condition 3(d) (Restricted Payments) in relation to any Class D Notes,
pay or procure the payment of the Interest Payment Amount payable to Class D Noteholders
on such date and (e) subject to Condition 3(d) (Restricted Payments) in relation to the Class E
Subordinated Notes, at the direction of the Collateral Manager (acting in its sole discretion),
pay or procure the payment of the Interest Payment Amount payable to Class E Subordinated
Noteholders on such date and any Additional Interest then available for disbursement to the
Class E Subordinated Noteholders in accordance with the priorities set out in paragraph (q) of
the Intercreditor Priority of Payments.
Restricted Payments
Restrictions on Repayment or Purchases of Class B Notes While any Class A Notes or VF
Notes are Outstanding or there are any Outstanding Issuer Swap Termination Payments, the
Issuer may only make any purchase or repayment in respect of any Class B Notes if (i) the
same is permitted by the Restricted Payment Provisos and (ii) on the date each such purchase
or repayment is made and immediately after giving effect thereto, no amount remains due and
payable in respect of any Class A Notes, VF Notes or Outstanding Issuer Swap Termination
Payments.
Restrictions on Repayment or Purchases of Class C Notes While (x) any Class A Notes or VF
Notes are Outstanding or there are any Outstanding Issuer Swap Termination Payments or
(y) any Class B Notes are Outstanding, the Issuer may only make any purchase or repayment
in respect of any Class C Notes if (i) the same is permitted by the Restricted Payment Provisos
and (ii) on the date each such purchase or repayment is made and immediately after giving
effect thereto, no amount remains due and payable in respect of any Class A Notes, VF Notes
or Outstanding Issuer Swap Termination Payments or Class B Notes.
Restrictions on Repayment or Purchases of Class D Notes While (w) any Class A Notes or VF
Notes are Outstanding or there are any Outstanding Issuer Swap Termination Payments,
(x) any Class B Notes are Outstanding or (y) any Class C Notes are Outstanding, the Issuer
may only make any purchase or repayment in respect of any Class D Notes if (i) the same is
permitted by the Restricted Payment Provisos and (ii) on the date each such purchase or
repayment is made and immediately after giving effect thereto, no amount remains due and
payable in respect of any Class A Notes, VF Notes, Outstanding Issuer Swap Termination
Payments, Class B Notes or Class C Notes.
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Restrictions on Payments on Class E Subordinated Notes While (v) any Class A Notes or
VF Notes are Outstanding or there are any Outstanding Issuer Swap Termination Payments,
(w) any Class B Notes are Outstanding, (x) any Class C Notes are Outstanding or (y) any
Class D Notes are Outstanding, the Issuer may only make any purchase or repayment in
respect of the Class E Subordinated Notes (including the payment of any Additional Interest) if
(i) the same is permitted by the Restricted Payment Provisos and (ii) on the date each such
payment is made and immediately after giving effect thereto, no amount remains due and
payable in respect of any Class A Notes, VF Notes, Outstanding Issuer Swap Termination
Payments, Class B Notes, Class C Notes or Class D Notes.
(e)
(f)
(g)
(h)
De Minimis Amounts
The Collateral Administrator may, in consultation with the Collateral Manager, adjust the
amounts required to be applied in payment of principal on Class A Notes, Class B Notes,
Class C Notes, Class D Notes and Class E Subordinated Notes so that the amount to be so
applied in respect of each Class A Note, Class B Note, Class C Note, Class D Notes and
Class E Subordinated Note is a whole amount, not involving any fraction of one cent or, at the
discretion of the Collateral Administrator, part of one Euro (or equivalent).
Publication of Amounts
The Collateral Administrator will cause details as to the amounts of interest and principal to be
paid, and any amounts of interest payable but not paid, on each Payment Date in respect of
the Notes to be notified at the expense of the Issuer to the Issuer, the Trustee, the Principal
Paying Agent, the Registrar and the Irish Stock Exchange by no later than 11.00 a.m. (London
time) on the third Business Day following the applicable Determination Date and Registrar shall
procure that details of such amounts are notified at the expense of the Issuer to the
Noteholders of each Class in accordance with Condition 16 (Notices) as soon as possible after
notification thereof to the Registrar in accordance with the above but in no event later than (to
the extent applicable) the third Business Day after the last day of the applicable Due Period.
Notifications to be Final
All notifications, opinions, determinations, certificates, quotations and decisions given,
expressed, made or obtained or discretions exercised for the purposes of the provisions of this
Condition 3 (Status) will (in the absence of manifest error) be binding on the Issuer, the
Collateral Administrator, the Trustee, the Registrar, the Principal Paying Agent, the Transfer
Agents and all Noteholders and (in the absence as referred to above) no liability to the Issuer
or the Noteholders shall attach to the Collateral Administrator in connection with the exercise or
non-exercise by it of its powers, duties and discretions under Condition 3 (Status).
Blockage Periods
(i)
Senior Blockage Upon the occurrence of a Senior Payment Default or in the event
that the Issuer fails to be in compliance with the Senior Over-Collateralisation Test
(before giving effect to any grace period set forth in the applicable Transaction
Document), the Issuer and, upon receipt of actual knowledge thereof, the
Representative of the Holders of the applicable Senior Indebtedness shall provide
written notice (or telephone notice promptly confirmed in writing) thereof to the
Custodian, the Security Trustee and the other Representatives (or all Representatives
in the case of a notice by the Issuer) and, unless and until such Senior Payment
Default shall have been cured or waived or shall have ceased to exist or the Issuer
shall have come into compliance with the Senior Over-Collateralisation Test, as the
case may be, no payment may be made by the Issuer, or on behalf of the Issuer, on
account of Class B Notes, Class C Notes, Class D Notes or Class E Subordinated
Notes (including pursuant to an Offer to Purchase). Any failure of the Issuer or any
Representative to furnish such notice, or any defect therein, shall not have any effect
on the consequences of such Senior Payment Default or such failure to comply with
the Senior Over-Collateralisation Test, in each case as provided in the applicable
Transaction Document.
If a Senior Blockage Trigger Event shall occur and be continuing, the Security Trustee
shall, if directed by the Controlling Class to do so, provide written notice (or telephone
notice promptly confirmed in writing) (a "Senior Blockage Notice") thereof to the
Custodian, the Issuer and each Representative stating that no payment may be made
by the Issuer, or on behalf of the Issuer, on account of Class B Notes, Class C Notes,
Class D Notes or Class E Subordinated Notes (including pursuant to an Offer to
Purchase) and until the end of the Senior Blockage Period, no such payment shall be
made by either the Issuer or the Security Trustee. No more than one Senior Blockage
Notice may be given during any period of 365 consecutive days.
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(ii)
(iii)
Class B Notes Blockage Upon the occurrence of a Class B Notes Payment Default or
in the event that the Issuer fails to be in compliance with the Class B Notes
Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Documents), the Issuer and, upon receipt of actual knowledge
thereof, the Representative of the Holders of the applicable Class B Notes shall
provide written notice (or telephone notice promptly confirmed in writing) thereof to the
Custodian, the Security Trustee and the other Representatives (or all Representatives
in the case of a notice by the Issuer) and, unless and until such Class B Notes
Payment Default shall have been cured or waived or shall have ceased to exist or the
Issuer shall have come into compliance with the Class B Notes Over-Collateralisation
Test, as the case may be, no payment may be made by the Issuer, or on behalf of the
Issuer, on account of Class C Notes, Class D Notes and Class E Subordinated Notes
(including pursuant to an Offer to Purchase), payments being made only on account
of: (x) first interest in the following order of priority: first to the Holders of Senior
Indebtedness and second to the Class B Noteholders and (y) second (i) such
amounts of principal as are required to ensure compliance with the Class B Notes
Over-Collateralisation Test in accordance with the order of priorities set out in
Condition 3(i) (Prepayment Amounts) or (ii) the purchase or other acquisition of Senior
Indebtedness or, if no Senior Indebtedness is then Outstanding, Class C Notes
(including pursuant to an Offer to Purchase). Any failure of the Issuer or any
Representative to furnish such notice, or any defect therein, shall not have any effect
on the consequences of such Class B Notes Payment Default or such failure to
comply with the Class B Notes Over-Collateralisation Test, in each case as provided
in the applicable Transaction Documents.
If a Class B Notes Blockage Trigger Event shall occur and be continuing, the Security
Trustee shall, if directed by the Controlling Class to do so, provide written notice (or
telephone notice promptly confirmed in writing) (a "Class B Notes Blockage Notice")
thereof to the Custodian, the Issuer and each Representative stating that no payment
may be made by the Issuer, or on behalf of the Issuer, on account of Class C Notes,
Class D Notes and Class E Subordinated Notes (including pursuant to an Offer to
Purchase) and until the end of the Class B Notes Blockage Period, no such payment
shall be made by either the Issuer or the Security Trustee. No more than one Class B
Notes Blockage Notice may be given during any period of 365 consecutive days.
Class C Notes Blockage Upon the occurrence of a Class C Notes Payment Default or
in the event that the Issuer fails to be in compliance with the Class C Notes
Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Documents), the Issuer and, upon receipt of actual knowledge
thereof, the Representative of the Class C Noteholders shall provide written notice (or
telephone notice promptly confirmed in writing) thereof to the Custodian, the Security
Trustee and the other Representatives (or all Representatives in the case of a notice
by the Issuer) and, unless and until such Class C Notes Payment Default shall have
been cured or waived or shall have ceased to exist or the Issuer shall have come into
compliance with the Class C Notes Over-Collateralisation Test, as the case may be,
no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class D Notes and Class E Subordinated Notes (including pursuant to an Offer to
Purchase), payments being made only on account of: (x) first interest in the following
order of priority: first to the Holders of Senior Indebtedness, second to the Class B
Noteholders and third to the Class C Noteholders and (y) second (i) such amounts of
principal as are required to ensure compliance with the Class C Notes
Over-Collateralisation Test in accordance with the order of priorities set out in
Condition 3(i) (Prepayment Amounts) or (ii) the purchase or other acquisition of Senior
Indebtedness or, if no Senior Indebtedness is then Outstanding, Class B Notes or, if
no Senior Indebtedness or Class B Notes are then Outstanding, Class C Notes
(including pursuant to an Offer to Purchase). Any failure of the Issuer or any
Representative to furnish such notice, or any defect therein, shall not have any effect
on the consequences of such Class C Notes Payment Default or such failure to
comply with the Class C Notes Over-Collateralisation Test, in each case as provided
in the applicable Transaction Documents.
If a Class C Notes Blockage Trigger Event shall occur and be continuing, the Security
Trustee shall, if directed by the Controlling Class to do so, provide written notice (or
telephone notice promptly confirmed in writing) (a "Class C Notes Blockage Notice")
thereof to the Custodian, the Issuer and each Representative stating that no payment
may be made by the Issuer, or on behalf of the Issuer, on account of Class D Notes or
Class E Subordinated Notes (including pursuant to an Offer to Purchase) and until the
end of the Class C Notes Blockage Period, no such payment shall be made by either
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(i)
(iv)
(v)
the Issuer or the Security Trustee. No more than one Class C Notes Blockage Notice
may be given during any period of 365 consecutive days.
Class D Notes Blockage Upon the occurrence of a Class D Notes Payment Default or
in the event that the Issuer fails to be in compliance with the Class D Notes
Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Documents), the Issuer and, upon receipt of actual knowledge
thereof, the Representative of the Class D Noteholders shall provide written notice (or
telephone notice promptly confirmed in writing) thereof to the Custodian, the Security
Trustee and the other Representatives (or all Representatives in the case of a notice
by the Issuer) and, unless and until such Class D Notes Payment Default shall have
been cured or waived or shall have ceased to exist or the Issuer shall have come into
compliance with the Class D Notes Over-Collateralisation Test, as the case may be,
no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class E Subordinated Notes (including pursuant to an Offer to Purchase), payments
being made only on account of: (x) first interest in the following order of priority: first
to the Holders of Senior Indebtedness, second to the Class B Noteholders, third to the
Class C Noteholders and fourth to the Class D Noteholders and (y) second (i) such
amounts of principal as are required to ensure compliance with the Class D Notes
Over-Collateralisation Test in accordance with the order of priorities set out in
Condition 3(i) (Prepayment Amounts) or (ii) the purchase or other acquisition of Senior
Indebtedness or, if no Senior Indebtedness is then Outstanding, the Class B Notes or,
if no Senior Indebtedness or Class B Notes is then Outstanding, Class C Notes or, if
no Senior Indebtedness, Class B Notes or Class C Notes are then Outstanding, the
Class D Notes (including pursuant to an Offer to Purchase). Any failure of the Issuer
or any Representative to furnish such notice, or any defect therein, shall not have any
effect on the consequences of such Class D Notes Payment Default or such failure to
comply with the Class D Notes Over-Collateralisation Test, in each case as provided
in the applicable Transaction Documents.
If a Class D Notes Blockage Trigger Event shall occur and be continuing, the Security
Trustee shall, if directed by the Controlling Class to do so, provide written notice (or
telephone notice promptly confirmed in writing) (a “Class D Notes Blockage Notice")
thereof to the Custodian, the Issuer and each Representative stating that no payment
may be made by the Issuer, or on behalf of the Issuer, on account of Class E
Subordinated Notes (including pursuant to an Offer to Purchase) and until the end of
the Class D Notes Blockage Period, no such payment shall be made by either the
Issuer or the Security Trustee. No more than one Class D Notes Blockage Notice
may be given during any period of 365 consecutive days.
Payment of Blocked Junior Note Interest Blocked Junior Note Interest will be added to
the Principal Amount Outstanding of each Class of Junior Interest-Bearing Notes on
which the same is owed and thereafter interest will accrue on the Principal Amount
Outstanding thereof as so increased in accordance with these Conditions provided
that any Blocked Junior Note Interest (other than in respect of the Class E
Subordinated Notes) rolled up as aforesaid shall, to the extent permitted by the
Intercreditor Arrangements, be repaid prior to the repayment of any other principal on
the applicable Junior Interest-Bearing Notes (other than in respect of the Class E
Subordinated Notes) (on the Payment Date next following the end of the Blockage
Period or such other Payment Date as the Issuer, at the direction of the Collateral
Manager, may deem prudent) provided that such payment shall not, as applicable, be
entitled to any make-whole premium.
Prepayment Amounts
Senior Prepayment Amounts Without prejudice to Condition 3(h) (Blockage Periods), if at any
time any Senior Indebtedness is required to be prepaid, (x) no payment shall be made on
account of the principal of, premium (if any) or interest on, or commitment fees (if any) or
breakage costs (if any) with respect to, any Class B Notes, Class C Notes, Class D Notes or
Class E Subordinated Notes and (y) no payment, including in respect of Additional Interest,
shall be made with respect to the Class E Subordinated Noteholders until such prepayment
has been made.
Class B Prepayment Amounts Without prejudice to Condition 3(h) (Blockage Periods), if at any
time any Senior Indebtedness or Class B Notes are required to be prepaid (x) no payment shall
be made on account of the principal of, premium (if any) or interest on, or commitment fees (if
any) or breakage costs (if any) with respect to, any Class C Notes, Class D Notes or Class E
Subordinated Notes and (y) no payment, including in respect of Additional Interest, shall be
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4. Security
made with respect to the Class E Subordinated Noteholders until such prepayment has been
made.
Class C Prepayment Amounts Without prejudice to Condition 3(h) (Blockage Periods), if at any
time any Senior Indebtedness, Class B Notes or Class C Notes are required to be prepaid (x)
no payment shall be made on account of the principal of, premium (if any) or interest on, or
commitment fees (if any) or breakage costs (if any) with respect to any Class D Notes or
Class E Subordinated Notes and (y) no payment, including in respect of Additional Interest,
shall be made with respect to the Class E Subordinated Noteholders until such prepayment
has been made.
Class D Prepayment Amounts Without prejudice to Condition 3(h) (Blockage Periods), if at any
time any Senior Indebtedness, Class B Notes, Class C Notes or Class D Notes are required to
be prepaid (x) no payment shall be made on account of the principal of, premium (if any) or
interest on, or commitment fees (if any) or breakage costs (if any) in respect to any Class E
Subordinated Notes and (y) no payment, including in respect of Additional Interest, shall be
made with respect to the Class E Subordinated Noteholders until such prepayment has been
made.
(a)
Security
Pursuant to the Security and Intercreditor Deed, with full title guarantee and as continuing
security for the discharge of its Secured Obligations, the Issuer has:
(i)
(ii)
charged, in favour of the Security Trustee, by way of first fixed charge, to the extent
not effectively assigned pursuant to the Security and Intercreditor Deed and (if
required pursuant to the Security and Intercreditor Deed) with such assignment having
been perfected by service of an appropriate notice of assignment: (A) all (x) Issuer
Investments and (y) Counterparty Downgrade Collateral at any time beneficially
and/or legally owned by the Issuer and all Related Rights, (B) all of the Issuer's rights,
title, interest and benefits in, to or in respect of (x) each Material Agreement and (y)
each Secured Hedging Agreement including any rights of the Issuer under any credit
support annex entered into pursuant to such Secured Hedging Agreement and (C) the
Deposits, provided that, in the case of (A) above: (i) any Synthetic Collateral required
to be paid or delivered to a Synthetic Counterparty from time to time pursuant to the
terms of any Synthetic Security shall be automatically released from such charge
simultaneously upon such payment or delivery, (ii) any Counterparty Downgrade
Collateral required to be paid or delivered to a Secured Hedging Counterparty from
time to time pursuant to the terms of any Secured Hedging Agreement shall be
automatically released from such charge simultaneously upon such payment or
delivery and (iii) such charge is subject to any security interest in any Synthetic
Collateral or Counterparty Downgrade Collateral (as applicable) granted by the
Security Trustee from time to time for the benefit of a Synthetic Counterparty or
Secured Hedging Counterparty pursuant to the relevant Synthetic Security or Secured
Hedging Agreement (as the case may be),
assigned to the Security Trustee by way of security: (A) all rights, title, interest and
benefit, present and future in, to and under (x) the Issuer Investments and (y) the
Counterparty Downgrade Collateral, at any time beneficially and/or legally owned by
the Issuer and all Related Rights, (B) all of the Issuer's rights, title and interest in, to
and in respect of (x) each Material Agreement and (y) each Secured Hedging
Agreement (including any rights of the Issuer under any credit support annex entered
into pursuant to such Secured Hedging Agreement) and (C) at any time while the
Security Trustee and an Account-Holding Bank are not the same legal entity, the
Deposits held with that Account-Holding Bank; provided that, in the case of (A) above:
(i) any Synthetic Collateral required to be paid or delivered to a Synthetic
Counterparty from time to time pursuant to the terms of any Synthetic Security shall
be automatically reassigned by the Security Trustee to the Issuer simultaneously upon
such payment or delivery, (ii) any Counterparty Downgrade Collateral required to be
paid or delivered to a Secured Hedging Counterparty from time to time pursuant to the
terms of any Secured Hedging Agreement shall be automatically reassigned by the
Security Trustee to the Issuer simultaneously upon such payment or delivery and (iii)
such assignment is subject to any Security Interest in any Synthetic Collateral or
Counterparty Downgrade Collateral (as applicable) granted by the Security Trustee
from time to time for the benefit of a Synthetic Counterparty or Secured Hedging
Counterparty pursuant to the relevant Synthetic Security or Secured Hedging
Agreement (as the case may be) and
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(b)
(c)
(iii)
charged, in favour of the Security Trustee, by way of a first floating charge all its
undertaking and assets whatsoever and wheresoever, both present and future, not
otherwise expressed to be charged or effectively assigned pursuant to the Security
and Intercreditor Deed, except for (a) the Excluded Assets (b) any and all assets,
property or rights which are located in, or governed by the laws of The Netherlands
(except for contractual rights or receivables which are charged or assigned to the
Security Trustee) and (c) any and all Dutch Ineligible Securities provided that any
Synthetic Collateral or Counterparty Downgrade Collateral required to be paid or
delivered to a Synthetic Counterparty or Secured Hedging Counterparty (as
applicable) from time to time pursuant to the terms of any Synthetic Security or
Secured Hedging Agreement (as the case may be) shall be automatically released
from the charge created hereunder simultaneously upon such payment or delivery
and such charge is subject to any Security Interest in any Synthetic Collateral or
Counterparty Downgrade Collateral (as applicable) granted by the Security Trustee
from time to time for the benefit of a Synthetic Counterparty or Secured Hedging
Counterparty (as applicable) pursuant to the relevant Synthetic Security or Secured
Hedging Agreement (as the case may be).
The Security and Intercreditor Deed also contains provisions relating to the manner in which
notices and acknowledgments of assignment are to be effected, together with procedures for
converting fixed to floating charges.
In the event that the ratings of the Custodian are downgraded to below the Rating Requirement
or withdrawn, the Issuer shall use reasonable endeavours to procure that a replacement
Custodian satisfying the Rating Requirement and who is acceptable to the Trustee is appointed
in accordance with the provisions of the Agency Agreement.
Pursuant to the terms of the Security Documents, the Trustee is exempted from any liability in
respect of any loss or theft or reduction in value of the Collateral or reduced payments on the
Collateral, from any obligation to insure the Collateral and from any claim arising from the fact
that the Collateral is held in a clearing system or in safe custody by the Custodian, a bank or
other custodian. The Trustee and the Security Trustee have no responsibility for the
management of the Collateral by the Collateral Manager or to supervise the administration of
the Collateral by the Collateral Administrator or any other party and is entitled to rely on the
certificates or notices of any relevant party without further enquiry. The Security Documents
also provide that the Trustee and the Security Trustee shall accept without investigation,
requisition or objection such right, benefit, title and interest, if any, the Issuer may have in and
to any of the Collateral and are not bound to make any investigation into the same or into the
Collateral in any respect.
Pursuant to the Pledge Agreement, the Issuer has also created a Belgian law pledge over any
Issuer Investments from time to time held by the Custodian on behalf of the Issuer in Euroclear.
Application of Proceeds upon Enforcement
The Intercreditor Arrangements provide that the net proceeds of realisation of, or enforcement
with respect to the security over, the Collateral constituted by the Security Documents shall be
applied in accordance with the Intercreditor Priority of Payments.
Limited Recourse
The obligations of the Issuer to pay amounts due and payable in respect of any Notes and to
the other Transaction Creditors at any time shall be limited to the proceeds available at such
time to make such payment in accordance with the Security Documents. If the net proceeds of
realisation of the security constituted by the Security Documents, upon enforcement thereof in
accordance with Condition 11 (Enforcement) and the provisions of the Security Documents, are
less than the aggregate amount payable in such circumstances by the Issuer in respect of the
Notes and to the other Transaction Creditors (such negative amount being referred to herein as
a "shortfall"), the obligations of the Issuer in respect of the Notes of each Class and its
obligations to the other Transaction Creditors in such circumstances will be limited to such net
proceeds, which shall be applied in accordance with the Intercreditor Priority of Payments. In
such circumstances, the other assets of the Issuer (including the Excluded Assets) will not be
available for payment of such shortfall which shall be borne by Class A Noteholders, Class B
Noteholders, Class C Noteholders, Class D Noteholders and Class E Subordinated
Noteholders, the Trustee and the other Transaction Creditors in inverse order of the
Intercreditor Priority of Payments, the rights of the Transaction Creditors to receive any further
amounts in respect of such obligations shall be extinguished and none of the Noteholders of
any Class, the Trustee, the Security Trustee, or the other Transaction Creditors may take any
further action to recover such amounts. None of the Noteholders of any Class, the Trustee or
the other Transaction Creditors (nor any other person acting on behalf of any of them) shall be
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entitled at any time to institute against the Issuer, or join in any institution against the Issuer of,
any bankruptcy, reorganisation, arrangement, insolvency, winding-up or liquidation
proceedings or other proceedings under any applicable bankruptcy or similar law in connection
with any obligations of the Issuer relating to the Notes of any Class, the Trust Deed or
otherwise owed to the Transaction Creditors, save for lodging a claim in the liquidation of the
Issuer which is initiated by another party or taking proceedings to obtain a declaration or
judgment as to the obligations of the Issuer.
None of the Trustee, the Security Trustee, the Directors, the Placement Agent, any Secured
Hedging Counterparty, the Collateral Manager, the Collateral Administrator, the Principal
Paying Agent, the Registrar or the Custodian has any obligation to any Noteholder of any Class
or other Transaction Creditor for payment of any amount by the Issuer in respect of the Notes
of any Class.
(d)
(e)
(f)
Acquisition and Sale of Issuer Investments and Termination of Collateral Manager
Appointment by Class E Subordinated Noteholders
Pursuant to the Collateral Management Agreement the Collateral Manager will acquire,
dispose of and manage Issuer Investments on behalf of the Issuer by reference to the Market
Valuation Manual so as to comply with the Over-Collateralisation Tests subject to the
parameters set out in the Collateral Management Agreement. Pursuant to the Collateral
Management Agreement, the Class E Subordinated Noteholders acting by Extraordinary
Resolution, may on the seventh Incentive Fee Payment Date following the Initial Closing Date
and on each anniversary thereof, instruct the Issuer to terminate the appointment of the
Collateral Manager upon 90 days written notice from the Issuer to the Collateral Manager (the
"Collateral Manager Termination Right"), subject to a replacement Collateral Manager being
appointed and approved pursuant to the terms of the Collateral Management Agreement. In the
event that a replacement Collateral Manager is appointed, the Class E Subordinated
Noteholders, acting by Extraordinary Resolution, may approve such amendments to the
Collateral Manager Termination Right as they deem necessary.
Exercise of Rights in Respect of the Collateral
Pursuant to the Collateral Management Agreement, the Issuer authorises the Collateral
Manager, prior to enforcement of the security over the Collateral, to exercise all rights and
remedies of the Issuer in its capacity as a holder of, or person beneficially entitled to, the
Collateral. In particular, the Collateral Manager is authorised, subject to any specific direction
given by the Issuer, to attend and vote at any meeting of holders of, or other persons interested
or participating in, or entitled to the rights or benefits (or a part thereof) under, the Collateral
and to give any consent, waiver, indulgence, time or notification, make any declaration or agree
any composition, compounding or other similar arrangement with respect to any asset forming
part of the Collateral.
Subject to the Intercreditor Arrangements and the Security Documents, the Collateral Manager
on behalf of the Issuer will generally be permitted to instruct the Custodian: (A) to (i) invest any
interest, dividends, sale proceeds and other cash flow from the Collateral, (ii) sell any of the
Collateral and (iii) invest the net proceeds from the offering of the Notes and any borrowings
under any other Issuer Indebtedness and (B) to use any cash in the Principal Custody Account
to (i) pay any expenses or obligations of the Issuer, (ii) purchase Issuer Investments or other
assets, (iii) make payments in respect of Synthetic Purchase Contracts and Short-Sale
Contracts or (iv) increase or reduce the amount of any Debt of the Issuer provided that the
Collateral Manager's ability to exercise such rights on behalf of the Issuer with respect to the
Collateral (or to instruct the Custodian in relation thereto) will be eliminated upon a Liquidation
Direction and substantially limited after an Acceleration Notice has been served in accordance
with the Intercreditor Arrangements as, in such events, the Controlling Class may exercise
significant rights with respect to the Collateral and the authority of the Custodian in respect of it
will be limited accordingly.
Information regarding the Collateral
For so long as any Rated Notes remain Outstanding, the Issuer will be required (i) to provide
(or procure provision by the Collateral Administrator) to the Trustee, the Security Trustee, the
Irish Paying Agent, the Collateral Manager and the Rating Agencies the Over-Collateralisation
Test Report in accordance with Condition 5(b) (Over-Collateralisation Testing and Reporting)
and (ii) to procure that, as promptly as practicable after production of the same (and in any
event not later than 90 days following the end of the relevant fiscal year) each VF Noteholder
and Noteholder, the Trustee, the Rating Agencies and the Irish Stock Exchange are supplied,
annually, with a copy of the audited accounts for the foregoing fiscal year. The Collateral
Administrator shall forward each of the items referred to in (i) and (ii) to the Holders of the
Notes and VF Notes in accordance with the terms of the Collateral Administration Agreement.
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(g)
Payment of Administrative Expenses etc.
Other than in the event that a Restriction Notice is in effect, the Collateral Manager will instruct
the Custodian to arrange for payment of all Administrative Expenses, Trustee Fees and
Expenses, Collateral Management Fees, Collateral Manager Advances and any commitment
fees payable in respect of any Issuer Indebtedness together with any taxes to which the Issuer
is subject as each of the same become due and payable. In the event that a Restriction Notice
is in effect (i) all such amounts (other than any Incentive Fee and Collateral Manager
Advances) shall be paid prior to any application to Secured Creditors and (ii) any Incentive Fee
and Collateral Manager Advances shall be paid prior to any application to Class E
Subordinated Noteholders, whether pursuant to the Intercreditor Priority of Payments or
otherwise. In the event that following the service of a Liquidation Direction the security over the
Collateral is enforced in accordance with Condition 11 (Enforcement) and there are insufficient
amounts available to meet the foregoing liabilities, the same shall be paid in the following
manner and order: (a) first, to pay any taxes to which the Issuer is subject, (b) second, to pay
in the following order (i) any Trustee Fees and Expenses then due and payable, (ii) any
amounts payable to the Managing Directors pursuant to the Management Agreement, (iii) any
outstanding Issuer Fees and (iv) any Dealer Fees (together with any VAT payable on the
same) due and payable (or which but for the relevant enforcement would have been due and
payable) until paid in full and (c) third, to pay rateably (i) expenses of collection then due and
payable by the Issuer to the Trustee, the Security Trustee and each Agent (as applicable) to
the extent not paid in (b)(i) above, (ii) any Management Fee (together with any VAT payable on
the same) then due and payable by the Issuer to the Collateral Manager and (iii) any
Administrative Expenses (other than any Dealer Fees) then due and payable by the Issuer (in
an aggregate amount not exceeding €300,000) until paid in full. In such circumstances,
pursuant to the Intercreditor Priority of Payments, any Incentive Fee and Collateral Manager
Advances shall be paid in seniority to any amounts owing to Class E Subordinated Noteholders
but after the entitlements of all other Secured Creditors.
5. Covenants of and Restrictions on the Issuer
(a)
General covenants of the Issuer
The Trust Deed contains, inter alia, representations, warranties and covenants in favour of the
Trustee which, amongst other things, require the Issuer to comply with its obligations under the
Transaction Documents and restrict the ability of the Issuer to create or incur any Indebtedness
(other than as contemplated by the Transaction Documents) or to dispose of assets (other than
as contemplated by the Transaction Documents), change the nature of its business or to take,
or fail to take, any action which may adversely affect the priority or enforceability of the security
interest in the Collateral. In particular, the Issuer makes the following covenants.
(i)
(ii)
Limitations on Debt The Issuer will covenant that it will not, and will not create, incur,
assume or, directly or indirectly, guarantee the payment of any Debt except: (a)
Issuer Indebtedness (including refinancings, refundings or replacements thereof
permitted by the Security and Intercreditor Deed and the addition of blocked interest
to the Principal Amount Outstanding thereof) and (b) Debt arising from any advances
made (or deemed to be made) by the Custodian pursuant to the Agency Agreement to
facilitate settlement thereunder provided that such Debt under this Condition 5(a)(i) is
extinguished within five Business Days of its incurrence provided that for each of
these purposes "Debt" does not include any obligations under any Hedging and
Short-Sale Transactions.
Limitations on Security Interests The Issuer will covenant that it will not create,
assume or suffer to exist any security interest on any asset included in the Collateral
whether now owned or hereafter acquired by the Issuer provided, however, that such
restriction shall not apply to any of the following (collectively, "Permitted Security
Interests"): (i) security interests in favour of the Security Trustee for its benefit and
the benefit of the Holders of Issuer Indebtedness, the Custodian (and any
sub-custodian appointed by or on behalf of the Custodian) and the other Secured
Creditors granted under the Security and Intercreditor Deed, (ii) any security interest
or other encumbrance for taxes, assessments or other governmental charges or
levies not yet subject to penalties for non-payment or the validity, applicability or
amount of which is being contested in good faith by appropriate legal proceedings and
with respect to which adequate reserves in accordance with the applicable Dutch
accounting standards have been established by the Issuer, (iii) security interests of
broker-dealers and clearing systems incurred in the ordinary course of business, but
excluding security interests created in connection with the purchase of securities on
margin, the short-sale of securities on margin, or securities lending transactions (other
than Securities Lending Transactions involving Government Securities entered into as
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interest rate hedging transactions permitted under the Transaction Documents),
provided, however, that in the case of broker-dealer security interests relating to
trades not settled in the ordinary course of business, such security interests shall be
Permitted Security Interests under this clause (iii) only if such security interests are
discharged within five Business Days of the Issuer's obtaining actual knowledge
thereof and (iv) (x) judgments against the Issuer in existence less than 30 days after
the entry thereof or with respect to which execution has been stayed so long as the
aggregate amount of all such judgments at any time does not exceed €10,000,000 or
(y) judgments, the payment of which is covered in full (subject to a customary
deductible) by insurance.
(iii)
(iv)
(v)
(vi)
(vii)
(viii)
Limitations on Use of Proceeds The Issuer will covenant that none of the proceeds
from the offering of the Notes will be used, directly or indirectly, to extend "Purpose
Credit" or to acquire or carry "Margin Stock" in any manner that would result in a
violation of Regulations T, U or X of the Federal Reserve Board.
Limitations on Registration as or Becoming an Investment Company The Issuer
will covenant that it will not register as, or conduct its business or take any action
which shall cause it or the Collateral to be required to be registered as, an investment
company under the Investment Company Act provided that the Issuer shall not be in
breach of this covenant if such registration requirement is eliminated within 45 days.
Limitations on Hedging and Short-Sale Transactions The Issuer will covenant
that: (a) the only Interest Rate Hedging Transactions or Currency Hedging
Transactions that it will enter into will be Interest Rate Hedging Transactions or
Currency Hedging Transactions that, in the Issuer's judgment (or the Collateral
Manager's judgment on the Issuer's behalf), are intended to hedge or mitigate risks to
which the Issuer is exposed in the conduct of its business or management of its
liabilities and in the event that such transactions cease to hedge or mitigate such
risks, the Issuer shall, or shall procure that the Collateral Manager shall, use all
reasonable endeavours to unwind the transactions so affected forthwith, (b) it will not
enter into any Interest Rate Hedging Transaction or Currency Hedging Transaction if,
as a result of entering into such transaction, the notional amount of either (i) all
Interest Rate Hedging Transactions or (ii) all Currency Hedging Transactions, as the
case may be, would be greater than the aggregate Market Value of all Non-Excluded
Issuer Investments, (c) it will not purchase or sell, acquire or otherwise enter into any
Hedging and Short-Sale Transaction having a Reference Security that, if it were an
Issuer Investment, would be an Excluded Issuer Investment, (d) it will not purchase or
sell, acquire or otherwise enter into any Short-Sale Contract having a price
(expressed as a percentage of the principal amount outstanding) of less than 65 per
cent., and (e) it will not enter into any Credit Default Exposure Contract having a
spread that is greater than 1000 basis points over the credit default swap index for
securities with comparable ratings to the Reference Security under such Credit
Default Exposure Contract that is the Cheapest to Deliver Security.
Maximum Funding Exposure The Issuer will covenant that it will not permit: (i) the
Maximum Funding Exposure of all Issuer Investments to exceed 20 per cent. of the
Total Capitalisation, (ii) the Permitted Short-Sale Exposure to exceed 15 per cent. of
the Total Capitalisation, (iii) the Short-Sale TRS Contract Exposure to exceed 5 per
cent. of the Total Capitalisation, (iv) the Credit Default Protection Contract Exposure
to exceed 10 per cent. of the Total Capitalisation (v) the notional amount of all Credit
Default Exposure Contracts to exceed 20 per cent. of the Total Capitalisation or
(vi) the aggregate market value of the Reference Securities of all Single Asset Total
Return Swaps that are not Short-Sale TRSs to exceed 5 per cent. of the Total
Capitalisation.
Limitations on Funding Obligations The Issuer will covenant that it will not hold
Loans, Participations or Hedging and Short-Sale Transactions that oblige it to extend
credit to a borrower, to purchase and deliver an asset to a third-party, to make a
settlement payment based upon a decline in the creditworthiness or default of an
asset or the obligor under such asset, or to make payments based upon a change in
the value of a security, unless the Issuer maintains Cash, Cash Equivalents and/or the
availability to make borrowings under a VF Instrument or under other Permitted Debt
Documents in an aggregate amount sufficient to satisfy simultaneously all such
obligations in full on a marked-to-market basis.
Minimum Investment Diversification Requirement The Issuer will covenant that
during the Diversity Compliance Period it will not own Issuer Investments from fewer
than 40 different issuers or own Issuer Investments from issuers in fewer than
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20 different Industries in the case of S&P or fewer than 15 different Industries in the
case of Moody's, as determined in accordance with the Market Valuation Manual and
the Collateral Management Agreement (the "Diversity Compliance Requirement")
provided that if any Issuer Investments acquired by the Issuer (or the Collateral
Manager on its behalf) in fulfilment of the Diversity Compliance Requirement are
redeemed (other than in the case of a scheduled redemption or a disposal by the
Collateral Manager acting on behalf of the issuer of an Issuer Investment) or prepaid
during the Diversity Compliance Period and amounts equal to the monies received by
the Issuer as a consequence of such redemption or prepayment are retained by or on
behalf of the Issuer in the form of Cash or Cash Equivalents, the Issuer shall be
deemed still to retain the Issuer Investments which were the subject of such
redemption or prepayment for the purpose of determining compliance with the
Diversity Compliance Requirement notwithstanding their redemption or prepayment
as aforesaid.
(b)
(ix)
(x)
(xi)
Limitations on Assignment of Collateral Management Agreement The Issuer will
covenant that it will not, subject as provided in Condition 4(a) (Security), without the
written consent of the Noteholders of each Class of Notes, consent to an assignment
of the Collateral Management Agreement except in connection with (x) an assignment
that results from a change in control of the aggregate business conducted by the
Collateral Manager on the Initial Closing Date, (y) an assignment to an Affiliate of the
Collateral Manager or (z) the appointment of an Affiliate of the Collateral Manager as
a delegate thereof.
Consolidations, Mergers and Sales of Assets The Issuer will covenant that it will
not (i) consolidate or merge with or into any other Person or (ii) sell, lease or
otherwise transfer its assets and properties substantially as an entirety to any Person,
unless Rating Agency Confirmation is received in respect thereof and unless: (a) the
Issuer shall be the surviving entity or the successor entity shall be organised under
the laws of The Netherlands and such successor entity shall expressly assume in
writing the due and punctual performance of all obligations and liabilities of the Issuer
under the Notes and the Transaction Documents, (b) immediately after such
transaction no Transaction Default or Transaction Event of Default shall exist, (c) the
Trustee shall have received an opinion of counsel to the effect that the Noteholders
will be subject to Dutch income tax in the same amounts, in the same manner, and at
the same time had no such consolidation, merger, sale, lease or other transfer
occurred and (d) certain other conditions specified in the Master Trust Deed are met.
Content of Portfolio The Issuer will covenant that at all times at least 80 per cent. of
the Portfolio by face value will comprise Senior Secured Loans.
Over-Collateralisation Testing and Reporting
Over-Collateralisation Testing Pursuant to the Trust Deed, the Issuer will use all reasonable
endeavours to procure that the Collateral Manager, on behalf of the Issuer, shall: (A)(i)
calculate the Market Value of each Issuer Investment that is not an Unquoted Investment (x) as
of the Valuation Date for each calendar week and (y) to the extent that a Market Value Price
therefor is determined using an Approved Pricing Service, on each Business Day (such
valuation, a "Quoted Issuer Investment Valuation") and (ii) calculate the Market Value of
each Issuer Investment that is an Unquoted Investment on at least a quarterly basis or, with
respect to Unquoted Investments having an aggregate Market Value in excess of 4 per cent. of
Total Capitalisation, at least monthly (such valuation, an "Unquoted Issuer Investment
Valuation") and (B) on each Business Day on which any Rated Notes or VF Notes remains
Outstanding, determine whether the Over-Collateralisation Tests have been satisfied by
reference to the then most recent Quoted Issuer Investment Valuation and/or the then most
recent Unquoted Issuer Investment Valuation.
Over-Collateralisation Test Reports Pursuant to the Trust Deed, the Issuer will procure (subject
always to the requirement, as applicable, to procure delivery by the Collateral Manager of a
Collateralisation Shortfall Valuation Statement to the same) that, as soon as it is available and
in any event within 3 Business Days of the Valuation Date (such third Business Day, the
"Delivery Deadline"), an Over-Collateralisation Test Report is delivered (at the Issuer's
expense) to the Trustee and Rating Agencies by the Collateral Administrator, which
Over-Collateralisation Test Report shall confirm compliance or otherwise with the
Over-Collateralisation Tests and shall contain further information relating to, among other
things, the then Market Value of Issuer Investments and the calculation of such tests provided
that in the event that any such Over-Collateralisation Test Report is not so furnished on or
before the relevant Delivery Deadline, but is furnished within four Business Days thereof such
omission shall not constitute a Transaction Event of Default for the purpose of
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paragraph (a)(vii) of Condition 10 (Events of Default) if, on the date of the relevant Delivery
Deadline, the Collateral Manager on behalf of the Issuer furnishes the Issuer, Trustee and
Rating Agencies with a written statement, certified by the Collateral Manager on behalf of the
Issuer, to the effect that it and the Issuer reasonably believe that, as of the date of such
Delivery Deadline, the Over-Collateralisation Tests have been satisfied.
Provision of Over-Collateralisation Test Reports Pursuant to the Security and Intercreditor
Deed, on behalf of and at the expense of the Issuer, the Security Trustee will undertake, in
accordance with the Collateral Administration Agreement, to furnish VF Noteholders and
Noteholders with the relevant Over-Collateralisation Test Report it receives from the Collateral
Administrator. By its acceptance of the same each Noteholder and VF Noteholder will be
deemed to acknowledge: (i) that the information contained in each Over-Collateralisation Test
Report is furnished solely for the purpose of providing information to such Noteholder and VF
Noteholder as to whether or not the Over-Collateralisation Tests are satisfied at the relevant
time and (ii) that such information shall not be used for trading purposes or furnished for such
purposes to trading personnel or to any other Person for any purpose which is inconsistent with
the basis on which such Over-Collateralisation Test Report has been so furnished.
Method of Furnishing Over-Collateralisation Test Reports The Issuer's obligation to furnish (or
procure the furnishing of) any Over-Collateralisation Test Report (whether directly or through
the Trustee) to any Person shall be deemed satisfied to the extent that the same is made
available to such Person via access to a website or delivered by email or other means of
electronic transmission, in each case by the Delivery Deadline, provided that in relation to
website access, the Issuer shall promptly furnish (or procure the furnishing of) a written
notification to such Person when the relevant Over-Collateralisation Test Report is available on
a website and provide such Person with the relevant password or access code therefor.
(c)
Over-Collateralisation Failure and Collateralisation Shortfall Dates
Collateralisation Shortfall Dates Pursuant to the Trust Deed, the Issuer will use all reasonable
endeavours to procure that the Collateral Manager on behalf of the Issuer shall, not later than
the Business Day following any Collateralisation Shortfall Date, furnish the Rating Agencies,
the VFN Agent (for furnishing to the VF Noteholders) and the Trustee with a supplement to the
most recent Over-Collateralisation Test Report certified by the Collateral Manager on behalf of
the Issuer, setting forth each of the items included in such most recent Over-Collateralisation
Test Report stated as of such Collateralisation Shortfall Date (each such statement, a
"Collateralisation Shortfall Valuation Statement").
Collateralisation Shortfall Date Remedial Actions Upon the occurrence of a Collateralisation
Shortfall Date, the Issuer (or the Collateral Manager on its behalf) shall, in addition to delivering
the relevant Collateralisation Shortfall Valuation Statement to the same, promptly notify the
Rating Agencies and the Trustee of the occurrence of such Collateralisation Shortfall Date and
either:
(i)
(ii)
within fifteen Business Days of such Collateralisation Shortfall Date, prepay VF Notes,
pay and discharge any Outstanding Issuer Swap Termination Payments and redeem
the Notes in such amounts and to the relevant Prepayment Priority Level as is
necessary to ensure that on the date of their application (the "Prepayment Date")
hereunder, the Over-Collateralisation Tests are satisfied, in the following order of
priority: (i) first on a pro rata basis (I) in redemption of the Senior Indebtedness that
may be re-borrowed, (II) in redemption of the Senior Indebtedness that may not be reborrowed
and (III) in payment of any Outstanding Issuer Swap Termination Payments,
provided that amounts comprising the pro rata entitlement of the Senior Indebtedness
shall be applied in prepayment (A) first of Senior Indebtedness that may be re
borrowed and (B) second of Senior Indebtedness that may not be re-borrowed (such
priority in (i)(A) and (i)(B), the "Senior Prepayment Cure Priority"), (ii) second in
redemption of the Class B Notes, (iii) third in redemption of the Class C Notes and
(iv) fourth in redemption of the Class D Notes, (the foregoing procedure, the
"Prepayment Cure Methodology", the foregoing priority of payments, the
"Prepayment Priorities" and the four levels thereof in (i) to (iv) the "Prepayment
Priority Levels"; or
provide, or procure the provision of, a written statement (the "Projection Cure
Statement") to the Trustee, the VFN Agent (for furnishing to the VF Noteholders) and
the Rating Agencies within seven Business Days of such Collateralisation Shortfall
Date (such date, a "Projection Cure Statement Date") showing projected
compliance with the Over-Collateralisation Tests on the Long-Stop Date based upon
(x) acquisition or disposal of Issuer Investments which either (i) had Committed
Unsettled Status on or (ii) were effected on or after, such Over-Collateralisation
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(d)
6. Interest
(a)
(b)
Shortfall Date and which (in the case of transactions with Committed Unsettled Status
as at the Projection Cure Statement Date) the Issuer or the Collateral Manager on its
behalf reasonably believes will be settled by the Long-Stop Date, (y) Note
redemptions and VF Note prepayments to be completed (in accordance with the
Prepayment Priorities) with the net proceeds, once settled, of such disposals and
acquisitions or other liquidity available to the Issuer and (z) any proposed issuance of
further Class E Subordinated Notes in each case in (x) and (y) and (z) calculated, as
applicable, by reference to the Market Values, Market Value Prices,
Over-Collateralisation Tests and Notes and VF Notes in effect or Outstanding, as the
case may be, as of such Projection Cure Statement Date (the foregoing procedure,
"Projection Cure Methodology" and together with the Prepayment Cure
Methodology, the "Under-Collateralisation Cure Methodologies").
Insufficiency of Projection Cure Methodology
Projection Cure Settlement Default In the event the Issuer (or the Collateral Manager on its
behalf) elects to adopt the Projection Cure Methodology but, notwithstanding the Committed
Unsettled Status of the same, certain acquisitions or disposals of Issuer Investments specified
in the Projection Cure Statement have failed to settle by, or have been subject to an incurable
settlement failure prior to, the Long-Stop Date (a "Projection Cure Settlement Default"), then
the Issuer (or the Collateral Manager on its behalf) shall, no later than the Long-Stop Date,
make (or procure the making of) such Note redemptions (in accordance with the Prepayment
Priorities) as are required to satisfy the Over-Collateralisation Tests, on or prior to the
Long-Stop Date, pursuant to the Prepayment Cure Methodology.
Supervening Shortfall In the event that the Issuer (or the Collateral Manager on its behalf)
elects to adopt the Projection Cure Methodology, and furnishes the Trustee, the VFN Agent (for
furnishing to the VF Noteholders) and the Rating Agencies with a Projection Cure Statement,
but it subsequently becomes evident to the Issuer (or the Collateral Manager on its behalf) that,
notwithstanding the potential absence of a Projection Cure Settlement Default, the Issuer will,
by reason of events which had not existed on compilation and delivery of the relevant
Projection Cure Statement, be unable to comply with the Over-Collateralisation Tests on, or at
any time prior to, the Long-Stop Date (the relevant shortfall over and above the
Collateralisation Shortfall Amount, the "Supervening Shortfall"), then the Issuer (or the
Collateral Manager on its behalf) shall continue with employing the Projection Cure
Methodology in the manner set out in the relevant Projection Cure Statement and, not later
than the Long-Stop Date, in addition cure the Supervening Shortfall by employing the
Prepayment Cure Methodology.
Accrual of Interest
Class A Notes, Class B Notes, Class C Notes, Class D Notes and Class E Subordinated Notes
bear interest at the relevant Rate of Interest on their Principal Amount Outstanding from (and
including) the Closing Date for the same, payable in respect of each Interest Period quarterly in
arrear on each Payment Date.
Any Additional Interest and deferred interest payable in respect of Class E Subordinated Notes
will cease to be payable in respect of each Class E Subordinated Note upon the date that all of
the Collateral has been realised and no interest or principal remain available for distribution in
accordance with Condition 3(d) (Restricted Payments) and Condition 3(c) (Payment of
Amounts).
Post Redemption Default Interest
Each Interest-Bearing Note will cease to bear interest from the due date for final redemption of
the Notes unless, upon due presentation, payment of principal is improperly withheld or
refused, in which case the unpaid amount will bear interest in accordance with this Condition 6
(Interest) until whichever is the earlier of (a) the day on which all sums due in respect of such
Note up to that day are received by or on behalf of the relevant Noteholder and (b) the day
which is seven days after the Trustee has notified the Noteholders that it has received all sums
due in respect of the Notes up to such seventh day (except to the extent that there is any
subsequent default in payment). Accrued interest payable under this Condition 6(b) shall be
payable on each date (each a "Post Redemption Default Payment Date") on which it remains
unpaid and which is an integral multiple of three months after the due date for payment. (Each
period beginning on (and including) the date on which the relevant payment is improperly
withheld or refused or any Post Redemption Default Payment Date and ending on (but
excluding) the next Post Redemption Default Payment Date or the date of payment (as the
case may be) is herein called a "Post Redemption Default Due Period"). The amount of
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interest payable in respect of each Interest-Bearing Note for any Post Redemption Default Due
Period shall be calculated on the basis of the actual number of days in such Post Redemption
Default Due Period divided by 360, in each case with the resultant figure rounded to the
nearest cent (or half a cent being rounded up).
(c)
(d)
Rate of Interest
(i)
(ii)
Interest on Floating Rate Notes
Interest payable from time to time in respect of the Notes of any Class which are
Floating Rate Notes (each, a "Floating Rate of Interest") will be determined by the
Calculation Agent two Business Days prior to each Payment Date in respect of the
Interest Period commencing on that date (save in respect of the first Interest Period,
where the Floating Rate of Interest will be determined by the Calculation Agent
two Business Days immediately preceding the Closing Date) (each an "Interest
Determination Date"). The Floating Rate of Interest applicable to any Floating Rate
Notes for each Interest Period shall be the aggregate of the Relevant Margin specified
in Condition 20 (Specific Conditions) as being applicable thereto and
(A)
(B)
the arithmetic mean of the offered quotations to leading banks (rounded to
four decimal places with the mid-point rounded up) for three-month Euro
deposits in the Euro-zone Interbank market which appear on Moneyline
Telerate Monitor Screen Page No. 248 (or such other page as may replace
Moneyline Telerate Monitor Screen Page No. 248 on that service for the
purpose of displaying such information or, if that service ceases to display
such information, such page as displays such information on such equivalent
service or, if more than one, that one which is approved in writing by the
Trustee to replace the Moneyline Telerate Monitor), or, in the case of the first
Interest Period, the linear interpolation of (i) the available offered rate for
two-month Euro deposits in the Euro-zone Interbank market and (ii) the
available offered rate for three-month Euro deposits in the Euro-zone
Interbank market.
if a Floating Rate of Interest cannot be calculated pursuant to paragraph (A),
the arithmetic mean (rounded to four decimal places with the mid-point
rounded up) of the rates notified to the Calculation Agent at its request by
each of the Reference Banks as the rate at which three-month Euro
deposits, or, in the case of the first Interest Period, the linear interpolation of
(i) the available offered rate for two-month Euro deposits in the Euro-zone
Interbank market and (ii) the available offered rate for three-month Euro
deposits in the Euro-zone Interbank market, in a representative amount are
offered by that Reference Bank to leading banks in the Euro-zone Interbank
market at or about 11.00 a.m. (Brussels time) on the relevant Interest
Determination Date, or if, on any such Interest Determination Date, only one
or none of the Reference Banks provides the Calculation Agent with such an
offered quotation, the arithmetic mean of the rates quoted to the Calculation
Agent by four major banks in the Euro-zone Interbank market selected by the
Calculation Agent at or about 11.00 a.m. (Brussels time) on the relevant
Interest Determination Date for three-month Euro deposits, or, in the case of
the first Interest Period, the linear interpolation of (i) the available offered rate
for two-month Euro deposits in the Euro-zone Interbank market and (ii) the
available offered rate for three-month Euro deposits in the Euro-zone
Interbank market to leading banks in the Euro-zone Interbank market in an
amount that is representative for a single transaction in the relevant market
at the relevant time.
There shall be no maximum or minimum Floating Rate of Interest.
Interest on Fixed Rate Notes
Fixed Rate Notes bear interest on the Principal Amount Outstanding thereof at the
rate (each, a "Fixed Rate of Interest") payable on each Payment Date specified in
Condition 20 (Specific Conditions) applicable thereto.
Determination of Rates of Interest and Calculation of Interest Payment Amounts
(i)
The Calculation Agent shall, on each Interest Determination Date, determine the
Floating Rate of Interest applicable to the Interest Period beginning two Business
Days after such Interest Determination Date (or, in the case of the first Interest Period,
beginning on and including, the Closing Date) in respect of each Class of Notes.
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(e)
(ii)
(iii)
(iv)
(v)
Subject to Condition 6(d)(iii) below, the Interest Payment Amount payable on each
Class of Floating Rate Notes in respect of such Interest Period shall be calculated by
applying the relevant Floating Rate of Interest to the aggregate Principal Amount
Outstanding of the relevant Class of Interest-Bearing Notes on the Payment Date on
which such Interest Period commences (or in the case of the first Interest Period, the
Closing Date) (in each case after deduction therefrom of any payment of principal due
on that Payment Date) and, in each case, multiplying the product of such calculation
by the actual number of days in the Interest Period and dividing by 360, and in each
case rounding the resultant figure to the nearest cent (half a cent being rounded up).
The following shall apply in respect of those Class E Subordinated Notes in
Condition 20 which refer to this Condition 6(d)(iii) thereunder:
In the event that a Class E Partial Instalment Payment has been received on a date
other than a Payment Date, there shall be added to the sums payable in respect of
Class E Subordinated Notes pursuant to Condition 6(d)(ii) a sum for each such
Class E Partial Instalment Payment equal to the product of (a) the aggregate principal
amount of such Class E Partial Instalment Payment, (b) the Rate of Interest applicable
to the Class E Subordinated Notes for the Interest Period in which such Class E
Partial Instalment Payment was received and (c) the number of days from and
including the Class E Partial Payment Date for such Class E Partial Instalment
Payment to but excluding the first Payment Date following such Class E Partial
Payment Date divided by 360.
Interest on Fixed Rate Notes will be calculated on the basis of a 360-day year
consisting of 12 months of 30 days each.
In the case of the first scheduled Interest Period and the last scheduled Interest
Period, the Principal Paying Agent shall determine the rate of interest in accordance
with Condition 6(d) (Determination of Rates of Interest and Calculation of Interest
Payment Amounts) applicable to such Interest Periods in its sole discretion by
interpolating linearly between (i) the available offered rate for the period closest to
and greater than the relevant period and (ii) the available offered rate for the period
closest to and less than the relevant period.
Non-Payment of Interest
Subject to the second paragraph of this Condition 6(e), non-payment of interest on the Class A
Notes or, following redemption in full of the Class A Notes, non-payment of interest (excluding
any Blocked Junior Note Interest applicable thereto) on the Class B Notes or, following
redemption in full of the Class A Notes and the Class B Notes, non-payment of interest
(excluding any Blocked Junior Note Interest applicable thereto) on the Class C Notes or
following redemption in full of the Class A Notes, Class B Notes and Class C Notes,
non-payment of interest (excluding any Blocked Junior Note Interest applicable thereto) on the
Class D Notes shall, if so specified in Condition 20 (Specific Conditions), of the same constitute
an Event of Default in respect of the same. Non-payment of interest on the Class E
Subordinated Notes or failure to disburse any Additional Interest at any time shall not constitute
an Event of Default other than if such Additional Interest comprises sums payable in
satisfaction of the Redemption Price in respect of a Class E Subordinated Note.
Without prejudice to Condition 3(h) (Blockage Periods) and any Blocked Junior Note Interest
accruing thereunder, while (w) any Class A Note is Outstanding any interest payable on any
Class B Notes that would be payable to Class B Noteholders on a Payment Date but is not
paid by reason of the Intercreditor Arrangements shall be added to the Principal Amount
Outstanding of such Class B Notes on such Payment Date and will thereafter cease to be
payable as interest (but will, to the extent permitted by law, bear interest at the applicable Rate
of Interest), (x) any Class A Note or Class B Note is Outstanding, any interest payable on any
Class C Notes that would be payable to Class C Noteholders on a Payment Date but is not
paid by reason of the Intercreditor Arrangements shall be added to the Principal Amount
Outstanding of such Class C Notes on such Payment Date and will thereafter cease to be
payable as interest (but will, to the extent permitted by law, bear interest at the applicable Rate
of Interest), (y) any Class A Note, Class B Note or Class C Note is Outstanding, any interest
payable on any Class D Notes that would be payable to Class D Noteholders on a Payment
Date but is not paid by reason of the Intercreditor Arrangements shall be added to the Principal
Amount Outstanding of such Class D Notes on such Payment Date and will thereafter cease to
be payable as interest (but will, to the extent permitted by law, bear interest at the applicable
Rate of Interest) and (z) any Class A Note, Class B Note, Class C Note or Class D Note is
Outstanding, any interest payable on any Class E Subordinated Notes that would be payable to
Class E Subordinated Noteholders on a Payment Date but is not paid by reason of the
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Intercreditor Arrangements shall be added to the Principal Amount Outstanding of such Class
E Subordinated Notes on such Payment Date and will thereafter cease to be payable as
interest (but will, to the extent permitted by law, bear interest at the applicable Rate of Interest).
The addition of interest on any Notes to the Principal Amount Outstanding thereof in lieu of the
cash payment of such interest as aforesaid shall be deemed to satisfy the payment of such
interest and shall not constitute an Event of Default under these Conditions and shall (except in
the case of the Class E Subordinated Notes) (i) upon the payment of any principal on such
Notes be repaid prior to the repayment of the same and (ii) unless prohibited under the
Security and Intercreditor Deed or the Intercreditor Arrangements, be repaid as soon as the
Issuer (or the Collateral Manager on its behalf) deems such repayment prudent provided that
the Issuer (or the Collateral Manager on its behalf) shall have delivered a written certificate to
the Trustee stating that there will be sufficient funds available to pay all amounts due on the
following Payment Date and (iii) shall not be entitled to the benefit of any make-whole premium.
(f)
(g)
(h)
(i)
Publication
The Calculation Agent will cause each Rate of Interest for each Class of Interest-Bearing Notes
and Interest Payment Amount determined by it, together with the relevant Payment Date, to be
made available to the Issuer, the Transfer Agents, the Registrar, the Trustee, the Collateral
Manager and, for so long as the Notes are listed on the Irish Stock Exchange, the Irish Stock
Exchange as soon as practicable after such determination but in any event not later than the
first day of the relevant Interest Period. Notice thereof shall also promptly be given to the
Noteholders. The Calculation Agent will be entitled to recalculate any Interest Payment Amount
(on the basis of the foregoing provisions) without notice (save that notice shall be given to the
Trustee) in the event of an extension or shortening of the relevant Interest Period.
Notifications etc.
All notifications, opinions, determinations, certificates, calculations, quotations and decisions
given, expressed, made or obtained for the purposes of this Condition 6 (Interest) by the
Calculation Agent will (in the absence of manifest error) be binding on the Issuer, the Paying
Agents, the Transfer Agents, the Collateral Manager, the Registrar, the Trustee and the
Noteholders (subject as aforesaid). No liability to any such person will attach to the Calculation
Agent or (in the circumstances referred to in Condition 6(h) (Determination or Calculation by
Trustee) below) the Trustee in connection with the exercise or non-exercise by it of its powers,
duties and discretions for such purposes.
Determination or Calculation by Trustee
If the Calculation Agent fails at any time to determine a Rate of Interest in respect of a Class of
Interest-Bearing Notes or to calculate an Interest Payment Amount as aforesaid, the Trustee
will determine or procure the determination of such Rate of Interest as it in its discretion
considers fair and reasonable in the circumstances (having such regard as it thinks fit to
Condition 6(c) (Rate of Interest) above) or (as the case may be) calculate such Interest
Payment Amount in accordance with Condition 6(d) (Determination of Rates of Interest and
Calculation of Interest Payment Amounts) above.
Reference Banks and Calculation Agent
The Issuer will procure that, so long as any of the Notes remain Outstanding, there will at all
times be four reference banks (the "Reference Banks") and a Calculation Agent. The initial
Reference Banks shall be the principal London office of the four reference banks selected and
notified by the Collateral Manager to the Issuer and the Calculation Agent prior to the Initial
Closing Date. The initial Calculation Agent shall be ABN AMRO Bank N.V. (London Branch)
which shall be entitled to delegate any of its functions to any of its departments. Subject as
hereafter provided, the Issuer reserves the right at any time (with the written consent of the
Trustee and in accordance with the terms of the Agency Agreement) to terminate the
appointment of the Calculation Agent or of any Reference Bank. Notice of any such termination
will be given to Noteholders in accordance with Condition 16 (Notices). If any person shall be
unable or unwilling to continue to act as a Reference Bank or as the Calculation Agent (as the
case may be), or if the appointment of any Reference Bank or the Calculation Agent shall be
terminated, the Issuer will, with the written approval of the Trustee, appoint a successor
reference bank or successor calculation agent (as the case may be) to act as such in its place,
provided that neither the resignation nor removal of the Calculation Agent shall take effect until
a successor approved by the Trustee has been appointed.
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7. Redemption
(a)
(b)
Final Redemption
Save to the extent previously redeemed or purchased and cancelled, the Notes of each Class
will be redeemed on the Maturity Date of such Notes. In the case of a redemption pursuant to
this Condition 7(a), Class A Notes, Class B Notes, Class C Notes and Class D Notes will be
redeemed at their Principal Amount Outstanding and Class E Subordinated Notes will be
redeemed at the amount equal to their pro rata share of the amounts of principal, interest and
Additional Interest to be applied towards such redemption pursuant to Condition 3(c) (Payment
of Amounts) available after payments of all other liabilities of the Issuer (including all taxes,
Administrative Expenses, Collateral Management Fees and Trustee Fees and Expenses) as at
the applicable Redemption Date provided that (v) no Class B Notes may be redeemed under
this Condition 7(a) nor may other payments of principal be made on Class B Notes until all
payments in respect of any Class A Notes that are due and payable have been paid, all
Class A Notes with an Equivalent or Shorter Maturity have been redeemed, all amounts
outstanding under the VF Notes and which are due and payable have been redeemed and any
Outstanding Issuer Swap Termination Payments have been paid and all applicable taxes,
Administrative Expenses and Trustee Fees and Expenses and Management Fee that are due
and payable have been satisfied, in each case, in full, (w) no Class C Notes may be redeemed
under this Condition 7(a) nor may other payments of principal be made on any Class C Notes
until (i) all payments in respect of any Class A Notes that are due and payable have been paid,
all Class A Notes with an Equivalent or Shorter Maturity have been redeemed, all amounts
outstanding under the VF Notes and which are due and payable and any Outstanding Issuer
Swap Termination Payments have been paid, and (ii) all payments in respect of any Class B
Notes that are due and payable have been paid, all Class B Notes with an Equivalent or
Shorter Maturity have been redeemed, all applicable taxes, Administrative Expenses and
Trustee Fees and Expenses and Management Fee that are due and payable have been
satisfied, in each case, in full, (x) no Class D Notes may be redeemed under this Condition 7(a)
nor may other payments of principal be made on any Class D Notes until (i) all payments in
respect of any Class A Notes that are due and payable have been paid, all Class A Notes with
an Equivalent or Shorter Maturity have been redeemed, all amounts outstanding under the
VF Notes and which are due and payable and any Outstanding Issuer Swap Termination
Payments have been paid, (ii) all payments in respect of any Class B Notes that are due and
payable have been paid, all Class B Notes with an Equivalent or Shorter Maturity have been
redeemed, (iii) all payments in respect of any Class C Notes that are due and payable have
been paid, all Class C Notes with an Equivalent or Shorter Maturity have been redeemed and
all applicable taxes, Administrative Expenses and Trustee Fees and Expenses and
Management Fee that are due and payable have been satisfied, in each case, in full and (y) no
Class E Subordinated Notes may be redeemed under this Condition 7(a) nor may other
payments of principal, interest and Additional Interest to be applied towards such redemption
pursuant to Condition 3(c) (Payment of Amounts) be made on Class E Subordinated Notes by
way of final redemption until (i) all payments in respect of any Class A Notes that are due and
payable have been paid, all Class A Notes with an Equivalent or Shorter Maturity have been
redeemed, all amounts outstanding under the VF Notes and which are due and payable and
any Outstanding Issuer Swap Termination Payments have been paid, (ii) all payments in
respect of any Class B Notes that are due and payable have been paid, all Class B Notes with
an Equivalent or Shorter Maturity have been redeemed, (iii) all payments in respect of any
Class C Notes that are due and payable have been paid, all Class C Notes with an Equivalent
or Shorter Maturity have been redeemed, (iv) all payments in respect of any Class D Notes that
are due and payable have been paid, all Class D Notes with an Equivalent or Shorter Maturity
have been redeemed and (v) all applicable taxes, Administrative Expenses and Trustee Fees
and Expenses and Collateral Management Fees that are due and payable have been satisfied
and all other liabilities of the Issuer that are then due and payable have been discharged, in
each case, in full in accordance with the priority appearing in the Intercreditor Priority of
Payments. Any redemption of less than all of the outstanding Notes of a Class having the same
Maturity Date shall be redeemed pro rata in accordance with the Principal Amounts
Outstanding thereof.
Optional Redemption
(i)
Optional Redemption Requirements
Subject to the conditions set out in Condition 7(b)(iii) (Formalities for Optional
Redemption and Associated Mandatory Redemption) applicable to Class E
Subordinated Notes and the Intercreditor Arrangements, Class E Subordinated Notes
shall be redeemed by the Issuer, in whole or in part (but in an Authorised
Denomination), on any Payment Date at the applicable Redemption Prices after the
end of the relevant Non-Call Period (each date of such redemption, an "Optional
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Redemption Date") provided that Class E Subordinated Notes may only be optionally
redeemed (x) in accordance with the Liquidity Limitation Procedure and Split
Redemption Procedure and (y) if, after giving effect to any such redemption, (i) no
Transaction Default shall have occurred and be continuing and (ii) the Issuer is in
compliance with the Over-Collateralisation Tests after giving effect to such redemption
and any mandatory redemption of Interest-Bearing Notes as described in Condition
7(e)(iii) (the foregoing requirements in (i) and (ii), the "Premature Redemption
Requirements").
(ii)
(iii)
(iv)
Election to Redeem
The election by any Class E Subordinated Noteholders to effect an Optional
Redemption shall be evidenced by the delivery of the applicable redemption notices in
the form annexed to the Master Trust Deed to the Trustee not less than 90 days prior
to the Payment Date on which the applicable Optional Redemption will, if permitted,
occur.
Formalities for Optional Redemption and Associated Mandatory Redemption
(A)
(B)
(C)
Notice Period In the event of: (x) receipt of any redemption notice delivered
pursuant Condition 7(b)(ii), (y) a determination requiring mandatory
redemption of all Outstanding Class E Subordinated Notes pursuant to
Condition 7(e)(ii) or (z) a determination to effect a mandatory redemption
pursuant to Condition 7(e)(iii), the Trustee shall procure the dispatch of an
irrevocable written notice of redemption in relation to the same not less than
35 days prior to the applicable Premature Redemption Date, to each relevant
Class E Subordinated Noteholder and, as the case may be, each Holder of
Notes of the applicable Associated Mandatory Redemption Class.
Form of Notice Each notice dispatched pursuant to Condition 7(b)(iii)(A) shall
state: (a) the applicable Redemption Date, (b) the estimated Redemption
Price, (c) if less than all of the Notes in a given Class which are then
Outstanding are to be redeemed, the Principal Amounts Outstanding of the
Notes of such Class to be redeemed (being, in the case of an Optional
Redemption, that portion of each Class E Subordinated Noteholder's holding
which will be subject to Optional Redemption), (d) with respect to the
relevant Class to be redeemed, (x) the portion of the amount to be redeemed
that consists of any blocked interest and (y) the aggregate amount of
principal of such Class of Notes previously redeemed (or scheduled to be
redeemed) prior to the proposed Redemption Date, (e) that on the
Redemption Date, the Redemption Price will become due and payable upon
each such Outstanding Note (or portion thereof) to be redeemed and that
(subject to Condition 6(b) (Post Redemption Default Interest)), as applicable,
interest thereon will cease to accrue on and after such Redemption Date and
(f) the place or places where such Notes are to be surrendered for payment
of the relevant Redemption Price.
Service of Notice on Rating Agencies A notice of each Premature
Redemption Date shall be given by the Issuer or, at the Issuer's request, by
the Trustee in the name and at the expense of the Issuer, to the Rating
Agencies not less than ten days prior to such Premature Redemption Date.
Unless otherwise specified herein, all notices served under this
Condition 7(b) (Optional Redemption) shall be given in accordance with
Condition 16 (Notices).
Class E Subordinated Note Optional Redemption Limitation Procedure
Class E Subordinated Notes may, subject to Condition 7(b)(i), Condition 7(b)(ii) and
Condition 7(b)(iii) and the Split Redemption Procedure, be optionally redeemed on
any Optional Redemption Date provided the following requirements are satisfied. The
Principal Amount Outstanding of Class E Subordinated Notes redeemed on any
Optional Redemption Date shall not exceed 20 per cent. of the Principal Amount
Outstanding of Class E Subordinated Notes as at such Optional Redemption Date,
unless the Collateral Manager, in its discretion, permits an amount in excess thereof
to be redeemed on such Optional Redemption Date. In the event that the amount of
Class E Subordinated Notes in respect of which Class E Subordinated Noteholders
have requested redemption in accordance with Condition 7(b)(ii) on such Optional
Redemption Date (the amount so requested, the "Elected Class E Global
Redemption Amount") is in excess of 20 per cent. of the Principal Amount
Outstanding of Class E Subordinated Notes as at such Optional Redemption Date
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and the Collateral Manager elects not to increase the percentage of the Principal
Amount Outstanding of Class E Subordinated Notes that may be redeemed on such
Optional Redemption Date, then the total principal amount of Class E Subordinated
Notes that may be redeemed on such Optional Redemption Date shall be reduced
from the Elected Class E Global Redemption Amount to an amount equal to 20 per
cent. of the Principal Amount Outstanding of Class E Subordinated Notes on such
Optional Redemption Date (or such other percentage in excess thereof that the
Collateral Manager may determine hereunder) (the amount so permitted, including, as
the case may be, the Elected Class E Global Redemption Amount, the "Permitted
Redemption Amount") which reduction shall be borne pro rata by the Holders of
Class E Subordinated Notes who had elected to redeem on such Optional
Redemption Date (each, an "Electing Class E Subordinated Noteholder")
according to the amount of Class E Subordinated Notes they had nominated for
redemption on such Optional Redemption Date (the "Elected Amount").
(c)
(v)
(vi)
Class E Subordinated Note Split Redemption Procedure
Without prejudice to the Liquidity Limitation Procedure above, in the event that the
Collateral Manager, in its discretion, so determines, the aggregate Principal Amount
Outstanding of Class E Subordinated Notes which any Electing Class E Subordinated
Noteholder may redeem pursuant to Condition 7(b)(iii) and 7(b)(iv) may be reduced
(subject as follows, in addition to any reduction arising from the application of the
Liquidity Limitation Procedure) by an amount equal to up to 15 per cent. of the
Permitted Redemption Amount, which reduction shall be borne among Electing
Class E Subordinated Noteholders by reference to their respective Elected Amounts
and rounded, in the case of relevant Class E Subordinated Notes, to the applicable
Authorised Denomination (the global amount of such rounded amounts being, the
"Reduction Amount"). In the event of a reduction in the Principal Amount
Outstanding of Class E Subordinated Notes redeemed pursuant to Condition 7(b)(iii)
and 7(b)(iv) by reason of the operation of this Condition 7(b)(v), each Electing Class E
Subordinated Noteholder's Delayed Redemption Notes will, subject to compliance
with the Premature Redemption Requirements, be subject to automatic mandatory
redemption at the Redemption Price on any Payment Date falling after the Optional
Redemption Date on which the relevant Reduction Amount arose up to and including
the Payment Date falling 18 months after such Payment Date (any such date, a
"Delayed Payment Date") provided that (x) the Issuer (or the Trustee at the direction
of the Collateral Manager on behalf of the Issuer) shall give the relevant Electing
Class E Subordinated Noteholders at least 30 Business Days' notice of the Delayed
Payment Date, (y) there shall be no more than one Delayed Payment Date with
respect to any one Reduction Amount and (z) subject to compliance with the
Premature Redemption Requirements as aforesaid, all relevant Delayed Redemption
Notes shall, if not redeemed prior to such date, be redeemed on the Delayed Payment
Date falling 18 months after the Payment Date on which the relevant Reduction
Amount arose at the Redemption Price as of such date.
Non-Fungibility of Delayed Redemption Notes with Class E Subordinated Notes
Without prejudice to the fact that the same will still comprise one and the same Class
with Class E Subordinated Notes, Delayed Redemption Notes shall, from the Split
Date applicable thereto, cease to be fungible with, and shall form a separate series
from, any Class E Subordinated Notes and any Delayed Redemption Notes with a
differing Split Date and shall have no right to payment other than that arising by
reason of their mandatory redemption pursuant to the Split Redemption Procedure but
will rank pari passu with, and have rights (including voting rights) equal to, Class E
Subordinated Notes in all other respects provided that they may not be optionally
redeemed pursuant to Condition 7(b)(i) (Optional Redemption Requirements).
Redemption at the Option of the Issuer
(i)
Rights of Redemption. Subject to the provisions of the Security and Intercreditor
Deed (including the subordination provisions therein), the Issuer may acting on the
instructions of the Collateral Manager redeem any Rated Notes, in whole or in part, at
the relevant Redemption Price on any Payment Date after the end of the relevant noncall
period mentioned in Condition 20 (Specific Conditions); provided that the Class B
Notes may not be redeemed pursuant to this Condition 7(c), nor may other payments
of principal be made on the Class B Notes, until all outstanding Senior Indebtedness
that is due and payable on such Redemption Date under any Transaction Document
has been paid in full, the Class C Notes may not be redeemed pursuant to this
Condition 7(c), nor may other payments of principal be made on the Class C Notes,
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until all outstanding Senior Indebtedness and Class B Notes that are due and payable
on such Redemption Date under any Transaction Document, has been paid in full, the
Class D Notes may not be redeemed pursuant to this Condition 7(c), nor may other
payments of principal be made on the Class D Notes, until all outstanding Senior
Indebtedness, Class B Notes and Class C Notes that are due and payable on such
Redemption Date under any Transaction Document, has been paid in full.
Each Rated Note called for redemption must be surrendered to the Registrar in order
to receive the relevant Redemption Price. The Class A Notes may not be optionally
redeemed at any time if, after giving effect to such redemption, (i) a Default or an
Event of Default shall have occurred and be continuing under the Relevant Trust
Instrument with respect to the Class A Notes or a default or an event of default shall
have occurred and be continuing under any Transaction Document or (ii) the Issuer
would not be in compliance with the Senior Over-Collateralisation Test. The Class B
Notes may not be optionally redeemed at any time if, after giving effect to such
redemption, (i) a Default or an Event of Default shall have occurred and be continuing
under the Relevant Trust Instrument with respect to the Class A Notes or Class B
Notes or a default or an event of default shall have occurred and be continuing under
any Transaction Document or (ii) the Issuer would not be in compliance with the
Senior Over-Collateralisation Test or Class B Notes Over-Collateralisation Test. The
Class C Notes may not be optionally redeemed at any time if, after giving effect to
such redemption, (i) a Default or an Event of Default shall have occurred and be
continuing under the Relevant Trust Instrument with respect to the Class A Notes,
Class B Notes or Class C Notes or a default or an event of default shall have occurred
and be continuing under any Transaction Document or (ii) the Issuer would not be in
compliance with the Senior Over-Collateralisation Test, Class B Notes
Over-Collateralisation Test or Class C Notes Over-Collateralisation Test. The Class D
Notes may not be optionally redeemed at any time if, after giving effect to such
redemption, (i) a Default or an Event of Default shall have occurred and be continuing
under the Relevant Trust Instrument with respect to the Class A Notes, Class B
Notes, Class C Notes or Class D Notes or a default or an event of default shall have
occurred and be continuing under any Transaction Document or (ii) the Issuer would
not be in compliance with the Senior Over-Collateralisation Test, Class B Notes
Over-Collateralisation Test, Class C Notes Over-Collateralisation Test or Class D
Notes Over-Collateralisation Test.
(ii)
(iii)
(iv)
(v)
Applicability of Condition. Redemptions of any Rated Notes at the election of the
Issuer, as permitted by any provision of the relevant Trust Instrument, shall be made
in accordance with such provision and this Condition 7(c).
Election to Redeem Notice to Trustee. The election of the Issuer to redeem any
Rated Notes outstanding at any time pursuant to Condition 7(c)(i) hereof shall be
evidenced by a certificate signed by a Director of the Issuer delivered to the Trustee
not less than five Business Days prior to the date when sending of notice under
Condition 7(c)(v) hereof is required; provided, however, that in case of any redemption
at the election of the Issuer of less than all the Outstanding Notes, the Issuer shall, at
least five Business Days prior to the sending of notice under Condition 7(c)(v) hereof,
notify the Trustee of such Redemption Date and of the Principal Amount Outstanding
of such Outstanding Rated Notes to be redeemed; provided further, that any such
redemption thereof shall be in an Authorised Denomination only. If any amount of
Outstanding Rated Notes remains following such redemption, the Issuer shall ensure
that such amount shall be equal to an Authorised Denomination. The Issuer may
revoke such redemption by notifying the Trustee at least four Business Days prior to
the mailing of such notice.
Outstanding Rated Notes to be Redeemed Pro Rata. If less than all of the
Outstanding Rated Notes of a Class are to be redeemed, the Outstanding Rated
Notes of such Class shall be redeemed pro rata in accordance with the Principal
Amount Outstanding thereof. For all purposes of the Trust Deed, unless the context
otherwise requires, all provisions relating to the redemption of Outstanding Rated
Notes shall relate, in the case of any Outstanding Rated Notes redeemed or to be
redeemed only in part, to the portion of the principal amount of such Outstanding
Rated Notes which has been or is to be redeemed.
Notice of Redemption. An irrevocable written notice of redemption shall be given by
first-class mail, postage prepaid, mailed not less than 30 days, nor more than 60 days
prior to the Redemption Date, to each Noteholder or by any other method acceptable
to such Noteholder and published in accordance with Condition 16 (Notices).
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All notices of redemption shall state:
(d)
(vi)
(vii)
(a)
(b)
(c)
(d)
(e)
the Redemption Date;
the Redemption Price;
if less than all the Outstanding Rated Notes of a Class are to be redeemed,
the Principal Amount Outstanding of the Outstanding Rated Notes of such
Class to be redeemed;
with respect to the Class of Rated Notes to be redeemed, the portion of the
principal amount to be redeemed, in the case of the Class B Notes, Class C
Notes, Class D Notes, as applicable, that consists of any Blocked Junior
Note Interest and the Principal Amount Outstanding of such Class redeemed
prior to the proposed Redemption Date;
that on the Redemption Date, the Redemption Price will become due and
payable upon each such Outstanding Rated Note (or portion thereof) to be
redeemed and that interest thereon will cease to accrue on and after said
Redemption Date.
A notice of the Redemption Date of Outstanding Rated Notes shall be given by the
Issuer or, at the Issuer’s (or the Collateral Manager's) request, by the Trustee in the
name and at the expense of the Issuer, to Moody’s and S&P not less than ten days
prior to such Redemption Date.
Rated Notes Payable on Redemption Date.
(a)
(b)
Notice of redemption having been given as aforesaid, the Outstanding Rated
Notes (or portions thereof) to be redeemed shall, on the Redemption Date,
become due and payable at the Redemption Price therein specified, and
from and after such date (unless the Issuer shall default in the payment of
the Redemption Price) such Outstanding Rated Notes (or portions thereof)
shall cease to bear interest. Upon surrender of any Outstanding Rated Note
for redemption in accordance with said notice, such Outstanding Rated Note
(or portions thereof) shall be paid by the Issuer at the Redemption Price.
If any Outstanding Rated Note called for redemption shall not be so paid
upon surrender thereof for redemption, the principal (and premium, if any)
and accrued interest due on the Redemption Date shall, until paid, bear
interest from the Redemption Date at the applicable interest rate.
Outstanding Principal Amount; Notes Redeemed in Part. The Registrar shall
maintain a record of the actual Principal Amount Outstanding with respect to each
Note on any date of determination, which, absent manifest error, shall constitute prima
facie evidence of the Principal Amount Outstanding of such Note from time to time.
On any date upon which a Rated Note is redeemed only in part, the Trustee shall,
upon direction in writing from the Issuer or the Collateral Manager, reduce the
Principal Amount Outstanding of such Note being redeemed in part on such date.
Redemption for Tax Reasons
The Notes shall be redeemed, in whole, but not in part, by the Issuer on any Payment Date
falling after the occurrence of a Note Tax Event, acting on the direction of the Controlling
Class Agent in accordance with the Intercreditor Arrangements and the Class E Subordinated
Noteholders acting by Extraordinary Resolution, subject to the Issuer giving not less than 30
nor more than 60 days' notice to the Noteholders (which notice shall be irrevocable), at the
relevant Redemption Prices, if, immediately before giving such notice, the Issuer satisfies the
Trustee or the Trustee is otherwise satisfied, that (a) a substitution or relocation of the Issuer or
other reasonable measures would fail to remedy such Note Tax Event and (b) the Premature
Redemption Requirements are met provided, however, that no such notice of redemption shall
be given earlier than 90 days prior to the earliest date on which the Issuer would be obliged to
make a withholding or deduction if a payment in respect of the Notes were then due. Prior to
the publication of any notice of redemption pursuant to this paragraph, the Issuer shall deliver
to the Trustee (A) a certificate signed by any Managing Director of the Issuer stating that the
Premature Redemption Requirements will be met and setting out details of the same and (B)
an opinion in form and substance satisfactory to the Trustee of independent legal advisers of
recognised standing to the effect that the Issuer has or will become obliged to make the
withholding or deduction referred to in the definition of "Note Tax Event". The Trustee shall be
entitled to accept such certificate and opinion as sufficient evidence of the satisfaction of the
circumstances set out in this Condition 7(d) in which event they shall be conclusive and binding
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on the Noteholders. Upon the expiry of any such notice as is referred to in this Condition 7(d),
the Issuer shall be bound to redeem the Notes in accordance with this Condition 7(d).
(e)
(f)
(g)
(h)
Mandatory Redemption
(i)
(ii)
(iii)
Redemption
Mandatory Redemption upon Over-Collateralisation Failure
If, on breach of the Over-Collateralisation Tests as contemplated by Condition 5(c)
(Over-Collateralisation Failure and Collateralisation Shortfall Dates), the Issuer (or the
Collateral Manager on its behalf) employs one of the Under-Collateralisation Cure
Methodologies such that payments to Noteholders are made pursuant to
Condition 5(c)(i) (Over-Collateralisation Failure and Collateralisation Shortfall Dates),
the Notes shall be redeemed on a pro rata and mandatory basis in accordance with
the Prepayment Priorities, subject to the payment of any Redemption Breakage
Costs, as required under Condition 5(c)(i) (Over-Collateralisation Failure and
Collateralisation Shortfall Dates) on the Prepayment Date.
Mandatory Class E Subordinated Note Redemptions for Liquidity Reasons
In the event that the Principal Amount Outstanding of Class E Subordinated Notes
falls below €25,000,000 and the Collateral Manager, in its discretion, so determines,
100 per cent. of the Principal Amount Outstanding of Class E Subordinated Notes
shall be redeemed by the Issuer on the next following Payment Date (such date, the
"Class E Mandatory Redemption Date") provided that the Premature Redemption
Requirements are met and that the Collateral Manager's determination hereunder
shall have been made so as to allow the Trustee to give Class E Subordinated
Noteholders not less than 35 days prior notice thereof in accordance with
Condition 7(b)(iii)(A).
Mandatory Redemption of other Interest-Bearing Notes upon Redemption of
Class E Subordinated Notes
In the event that any Class E Subordinated Notes are subject to a Redemption
pursuant to Condition 7(b) (Optional Redemption) or Condition 7(e)(ii) (Mandatory
Class E Subordinated Note Redemptions for Liquidity Reasons), the Issuer (or the
Collateral Manager on the Issuer's behalf) may at its discretion elect to mandatorily
redeem any other Class of Interest-Bearing Notes then Outstanding (each such Class,
an "Associated Mandatory Redemption Class") in whole or in part at the applicable
Redemption Price therefor on the Optional Redemption Date, Delayed Payment Date
or, as the case may be, Class E Mandatory Redemption Date on which such Class E
Subordinated Notes are redeemed (each such date, a "Premature Redemption
Date") provided that: (a) if less than 100 per cent. of the Principal Amount
Outstanding of any Associated Mandatory Redemption Class is to be so redeemed, it
shall be redeemed pro rata according to the respective holdings of the Holders of
such Interest-Bearing Notes comprising such Associated Mandatory Redemption
Class as at the relevant Premature Redemption Date and (b) no such mandatory
redemption may occur if, immediately after giving effect to the same, the Premature
Redemption Requirements are not, or would fail to be, fulfilled.
All Notes in respect of which any notice of redemption is given shall be redeemed on the
Redemption Date at their applicable Redemption Prices and to the extent specified in such
notice and in accordance with the requirements of this Condition 7 (Redemption). Each Note
falling to be redeemed must be surrendered to the Trustee in order to receive the Redemption
Price therefor.
No other Redemption
The Issuer shall not be entitled to redeem any Notes otherwise than as provided in this
Condition 7 (Redemption).
Notice of Redemption
Subject, in addition, to compliance with the specific notification procedures contained in such
Conditions, the Issuer will procure that notice of any redemption in accordance with
Condition 7(b) (Optional Redemption), Condition 7(d) (Redemption for Tax Reasons) or
Condition 7(e) (Mandatory Redemption) is given to the Noteholders in accordance with
Condition 16 (Notices) and promptly in writing to the Rating Agencies.
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(i)
8. Payments
(a)
(b)
(c)
(d)
9. Taxation
Cancellation
All Notes so redeemed in full in accordance with this Condition 7 (Redemption) by the Issuer
shall be cancelled and may not be reissued or resold.
Method of Payment
Payments of principal upon final redemption in respect of each Note will be made against
presentation and surrender (or, in the case of part payment only, endorsement) of any
certificate representing such Notes at the Specified Office of the Principal Paying Agent or any
Transfer Agent by Euro cheque drawn on a bank in London. Payments of interest on each
Note and, prior to redemption in full thereof, principal in respect of each Note, will be made
against presentation and surrender (or, in the case of part payment, only endorsement) of any
certificate representing such Notes at the Specified Office of the Principal Paying Agent or any
Transfer Agent by Euro cheque drawn on a bank in London. Upon application of the Holder to
the Specified Office of the Principal Paying Agent or any Transfer Agent not less than
ten Business Days before the due date for any payment in respect of a Note, the payment may
be made (in the case of any payment of principal against presentation and surrender (or, in the
case of part payment only of such payment, endorsement) of the relevant Note as provided
above) by wire transfer in immediately available funds on the due date to a Euro account
maintained by the payee with a Euro-clearing bank in London.
Payments Subject to Fiscal Laws
All payments are subject in all cases to any applicable fiscal or other laws, regulations and
directives, but without prejudice to the provisions of Condition 9 (Taxation). No commission
shall be charged to the Noteholders.
Payments on Presentation Dates
A Holder shall be entitled to present a Note for payment only on a Presentation Date and shall
not, except as provided in Condition 6 (Interest), be entitled to any further interest or other
payment if a Presentation Date is after the due date.
If a Note is presented for payment at a time when, as a result of differences in time zones, it is
not practicable to transfer the relevant amount to an account as referred to above for value on
the relevant Presentation Date, the Issuer shall not be obliged to do so but shall be obliged to
transfer the relevant amount to the account for value on the first practicable date after the
Presentation Date.
Principal Paying Agent and Transfer Agents
The names of the initial Principal Paying Agent and Transfer Agents and their initial Specified
Offices are listed below. The Issuer reserves the right at any time with the approval of the
Trustee to vary or terminate the appointment of the Principal Paying Agent and any Transfer
Agent and appoint additional or other Agents, provided that it will maintain Transfer Agents
having Specified Offices in at least two major European cities approved by the Trustee
(including Dublin for so long as the Notes of any Class are listed on the Irish Stock Exchange
and the rules of that exchange so require) and shall at all times procure that it shall maintain a
Custodian, an Collateral Manager and a Collateral Administrator. Notice of any change in any
Agent or their respective Specified Offices or in the Collateral Manager or the Collateral
Administrator will promptly be given to the Noteholders by the Issuer in accordance with
Condition 16 (Notices).
All payments of principal and interest in respect of the Notes shall be made free and clear of, and
without withholding or deduction for, any taxes, duties, assessments or governmental charges of
whatever nature imposed, levied, collected, withheld or assessed by or within The Netherlands, or any
political sub-division or any authority therein or thereof having power to tax, unless such withholding or
deduction is required by law. For the avoidance of doubt, the Issuer shall not be required to gross up
any payments made to Noteholders of any Class and shall withhold or deduct from any such payments
any amounts on account of tax where so required by law or any relevant taxing authority. Any such
withholding or deduction shall not constitute an Event of Default under paragraph (a) of Condition 10
(Events of Default) or under the Security Documents.
Subject as provided below, if the Issuer satisfies the Trustee that it has or will on the occasion of the
next payment due in respect of the Notes of any Class become obliged by the laws of The Netherlands
to withhold or account for tax so that it would be unable to make payment of the full amount that would
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otherwise be due but for the imposition of such tax, the Issuer (with the consent of the Trustee and save
as provided below) shall, in order to avoid such obligation, use all reasonable endeavours to arrange for
the substitution of a company incorporated in another jurisdiction approved by the Trustee as the
principal obligor under the Notes of such Class, or to change its tax residence to another jurisdiction
approved by the Trustee, subject to receipt by the Trustee of Rating Agency Confirmation in relation to
such change.
Notwithstanding the above, if any taxes referred to in this Condition 9 (Taxation) arise:
(a)
(b)
(c)
(d)
(e)
due to any present or former connection of any Noteholder (or between a fiduciary, settlor,
beneficiary, member or shareholder of such Noteholder if such Noteholder is an estate, a trust,
a partnership or a corporation) with The Netherlands (including, without limitation, such
Noteholder (or such fiduciary, settlor, beneficiary, member or shareholder) being or having
been a citizen or resident thereof or being or having been engaged in a trade or business or
present therein or having or having had a permanent establishment therein) otherwise than by
reason only of the holding of any Note or receiving principal or interest in respect thereof or
by reason of the failure by the relevant Noteholder to comply with any applicable procedures
required to establish non-residence or other similar claim for exemption from such tax or to
provide information concerning nationality, residence or connection with The Netherlands or
in respect of a payment to an individual which is required to be made pursuant to the European
Council Directive 2003/48/EC on taxation of savings or
as a result of presentation for payment by or on behalf of a Noteholder who would have been
able to avoid such withholding or deduction by presenting the relevant Note to another Transfer
Agent in a Member State of the European Union or
any combination of the immediately preceding paragraphs (a) to (d) inclusive,
the requirement to substitute the Issuer as a principal obligor and/or change its residence for taxation
purposes shall not apply.
10. Events of Default
(a)
The occurrence of any of the following events shall constitute an "Event of Default":
(i)
(ii)
(iii)
(iv)
Non-Payment of Interest on the Notes
A default for five consecutive Business Days in the payment in full, when due and
payable, of any interest on (I) any Class A Notes, (II) any Class B Notes, (III) any
Class C Notes, (IV) any Class D Notes or (V) in the case of any Class E Subordinated
Notes which are partially paid, commitment fees on such Class E Subordinated Notes
save that (a) the failure by the Issuer to pay an amount of interest or commitment fees
to the extent that it has been required to deduct or withhold such amount pursuant to
Condition 9 (Taxation) or (b) the addition of any Blocked Junior Note Interest to the
Principal Amount Outstanding of any Class of Junior Interest – Bearing Notes on
which the same is owed in accordance with Condition 3(h)(v) (Blockage Periods) shall
be deemed to satisfy the payment of such interest for all purposes hereof and shall in
the case of each of (a) and (b) not constitute an Event of Default;
Non-Payment of Interest on the VF Notes
A default in the payment when due of any instalment of interest on the VF Notes or
breakage costs or commitment fees when due and payable for a period of five
consecutive Business Days, in the case of such payments with respect to the VF
Notes or, subject to Condition 10(a)(i) (Non-Payment of Interest on the Notes),
30 consecutive days, in the case of such payments with respect to any other
indebtedness;
Non-Payment of Principal on the Notes
A default in the payment of principal of any Class A Note, Class B Note, Class C Note
or Class D Note at its Maturity Date or any date set for redemption;
Non-Payment of Principal under the VF Notes
A default in the payment of the principal (or premium, if any) on the VF Notes when
due and payable;
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(v)
(vi)
(vii)
(viii)
(ix)
(x)
(xi)
Non-Payment of Debt
An aggregate principal amount outstanding of €10,000,000 or more of any Debt of the
Issuer or any subsidiary shall become due and payable (whether at maturity, by
acceleration or otherwise) and not be paid or satisfied in full in the manner provided
for under the terms of such Debt, or the holder of such Debt in excess of €10,000,000
shall be entitled to require the Issuer or any such subsidiary to repay, repurchase,
redeem, defease or otherwise retire for value such indebtedness, in whole or in part,
prior to its scheduled Payment Date (in each case, after giving effect to any applicable
grace periods);
Default under any Hedging and Short-Sale Transactions or Issuer Investments
A default in the payment when due (after any applicable grace period) of any amount
in excess of €10,000,000 required to be paid by the Issuer under any Hedging and
Short-Sale Transaction or under any obligation to make funds available under any
Issuer Investment (other than any such amount that is being contested in good faith
and for which adequate reserves have been set aside) and such default shall remain
unremedied for ten Business Days after the occurrence of such default;
Breach of Materiality Qualifications
The failure of the Issuer to comply with any provisions of any Transaction Document
(including for the avoidance of doubt these Conditions) that have a materiality
qualification, or to comply in all material respects with (or with a representation in) any
Transaction Document (including for the avoidance of doubt these Conditions) or the
failure of any representation or warranty made by the Issuer in any certificate or other
writing delivered pursuant to the Trust Deed, the Security Documents or these
Conditions to be correct in all material respects when the same shall have been made
and continuance of either of such failures (if remediable) for a period of 30
consecutive days (subject to applicable grace periods) after the Issuer knew of such
failure or notice has been given to the Issuer by the Trustee of the same (excluding, in
each case, defaults and breaches which are otherwise specifically described as an
"Event of Default" under other paragraphs of this Condition 10);
Under-Collateralisation Event
The occurrence of an Under-Collateralisation Event;
Representations and Warranties
Any representation or warranty of the Issuer made in the Security Documents or in
any certificate or writing delivered pursuant thereto proving to be incorrect in any
material respect when made, and continuance of such breach of representation or
warranty for a period of 45 days after notice thereof to the Issuer and the Collateral
Manager by the Trustee;
Insolvency
(A)
(B)
(C)
(D)
Winding-up etc.
The Issuer becomes insolvent, is adjudicated bankrupt (or applies for an
order of bankruptcy or moratorium of payments) or is unable to pay its debts
as they fall due or
an administrator or liquidator of the Issuer for the whole or part of the
undertaking, assets and revenues of the Issuer is appointed (or application
for any such appointment is made) or
the Issuer takes any action for a readjustment or deferment of any of its
obligations or makes a general assignment or an arrangement or
composition with or for the benefit of its creditors or
the Issuer ceases or threatens to cease to carry on all or any substantial part
of its business (other than as a result of a substitution in accordance with
Condition 14(d) (Substitution));
An order is made or an effective resolution is passed for the winding-up, liquidation or
dissolution of the Issuer;
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(b)
(xii)
(xiii)
(xiv)
Final judgments or orders etc.
The entry against the Issuer by one or more courts of competent jurisdiction of one or
more final judgments or orders (not subject to appeal) in an aggregate amount in
excess of €10,000,000 (after giving effect to insurance, if any, available with respect
thereto) which judgment(s) or order(s) remain unstayed or undischarged for a period
of 30 days after the date on which the right to appeal has expired;
VF Notes Acceleration
The acceleration of any VF Notes;
Investment Company Act
The Issuer would be required to be registered as an investment company under the
Investment Company Act (unless such requirement (if remediable) is eliminated within
45 days).
Proof that, as regards any specified Note, the Issuer has made a default in paying any amount
due in respect of such Note shall (unless the contrary be proved) be sufficient evidence that the
Issuer has made similar defaults as regards all other Notes in respect of which a corresponding
payment is then due and, for the purposes of the foregoing, a payment shall be a
"corresponding" payment notwithstanding that it is due in respect of a Note of a different
denomination from that in respect of the above-specified Note.
Acceleration and Curing Default
(i)
(ii)
(iii)
Subject to the right of the Controlling Class to direct enforcement of the Transaction
Documents against the Collateral pursuant to the Intercreditor Arrangements and the
subordination restrictions therein, if an Event of Default (other than an Event of
Default specified in paragraph (x) or (xi) of the definition of “Event of Default” above)
occurs and is continuing, all outstanding principal of the Notes and VF Notes together
with all premium and interest accrued thereon, shall be accelerated and shall be due
and payable unless the VF Noteholders and the Noteholders rescind the same
pursuant to Extraordinary Resolutions being passed at meetings of the VF
Noteholders and Noteholders, which the Controlling Class Agent shall procure are
convened within 10 days of the occurrence of such Event of Default (notwithstanding
the notice provisions in Condition 16). Notwithstanding the foregoing, if any Event of
Default specified in paragraphs (x) or (xi) of the definition of "Event of Default" above
occurs with respect to the Issuer, then the principal of all the Notes, together with all
premium and interest accrued thereon, shall become, and shall be deemed to have
become, immediately due and payable without any such declaration or notice or any
other action, and references in the Security and Intercreditor Deed to "declaration of
acceleration" shall include such automatic acceleration.
Pursuant to an Ordinary Resolution of the Senior Outstanding Class and written notice
to the Trustee, such Class may rescind an acceleration of any Class of Notes if: (i) all
existing Events of Default for all Classes of Notes, other than the non-payment of the
principal of and interest on any Notes (including Blocked Junior Note Interest) which
have become due solely by such declaration of acceleration, have been cured or
waived, (ii) to the extent the payment of such interest is lawful, interest on overdue
instalments of interest and overdue premium (if any) and principal, which has become
due otherwise than by such declaration of acceleration, has been paid or deposited
with the Trustee (other than Blocked Junior Note Interest), (iii) the rescission would
not conflict with any judgment or decree of a court of competent jurisdiction and (iv)
the Issuer has caused to be paid or deposited with the Trustee a sum sufficient to pay
all amounts paid or advanced by the Trustee under the Trust Deed and the
reasonable compensation, expenses, and disbursements and advances of the
Trustee, its agents and counsel. In the case of a Class of Notes being accelerated
pursuant to an Under-Collateralisation Event, such acceleration may be rescinded
pursuant to an Ordinary Resolution of such Class and written notice to the Trustee.
Subject to subordination provisions of the Intercreditor Arrangements, if an Event of
Default occurs and is continuing and the applicable grace period has elapsed, then,
with respect to the Notes only, either the Trustee, by written notice to the Issuer, or
the Senior Outstanding Class, by written notice to the Issuer and the Trustee pursuant
to an Extraordinary Resolution, may declare all unpaid principal of the Class of Notes
held by the Senior Outstanding Class (and, at the election of the Senior Outstanding
Class, any Classes of Notes junior thereto), together with all accrued and unpaid
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(c)
(iv)
(v)
(vi)
(vii)
11. Enforcement
(a)
(b)
premium and interest thereon, to be due and payable and, upon any such declaration,
the same shall become and be immediately due and payable.
If at any time: (i) the VF Notes have been declared to be due and payable prior to their
stated maturity as a result of the occurrence of an event of default pursuant to their
terms, (ii) the Trustee or the relevant Noteholders (as applicable) have declared the
relevant Notes to be due and payable solely due to the occurrence of an event of
default under the VF Notes, (iii) the VF Noteholders rescind and annul the
acceleration of maturity of the VF Notes and its consequences and (iv) any past
amounts payable on the relevant Notes are paid in full (other than any Blocked Junior
Note Interest) then, notwithstanding the provision of Condition 11(b) (Enforcement),
the acceleration of maturity of the relevant Class of Notes and its consequences shall
be rescinded and annulled without any action on the part of the Issuer, the Trustee or
the relevant Class of Noteholders.
If an Event of Default occurs and is continuing, the Trustee shall upon the written
direction of the Controlling Class pursuant to an Intercreditor Approval, and may, in its
discretion, pursue any available remedy by proceeding at law or in equity to collect the
payment of principal of or premium (if applicable), interest, commitment fees (if any) or
breakage costs (if any) on the Notes or to enforce the performance of any provision
(including any obligation of payment or performance) of the Notes or the Trust Deed;
provided, however, that such remedy is not inconsistent with any of the subordination
restrictions set forth therein or with the provisions of the Intercreditor Arrangements.
The Senior Outstanding Class acting by Extraordinary Resolution may by notice to the
Security Trustee, waive an existing Default or Event of Default and its consequences
(including rescinding acceleration), except a Default or Event of Default in the
payment of principal of or premium (if applicable), interest, commitment fees (if any) or
breakage costs (if any) on any Note (other than principal or interest which has
become due as a result of acceleration), which must be waived by each affected
Noteholder. A cross-default to another Class of Notes may be waived by the Senior
Outstanding Class acting by Extraordinary Resolution. Any waiver of any Default or
Event of Default in respect of any covenant or obligation of the Issuer (including any
obligation of payment) to or for the benefit of the Trustee shall also require the
express written consent of the Trustee. When a Default or Event of Default is waived,
it is deemed cured and ceases to exist (but only with respect to the facts or
circumstances that gave rise to such Default or Event of Default).
Upon any notice being given to the Issuer in accordance with Condition 10(b)(i)
(Acceleration and Curing Default), all of the Notes shall immediately become due and
repayable at their applicable Redemption Prices.
Notification and Confirmation of No Default
The Issuer shall promptly notify the Trustee, the Collateral Manager and the Rating Agencies
upon becoming aware of the occurrence of an Event of Default. The Trust Deed contains
provision for the Issuer to provide written confirmation to the Trustee and the Rating Agencies
on an annual basis or on request that no Event of Default has occurred and that no condition,
event or act has occurred which, with the lapse of time and/or the issue, making or giving of
any notice, certification, declaration and/or request and/or the taking of any similar action
and/or the fulfilment of any similar condition could constitute an Event of Default and that no
other matter which is required (pursuant thereto) to be brought to the Trustee's attention has
occurred.
Security becoming Enforceable
The security constituted under the Security Documents over the Collateral shall become
enforceable upon an acceleration of the maturity of any of the Notes pursuant to
Condition 10(b) (Acceleration and Curing Default) or, in the event that the same has not
precipitated an acceleration under Condition 10(b) (Acceleration and Curing Default), upon the
service of a Liquidation Direction pursuant to the Intercreditor Arrangements.
Enforcement
At any time after the security under the Security Documents becomes enforceable, the Trustee
shall, at the direction of the Controlling Class, in accordance with the Intercreditor
Arrangements and without further notice, institute such proceedings against the Issuer as
instructed by the Controlling Class to enforce the terms of the Security Documents and the
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(c)
(d)
12. Prescription
Notes and pursuant and subject to the terms of the Security Documents realise and/or
otherwise liquidate the Collateral and/or take such action as may be permitted under applicable
laws against any obligor in respect of the Collateral and/or take any other action to enforce the
security over the Collateral, in each case without any liability as to the consequence of any
action and without having regard (save to the extent provided in Condition 14(e) (Entitlement of
the Trustee and Conflicts of Interest)) to the effect of such action on individual Noteholders or
any other Secured Creditors.
Only Security Trustee to Act
Only the Security Trustee may pursue the remedies available under the Security Documents to
enforce the rights of the Noteholders or of any of the other Secured Creditors under the
Security Documents in accordance with the Intercreditor Arrangements and the Notes and no
Noteholder or other Secured Creditor may proceed directly against the Issuer or any of its
assets unless the Security Trustee, having become bound to proceed in accordance with the
terms of the Security and Intercreditor Deed, fails or neglects to do so within a reasonable
period of time following the instance of the obligation to proceed having arisen and such failure
or neglect is continuing. After realisation of the security which has become enforceable and
distribution of the net proceeds in accordance with the Intercreditor Priority of Payments, no
Noteholder or other Secured Creditor may take any further steps against the Issuer to recover
any sum still unpaid in respect of the Notes or the Issuer's obligations to such Secured Creditor
and all claims against the Issuer to recover any sum still unpaid in respect of the Notes or the
Issuer's obligations to such Secured Creditor and all claims against the Issuer in respect of
such sums unpaid shall be extinguished. In particular, none of the Trustee, any Noteholder or
any other Secured Creditor shall be entitled in respect thereof to petition or take any other step
for the winding-up of the Issuer except to the extent permitted under the Security and
Intercreditor Deed.
Purchase of Collateral by Noteholders
Upon any sale of any part of the Collateral following the occurrence of an Event of Default,
whether made under the power of sale under the Security Documents or by virtue of judicial
proceedings, any Noteholder (or other Secured Creditor) may (but shall not be obliged to) bid
for and purchase the Collateral or any part thereof and, upon compliance with the terms of
sale, may hold, retain, possess or dispose of such property in its or their own absolute right
without accountability. In addition, any purchaser in any such sale which is a Noteholder (or
other Secured Creditor) may deliver Notes held by it in place of payment of the purchase price
for such Collateral where the amount payable to such Noteholder (or other Secured Creditor) in
respect of such Notes pursuant to the Intercreditor Priority of Payments out of the net proceeds
of such sale is equal to or exceeds the purchase monies so payable.
Claims in respect of principal and interest payable on redemption in full of the relevant Notes will
become void unless presentation for payment is made as required by Condition 7 (Redemption) within a
period of five years, in the case of interest, and ten years, in the case of principal, from the Relevant
Date.
For this purpose, "Relevant Date" means the date on which the payment in respect of the Note first
becomes due and payable. However, if the full amount of the monies payable on such date has not
been received by the Principal Paying Agent or the Trustee on or prior to such date, the "Relevant Date"
means the date on which such monies shall have been so received and notice to that effect shall have
been given to the Noteholders in accordance with Condition 16 (Notices).
13. Replacement of Notes
If any Note is lost, stolen, mutilated, defaced or destroyed it may be replaced at the Specified Office of
the Irish Paying Agent, subject in each case to all applicable laws and Irish Stock Exchange
requirements, upon payment by the claimant of the expenses incurred in connection with such
replacement and on such terms as to evidence, security, indemnity and otherwise as the Issuer may
require (provided that the requirement is reasonable in the light of prevailing market practice). Mutilated
or defaced Notes must be surrendered before replacements will be issued.
14. Meetings of Noteholders, Modification, Waiver and Substitution
(a)
Provisions in Trust Deed
The Trust Deed contains provisions for convening meetings of the Noteholders (and of passing
Written Resolutions (as defined in the Trust Deed)) to consider matters affecting the interests
of the Noteholders including, without limitation, modifying or waiving certain of the provisions of
these Conditions and the substitution of the Issuer in certain circumstances. The provisions in
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this Condition 14 (Meetings of Noteholders, Modification, Waiver and Substitution) are
descriptive of the detailed provisions of the Trust Deed.
(b)
Decisions and Meetings of Noteholders
(i)
(ii)
General
Decisions may be taken by Noteholders by way of Ordinary Resolution or
Extraordinary Resolution, in each case, either acting together or, to the extent
specified in any applicable Transaction Document, as a Class of Noteholders acting
independently. Such Resolutions can be effected either at a duly convened meeting of
the applicable Noteholders or by the applicable Noteholders resolving in writing, in
each case, in at least the minimum percentages specified in the table "Minimum
Percentage Voting Requirements" in Condition 14(b)(iii) (Minimum Voting Rights)
below. Meetings of the Noteholders may be convened by the Issuer, the Trustee or by
one or more Noteholders holding not less than 10 per cent. in Principal Amount
Outstanding of the Notes of a particular Class in aggregate, subject to certain
conditions including minimum notice periods.
The Trustee may, in its discretion, determine that any proposed Ordinary Resolution
or Extraordinary Resolution affects only the Holders of one or more Classes of Notes,
in which event the required quorum and minimum percentage voting requirements of
such Ordinary Resolution or Extraordinary Resolution may be determined by
reference only to the Holders of that Class or Classes of Notes and not the Holders of
any other Notes as set forth in the tables below.
Quorum
The quorum required for any meeting convened to consider an Ordinary Resolution or
Extraordinary Resolution, in each case, of all the Noteholders or of a specified Class
of Noteholders, or at any adjourned meeting to consider such a Resolution, shall be
as set out in the relevant column and row corresponding to the type of Resolution in
the table "Quorum Requirements" below.
Quorum Requirements
Type of Resolution
Extraordinary Resolution of all
Noteholders (or a certain Class
or certain Classes only)
Ordinary Resolution of all
Noteholders (or a certain Class
or certain Classes only)
Any meeting other than a
meeting adjourned for want of
quorum
Two or more persons holding or
representing not less than (a) if
there is a Majority Senior Holder
at such time, 90 per cent. or (b)
if there is no Majority Senior
Holder at such time, 66 2/3 per
cent., in each case of the
aggregate Principal Amount
Outstanding of each Class of
Notes (or the relevant Class or
Classes only, if applicable)
Two or more persons holding or
representing not less than
10 per cent. of the aggregate
Principal Amount Outstanding of
each Class of Notes (or the
relevant Class or Classes only, if
applicable)
Meeting previously adjourned
for want of quorum
Two or more persons holding or
representing Notes of each
Class of Notes regardless of the
aggregate Principal Amount
Outstanding of each Class of
Notes (or the relevant Class or
Classes only, if applicable) so
held or represented
Two or more persons holding or
representing Notes of each
Class of Notes regardless of the
aggregate Principal Amount
Outstanding of each Class of
Notes (or the relevant Class or
Classes only, if applicable) so
held or represented
(iii)
Minimum Voting Rights
Set out in the table "Minimum Percentage Voting Requirements" below are the
minimum percentages required to pass the Resolutions specified in such table which,
(A) in the event that such Resolution is being considered at a duly convened meeting
of Noteholders, shall be determined by reference to the percentage which the
aggregate Principal Amount Outstanding of Notes held or represented by any person
or persons entitled to vote any applicable Notes who votes or vote in favour of such
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Resolution represents of the aggregate Principal Amount Outstanding of all applicable
Notes which are represented at such meeting and are entitled to be voted or, (B) in
the case of any Written Resolution, shall be determined by reference to the
percentage which the aggregate Principal Amount Outstanding of the Notes entitled to
be voted in respect of such Resolution which are voted in favour thereof represent of
the aggregate Principal Amount Outstanding of all the Notes entitled to vote in respect
of such Written Resolution.
Minimum Percentage Voting Requirements
Type of Resolution
Extraordinary Resolution of all Noteholders
(or a certain Class or certain Classes only)
Ordinary Resolution of all Noteholders (or a
certain Class or certain Classes only)
Minimum percentage
(A) If there is a Majority Senior Holder at such
time, 90 per cent. or (B) if there is no Majority
Senior Holder at such time, 66 2/3 per cent. of
the aggregate Principal Amount Outstanding
of each Class of Notes (or of a certain Class
or Classes only) that is (a) actually
represented at such meeting and are entitled
to be voted or (b) in the case of a Written
Resolution, entitled to be voted in respect of
such Extraordinary Resolution.
Over 50 per cent. of the aggregate Principal
Amount Outstanding of each Class of Notes
(or of a certain Class or Classes only) that is
(a) actually represented at such meeting and
are entitled to be voted or (b) in the case of a
Written Resolution, entitled to be voted in
respect of such Ordinary Resolution.
(iv)
(v)
(vi)
Written Resolutions
Any Written Resolution may be contained in one document or in several documents in
like form each signed by or on behalf of one or more of the relevant Noteholders and
the date of such Written Resolution shall be the date on which the latest such
document is signed.
All Resolutions Binding
Any Resolution of the Noteholders duly passed shall be binding on all Noteholders
(regardless of Class and regardless of whether or not a Noteholder was present at the
meeting at which such Resolution was passed). Matters requiring Controlling Class
consent, approval and instruction under these Conditions shall not (unless specified
otherwise) require approval by means of a Resolution to bind Noteholders of any
Class but shall be determined in accordance with the provisions of the Security and
Intercreditor Deed.
Extraordinary Resolution
Any Resolution to sanction any of the following items will be required to be passed by
an Extraordinary Resolution (in each case, subject to anything else contemplated in
the Trust Deed or the relevant Transaction Document, as applicable):
(A)
(B)
(C)
(D)
(E)
the exchange or substitution of the Notes of a Class for, or the conversion of
the Notes of a Class into, shares, bonds or other obligations or securities of
the Issuer or any other entity;
the modification of any provision relating to the timing and/or circumstances
of redemption of the Notes of a Class at maturity or otherwise (including the
circumstances in which the maturity of such Notes may be accelerated);
the modification of any of the provisions of the Master Trust Deed which
would directly and adversely affect the calculation of the amount of any
payment of interest or principal on any Note;
a change in the currency of payments of the Notes of (or within) a Class;
any change in the Intercreditor Priority of Payments or the Prepayment
Priorities;
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(c)
(F)
(G)
(H)
(I)
(J)
Modification and Waiver
the modification of the provisions concerning the quorum required at any
meeting of Noteholders or the minimum percentage required to pass an
Extraordinary Resolution or any other provision of these Conditions which
requires the written consent of the Holders of a requisite Principal Amount
Outstanding of the Notes of any Class;
any modification of any Transaction Document having a material adverse
effect on the security over the Collateral constituted by the Security and
Intercreditor Deed;
any item requiring approval by Extraordinary Resolution pursuant to these
Conditions or any Transaction Document;
any modification of this Condition 14(b)(vi); and
any material modification to the Market Valuation Manual not being of the
nature contemplated by Condition 14(c)(xii).
The Trust Deed provides that, without the consent of the Noteholders, the Issuer may amend,
modify, supplement and/or waive the relevant provisions of the Trust Deed and/or the
Collateral Management Agreement and/or any other Transaction Documents (subject to the
consent of the other parties thereto and the relevant provisions thereof) (as applicable), subject
to the prior consent of the Trustee, for any of the following purposes:
(i)
(ii)
(iii)
(iv)
(v)
(vi)
(vii)
(viii)
(ix)
to add to the covenants of the Issuer or the Trustee for the benefit of the Noteholders
or to surrender any right or power in the Trust Deed or the Collateral Management
Agreement (as applicable) conferred upon the Issuer;
to charge, convey, transfer, assign, mortgage or pledge any property to or with the
Trustee;
to correct or amplify the description of any property at any time subject to the security
of the Trust Deed, or to better assure, convey and confirm unto the Trustee any
property subject or required to be subject to the security of the Trust Deed (including,
without limitation, any and all actions necessary or desirable as a result of changes in
law or regulations) or to subject to the security of the Trust Deed any additional
property;
to evidence and provide for the acceptance of appointment under the Trust Deed by a
successor trustee subject to and in accordance with the terms of the Trust Deed and
to add to or change any of the provisions of the Trust Deed as shall be necessary to
facilitate the administration of the trusts under the Trust Deed by more than one
Trustee, pursuant to the requirements of the relevant provisions of the Trust Deed;
to modify the restrictions on and procedures for resales and other transfers of any
Note to reflect any changes in applicable law or regulation (or the interpretation
thereof) or to enable the Issuer to rely upon any exemption from registration under the
Securities Act or the Investment Company Act or applicable Dutch banking or
securities laws or to remove restrictions on resale and transfer to the extent not
required thereunder or otherwise to make any such modifications to the restrictions on
and procedures for resales and other transfers of Notes as shall be necessary or
advisable;
to make such changes as shall be necessary or advisable in order for any Note to be
(or to remain) listed on the Irish Stock Exchange or any other exchange;
save as contemplated pursuant to Base Condition 14(d) below, to take any action
advisable to prevent the Issuer from becoming subject to withholding or other taxes,
fees or assessments;
to take any action advisable to prevent the Issuer from being treated as resident in the
United Kingdom for UK tax purposes, as trading in the United Kingdom through a
United Kingdom permanent establishment for UK tax purposes or as subject to UK
VAT in respect of Collateral Management Fees;
to take any action advisable to prevent the Issuer from being treated as engaged in a
United States trade or business or otherwise be subject to United States federal, state
or local income tax on a net income basis;
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(x)
(xi)
(xii)
(xiii)
(xiv)
(xv)
to enter into any additional agreements not expressly prohibited by the Security
Documents or the Collateral Management Agreement (as applicable);
to evidence any waiver by any Rating Agency as to any requirement (or condition in
the Trust Deed, the Collateral Management Agreement or the Collateral
Administration Agreement (as applicable)) of such Rating Agency;
to modify any calculation described within the Market Valuation Manual to correspond
with changes in the guidelines, methodology or standards established by any
applicable Rating Agencies, (including, but not limited to, changes to the Advance
Rates as described within the Market Valuation Manual), subject to receipt of Rating
Agency Confirmation;
to make such changes as shall be necessary in order for the Trust Deed and any
supplement or amendment thereto, together with the Offering Circular, any relevant
Transaction Documents and any supplement or amendment thereto and any Reports
to be posted on the Repository for use in the manner provided in the Repository;
to make any other modification of any of the provisions of the Trust Deed, the
Collateral Management Agreement or any other Transaction Document which, in the
opinion of the Trustee, is of a formal, minor or technical nature or is made to correct a
manifest error or cure any ambiguity and
without prejudice to Condition 14(b)(i) above, to make any other modification to (save
as otherwise provided in the Trust Deed, the Collateral Management Agreement or
the relevant Transaction Document), and/or give any waiver or authorisation of any
breach or proposed breach of, any of the provisions of the Trust Deed or any other
Transaction Document which is, in the opinion of the Trustee, not materially prejudicial
to the interests of the Noteholders of any Class without regard, in such circumstances,
to the interests of the Holders of other Issuer Indebtedness (on whose behalf such
waiver or authorisation may be given by the relevant Representative pursuant to the
Security and Intercreditor Deed).
Any such modification, authorisation or waiver shall be binding on all Noteholders and shall be
notified to the Rating Agencies and to the Noteholders as soon as practicable in accordance
with Condition 16 (Notices), provided that the Trustee shall be entitled to obtain such advice in
connection therewith and give such consent as it sees fit. Any such fees and/or charges
incurred by the Trustee in connection with such advice shall be for the account of the Issuer.
The Master Trust Deed provides that no Trust Instruments shall, or shall purport to, amend the
Base Conditions other than (i) so as to specify the Specific Conditions applicable to any Class
of Notes (ii) to make Applicable Currency Amendments with respect to any Notes issued in a
currency other than Euro or (iii) to the extent that such amendments would not have a material
impact on the rights of, or be prejudicial to, the Holders of any Outstanding Notes of any Class
unless (x) such amendment is approved by an Extraordinary Resolution of the Holders of each
Class of Notes then Outstanding and (y) the same is in accordance with the Intercreditor
Arrangements.
Save as provided above, where consent of one or more Holders of Notes or VF Notes is
required to amend, modify, supplement and/or waive provisions of the Trust Deed, the
Amendment Buy-Out Purchaser shall have the right, but not the obligation, to purchase from
non-consenting Holders all Notes or VF Notes held by such Holders of the Class of Notes or
VF Notes whose consent was solicited with respect to such amendment, modification,
supplement and/or waiver (the “Amendment Buy-Out Option”) for the applicable Amendment
Buy-Out Purchase Price; provided, however, that the Amendment Buy-Out Purchaser may not
exercise the Amendment Buy-Out Option during the Non-Call period in connection with a
proposed amendment to reduce the rate of interest on any note or to change the earliest date
on which the Notes or VF Notes may be redeemed at the option of the Issuer. If such option is
exercised, the Amendment Buy-Out Purchaser must purchase all such Notes or VF Notes of
non-consenting Holders, regardless of the applicable percentage of the Principal Amount
Outstanding of the Notes or VF Notes the consent of whose Holders is required for such
amendment, modification, supplement and/or waiver (an “Amendment Buy-Out”). By its
acceptance of its Notes or VF Notes, each Holder of Notes or VF Notes agrees that if the
Amendment Buy-Out Option is exercised, any non-consenting Holder will be required to sell its
applicable Notes or VF Notes to the Amendment Buy-Out Purchaser; provided that, if the
solicited consent to an amendment, modification, supplement and/or waiver only applies to one
part of a Note or VF Note, the non-consenting Holder will be required to sell, at the Amendment
Buy-Out Purchaser’s option, its Note or VF Note as a whole. Neither the Amendment Buy-Out
Purchaser nor any other Person shall have any liability to any Holder of beneficial owner of
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(d)
(e)
Notes or VF Notes as a result of an election by the Amendment Buy-Out Purchaser not to
exercise the Amendment Buy-Out Option.
All purchases made pursuant to an Amendment Buy-Out Option individually and in the
aggregate must comply with the applicable transfer restrictions (See “Transfer Restrictions”
below) for the relevant Issuer Indebtedness set forth herein and all applicable laws, rules and
regulations (including, without limitation, any rules, regulations and procedures of any
securities exchange, self-regulatory organisation or clearing agency).
Substitution
The Trust Deed contains provisions permitting the Trustee to agree, subject to such
amendment of the Trust Deed and such other conditions as the Trustee may require (without
the consent of the Noteholders of any Class), to the substitution of any other company in place
of the Issuer, or of any previously substituted company, as principal debtor under the Trust
Deed and the Notes of each Class, if required for taxation purposes. In the case of such a
substitution the Trustee may agree, without the consent of the Noteholders, but subject to
receipt by the Trustee of Rating Agency Confirmation (subject to receipt of such information
and/or opinions as the applicable Rating Agency may require), to a change of the law
governing the Notes and/or the Trust Deed. Any substitution agreed by the Trustee pursuant to
this Condition 14(d) (Substitution) shall be binding on the Noteholders, and shall be notified to
the Noteholders as soon as practicable in accordance with Condition 16 (Notices).
The Trustee may, subject to the satisfaction of certain conditions, including receipt by the
Trustee of Rating Agency Confirmation, agree to a change in the place of residence of the
Issuer for taxation purposes without the consent of the Noteholders of any Class, provided the
Issuer does all such things as the Trustee may require in order that such change in the place of
residence of the Issuer for taxation purposes is fully effective and complies with such other
requirements which are in the interests of the Noteholders, as the Trustee may reasonably
direct.
The Issuer will procure that, so long as the Notes are listed on the Irish Stock Exchange, any
material amendments or modifications to the Conditions, Trust Deed or such other conditions
made pursuant to Condition 14 shall be notified to the Irish Stock Exchange.
Entitlement of the Trustee and Conflicts of Interest
In connection with the exercise of its trusts, powers, duties and discretions (including but not
limited to those referred to in this Condition 14 the Trustee shall have regard to the interests of
each Class of Noteholders as a Class and shall not have regard to the consequences of such
exercise for individual Noteholders of such Class and the Trustee shall not be entitled to
require, nor shall any Noteholder be entitled to claim, from the Issuer, the Trustee or any other
person, any indemnification or payment in respect of any tax consequence of any such
exercise upon individual Noteholders except to the extent already provided for in Condition 9
(Taxation).
If the Holders of one or more Classes of Notes have an interest in the outcome of a conflict, the
Trustee shall give priority to the interests of the Class of Notes which ranks most senior in
priority over the interests of the more junior ranking Class or Classes of Notes. The Trust Deed
provides further that the Trustee will act upon the directions of the Holders of the Senior
Outstanding Class in such circumstances, and shall not be obliged to consider the interests of,
and is exempted from any liability to, the Holders of any other Class of Notes.
15. Indemnification of the Trustee
The Trust Deed contains provisions for the indemnification of the Trustee and for its relief from
responsibility in certain circumstances, including provisions relieving it from instituting proceedings to
enforce repayment or to enforce the security constituted by or pursuant to the Trust Deed, unless
indemnified to its satisfaction. The Trustee is entitled to enter into business transactions with the Issuer
and any entity related to the Issuer without accounting for any profit. The Trustee is exempted from any
liability in respect of any loss or theft of the Collateral, from any obligation to insure, or to monitor the
provisions of any insurance arrangements in respect of, the Collateral (for the avoidance of doubt, under
the Security Documents the Trustee is under no such obligation) and from any claim arising from the
fact that the Collateral is held by the Custodian or is otherwise held in safe custody by a bank or other
custodian. The Trustee shall not be responsible for the performance by the Custodian of any of its duties
under the Agency Agreement, for the performance by the Collateral Manager of any of its duties under
the Collateral Management Agreement, for the performance by the Collateral Administrator of its duties
under the Collateral Administration Agreement or for the performance by any other person appointed by
the Issuer in relation to the Notes. The Trustee shall not have any responsibility for the administration,
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management or operation of the Collateral including the request by the Collateral Manager to release
any of the Collateral from time to time.
The Trust Deed contains provisions for the retirement of the Trustee and the removal of the Trustee at
the direction of the Controlling Class Agent, but no such retirement or removal shall become effective
until a successor trustee is appointed.
16. Notices
Notices may be given to Noteholders in any manner deemed acceptable by the Trustee provided that for
so long as the Notes are listed on the Irish Stock Exchange, such notice shall be in accordance with the
rules of the Irish Stock Exchange. Notices regarding the Notes will be deemed duly given if posted to
the address of such Noteholder appearing in the Register at the time of publication of such notice by
pre-paid, first class mail (or any other manner approved by the Trustee). Any such notice shall be
deemed to have been given on the date of despatch thereof to the Noteholders. Notices to holders of
Global Notes held through a Clearing System may be given by delivery of the relevant notice to the
relevant Clearing System.
17. Further Issues
(a)
The Issuer may from time to time without the consent of the Noteholders, create and issue
further securities (x) having the same terms and conditions as the Initial Issuance Class A
Notes and/or the Initial Issuance Class B Notes and/or the Initial Issuance Class C Notes
and/or the Initial Issuance Class D Notes and/or the Initial Issuance Class E Subordinated
Notes in all respects (or in all respects except for the first payment of interest thereon) or
(y) after the redemption of any of the same having the same terms and conditions as any other
Class of Notes which is Outstanding (each, a "Relevant Outstanding Class"); which shall in
each case be consolidated and form a single series with the applicable Outstanding Notes,
provided the following conditions are met:
(i)
(ii)
(iii)
(iv)
(v)
(vi)
(vii)
(viii)
(ix)
the terms of the Notes issued are identical to the terms of the relevant Initial Issuance
Notes then Outstanding (if any) (or, as the case may be, the Relevant Outstanding
Class) of the Class of which such Notes are to form a part (save for the first payment
of interest on them and (subject to Condition 17(d)), in the case of any Class E
Subordinated Notes, the Non-Call Period applicable thereto);
the Issuer and the Trustee have received Rating Agency Confirmation that the
additional issue will not cause the reduction or withdrawal of the then-current ratings
of any Issuer Indebtedness;
any such further issue of Notes does not result in a breach by the Issuer of the laws
and regulations (including, without limitation, the banking and securities laws and
regulations) of The Netherlands;
no Event of Default or Default in respect of any Notes is continuing (unless after giving
effect to the incurrence of such additional tranches of Notes and the application of the
proceeds thereof, no such Event of Default or Default is continuing) or will occur as a
result of the issuance of such new tranche of Notes;
immediately after giving effect to the issuance of further securities, further Issuer
Indebtedness and any other issuances, redemptions, purchases or payments to be
made on the applicable Closing Date, the Over-Collateralisation Tests with respect to
all outstanding Issuer Indebtedness (including such further Issuer Indebtedness) shall
be satisfied (without giving effect to any grace period set forth therein);
any such issuance is in accordance with the Intercreditor Arrangements, including,
without limitation, that the rights of Secured Creditors are not prejudiced thereby;
without prejudice to (vi) above, the issuance proceeds of any notes issued hereunder
and any property acquired therewith shall (subject to any deductions associated with
the issuance of such notes) be added to, and comprise a non-segregated element of,
the Collateral;
the issue date of any such issuance is a Payment Date for the Initial Issuance Notes
(or, as the case may be, the Relevant Outstanding Class); and
the Issuer has agreed with the potential Holders of additional Class E Subordinated
Notes to be issued pursuant to this Condition 17 (the "New Holders"), that such New
Holders shall (taking into account the costs suffered by such New Holders on the
issuance of such additional Class E Subordinated Notes) bear, pro rata, that
proportion of the issuance costs suffered by the Holders of Class E Subordinated
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(b)
(c)
(d)
Notes existing at the time of issue of such additional Class E Subordinated Notes, to
the extent that the five year amortisation period applicable to such issuance costs has
not expired as at the Closing Date of the additional Class E Subordinated Notes to be
acquired by the New Holders.
In addition to the foregoing, the Issuer may also from time to time without the consent of the
Noteholders of any Class but subject to the Intercreditor Arrangements, create and issue
further notes provided (x) the requirements of (ii) to (ix) above and certain additional conditions
contained in the Master Trust Deed are satisfied and (y) the Conditions of such notes
incorporate the Base Conditions as amended in accordance with the provisions of the same
and the Master Trust Deed.
Any further notes forming a single series with Notes constituted by the Trust Deed or any deed
supplemental to it shall be constituted by a deed supplemental to the Trust Deed and any notes
issued pursuant to Condition 17(b) shall be constituted by a Trust Instrument pursuant to the
Master Trust Deed.
Any Class E Subordinated Notes issued pursuant to Condition 17(a) which have a Non-Call
Period which differs from that of any Class E Subordinated Notes already in issue, shall only be
consolidated and form a single series with such Outstanding Class E Subordinated Notes once
the Non-Call Period applicable to such new issue and the Non-Call Period applicable to such
Outstanding Class E Subordinated Notes have both expired.
Noteholders should be aware that additional notes that are treated for non-tax purposes as a single
series with the original Notes may be treated as a separate series for U.S. federal income tax purposes.
In such case, the new notes may be considered to have been issued with "original issue discount" (as
defined in the Offering Circular headed "Tax Considerations – United States Federal Income Taxation"),
which may affect the market value of the original Notes since such additional notes may not be
distinguishable from the original Notes.
18. Third-Party Rights
The Amendment Buy-Out Purchaser may enforce any right contained in these Conditions to the extent
that these Conditions express that the Amendment Buy-Out Purchaser has such right in accordance
with Condition 14(c) (Modification and Waiver).
Except as provided above, no person shall have any right to enforce any term or condition of the Notes
under the Contracts (Rights of Third Parties) Act 1999.
19. Governing Law
(a)
(b)
(c)
Governing Law
The Trust Deed and the Notes of each Class are governed by and shall be construed in
accordance with English law.
Jurisdiction
The courts of England are to have jurisdiction to settle any disputes which may arise out of or
in connection with the Notes, and accordingly any legal action or proceedings arising out of or
in connection with the Notes ("Proceedings") may be brought in such courts. The Issuer has in
the Trust Deed irrevocably submitted to the jurisdiction of such courts and waives any objection
to Proceedings in any such courts whether on the ground of venue or on the ground that the
Proceedings have been brought in an inconvenient forum. This submission is made for the
benefit of each of the Noteholders and the Trustee and shall not limit the right of any of them to
take Proceedings in any other court of competent jurisdiction nor shall the taking of
Proceedings in one or more jurisdictions preclude the taking of Proceedings in any other
jurisdiction (whether concurrently or not).
Agent for Service of Process
The Issuer appoints TMF Management (UK) Ltd., of Atlas House, 1 King Street, London EC2V
8AU as its agent in England to receive service of process in any Proceedings in England based
on any of the Notes. If for any reason the Issuer does not have such an agent in England, it will
promptly appoint a substitute process agent and notify the Trustee and the Noteholders of such
appointment. Nothing herein shall affect the right to service of process in any other manner
permitted by law.
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20. Specific Conditions
Specific Conditions set out below as "Other terms" may include, but shall not be limited to, the issue of
Notes in currencies other than Euro and differing redemption procedures, bases for the calculation of
interest and Business Days and other market conventions applicable to such Notes.
€100,000,000 Class A-1 Secured Floating Rate Notes due 2013
Specified Notes:
Maturity Date: 15 June 2013
Closing Date:
Rating:
Fixed Rate Notes:
Floating Rate Notes:
Class A-1 Senior Secured Floating Rate Notes
Initial Closing Date
AAA from S&P, Aaa from Moody's
N/A
Yes
Relevant Margin: 0.29%
Other terms:
€6,250,000 Class B-1 Secured Floating Rate Notes due 2013
Specified Notes:
Maturity Date: 15 June 2013
Closing Date:
Rating:
Fixed Rate Notes:
Floating Rate Notes:
Non-call period from and including the Initial Closing Date to,
but excluding, the Payment Date falling on 15 June 2007.
Class B-1 Second Senior Secured Floating Rate Notes
Initial Closing Date
AA from S&P, Aa2 from Moody's
N/A
Yes
Relevant Margin: 0.48%
Other terms:
€12,250,000 Class C-1 Secured Floating Rate Notes due 2013
Specified Notes:
Maturity Date: 15 June 2013
Closing Date:
Rating:
Fixed Rate Notes:
Floating Rate Notes:
Non-call period from and including the Initial Closing Date to,
but excluding, the Payment Date falling on 15 June 2007.
Class C-1 Third Senior Secured Floating Rate Notes
Initial Closing Date
A from S&P, A2 from Moody's
N/A
Yes
Relevant Margin: 0.73%
Other terms:
€12,250,000 Class D-1 Secured Floating Rate Notes due 2013
Specified Notes:
Maturity Date: 15 June 2013
Closing Date:
Rating:
Fixed Rate Notes:
Floating Rate Notes:
Non-call period from and including the Initial Closing Date to,
but excluding, the Payment Date falling on 15 June 2007.
Class D-1 Fourth Senior Secured Floating Rate Notes
Initial Closing Date
BBB from S&P, Baa2 from Moody's
N/A
Yes
Relevant Margin: 1.65%
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Other terms:
€41,000,000 Class E-1a Preferred Subordinated Notes due 2055
Specified Notes:
Maturity Date: 15 June 2055
Closing Date:
Fixed Rate Notes:
Floating Rate Notes:
Non-call period from and including the Initial Closing Date to,
but excluding, the Payment Date falling on 15 June 2007.
Class E-1a Preferred Subordinated Notes
Initial Closing Date
N/A
Yes
Relevant Margin: 5.00%
Other terms:
N/A
€41,000,000 Class E-1b Subordinated Notes due 2055
Specified Notes:
Maturity Date: 15 June 2055
Closing Date:
Fixed Rate Notes:
Floating Rate Notes:
Class E-1b Subordinated Notes
Initial Closing Date
N/A
Yes
Relevant Margin: 3.00%
Other terms:
€4,000,000 Class E-2 Subordinated Notes due 2055
Specified Notes:
Maturity Date: 15 June 2055
Closing Date:
Fixed Rate Notes:
Floating Rate Notes:
Additional Interest - In addition to receiving (i) interest
calculated at the relevant Rate of Interest on the Principal
Outstanding Amount of the Class E-1b Subordinated Notes and
(ii) payments of Additional Interest will be made on the
Class E-1b Subordinated Notes on an available funds basis in
accordance with Condition 3(d) (Restricted Payments),
Condition 3(c) (Payment of Amounts) and Condition 6 (Interest)
and in accordance with the Intercreditor Priority of Payments.
Class E-2 Subordinated Notes
Initial Closing Date
N/A
Yes
Relevant Margin: 3.00%
Other terms:
Additional Interest - In addition to receiving (i) interest
calculated at the relevant Rate of Interest on the Principal
Outstanding Amount of the Class E-2 Subordinated Notes and
(ii) payments of Additional Interest will be made on the Class
E-2 Subordinated Note on an available funds basis in
accordance with Condition 3(d) (Restricted Payments),
Condition 3(c) (Payment of Amounts) and Condition 6 (Interest)
and in accordance with the Intercreditor Priority of Payments.
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DESCRIPTION OF THE PORTFOLIO AND MARKET VALUATION METHODOLOGY
Types of Investments in the Portfolio
For the purpose of the Market Valuation Manual, Issuer Investments may include Cash, Cash Equivalents,
Government Securities, Loans, Securities and Hedging and Short-Sale Transactions (each as defined in the
Market Valuation Manual). However it is anticipated that the portfolio of Collateral that the Issuer may acquire
from time to time will consist primarily of (i) secured loans and to a lesser extent (ii) high yield securities and (iii)
certain special opportunity investments including traditional distressed debt, each of which is described below.
(i)
(ii)
(iii)
Loans
Loans include assignments of and participations in performing senior corporate debt. Loans are
typically acquired through primary bank syndications and in the secondary market.
High Yield Securities
High yield securities typically consist of below investment-grade debt securities purchased in the public
or private markets, which may include deferred, zero coupon or pay-in-kind payment terms.
Special Opportunity Investments
Special opportunity investments include (i) public and private securities of financially distressed or
bankrupt issuers, including bank debt and bonds, (ii) privately negotiated subordinated debt securities
issued in connection with leveraged transactions and (iii) warrants or options that may be purchased in
connection with high yield debt.
Target Asset Mix
Pursuant to the Collateral Management Agreement the Issuer has authorised the Collateral Manager to invest as
many of its assets as possible in the types of investment described above. However, the Collateral Manager may
determine from time to time that investment opportunities are limited, and that it may not be able to fully allocate
all of such assets to such investments on advantageous terms. In such cases, the Collateral Manager may
choose to invest a portion of the Issuer's assets, directly or indirectly, in Cash or Cash Equivalents or similar
assets. The composition of the Issuer Investments will vary over time and be affected by, among other things,
certain financial covenants imposed on the Issuer under the Intercreditor Arrangements and changing market
conditions, which in the opinion of the Collateral Manager, warrant a different allocation of the Issuer
Investments. At times, this portion may constitute a significant portion of the Issuer's total assets. Any assets
held by the Issuer as Cash or Cash Equivalents or similar assets are likely to reduce the investment returns of
the Issuer and could affect the ability of the Issuer to make all payments on the Notes and VF Notes when due.
Investment Strategy Governed by the Over-Collateralisation Tests
The Issuer's investment strategy is governed by the Over-Collateralisation Tests set out in the Market Valuation
Manual. The Over-Collateralisation Tests comprise formulae according to which the Rating Agencies determine
the permitted amount of Senior Indebtedness, Class B Notes, Class C Notes and Class D Notes based upon the
composition of its assets in the form of Issuer Investments at any time. For each level of seniority of such
indebtedness, each of the Asset Categories between A-1 and K-2 is allocated a specific Advance Rate (see the
matrices referred to in the definition of "Advance Rate" in the Market Valuation Manual). The Advance Rates
obtained by application of these matrices in turn determine the applicable S&P Advance Amount and Moody's
Advance Amount by reference to which (together with reference to the Market Value of Issuer Investments in the
relevant Asset Categories) the Over-Collateralisation Tests are then computed. By reason of the application of
this procedure the levels of coverage maintained by the Issuer (together with the liquidity available to it) means
that the assets and commitments backing the VF Notes and Notes from time to time have the characteristics that
demonstrate capacity to produce funds to service payments due and payable from time to time on the VF Notes
and Notes.
Determination of Market Value and Market Value Price
The Market Valuation Manual provides a mechanism for obtaining the Market Value of Cash, Cash Equivalents,
Unquoted Investments and other Issuer Investments. The Market Value of certain Issuer Investments is
calculated by reference to the Market Value Price of the same. The Market Value Price is the bid price for each
Issuer Investment at such date obtained from an Approved Source, namely any of (a) the lower of two, or the
average of three, prices quoted by Approved Dealers or Approved Investment Banking Firms, (b) in the case of
an Approved Exchange, the closing price on such Approved Exchange (or if such Approved Exchange is closed
for business at such date, then the most recent available closing price) or (c) the price obtained from an
Approved Pricing Service. The principal purpose of ascertaining the relevant Market Value of Issuer Investments
is to employ the same in determining compliance with the Over-Collateralisation Tests.
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Investment Diversification and Concentration Limitations
The basis on which funds are to be made available under the VF Notes and the Notes by reference to the Market
Valuation Manual has been structured to permit investment flexibility while maintaining portfolio diversification.
Although the Collateral Management Agreement does not prescribe specific eligibility criteria with which Issuer
Investments must comply (other than on their acquisition (see the section headed "Acquisition Criteria for Issuer
Investments" below)), the Market Valuation Manual does establish certain Issuer Investment concentration
parameters, with respect to issuer and industry diversification, liquidity of investments, foreign currency
investments, counterparty exposure and various other criteria, for the purpose of computing compliance with the
Over-Collateralisation Tests. These parameters are not strict limitations in themselves but determine which
Issuer Investments at any time may be taken into consideration when computing compliance with the
Over-Collateralisation Tests. However, the Issuer is not prohibited from holding Issuer Investments in excess of
such parameters. In addition, the amount of indebtedness that the Issuer is permitted to incur at any time will be
reduced to account for potential funding obligations under Hedging and Short-Sale Transactions and for
extensions of credit under Loans that are not fully funded. The investment diversification and concentration
parameters are set out in the Market Valuation Manual (see definition of "Excess Issuer Investments" in the
Market Valuation Manual).
Acquisition Criteria for Issuer Investments
The Collateral Management Agreement specifies certain criteria ("Acquisition Criteria") with which Issuer
Investments must comply at the time of the Issuer (or Collateral Manager on its behalf) entering into a binding
commitment to acquire the same. As further particularised in the Collateral Management Agreement the
Acquisition Criteria require that Issuer Investments: (a) are eligible to be sold, novated, assigned to or by, or
participated in and by, the Issuer in each case without any breach of applicable law, selling restrictions or of any
contractual provision, (b) are not leases, (c) will not, following acquisition by the Issuer, be subject to withholding
tax in any jurisdiction unless the applicable obligors under such Issuer Investments are required to make "gross
up" payments to the Issuer that cover the full amount of any such withholding on an after-tax basis, (d) are not
obligations whose acquisition by the Issuer will cause the Issuer to be deemed to have participated in a primary
loan origination in the United States, (e) are not Margin Stock as defined under Regulation U issued by The
Board of Governors of the Federal Reserve System, (f) are capable of being subject to a first priority security
interest in favour of the Security Trustee for the benefit of the Secured Creditors pursuant to the Security and
Intercreditor Deed, (g) do not, by reason of their acquisition, cause the Issuer to breach the Over-Collateralisation
Tests or any of the covenants contained in Condition 5(a)(Covenants of and Restrictions on the Issuer), (h) it is
not a Dutch Ineligible Security or an obligation or instrument that is convertible into or exchangeable for a Dutch
Ineligible Security, and (i) it is not indebtedness for borrowed money owing by a Dutch resident individual or
Dutch corporate entity who or which is not acting in the conduct of a business or profession. The Collateral
Management Agreement provides that the subsequent failure of any Issuer Investment to satisfy any of the
Acquisition Criteria shall not prevent any obligation from being an Issuer Investment so long as such obligation
satisfied the Acquisition Criteria when the Issuer or the Collateral Manager (on behalf of the Issuer) entered into a
binding agreement to purchase such obligation and shall not necessitate any action by the Issuer or the
Collateral Manager.
Over-Collateralisation Testing and Reporting
Pursuant to the Trust Deed and the Security and Intercreditor Deed, the Issuer will procure that the Collateral
Manager, on behalf of the Issuer, shall: (A)(i) calculate the Market Value of each Issuer Investment that is not an
Unquoted Investment on (x) the Valuation Date for each calendar week and (y) to the extent that a Market Value
Price therefor is determined using an Approved Pricing Service, on each Business Day and (ii) calculate the
Market Value of each Issuer Investment that is an Unquoted Investment on at least a quarterly basis or, with
respect to Unquoted Investments having an aggregate Market Value in excess of 4 per cent. of Total
Capitalisation, at least monthly and (B) on each Business Day on which any Rated Notes or VF Notes remain
Outstanding, determine whether the Over-Collateralisation Tests have been satisfied by reference to the then
most recent Quoted Issuer Investment Valuation and/or the then most recent Unquoted Issuer Investment
Valuation.
The Over-Collateralisation Tests
Compliance with the Over-Collateralisation Tests is an obligation of the Issuer under the Trust Deed. Subject to
certain provisos the Over-Collateralisation Tests are satisfied when either: (1)(a) the Senior Advance Amount is
greater than or equal to the Principal Amount Outstanding of Senior Indebtedness (as defined in Condition 1
(Definitions)), (b) the Class B Notes Advance Amount is greater than or equal to the sum of the Principal Amount
Outstanding of Senior Indebtedness and the Principal Amount Outstanding of the Class B Notes (as defined in
Condition 1 (Definitions)), (c) the Class C Notes Advance Amount is greater than or equal to the sum of the
Principal Amount Outstanding of Senior Indebtedness, the Principal Amount Outstanding of the Class B Notes
and the Principal Amount Outstanding of the Class C Notes (as defined in Condition 1 (Definitions)) and (d) the
Class D Notes Advance Amount is greater than or equal to the sum of the Principal Amount Outstanding of
Senior Indebtedness, the Principal Amount Outstanding of the Class B Notes, the Principal Amount Outstanding
of the Class C Notes and the Principal Amount Outstanding of the Class D Notes (as defined in Condition 1
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(Definitions)) or (2) the Issuer has complied with Condition 5(c) (Over-Collateralisation Failure and
Collateralisation Shortfall Dates). In the event that the Over-Collateralisation Tests are not satisfied, the Issuer is
obliged to employ certain strategies to attempt to ensure compliance within specific timeframes (see
Condition 5(c) (Over-Collateralisation Failure and Collateralisation Shortfall Dates)).
Over-Collateralisation Failure and Collateralisation Shortfall Dates
On the occurrence of a failure to comply with the Over-Collateralisation Tests, the Issuer will procure that the
Collateral Manager, on behalf of the Issuer, shall, not later than the Business Day following the date on which the
breach occurred (such day being referred to in the Conditions as a Collateralisation Shortfall Date), furnish the
Rating Agencies, the VFN Agent (for furnishing to the VF Noteholders) and the Trustee with a Collateralisation
Shortfall Valuation Statement. Upon the occurrence of a Collateralisation Shortfall Date, the Issuer (or the
Collateral Manager on its behalf) shall, inter alia, also employ either the Prepayment Cure Methodology or the
Projection Cure Methodology in order to remedy the breach of the Over-Collateralisation Tests. Pursuant to the
Prepayment Cure Methodology, the Issuer, or the Collateral Manager on its behalf, is obliged to make
prepayments of its VF Notes and Outstanding Notes (see Condition 7(e)(i) (Mandatory Redemption upon
Over-Collateralisation Failure)) by reference to the seniority of the same up to the level necessary to cure the
relevant under-collateralisation (see paragraph (i) of Condition 5(c) (Over-Collateralisation Failure and
Collateralisation Shortfall Dates)). Pursuant to the Projection Cure Methodology which the Issuer, or the
Collateral Manager on its behalf, may elect to adopt instead of the Prepayment Cure Methodology, the Issuer is
obliged to furnish the Rating Agencies, the VFN Agent (for furnishing to the VF Noteholders) and the Trustee with
a Projection Cure Statement showing projected compliance with the Over-Collateralisation Tests by the
Long-Stop Date by means of disposing of certain Issuer Investments and acquiring others in accordance with a
specific set of timelines and redeeming VF Notes and Notes with the net proceeds of such disposals and
acquisitions and other liquidity available to the Issuer (see paragraph (ii) of Condition 5(c)) (Over-Collateralisation
Failure and Collateralisation Shortfall Dates).
Under-Collateralisation Events
In the event that the application of the Under-Collateralisation Cure Methodologies fails to cure an
Over-Collateralisation Failure, the Issuer (or the Collateral Manager on its behalf) shall make payments in
accordance with the Prepayment Cure Methodology in order to cure the resulting Supervening Shortfall by the
Long-Stop Date. Failure to do so will give rise to an Under-Collateralisation Event, which constitutes an Event of
Default for the purpose of the Conditions (see Condition 10 (Events of Default)).
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MARKET VALUATION MANUAL
Pursuant to the Collateral Management Agreement, the Collateral Manager is obliged, acting on the Issuer's
behalf, to calculate the Market Value of each Issuer Investment on the following basis:
(i)
(ii)
if such Issuer Investment is not an Unquoted Investment:
(x)
(y)
as of the Valuation Date for each calendar week and
on each Business Day, to the extent that a Market Value Price for such Issuer Investment is
determined using an Approved Pricing Service and
if such Issuer Investment is an Unquoted Investment, on at least a quarterly basis or, with respect to
Unquoted Investments having an aggregate Market Value in excess of 4 per cent. of Total
Capitalisation, at least monthly.
In making the above determinations, the Collateral Manager is obliged to refer to the following Rating Agency
definitions and procedures. In this Market Valuation Manual, capitalised terms not defined below have the
meanings given to them in the Conditions.
"Market Value"
means, with respect to:
(a)
Cash, the current balance thereof;
(b) (i) any Cash Equivalents of the type described in
paragraph (a) of the definition thereof, the original
purchase price of such Cash Equivalents and
(c)
(d)
(ii)
any Cash Equivalents of the type described in
paragraph (b) of the definition thereof, the
aggregate current net value of such Cash
Equivalents;
any Defensive Hedge Transaction:
(i)
(ii)
each:
(i)
(ii)
(iii)
where the related Issuer Investment is part of the
Collateral, the amount, as determined by the Issuer
(or the Collateral Manager on its behalf), by which
the Protected Market Value with respect to such
Issuer Investment exceeds the product of the
Market Value of the Issuer Investment (or, if less,
the portion thereof that is a Non-Excluded Issuer
Investment), as otherwise determined in
accordance with these procedures, and the
applicable Advance Rate for such Issuer
Investment or
where the Issuer Investment is not part of the
Collateral, the Protected Market Value with respect
to such Issuer Investment;
Short-Sale Contract;
Synthetic Purchase Contract and
Structured Product Transaction,
an amount, which may be positive or negative, equal to the
amount, obtained from an Approved Source (using the lower
of two, or the average of three, quotes from Approved
Dealers and/or Approved Investment Banking Firms), that a
Person would pay or charge to assume all obligations and
benefits of the Issuer under such Short-Sale Contract,
Synthetic Purchase Contract or Structured Product
Transaction, as applicable; provided that the Market Value
of each Short-Sale Contract, Synthetic Purchase Contract
and Structured Product Transaction that has a positive
Market Value and a counterparty that is not an Eligible
Counterparty shall be zero;
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"Market Value Price"
"Advance Rate"
(e)
(f)
(g)
any Asset-Backed Security, the lower of two, or the average
of three, bid prices quoted by Approved Dealers and/or
Approved Investment Banking Firms;
any Issuer Investment which is an Unquoted Investment at
any date, either (x) the lower of two, or the average of three,
bid prices quoted by Approved Dealers or Approved
Investment Banking Firms or (y) an appraisal by an
Approved Third-Party Appraiser, in either case obtained at
least quarterly; provided that, with respect to Unquoted
Investments having an aggregate Market Value in excess of
4.0 per cent. of Total Capitalisation, such quotes and/or
appraisals shall be obtained at least monthly provided
further that in no event will the Market Value of any
Unquoted Investment exceed the lesser of (1) the most
recent quotation or appraisal obtained as provided in this
clause (f) and (2) the value most recently determined by the
Issuer in any report or statement provided by the Issuer.
Prior to the first available quotation or appraisal of any
Unquoted Investment obtained as provided above in this
clause (f), the Market Value of such Unquoted Investment
will be the lower of the value thereof as most recently
quoted by an Approved Source, if any, and cost; and
any other Issuer Investment at any date, an amount
determined by the Issuer (or the Collateral Manager on its
behalf) that is not in excess of the product of (x) the Market
Value Price for each unit of such Issuer Investment on such
date (and, with respect to any Securities which have an
amortising principal amount, the then-current factor related
thereto, if applicable) and (y) the number of units of such
Issuer Investment held by, or on behalf of, the Issuer;
provided that for any Loan, Participation or delayed-draw
Security, the Market Value shall be (i) the product of the
commitment amount and the Market Value Price minus (ii)
the Maximum Unfunded Amount, in each case, of such
Loan, Participation or delayed-draw Security.
For the purposes of the definition of Market Value, (i) accrued interest
on any interest-bearing Non-Excluded Issuer Investments shall be
excluded in the determination of Market Value by the party making
such determination and (ii) the Market Value of all non-Euro Issuer
Investments shall be converted into Euros at the then-current spot
rate (after taking into account the effect of any Currency Hedging
Transactions which can be associated with such Issuer Investment).
means, with respect to an Issuer Investment at any date, the bid price
for each unit of such Issuer Investment at such date obtained from an
Approved Source.
means, for each Asset Category, the percentage set out in the
relevant Rating Agency Table opposite such Asset Category and
maturity (if applicable) under the applicable Over-Collateralisation
Test or, in respect of a US Asset, the aggregate of such percentage
and the relevant US Element.
For the purposes of determining the S&P Advance Amount or
Moody's Advance Amount,
(i)
(ii)
the Advance Rate of any Unhedged Currency Investment
shall be 95 per cent. of the Advance Rate thereof otherwise
determined in accordance with the above procedures;
unless such Cash or Cash Equivalents are protected against
currency fluctuations as a result of Currency Hedging
Transactions or borrowings under a Transaction Document
that are repayable in the applicable foreign currency, the
S&P Advance Rate applicable to Cash or Cash Equivalents
denominated in Eligible Foreign Currencies other than
Pounds Sterling or U.S. Dollars shall be (1) 95 per cent., if
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such Cash or Cash Equivalents are held for a period of five
Business Days or fewer and (2) zero per cent., if such Cash
or Cash Equivalents are held for more than five Business
Days, of the Advance Rate thereof otherwise determined in
accordance with the above procedures and the Moody's
Advance Rate applicable to Cash or Cash Equivalents
denominated in Eligible Foreign Currencies other than
Pounds Sterling or U.S. Dollars shall be 95 per cent.;
"Aggregate Counterparty Exposure"
(iii)
(iv)
(v)
the Advance Rate of any Non-Cash Pay Instrument that is
not a Government Security shall be 95 per cent. of the
Advance Rate thereof otherwise determined in accordance
with the above procedures;
the S&P Advance Rates applicable to any non US Asset
which is a Mezzanine Loan or Second Lien Loans of which
the aggregate Market Value is in excess of 7.5 per cent. of
Total Capitalisation and less than or equal to 20 per cent. of
Total Capitalisation shall be 66 2 / 3 per cent. of the S&P
Advance Rates thereof otherwise determined in accordance
with the above procedures; and the S&P Advance Rates
applicable to any US Asset which is a Mezzanine Loan or
Second Lien Loan of which the aggregate Market Value is in
excess of 7.5 per cent. of Total Capitalisation and less than
12.5 per cent. of Total Capitalisation shall be 66 2 / 3 per cent.
of the S&P Advance Rates thereof otherwise determined in
accordance with the above procedures; and
the Advance Rate applicable to any Unquoted Investment
for which the most recent quote is more than three months
old shall be zero.
means, for the purposes of calculating the S&P Advance Amount, on
any date of determination, the excess of (A) the sum of (i) the
aggregate Market Value of Issuer Investments consisting of
Participations with Eligible Selling Institutions having either (x) a
short-term S&P issuer credit rating of less than "A-1+" or (y) with
respect to any Eligible Selling Institution that has no such short-term
S&P issuer credit rating, then a long-term S&P issuer credit rating of
less than "AAA", (ii) the aggregate Market Value of each Defensive
Hedge Transaction, Short-Sale Contract and Synthetic Purchase
Contract, in each case with a positive Market Value and an Eligible
Counterparty with either (x) a short-term S&P issuer credit rating of
less than "A-1+" or (y) with respect to such Eligible Counterparty that
has no such short-term S&P issuer credit rating, then a long-term
S&P issuer credit rating of less than "AAA" and (iii) the aggregate
amount of cash posted to Eligible Counterparties with either (x) a
short-term S&P issuer credit rating of less than "A-1+" or (y) with
respect to any such Eligible Counterparty that has no such short-term
S&P issuer credit rating, then a long-term S&P issuer credit rating of
less than "AAA" in respect of Short-Sale Contracts and Synthetic
Purchase Contracts over (B) the portion of (A) pursuant to which an
Eligible Counterparty has agreed to maintain collateral posted with
the Issuer and with respect to which Rating Agency Confirmation has
been received and, for the purposes of calculating the Moody's
Advance Amount, on any date of determination, the excess of (A) the
sum of (i) the aggregate Market Value of Issuer Investments
consisting of Participations with Eligible Selling Institutions having a
long-term Moody's senior unsecured rating of less than "Aaa", (ii) the
aggregate Market Value of each Defensive Hedge Transaction,
Short-Sale Contract and Synthetic Purchase Contract, in each case
with a positive Market Value and an Eligible Counterparty with a
long-term Moody's senior unsecured rating of less than "Aaa" and
(iii) the aggregate amount of cash posted to Eligible Counterparties
with a long-term Moody's senior unsecured rating of less than "Aaa"
in respect of Short-Sale Contracts and Synthetic Purchase Contracts
over (B) the portion of (A) pursuant to which an Eligible Counterparty
has agreed to maintain collateral posted with the Issuer and with
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espect to which Rating Agency Confirmation has been received.
"Approved Dealer"
"Approved Exchange"
"Approved Industry"
"Approved Investment Banking
Firm"
"Approved Pricing Service"
"Approved Source"
"Approved Third-Party Appraiser"
means (a) in the case of any Issuer Investment that is not a
Government Security of a Qualifying Country, any bank or
broker-dealer set forth in Schedule 7 to the Collateral Management
Agreement (or any successor to any such listed bank or
broker-dealer) or any other bank or broker-dealer designated by the
Issuer (or the Collateral Manager on its behalf) in writing and
approved by (i) the Designated Approval Representative in its
reasonable discretion (acting in good faith and in a commercially
reasonable manner) and (ii) S&P and/or Moody's (as the case may
be) pursuant to a Rating Agency Confirmation and (b) in the case of a
Government Security of a Qualifying Country, any primary dealer in
Government Securities of such Qualifying Country, as reported by the
Central Bank of such Qualifying Country or the European Central
Bank for Member States.
means any exchange or quotation system providing regularly
published securities prices listed in Schedule 12 to the Collateral
Management Agreement or any other exchange designated by the
Issuer (or the Collateral Manager on its behalf) in writing and
approved by (i) the Designated Approval Representative in its
reasonable discretion (acting in good faith and in a commercially
reasonable manner) and (ii) S&P and/or Moody's (as the case may
be) pursuant to a Rating Agency Confirmation.
means a single industry category that is listed in Schedule 8 to the
Collateral Management Agreement, or any other industry category
designated by the Issuer (or the Collateral Manager on its behalf) in
writing and approved by S&P and/or Moody's (as the case may be)
pursuant to a Rating Agency Confirmation.
means any investment banking firm set forth in Schedule 9 to the
Collateral Management Agreement (or any successor to any such
investment banking firm) or any other investment banking firm
designated by the Issuer in writing and approved by (i) the
Designated Approval Representative in its reasonable discretion
(acting in good faith and in a commercially reasonable manner) and
(ii) S&P and/or Moody's (as the case may be) pursuant to a Rating
Agency Confirmation.
means a pricing or quotation service set forth in Schedule 10 to the
Collateral Management Agreement (or any successor to any such
listed pricing service) or any other pricing or quotation service
designated by the Issuer (or the Collateral Manager on its behalf) in
writing and approved by (i) the Designated Approval Representative
in its reasonable discretion (acting in good faith and in a commercially
reasonable manner) and (ii) S&P and/or Moody's (as the case may
be) pursuant to a Rating Agency Confirmation.
means any of (i) two Approved Dealers and/or Approved Investment
Banking Firms (so long as the lower of two bid prices is being used)
and three Approved Dealers and/or Approved Investment Banking
Firms (if the average of three bid prices is being used), (ii) an
Approved Exchange or (iii) an Approved Pricing Service; provided
that, for the purposes of the Over-Collateralisation Tests, a Loan or
High Yield Security which is an Issuer Investment shall be considered
"quoted" or "priced" by an Approved Source only if, in the reasonable
judgment of the Issuer (or the Collateral Manager on its behalf), such
Approved Source will continue to provide quotations with respect to
such Loan or High Yield Security on an on-going basis in the ordinary
course of its business as a pricing service or dealer, as the case may
be.
means a third-party appraiser that is not an Affiliate of either the
Issuer or the Collateral Manager (or subject to an agreement to
become such an Affiliate) which is set forth in Schedule 11 to the
Collateral Management Agreement (or any successor to or any
Affiliate of any such appraiser that is engaged in the business of
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valuing securities and/or other investments that constitute Issuer
Investments) or any other such appraiser designated by the Issuer
(or the Collateral Manager on its behalf) in writing and approved by (i)
the Designated Approval Representative in its reasonable discretion
(acting in good faith and in a commercially reasonable manner) and
(ii) S&P and/or Moody's (as the case may be) pursuant to a Rating
Agency Confirmation.
"Asset-Backed Security"
"Busted Convertible Bond"
"Cash"
"Cash Equivalents"
"Cheapest to Deliver Security"
means any fixed income Security that is (i) backed by and paid
primarily from the proceeds (or payments or proceeds of a
disposition) of Eligible Assets and (ii) issued in a transaction
structured to (A) isolate the Security and the Eligible Assets backing
the Security from the credit risk of the sponsor of the transaction and
(B) result in the creditworthiness of such Security being primarily
dependent upon (x) the creditworthiness of the Eligible Assets
backing such Security and (y) any credit support provided with
respect to the creditworthiness of such Eligible Assets; provided,
however, that in no event shall an "Asset-Backed Security" include
either a Defensive Hedge Transaction or a Structured Product
Transaction.
means any convertible bond that trades like a fixed income
investment because the value of the conversion option for the equity
into which such bond may be converted has fallen below 2.5 per
cent. of the aggregate value of the convertible bond.
means any immediately available funds in Euros or any Eligible
Foreign Currency (including amounts held in the Principal Custody
Account or on deposit with the Custodian pursuant to "sweep"
arrangements linked to the Principal Custody Account).
means investments (other than Cash and Government Securities):
(a)
(b)
in respect of which the obligor has a short-term S&P issuer
credit rating of "A-1+" or a long-term S&P issuer credit rating
of at least "AA" for the purposes of calculating the S&P
Advance Amount and has a short-term Moody's rating of
"P-1" or a long-term Moody's senior unsecured rating of at
least "Aa2" for the purposes of calculating the Moody's
Advance Amount or
in funds investing in money market instruments, such funds
rated "AAAm" or "AAAg" by S&P for the purposes of
calculating the S&P Advance Amount and "Aaa” or ”MR1+"
by Moody's for the purposes of calculating the Moody's
Advance Amount;
provided that: (i) in no event shall Cash Equivalents include any
obligation that provides for the payment of interest alone, (ii) Cash
Equivalents referred to in paragraph (a) above shall mature within
183 days of issuance, (iii) if either S&P or Moody's changes its rating
system, then any ratings included in this definition shall be deemed to
be an equivalent rating in a successor rating category of S&P or
Moody's as the case may be, (iv) if either S&P or Moody's ceases to
be in the business of rating securities, then any ratings included in
this definition shall be deemed to be an equivalent rating from
another rating agency, (v) Cash Equivalents (other than money
market funds maintained by the Custodian) shall not include any such
investment equivalent to more than €100 million in any single issuer
and (vi) in no event shall Cash Equivalents include any Dutch
Ineligible Securities or any synthetic securities or, for the purposes of
calculating the S&P Advance Amount, any Securities with ratings
containing an "r", "t", "p", "pi" or "q" subscript; unless otherwise
confirmed in writing as acceptable by S&P and/or Moody's, as the
case may be.
means, with respect to any Credit Default Swap, the "cheapest to
deliver security" on the date such Credit Default Swap is executed.
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"Class B Notes Advance Amount"
"Class B Notes
Over-Collateralisation Test"
"Class C Notes Advance Amount"
"Class C Notes
Over-Collateralisation Test"
"Class D Notes Advance Amount"
"Class D Notes
Over-Collateralisation Test"
"Collateral Manager"
"Credit Default Exposure Contract"
"Credit Default Protection
Adjustments"
"Credit Default Protection Advance
Amount"
means the lesser of (A) the S&P Advance Amount calculated using
the S&P Class B Notes Advance Rates and (B) the Moody's Advance
Amount calculated using the Moody's Class B Notes Advance Rates.
is a test that is satisfied as of any Business Day if (a) the sum, as of
such Business Day, of (i) the Principal Amount Outstanding of Senior
Indebtedness and (ii) the Principal Amount Outstanding of the
Class B Notes Indebtedness is less than or equal to (b) the Class B
Notes Advance Amount.
means the lesser of (A) the S&P Advance Amount calculated using
the S&P Class C Notes Advance Rates and (B) the Moody's Advance
Amount calculated using the Moody's Class C Notes Advance Rates.
is a test that is satisfied as of any Business Day if (a) the sum, as of
such Business Day, of (i) the Principal Amount Outstanding of Senior
Indebtedness, (ii) the Principal Amount Outstanding of the Class B
Notes and (iii) the Principal Amount Outstanding of Class C Notes
Indebtedness is less than or equal to (b) the Class C Notes Advance
Amount.
means the lesser of (A) the S&P Advance Amount calculated using
the S&P Class D Notes Advance Rates and (B) the Moody's Advance
Amount calculated using the Moody's Class D Notes Advance Rates.
is a test that is satisfied as of any Business Day if (a) the sum, as of
such Business Day, of (i) the Principal Amount Outstanding of Senior
Indebtedness, (ii) the Principal Amount Outstanding of Class B Notes
Indebtedness, (iii) the Principal Amount Outstanding of Class C
Notes Indebtedness and (iv) the Principal Amount Outstanding of
Class D Notes Indebtedness is less than or equal to (b) the Class D
Notes Advance Amount.
means Babson Capital Europe Limited.
means a Hedging and Short-Sale Transaction (in the form of a
Form-Approved Swap or a form otherwise approved by S&P pursuant
to a Rating Agency Confirmation for the purposes of calculating the
S&P Advance Amount or by Moody's pursuant to a Rating Agency
Confirmation for the purposes of calculating the Moody's Advance
Amount) having a Reference Security of an obligor that has in excess
of €100 million of indebtedness outstanding or is an index at the time
the Credit Default Exposure Contract is entered into and pursuant to
which (1) the Issuer receives periodic payments from an Eligible
Counterparty and (2) the Issuer agrees to purchase a Reference
Security that is a debt security (or pay settlement amounts calculated
based upon a reduction in the market value of such Reference
Security) upon the occurrence of certain credit-related events with
respect to such Reference Security or such Reference Security's
obligor.
means, with respect to any Credit Default Protection Contract, an
amount equal to the product of (a) the periodic payment on the
notional amount of such Credit Default Protection Contract expressed
as an annualised percentage of the notional amount, (b) 1 minus the
Advance Rate for the Reference Security for such Credit Default
Protection Contract, (c) the term of such Credit Default Protection
Contract expressed in years (rounded to a tenth of a year) and (d) the
notional amount of such Credit Default Protection Contract.
means an amount equal to (1) the sum, for each Credit Default
Protection Contract with a positive or zero Market Value, of the
greater of (A) (i) the product of (x) the Market Value of such Credit
Default Protection Contract and (y) the Advance Rate for such Credit
Default Protection Contract's Reference Security minus (ii) the Credit
Default Protection Adjustment for such Credit Default Protection
Contract and (B) the product of (i) negative one and (ii) the aggregate
of all periodic payments payable by the Issuer through the expiration
of such Credit Default Protection Contract plus (2) the sum, for each
Credit Default Protection Contract with a negative Market Value, of
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the greater of (A) (i) the Market Value of such Credit Default
Protection Contract minus (ii) the Credit Default Protection
Adjustment for such Credit Default Protection Contract and (B) the
product of (i) negative one and (ii) the aggregate of all periodic
payments payable by the Issuer through the expiration of such Credit
Default Protection Contract.
"Credit Default Protection Contract"
"Credit Default Swap"
"Currency Hedging Transaction"
"Custodian"
"Defensive Hedge Advance Amount"
"Defensive Hedge Transaction"
"Designated Approval
Representative"
means a Hedging and Short-Sale Transaction (in the form of a
Form-Approved Swap or a form otherwise approved by S&P pursuant
to a Rating Agency Confirmation for the purposes of calculating the
S&P Advance Amount or by Moody's pursuant to a Rating Agency
Confirmation for the purposes of calculating the Moody's Advance
Amount) having a Reference Security of an obligor that has in excess
of €100 million of indebtedness outstanding or is an index at the time
a Credit Default Protection Contract is entered into and pursuant to
which the Issuer makes payments to an Eligible Counterparty in
exchange for the option to sell a Reference Security that is a debt
security to (or to receive settlement amounts calculated based upon a
reduction in the market value of such Reference Security from) the
Eligible Counterparty upon the occurrence of certain credit-related
events with respect to such Reference Security or such Reference
Security's obligor.
means each Credit Default Protection Contract and each Credit
Default Exposure Contract.
means any Swap Transaction entered into by the Issuer with an
Eligible Counterparty and intended to convert any payment on a Debt
or other obligation of the Issuer or any Issuer Investment
denominated in one currency to another currency or to protect
against the fluctuation of the exchange rate of a currency in which a
payment to be made or received by the Issuer is denominated
(including for the avoidance of doubt perfect asset swaps).
means ABN AMRO Bank N.V. (London Branch).
means, as of any date of determination, 98 per cent. of the aggregate
Market Value of all Defensive Hedge Transactions.
means a Hedging and Short-Sale Transaction between the Issuer
and an Eligible Counterparty intended to protect the Issuer against
fluctuations in the market value of an Issuer Investment and pursuant
to which (i) the Eligible Counterparty has agreed for a period of time,
at the direction of the Issuer, to (a) purchase the Issuer Investment at
an agreed strike price (which may be based upon a formula) or (b)
pay to the Issuer, at the Issuer's election, an amount by which an
agreed strike price (which may be based upon a formula) exceeds
the current price of the Issuer Investment, (ii) the Issuer may (a) pay
a fee to the Eligible Counterparty in connection with the transaction,
(b) remove the Issuer Investment from the Principal Custody Account
(whereby it is no longer part of the Collateral) and assign the Issuer
Investment to the Eligible Counterparty as security for its obligations
to the Eligible Counterparty and/or (c) agree to deliver the Issuer
Investment to the Eligible Counterparty in satisfaction of all of its
obligations to the Eligible Counterparty in connection with the
transaction; provided, however, that in no event shall a "Defensive
Hedge Transaction" include any Credit Default Protection Contract
and (iii) the Eligible Counterparty does not otherwise have recourse
to the Collateral or the Issuer for any amounts owing to such
counterparty thereunder.
means (i) while any VF Instrument is in effect, the VFN Agent and (ii)
thereafter (a) any one agent under a Senior Facility designated by the
Issuer and notified to each Representative, S&P and Moody's and
not objected to by S&P or Moody's within 15 days of such notification
or (b) if no Senior Facility is in effect, any one person identified to
S&P, Moody's, the Trustee and the Noteholders in writing and not
objected to by the Noteholders, S&P or Moody's within 15 days of
such notification.
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“Dutch Ineligible Securities”
"Eligible Assets"
"Eligible Counterparty"
"Eligible Foreign Currencies"
"Eligible Selling Institution"
means all securities, interests in securities or instruments which are
convertible to securities:
(i)
(ii)
which are bearer instruments (effecten aan toonder)
physically located in The Netherlands or registered shares
(aandelen op naam) in a Netherlands corporate entity where
the Issuer owns such bearer instruments or registered
shares directly and in its own name; or
the purchase or acquisition of which by or on behalf of the
Issuer would cause the breach of applicable selling or
transfer restrictions or of applicable Dutch laws relating to
the offering of securities or of collective investment
schemes.
means financial assets, either fixed or revolving, that by their terms
convert into cash within a finite time period plus any rights or other
assets designed to assure the servicing or timely distribution of
proceeds to security holders.
means with respect to any Hedging and Short-Sale Transaction
(a) for the purposes of calculating the S&P Advance Amount, any
counterparty thereto: (i) satisfying the Rating Requirement or
(ii) which has (x) posted collateral with the Issuer within 30 calendar
days of ceasing to satisfy the Rating Requirement, (y) has a
short-term S&P issuer credit rating of at least "A-3" and a long-term
S&P issuer credit rating of at least "BBB-" and (z) with respect to
whom Rating Agency Confirmation has been received from S&P;
provided that if any such counterparty ceases to satisfy the Rating
Requirement after the date such Hedging and Short-Sale Transaction
was executed then the same shall be deemed to be an "Eligible
Counterparty" for a period of 30 calendar days from the date of such
cessation and (b) for the purposes of calculating the Moody's
Advance Amount, (i) any Person satisfying the Rating Requirement,
(ii) any counterparty to a Hedging and Short-Sale Transaction who
has posted collateral with the Issuer and with respect to whom Rating
Agency Confirmation has been received from Moody's or (iii) with
respect to a Credit Default Exposure Contract, a counterparty with a
short-term Moody's rating of "P-2" or whose obligations in respect of
such Credit Default Exposure Contract are absolutely and
unconditionally guaranteed by a Person having such a rating or, if
such Person (or its guarantor) does not have such a short-term
rating, then such Person (or its guarantor) has a long-term Moody's
senior unsecured rating of "A1", in either case who has posted to,
and maintained with, the Issuer collateral in an amount at least equal
to one periodic payment due on such Credit Default Exposure
Contract to the Issuer; provided that if any such Person ceases to
satisfy the Rating Requirement after the date such Hedging and
Short-Sale Transaction was executed, then such Person shall be
deemed to be an "Eligible Counterparty" for a period of 30 calendar
days from the date of such cessation provided further that each
counterparty or Person has the regulatory capacity, as a matter of
Dutch law, to enter into derivatives transactions with Dutch residents.
means (i) Canadian Dollars, Pounds Sterling, U.S. Dollars and the
currency of any G-7 nation, Australia, Denmark, New Zealand,
Norway, Sweden, Switzerland, Iceland or any country that has been
invited to join the European Union and which has a foreign currency
issuer credit rating of at least "AA-" from S&P for the purposes of
calculating the S&P Advance Amount or a long-term sovereign debt
rating of at least "Aa2" from Moody's for the purposes of calculating
the Moody's Advance Amount and (ii) each other currency identified
by the Issuer (or the Collateral Manager on its behalf) from time to
time and confirmed by S&P and/or Moody's (as the case may be)
pursuant to a Rating Agency Confirmation and in writing as
acceptable by the Designated Approval Representative.
means, with respect to any Participation, any selling institution
satisfying the Rating Requirement; provided that if any such selling
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institution ceases to satisfy the Rating Requirement after the date
such Participation was executed, then such selling institution shall be
deemed to be an "Eligible Selling Institution" for a period of 30
calendar days from the date of such cessation.
"European Union"
"Excess Issuer Investments"
means the European Economic and Monetary Union.
means that portion of the Market Value of any Issuer Investments
which comprises any excess set forth below (in each case
determined using the most recent Market Value for the applicable
Issuer Investments).
(i)
(ii)
(iii)
(iv)
(v)
(vi)
(vii)
(viii)
(ix)
(x)
(a) for the purposes of calculating the S&P Advance
Amount, the aggregate Market Value of Relevant Issuer
Investments of any single issuer in excess of 5 per cent. of
Total Capitalisation, (b) for the purposes of calculating the
Moody's Advance Amount, the aggregate Market Value of
Relevant Issuer Investments of any single issuer in excess
of 4 per cent. of Total Capitalisation except, in the case of
any five issuers, the aggregate Market Value of Relevant
Issuer Investments (excluding Semi-Liquid Securities) of
each such issuer in excess of 5 per cent. of Total
Capitalisation and (c) the aggregate Market Value of
Mezzanine Loans of any single issuer which are Relevant
Issuer Investments (excluding any accretion since the
purchase of such Mezzanine Loans) in excess of 2.5 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
of issuers in any single Approved Industry in excess of
15 per cent. of Total Capitalisation (except for investments
in any one Approved Industry as described in paragraph (iii)
below);
the aggregate Market Value of Relevant Issuer Investments
of issuers in any one Approved Industry in excess of 20 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
in any three industry categories in excess of 40 per cent. of
Total Capitalisation; provided, however, that the foregoing
limit may be increased to 45 per cent. to the extent that the
aggregate Market Value of Relevant Issuer Investments in
any single Approved Industry is in excess of 15 per cent.
(but not 20 per cent.) of Total Capitalisation as permitted by
paragraph (iii) above;
the aggregate Market Value of Relevant Issuer Investments
consisting of Semi-Liquid Securities in excess of 50 per
cent. of the Net Asset Value;
the Aggregate Counterparty Exposure in excess of 25 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
consisting of Non-Cash Pay Instruments in excess of 25 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
consisting of Busted Convertible Bonds in excess of 5 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
that are Unhedged Currency Investments in excess of 5 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
that are Mezzanine Loans, Second Lien Loans or Senior
Unsecured Loans and that are non US Assets in excess of
20 per cent. of Total Capitalisation;
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"Excluded Issuer Investments"
(xi)
(xii)
(xiii)
(xiv)
(xv)
the aggregate Market Value of Relevant Issuer Investments
that are Mezzanine Loans and Second Lien Loans in excess
of 12.5 per cent. of Total Capitalisation and the aggregate
Market Value of Relevant Issuer Investments that are
Mezzanine Loans, Second Lien Loans or Senior Unsecured
Loans that are US Assets in excess of 12.5 per cent. of
Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
consisting of Loans with an aggregate facility amount of less
than €100 million in excess of 15 per cent. of Total
Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
that are Structured Finance Obligations in excess of 5 per
cent. of Total Capitalisation;
the aggregate Market Value of Relevant Issuer Investments
that are Quarterly Mark Securities in excess of 5 per cent. of
Total Capitalisation for the purposes of calculating the S&P
Advance Amount and 4 per cent. of Total Capitalisation for
the purposes of calculating the Moody's Advance Amount
and
the aggregate of (1) the Market Value of Relevant Issuer
Investments that are non-Performing, (2) the Market Value
of Relevant Issuer Investments consisting of Semi-Liquid
Securities and (3) and the Market Value of Relevant Issuer
Investments consisting of Structured Product Transactions,
in excess of the Net Asset Value.
Notwithstanding the foregoing:
(A)
(B)
(C)
(D)
in the event that an Issuer Investment is reclassified after its
acquisition by the Issuer, for the purposes of calculating the
S&P Advance Amount and the Moody's Advance Amount,
the exclusions described above in paragraphs (v) and (xv)
that would otherwise become applicable following such
reclassification will not apply to assets owned by the Issuer
(or which the Issuer had committed to purchase) on or prior
to the date of such reclassification;
in the event the Issuer owns an Issuer Investment and a
Short-Sale Contract with the same or substantially the same
Reference Security as such Issuer Investment, the portion of
the Market Value of the Issuer Investment corresponding to
the notional amount of such Short-Sale Contract shall not be
included in the determination of whether the same
comprises an Excess Issuer Investment other than for the
purpose of paragraph (vi);
the Protected Market Value of any Issuer Investment subject
to a Defensive Hedge Transaction shall not be included in
the determination of whether the same comprises an Excess
Issuer Investment other than for the purpose of
paragraph (vi) and
under no circumstances shall any Cash, Cash Equivalent or
Government Security be an Excluded Issuer Investment
based upon the limitations set forth above.
means (without duplication):
(i)
(ii)
Issuer Investments whose issuers' or obligors' principal
place(s) of business or significant operations are not in a
Qualifying Country;
Issuer Investments to the extent that they are (A) not subject
to a first priority security interest (subject in priority only to
any security interests permitted under the Security and
Intercreditor Deed) in favour of the Security Trustee for its
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enefit and the benefit of the Eligible Counterparties party to
Secured Hedging Transactions, the Trustee and the Holders
of Issuer Indebtedness or (B) subject to any security
interests (other than Permitted Security Interests);
“Government Securities”
“Hedging and Short-Sale Advance
Amount”
“Hedging and Short-Sale
Transaction”
(iii)
(iv)
(v)
(vi)
(vii)
(viii)
Excess Issuer Investments;
Issuer Investments (a) denominated in a currency other than
Euro that is not an Eligible Foreign Currency or (b) less than
95 per cent. of the Market Value of which is protected
against currency fluctuations through an offsetting borrowing
or requested borrowing under a Transaction Document
denominated in the currency of denomination of such Issuer
Investment at the time of purchase and/or pursuant to
Currency Hedging Transactions;
Issuer Investments in any Participation held by the Issuer
while any bank or other institution that sold such
Participation is not an Eligible Selling Institution;
Issuer Investments in Non-Credit Risk Securities and equity
Securities (which shall include the most deeply subordinated
tranche of any issuance of Asset-Backed Securities,
whether or not designated as equity);
any investment not included in the definition of "Issuer
Investment" or not described in one of the Asset Categories,
unless in each case such investment has been approved in
a Rating Agency Confirmation for inclusion in any Asset
Category by S&P for the purposes of calculating the S&P
Advance Amount or by Moody's for the purposes of
calculating the Moody's Advance Amount; and
any Dutch Ineligible Securities or investments that are
convertible into or exchangeable for Dutch Ineligible
Securities.
means Securities that are direct obligations of, and obligations the
timely payment of principal and/or interest on which is fully
guaranteed by, a Qualifying Country or any agency or instrumentality
the obligations of which are backed by the full faith and credit of a
Qualifying Country and in the form of conventional bills, bonds or
notes. In no event shall Government Securities include any: (i)
security providing for the payment of interest only, (ii) Swap
Transaction or (iii) obligation on which all or any portion of the
payments thereunder is based, directly or indirectly, on any Swap
Transaction.
means an amount, which may be positive or negative, equal to the
sum of the following positive or negative amounts: (a) the Interest
Rate/Currency Hedging Advance Amount, (b) the Defensive Hedge
Advance Amount, (c) the Short-Sale Advance Amount, (d) the Credit
Default Protection Advance Amount, (e) the Synthetic Purchase
Contract Advance Amount and (f) to the extent not included in the
foregoing, the aggregate amount of cash posted as collateral by the
Issuer (or the Collateral Manager on its behalf), for the benefit of
Eligible Counterparties, in respect of Credit Default Protection
Contracts and Synthetic Purchase Contracts.
means any transaction entered into by the Issuer with a counterparty
that is (i) a Swap Transaction, (ii) a transaction under which the
Issuer borrows a Loan or Security and sells or otherwise disposes of
such or any substantially similar Loan or Security prior to the date on
which the same must be returned to the lender thereof (and
commonly known as a “short-sale”), (iii) a Securities Lending
Transaction, (iv) a credit derivative transaction or repurchase
agreement, (v) an obligation to enter into any of the foregoing or (vi)
any combination of any of the foregoing.
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“High Yield Security”
“Interest Rate Hedging Transaction”
“Interest Rate/Currency Hedging
Advance Amount”
“Interest Rate/Currency Hedging Net
Exposure”
“Issuer Investments”
“Loans”
“Maximum Unfunded Amount”
“Mezzanine Loan”
means a debt security which, on acquisition by the Issuer, is a high
yielding debt security, as determined by the Collateral Manager,
excluding any debt security which is secured directly on, or
represents the ownership of, a pool of consumer receivables, auto
loans, auto leases, equipment leases, home or commercial
mortgages, or similar assets, including, without limitation,
collateralised bond obligations, collateralised loan obligations or any
similar security.
means any Swap Transaction entered into by the Issuer with an
Eligible Counterparty intended to protect the Issuer against adverse
changes in the floating rate of interest payable on all or a portion of
any Debt or other obligation of the Issuer or its subsidiaries or on any
Issuer Investment or intended to protect against the fluctuation of the
market value of certain Collateral from the fluctuation of interest
rates.
means as of any date of determination, (i) if the Interest
Rate/Currency Hedging Net Exposure is greater than zero, 95 per
cent. of the Interest Rate/Currency Hedging Net Exposure and (ii) if
the Interest Rate/Currency Hedging Net Exposure is less than zero,
105 per cent. of the Interest Rate/Currency Hedging Net Exposure for
the purposes of calculating the S&P Advance Amount and 100 per
cent. of the Interest Rate/Currency Hedging Net Exposure for the
purposes of calculating the Moody’s Advance Amount.
means, as of any date, the sum of the Net Exposure Components for
all Interest Rate Hedging Transactions and Currency Hedging
Transactions entered into by the Issuer, determined as of such date
(in each case) by the applicable Eligible Counterparty and may, for
the purposes of this calculation, be less than zero.
means all Cash, Cash Equivalents, Government Securities, Loans,
Securities and Hedging and Short-Sale Transactions owned or
entered into by the Issuer (excluding for the avoidance of doubt any
amounts held by the Issuer representing the proceeds of the sale of a
Permitted Short-Sale Obligation as a part of a Permitted Short-Sale
Transaction). Issuer Investments which the Issuer has contracted to
purchase shall not be deemed to be owned by the Issuer until
settlement of such purchase and Issuer Investments which the Issuer
has contracted to sell shall not cease to be Issuer Investments for the
purposes of the Security and Intercreditor Deed until settlement of
such sale.
means Senior Secured Loans, Mezzanine Loans, Second Lien
Loans, Senior Unsecured Loans and/or any other direct purchases
of, assignments of, participations in and other interests in (a) any
bank loan to which a bank is party or (b) any loan made by an
investment bank, investment fund or other financial institution;
provided that such loan under this clause (b) is similar to those
typically made, syndicated, purchased or participated in by a
commercial bank or institutional loan investor in the ordinary course
of business.
means as of any date of determination with respect to any Loan,
Participation or delayed-draw Security, the maximum amount of Cash
that the Issuer is committed to advance in respect thereof undrawn
as of such date of determination.
means a second secured loan obligation (including any such loan
obligation with attached warrants and including any such obligation
which is evidenced by an issue of notes), as determined by the
Collateral Manager.
“Moody’s Advance Amount” means, as of any date of determination under any
Over-Collateralisation Test, the sum of (i) the sum for all
Non-Excluded Issuer Investments (other than Synthetic Purchase
Contracts, Short-Sale Contracts and Defensive Hedge Transactions)
of the product of (1) the Market Value of such Non-Excluded Issuer
Investments multiplied by (2) the Moody’s Advance Rate for the
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Asset Category applicable to such Non-Excluded Issuer Investments
under the applicable Over-Collateralisation Test, (ii) the positive or
negative value of the Hedging and Short-Sale Advance Amount as of
such date and (iii) the positive or negative value of the Net Accrual
Amount as of such date.
“Moody’s OC Test Rating”
means:
(i)
(ii)
(iii)
(iv)
(v)
in the case of an Issuer Investment that is rated by both
Moody’s and S&P where the difference between such
ratings is one category or less, the higher of such ratings;
in the case of an Issuer Investment that is rated by both
Moody’s and S&P where the difference between such
ratings is more than one category and the Moody’s rating is
higher, such Moody’s rating;
in the case of an Issuer Investment that is rated by both
Moody’s and S&P where the difference between such
ratings is more than one category and the Moody’s rating is
lower, the rating that is midway (based on the number of
rating subcategories between such ratings) between such
ratings (or, if the number of such rating subcategories
between such ratings is odd, the higher of the two ratings
nearest such midpoint);
in the case of an Issuer investment that is not rated by
Moody’s but another obligation of the same issuer is rated
by Moody’s, then (a) if the obligation is of the same priority,
such rating, (b) if the obligation is a senior unsecured
obligation, then (1) one subcategory above such rating, if
such Issuer Investment is a senior secured obligation, with a
rating of “Aaa” remaining the same, (2) two subcategories
below such rating if such rating is “B1” or higher and such
Issuer Investment is a subordinated obligation, (3) one
subcategory below such rating if such rating is between “B2”
and “Ca”, inclusive, and such Issuer Investment is a
subordinated obligation and (4) otherwise “C”, (c) if the
obligation is a subordinated obligation and such Issuer
Investment is a senior secured obligation, then (1) one
subcategory above such rating if such rating is “Baa3” or
higher, (2) two subcategories above such rating if such
rating is between “Ba1” and “B2”, inclusive, (3) one
subcategory above such rating if such rating is “B3” and
(4) otherwise such rating, (d) if the obligation is a
subordinated obligation and such Issuer Investment is a
senior unsecured obligation, then (1) one subcategory
above such rating if such rating is “B3” or higher and
(2) otherwise such rating and (e) if the obligation is a senior
secured obligation, then (1) one subcategory below such
rating if such rating is “Ca” or higher and such Issuer
Investment is a senior unsecured obligation, (2) two
subcategories below such rating if such rating is “Ca2” or
higher and such Issuer Investment is a subordinated
obligation and (3) otherwise “C”;
if the Issuer (or the Collateral Manager on its behalf)
presents such Issuer Investment to Moody’s for an estimate
of such Issuer Investment’s rating factor, the rating
determined from such estimate; provided that pending
receipt from Moody’s of such estimate, such rating shall be
“B3” if the Issuer (or the Collateral Manager on its behalf)
certifies to the Representative for each Senior Facility and
the Trustee that the Issuer (or the Collateral Manager on its
behalf) believes that such estimate will equate to a rating of
at least “B3”;
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“Net Accrual Amount”
(vi)
(vii)
in the case of an Issuer Investment that is not rated by
Moody’s and no other obligation of the same issuer is rated
by Moody’s then:
(A)
(B)
(C)
(D)
(1) if such Issuer Investment is rated by S&P,
(a) one subcategory below the Moody’s equivalent
of the rating assigned by S&P if such rating is
“BBB-“ or higher and (b) two subcategories below
the Moody’s equivalent of the rating assigned by
S&P if such rating is “BB+” or lower or (2) if such
Issuer Investment is not rated by S&P but another
obligation of the issuer is rated by S&P (a “parallel
security”), and the Moody’s equivalent of the rating
of such parallel security is determined in
accordance with the methodology set forth in
clause (1) above, the rating determined in
accordance with the methodology set forth in
clause (iv) above (for such purpose treating the
parallel security as if it were rated by Moody’s at
the rating determined pursuant to this
subclause (2));
if (1) neither the issuer of such Issuer Investment
nor any of its Affiliates is subject to reorganisation
or bankruptcy proceedings, (2) no obligations of the
issuer are in default, (3) neither the issuer nor any
of its Affiliates have defaulted on any debt during
the past two years, (4) the issuer has been in
existence for the past four years, (5) the issuer is
current on any cumulative dividends, (6) the
fixed-charge ratios for the issuer exceeds 120 per
cent. for each of the past two fiscal years (and for
the most recent four quarters), (7) the issuer had a
net profit before tax in the past fiscal year and the
most recent quarter and (8) the annual financial
statements of the issuer are unqualified and
certified by a firm of independent accounts of
international reputation, and quarterly statements
are unaudited but signed by a corporate officer,
“B3” if such Issuer Investment is a senior secured
obligation and “Caa1” if such Issuer Investment is
not a senior secured obligation;
if (1) neither the issuer of such Issuer Investment
nor any of its Affiliates is subject to reorganisation
or bankruptcy proceedings and (2) no obligation of
the issuer has been in default during the past two
years, “Caa2”;
if an obligation of the issuer of such Issuer
Investment has been in default during the past two
years, “Ca” and
in the case of an Issuer Investment that is only rated by
Moody’s (including any estimated rating), such Moody’s
rating.
means, as of any date, an amount, which may be positive or
negative, equal to (i) the aggregate amount of accrued interest
payable to the Issuer (excluding any interest payable on Counterparty
Downgrade Collateral) on all interest-bearing Non-Excluded Issuer
Investments as of such date minus (ii) the sum of (a) the aggregate
amount of accrued interest payable by the Issuer as of such date in
respect of Issuer Indebtedness, (b) the aggregate amount of accrued
and unpaid payments due to the counterparty under any Permitted
Short-Sale Transaction as of such date and (c) the Collateral
Manager’s good faith estimate of the aggregate amount of accrued
and unpaid fees and expenses of the Issuer (including, for the
avoidance of doubt, any Management Fee (together with VAT
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thereon) and Administrative Expenses), including any fees and
expenses payable to any Representative under any Permitted Debt
Document. Any such amounts not payable in Euro shall be converted
into Euro at the then-current spot rate (after taking into account the
effect of any Currency Hedging Transaction with respect thereto).
“Net Asset Value”
“Net Exposure Component”
“Net Value”
“Non-Cash Pay Instrument”
“Non-Credit Risk Security”
“Non-Excluded Issuer Investments”
“Over-Collateralisation Tests”
means, as of any date of determination, an amount equal to the
Market Value of all Issuer Investments as of such date minus the
principal amount outstanding of all of the Issuer’s Debt other than the
Class E Subordinated Notes as of such date plus the positive or
negative value of the Net Accrual Amount as of such date.
means, with respect to each Interest Rate Hedging Transaction and
Currency Hedging Transaction, an amount equal to the current
unwind value to the Issuer on such date of determination of such
Interest Rate Hedging Transaction or Currency Hedging Transaction;
provided that the “Net Exposure Component” of each Interest Rate
Hedging Transaction and each Currency Hedging Transaction that
has a positive Net Exposure Component and a counterparty that is
not an Eligible Counterparty shall be zero.
Means in relation to the Unhedged Excess Amount in respect of all
non-Euro Issuer Investments denominated in a particular currency,
the Market Value of such Issuer Investments less the par amount of
associated liabilities in respect of such Issuer Investments subject to
a minimum of zero.
means, unless otherwise determined pursuant to Rating Agency
Confirmation a Loan or a High Yield Security that (a) does not
provide for the payment of cash interest or provides for the total
deferral of interest until the final maturity thereof, (b) is a debt security
that has an initial rate of interest on the date of purchase or
acquisition thereof of less than 5 per cent. per annum and provides
for an increase in the rate of interest payable in respect thereof at any
time after the date it was purchased or acquired (other than any
increase resulting from (i) a change in a generally recognised floating
rate interest rate index, (ii) a change in the weighted average interest
rate on underlying collateral in the case of Securities the interest rate
on which is based on such weighted average interest rate or (iii) a
change in an interest rate spread or margin or the financial
performance of the issuer resulting from an announced change in the
rating of the issuer’s debt obligations) or (c) is a debt security that
provides for the partial deferral of interest until the final maturity
thereof and which has cash interest payable without deferral at a rate
per annum less than (x) with respect to Issuer Investments bearing
interest at a fixed rate, 5 per cent. per annum and (y) with respect to
Issuer Investments bearing interest at a floating rate, EURIBOR plus
1 per cent. per annum. For the purposes of clause (b) of this
definition, if the interest rate is increased to 5 per cent. or more per
annum, then at the time of the increase of such interest rate, the
Security will cease to be a “Non-Cash Pay Instrument”.
means a security with respect to which an institutional money
manager would determine its value primarily by reference to factors
other than (a) the coupon (or the coupon as adjusted for any
purchase discount or premium) in relation to prevailing market yields
and/or (b) the credit worthiness of the issuing entity and/or (c) the
adequacy of the underlying financial assets supporting such security
to ensure the repayment of the security according to its terms (which
adequacy may be measured by a credit analysis of the likelihood of
the obligors under such underlying assets to pay according to the
terms of such underlying assets and/or an analysis of the sufficiency
of the income streams thereon to meet the payment terms of the
security).
means, at any date, all Issuer Investments in the Collateral on such
date other than Excluded Issuer Investments.
means the Senior Over-Collateralisation Test, the Class B Notes
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Over-Collateralisation Test, the Class C Over-Collateralisation Test
and the Class D Notes Over-Collateralisation Test.
For the purposes of the Over-Collateralisation Tests, the Issuer shall
assign each Issuer Investment (other than Synthetic Purchase
Contracts, Short-Sale Contracts and Defensive Hedge Transactions)
and each Reference Security to one of the following categories
(each, an “Asset Category”) commencing upon the initial acquisition
thereof (and, for the purposes of this categorisation, the Market Value
Price of an Issuer Investment trading at par is equal to €1.00):
“Asset Category A-1 Investments” means Cash and Cash
Equivalents or Government Securities that mature on the Business
Day next following the date of acquisition thereof.
“Asset Category A-2 Investments” means Cash Equivalents and
Government Securities with final maturities of less than or equal to
183 days (other than those described in the definition of Asset
Category A-1 Investments).
“Asset Category A-3 Investments” means Government Securities
with final maturities of more than 183 days but less than or equal to 2
years.
“Asset Category A-4 Investments” means Government Securities
with final maturities of more than 2 years but less than or equal to 5
years.
“Asset Category A-5 Investments” means Government Securities
with final maturities of more than 5 years but less than or equal to
10 years.
“Asset Category A-6 Investments” means Government Securities
with final maturities of more than 10 years but less than or equal to
30 years.
“Asset Category B-1 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are Performing, (ii) are priced
by an Approved Source and (iii) have a Market Value Price greater
than or equal to €0.95.
“Asset Category B-2 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are Performing, (ii) are priced
by an Approved Source and (iii) have a Market Value Price greater
than or equal to €0.80 and less than €0.95.
“Asset Category B-3 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are Performing, (ii) are priced
by an Approved Source and (iii) have a Market Value Price less than
€0.80.
“Asset Category B-4 Investments” means Second Lien Loans
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have a Market Value Price greater than or equal to €0.95.
“Asset Category B-5 Investments” means Second Lien Loans
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have a Market Value Price greater than or equal to €0.80 and less
than €0.95.
“Asset Category B-6 Investments” means Second Lien Loans
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have a Market Value Price less than €0.80.
“Asset Category B-7 Investments” means Mezzanine Loans which
(i) are Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.95.
“Asset Category B-8 Investments” means Mezzanine Loans which
(i) are Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.80 and less
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than €0.95.
“Asset Category B-9 Investments” means Mezzanine Loans which
(i) are Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price less than €0.80.
“Asset Category C-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of at least “BBB+” for the purposes
of calculating the S&P Advance Amount or a Moody’s OC Test
Rating of at least “Baa1” for the purposes of calculating the Moody’s
Advance Amount.
“Asset Category C-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BBB” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Baa2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category C-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BBB-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Baa3” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba1” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba3” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category E-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B1” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category E-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B2” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category E-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B3” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category F-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “CCC+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
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of “Caa1” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category F-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “CCC” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Caa2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category F-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “CCC-“ or below or “NR” for the
purposes of calculating the S&P Advance Amount or a Moody’s OC
Test Rating of “Caa3” or below or “NR” for the purposes of calculating
the Moody’s Advance Amount.
“Asset Category I-1 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are non-Performing, (ii) are
priced by an Approved Source and (iii) have a Market Value Price
greater than or equal to €0.95.
“Asset Category I-2 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are non-Performing, (ii) are
priced by an Approved Source and (iii) have a Market Value Price
greater than or equal to €0.80 and less than €0.95.
“Asset Category I-3 Investments” means (i) Senior Secured Loans
and Senior Unsecured Loans which (a) are non-Performing, (b) are
priced by an Approved Source and (c) have a Market Value Price
less than €0.80, (ii) the portion of the aggregate Market Value of all
Senior Secured Loans described in Asset Categories B-1, B-2 and
B-3 or I-1 and 1-2 above that have an S&P OC Test Rating below
“B-“ or of “NR” for the purposes of calculating the S&P Advance
Amount or a Moody’s OC Test Rating of below “B3” or of “NR” for the
purposes of calculating the Moody’s Advance Amount that is in
excess of 15 per cent. of Total Capitalisation, (iii) the portion of the
aggregate Market Value of all Senior Unsecured Loans described in
Asset Categories B-1, B-2 and B-3 or I-1 and I-2 above that have an
S&P OC Test Rating below “B-“ or of “NR” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
below “B3” or of “NR” for the purposes of calculating the Moody’s
Advance Amount that is in excess of 2.5 per cent. of Total
Capitalisation and (iv) the portion of the aggregate Market Value of
Senior Unsecured Loans that is in excess of 7.5 per cent. of Total
Capitalisation.
“Asset Category I-4 Investments” means Second Lien Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.95.
“Asset Category I-5 Investments” means Second Lien Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.80 and less
than €0.95.
“Asset Category I-6 Investments” means (i) Second Lien Loans
which (a) are non-Performing, (b) are priced by an Approved Source
and (c) have a Market Value Price less than €0.80 and (ii) the portion
of the aggregate Market Value of all Second Lien Loans described in
Asset Categories B-4, B-5 and B-6 or I-4 and I-5 above that have an
S&P OC Test Rating below “B-“ or of “NR” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
below “B3” or of “NR” for the purposes of calculating the Moody’s
Advance Amount that is in excess of 5 per cent. of Total
Capitalisation.
“Asset Category I-7 Investments” means Mezzanine Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
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have a Market Value Price greater than or equal to €0.95.
“Asset Category I-8 Investments” means Mezzanine Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.80 and less
than €0.95.
“Asset Category I-9 Investments” means (i) Mezzanine Loans
which (a) are non-Performing, (b) are priced by an Approved Source
and (c) have a Market Value Price less than €0.80 and (ii) the portion
of the aggregate Market Value of all Mezzanine Loans described in
Asset Categories B-7, B-8 and B-9 or I-7 and I-8 above that have an
S&P OC Test Rating below “B-“ or of “NR” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
below “B3” or of “NR” for the purposes of calculating the Moody’s
Advance Amount that is in excess of 5 per cent. of Total
Capitalisation.
“Asset Category I-10 Investments” means (i) non-Performing High
Yield Securities priced by an Approved Source and (ii) Loans that are
Performing and are Unquoted Investments.
“Asset Category K-1 Investments” means (i) Semi-Liquid Securities
that are Performing and have an S&P OC Test Rating of “CCC+” or
below or “NR” for the purposes of calculating the S&P Advance
Amount or a Moody’s OC Test Rating of “Caa1” or below or “NR” for
the purposes of calculating the Moody’s Advance Amount and (ii)
Structured Product Transactions.
“Asset Category K-2 Investments” means Semi-Liquid Securities
that are non-Performing.
“Participation”
“Performing”
“Permitted Short-Sale Obligation”
“Permitted Short-Sale Transaction”
“Person”
means a participation in a Loan, provided that Participations shall not
include (i) any participations which may be converted into an
assignment at any time at the irrevocable option of the Issuer, (ii) any
Secured Participations or (iii) any Structured Product Transactions.
means, with respect to any Issuer Investment that is a Loan or other
form of debt, the issuer of such Issuer Investment is not in default of
any payment obligations in respect thereof.
means, as of the date the Issuer enters into a Permitted Short-Sale
Transaction in respect thereof, a debt Security or Loan (i) that would
otherwise qualify as an Issuer Investment, (ii) issued by an obligor
that, together with its affiliates, has at least €100 million in principal
amount outstanding of indebtedness and (iii) that the Issuer
reasonably believes will be available in the market for purchase in
order to close the related Permitted Short-Sale Transaction.
means a Hedging and Short Sale Transaction (a) that is entered into
by the Issuer with an Eligible Counterparty, (b) involving a Permitted
Short Sale Obligation with a par value that is no greater than 20 per
cent. of the aggregate par amount of the entire issue of which such
Permitted Short Sale Obligation is a part, (c) pursuant to which the
Issuer (1) borrows such Permitted Short Sale Obligation from, and
agrees to return such Permitted Short Sale Obligation (or a
substantially equivalent obligation) at a later date to such Eligible
Counterparty, (2) sells such Permitted Short Sale Obligation to an
unaffiliated third party for cash and (3) deposits the proceeds of such
sale in a segregated account and (d) pursuant to which the Issuer (x)
may agree to make periodic payments at a specified rate on the
notional amount thereof and agrees to make periodic payments as a
result of increases in the market value of such Permitted Short Sale
Obligation and (y) is entitled to receive payments as a result of
decreases in the market value of such Permitted Short Sale
Obligation.
means an individual, a corporation, a partnership, a limited liability
company, an association, a trust or any other entity or organisation,
including a government or political subdivision or an agency or
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instrumentality thereof.
“Pound Sterling”
“Protected Market Value”
“Protected Price”
“Qualifying Country”
“Quarterly Mark Security”
“Rating Agency Tables”
“Rating Procedures”
means pound sterling in lawful currency of the United Kingdom.
means, with respect to any Issuer Investment that is the subject of a
Defensive Hedge Transaction, the Protected Price of such Issuer
Investment times the number of units of such Issuer Investment that
are held by the Issuer and are the subject of such Defensive Hedge
Transaction.
means, with respect to any Defensive Hedge Transaction, (i) the
agreed strike price at which the Eligible Counterparty to such
Defensive Hedge Transaction has agreed to purchase the Issuer
Investment that is the subject of such Defensive Hedge Transaction
or (ii) the agreed strike price under a Defensive Hedge Transaction
pursuant to which the Eligible Counterparty has agreed to pay the
Issuer an amount equal to the excess of the agreed strike price over
the current price of the Issuer Investment that is the subject of such
Defensive Hedge Transaction.
means the United Kingdom (including the Channel Islands), Ireland,
France, Greece, Spain, Portugal, Iceland, Italy, The Netherlands,
Luxembourg, Belgium, Germany, Austria, Liechtenstein, Norway,
New Zealand, Sweden, Denmark, Finland, Switzerland, Cayman
Islands, Australia, Canada, the United States of America, any country
which is or becomes a member of the European Union after the Initial
Closing Date and which has a foreign currency S&P issuer credit
rating of at least “AA-“ for the purposes of calculating the S&P
Advance Amount or a Moody’s long-term sovereign debt rating of at
least “Aa2” for the purposes of calculating the Moody’s Advance
Amount and any other country confirmed in writing as acceptable by
(i) the Designated Approval Representative and (ii) S&P and/or
Moody’s (as the case may be) pursuant to a Rating Agency
Confirmation.
means, as of any date of determination, any Issuer Investment that is
an Unquoted Investment for which the Market Value was obtained
more than a month prior to such date of determination.
means the tables applicable to S&P and Moody’s set out at the end
of these definitions and procedures and specifying the Advance
Rates.
References herein to any rating by S&P or Moody’s shall include
estimated ratings and shall also be deemed to include an equivalent
rating in a successor rating category of S&P or Moody’s, as the case
may be, or if S&P or Moody’s ceases to be in the business of rating
securities, an equivalent rating from another rating agency.
Notwithstanding any other provision contained herein:
(i)
(ii)
(iii)
Issuer Investments that are High Yield Securities that are
Performing but are Semi-Liquid Securities will be assigned a
rating for the purposes hereof that is one rating category
(i.e., three rating subcategories) below the S&P OC Test
Rating and the Moody’s OC Test Rating assigned to such
High Yield Security;
Issuer Investments that are Busted Convertible Bonds will
be assigned to an Asset Category into which such Issuer
Investments would otherwise fall if they were not convertible
securities, provided that the Advance Rate of any Busted
Convertible Bonds shall be 95 per cent. of the Advance Rate
thereof otherwise determined in accordance with valuation
procedures set forth herein;
for the purposes of determining the Advance Rate
applicable to Issuer Investments in Participations and to a
Reference Security for any Hedging and Short-Sale
Transactions at any time during the 30 day period referred
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“Reference Security”
“Relevant Issuer Investment”
“Reporting Date”
(iv)
(v)
to in the provisos included in the definitions of Eligible
Selling Institution and Eligible Counterparty, the Advance
Rate will be 100 per cent. of the Advance Rate for the first
15 days of such 30 day period, and 90 per cent. of the
Advance Rate for the remainder of such period, calculated
for such Issuer Investment or Reference Security, as
applicable, pursuant to the definition of Advance Rate;
the Advance Rate applicable to any Reference Security in
respect of a Credit Default Swap or a Single Asset Total
Return Swap having an S&P OC Test Rating of at least
“BBB-“ for the purposes of calculating the S&P Advance
Amount or a Moody’s OC Test Rating of at least “Baa3” for
the purposes of calculating the Moody’s Advance Amount
shall be 95 per cent. (or such greater percentage approved
by S&P or Moody’s, as the case may be) of the Advance
Rate otherwise determined in accordance with the above
procedures, and the Advance Rate applicable to any
Reference Security in respect of a Credit Default Swap or a
Single Asset Total Return Swap having an S&P OC Test
Rating of less than “BBB-“ for the purposes of calculating
the S&P Advance Amount or a Moody’s OC Test Rating of
less than “Baa3” for the purposes of calculating the Moody’s
Advance Amount shall be an Advance Rate that is 90 per
cent. (or such greater percentage approved by S&P or
Moody’s, as the case may be) of the Advance Rate
otherwise determined in accordance with the above
procedures and
for the purposes of calculating the S&P Advance Amount,
Issuer Investments that are High Yield Securities that are
Performing but are Asset-Backed Securities (a) that are
rated by S&P will (1) be assigned a rating for the purposes
hereof that is one rating category (i.e., three rating
subcategories) below the S&P OC Test Rating assigned to
such High Yield Security and (2) if rated below “CCC-“ by
S&P, have the Asset Category K-2 Advance Rate and (b)
that are not rated by S&P but are rated by Moody’s will (1)
be assigned a rating for the purposes hereof that is two
rating categories (i.e., six rating subcategories) below the
S&P OC Test Rating assigned to such High Yield Security
and (2) if rated below “Ba3” by Moody’s, have the Asset
Category K-2 Advance Rate and for the purposes of
calculating the Moody’s Advance Amount, Issuer
Investments that are High Yield Securities that are
Performing but are Asset-Backed Securities will be assigned
a rating for the purposes hereof that is one rating category
(i.e. three rating subcategories) below the Moody’s OC Test
Rating of such High Yield Security
means, with respect to any Short-Sale Contract or Synthetic
Purchase Contract, the security, or index that is approved by S&P for
the purposes of calculating the S&P Advance Amount or by Moody’s
for the purposes of calculating the Moody’s Advance Amount referred
to in the underlying transaction documents for such Short-Sale
Contract or Synthetic Purchase Contract as the “reference
securities”, which, in the case of a Credit Default Swap, shall be the
Cheapest to Deliver Security.
means any Issuer Investment excluding any Excluded Issuer
Investments other than those so characterised by operation of
paragraph (iii) of the definition of Excluded Issuer Investments.
means the last Business Day of each calendar month, commencing
31 July 2006.
“S&P Advance Amount” means, as of any date of determination under any
Over-Collateralisation Test, the amount by which (x) the sum of (i) the
sum for all Non-Excluded Issuer Investments (other than Synthetic
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Purchase Contracts, Short-Sale Contracts and Defensive Hedge
Transactions) of the product of (1) the Market Value of such
Non-Excluded Issuer Investments multiplied by (2) the S&P Advance
Rate or S&P Highly-Diversified Advance Rate (as the case may be)
for the Asset Category applicable to such Non-Excluded Issuer
Investments under the applicable Over-Collateralisation Test, (ii) the
positive or negative value of the Hedging and Short-Sale Advance
Amount as of such date and (iii) the positive or negative value of the
Net Accrual Amount as of such date exceeds (y) the Unfunded
Revolver Adjustment Amount.
“S&P Highly-Diversified Advance
Rate”
“S&P OC Test Rating”
“S&P OC Test Rating Chart”
means those Advance Rates set out in the Rating Agency table
entitled “Highly-Diversified Advance Rates applicable to S&P” which
shall be applicable at any time at which the Issuer owns Issuer
Investments from more than 50 different issuers and owns Issuer
Investments from issuers in more than 25 different Industries.
means as follows:
(i)
(ii)
(iii)
(iv)
(v)
with respect to any Issuer Investment with an S&P issuer
credit rating, such rating;
with respect to any Issuer Investment without an S&P issuer
credit rating, but whose issuer, or the unconditional and
irrevocable guarantor of such issue, is rated by S&P, the
senior unsecured S&P rating of such issuer or such
unconditional and irrevocable guarantor, as the case may
be;
with respect to any Issuer Investment without an S&P issuer
credit rating, and without an issuer or unconditional and
irrevocable guarantor of such issue rated by S&P, but with a
public Moody’s senior unsecured rating of such issuer or
unconditional and irrevocable guarantor of such issue, the
S&P rating as set forth opposite the applicable public
Moody’s rating in the S&P OC Test Rating Chart;
with respect to any Issuer Investment not covered in (i)
through (iii) above, the rating of the issue, issuer, or such
unconditional and irrevocable guarantor, as the case may
be, as privately assessed by S&P at the Issuer’s request
and
with respect to any Issuer Investment not covered in (i)
through (iv) above, “CCC-“.
means the chart set forth below:
Moody’s Rating
Mapped S&P Rating
Aaa
AA+
Aa1
AA
Aa2
AA-
Aa3 A+
A1
A
A2 A-
A3
BBB+
Baa1
BBB
Baa2
BBB-
Baa3
BB+
Ba1
BB-
Ba2 B+
Ba3
B
B1 B-
B2
CCC+
B3
CCC
Caa1
CCC-
NR or below Caa1
NR
“Second Lien Loan”
means a second secured loan obligation that, at the time of its
purchase by the Issuer has collateral that is also pledged to secure
an obligation senior to such loan.
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“Secured Hedging Transaction”
“Secured Participation”
“Security”
“Security Trustee”
“Securities Lending Transactions”
“Semi-Liquid Security”
“Senior Advance Amount”
“Senior Facility”
“Senior Over-Collateralisation Test”
“Senior Secured Loan”
“Senior Unsecured Loan”
“Short-Sale Advance Amount”
means any Hedging and Short-Sale Transaction entered into by the
Issuer with a counterparty that is eligible under each Transaction
Document which is secured by Collateral pursuant to the Security
Documents (as defined in the Conditions).
means any participation in a Loan in respect of which the Issuer has
security over the assets to which such participation relates.
means common and preferred equity, partnership units and
participations, member interests in limited liability companies, notes,
bonds, debentures, trust receipts and other obligations, instruments
or evidences of indebtedness, including debt instruments of public
and private issuers and tax-exempt securities (including, without
limitation, warrants, rights, put and call options and other options
relating thereto, representing rights, or any combination thereof),
guarantees of indebtedness, chooses in action, trade claims, other
property or interests commonly regarded as securities or any form of
interest or participation therein, but not including Loans and Hedging
and Short-Sale Transactions.
means the security trustee appointed pursuant to the Intercreditor
Arrangements (as defined in the Conditions).
means all obligations of the Issuer to purchase investments which
arise out of or in connection with the sale by the Issuer of the same or
substantially similar investments or other similar transactions having
the same economic effect (excluding Swap Transactions) incurred in
connection with any security lending transactions.
means any Issuer Investment (other than Synthetic Purchase
Contracts, Short-Sale Contracts and Defensive Hedge Transactions)
that is an Unquoted Investment.
means the lesser of (A) the S&P Advance Amount calculated using
the S&P Senior Advance Rates and (B) the Moody’s Advance
Amount calculated using the Moody’s Senior Advance Rates.
means, as of any date of determination, each revolving or term loan
credit facility (or any portion thereof) that has been designated as
Senior Indebtedness.
is a test that is satisfied as of any Business Day if, as of such
Business Day, the Principal Amount Outstanding of Senior
Indebtedness is less than or equal to the Senior Advance Amount.
means a secured senior loan obligation as determined by the
Collateral Manager in its reasonable business judgment or a
Participation therein (A) which is secured by (1) fixed assets or a
guarantor if and to the extent a pledge of fixed assets is permissible
under applicable law (save in the case of assets so numerous or
diverse that the failure to take such security is consistent with
reasonable secured lending practices) or (2) all or substantially, all of
the equity interests, or equivalent voting rights, in the equity of an
entity owning such fixed assets and (B) over which no other
obligation has any higher priority security interest in such fixed assets
or equity.
means a loan obligation senior to any unsecured, subordinated
obligation as determined by the Collateral Manager in its reasonable
business judgment or a Participation therein and which is not secured
by (A) fixed assets or a guarantor if and to the extent a pledge of
fixed assets is permissible under applicable law (save in the case of
assets so numerous or diverse that the failure to take such security is
consistent with reasonable secured lending practices) or (B) all or
substantiable, all of the equity interests, or equivalent voting rights, in
the equity of an entity owning such fixed assets.
means an amount equal to the sum of (A) the sum, for each
Permitted Short-Sale Transaction, of (1) the aggregate amount of
cash paid to the counterparty in connection with the sale of the
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elated Permitted Short-Sale Obligation and/or posted by the Issuer
as collateral, in each case that, at any time, is on deposit with the
counterparty as collateral for such Permitted Short-Sale Transaction
minus (2) the product of (i) the Market Value of the related Permitted
Short-Sale Obligation (determined as if such Permitted Short-Sale
Obligation was an Issuer Investment) and (ii) 200 per cent. minus the
Advance Rate for such Permitted Short-Sale Obligation and (B) the
sum, for each Short-Sale TRS, of (1) the aggregate amount that, at
any time, is posted by the Issuer as collateral for such Short-Sale
TRS minus (2) the product of (i) the market value of the related
Reference Security and (ii) 100 per cent. minus the Advance Rate for
such Reference Security.
“Short-Sale Contract”
“Short-Sale TRS”
“Single Asset Total Return Swap”
“Structured Finance Obligation”
“Structured Product Transaction”
means each Permitted Short-Sale Transaction, each Credit Default
Protection Contract and each Short-Sale TRS.
means each Single Asset Total Return Swap pursuant to which the
Issuer is entitled to receive from the counterparty thereto, inter alia,
payments in respect of the decrease in the market value of the
Reference Security designated therein.
means a Hedging and Short-Sale Transaction (substantially in the
form of a Form-Approved Swap or form that is otherwise approved by
S&P in a Rating Agency Confirmation for the purposes of calculating
the S&P Advance Amount or by Moody’s in a Rating Agency
Confirmation for the purposes of calculating the Moody’s Advance
Amount) between the Issuer and a counterparty pursuant to which (a)
the Issuer is entitled to receive from the counterparty (or, as the case
may be, such counterparty is entitled to receive from the Issuer) an
amount equal to (1) periodic payments based on the notional amount
of such transaction for the term thereof at a specified rate (which may
be fixed or floating) and/or (2) the decrease over the term of such
transaction in the market value of a single designated Reference
Security that is a debt security or an index and (b) the Issuer is
obliged to make payment to the counterparty (or, as the case may be,
such counterparty is obliged to make payment to the Issuer) in an
amount equal to (1) the interest, fees and other cash flows paid on
such Reference Security for the term of such transaction and/or (2)
the increase over the term of such transaction in the market value of
such Reference Security or (c) the Issuer and the counterparty agree
to pay a net amount calculated by reference to (a) and (b) above.
means (i) an Asset-Backed Security that is a non-recourse or
limited-recourse debt obligation issued by a special purpose vehicle
and secured solely by the assets thereof or (ii) a Structured Product
Transaction.
means (i) any Hedging and Short-Sale Transaction between the
Issuer and any eligible counterparty pursuant to which (a) the
counterparty is entitled to receive from the Issuer an amount equal to
(1) periodic payments based on the notional amount of such
transaction for the term thereof at a specified rate (which may be
fixed or floating) and (2) the decrease over the term of such
transaction in the market value of a designated pool of Loans,
Securities or other assets or any combination of the foregoing and (b)
the counterparty is obliged to make payment to the Issuer in an
amount equal to (1) the interest, fees and other cash flows paid on
such designated pool of Loans, Securities or other assets for the term
of such transaction and (2) the increase over the term of such
transaction in the market value of such designated pool of Loans,
Securities or other assets or (c) the counterparty and the Issuer
agree to pay a net amount calculated by reference to (a) and (b)
above, (ii) any transaction commonly referred to as a “total return
swap” involving more than one asset and (iii) any Hedging and
Short-Sale Transaction other than a Single Asset Total Return Swap
that is substantially similar to the transactions described in clauses (i)
and (ii) above provided that the counterparty thereto has the
regulatory capacity, as a matter of Dutch law, to enter into derivatives
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transactions with Dutch residents.
“Swap Transaction”
“Synthetic Purchase Contract”
“Synthetic Purchase Contract
Advance Amount”
“Total Capitalisation”
“Unfunded Revolver Adjustment
Amount”
"Unhedged Currency Investment"
"Unhedged Excess Amount"
"Unquoted Investments"
“US Asset”
“US Element”
“Valuation Date”
means (i) any rate, basis, currency, debt or equity swap, futures or
forward agreement, (ii) any put, call, cap, floor or collar agreement,
(iii) any option representing an obligation to buy or sell a security,
currency, debt or equity and (iv) any other similar agreement.
means each Credit Default Exposure Contract and each Single Asset
Total Return Swap pursuant to which the Issuer is entitled to receive
from the counterparty thereto, inter alia, payments in respect of the
increase in the market value of the Reference Security designated
therein.
means an amount, which may be positive or negative, equal to the
sum, for each Synthetic Purchase Contract, of (a) the product of (i)
the notional amount of such Synthetic Purchase Contract plus the
Market Value of such Synthetic Purchase Contract and (ii) the
Advance Rate for such Synthetic Purchase Contract’s Reference
Security minus (b) the notional amount of such Synthetic Purchase
Contract.
means, at any time, the sum of (a) any amounts of committed and
available Issuer Indebtedness (excluding, for the avoidance of doubt,
accrued interest thereon), (b) the aggregate undistributed net gains
and income of the Issuer less (i) any outstanding placement or
structuring fees and organisational expenses and (ii) any net loss of
the Issuer (each as determined monthly and set forth in the Issuer’s
financial records and, in the case of year-end financial records, in
accordance with the applicable Dutch accounting standards) and (c)
the issued and paid-up share capital of the Issuer.
means an amount equal to the sum, for each Loan, Participation or
delayed-draw note, of the product of (x) the Maximum Unfunded
Amount thereof, if any, (y) one minus the Advance Rate for such
Loan, Participation or delayed-draw note and (z) 100 per cent. or
such lesser percentage as S&P may notify the Issuer in writing from
time to time.
means any portion of an Issuer Investment which is not protected
against currency fluctuations as a result of borrowings or requested
borrowings under any Transaction Document that are repayable in
the currency of denomination of such Issuer Investment or Currency
Hedging Transactions, each "an associated liability" for the purposes
of the definition of "Net Value". For the purposes of calculating the
S&P Advance Amount, or the Moody's Advance Amount (as the case
may be), the Unhedged Excess Amount in respect of non-Euro Issuer
Investments denominated in a particular currency will be considered
in the calculation of the Over-Collateralisation Tests.
means the amount by which the Net Value in respect of non-Euro
Issuer Investments denominated in a particular currency exceeds
5 per cent. Of the par value of such non-Euro Issuer Investments.
means Issuer Investments other than Cash, Cash Equivalents or
Government Securities for which the Market Value has not been
obtained from an Approved Source on the preceding Valuation Date.
means any Issuer Investment in respect of which the relevant obligor
is an entity domiciled in the United States of America.
means, for each Asset Category in relation to a US Asset, the
percentage set out in the S&P Rating Agency Tables opposite such
Asset Category.
means (a) a Determination Date, (b) a Reporting Date, (c) the
Wednesday of each calendar week which does not include a
Determination Date or Reporting Date or, if such Wednesday is not a
Business Day, the immediately preceding Business Day and (d) for
the purpose of determining the Market Value Price of an Issuer
Investment at any date when the Issuer is not, or the Issuer (or the
- 121 -

Collateral Manager on its behalf) reasonably believes that it is not, in
compliance with any covenant relating to the Over-Collateralisation
Tests, the date on which the most current pricing information with
respect to such Issuer Investment is reasonably available.
“VFN Agent”
means IXIS Financial Products Inc., as agent for the VF Noteholders
and any successor thereto.
- 122 -

Asset
Category
S&P Senior Advance
Rate
Independent
of maturity
Less
than
5
years
Advance Rates applicable to S&P
S&P Class B Notes
Advance Rate
Independent
of maturity
Less
than
5
years
S&P Class C Notes
Advance Rate
Independent
of maturity
Less
than
5
years
S&P Class D Notes
Advance Rate
Independent
of maturity
Less
than
5
years
US
Element
A-1 100% - 100% - 100% - 100% - -
A-2 99% - 99% - 99% - 99% - -
A-3 96% - 97% - 97% - 98% - -
A-4 92% - 93% - 93% - 94% - -
A-5 87% - 88% - 89% - 90% - -
A-6 79% - 81% - 82% - 83% - -
B-1 84% - 86% - 88% - 90% - 5%
B-2 75% - 78% - 80% - 83% - 10%
B-3 65% - 68% - 70% - 73% - 20%
B-4 66% - 71% - 77% - 83% - 5%
B-5 61% - 66% - 72% - 78% - 5%
B-6 56% - 61% - 67% - 73% - 5%
B-7 66% - 71% - 77% - 83% - 5%
B-8 61% - 66% - 72% - 78% - 5%
B-9 56% - 61% - 67% - 73% - 5%
C-1 82% 83% 84% 85% 87% 87% 89% 89% 5%
C-2 81% 82% 83% 84% 86% 86% 89% 89% 5%
C-3 80% 81% 83% 83% 85% 86% 88% 88% 5%
D-1 78% 80% 81% 83% 84% 85% 87% 88% 5%
D-2 75% 78% 79% 81% 82% 84% 86% 87% 5%
D-3 73% 76% 77% 79% 80% 82% 84% 86% 5%
E-1 68% 70% 72% 75% 77% 79% 82% 83% 5%
E-2 64% 67% 70% 72% 75% 77% 80% 82% 5%
E-3 61% 65% 67% 70% 73% 75% 79% 80% 5%
F-1 54% 57% 61% 63% 68% 70% 75% 76% 5%
F-2 47% 50% 55% 58% 63% 66% 72% 73% 5%
F-3 38% 42% 48% 51% 58% 60% 68% 69% 5%
I-1 66% - 71% - 77% - 83% - 0%
I-2 61% - 66% - 72% - 78% - 5%
I-3 56% - 61% - 67% - 73% - 10%
I-4 34% - 37% - 40% - 43% - 0%
I-5 32% - 34% - 37% - 41% - 5%
I-6 29% - 32% - 35% - 38% - 10%
I-7 34% - 37% - 40% - 43% - 0%
I-8 32% - 34% - 37% - 41% - 5%
I-9 29% - 32% - 35% - 38% - 10%
I-10 33% - 44% - 54% - 65% - 5%
K-1 17% - 31% - 45% - 45% - 5%
K-2 13% - 27% - 41% - 41% - 5%
- 123 -

Asset
Category
S&P Senior Advance
Rate
Independent
of maturity
Highly-Diversified Advance Rates applicable to S&P
Less
than
5
years
S&P Class B Notes
Advance Rate
Independent
of maturity
Less
than
5
years
S&P Class C Notes
Advance Rate
Independent
of maturity
Less
than
5
years
S&P Class D Notes
Advance Rate
Independent
of maturity
Less
than
5
years
US
Element
A-1 100% - 100% - 100% - 100% - -
A-2 99% - 99% - 99% - 99% - -
A-3 96% - 97% - 97% - 98% - -
A-4 92% - 93% - 93% - 94% - -
A-5 87% - 88% - 89% - 90% - -
A-6 79% - 81% - 82% - 83% - -
B-1 85% - 86% - 88% - 90% - 5%
B-2 76% - 78% - 81% - 83% - 10%
B-3 66% - 68% - 71% - 73% - 20%
B-4 66% - 72% - 78% - 84% - 5%
B-5 61% - 67% - 73% - 79% - 5%
B-6 56% - 62% - 68% - 74% - 5%
B-7 66% - 72% - 78% - 84% - 5%
B-8 61% - 67% - 73% - 79% - 5%
B-9 56% - 62% - 68% - 74% - 5%
C-1 83% 85% 85% 87% 87% 88% 89% 90% 5%
C-2 82% 84% 84% 86% 87% 88% 89% 90% 5%
C-3 81% 83% 83% 85% 86% 87% 88% 89% 5%
D-1 79% 81% 81% 83% 84% 86% 87% 88% 5%
D-2 76% 79% 79% 81% 83% 84% 86% 87% 5%
D-3 74% 77% 78% 80% 81% 83% 85% 86% 5%
E-1 69% 72% 74% 76% 78% 80% 83% 84% 5%
E-2 66% 69% 71% 73% 76% 78% 81% 83% 5%
E-3 63% 66% 68% 71% 74% 76% 80% 81% 5%
F-1 56% 58% 63% 65% 69% 71% 76% 77% 5%
F-2 49% 52% 57% 60% 65% 67% 73% 74% 5%
F-3 41% 45% 50% 53% 60% 62% 69% 71% 5%
I-1 67% - 73% - 79% - 84% - 0%
I-2 62% - 68% - 74% - 79% - 5%
I-3 57% - 63% - 69% - 74% - 10%
I-4 35% - 38% - 41% - 43% - 0%
I-5 33% - 35% - 38% - 41% - 5%
I-6 30% - 33% - 36% - 38% - 10%
I-7 35% - 38% - 41% - 43% - 0%
I-8 33% - 35% - 38% - 41% - 5%
I-9 30% - 33% - 36% - 38% - 10%
I-10 36% - 46% - 56% - 66% - 5%
K-1 19% - 32% - 32% - 32% - 5%
K-2 14% - 28% - 28% - 28% - 5%
- 124 -

Asset
Category
Less than or
equal to 1
year
Advance Rates applicable to Moody's
Moody's Senior Advance Rates
Greater than
1 year and
less than or
equal to 3
years
Greater than
3 years and
less than or
equal to 5
years
Greater than
5 years and
less than or
equal to 7
years
Greater than
7 years and
less than or
equal to 10
years
Independent
of maturity
Greater than
10 years
A-1 100.0% - - - - - -
A-2 98.5% - - - - - -
A-3 94.3% - - - - - -
A-4 87.8% - - - - - -
A-5 84.2% - - - - - -
A-6 75.2% - - - - - -
B-1 89.0% - - - - - -
B-2 77.0% - - - - - -
B-3 66.7% - - - - - -
B-4 69.9% - - - - - -
B-5 62.6% - - - - - -
B-6 57.5% - - - - - -
B-7 69.9% - - - - - -
B-8 62.6% - - - - - -
B-9 57.5% - - - - - -
C-1 - 94.8% 91.4% 88.2% 86.7% 83.2% 74.0%
C-2 - 94.1% 89.4% 85.3% 83.7% 79.4% 68.9%
C-3 - 93.3% 87.5% 82.3% 80.7% 75.5% 63.8%
D-1 - 90.3% 85.2% 80.0% 78.3% 73.2% 61.6%
D-2 - 89.2% 84.9% 79.6% 77.9% 72.9% 61.5%
D-3 - 87.5% 82.8% 79.3% 77.6% 72.5% 61.3%
E-1 - 80.0% 73.3% 70.1% 68.5% 67.4% 60.9%
E-2 - 75.8% 69.5% 66.7% 65.8% 64.9% 60.4%
E-3 - 72.7% 65.6% 62.3% 61.7% 61.0% 53.9%
F-1 - 70.5% 59.2% 56.6% 56.1% 56.1% 43.4%
F-2 - 67.0% 53.8% 50.2% 49.4% 49.0% 33.0%
F-3 - 50.8% 43.1% 40.4% 38.8% 38.7% 23.9%
I-1 66.4% - - - - - -
I-2 60.5% - - - - - -
I-3 51.0% - - - - - -
I-4 33.5% - - - - - -
I-5 31.1% - - - - - -
I-6 25.9% - - - - - -
I-7 30.7% - - - - - -
I-8 31.1% - - - - - -
I-9 25.9% - - - - - -
I-10 30.7% - - - - - -
K-1 15.8% - - - - - -
K-2 12.4% - - - - - -
- 125 -

Asset
Category
Less than or
equal to 1
year
Moody's Class B Notes Advance Rates
Greater than
1 year and
less than or
equal to 3
years
Greater than
3 years and
less than or
equal to 5
years
Greater than
5 years and
less than or
equal to 7
years
Greater than
7 years and
less than or
equal to 10
years
Independent
of maturity
Greater than
10 years
A-1 100.0% - - - - - -
A-2 98.8% - - - - - -
A-3 95.3% - - - - - -
A-4 89.6% - - - - - -
A-5 86.4% - - - - - -
A-6 78.4% - - - - - -
B-1 90.0% - - - - - -
B-2 79.0% - - - - - -
B-3 71.0% - - - - - -
B-4 74.3% - - - - - -
B-5 66.8% - - - - - -
B-6 63.7% - - - - - -
B-7 74.3% - - - - - -
B-8 66.8% - - - - - -
B-9 63.7% - - - - - -
C-1 - 95.2% 92.6% 89.9% 88.7% 85.5% 77.6%
C-2 - 94.6% 91.1% 87.6% 86.1% 82.5% 73.1%
C-3 - 94.1% 89.5% 85.2% 83.6% 79.4% 68.7%
D-1 - 90.9% 87.4% 82.9% 81.0% 76.9% 66.1%
D-2 - 89.7% 87.3% 82.6% 80.5% 76.4% 65.6%
D-3 - 88.2% 85.7% 82.2% 79.9% 76.0% 65.0%
E-1 - 81.9% 78.7% 76.1% 73.0% 72.3% 64.2%
E-2 - 77.8% 75.3% 72.8% 70.2% 69.7% 63.7%
E-3 - 75.2% 72.1% 69.1% 66.6% 65.9% 58.1%
F-1 - 74.2% 66.4% 63.7% 61.3% 61.2% 47.0%
F-2 - 71.4% 60.9% 57.6% 54.9% 54.4% 36.9%
F-3 - 57.7% 54.0% 51.2% 48.2% 47.6% 30.2%
I-1 71.5% - - - - - -
I-2 65.4% - - - - - -
I-3 55.7% - - - - - -
I-4 36.5% - - - - - -
I-5 33.0% - - - - - -
I-6 28.6% - - - - - -
I-7 36.5% - - - - - -
I-8 33.0% - - - - - -
I-9 28.6% - - - - - -
I-10 41.0% - - - - - -
K-1 28.9% - - - - - -
K-2 25.7% - - - - - -
- 126 -

Asset
Category
Less than or
equal to 1
year
Moody's Class C Notes Advance Rates
Greater than
1 year and
less than or
equal to 3
years
Greater than
3 years and
less than or
equal to 5
years
Greater than
5 years and
less than or
equal to 7
years
Greater than
7 years and
less than or
equal to 10
years
Independent
of maturity
Greater than
10 years
A-1 100.0% - - - - - -
A-2 99.3% - - - - - -
A-3 96.8% - - - - - -
A-4 92.5% - - - - - -
A-5 89.7% - - - - - -
A-6 83.2% - - - - - -
B-1 91.0% - - - - - -
B-2 82.0% - - - - - -
B-3 74.0% - - - - - -
B-4 79.6% - - - - - -
B-5 73.8% - - - - - -
B-6 70.8% - - - - - -
B-7 79.6% - - - - - -
B-8 73.8% - - - - - -
B-9 70.8% - - - - - -
C-1 - 97.2% 95.5% 93.4% 92.3% 89.6% 82.9%
C-2 - 96.8% 94.3% 91.6% 90.2% 87.1% 79.2%
C-3 - 96.5% 93.2% 89.8% 88.2% 84.7% 75.4%
D-1 - 93.1% 90.8% 87.5% 85.4% 82.0% 72.4%
D-2 - 91.7% 90.4% 87.2% 84.7% 81.3% 71.5%
D-3 - 90.5% 88.8% 86.8% 84.0% 80.6% 70.6%
E-1 - 84.4% 82.6% 81.3% 77.0% 76.7% 69.4%
E-2 - 80.7% 78.7% 78.1% 74.3% 74.0% 69.0%
E-3 - 78.5% 76.0% 75.1% 71.3% 70.8% 64.4%
F-1 - 77.9% 72.8% 70.0% 65.6% 65.9% 53.2%
F-2 - 75.8% 68.0% 64.4% 59.7% 59.6% 44.0%
F-3 - 64.2% 61.8% 61.1% 56.5% 56.2% 39.8%
I-1 76.8% - - - - - -
I-2 70.3% - - - - - -
I-3 59.9% - - - - - -
I-4 39.1% - - - - - -
I-5 35.4% - - - - - -
I-6 30.7% - - - - - -
I-7 39.1% - - - - - -
I-8 35.4% - - - - - -
I-9 30.7% - - - - - -
I-10 45.7% - - - - - -
K-1 38.1% - - - - - -
K-2 33.9% - - - - - -
- 127 -

Asset
Category
Less than or
equal to 1
year
Moody's Class D Notes Advance Rates
Greater than
1 year and
less than or
equal to 3
years
Greater than
3 years and
less than or
equal to 5
years
Greater than
5 years and
less than or
equal to 7
years
Greater than
7 years and
less than or
equal to 10
years
Independent
of maturity
Greater than
10 years
A-1 100.0% - - - - - -
A-2 100.0% - - - - - -
A-3 97.9% - - - - - -
A-4 96.5% - - - - - -
A-5 94.8% - - - - - -
A-6 87.9% - - - - - -
B-1 92.3% - - - - - -
B-2 84.9% - - - - - -
B-3 78.9% - - - - - -
B-4 80.7% - - - - - -
B-5 76.4% - - - - - -
B-6 75.5% - - - - - -
B-7 80.7% - - - - - -
B-8 76.4% - - - - - -
B-9 75.5% - - - - - -
C-1 - 98.3% 98.3% 97.5% 96.6% 94.7% 94.7%
C-2 - 97.9% 97.1% 95.6% 94.4% 92.1% 92.1%
C-3 - 97.6% 95.9% 93.7% 92.3% 89.5% 89.5%
D-1 - 94.4% 94.0% 92.0% 90.0% 87.3% 80.1%
D-2 - 93.0% 93.6% 91.7% 89.2% 86.5% 79.1%
D-3 - 91.7% 91.9% 91.3% 88.5% 85.8% 78.1%
E-1 - 86.0% 86.6% 86.9% 82.3% 81.6% 78.7%
E-2 - 82.3% 82.5% 83.5% 79.4% 80.0% 78.2%
E-3 - 80.0% 79.7% 80.3% 76.2% 76.5% 73.0%
F-1 - 80.6% 79.0% 78.3% 73.2% 74.4% 64.8%
F-2 - 78.5% 73.8% 72.0% 66.6% 67.3% 53.6%
F-3 - 66.5% 67.1% 68.3% 63.0% 63.5% 48.5%
I-1 77.9% - - - - - -
I-2 72.8% - - - - - -
I-3 63.9% - - - - - -
I-4 39.7% - - - - - -
I-5 36.6% - - - - - -
I-6 32.7% - - - - - -
I-7 40.5% - - - - - -
I-8 38.5% - - - - - -
I-9 36.2% - - - - - -
I-10 55.7% - - - - - -
K-1 46.4% - - - - - -
K-2 41.3% - - - - - -
- 128 -

USE OF PROCEEDS
The estimated available net proceeds of the issue of the VF-1 Notes and the Specified Notes after payment of
certain fees and expenses paid on the Initial Closing Date are expected to be approximately €620 million.
Proceeds from the issue of the VF-1 Notes and the Specified Notes will be used by the Issuer to pay all amounts
due and payable in connection with the acquisition of certain Issuer Investments purchased by the Collateral
Manager on behalf of the Issuer, or which the Collateral Manager on behalf of the Issuer has committed to
purchase, including the repayment on the Initial Closing Date of any amounts borrowed by the Issuer (together
with any interest thereon) in order to finance the acquisition thereof together with certain related expenses
including the expense of listing and admitting the VF-1 Notes and the Specified Notes to trading on the Irish
Stock Exchange. It is estimated that the total expenses related to listing and admitting the VF-1 Notes and the
Specified Notes to trading on the Irish Stock Exchange will be approximately €12,500.
- 129 -

FORM OF THE VF NOTES AND THE NOTES
References below to Notes and to the Global Notes and the Definitive Notes representing such Notes are to the
VF Notes and each respective Class of Notes, except as otherwise indicated.
Initial Issue of Notes
Regulation S Notes of the VF Notes will each be represented on issue by definitive notes in fully registered form,
without interest coupons or principal receipts attached (each a “VF Note Regulation S Note”). VF Note
Regulation S Notes will be issued to each VF Noteholder and a note of such VF Noteholder’s commitment
entered in the VFN Register. Rule 144A Notes of the VF Notes will each be represented on issue by definitive
notes in fully registered form, without interest coupons or principal receipts attached (each a “VF Note Rule 144A
Note”). Transfers of the VF Note Rule 144A Notes will only be effected in accordance with the VF Instrument.
The Regulation S Notes of each Class of Notes will each be represented on issue by a Regulation S Global Note
deposited with, and registered in the name of the common depositary for Euroclear and Clearstream,
Luxembourg. Beneficial interests in a Regulation S Global Note may be held only through Euroclear or
Clearstream, Luxembourg at any time. See “Book-Entry Clearance Procedures”. Beneficial interests in a
Regulation S Global Note may not be held by a U.S. Person or U.S. Resident at any time. By acquisition of a
beneficial interest in a Regulation S Global Note, the purchaser thereof will be deemed to represent, among other
things, that it is not a U.S. Person, and that, if in the future it determines to transfer such beneficial interest, it will
transfer such interest only to a person whom the seller reasonably believes (a) to be a non-U.S. Person in an
offshore transaction in accordance with Rule 903 or Rule 904 of Regulation S, or (b) to be a person who takes
delivery in the form of an interest in a Rule 144A Global Note. (see the section of this Offering Circular headed
“Transfer Restrictions”.)
The Rule 144A Notes of each Class of Notes will be represented on issue by a Rule 144A Global Note deposited
with a custodian for, and registered in the name of a nominee of, DTC. Beneficial interests in a Rule 144A Global
Note may only be held through DTC at any time (see the section of this Offering Circular headed “Book-Entry
Clearance Procedures”). By acquisition of a beneficial interest in a Rule 144A Global Note, the purchaser thereof
will be deemed to represent, amongst other things, that it is a QIB/Qualifying Purchaser and that, if in the future it
determines to transfer such beneficial interest, it will transfer such interest in accordance with the procedures and
restrictions contained in the Trust Deed. (see the section of this Offering Circular headed “Transfer
Restrictions”.)
Beneficial interests in Global Notes will be subject to certain restrictions on transfer set forth therein, in the Trust
Deed and as set forth in Rule 144A, and the Notes will bear the applicable legends regarding the restrictions set
forth under “Transfer Restrictions”. In the case of each Class of Notes a beneficial interest in a Regulation S
Global Note may be transferred to a person who takes delivery in the form of an interest in a Rule 144A Global
Note in denominations greater than or equal to the minimum denominations applicable to interests in such
Rule 144A Global Note only upon receipt by the Trustee of a written certification (in the form provided in the Trust
Deed) to the effect that the transferor reasonably believes that the transferee is a QIB/Qualifying Purchaser and
that such transaction is in accordance with any applicable securities laws of any state of the United States or any
other jurisdiction. Beneficial interests in the Rule 144A Global Notes may be transferred to a person who takes
delivery in the form of an interest in a Regulation S Global Note only upon receipt by the Trustee of a written
certification (in the form provided in the Trust Deed) from the transferor to the effect that the transfer is being
made to a non-U.S. Person outside the United States and in accordance with Regulation S under the Securities
Act.
Any beneficial interest in a Regulation S Global Note that is transferred to a person who takes delivery in the form
of an interest in a Rule 144A Global Note will, upon transfer, cease to be an interest in such Regulation S Global
Note and become an interest in the Rule 144A Global Note, and, accordingly, will thereafter be subject to all
transfer restrictions and other procedures applicable to beneficial interests in a Rule 144A Global Note for as long
as it remains such an interest. Any beneficial interest in a Rule 144A Global Note that is transferred to a person
who takes delivery in the form of an interest in a Regulation S Global Note will, upon transfer, cease to be an
interest in a Rule 144A Global Note and become an interest in the Regulation S Global Note and, accordingly,
will thereafter be subject to all transfer restrictions and other procedures applicable to beneficial interests in a
Regulation S Global Note for so long as it remains such an interest. No service charge will be made for any
registration of transfer or exchange of Notes, but the Trustee may require payment of a sum sufficient to cover
any tax or other governmental charge payable in connection therewith.
Except in the limited circumstances described below, owners of beneficial interests in Global Notes will not be
entitled to receive physical delivery of certificated Notes. The Notes are not issuable in bearer form.
Exchange of Global Note for Definitive Notes
Each Global Note will be exchangeable, free of charge to the holder, on or after its Exchange Date, in whole but
not in part, for Definitive Notes if either: (i) the Global Note is held (directly or indirectly) on behalf of DTC,
Euroclear, Clearstream, Luxembourg or an alternative clearing system and any such clearing system is closed for
business for a continuous period of 14 days or more (other than by reason of holiday, statutory or otherwise) or
- 130 -

announces an intention to permanently cease business or does in fact do so or (ii) the Custodian notifies the
Issuer that it is at any time unwilling or unable to continue as Custodian or Depositary, as the case may be, and a
successor custodian or depositary, as the case may be, is not appointed within 90 days.
The Registrar will not register the transfer of, or exchange of interests in, a Global Note for Definitive Notes
during the period from (but excluding) the Record Date to (and including) the date for any payment of principal or
interest in respect of the Notes.
If only one of the Global Notes of any Class of Notes becomes exchangeable for Definitive Notes in accordance
with the above paragraphs, transfers of interests in the Notes may not take place between, on the one hand,
persons holding Definitive Notes issued in exchange for beneficial interests in such Global Note and, on the other
hand, persons wishing to purchase beneficial interests in the other Global Note.
"Exchange Date" means a day falling not less than 30 days after that on which the notice requiring exchange is
given and on which banks are open for business in the city in which the Specified Office of the Registrar and any
Transfer Agent is located.
Delivery of Definitive Notes
In such circumstances, the relevant Global Note shall be exchanged in full for Definitive Notes and the Issuer will,
at the cost of the Issuer (and against such indemnity as the Registrar or any relevant Transfer Agent may require
in respect of any tax or other duty of whatever nature which may be levied or imposed in connection with such
exchange), cause sufficient Definitive Notes to be executed and delivered to the Trustee for completion,
authentication and dispatch to the relevant Noteholders. A person having a beneficial interest in a Global Note
must provide to the Registrar (a) a written order containing instructions and such other information as the Issuer
and the Registrar may require to complete, execute and deliver such Definitive Notes and (b) in the case of the
Rule 144A Global Note only, a fully completed, signed certification substantially to the effect that the exchanging
holder is not transferring its interest at the time of such exchange or, in the case of simultaneous sale pursuant to
Rule 144A, a certification that the transfer is being made in compliance with the provisions of Rule 144A to a QIB
who is also a Qualified Purchaser. Definitive Notes issued in exchange for a beneficial interest in the Rule 144A
Global Note shall bear the legends applicable to transfers pursuant to Rule 144A, as set out under the section of
this Offering Circular headed "Transfer Restrictions".
Legends
The holder of a Definitive Note may transfer the Notes represented thereby in whole or in part in the applicable
Authorised Denomination by surrendering it at the Specified Office of the Registrar or any Transfer Agent,
together with the completed form of transfer thereof. Upon the transfer, exchange or replacement of a Definitive
Note bearing the legend referred to under the section of this Offering Circular headed "Transfer Restrictions", or
upon specific request for removal of the legend on a Definitive Note, the Issuer will deliver only Definitive Notes
that bear such legend, or will refuse to remove such legend, as the case may be, unless there is delivered to (i)
the Issuer and (ii) the Registrar such satisfactory evidence, which may include an opinion of counsel, as may
reasonably be required by the Issuer that neither the legend nor the restrictions on transfer set forth therein are
required to ensure compliance with the provisions of the Securities Act and the Investment Company Act.
Amendments to Terms and Conditions Each Global Note contains provisions that apply to the Notes that they
represent, some of which modify the effect of the conditions applicable to such notes in definitive form (see the
section of this Offering Circular headed "Terms and Conditions"). The following is a summary of those provisions:
●
Payments
Payments of principal and interest in respect of the Global Notes will be made on each occasion on
which a payment of interest (unless the Notes represented thereby do not bear interest) or principal is
made in respect of the relevant Global Note and the Registrar shall note the same in the Register and
cause the aggregate principal amount of the Notes represented by a Global Note to be decreased
accordingly in respect of payment of principal.
• Notices
So long as any Notes are represented by a Global Note and such Global Note is held on behalf of a
clearing system, notices to Noteholders may be given by delivery of the relevant notice to that clearing
system for communication by it to entitled account holders directly in substitution for delivery thereof as
required by the conditions of such Notes, provided that such notice is also made to the Company
Announcement Office of the Irish Stock Exchange for so long as such Notes are listed on the Irish Stock
Exchange and the rules of the Irish Stock Exchange so require.
• Prescription
Claims against the Issuer in respect of principal and interest on the Notes while the Notes are
represented by a Global Note will become void unless presented for payment within a period of
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five years (in the case of interest) and ten years (in the case of principal) from the date on which any
payment first becomes due.
• Meetings
The holder of each Global Note will be treated as being two persons for the purposes of any quorum
requirements of, or the right to demand a poll at, a meeting of Noteholders and, at any such meeting, as
having one vote in respect of each €1,000 of principal amount of Notes for which the relevant Global
Note may be exchanged.
• Trustee's Powers
In considering the interests of Noteholders while the Global Notes are held on behalf of a clearing
system, the Trustee may have regard to any information provided to it by such clearing system or its
operator as to the identity (either individually or by category) of its account holders with entitlements to
each Global Note and may consider such interests as if such account holders were the holders of any
Global Note. The Trustee shall have regard to the interests of the VF Noteholders only in relation to
instructions provided to it by the Controlling Class.
• Cancellation
Cancellation of any Note required by the relevant conditions to be cancelled will be effected by reduction
in the principal amount of the Notes on the Register with a corresponding notation made in the related
Global Note.
• Optional Redemption
Any option of the Noteholders in Condition 7(b) (Optional Redemption) or Condition 7(d) (Redemption
for Tax Reasons) may be exercised by the holder of any Global Note giving notice to the Registrar of the
principal amount of Notes in respect of which the option is being exercised and presenting such
certificate for endorsement of exercise within the time limit specified in Condition 7(b) (Optional
Redemption) or Condition 7(d) (Redemption for Tax Reasons), as the case may be.
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BOOK-ENTRY CLEARANCE PROCEDURES
The information set out below has been obtained from sources that the Issuer believes to be reliable, but
prospective investors are advised to make their own enquiries as to such procedures. In particular, such
information is subject to any change in or interpretation of the rules, regulations and procedures of DTC,
Euroclear or Clearstream, Luxembourg (together, the "Clearing Systems") currently in effect and investors
wishing to use the facilities of any of the Clearing Systems are therefore advised to confirm the continued
applicability of the rules, regulations and procedures of the relevant Clearing System. None of the Issuer, the
Trustee, the Placement Agent or any Agent party to the Agency Agreement (or any Affiliate of any of the above,
or any person by whom any of the above is controlled for the purposes of the Securities Act), will have any
responsibility for the performance by the Clearing Systems or their respective Direct or Indirect Participants or
account holders of their respective obligations under the rules and procedures governing their operations or for
the sufficiency for any purpose of the arrangements described below.
1. DTC, Euroclear and Clearstream, Luxembourg
Custodial and depositary links have been established between Euroclear, Clearstream, Luxembourg
and DTC to facilitate the initial issuance of the Notes and cross-market transfers of the Notes associated
with secondary market trading (see the section of this Offering Circular headed "Book-Entry Clearance
Procedures - Settlement and Transfer of Interests in the Notes" below). Investors may hold their
interests in a Global Note directly through one of the Clearing Systems if they are participants ("Direct
Participants") in the same, or indirectly through organisations which are Direct Participants in such
system ("Indirect Participants" and together with Direct Participants, "Participants").
(a)
(b)
DTC
DTC has advised the Issuer as follows: DTC is a limited purpose trust company organised
under the laws of the State of New York, a "banking organisation" under the laws of the State
of New York, a member of the U.S. Federal Reserve System, a "clearing corporation" within
the meaning of the New York Uniform Commercial Code and a "clearing agency" registered
pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold
securities for its Participants and facilitate the clearance and settlement of securities
transactions between Participants through electronic computerised book-entry changes in
accounts of its Participants, thereby eliminating the need for physical movement of certificates.
Participants include securities brokers and dealers, banks, trust companies, clearing
corporations and certain other organisations. Indirect access to DTC is available to others,
such as banks, securities brokers, dealers and trust companies, that clear through or maintain
a custodial relationship with DTC Direct Participants, either directly or indirectly.
DTC has advised the Issuer that it will take any action permitted to be taken by a holder of
Notes (including, without limitation, the presentation of Global Notes for exchange as described
under the section of this Offering Circular headed "Form of the VF Notes and the Notes —
Exchange of Global Notes for Definitive Notes" above) only at the direction of one or more
Direct Participants and only in respect of such portion of the aggregate principal amount of the
relevant Rule 144A Global Note as to which such Participant or Participants has or have given
such direction. However, in the circumstances described under the section of this Offering
Circular headed "Form of the VF Notes and the Notes — Exchange of Global Notes for
Definitive Notes" above, DTC will surrender the relevant Rule 144A Global Note in exchange
for individual Definitive Notes (which will bear the legend applicable to transfers pursuant to
Rule 144A).
Euroclear and Clearstream, Luxembourg
Euroclear and Clearstream, Luxembourg each hold securities for their customers and facilitate
the clearance and settlement of securities transactions through electronic book-entry transfer
between their respective account holders. Indirect access to Euroclear and Clearstream,
Luxembourg is available to other institutions which clear through or maintain a custodial
relationship with an account holder of either system. Euroclear and Clearstream, Luxembourg
provide various services including safekeeping, administration, clearance and settlement of
internationally-traded securities and securities lending and borrowing. Euroclear and
Clearstream, Luxembourg also deal with domestic securities markets in several countries
through established depositary and custodial relationships. Euroclear and Clearstream,
Luxembourg have established an electronic bridge between their two systems across which
their respective customers may settle trades with each other. Their customers are worldwide
financial institutions including underwriters, securities brokers and dealers, banks, trust
companies and clearing corporations.
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2. Book-Entry Ownership
(a)
(b)
DTC
Each Rule 144A Global Note will have a CUSIP number and will be deposited with LaSalle
Bank National Association as custodian for, and registered in the name of Cede & Co. as
nominee of, DTC. In such capacity, LaSalle Bank and DTC will electronically record the
principal amount of the Notes held within the DTC System.
Euroclear and Clearstream, Luxembourg
Each Regulation S Global Note will have an ISIN and a Common Code and will be deposited
with and registered in the name of HSBC Issuer Services Common Depositary Nominee (UK)
Limited as nominee for HSBC Bank plc, as common depositary on behalf of, Euroclear and
Clearstream, Luxembourg.
3. Relationship of Participants with Clearing Systems
Each of the persons shown in the records of Euroclear, Clearstream, Luxembourg or DTC as the Holder
of a Note represented by a Global Note must look solely to Euroclear, Clearstream, Luxembourg or DTC
(as the case may be) for his share of each payment made by the Issuer to the Holder of such Global
Note (save in the case of payments other than in U.S. Dollars outside DTC, as referred to below) and in
relation to all other rights arising under the Global Note, subject to and in accordance with the respective
rules and procedures of Euroclear, Clearstream, Luxembourg or DTC (as the case may be). The Issuer
expects that, upon receipt of any payment in respect of Notes represented by a Global Note, the
common depositary by whom such Note is held, or nominee in whose name it is registered, will (save as
provided below in respect of the Rule 144A Global Notes) immediately credit the relevant Participants’
or accountholders’ accounts in the relevant Clearing System with payments in amounts proportionate to
their respective beneficial interests in the principal amount of the relevant Global Note as shown on the
records of the relevant Clearing System or its nominee. The Issuer also expects that payments by
Direct Participants in any Clearing System to owners of beneficial interests in any Global Note held
through such Direct Participants in any Clearing System will be governed by standing instructions and
customary practices. Save as aforesaid, such persons shall have no claim directly against the Issuer in
respect of payments due on the Notes for so long as the Notes are represented by such Global Note
and the obligations of the Issuer will be discharged by payment to the registered Holder, as the case
may be, of such Global Note in respect of each amount so paid. None of the Issuer, the Trustee or any
Agent will have any responsibility or liability for any aspect of the records relating to or payments made
on account of ownership interests in any Global Note or for maintaining, supervising or reviewing any
records relating to such ownership interests.
4. Settlement and Transfer of Notes
Subject to the rules and procedures of each applicable Clearing System, purchases of Notes held within
a Clearing System must be made by or through Direct Participants, which will receive a credit for such
Notes on the Clearing System's records. The ownership interest of each actual purchaser of each such
Note (the "Beneficial Owner") will in turn be recorded on the Direct and Indirect Participant's records.
Beneficial Owners will not receive written confirmation from any Clearing System of their purchase, but
Beneficial Owners are expected to receive written confirmations providing details of the transaction, as
well as periodic statements of their holdings, from the Direct or Indirect Participant through which such
Beneficial Owner entered into the transaction. Transfers of ownership interests in Notes held within the
Clearing System will be effected by entries made on the books of Participants acting on behalf of
Beneficial Owners. Beneficial Owners will not receive certificates representing their ownership interests
in such Notes unless and until interests in any Global Note held within a Clearing System is exchanged
for Definitive Notes.
No Clearing System has knowledge of the actual Beneficial Owners of the Notes held within such
Clearing Systems and their records will reflect only the identity of the Direct Participants to whose
accounts such Notes are credited, which may or may not be the Beneficial Owners. The Participants
will remain responsible for keeping account of their holdings on behalf of their customers. Conveyance
of notices and other communications by the Clearing Systems to Direct Participants, by Direct
Participants to Indirect Participants, and by Direct Participants and Indirect Participants to Beneficial
Owners will be governed by arrangements among them, subject to any statutory or regulatory
requirements as may be in effect from time to time.
Book-Entry Interests owned through Euroclear and Clearstream, Luxembourg accounts will follow the
settlement procedures applicable to conventional Eurobonds in registered form. Book-Entry Interests
will be credited to the securities custody accounts of Euroclear and Clearstream, Luxembourg holders
on the business day following the settlement date against payment for value on the settlement date.
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Trading between Euroclear and/or Clearstream, Luxembourg Participants
Secondary market sales of Book-Entry Interests in the Notes held through Euroclear or Clearstream,
Luxembourg to purchasers of Book-Entry Interests in the Notes held through Euroclear or Clearstream,
Luxembourg will be conducted in accordance with the normal rules and operating procedures of
Euroclear and Clearstream, Luxembourg and will be settled using the procedures applicable to
conventional Eurobonds.
Trading between DTC Participants
Secondary market sales of Book-Entry Interests in the Notes between DTC participants will occur in the
ordinary way in accordance with DTC rules and will be settled using the procedures applicable to United
States corporate debt obligations in DTC's Same-Day Funds Settlement system in same-day funds, if
payment is effected in U.S. Dollars, or free of payment, if payment is not effected in U.S. Dollars. Where
payment is not effected in U.S. Dollars, separate payment arrangements outside DTC are required to be
made between the DTC participants.
Trading between DTC Seller and Euroclear/Clearstream, Luxembourg Purchaser
When Book-Entry Interests in Notes are to be transferred from the account of a DTC participant holding
a beneficial interest in a Rule 144A Global Note to the account of a Euroclear or Clearstream,
Luxembourg account holder wishing to purchase a beneficial interest in a Regulation S Global Note
(subject to the certification procedures provided in the Agency Agreement), the DTC participant will
deliver instructions for delivery the relevant Euroclear or Clearstream, Luxembourg account holder to
DTC by 12:00 p.m., New York time, on the settlement date. Separate payment arrangements are
required to be made between the DTC participant and the relevant Euroclear or Clearstream,
Luxembourg account holder. On the settlement date, the custodian of the Rule 144A Global Note will
instruct the Registrar to (i) decrease the amount of Notes registered in the name of the nominee of DTC
and evidenced by the Rule 144A Global Note and (ii) increase the amount of Notes registered in the
name of the nominee of the common depositary for Euroclear and Clearstream, Luxembourg and
evidenced by the Regulation S Global Note. Book-Entry Interests will be delivered free of payment to
Euroclear or Clearstream, Luxembourg, as the case may be, for credit to the relevant account holder on
the first Business Day following the settlement date.
Trading between Euroclear/Clearstream, Luxembourg Seller and DTC Purchaser
When Book-Entry Interests in the Notes are to be transferred from the account of a Euroclear or
Clearstream, Luxembourg account holder holding a beneficial interest in a Regulation S Global Note to
the account of a DTC participant wishing to purchase a beneficial interest in the Rule 144A Global Note
(subject to the certification procedures provided in the Agency Agreement), the Euroclear or
Clearstream, Luxembourg participant must send to Euroclear or Clearstream, Luxembourg delivery free
of payment instructions by 7:45 p.m., Brussels or Luxembourg time, one Business Day prior to the
settlement date. Euroclear or Clearstream, Luxembourg, as the case may be, will in turn transmit
appropriate instructions to the common depositary for Euroclear and Clearstream, Luxembourg and the
Registrar to arrange delivery to the DTC participant on the settlement date. Separate payment
arrangements are required to be made between the DTC participant and the relevant Euroclear or
Clearstream, Luxembourg account holder. On the settlement date, the common depositary for Euroclear
and Clearstream, Luxembourg will (a) transmit appropriate instructions to the custodian of the
Rule 144A Global Note who will in turn deliver such Book-Entry Interests in the Notes free of payment to
the relevant account of the DTC participant and (b) instruct the Registrar to (i) decrease the amount of
Notes registered in the name of the nominee of the common depositary for Euroclear and Clearstream,
Luxembourg and evidenced by the Regulation S Global Note and (ii) increase the amount of Notes
registered in the name of the nominee of DTC and evidenced by the Rule 144A Global Note.
Although DTC, Euroclear and Clearstream, Luxembourg have agreed to the foregoing procedures in
order to facilitate transfers of beneficial interests in Global Notes among participants and account
holders of DTC, Euroclear and Clearstream, Luxembourg, they are under no obligation to perform or to
continue to perform such procedures, and such procedures may be discontinued at any time. None of
the Issuer, the Trustee or any Agent will have any responsibility for the performance by DTC, Euroclear
or Clearstream, Luxembourg or their respective Direct Participants or Indirect Participants of their
respective obligations under the rules and procedures governing their operations.
Pre-issue Trades Settlement
It is expected that delivery of Notes will be made against payment therefor on the Closing Date thereof,
which could be more than three Business Days following the date of pricing. Under Rule 15c6-1 of the
U.S. Securities and Exchange Commission under the Exchange Act, trades in the United States
secondary market generally are required to settle within three Business Days, unless the parties to any
such trade expressly agree otherwise. Accordingly, purchasers who wish to trade Notes in the United
States on the date of pricing or the next succeeding Business Days until three days prior to the relevant
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Closing Date will be required, by virtue of the fact the Notes initially will settle beyond such three
Business Day period, to specify an alternate settlement cycle at the time of any such trade to prevent a
failed settlement. Settlement procedures in other countries will vary. Purchasers of Notes may be
affected by such local settlement practices and purchasers of Notes who wish to trade Notes between
the date of pricing and the relevant Closing Date should consult their own adviser.
Definitive Notes
The Global Notes are exchangeable in whole but not in part for Definitive Notes in definitive form if and
only if Euroclear or Clearstream, Luxembourg (or any alternative clearing system on behalf of which the
Global Notes may be held) is closed for business for a continuous period of 14 days or more (other than
by reason of holidays, statutory or otherwise) or announces an intention permanently to cease business
or does in fact do so.
A person having an interest in a Rule 144A Global Note must provide the Registrar with a fully
completed, signed certification substantially to the effect that such person is not transferring its interest
at the time of such exchange or, in the case of a simultaneous sale pursuant to Rule 144A, a
certification that the transfer is being made in compliance with the provisions of Rule 144A.
Definitive Notes issued in exchange for interests in a Rule 144A Global Note representing beneficial
interests in a Rule 144A Global Note will bear the legends as set out in the section of this Offering
Circular headed "Transfer Restrictions". Definitive Notes issued in exchange for interests in a
Regulation S Global Note will bear the legends as set out in the section of this Offering Circular headed
"Transfer Restrictions".
5. Currency of Payments in respect of the Rule 144A Global Notes
Subject to the following paragraph, while interests in the Rule 144A Global Notes are held by a nominee
for DTC, all payments in respect of such Rule 144A Global Notes will be made in U.S. Dollars. As
determined by the Exchange Agent under the terms of the Agency Agreement, the amount of
U.S. Dollars payable in respect of any particular payment under the Rule 144A Global Notes will be
equal to the amount of Euro otherwise payable exchanged into U.S. Dollars at the Euro/U.S. Dollar rate
of exchange prevailing as at 12.00 p.m. on the Business Day prior to the relevant Payment Date, less
any costs incurred by the Exchange Agent for such conversion (to be shared pro rata among the holders
of the Rule 144A Global Notes accepting U.S. Dollar payments in proportion to their respective
holdings), all as set out in more detail in the Agency Agreement.
Notwithstanding the above, the holder of an interest through DTC in a Rule 144A Global Note may make
application to DTC to have a payment or payments under such Rule 144A Global Note made in Euro by
notifying the DTC Participant through which its Book-Entry Interest in the Note is held on or prior to the
tenth Business Day prior to the date of such payment of (a) such investor's election to receive payment
in Euro and (b) wire transfer instructions to an account entitled to receive the relevant payment. Such
DTC participant must notify DTC of such election and wire transfer instructions on or prior to the third
New York Business Day after the "Record Date" (being, in the case of payments only, the fifteenth day
prior to the due date for such payment) for any payment of interest and on or prior to the twelfth New
York Business Day prior to the payment of principal. DTC will notify the Registrar of such election and
wire transfer instructions on or prior to the fifth New York Business Day after the Record Date for any
payment of interest and on or prior to the tenth New York Business Day prior to the payment of principal.
If complete instructions are received by the DTC participant and forwarded by the DTC participant to
DTC and by DTC to the Registrar on or prior to such date, such investor will receive payments in Euro,
otherwise only U.S. Dollar payments will be made by the Registrar or the Principal Paying Agent. All
costs of such payment by wire transfer will be borne by holders of Book-Entry Interests receiving such
payments by deduction from such payments.
In this paragraph 5, "New York Business Day" means any day on which commercial banks and foreign
exchange markets settle payments in New York City.
6. General
The Issuer will not impose any fees in respect of the Notes; however, holders of Book-Entry Interests in
the Notes may incur fees normally payable in respect of the maintenance and operation of accounts in
Euroclear and Clearstream, Luxembourg.
Although the foregoing sets out a general summary of the procedures of Euroclear and Clearstream,
Luxembourg, in order to facilitate the transfers of interests in the Global Notes among participants of
Euroclear and Clearstream, Luxembourg, none of Euroclear or Clearstream, Luxembourg, are under
any obligation to perform or continue to perform such procedures, and such procedures may be
discontinued at any time.
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None of the Issuer nor the Trustee nor any of their agents will have any responsibility or liability for the
performance by Euroclear or Clearstream, Luxembourg, or their respective account holders, of their
respective obligations under the rules and procedures governing their operations.
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RATINGS OF THE NOTES
It is a condition of the issue and sale of the VF-1 Notes that the VF-1 Notes be issued with a rating of at least
"AAA" from S&P and "Aaa" from Moody's.
It is a condition of the issue and sale of the Specified Notes that the Specified Notes (except for the Class E
Subordinated Notes) be issued with at least the following ratings: the Class A-1 Notes: "AAA" from S&P and
"Aaa" from Moody's, the Class B-1 Notes: "AA" from S&P and "Aa2" from Moody's, the Class C-1 Notes: "A"
from S&P and "A2" from Moody's and the Class D-1 Notes: “BBB” from S&P and “Baa2” from Moody’s. The
Class E Subordinated Notes being offered hereby will not be rated.
The Ratings assigned to the VF-1 Notes and the Class A-1 Notes address the timely payment of interest and the
ultimate repayment of principal. The ratings assigned to the Class B-1 Notes, Class C-1 Notes and Class D-1
Notes address the ultimate payment of interest and the ultimate repayment of principal. None of the ratings
address the ability of the Issuer to pay any breakage costs or other amount with respect to the Specified Notes.
A security Rating is not a recommendation to buy, sell or hold securities and may be subject to revision,
suspension or withdrawal at any time by S&P or, as the case may be, Moody's.
The Ratings have been assigned on the basis of over-collateralisation being maintained in accordance with the
Market Valuation Manual.
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DESCRIPTION OF THE ISSUER
1. General
The Issuer is a private company with limited liability (besloten vennootschap met beperkte aansprakelijkheid)
incorporated under the laws of The Netherlands on 9 January 2006 having its corporate seat in Amsterdam and
its registered office at Parnassustoren, Locatellikade 1, 1076 AZ Amsterdam, The Netherlands (telephone: +31
20 575 5694). The Issuer is registered in the commercial register of the Chamber of Commerce and Industries
for Amsterdam under number 34240063.
2. Corporate Purpose of the Issuer
The current Articles of Association (the “Articles”) of the Issuer dated 9 January 2006 provide under Article 2 that
the objects of the Issuer are:
(a)
(b)
(c)
(d)
to raise funds through, inter alia, borrowing under loan agreements, the issuance of bonds, notes and
other evidences of indebtedness, the use of financial derivatives or otherwise and to invest and put out
funds obtained by the Issuer in, inter alia, (interests in) loans, bonds, debt instruments and other
evidences of indebtedness, shares, warrants and other similar securities and also financial derivatives;
to grant security for the Issuer’s obligations and debts;
to enter into agreements, including, but not limited to, financial derivatives such as interest and/or
currency exchange agreements, in connection with the objects mentioned under (a) and (b);
to enter into agreements, including, but not limited to, bank, securities and cash administration
agreements, asset management agreements and agreements creating security in connection with the
objects mentioned under (a), (b) and (c) above.
3. Business Activity
The Issuer has not previously carried on any business or activities other than those incidental to its incorporation,
the acquisition of the Portfolio, the authorisation and issue of the Notes and activities incidental to the exercise of
its rights and compliance with its obligations under the Transaction Documents and the other documents and
agreements entered into in connection with the issue of the Notes and the purchase of the Portfolio. The Issuer
was incorporated as a special purpose vehicle whose purpose is to issue asset backed securities.
4. Management
The current managing directors (the “Managing Directors”) are:
Name Occupation Business Address
Mr H.P.C. Mourits
Risk Controller of the Financial
Services division of TMF Group
Mrs Th. F.C. Wijnen Managing Director of TMF
Structured Finance Services
Locatellikade 1, 1076 AZ
Amsterdam
Locatellikade 1, 1076 AZ
Amsterdam
Mrs M. Chr. van der Sluijs-Plantz CEO of the TMF Group Locatellikade 1, 1076 AZ
Amsterdam
Pursuant to a management agreement (the “Management Agreement”), the Managing Directors will provide
management, corporate and administrative services to the Issuer. The Issuer may terminate the Management
Agreement by giving not less than 60 days’ written notice. The Managing Directors may retire from their
obligations pursuant to the Management Agreement by giving at least two months’ notice in writing to the Issuer.
Upon or prior to the termination of the Management Agreement, successor managing directors will be appointed
to provide management, corporate and administrative services to the Issuer.
5. Managing Directors’ Experience
Mrs Thérèse F.C. Wijnen
Mrs Wijnen started her career as an accountant at ABN AMRO Bank N.V, after which she joined the legal
department of Credit Lyonnais Bank N.V. (currently Fortis Bank Nederland N.V.) as a lawyer. In such position
she advised the bank in various matters such as (cross border) leases, Structured Finance Transactions and
corporate banking activities. In 1999, Mrs Wijnen joined the TMF group where she became managing director of
TMF Structured Finance Services. This department specialises in the management, administration and
ownership of special purpose vehicles related to asset securitisation and other secured finance transactions in
many European jurisdictions. Mrs Wijnen holds a degree in law from the University of Amsterdam as well as a
degree in business administration from the Business School of Amsterdam
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Mrs Maria Chr. van der Sluijs Plantz
Mrs van der Sluijs Plantz is the CEO of the TMF group, a leading independent financial services group which
provides a wide range of services to a diversified client base. The TMF group has 44 offices in 33 countries and
has approximately 1200 employees. Before joining the TMF group Mrs van der Sluijs Plantz was the Managing
Director and legal counsel of a listed real estate and development company in Amsterdam. Mrs van der Sluijs
Plantz holds a degree in Dutch language and literature and Dutch law.
Mr. Huub P.C. Mourits:
Mr Mourits joined the TMF Group in 2001 as (risk) controller of the Financial Services division. In said capacity
Mr. Mourits has implemented risk control mechanisms and guidelines in various areas, including operational risk
control tools for securitisation transactions and CDO's in particular. Mr Mourits also manages the accounting
department of TMF's structured finance services' department. Before joining TMF Mr. Mourits was employed as a
risk controller at NIB Capital N.V. Mr. Mourits holds a degree in Economics and Business Administration.
6. Capital and Shares
The Issuer’s issued share capital is €20,000, which is fully paid up and divided into 20 shares with a nominal
value of €1,000 each.
7. Holding Structure
The entire issued share capital of the Issuer is owned by Stichting Rockall CLO, a foundation (stichting)
established under the laws of The Netherlands having its registered office at Parnassustoren, Locatellikade 1,
1076 AZ Amsterdam, The Netherlands (the “Foundation”).
None of the Collateral Manager, the Collateral Administrator, the Trustee or any company affiliated with any of
them, directly or indirectly, owns any of the share capital of the Issuer. TMF Management B.V. is the sole
director of the Foundation.
8. Subsidiaries
The Issuer has no subsidiaries.
9. Administrative Expenses of the Issuer
The Issuer is expected to incur certain Administrative Expenses (as defined in Condition 1 (Definitions) of the
Conditions).
10. Financial Statements
The Issuer has not prepared any audited financial statements prior to the Closing Date. The first financial year of
the Issuer will end on 31 December 2006. The first financial statements of the Issuer will be in respect of the
period from incorporation to 31 December 2006. Audited financial statements will be prepared by the Issuer on
an annual basis (financial year ending is 31 December) commencing with the financial year ending on 31
December 2006.
11. Auditors
PricewaterhouseCoopers Accountants N.V., chartered accountants of Thomas R. Malthusstraat 5, 1066 JR
Amsterdam, The Netherlands have been appointed as the initial auditors of the Issuer.
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DESCRIPTION OF THE COLLATERAL MANAGER
The information appearing in this section has been prepared by the Collateral Manager and has not been
independently verified by the Issuer, the Placement Agent or any other party. None of the Issuer, the Placement
Agent or any other party other than the Collateral Manager assumes any responsibility for the accuracy or
completeness of such information.
The Collateral Manager
Babson Capital Europe Limited, an indirect subsidiary of Babson Capital Management LLC. (“Babson Capital”),
will act as the Collateral Manager (the “Collateral Manager”). The Collateral Manager was incorporated in
England and Wales on 4 January 1995 and its registered address is Almack House, 28 King Street, London
SW1Y 6XA. The Collateral Manager is authorised and regulated by the Financial Services Authority inter alia to
manage investments for non private customers.
In May 2004, Babson Capital acquired Babson Capital Europe from Duke Street Capital group (“DSC”). On
September 30th 2004, Babson Capital Europe changed its name from Duke Street Capital Debt Management
Limited (“DSCDM”).
Babson Capital is an investment management firm that was founded in 1940 and is registered with the Securities
and Exchange Commission (“SEC”) as an investment adviser and is based in Cambridge and Springfield,
Massachusetts. Babson Capital is an indirect majority owned subsidiary of Massachusetts Mutual Life Insurance
Company (“MassMutual”). Babson Capital manages over $90 billion, primarily for institutional investors and high
net worth individuals and offers a wide range of equity, fixed income and alternative investment products.
Babson Capital also manages money for institutional and retail investors through subsidiary relationships with
several mutual funds. Babson Capital is the Collateral Manager to MassMutual’s General Investment Account
(“GIA”).
In its capacity as Collateral Manager, Babson Capital Europe will offer asset selection and portfolio management
services to the Issuer. Babson Capital Europe also acts as Collateral Manager for five other managed cashflow
arbitrage CLOs: Duchess I CDO S.A., (€1bn), Duchess II CDO S.A., (€550m), Duchess III CDO S.A., (€450m),
Duchess IV CLO B.V. (€525m) and Duchess V CLO B.V. (€500m). In addition it acts as Manager for Almack
Mezzanine I LP.
Investment Policy
Babson Capital Europe will manage the investment of the proceeds from the Notes. The eligible collateral
consists of debt securities issued or borrowed in leveraged transactions predominantly by UK and continental
European companies and to a limited extent the United States of America. The focus will be on senior secured
loans complemented by mezzanine or subordinated loans and other debt securities issued by companies with
strong operations and solid capital structures.
Investment Approval Procedure
Investment decisions will be made by the Credit Committee, consisting of Roger Crandall, Ian Hazelton, David
Wilmot, Zak Summerscale, Leona Campbell and Martin Horne. The quorum will be three with a provision to
name one alternate if required. The Credit Committee will monitor credit, liquidity, currency and interest rate risk
and compliance with the terms of the Security Trust Deed and Collateral Management Agreement. In addition,
the Credit Committee will determine the Collateral Manager’s investment strategy on behalf of the Issuer and
review the Portfolio on a quarterly basis. In practice, all members of the Collateral Manager’s team will be
encouraged to contribute their views to the matters considered by the Credit Committee in order to ensure that
the experience of all members of staff is included where relevant.
New investment opportunities will be subject to appraisal in two contexts:
●
●
First, the suitability of the proposed new investment in terms of the Portfolio, i.e. with reference to the
required diversity score and weighted average rating, to currency and interest rate risk and to issuer and
country concentration rules, etc.
Second, to the cash flow and credit worthiness of the proposed obligor, taking into account both
financial and commercial risks, industry and economic factors and strategic and financial structuring
considerations.
In addition, any asset sales will be subject to the review of the Credit Committee, taking into account the rationale
for any sale and relative value considerations.
Where the Collateral Manager, on behalf of the Issuer, is making an investment in the private debt markets, it will
usually make use of reports from specialist advisers who performed due diligence on, for example, the historic
and forecast financial performance of the proposed borrower, tax, pension and legal issues. The Collateral
Manager will perform, inter alia, a detailed commercial assessment of the borrower, cash flow modelling and
stress testing, industry and economic reviews, management meetings and site visits (where practical and
necessary).
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There may be circumstances where debt investments are split between existing funds or transferred in whole or
in part between funds. This may enable the funds managed by Babson Capital Europe to benefit from sufficiently
large participations to maximise arrangement fees or meet the funds diversity/size requirements. No such
transactions will be made unless the Collateral Manager believes they are in the best interests of the funds
involved. If appropriate, third party or market valuations would be taken to validate transfer values.
Collateral Manager Team
Investment Team
Ian Hazelton Chief Executive of Babson Capital Europe, started the business in 2000 joining from Royal Bank of
Scotland Leveraged Finance. Ian was a leading player in setting up and building the Royal Bank’s specialist
acquisition finance business from a standing start in 1993 to its current market leading position. As the business
grew strongly in the mid to late 1990’s he was responsible for managing UK senior leveraged loan origination and
credit control activities becoming Managing Director, Leveraged Finance in 1999. In this role he added
responsibility for mezzanine as well as senior loan products for UK and Continental European leveraged
transactions. Prior to joining the RBS, Ian spent eight years at 3i engaged in private equity investment. He
qualified as an ACA with Deloitte Haskins & Sells in 1979 (FCA in 1991. He also spent five years in the
engineering industry before joining 3i. Ian is responsible for the overall management of Babson Capital Europe
and the Duchess Funds. Ian serves as Chairman of the Babson Capital Europe Credit Committee and the
Mezzanine Credit Committee.
Roger W. Crandall, Chairman of Babson Capital Management LLC, joined the firm in 1988 and has held several
leadership positions including Head of Corporate Bond Management, Public Bond Trading and Institutional Fixed
Income. In this position, Roger oversaw all corporate credit related investments, including public and private
bonds, bank loans, European bank loans, mezzanine and private equity investments, and structured credit
products. With over 17 years of experience, Roger is responsible for creating many innovative investment
products, which have driven a significant part of the organization’s growth. Roger also serves as Executive Vice
President and Chief Investment Officer of Massachusetts Mutual Life Insurance Company. He holds a B.A. in
economics from the University of Vermont, an M.B.A. from the University of Pennsylvania’s Wharton School of
Business, and he is a member of the CFA Institute.
David Wilmot, Managing Director, Senior and Mezzanine Loans, joined Babson Capital Europe in November
2000 from Société Générale (“SG”) where he was head of the UK Leveraged Finance team. David made a major
contribution to SG’s development into a leading arranger of senior and mezzanine debt in the European market
He has extensive experience in European leveraged debt origination, negotiation and execution as well as
portfolio control. He is an Associate of the Chartered Institute of Bankers and holds a BSc (Hons) in Banking and
Finance from Loughborough University and a MBA from City University Business School. David is responsible
for deal origination and credit control. David is a member of the Babson Capital Europe Credit Committee and
the Mezzanine Credit Committee.
Zak Summerscale, Managing Director, joined in 2001 from New Flag Asset Management where he was Portfolio
Manager for a European High Yield Fund. The fund was short-listed by Global Investor Magazine for Investment
Excellence in High Yield for 2000, with the fund outperforming the Merrill Lynch European High Yield Index
(HP00) by over 1100 bps in 2000. Prior to New Flag, Zak worked for the United Bank of Kuwait (UBK). He joined
UBK as a Distressed Debt Analyst, rising to Senior Portfolio Manager in charge of both the US and European
High Yield Funds with a market value in excess of $500 million. He qualified as an ACA with Ernst and Young in
1996. Zak heads up portfolio management for all the Duchess funds, being responsible for the trading of senior
and mezzanine loans and high yield bond securities, and is also a member of Babson Capital Europe Credit
Committee.
Adam Eifion-Jones, Managing Director, joined Babson Capital Europe in 2005 from the Royal Bank of Scotland
("RBS") where he worked in the Leveraged Finance business since 1994. Adam played a key role in the
successful growth and development of this business, leading teams in the structuring and arranging of senior and
mezzanine debt in addition to credit and portfolio management responsibilities. Most recently, since the beginning
of 2002, Adam was Managing Director of the mid market Corporate and Structured Finance business within RBS,
successfully developing and managing the mid market book with responsibility for origination, execution and
portfolio control. Adam holds a BSc (Hons) in Finance and Economics and joined Babson Capital Europe to
assist with the launch and development of the mezzanine business across the UK and Continental Europe.
Adam is also a member of the Babson Capital Europe Mezzanine Credit Committee.
Oliver Burgel, Managing Director, joined in 2000 from London Business School where he worked on private
equity and leveraged finance research. Prior to joining London Business School, Oliver worked as Research
Fellow at the Centre for European Economic Research in Mannheim, Germany. Oliver holds an MSc (Econ) from
the London School of Economics and a Ph.D. from the University of Warwick. At Babson Capital Europe, Oliver
is responsible for launching new funds, including fundraising, structuring and financial risk modelling. In addition,
Oliver is analysing and transacting new investment opportunities.
Leona Campbell, Director, joined in 2001 from Bank of Scotland Structured Finance where she spent her last
three years working on medium to large leveraged buyouts in the UK and Europe. Leona qualified as a CA in
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1998 with Bank of Scotland and holds a BA Hons. in Accountancy and Finance degree from Heriot-Watt
University. Leona is responsible for sourcing, analysing and transacting new senior debt and mezzanine
investment opportunities. She is also a member of the Babson Capital Europe Credit Committee.
David Hirschmann, Director, joined in May 2002 from UBS Warburg where he spent eighteen months working in
the investment banking division focusing on financial sponsors coverage and fundraising. Prior to joining UBS
Warburg David spent fifteen months at ABN Amro in Paris, as a credit analyst working on structured and
leveraged finance deals. David holds an Economic and Finance degree from HEC, the French premier business
school. David's responsibilities include analysing and transacting new investment opportunities primarily for
Babson Capital Europe’s mezzanine fund.
Martin Horne, Director, joined in 2002 from Dresdner Kleinwort Wasserstein where he was a Vice President in
the European Leverage Team that focused on lead arranging and underwriting senior, mezzanine and high yield
debt facilities for financial sponsor driven Leverage Buyouts throughout Europe. Prior to that Martin spent 3 years
with both KPMG Corporate Finance and National Westminster Bank. Martin is responsible for originating and
executing deals from both the primary and secondary market. Martin is also a member of the Babson Capital
Europe Credit Committee.
Stuart Mathieson, Director, joined in May 2002 from PricewaterhouseCoopers where he was as an executive in
their Lender Services division in London, working on a number of insolvency cases and lending reviews. Stuart
graduated with a BSc in Chemistry from Keble College, Oxford in 1998 and qualified as an ACA with
PricewaterhouseCoopers in 2001. Stuart’s responsibilities include analysing and transacting new investment
opportunities as well as working alongside Zak Summerscale on portfolio management, trading and the analysis
and ongoing monitoring of loan and high yield debt securities.
Mark Wilton, Director, joined Babson Capital Europe in 2005 from the Royal Bank of Scotland (RBS) where he
worked in the Corporate & Structured Finance (CSF) business since January 2002. During his time at RBS, Mark
was influential in the successful growth of the London CSF team, which more than doubled its income within this
period. Mark led a number of high profile transactions, structuring and arranging both senior debt and mezzanine
finance in support of private equity sponsored deals. Prior to RBS, Mark spent 5 years working as a corporate
finance adviser for both Catalyst Corporate Finance, an independent boutique and PricewaterhouseCoopers
(PwC). Mark qualified as an ACA in 1996 at PwC and holds a BSc(Hons) in Management Sciences from
Loughborough University. Mark has joined Babson to work on the development of the mezzanine business.
Eva Kaijser, Associate Director, joined in September 2005 from CIBC World Markets where she worked in their
European Leveraged Finance division in London. Prior to joining CIBC Eva spent five years at ABN Amro in
Amsterdam and London, originating and executing transactions in their loan syndication and leveraged finance
departments. Eva holds a Masters degree in Business Economics from Maastricht University, The Netherlands.
Eva's responsibilities include analysing and transacting new investment opportunities for Babson Capital Europe.
Rebecca Sheppard, Associate Director, joined in May 2006 from Barclays Capital where she spent two years
working in their Leveraged Finance Origination team in London covering transactions across Europe. Prior to
joining Barclays, Rebecca spent 5 years with Deloitte where she qualified as a Chartered Accountant, working in
their Financial Services and Private Equity Transaction Services teams. During her time at Deloitte, Rebecca was
seconded to ICG where she was involved in raising their 2003 Mezzanine Fund. Rebecca holds an Economics
degree from Durham University. Her current responsibilities include analysing and transacting new investment
opportunities for Babson Capital Europe.
Robert Faulkner, Investment Executive, joined in 2001 from Century Life, where he worked in Investment
Administration. Prior to Century Life, he spent two years at Barclays as a Corporate Services Assistant within an
Asset Securitisation team. Since joining Babson Capital Europe, Robert has worked as a Finance Assistant
within the Fund Monitoring team, and more recently as a Portfolio Executive within the Portfolio Monitoring team.
Here he gained excellent experience and working knowledge of the leveraged loan environment, and was
responsible for the performance analysis of individual portfolio assets. Robert’s responsibilities include analysing
and transacting new investment opportunities.
Ben Greene, Investment Executive, joined in February 2006 from Deloitte where he worked in the Quantitative
Risk Consulting group within the Financial Services Advisory division. Within this group Ben carried out a range
of projects around the management and monitoring of market and credit risk within banks and corporate
treasuries, as well as performing specialist derivative valuation and accounting work. Ben graduated with an MA
Cantab in Economics from the University of Cambridge, and qualified as an ACA with Deloitte in 2003. Ben also
obtained the Securities & Investment Institute Diploma in 2005. Ben’s responsibilities include assisting with
structuring and financial risk modelling for new funds, as well as analysing and transacting new investment
opportunities.
Jerome Renck, Investment Executive, joined in 2005 from CapVest Limited, a London based Private Equity firm,
where he focused on mid-market LBO deals across the UK and continental Europe. Prior to joining CapVest,
Jerome worked with Change Capital Partners as an intern focusing on European retail sector LBO deals and also
spent two years as a trader with Paris based hedge fund Unit Finance Conseil. Jerome holds a B.S. in
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International Business from Northeastern University in Boston and ESC Reims and an M.B.A. from HEC Paris.
Jerome’s responsibilities include analysing and transacting new mezzanine investment opportunities.
Johan Rozali-Wathooth, Investment Executive, joined in November 2004 from Ernst & Young LLP London,
where he worked in the Corporate Restructuring division from June 2002 to August 2004. Prior to his
employment with Ernst & Young, Johan served within Arthur Andersen LLP’s Global Corporate Finance division
from August 2001. Johan qualified as a chartered accountant in October 2004 under the Institute of Chartered
Accountants in England & Wales. Johan holds a BSc Economics from the London School of Economics, where
he attended as a British Commonwealth Chevening Scholar. Johan’s responsibilities include analysing and
transacting new investment opportunities. Johan is also Secretary to the Babson Capital Europe Credit
Committee.
James Wallis, Investment Executive, joined in April 2005 from the economic consulting department within
Deloitte’s specialised finance practice, where he advised a large number of public and private sector clients on a
range of projects requiring specialist economic and financial input. James graduated with a BSc (Hons) in
Industrial Economics from the University of Warwick, and qualified as a chartered accountant in 2004. James’
responsibilities include analysing and transacting new investment opportunities.
Kristin Dahlstrom, Analyst, joined in March 2006 from CIBC World Markets, where she worked as an analyst for
their European Leveraged Finance division, assisting with the origination and execution of European leveraged
debt financings. Whilst also at CIBC she gained bond sales and origination experience when working in their
debt capital markets division. Kristin graduated from Royal Holloway University of London obtaining a first class
honours degree in Management with Japanese. Her responsibilities at Babson Capital Europe include analysing
and transacting new investment opportunities.
Stacy Hodgett, Associate Director, joined Duke Street Capital in 2000 serving as the Fund Financial Controller
for Duke Street Capital’s private equity funds where she gained experience reviewing valuation and performance
analyses of portfolio companies before transferring to Babson Capital Europe in August 2001. Prior to joining
Duke Street she worked for KPMG's London and Houston offices managing audits of various financial institutions
including fund managers, stockbrokers, retail banks, mortgage banks, and insurance companies. Stacy holds a
Bachelors and Masters degrees in Professional Accounting from the University of Texas. She qualified as a CPA
in 1995. Stacy is in charge of monitoring the ongoing performance of individual portfolio assets and the collation
of portfolio information for Babson Capital Europe’s Management.
Sharon Lehnert, Portfolio Executive joined Babson Capital Europe in January 2006 from Scotia Capital, where
she was an Associate to their Private Equity Sponsor Group. There she gained an understanding of financial
sponsor driven LBOs in Europe by assisting the deal team in credit analysis and performing regular portfolio
monitoring. Prior to this, Sharon worked for two years at the Royal Bank of Canada in Vancouver as a Business
Banking Account Manager for SMEs. During this time she was also involved in credit writing for commercial
clients and managed a Visa card campaign across Vancouver. Sharon graduated with a Bachelor of Business
Administration (Accounting and Marketing) in 2002 from Simon Fraser University, Vancouver. Her primary
responsibility at Babson Capital Europe is to monitor and assess the performance of individual portfolio assets.
Financial Control
Andrew Wilson, Fund Financial Controller, joined Babson Capital Europe in July 2004 after serving four and a
half years as Fund Accountant for Duke Street Capital Private Equity. Whilst at Duke Street Andrew was
responsible for all aspects of equity fund administration and reporting, performance measurement, taxation and
compliance monitoring and investor queries for five private equity funds with over €1.5bn funds under
management. Prior to joining Duke Street, Andrew spent two years at Legal and General Ventures as Fund
Administrator reporting to the Financial Controller. Andrew brings experience of administration of leveraged deal
structures as well as equity instruments. He holds a BA Hons in Economics. Andrew is responsible for collateral
administration and liquidity management. His role includes overseeing the fund control team and cash flow
modelling to forecast liquidity and optimize investor returns.
Martin Schnaier, Mezzanine Fund Controller, joined in February 2006 from Advent Venture Partners LLP, where
he spent two years as their Financial Controller. Martin was responsible for accounting, investor reporting and
taxation for three institutional private equity funds with combined commitments of over £500 million (over €750m).
In addition, he was responsible for accounting, reporting and taxation for the management group and
administration of staff pensions. Prior to joining Advent, he worked for KPMG for four and a half years during
which time he qualified as an ACA in 2002. He spent three years in the financial services sector audit,
specialising in investment banking, corporate finance and private banking clients. He then spent a year and a
half in KPMG’s Private Equity Group, specialising in private equity clients. Martin's responsibilities at Babson
Capital Europe encompass all the day-to-day management and investor reporting of the Almack Mezzanine
Fund.
Edward Winkworth, Assistant Fund Financial Controller, joined in August 2001 serving as an accounts assistant
for the Duke Street Capital Group ("DSC") and moved over to Babson Capital Europe in March 2004. Whilst at
DSC Edward’s role included accounting and bookkeeping for the firm's management companies and working
with the Private Equity administration desk. Edward is now in his final year of ACCA studies hopes to become
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fully qualified in 2006. Edward's responsibilities include Duchess Fund and segregated fund reporting, as well as
Fund accounting and monitoring within the loan administration team.
George Williams, Financial Controller, joined Babson Capital Europe in October 2005 from Schroders Plc after
11 years working within the Finance team. Most recently George was Financial Controller for Schroder & Co.,
the private bank within the Schroders Group. Prior to this, George spent three years within the Financial Markets
division supporting a diverse range of Treasury and Structured Products, and three years within the Group
Finance team. George qualified as an ACMA in 1994 while working for Marsh & McLennan Inc, he also holds a
BSc (Hons) in Chemical Engineering from Aston University. George’s responsibilities at Babson Capital Europe
include financial and management reporting, regulatory compliance, and overseeing controls over the Company’s
assets and financial processes.
Shabana Akram, Finance Assistant, joined in December 2005 from State Street Bank and Trust where her
primary responsibilities included the daily preparation of the P&L and reconciliation of Futures activity. In addition
she also managed the daily cash reconciliations and several Suspense and Nostro accounts. Shabana’s
responsibilities include loan administration and reconciliations for all the Duchess funds.
Tom Cresswell, Finance Assistant, joined March 2005 from Schroders Investment Management where he was
responsible for daily reconciliation of cash activities and monthly valuations on a number of UK funds. Tom
graduated from the University of Newcastle upon Tyne with a BA hons in Economics and Accounting in 2004.
His role at Babson Capital Europe includes loan administration and reconciliations for all of the Duchess funds.
Duschanca Singh, Finance Assistant, joined Babson Capital Europe in August 2004. Prior to moving to the UK,
she worked at St George Bank Limited in Sydney, Australia where she was the Senior Loan Approvals Officer,
responsible for the day to day running of the Loans, Documentation and Reconciliations (LDR) team. Her
previous experience at St George Bank also includes five years of equity and managed fund settlements and
reconciliations. Duschanca holds a diploma of Financial Markets from the Securities Institute of Australia. Her
role at Babson Capital Europe includes loan administration and reconciliations for all of the Duchess Funds.
Chris Sawyer, Settlements, joined in September 2005 from Brunel University, London where he graduated with
a BSc in Economics and Business Finance. Whilst at Brunel he gained experience with Dexia Public Finance
Bank working on research and monitoring projects on their PFI and PPP projects and then at ICAP, a large UK
based inter-dealer broker working in their Group Finance department. Chris's primary responsibilities at Babson
Capital Europe include the settlement of debt securities and loan administration for Babson Capital Europe.
Investor Relations
Anna Jones, Investor Relations, joined in 2001 from Merrill Lynch where she was acting Head of Advertising and
Marketing for their Europe, Middle East and African region. Prior to working for Merrill Lynch, she participated in
a number of internship programmes, including Corporate Broking at Dresdner Kleinwort Benson and, whilst living
in Hong Kong, Private Equity for Dah Sing Bank and Corporate Finance for Jardine Fleming. She holds a BSc
from Leeds University. Anna’s responsibilities include investor relations, fundraising and marketing for Babson
Capital Europe.
Compliance
Desirée Hounsom, Compliance and Legal Associate, joined in April 2001 from Investec Bank where she spent
two years working in the Private Bank division focusing on property finance deals and related loan and legal
documentation. Desirée graduated with an LLB from the University of South Africa in 1995, and was admitted as
an attorney in 1998 after completing her articles. Desirée is responsible for handling legal and compliance issues
relating to Babson Capital Europe.
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DESCRIPTION OF THE COLLATERAL ADMINISTRATOR
General
ABN AMRO Bank N.V. (London Branch) is registered as an oversea company with the registry of companies for
England and Wales with company registration number FC006193 and branch number BR001029.
In the United Kingdom, ABN AMRO Bank N.V. (London Branch) has been authorised to accept deposits, is
regulated by the Financial Services Authority and is subject to its Conduct of Business Rules.
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DESCRIPTION OF THE ACCOUNTS
Establishment
The Issuer shall, prior to the Initial Closing Date (subject to the paragraphs below), establish the following
accounts with the Custodian pursuant to the Agency Agreement:
●
●
●
the Collection Account;
the Interest Custody Account; and
the Principal Custody Account.
Rating Requirement of the Custodian
The Custodian shall at all times be a financial institution which satisfies the Rating Requirement applicable
thereto, and which is not resident in or operating the Principal Custody Account from The Netherlands. In the
event that the Custodian at any time fails to satisfy the applicable Rating Requirement, the Issuer shall use
reasonable endeavours to procure that a substitute custodian acceptable to the Trustee, and which satisfies the
applicable Rating Requirement, is appointed in accordance with the provisions of the Agency Agreement.
Principal Custody Account
All proceeds of the issuance of the Notes and VF Notes, amounts received in respect of other Issuer
Indebtedness and sums received by or on behalf of the Issuer in respect of the Collateral (including, as the case
may be, any Secured Hedging Transactions) will be credited to the Principal Custody Account. All interest
accruing on the Principal Custody Account shall be credited thereto and all amounts standing to the credit of the
Principal Custody Account from time to time may be reinvested in Issuer Investments.
Interest Custody Account
The interest received from all Issuer Investments will be credited to the Interest Custody Account and all amounts
standing to the credit of the Interest Custody Account from time to time may be reinvested in Issuer Investments.
Operation of the Principal Custody Account
Subject to the Intercreditor Arrangements and the Security Documents, the Custodian on instructions (including
standing instructions) from the Collateral Manager will generally be permitted (A) to (i) invest any interest,
dividends, sale proceeds and other cash flow from the Collateral standing to the credit of the Principal Custody
Account, (ii) sell any of the Collateral and (iii) invest the net proceeds from the offering of the Notes that are held
in the Principal Custody Account and (B) to use any cash in the Principal Custody Account to (i) pay any
expenses or obligations of the Issuer, (ii) purchase Issuer Investments or other assets, (iii) make payments in
respect of Synthetic Purchase Contracts and Short-Sale Contracts or (iv) reduce the amount of any Debt of the
Issuer.
Paying Agent Account
The Issuer may also, pursuant to the Agency Agreement, establish the Paying Agent Account with the Principal
Paying Agent to which funds may be credited from time to time to facilitate payments in respect of the Notes.
Collection Account
The Issuer may also, pursuant to the Agency Agreement, establish the Collection Account with the Principal
Paying Agent.
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DESCRIPTION OF THE COLLATERAL MANAGEMENT AGREEMENT
Introduction
The Issuer has appointed Babson Capital Europe Limited to provide collateral management services pursuant to
the Collateral Management Agreement.
The Issuer has, in the Collateral Management Agreement, delegated to the Collateral Manager the discretion to
select and manage the Portfolio with reference to the Market Valuation Manual. Pursuant to the Collateral
Management Agreement, the Issuer will delegate authority to the Collateral Manager to carry out certain of its
functions in relation to the Portfolio without the requirement for specific approval by the Issuer, the Collateral
Administrator or the Trustee.
The duties of the Collateral Manager include selecting the composition of the portfolio of Issuer Investments.
The Collateral Manager is required to monitor and manage Issuer Investments with a view to seeking compliance
with the Over Collateralisation Tests. If it fails to do so by reason of acts constituting wilful misconduct or
negligence in the performance of its obligations, the Collateral Manager shall be obliged to indemnify certain
parties as more fully described in the Collateral Management Agreement.
Fees
The fee will be comprised of the following two elements:
(a)
(b)
Management Fee
The Collateral Manager will be entitled to receive compensation in the form of a management fee (the
"Management Fee") payable in arrear on each Payment Date. The Management Fee will be pro rated
for partial periods and be in an amount of 0.50 per cent. of the daily weighted average Market Value of
the Issuer Investments (excluding Cash or Cash Equivalents) during the Due Period. The Management
Fee will rank in priority to the rights of the Holders of Senior Indebtedness.
Incentive Fee
On each Payment Date in June, commencing on the Payment Date falling in June 2007 (the “Incentive
Fee Payment Date”), the Issuer shall pay the Collateral Manager an incentive fee (the "Incentive Fee")
calculated by reference to:
(I)
(II)
each Class E Subordinated Note Outstanding on the Determination Date immediately
preceding the Incentive Fee Payment Date; or
in the event that any Class E Subordinated Note is redeemed in full on a date other than an
Incentive Fee Payment Date, by reference to the date on which such Class E Subordinated
Note is so redeemed.
The Incentive Fee so referable to each Class E Subordinated Note will be an amount equal to the
product of:
(A)
(B)
up to 12.5 per cent. (at the sole discretion of the Collateral Manager); and
the positive difference, if any, between:
(a)
(b)
the Net Asset Value (as defined in the Market Valuation Manual) allocable to such
Class E Subordinated Note, in the case of (I) above, on the Determination Date
immediately preceding the relevant Incentive Fee Payment Date, or, in the case of (II)
above, the Determination Date immediately preceding the relevant Redemption Date,
or (if applicable) the Valuation Date prior to an Interim Determination Date (as defined
below), without, in either case, giving effect to any decreases in such Net Asset Value
due to the payment of Class E Additional Interest since the later of the date of
issuance of such Class E Subordinated Note and the Valuation Date following the
Incentive Fee Payment Date on which an Incentive Fee was last paid in respect
thereof; and
the product of:
(i)
[1+(Applicable EURIBOR Rate + 3%)] raised to the power of the amount
obtained by dividing the number of days between the Determination Date
immediately preceding the relevant Incentive Fee Payment Date and the
later of (aa) the date of issuance of such Class E Subordinated Note and
(bb) the Incentive Fee Payment Date on which an Incentive Fee was last
paid in respect of such Class E Subordinated Note by 365; and
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(ii)
the Net Asset Value allocable to such Class E Subordinated Note as of the
later of the date of issuance of such Class E Subordinated Note and the
Valuation Date following the Incentive Fee Payment Date on which an
Incentive Fee was last paid in respect thereof.
For the purpose of the above calculations, Applicable EURIBOR Rate means:
(i)
(ii)
for the purposes of (I) above, the average of the EURIBOR rates (day-count adjusted for each
Due Period) set at the four Interest Determination Dates preceding the Incentive Fee Payment
Date; and
for the purposes of (II) above, the average of the EURIBOR rates (day-count adjusted for each
Due Period) set at the Interest Determination Dates beginning with the Interest Determination
Date immediately prior to the last Incentive Fee Payment Date (or the Closing Date if no
Incentive Fee Payment Date has yet occurred) up to the Interest Determination Date preceding
the Redemption Date referred to in (II) above.
In the case of the date of issuance of any Class E Subordinated Notes falling between Determination
Dates, the Applicable EURIBOR Rate for the period until the next Determination Date shall be
determined by the Collateral Administrator in accordance with procedures which the Collateral Manager
determines to be in accordance with then current market practice.
Notwithstanding the above, if the Incentive Fee has to be determined on a date which is not a
Determination Date (such date, an "Interim Determination Date"), the Applicable EURIBOR Rate for
the period from the immediately preceding Determination Date to the Interim Determination Date shall
be determined by the Collateral Administrator in accordance with procedures which the Collateral
Manager determines to be in accordance with then current market practice.
For the avoidance of doubt, for the purpose of calculating the Incentive Fee, partial instalments of
Partially Paid Class E Subordinated Notes shall not be included as of their date of issuance, but as of
their respective Class E Partial Payment Date (as defined in Condition 2(i) of the Notes).
In accordance with the Intercreditor Priority of Payments, the Incentive Fee shall rank senior in right of
payment to the Class E Subordinated Notes but junior in right of payment to the entitlements of all other
Secured Creditors.
Termination and Resignation
Term and Termination Without Cause
The Collateral Management Agreement will become effective on the Initial Closing Date, will remain in effect until
the seventh Incentive Fee Payment Date following the Initial Closing Date and will automatically be renewed for
additional one year terms on and as of each anniversary of such Incentive Fee Payment Date unless it is
terminated as follows: (a) at the end of each successive one year term, upon 90 days' written notice to the
Collateral Manager pursuant to an Extraordinary Resolution of Holders of Class E Subordinated Notes or (b) by
the Collateral Manager at any time on 45 Business Days' written notice to the Issuer (or such shorter notice as is
acceptable to the Issuer), subject in either case to the appointment of a successor Collateral Manager as set out
below.
Termination for Cause
The following is a non-exhaustive list of those events in respect of which the Collateral Manager may be removed
upon ten days' prior written notice by the Issuer: (i) on the occurrence of a failure by the Collateral Manager to
comply with or perform any material agreement or obligation to be complied with or performed in accordance with
the Collateral Management Agreement and such failure (if remediable) is not remedied on or before the 30th day
after written notice of such failure is given to the Collateral Manager, (ii) if a representation made or deemed to
have been made by the Collateral Manager pursuant to the Collateral Management Agreement proves to have
been incorrect or misleading in any material respect when made or deemed to have been made, (iii) certain
events relating to consolidation or amalgamation, (iv) on the occurrence of certain bankruptcy and other
insolvency events relating to the Collateral Manager, (v) if the Collateral Manager or any of its senior executive
officers is convicted by a court of competent jurisdiction of any action that constitutes fraud whilst carrying out
their collateral management activities and (vi) the wilful violation or wilful breach by the Collateral Manager of any
provision of the Collateral Management Agreement or any provision of the Trust Deed applicable to it.
Removal for Tax Reasons
The Collateral Manager may also be removed at the option of the Issuer upon 30 days' written notice given by
the Issuer if at any time the appointment of the Collateral Manager under the Collateral Management Agreement
would cause the Issuer to be exposed to United Kingdom tax by virtue of causing the Issuer to be trading in the
United Kingdom for United Kingdom tax purposes.
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Automatic Termination of the Collateral Management Agreement
The Collateral Management Agreement will automatically terminate upon the earlier to occur of (a) the payment
in full of the VF Notes and Notes and the termination of the Security Documents in accordance with their terms
and (b) the liquidation of the Collateral and the final distribution of the proceeds of such liquidation as provided in
the Security Documents.
Substitute Collateral Manager
Notwithstanding any of the foregoing, no resignation or removal of the Collateral Manager shall be effective until
such time as a substitute Collateral Manager has accepted such appointment in writing, and that such substitute
has been approved by each applicable Rating Agency pursuant to a Rating Agency Confirmation.
Upon any such removal or resignation of the Collateral Manager while any of the Notes are Outstanding, the
Issuer shall appoint a substitute Collateral Manager which is an established institution which: (a) has
demonstrated an ability to professionally and competently perform duties similar to those falling to be performed
by the Collateral Manager and with a substantially similar (or better) level of expertise, (b) is legally qualified and
has the regulatory capacity to act as manager under the Collateral Management Agreement as successor to the
Collateral Manager in the assumption of all of the responsibilities, duties and obligations of the Collateral
Manager thereunder, (c) will perform its duties under the Collateral Management Agreement without causing
adverse tax consequences to the Issuer or any Holder of Permitted Indebtedness and (d) has received Rating
Agency Confirmation. The Issuer shall appoint any substitute Collateral Manager that satisfies the foregoing tests
and is proposed by the Holders of 50 per cent. or more in Principal Amount Outstanding of the Class E
Subordinated Notes provided that the Controlling Class Agent (at the direction of the Controlling Class) does not
reject the appointment of such substitute Collateral Manager within 30 days of such appointment and provided
further that if the Collateral Manager, any of its Affiliates or any funds in respect of which the Collateral Manager
or its Affiliates then exercise voting control, hold 50 per cent. or more in Principal Amount Outstanding of the
Class E Subordinated Notes, the Controlling Class Agent (at the direction of the Controlling Class) shall have the
right to elect a substitute Collateral Manager of its own choosing.
The Management Fee and the Incentive Fee may be adjusted at the discretion of the Issuer (pursuant to Rating
Agency Confirmation and with the consent of the Trustee, the Security Trustee and the Class E Subordinated
Noteholders acting by Extraordinary Resolution) in the event of a replacement or substitute Collateral Manager
being appointed in place of the Collateral Manager.
Delegation by the Collateral Manager
In providing services under the Collateral Management Agreement, the Collateral Manager, without the prior
consent of the Issuer, any Noteholder, the Trustee, the Security Trustee or any other person, may employ third
parties, including its Affiliates, to render advice (including investment management) and assistance and/or to
acquire Issuer Investments on behalf of the Issuer, and may direct (by notice in writing to the Issuer, the Security
Trustee and the Trustee) that a specified portion of the fees otherwise payable to the Collateral Manager be paid
to such third party in consideration of the provision of such services; provided, however, that (a) the Collateral
Manager shall not be relieved of any of its duties hereunder regardless of the performance of any services by
third parties and (b) such employment of third parties, including its Affiliates, shall be in compliance with article 41
of the Further Regulation to The Netherlands Securities Market Supervision Act 1995 (Nadere Regeling
gedragstoezicht effectenverkeer 2002).
Notes held by the Collateral Manager
Any Notes held by, for the account of or on behalf of the Collateral Manager and/or its Affiliates and/or any
partners, managing members, advisors, directors, officers or employees of the Collateral Manager or its Affiliates
at that time will have voting rights with respect to any vote (or written direction or consent) in connection with any
matters as to which Holders of Issuer Indebtedness are entitled to vote including, without limitation, the removal
of the Collateral Manager, and will be deemed to be Outstanding in connection with any such vote.
Liability of the Collateral Manager
The Collateral Manager will agree in the Collateral Management Agreement to perform its obligations under the
Collateral Management Agreement with reasonable care and, subject to the terms and conditions of the
Collateral Management Agreement, to perform its obligations thereunder in a manner consistent with practices
and procedures generally followed by prudent institutional investment advisers of international standing. The
Collateral Manager is exempted from liability arising out of or in connection with the performance of its duties
under the Collateral Management Agreement except by reason of acts or omissions of the Collateral Manager
constituting wilful misconduct, negligence or other breach of the terms of the Collateral Management Agreement.
Amendments Affecting the Collateral Manager
The Issuer has agreed in the Collateral Management Agreement that it will not permit any amendment to the
Notes, the Trust Deed, or any other Transaction Document that affects the obligation, rights or Interests of the
Collateral Manager under the Collateral Management Agreement or any other Transaction Document including,
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without limitation, the priority of any fees or other amounts payable to the Collateral Manager, to become effective
unless the Collateral Manager has been given written notice of such amendment and has consented thereto in
writing.
Liquidation of Portfolio
In the event that a Majority Senior Holder elects to rescind the acceleration of the VF Notes and the Notes
following the occurrence of an Event of Default pursuant to Condition 10 or the VF-1 Conditions but any Holder
holding a sufficient proportion of Senior Indebtedness to block the passing of an Extraordinary Resolution elects
not to rescind the acceleration of such debt and to be repaid, then the Controlling Class Agent shall (a) if the
Market Value (plus accrued interest thereon) of the Portfolio at such time is less than the Principal Amount
Outstanding of Senior Indebtedness plus accrued interest thereon, require the Collateral Manager to liquidate
such proportion of the Market Value (plus accrued interest thereon) of the Portfolio equal to the proportion of
Senior Indebtedness held by such Holder at such time and shall pay that amount to such Holder or (b) if the
Market Value (plus accrued interest thereon) of the Portfolio at such time is greater than the Principal Amount
Outstanding of Senior Indebtedness plus accrued interest thereon the Controlling Class Agent shall direct the
Collateral Manager to liquidate the assets in the Portfolio in order to repay such Holder its Principal Amount
Outstanding of Senior Indebtedness together with accrued interest thereon.
In the event that a Majority Senior Holder elects not to rescind the acceleration of the repayment of the VF Notes
and the Notes following the occurrence of an Event of Default pursuant to Condition 10 or the VF-1 Conditions
but any Holder holding a sufficient proportion of Senior Indebtedness to block the passing of an Extraordinary
Resolution elects not to accelerate, then (a) the Controlling Class Agent shall, if the Market Value (plus accrued
interest thereon) of the Portfolio at such time is less than the Principal Amount Outstanding of Senior
Indebtedness plus accrued interest thereon, use its best efforts to liquidate such proportion of the Market Value
(plus accrued interest thereon) of each asset as is equal to the proportion of Senior Indebtedness held by the
Majority Senior Holder at such time or, if no such liquidation has been completed within 10 Business Days of the
commencement thereof, use its best efforts to liquidate assets in the Portfolio in such a way as to retain the
diversification of assets present in the Portfolio prior to the commencement of such liquidation and shall pay that
amount to such Holder or (b) if the Market Value of the Portfolio at such time is greater than the Principal Amount
Outstanding of Senior Indebtedness plus accrued interest thereon, the Controlling Class Agent shall direct the
Collateral Manager to liquidate the Portfolio in its entirety and to repay all Outstanding Senior Indebtedness at its
Principal Amount Outstanding together with accrued interest thereon.
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DESCRIPTION OF THE TERMS AND CONDITIONS OF THE VF-1 NOTES
The following is a summary of the terms and conditions of the VF-1 Notes (the "VF-1 Conditions") to be issued
by the Issuer on the Initial Closing Date. This summary should not be relied upon as an exhaustive description of
the detailed provisions of such VF-1 Conditions and is qualified in its entirety by the terms of the trust instrument
constituting the VF-1 Notes to be dated the Initial Closing Date between, among others, the Issuer, the Trustee,
the Security Trustee, the VFN Registrar and the VFN Agent (such trust instrument, together with the Master Trust
Deed, being the "VF-1 Instrument"). This section of the Offering Circular sets out, among other things, a
summary of the VF-1 Conditions and the role of the VFN Agent. Capitalised terms used but not defined below
have the meanings given to them in the Trust Deed. (Copies of the VF-1 Instrument are available from the office
of the VFN Agent specified in the VF-1 Instrument).
The issue of the VF-1 Notes was authorised by resolution of the Issuer’s Board of Managing Directors of the
Issuer dated 20 June 2006.
Commitment
Pursuant to the VF-1 Conditions, each VF-1 Noteholder, from the Initial Closing Date to the VF-1 Commitment
Termination Date, severally, but not jointly, agrees to make Advances to the Issuer equal to its Percentage of the
aggregate amount of any Increase requested by the Issuer from all VF-1 Noteholders. Each VF-1 Noteholder's
VF-1 Commitment and the amount thereof, together with its Percentage, will be set forth in the VFN Register held
by the VFN Registrar. Each Advance shall be denominated in Euros or an Optional Currency. Advances shall
be maintained as Interbank Rate Advances unless the Issuer at the direction of the Collateral Manager elects for
Advances to be provided by any Conduit Noteholder to bear interest at a rate per annum equal to the applicable
Cost of Funds Rate in effect from time to time, and provided further that if such Conduit Noteholder certifies in
writing to the Issuer that it is unable to fund such Advances at the Interbank Rate such Conduit Noteholder may
fund such Advance at the applicable Cost of Funds Rate in effect from time to time. The Issuer may from time to
time borrow, prepay, repay and re-borrow Advances pursuant to the VF-1 Commitments in accordance with the
VF-1 Conditions.
Advances
The obligations of the VF-1 Noteholders to make any Advance are subject to the satisfaction of each of the
certain conditions precedent, including:
(a)
(b)
(c)
(d)
all representations and warranties set forth in each of the Security Documents being true and correct in
all material respects;
no Transaction Default having occurred and been continuing;
the aggregate amount of all Advances outstanding and Advances requested to be made not exceeding
the Maximum Amount at such time (determined after giving effect to the receipt by the Issuer of the
proceeds of the requested Advance(s) and the use by the Issuer on such date of such proceeds); and
in the previous 30 days, the VF-1 Noteholders have funded fewer than five Increases.
In respect of each Increase, the VFN Registrar shall have to have received an Increase Request from (or on
behalf of) the Issuer no later than 2.00pm (London time) not less than three Business Days preceding the date of
the requested Advances. Each of the delivery of any such Increase Request and the acceptance by the Issuer of
the proceeds or other benefits of any Advance shall constitute a representation and warranty by the Issuer that
on the date of such request for an Advance, and immediately before and after giving effect to the application of
any proceeds of any Advances requested thereby, all statements set forth in respect of the above conditions
precedent are true and correct in all material respects.
Interest
The portion of each Advance that is made by a Conduit Noteholder which is funding its participation therein,
directly or indirectly, with Commercial Paper Notes shall, if such Conduit Noteholder has certified pursuant to VF-
1 Condition 2.1.1 that it is unable to fund such Advances at the Interbank rate, bear interest at a rate per annum
equal to the applicable Cost of Funds Rate in effect from time to time plus the Applicable Margin. The portion of
each Advance that is made either by a VF-1 Noteholder that is not a Conduit Noteholder or by a Conduit
Noteholder which is not funding its participation therein with Commercial Paper Notes shall bear interest during
each VF-1 Interest Period therefor at a rate per annum equal to the relevant Interbank Rate for such VF-1
Interest Period plus the Applicable Margin.
All overdue principal and, to the extent permitted by law, overdue interest in respect of each Advance and any
other overdue amount payable under the VF-1 Conditions shall bear interest at a rate per annum equal to the
interest rate then in effect, plus 1 per cent.
Interest shall accrue from and including the date of any Increase to but excluding the date of any repayment
thereof and interest shall be payable (i) in respect of each COF Advance, on each Monthly date, (ii) in respect of
each Interbank Rate Advance, on the last day of each VF-1 Interest Period applicable thereto and (iii) in respect
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of each Advance, on any prepayment (on the amount prepaid), at maturity (whether by acceleration or otherwise)
and, after such maturity, on demand. Unless otherwise directed in writing by the Trustee and the VFN Agent to
the contrary, the Issuer shall make all payments of interest to the VFN Agent for the account of each VF-1
Noteholder.
Each Conduit Noteholder which funds Advances at the Cost of Funds Rate pursuant to VF-1 Condition 2.1.1,
shall notify the VFN Agent (and the VFN Agent shall notify the Issuer) of its applicable Cost of Funds Rate (which
may be a good faith estimate for the three Business Days prior to the Monthly Date) in effect during each
calendar month not less than three Business Days prior to the Monthly Date. At the Issuer's reasonable request,
each Conduit Noteholder will provide an explanation of the calculation of the Cost of Funds Rate. The VFN
Agent, upon determining the interest rate for any Increase of Interbank Rate Advances for any VF-1 Interest
Period, shall promptly notify the Issuer and the VF-1 Noteholders thereof.
At the time the Issuer gives an Increase Request in respect of the making of an Increase of Interbank Rate
Advances (in the case of the initial VF-1 Interest Period applicable thereto) or prior to 2:00 p.m. (London time) on
the third Business Day prior to the expiration of a VF-1 Interest Period applicable to an Increase of Interbank
Rate Advances, the Issuer shall have the right to elect by giving the VFN Agent written notice (or telephonic
notice promptly confirmed in writing) of the VF-1 Interest Period applicable to such Increase, which VF-1 Interest
Period shall, subject to the terms and conditions hereof, be coterminous with Interest Periods save for the first
VF-1 Interest Period which shall start on the date of any Increase and end on the last day of the then current
Interest Period (or such other periods, as may be agreed from time to time by the Issuer and all of the VF-1
Noteholders). If, upon the expiration of any VF-1 Interest Period, the Issuer has failed to (or may not) elect a new
VF-1 Interest Period to be applicable to the Increase of Interbank Rate Advances as provided above, the Issuer
shall be deemed to have elected a VF-1 Interest Period of equivalent duration to the then following Interest
Period.
Principal payments
Pursuant to the VF-1 Conditions, the Issuer shall make payment in full of all unpaid principal of each Advance on
the VF-1 Commitment Termination Date. Prior thereto, the Issuer may, subject to certain conditions, from time to
time on any Business Day, make a voluntary prepayment, in whole or in part, of the Principal Amount
Outstanding of any Advances made as part of any particular Increase. In addition, the Issuer shall (a) on each
date when any reduction in the Total VF-1 Commitments shall become effective, make a mandatory prepayment
of all Advances equal to the excess, if any, of the aggregate Principal Amount Outstanding of all Advances over
the Total VF-1 Commitments as so reduced, (b) make a prepayment of Advances (i) as may be required by the
Security and Intercreditor Deed and (ii) to the extent necessary to eliminate the amount, if any, by which the
Principal Amount Outstanding of Advances at such time exceeds the Total VF-1 Commitments due to a change
in applicable rates of exchange between Euros and the relevant Optional Currencies and (c) immediately upon
any acceleration of the maturity of any Advances pursuant to the Security and Intercreditor Deed and shall, as
required by the Security and Intercreditor Deed, repay all Advances.
Prepayments in respect of Advances under the VF-1 Conditions shall be made to the VF-1 Noteholders pro rata
in accordance with the VF-1 Conditions and amounts received in respect of the prepayment of such Advances by
each VF-1 Noteholder shall be applied to the prepayment of those Advances incurring the lowest breakage costs.
Fees
The Issuer agrees to pay on each Payment Date after the date of the VF-1 Instrument and on the Scheduled
Commitment Termination Date (or if (x) any principal otherwise becomes due in respect of any Advances or (y)
the Total VF-1 Commitments are reduced on a date other than the Scheduled Commitment Termination Date, on
such date), to the VFN Agent for the account of each VF-1 Noteholder for the period relating to each such
payment, a non-refundable fee in an amount equal to the product of (i) the daily average Unutilised Commitment
during the period ending on such date, (ii) the applicable VF-1 Noteholder's Percentage, (iii) the Commitment Fee
Rate applicable to each VF-1 Noteholder and (iv) the number of days in such period divided by 360, unless
otherwise specified in the relevant VF-1 Noteholder Fee Letter.
The Issuer shall pay fees to the VFN Agent in the amount and manner specified in the VFN Agent Fee Letter.
Increased Costs, Illegality etc.
At any time that any Interbank Rate Advance or COF Advance is affected by the circumstances relating to
increased costs or illegality as described in the VF-1 Conditions, the Issuer may (and in the case of an Interbank
Rate Advance or COF Advance affected by illegality, the Issuer shall) either (i) if the affected Interbank Rate
Advance or COF Advance is thereafter scheduled to be made pursuant to an Increase Request, cancel said
Increase from such VF-1 Noteholder by giving the VFN Agent telephonic notice (confirmed promptly in writing)
thereof on the same date that the Issuer was notified by a VF-1 Noteholder of the existence of such
circumstances, or (ii) if the affected Interbank Rate Advance or COF Advance is then outstanding, upon at least
three Business Days' written notice (or telephonic notice promptly confirmed in writing) to the VFN Agent, prepay
each such Interbank Rate Advance or COF Advance, as applicable.
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Replacement of VF-1 Noteholders
In the event that any VF-1 Noteholder (a) charges to the Issuer increased costs in excess of those generally
charged pursuant to accepted market practice, (b) becomes incapable pursuant to the VF-1 Conditions of making
Advances at a time when market entities which are similar to the VF-1 Noteholders are making loans similar to
such Advances, (c) becomes a Defaulting VF-1 Noteholder or (d) suffers a ratings downgrade below certain
levels, the Issuer shall have the right, if no Transaction Default then exists, to replace such VF-1 Noteholder (the
"Replaced Noteholder") with one or more other Eligible Transferee or Eligible Transferees or other Person
reasonably acceptable to the VFN Agent, none of whom shall constitute a Defaulting VF-1 Noteholder at the time
of such replacement (a "Replacement Noteholder"); provided that (i) at the time of any replacement, the
Replacement Noteholder shall enter into one or more Assignment Agreements pursuant to which the
Replacement Noteholder shall acquire all of the VF-1 Commitments and outstanding Advances of the Replaced
Noteholder and, in connection therewith, shall pay to the Replaced Noteholder in respect thereof an amount
equal to the sum of (1) the principal of, and all accrued interest on, all outstanding Advances of the Replaced
Noteholder and (2) all accrued, but theretofore unpaid, fees owing to the Replaced Noteholder pursuant to the
VF-1 Conditions, and (ii) all obligations of the Issuer hereunder owing to the Replaced Noteholder (other than
those specifically described in clause (i) above in respect of which the assignment purchase price has been, or is
concurrently being, paid) shall be paid in full by the Issuer to such Replaced Noteholder concurrently with such
replacement. Upon the execution (or deemed execution) of the respective Assignment Agreements, the payment
of amounts referred to in clauses (i) and (ii) above, the registration of the assignment on the VFN Register and, if
so requested by the Replacement Noteholder, delivery to the Replacement Noteholder of the appropriate VF-1
Notes executed by the Issuer, the Replacement Noteholder shall become a VF-1 Noteholder under the VF-1
Conditions and the Replaced Noteholder shall cease to constitute a VF-1 Noteholder, except with respect to
indemnification provisions applicable to the Replaced Noteholder under the VF-1 Conditions relating to the period
prior to the replacement, which shall survive as to such Replaced Noteholder.
Consequences of VF-1 Noteholder Ratings Downgrade
In the event that, while any VF-1 Commitment is in effect: (a) the short-term S&P issuer credit rating of any VF-1
Noteholder shall at any time be below "A-1" (or, in the case of a Conduit Noteholder, such Conduit Noteholder
does not have either (A) a short-term S&P issuer credit rating of "A-1+" or (B) a liquidity facility provider or
funding conduit acting as a committed lender whose short-term S&P issuer credit rating is at least "A-1") and
such VF-1 Noteholder's obligations are not guaranteed by entities with such ratings; or (b) the long-term Moody's
senior unsecured rating of any VF-1 Noteholder shall at any time be below "Baa1" (or, in the case of a Conduit
Noteholder, such Conduit Noteholder does not have a short-term Moody's rating of "P-1") and such VF-1
Noteholder's obligations are not guaranteed by entities with a short-term Moody's rating of "P-1" or a long-term
Moody's senior unsecured rating of at least A2, the Issuer may at its option upon at least ten Business Days'
notice to the VFN Agent and such VF-1 Noteholder, replace such VF-1 Noteholder.
Voting
Subject to the right of the Controlling Class to direct enforcement of the Transaction Documents against the
Collateral pursuant to the Intercreditor Arrangements and the subordination restrictions therein, if an Event of
Default (other than an Event of Default specified in paragraph (x) or (xi) of the definition of “Event of Default” in
the Base Conditions) occurs and is continuing all outstanding principal of the VF Notes and Notes together with
all premium and interest accrued thereon, shall be accelerated and shall be due and payable unless the VF
Noteholders and the Noteholders rescind the same pursuant to resolutions being passed at meetings of the VF
Noteholders and Noteholders, which the Controlling Class Agent shall procure are convened within 10 days of
the occurrence of such Event of Default (notwithstanding the notice of meetings provisions in the Base
Conditions or the VF-1 Conditions (if any)). If at any time there is a Majority Senior Holder, at any meeting at
which an Extraordinary Resolution is tabled, the majority of votes required to ensure that such Extraordinary
Resolution is passed shall be 90 per cent. of the aggregate Principal Amount Outstanding of the VF-1 Notes that
is (a) actually represented at such meeting and are entitled to be voted or (b) in the case of a Written Resolution,
entitled to be voted in respect of such Extraordinary Resolution.
Miscellaneous
The VF-1 Conditions include provisions for payments in respect of indemnities and other provisions dealing in the
matters commonly dealt with in loan agreements by banks in the United Kingdom.
For the purposes of this section of the Offering Circular the following terms have the following meanings:
"Advance" means a Euro Advance or an Optional Currency Advance, as the context may require.
"Applicable Margin" with respect to each VF-1 Noteholder, shall have the meaning set forth in its VF-1
Noteholder Fee Letter.
"Assignment Agreement" means the assignment and transfer agreement substantially in the form set out in
Annex 4 to the VF-1 Instrument.
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"COF Advance" means each Advance bearing interest at the applicable Conduit Noteholder's Cost of Funds
Rate.
"Commercial Paper Notes" means, in relation to a Conduit Noteholder, the commercial paper notes, medium
term notes and other rated debt securities of the Conduit Noteholder.
"Commitment Fee Rate" with respect to each VF-1 Noteholder, shall have the meaning set forth in its VF-1
Noteholder Fee Letter.
"Commitment Termination Event" means the earlier of (a) automatically and without notice or further action, the
occurrence of any Event of Default described in Condition 10(a)(x) (Insolvency) or (xi) (Winding-up etc.) with
respect to the Issuer or (b) the occurrence and continuation of any other Transaction Default and the declaration
of the Advances to be due and payable pursuant to clause 10.5 (Security Enforceable) of the Security and
Intercreditor Deed or, in the absence of such declaration, a direction from the Required VF-1 Noteholders to the
VFN Agent to give notice to the Registrar of the termination of the VF-1 Commitments.
"Conduit Noteholder" means a VF-1 Noteholder which has certified to the VFN Agent that it is either (i) an asset
backed commercial paper conduit or (ii) an entity which will fund its Advances hereunder by borrowing (directly or
through intermediate special purpose entities) from a specified financing conduit (in which case the term "Conduit
Noteholder" (or "VF-1 Noteholder" to the extent referring to such a Conduit Noteholder) shall be deemed to refer
collectively to such VF-1 Noteholder and its related financing conduit).
"Cost of Funds Rate" means, for any Advance during any interest period, with respect to a Conduit Noteholder
which is funding its participation in such Advance with Commercial Paper Notes, the per annum rate equivalent to
(a) the rate (calculated on the basis provided in the VF-1 Conditions) or, if more than one rate, the weighted
average thereof, paid or payable by such Conduit Noteholder from time to time as interest on or otherwise in
respect of the Commercial Paper Notes issued by such Conduit Noteholder that are allocated, in whole or in part,
by such Conduit Noteholder to fund the making or maintenance of such Advance during such interest period as
determined by such Conduit Noteholder, which rates shall reflect and give effect to (i) certain documentation and
transaction costs (including, without limitation, dealer and placement agent fees and commissions and other note
issuance costs, currency hedging and forward contracts costs and expenses, and incremental carrying costs
incurred with respect to Commercial Paper Notes maturing on dates other than those on which corresponding
funds are received by such Conduit Noteholder) associated with the issuance of such Conduit Noteholder's
Commercial Paper Notes and the funding and maintenance of Advances in the currencies required by the VF-1
Conditions, and (ii) other borrowings by such Conduit Noteholder, including borrowings to fund small or odd
amounts that are not easily accommodated in the commercial paper market, to the extent such amounts are
allocated, in whole or in part, by such Conduit Noteholder to fund such Conduit Noteholder's making or
maintenance of such Advance during such interest period; provided that if any component of such rate is a
discount rate, in calculating the applicable "Cost of Funds Rate" for such day, such Conduit Noteholder shall for
such component use the rate resulting from converting such discount rate to an interest-bearing equivalent rate
per annum.
"Defaulting VF-1 Noteholder" means any VF-1 Noteholder with respect to whom a VF-1 Noteholder Default is in
effect.
"Eligible Transferee" means and includes a commercial bank, conduit, financial institution or other institutional
"accredited investor" (as defined by Regulation D of the Securities Act).
"Euro Advance" means any sum advanced by a VF-1 Noteholder in accordance with the VF-1 Conditions and
which is denominated in Euros.
"Increase" means the Advances made by all VF-1 Noteholders on any Business Day in accordance with the VF-
1 Conditions.
"Increase Request" means a loan request and certificate duly executed by the Issuer substantially in the form of
Annex 3 to the VF-1 Instrument.
"Interbank Rate" means, in relation to any Advance to be maintained as an Interbank Rate Advance for any VF-
1 Interest Period:
(a)
(b)
the Screen Rate for such VF-1 Interest Period (determined, if necessary, by interpolating linearly
between (1) the Screen Rate for the term closest to and greater than such VF-1 Interest Period and (2)
the Screen Rate for the term closest to and less than such VF-1 Interest Period); or
(if no Screen Rate is available for the applicable VF-1 Interest Period for such Advance) the arithmetic
mean of the rates (rounded upwards to four decimal places) as supplied to the VFN Agent at its request
quoted by the Reference Banks to leading banks in the interbank market,
as of 11:00 a.m. (Brussels time) on the Quotation Day for the offering of deposits in Euros or an Optional
Currency, as applicable, for a period comparable to the VF-1 Interest Period of the relevant Advance.
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"Interbank Rate Advance" means an Advance bearing interest, at all times during the VF-1 Interest Period
applicable to such Advance, at a rate of interest determined by reference to the Interbank Rate.
"Maximum Amount" means, at any date of determination, an amount equal to (x) the Senior Advance Amount
as of such date (determined in accordance with the terms of the Trust Deed and determined after giving effect to
the application of the proceeds of any Advance(s) requested on such date) less (y) the Principal Amount
Outstanding of all Senior Indebtedness other than the VF-1 Noteholder Indebtedness as of such date.
"Monthly Date" means the last Business Day of each calendar month commencing June 2006.
“Optional Currency” means any currency which:
(i)
(ii)
is Sterling, Dollars or has been approved by the Required VF-1 Noteholders on or prior to receipt by the
VFN Registrar (copied to the VFN Agent) of the relevant Increase Request for that Advance, and
is the subject of a determination by the VFN Agent of the minimum amount (and, if required, integral
multiples) for any subsequent Increase to be provided in that currency.
"Optional Currency Advance" means any sum advanced by a VF-1 Noteholder in accordance with the VF-1
Conditions and which is denominated in an Optional Currency.
"Percentage" means, with respect to any VF-1 Noteholder, the percentage shown on Annex 5 to the VF-1
Instrument (or, in the case of any VF-1 Noteholder which becomes a VF-1 Noteholder pursuant to any
Assignment Agreement, as provided in such Assignment Agreement) and as reflected in the VFN Register from
time to time.
"Proceeding" means the making of a trust, mortgage or assignment for the benefit of creditors; the voluntary or
involuntary dissolution, winding-up, total or partial liquidation, reorganisation, bankruptcy, insolvency, receivership
or marshalling of assets or liabilities of the Issuer; or any other statutory, common law or contractual proceeding
or arrangement for the postponement or adjustment of all or a substantial part of the liabilities of the Issuer.
"Quotation Day" means, in relation to any period for which an interest rate is to be determined, two TARGET
Days before the first day of that period, unless market practice differs in the Euro-zone interbank market, in which
case the Quotation Day will be determined by the VFN Agent in accordance with market practice in the Eurozone
interbank market (and if quotations would normally be given by leading banks in the Euro-zone interbank
market on more than one day, the Quotation Day will be the last of those days).
"Required VF-1 Noteholders" means, at any time, VF-1 Noteholders having, in the aggregate, a Voting
Percentage of (i) more than 50 per cent. (if no VF-1 Noteholder holds 50% or more of the total Voting
Percentages at such time) or (ii) 90% (in the case of any VF Reserved Matter or if one VF-1 Noteholder holds
50% or more of the total Voting Percentages at such time), in the case of (i) and (ii), of the total Voting
Percentages of all the VF-1 Noteholders at such time.
"Scheduled Commitment Termination Date" means 15 June 2013.
"Screen Rate" means:
(a)
(b)
in relation to LIBOR, the British Bankers Association Interest Settlement Rate for the relevant currency
and period; and
in relation to EURIBOR, the percentage rate per annum determined by the Banking Federation of the
European Union for the relevant period,
displayed on the appropriate page of the Telerate or Reuters screen, as selected by the VFN Agent. If the
agreed page is replaced or service ceases to be available, the VFN Agent may specify another page or service
displaying the appropriate rate after consultation with the Issuer (or the Collateral Manager on the Issuer's
behalf).
"TARGET Day" means any day on which the TARGET System is open for the settlement of payments in Euro.
"Total VF-1 Commitments" means the sum of the VF-1 Commitments of each of the VF-1 Noteholders.
"Unutilised Commitment" means, at any time, the amount, if any, by which the Total VF-1 Commitments
exceeds the then aggregate Principal Amount Outstanding of Advances.
"VFN Agent Fee Letter" means the fee letter dated the date of the VF-1 Instrument from the VFN Agent and the
VF-1 Noteholders to the Issuer.
"VF-1 Commitment" means the commitment of each VF-1 Noteholder set out in Annex 5 to the VF-1 Instrument.
"VF-1 Commitment Termination Date" means the earliest of (a) the Scheduled Commitment Termination Date,
(b) the date of termination of all of the VF-1 Commitments as specified in the VF-1 Conditions and (c) the date of
occurrence of any Commitment Termination Event.
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"VF-1 Interest Period" means with respect to any Interbank Rate Advance, the interest period applicable thereto,
as determined pursuant to the VF-1 Conditions.
"VF-1 Noteholder" means any of the Conduit Noteholders and other creditors that are parties to the trust
instrument constituting the VF-1 Notes, including each initial Holder of VF-1 Notes and each Person which
becomes an assignee pursuant to the VF-1 Conditions.
"VF-1 Noteholder Default" means (a) the refusal (which has not been retracted) of a VF-1 Noteholder to make
available its portion of any Increases or (b) a VF-1 Noteholder having notified the Registrar, VFN Agent or the
Issuer that it does not intend to comply with its obligations to pay its VF-1 Commitment, in the case of either
clause (a) or (b), (x) in violation of the VF-1 Conditions and (y) whether or not as a result of the appointment of a
receiver or conservator with respect to such VF-1 Noteholder at the direction or request of any regulatory agency
or authority.
"VF-1 Noteholder Fee Letter" means, with respect to each VF-1 Noteholder, the fee letter between the Issuer
and such VF-1 Noteholder.
"VF-1 Noteholder Indebtedness" means all Debt and other payment obligations (including interest that would
accrue but for the filing of a petition initiating a Proceeding, whether or not a claim for such interest is allowed in
the Proceeding) of the Issuer arising under or in respect of the VF-1 Conditions, the VF-1 Notes and other
agreements related thereto, whether outstanding or thereafter created or incurred and any obligations of the
Issuer arising under the Security Documents.
"VFN Register" means the register of holders of legal title to the VF Notes maintained by the VFN Registrar.
“VFN Registrar” means IXIS Financial Products Inc.
“VF Reserved Matter” means any Resolution to sanction any of the following items (in each case, subject to
anything else contemplated in the Trust Deed or the relevant Transaction Document, as applicable):
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
the exchange or substitution of the VF Notes for, or the conversion of the VF Notes into, shares, bonds
or other obligations or securities of the Issuer or any other entity;
the modification of any provision relating to the timing and/or circumstances of redemption of the VF
Notes at maturity or otherwise (including the circumstances in which the maturity of such VF Notes may
be accelerated whether following the occurrence of a Transaction Default or otherwise);
the modification of any of the provisions of the Master Trust Deed which would directly and adversely
affect the calculation of the amount of any payment of interest or principal on any VF Note;
a change in the currency of payments of the VF Notes other than in accordance with the terms of the VF
Instrument;
any change in the Intercreditor Priority of Payments or the Prepayment Priorities;
the modification of the provisions concerning the minimum percentage required to pass a resolution
relating to a VF Reserved Matter or any other provision of the VF-1 Conditions which requires the
written consent of the Holders of a requisite Principal Amount Outstanding of the VF Notes;
any modification of any Transaction Document having a material adverse effect on the security over the
Collateral constituted by the Security and Intercreditor Deed;
any modification of this definition; and
any material modification to the Market Valuation Manual not being of the nature contemplated by Base
Condition 14(c)(xii).
"Voting Percentage" of any VF-1 Noteholder means, at any time:
(a)
(b)
prior to the making of the initial Advances, the percentage which such VF-1 Noteholder's aggregate
VF-1 Commitments at such time is of the Total VF-1 Commitments at such time; and
on and after the making of the initial Advances, the percentage which (i) the sum of the Principal
Amount Outstanding of such VF-1 Noteholder's Advances plus such VF-1 Noteholder's aggregate
unused VF-1 Commitments at such time is of (ii) the sum of the Principal Amount Outstanding of all
Advances plus the aggregate amount of all unused VF-1 Commitments at such time, in each case, as
shown in the VFN Register.
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DESCRIPTION OF THE SECURITY AND INTERCREDITOR DEED
This description of certain provisions of the Security and Intercreditor Deed does not purport to be complete and
is subject to, and is qualified in its entirety by reference to, the provisions of the Security and Intercreditor Deed.
When reference is made herein to particular provisions of, or terms used in, the Security and Intercreditor Deed
and other agreements referred to herein, such reference is to the actual documents, copies of which are available
from the Irish Paying Agent. Terms used but not defined in this description have the meanings given thereto in
the Conditions.
General
Amongst others parties, the Issuer and the Representatives will enter into, or will subsequently accede to, the
Security and Intercreditor Deed pursuant to which, amongst other matters: (i) the Issuer will grant, in favour of
the Security Trustee for its benefit and the benefit of the other Secured Creditors, a security interest in all of the
Issuer's rights, title and interest in and to the Collateral and (ii) the parties will affirm the subordinated status of
each class of subordinated indebtedness from time to time and empower the Security Trustee to (a) pursue
certain remedies available pursuant to the Security and Intercreditor Deed, (b) take actions on behalf of the
Secured Creditors to manage and realise the Collateral upon the occurrence of specified events and (c) take
certain other actions on behalf of the Secured Creditors.
Further Notes or VF Notes
General The Security and Intercreditor Deed provides that subject to any additional restrictions set forth therein
or in any Transaction Document, the Issuer may from time to time after the Initial Closing Date, upon not less
than five Business Days' notice to the Security Trustee and each of the Principal Secured Creditors, issue Further
Notes or VF Notes. The Security and Intercreditor Deed provides that this is to be effected by the service (not
more than 60 days and not less than three Business Days prior to issuing such Further Notes or VF Notes) by the
Issuer to the Security Trustee and each Representative of a notice confirming, inter alia, its intention to issue
Further Notes or VF Notes and a summary of the terms of such further issuance (a "Further Issuance Notice").
Further Issuance Notices Each Further Issuance Notice shall confirm, on a prospective basis: (i) the
designation, seniority and maturity of each tranche of such Further Notes or VF Notes, in each case, by reference
to the applicable ranking and subordination position prescribed under the Security and Intercreditor Deed, to the
effect that all Indebtedness from time to time arising in respect of such Further Notes or VF Notes will constitute
"Senior Indebtedness", "Class B Notes", "Class C Notes", "Class D Notes " or "Class E Subordinated
Notes" (as the case may be) for the purposes of the Security and Intercreditor Deed, (ii) the initial principal
amount of such Further Notes or VF Notes or a method for calculating such amount, (iii) the method for
calculating interest on such Further Notes or VF Notes, (iv) the form of over-collateralisation test and events of
default (as applicable) which will apply to such Further Notes or VF Notes and (v) the initial date on which such
Further Notes or VF Notes will be issued.
Conditions to issuing Further Notes or VF Notes The Issuer may issue Further Notes or VF Notes from time
to time, subject to the satisfaction of the following conditions, as determined by the Security Trustee in its
discretion: (a) that the Security Trustee has received (i) a Further Issuance Notice in respect of such Further
Notes or VF Notes, as described above, (ii) a certificate in a prescribed form (each a "Noteholder Accession
Certificate") in respect of the proposed Holders of Further Notes or VF Notes and/or their Representative (as
applicable) or, to the extent that such persons are already a party to the Security and Intercreditor Deed, a
prescribed form notice setting out matters equivalent to those set out in a Noteholder Accession Certificate (each,
a "Noteholder Confirmation Notice"), (iii) a Rating Agency Confirmation, (iv) a certified copy of each
Transaction Document relating to such Further Notes or VF Notes executed by the parties thereto, which (in each
case) shall contain a general statement that (x) the terms and conditions of the Security and Intercreditor Deed
shall prevail over the terms of such Transaction Document, to the extent of any conflict and (y) such Further
Notes or VF Notes shall constitute "Senior Indebtedness", "Class B Notes", "Class C Notes", "Class D Notes"
or "Class E Subordinated Notes" (as the case may be) for the purposes of the Security and Intercreditor Deed,
(v) a compliance certificate in prescribed form in respect of the relevant Further Notes or VF Notes and (vi) if
required by the Security Trustee (x) for the purposes of satisfying a Rating Agency in relation to such Further
Notes or VF Notes or (y) otherwise, an opinion of counsel in respect of the relevant Further Notes or VF Notes
and matters related thereto and (b) any other conditions specified in any Transaction Document (including those
relating to such Further Notes or VF Notes) which are or will be applicable on the relevant Further Notes or VF
Notes Closing Date have been satisfied.
Noteholder Accession Certificates and Noteholder Confirmation Notices Each Noteholder Accession
Certificate or Noteholder Confirmation Notice (as applicable) for any Further Notes or VF Notes shall definitively
confirm the matters referred to in the relevant Further Issuance Notice in respect of the relevant Further Notes or
VF Notes as well as (i) the maximum principal amount of such Further Notes or VF Notes, (ii) any rating obtained
by the Issuer from a Rating Agency in respect of such Further Notes or VF Notes and (iii) the identification of
each Transaction Document entered into for the purposes of such Further Notes or VF Notes.
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Subordination Prior to Enforcement
General The Security and Intercreditor Deed provides that on the occurrence of certain events prior to
enforcement of the security, certain payments in respect of indebtedness which is for the time being subordinated
to the then senior outstanding indebtedness of the Issuer will be blocked either indefinitely or until the occurrence
of certain remedial actions.
Blockage Periods Upon the occurrence of a Senior Payment Default or in the event that the Issuer fails to be in
compliance with the Senior Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Document), the Issuer and, upon receipt of actual knowledge thereof, the Representative
of the Holders of the applicable Senior Indebtedness shall provide written notice (or telephone notice promptly
confirmed in writing) thereof to the Custodian, the Security Trustee and the other Representatives (or all
Representatives in the case of a notice by the Issuer) and, unless and until such Senior Payment Default shall
have been cured or waived or shall have ceased to exist or the Issuer shall have come into compliance with the
Senior Over-Collateralisation Test, as the case may be, no payment may be made by the Issuer, or on behalf of
the Issuer, on account of Class B Notes, Class C Notes, Class D Notes or Class E Subordinated Notes (including
pursuant to an Offer to Purchase). Any failure of the Issuer or any Representative to furnish such notice, or any
defect therein, shall not have any effect on the consequences of such Senior Payment Default or such failure to
comply with the Senior Over-Collateralisation Test, in each case as provided in the applicable Transaction
Document.
If a Senior Blockage Trigger Event shall occur and be continuing, the Security Trustee shall, if directed by the
Controlling Class to do so, provide a Senior Blockage Notice to the Custodian, the Issuer and each
Representative stating that no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class B Notes, Class C Notes, Class D Notes or Class E Subordinated Notes (including pursuant to an Offer to
Purchase) and until the end of the Senior Blockage Period no such payment shall be made by either the Issuer or
the Security Trustee. No more than one Senior Blockage Notice may be given during any period of 365
consecutive days.
Upon the occurrence of a Class B Notes Payment Default or in the event that the Issuer fails to be in compliance
with the Class B Notes Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Document), the Issuer and, upon receipt of actual knowledge thereof, the Representative
of the Class B Noteholders shall provide written notice (or telephone notice promptly confirmed in writing) thereof
to the Custodian, the Security Trustee and the other Representatives (or all Representatives in the case of a
notice by the Issuer) and, unless and until such Class B Notes Payment Default shall have been cured or waived
or shall have ceased to exist or the Issuer shall have come into compliance with the Class B Notes
Over-Collateralisation Test, as the case may be, no payment may be made by the Issuer, or on behalf of the
Issuer, on account of Class C Notes, Class D Notes or Class E Subordinated Notes (including pursuant to an
Offer to Purchase), other than on account of: (x) first interest in the following order of priority: first to the Holders
of Senior Indebtedness and second to the Class B Noteholders and (y) second (i) such amounts of principal as
are required to ensure compliance with the Class B Notes Over-Collateralisation Test in accordance with the
order of priorities set out in Condition 3(i) (Prepayment Amount) or (ii) the purchase or other acquisition of Senior
Indebtedness or, if no Senior Indebtedness is then Outstanding, Class B Notes (including pursuant to an Offer to
Purchase). Any failure of the Issuer or any Representative to furnish such notice, or any defect therein, shall not
have any effect on the consequences of such Class B Notes Payment Default or such failure to comply with the
Class B Notes Over-Collateralisation Test, in each case as provided in the applicable Transaction Document.
If a Class B Notes Blockage Trigger Event shall occur and be continuing, the Security Trustee shall, if directed by
the Controlling Class to do so, provide a Class B Notes Blockage Notice to the Custodian, the Issuer and each
Representative stating that no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class C Notes, Class D Notes or Class E Subordinated Notes (including pursuant to an Offer to Purchase) and
until the end of the Class B Notes Blockage Period no such payment shall be made by either the Issuer or the
Security Trustee. No more than one Class B Notes Blockage Notice may be given during any period of 365
consecutive days.
Upon the occurrence of a Class C Notes Payment Default or in the event that the Issuer fails to be in compliance
with the Class C Notes Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Document), the Issuer and, upon receipt of actual knowledge thereof, the Representative
of the Class C Notes Noteholders shall provide written notice (or telephone notice promptly confirmed in writing)
thereof to the Custodian, the Security Trustee and the other Representatives (or all Representatives in the case
of a notice by the Issuer) and, unless and until such Class C Notes Payment Default shall have been cured or
waived or shall have ceased to exist or the Issuer shall have come into compliance with the Class C Notes
Over-Collateralisation Test, as the case may be, no payment may be made by the Issuer, or on behalf of the
Issuer, on account of Class D Notes or Class E Subordinated Notes (including pursuant to an Offer to Purchase),
other than on account of: (x) first interest in the following order of priority: first to the Holders of Senior
Indebtedness, second to the Class B Noteholders and third to the Class C Noteholders and (y) second (i) such
amounts of principal as are required to ensure compliance with the Class C Notes Over-Collateralisation Test in
accordance with the order of priorities set out in Condition 3(i) (Prepayment Amounts) or (ii) the purchase or other
acquisition of Senior Indebtedness or, if no Senior Indebtedness is then Outstanding, Class B Notes or, if no
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Senior Indebtedness or Class B Notes are then Outstanding, Class C Notes (including pursuant to an Offer to
Purchase). Any failure of the Issuer or any Representative to furnish such notice, or any defect therein, shall not
have any effect on the consequences of such Class C Notes Payment Default or such failure to comply with the
Class C Notes Over-Collateralisation Test, in each case as provided in the applicable Transaction Document.
If a Class C Notes Blockage Trigger Event shall occur and be continuing, the Security Trustee shall, if directed by
the Controlling Class to do so, provide a Class C Notes Blockage Notice to the Custodian, the Issuer and each
Representative stating that no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class D Notes or Class E Subordinated Notes (including pursuant to an Offer to Purchase) and until the end of
the Class C Notes Blockage Period no such payment shall be made by either the Issuer or the Security Trustee.
No more than one Class C Notes Blockage Notice may be given during any period of 365 consecutive days.
Upon the occurrence of a Class D Notes Payment Default or in the event that the Issuer fails to be in compliance
with the Class D Notes Over-Collateralisation Test (before giving effect to any grace period set forth in the
applicable Transaction Document), the Issuer and, upon receipt of actual knowledge thereof, the Representative
of the Class D Noteholders shall provide written notice (or telephone notice promptly confirmed in writing) thereof
to the Custodian, the Security Trustee and the other Representatives (or all Representatives in the case of a
notice by the Issuer) and, unless and until such Class D Notes Payment Default shall have been cured or waived
or shall have ceased to exist or the Issuer shall have come into compliance with the Class D Notes
Over-Collateralisation Test, as the case may be, no payment may be made by the Issuer, or on behalf of the
Issuer, on account of Class E Subordinated Notes (including pursuant to an Offer to Purchase), other than on
account of: (x) first interest in the following order of priority: first to the Holders of Senior Indebtedness, second
to the Class B Noteholders, third to the Class C Noteholders and fourth to the Class D Noteholders and (y)
second (i) such amounts of principal as are required to ensure compliance with the Class D Notes
Over-Collateralisation Test in accordance with the order of priorities set out in Condition 3(i)(Prepayment
Amounts) or (ii) the purchase or other acquisition of Senior Indebtedness or, if no Senior Indebtedness is then
Outstanding, Class B Notes or, if no Senior Indebtedness or Class B Notes are then Outstanding, Class C Notes
or, if no Senior Indebtedness, Class B Notes or Class C Notes are then Outstanding, Class D Notes (including
pursuant to an Offer to Purchase). Any failure of the Issuer or any Representative to furnish such notice, or any
defect therein, shall not have any effect on the consequences of such Class D Notes Payment Default or such
failure to comply with the Class D Notes Over-Collateralisation Test, in each case as provided in the applicable
Transaction Document. (See Condition 3(h)(iii) (Blockage Periods)).
If a Class D Notes Blockage Trigger Event shall occur and be continuing, the Security Trustee shall, if directed by
the Controlling Class to do so, provide a Class D Notes Blockage Notice to the Custodian, the Issuer and each
Representative stating that no payment may be made by the Issuer, or on behalf of the Issuer, on account of
Class E Subordinated Notes (including pursuant to an Offer to Purchase) and until the end of the Class D Notes
Blockage Period no such payment shall be made by either the Issuer or the Security Trustee. No more than one
Class D Notes Blockage Notice may be given during any period of 365 consecutive days.
Blocked Junior Note Interest will be added to the Principal Amount Outstanding of each Class of Junior
Interest-Bearing Notes on which the same is owed and thereafter interest will accrue on the Principal Amount
Outstanding thereof as so increased in accordance with the Conditions provided that any Blocked Junior Note
Interest rolled up as aforesaid shall (except in the case of Class E Subordinated Notes) and to the extent
permitted by the Intercreditor Arrangements, be repaid prior to the repayment of any other principal on the
applicable Junior Interest-Bearing Notes (on the Payment Date next following the end of the Blockage Period or
such other Payment Date as the Issuer, at the direction of the Collateral Manager, may deem prudent) provided
that such payment shall not, as applicable, be entitled to any make-whole premium.
Turnover Pursuant to the Security and Intercreditor Deed, each of the Secured Creditors (excluding the
Noteholder) agrees with the Issuer and the Security Trustee that if, in the liquidation of the Issuer or otherwise,
any payment is made or amount recovered (including, without limitation, by any such Secured Creditor exercising
any rights of set-off) in respect of any Secured Obligation otherwise than in accordance with the Intercreditor
Priority of Payments, the amount so received shall be paid over by such Secured Creditor to the Security Trustee
forthwith upon receipt; provided that such provision shall have effect only to the extent that it does not constitute
or create and is not deemed to constitute or create any Security Interest.
Blockage Periods Preventing Permitted Actions The Security and Intercreditor Deed provides that
notwithstanding the terms of any Transaction Document, no Junior Secured Creditor (nor any Representative for
such Junior Secured Creditor) may take any action that it (or the relevant agent on its behalf) would otherwise be
able to take as a Permitted Action, while any Blockage Period is continuing, unless such Permitted Action is
previously approved by the Controlling Class.
Restrictions on Dealings with Collateral
Permitted Dealings Generally
The Security and Intercreditor Deed requires the Issuer (or the Collateral Manager on its behalf) to deliver a
prescribed form of request (each an "Issuer Order") (see below) in respect of any dealings other than specified
Permitted Dealings, for which no Issuer Order is required.
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Permitted Dealings with Accounts
Without prejudice to the scope of the provisions relating to Issuer Orders (see below) and subject to the
provisions relating to Permitted Dealings (see above), for so long as the security created by the Security and
Intercreditor Deed subsists (the "Security Period"), the Issuer may not (a) agree to any waiver or amendment of
the terms on which an Account is maintained, (b) agree to the transfer or closure of an Account and/or the
substitution of an Account-Holding Bank or (c) charge, assign or otherwise deal with or dispose of the Deposits or
any part thereof, without the prior consent of the Security Trustee, except as expressly permitted under and in
accordance with the Security and Intercreditor Deed, or in the case of (c) above, in order to make payments to
the Secured Creditors of interest, principal, Trustee Fees and Expenses and any Management Fee or
Administrative Expenses required and/or permitted pursuant to the Security and Intercreditor Deed or to pay any
Additional Interest in accordance with the provisions of the Transaction Documents.
Issuer Orders
Subject to the provisions relating to Permitted Dealings (see above), during the Security Period, the Issuer will
not be permitted to sell, transfer, liquidate, surrender or otherwise dispose of, convert or compromise any assets
comprising Collateral acquired by it from time to time or to take any other action prohibited by the provisions
relating to dealings with the accounts, unless such disposal or other action (i) is acknowledged by the Security
Trustee by means of an acknowledgement of an Issuer Order (each, a "Security Trustee Issuer Order
Acknowledgement") in accordance with the timelines and deemed acceptance provisions set-out below and (ii)
is otherwise made in accordance with the Transaction Documents and the Security and Intercreditor Deed
(unless in each case the Security Trustee determines that giving effect to such Issuer Order will be materially
prejudicial to the interests of the Secured Creditors under the Security Documents). A Security Trustee Issuer
Order Acknowledgement may be made by telephone (and thereafter, promptly confirmed in writing) or written
notice to the Issuer. The Issuer (or Collateral Manager on its behalf) may revoke any Issuer Order acknowledged
by the Security Trustee for any reason and at any time prior to the dealings referred to in such Issuer Order being
effected, in each case, by telephone notification (promptly confirmed in writing) or written notice to the Security
Trustee and (if necessary) the Collateral Administrator and/or the Custodian. Subject to any such revocation of
the same, following the receipt of a Security Trustee Issuer Order Acknowledgement, the Collateral Manager
shall promptly provide a copy of such Issuer Order to the Custodian and/or the Collateral Administrator (as
applicable) pursuant to the Collateral Management Agreement, which party shall proceed to effect the dealings
referred to in such Issuer Order in accordance with the Agency Agreement and/or the Collateral Administration
Agreement (as the case may be). Except as permitted by the Security Trustee, the Issuer shall not be permitted
to submit more than ten Issuer Orders during any five Business Day period.
The Security and Intercreditor Deed provides that, at any time, the Issuer (or the Collateral Manager on its behalf)
may provide a duly completed Issuer Order to the Security Trustee requesting the Security Trustee's
acknowledgement of certain dealings that the Issuer (or the Collateral Manager on its behalf) proposes to effect
in relation to any of the Collateral and in the case of an Issuer Order relating to the sale or other disposal of any
Collateral, the Issuer (or the Collateral Manager on its behalf), acting reasonably and in good faith (in consultation
with the Collateral Administrator), shall also confirm whether such sales or other disposals will, in the Issuer's
opinion (or the Collateral Manager's opinion), constitute a Major Trade, an Intermediate Trade or a Minor Trade
(as the case may be), provided that (without prejudice to the flexibility expressly afforded to the Issuer under the
Security and Intercreditor Deed in relation to dealings with the Collateral) the Issuer (or the Collateral Manager on
its behalf) shall not in any circumstances be permitted to provide an Issuer Order (and the Security Trustee shall
not be required or be deemed to have acknowledged any such Issuer Order) if the Issuer (or the Collateral
Manager on its behalf) determines (acting reasonably and in good faith) or is aware that any of the dealings
referred to in such Issuer Order would be materially prejudicial to the interests of the Secured Creditors under the
Security Documents.
The Security Trustee shall act reasonably in making any Security Trustee Issuer Order Acknowledgement,
provided that if a Blockage Period is continuing, the Security Trustee may, in its absolute discretion and without
the consent of the Controlling Class or providing the Issuer with any reason for the same, determine that while
such Blockage Period is continuing, it will not acknowledge any Issuer Order relating to the Collateral or a portion
thereof.
If no Security Trustee Issuer Order Acknowledgement is provided and no determination is confirmed by the
Security Trustee in connection therewith, the Security Trustee shall be deemed to have provided an
acknowledgement of the relevant Issuer Order (i) where the relevant Issuer Order relates to a Minor Trade,
immediately following receipt by the Security Trustee of such Issuer Order, (ii) if no Blockage Period is continuing
(except where the relevant Issuer Order relates to a Minor Trade), at 11:00 a.m. on the first Business Day
immediately following receipt by the Security Trustee of such Issuer Order or (iii) if a Blockage Period is
continuing, to the extent that such Issuer Order relates to (x) a Major Trade, at 11:00 a.m. on the third Business
Day or (y) an Intermediate Trade, at 11:00 a.m. on the second Business Day immediately following receipt by the
Security Trustee of such Issuer Order.
At any time while a Blockage Period is continuing and to the extent that the relevant dealings referred to in such
Issuer Order have not been effected and the Issuer has not entered into a binding commitment to effect such
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dealings (including in the case of a Minor Trade), the Security Trustee may revoke an Issuer Order
acknowledged by it by notice to each of the Issuer, the Custodian, the Collateral Administrator and the Collateral
Manager. An acknowledgement by the Security Trustee of such Issuer Order will be otherwise irrevocable.
If the Issuer requests an acknowledgement from the Security Trustee in relation to the application of any part of
the Deposits in or towards the purchase of Cash Equivalents, as a condition of providing such acknowledgement,
the Security Trustee may require the provision of one or more perfected Security Interests in and over such Cash
Equivalents in form and substance satisfactory to it.
Intercreditor Priority of Payments
Amounts received by the Security Trustee in consequence of (a) an enforcement of the security created pursuant
to the Security Documents and/or (b) the provision of an Acceleration Notice which remains in effect, shall be
applied by the Security Trustee in the following manner and order (the "Intercreditor Priority of Payments"):
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
(k)
(l)
(m)
(n)
(o)
first, to pay any taxes to which the Issuer is subject;
second, to pay rateably (i) any Trustee Fees and Expenses then due and payable, (ii) any amounts
payable to the Managing Directors pursuant to the Management Agreement, (iii) any outstanding Issuer
Fees and (iv) any Dealer Fees (together with any VAT payable on the same) due and payable (or which
but for the relevant enforcement would have been due and payable) until paid in full;
third, to pay rateably (i) expenses of collection then due and payable by the Issuer to the Trustee, the
Security Trustee, each Agent and the VFN Agent (as applicable) to the extent not paid in (b)(i) above,
(ii) any Management Fee (together with any VAT payable on the same) then due and payable by the
Issuer to the Collateral Manager and (iii) any Administrative Expenses (other than any Dealer Fees)
then due and payable by the Issuer (in an aggregate amount not exceeding €300,000) until paid in full;
fourth, to pay interest then due and payable to Holders of Senior Indebtedness, rateably, until paid in
full;
fifth, to pay (i) the principal then due and payable to the Holders of Senior Indebtedness and (ii) net
settlement amounts then due and payable to Secured Hedging Counterparties, rateably, until paid in full;
sixth, to pay (i) commitment fees in respect of any Senior Indebtedness and any remaining amounts
payable to the Holders of Senior Indebtedness, including but not limited to indemnity claims (provided
that such indemnity claims, excluding for breakage-costs, shall not exceed 1 per cent. of the Issuer's
total assets as at the last Reporting Date), make-whole premiums and breakage costs, if any, then due
and payable by the Issuer to the Holders of Senior Indebtedness and (ii) any remaining amounts (x) of
Senior Indebtedness and/or (y) due from the Issuer to Secured Hedging Counterparties (to the extent
not paid in full pursuant to paragraph (e) above), in each case, rateably, until paid in full;
seventh, to pay any interest then due and payable to the Class B Noteholders, rateably, until paid in full;
eighth, to pay any principal then due and payable to the Class B Noteholders, rateably, until paid in full;
ninth, to pay any remaining amounts payable to the Class B Noteholders, including but not limited to
indemnity claims (provided that such indemnity claims, excluding for breakage-costs, shall not exceed
1 per cent. of the Issuer's total assets, as at the last Reporting Date), make-whole premiums and
breakage costs, if any, then due and payable by the Issuer to the Class B Noteholders, in each case,
rateably, until paid in full;
tenth, to pay any interest then due and payable to the Class C Noteholders, rateably, until paid in full;
eleventh, to pay any principal then due and payable to the Class C Noteholders, rateably, until paid in
full;
twelfth, to pay any remaining amounts payable to the Class C Noteholders, including but not limited to
indemnity claims (provided that such indemnity claims, excluding for breakage-costs, shall not exceed
1 per cent. of the Issuer's total assets, as at the last Reporting Date), make-whole premiums and
breakage costs, if any, then due and payable by the Issuer to the Class C Noteholders, in each case,
rateably, until paid in full;
thirteenth, to pay any interest then due and payable to the Class D Noteholders, rateably, until paid in
full;
fourteenth, to pay any principal then due and payable to the Class D Noteholders, rateably, until paid in
full;
fifteenth, to pay any remaining amounts payable to the Class D Noteholders, including but not limited to
indemnity claims (provided that such indemnity claims, excluding for breakage-costs, shall not exceed
1 per cent. of the Issuer's total assets, as at the last Reporting Date), make-whole premiums and
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(p)
(q)
breakage costs, if any, then due and payable by the Issuer to the Class D Noteholders, in each case,
rateably, until paid in full;
sixteenth, to pay the Incentive Fee (if any);
seventeenth, to pay any amounts remaining following the application of paragraphs (a) to (p) (inclusive)
above, rateably to the Holders of the Class E Subordinated Notes for application:
(i)
(ii)
with respect to the Class E-1 Subordinated Notes, as follows:
(A)
(B)
(C)
first, in payment of any interest then due and payable to the Class E-1a Preferred
Subordinated Notes in full;
second, in payment of any Interest then due and payable to the Holders of Class E-1b
Subordinated Notes in full; and
third, the remainder in payment of any Additional Interest to the Holders of Class E-1b
Subordinated Notes;
with respect to the Class E-2 Subordinated Notes, as follows:
(A) first, in payment of any interest then due and payable to the Holders of Class E-2
Subordinated Notes in full; and
(B)
second, the remainder in payment of any Additional Interest Amount to the Holders of
Class E-2 Subordinated Notes in full.
The Security and Intercreditor Deed contains various additional provisions, including those related to
maintenance of the Interest Custody Account and Principal Custody Account and the rights, powers and
responsibilities of the Security Trustee.
Governing Law
The Security and Intercreditor Deed will be governed by, and construed in accordance with, English law without
regard to conflicts of laws principles, except to the extent that the perfection (and effect of perfection or
non-perfection) of any security interest in some portion of the Collateral is governed by the law of a jurisdiction
other than that of England and Wales.
Definitions
For the purposes of this section of this Offering Circular the following terms have the following meanings:
"Early Termination Date" means, in relation to a Secured Hedging Agreement, an "Early Termination Date" as
defined therein.
"Further Notes” or “VF Notes Closing Date" in relation to any Further Notes or VF Notes means the initial date
on which any proceeds from such Further Notes or VF Notes are provided to the Issuer.
"Further Notes” or “VF Notes" means any Notes or VF Notes issued by the Issuer after the Initial Closing Date.
"Intermediate Trade" means a sale or other disposition of any Collateral pursuant to one or more transactions by
or on behalf of the Issuer with a Market Value exceeding €1,000,000 but not exceeding €5,000,000 (or their
equivalent in other currencies).
"Junior Secured Creditor" means the Holder of a Junior Secured Obligation
"Junior Secured Obligations" means:
(a)
(b)
(c)
(d)
prior to the Senior Discharge Date, any Class B Notes, Class C Notes, Class D Notes and/or Class E
Subordinated Notes;
following the Senior Discharge Date but prior to the Class B Notes Discharge Date, any Class C Notes,
Class D Notes and/or Class E Subordinated Notes;
following the Class B Notes Discharge Date but prior to the Class C Notes Discharge Date, any Class D
Notes and/or Class E Subordinated Notes; and
following the Class C Notes Discharge Date but prior to the Class D Notes Discharge Date, any Class E
Subordinated Notes,
including, in each case, any amount comprising a payment of any principal, premium, interest, commitment fees
or breakage costs (if any) other than to the Controlling Class, as the context may require.
"Major Trade" means a sale or other disposition of any Collateral pursuant to one or more transactions by or on
behalf of the Issuer with a Market Value exceeding €5,000,000 (or its equivalent in other currencies).
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"Minor Trade" means a sale or other disposition of any Collateral pursuant to one or more transactions by or on
behalf of the Issuer with a Market Value not exceeding €1,000,000 (or its equivalent in other currencies).
"Permitted Action" means any steps taken by or on the instruction of a Principal Secured Creditor to (a) demand
payment, declare prematurely due and payable or otherwise seek to accelerate payment of all or any part of the
Principal Secured Obligations, (b) recover all or any part of the Principal Secured Obligations (including, without
limitation, by exercising any rights of set-off or combination of accounts), (c) declare an Early Termination Date
under any Secured Hedging Agreement or demand payment of all or any part of any amount which would
become payable following an Early Termination Date or (d) instruct the Security Trustee to exercise or enforce
any part of the security created pursuant to the Security and Intercreditor Deed or any other rights of the Security
Trustee under the Security Documents, in each case, excluding any steps prohibited by any limited recourse
provisions under the Transaction Documents.
"Permitted Dealing" means (a) the acquisition and sale of any Collateral by or on behalf of the Issuer, (b)
transfers to, withdrawals from, and the maintenance of, the Principal Custody Account or Interest Custody
Account (as the case may be) in accordance with the Agency Agreement, (c) the administration of the Accounts
in accordance with the Transaction Documents (including the payment of expenses therefrom or directing the
investment of funds therein) or (d) any other minor incidental administrative actions relating to the Collateral
which are not detrimental to the interests of the Secured Creditors.
"Principal Secured Creditors" means (a) the Placement Agent (solely in respect of any Dealer Fees) and (b)
the Noteholders from time to time.
"Principal Secured Obligations" means that part of the Secured Obligations due from time to time to the
Principal Secured Creditors.
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DESCRIPTION OF THE MASTER TRUST DEED NOTE ISSUANCE PROCEDURE
Further Issues of Fungible and Non-Fungible Notes
The Master Trust Deed together with Base Condition 17 (Further Issues) provides the framework pursuant to
which the Issuer may issue Notes from time to time. Such Notes are to be constituted by a Trust Instrument that
is supplemental to the Master Trust Deed and establishes the terms applicable to such Notes. The Notes which
are the subject of this Offering Circular ("Specified Notes") will be so constituted as will any Notes issued after
the Initial Closing Date ("Post Specified Notes"). Post Specified Notes of a given Class may either be fungible
with Specified Notes of the same Class (or after the redemption of the same, any other Notes Outstanding as at
the date of issuance of such Post Specified Notes) ("Fungible Notes") or may have different terms and not be so
fungible (such Notes, "Non-Fungible Notes") notwithstanding that they have the same ranking. Accordingly,
Notes of a given Class may comprise two or more issuances of Non-Fungible Notes and Resolutions of such
Class may be passed by Holders of Non-Fungible Notes comprising such Class.
Classes of Notes which may be Issued
The Master Trust Deed provides that Notes (whether the same are Fungible Notes, Non-Fungible Notes or
Specified Notes) may be issued in one of the following five Classes:
(i)
(ii)
(iii)
(iv)
(v)
notes which shall rank pari passu with, and comprise (or, as the case may be, comprise an element of)
Senior Indebtedness for the purposes of the Security and Intercreditor Deed and have a rating the same
as, or equivalent to, the rating of any other Notes of such Class already in issue (as is the case with the
Class A Notes which are the subject of this Offering Circular, such Notes will be Class A Notes and will
be given a numerical designation in Condition 20 (Specific Conditions) applicable thereto);
notes which shall rank pari passu with the Class B Notes which are the subject of this Offering Circular,
such Notes will be Class B Notes and will be given a numerical designation in Condition 20 applicable
thereto;
notes which shall rank pari passu with the Class C Notes which are the subject of this Offering Circular,
such Notes will be Class C Notes and will be given a numerical designation in Condition 20 applicable
thereto;
notes which shall rank pari passu with the Class D Notes which are the subject of this Offering Circular,
such Notes will be Class D Notes and will be given a numerical designation in Condition 20 applicable
thereto;
notes which shall rank pari passu with the Class E Subordinated Notes which are the subject of this
Offering Circular, such Notes will be Class E Subordinated Notes and will be given a numerical
designation in Condition 20 applicable thereto.
Base Conditions
The principal terms of any Notes must be the Base Conditions. The Base Conditions are scheduled to the Master
Trust Deed and, inter alia, reflect (in Base Condition 5 (Covenant of and Restrictions on the Issuer)) certain
fundamental covenants of the Issuer ("Master Trust Deed Covenants"). No Trust Instrument constituting any
Notes may amend the Base Conditions or the Master Trust Deed Covenants other than to the extent that such
amendments would not have a material impact on the rights of, or be prejudicial to, the Holders of any
Outstanding Notes of any Class unless (i) such amendment is approved by an Extraordinary Resolution of the
Holders of each Class of Notes then Outstanding and (ii) the same is in accordance with the Intercreditor
Arrangements (such restrictions, the "Amendment Restrictions"). However, each Trust Instrument may amend
the Base Conditions so as to specify in relation to each Class of Notes constituted thereby the specific features of
such Notes in addition to any other features included in or added to the pro forma matrix to be added as
Condition 20 (Specific Conditions) to the Base Conditions (together the "Relevant Conditions").
Specific Conditions
Specific Conditions in relation to any Notes may include (but are not limited to) specifying: (i) the Class to which
each such Class of Notes belongs, (ii) the original principal amount thereof, or the method of calculating the
same, (iii) in relation to any Notes, whether the same are Fixed Rate Notes or Floating Rate Notes and the Rate
of Interest and interest calculation method applicable thereto, (iv) the Closing Date with respect thereto, (v) the
Maturity Date thereof, (vi) in the event that such Class of Notes does not already have the same, any
over-collateralisation tests applicable thereto, (vii) subject to the Amendment Restrictions, any amendments to
the Master Trust Deed Covenants applicable thereto, (viii) subject to the Amendment Restrictions, the particular
terms thereof (including, but not limited to, the currency of issue, redemption procedures, bases for the
calculation of interest and Business Days and other market conventions, in each case, applicable to such Notes)
and (ix) the Rating (if any) applicable thereto.
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Specified Notes
The conditions constituting any Notes (comprising the applicable Base Conditions as amended and
supplemented by the relevant Specific Conditions) will specify the Notes to which they apply in Condition 20
(Specific Conditions). The Notes so specified will, in each case, be referred to as Specified Notes.
In relation to the above, see generally the definitions of Base Conditions, Class A Notes, Class B Notes, Class C
Notes, Class E Subordinated Notes and Specified Notes and Condition 20.
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DESCRIPTION OF THE REPORTS
1. OVER-COLLATERALISATION TEST REPORT
Delivery of Over-Collateralisation Test Report
The Collateral Administrator will, on behalf of the Issuer and in consultation with the Collateral Manager, provide
the Trustee, the Collateral Manager, the Irish Paying Agent, the Issuer, the Rating Agencies, the Noteholders, the
Security Trustee, the VFN Agent (for furnishing to the VF Noteholders) and any other Secured Creditors with an
Over-Collateralisation Test Report in accordance with the terms of the Collateral Administration Agreement. In
addition, for so long as any of the Notes are Outstanding, each Over-Collateralisation Test Report will be
available for inspection at, and copies thereof may be obtained free of charge upon request from, the Irish Paying
Agent.
Contents of Over-Collateralisation Test Report
Each Over-Collateralisation Test Report shall include the following:
(A)
Confirmation of compliance or otherwise with the Over-Collateralisation Tests; and
(B) (i) a schedule setting forth, in respect of each Issuer Investment, a description of each Issuer
Investment, whether it was Performing, its coupon (if applicable), maturity date (if applicable),
rating (to the extent applicable), currency (and, if not in Euro, the applicable exchange rate),
Asset Category and applicable Advance Rates, original cost, Market Value, bid prices from
Approved Sources or other means used for calculating such Market Value and the proportion
of such Issuer Investment comprising an Excluded Issuer Investment (if any);
(ii)
(iii)
(iv)
Timing of Delivery
schedules summarising the information contained in (i) above by each issuer, Asset Category
and Approved Industry and in totality;
a schedule of the Net Exposure Component of each Secured Hedging Transaction then
outstanding; and
a schedule containing details of each Class of Notes Outstanding, the Total Capitalisation and
each of the Senior Advance Amount, Class B Notes Advance Amount, Class C Notes Advance
Amount and Class D Notes Advance Amount.
Pursuant to the terms of this Agreement, the Collateral Administrator will provide the Over-Collateralisation Test
Report to the Collateral Manager, the Issuer, the Rating Agencies, the Irish Paying Agent, certain Secured
Creditors, the Security Trustee and the Trustee on a weekly basis by the Delivery Deadline.
The Collateral Administrator will provide the Over-Collateralisation Test Report in respect of each Reporting Date
to the Holders of the Rated Notes, the VFN Agent (for furnishing to the VF Noteholders) and Class E
Subordinated Noteholders on a monthly basis within 5 Business Days of the Reporting Date.
In months in which a Payment Date occurs, the Collateral Administrator shall also provide the Over-
Collateralisation Test Report in respect of the Determination Date prior to such Payment Date to Holders of the
Rated Notes, the VFN Agent and the Class E Subordinated Noteholders within 5 Business Days of the Payment
Date. In such cases, the report provided (the “Payment Date Noteholders Report”) shall also include in respect of
the Payment Date occurring in that month:
(a)
(b)
(c)
(d)
details of the amounts of interest and principal to be paid in respect of the Notes and the VF Notes;
details of any amounts of interest payable but not paid;
details of any expenses paid within the Interest Period ending on such Payment Date; and
the Principal Amount Outstanding for each Note and VF Note.
2. ANNUAL REPORTS AND FURNISHING METHODS
In addition to the provision of the Over-Collateralisation Test Report, the Issuer will procure that, as promptly as
practicable after production of the same (and in any event not later than 180 days following the end of the
relevant financial year, failing which the Issuer shall use its best endeavours to procure the production of the
relevant financial reports as soon as reasonably practicable thereafter), to each VF Noteholder and Noteholder,
the Trustee, the Rating Agencies and the Irish Stock Exchange are supplied, annually, with a copy of the audited
accounts for the foregoing financial year.
The Issuer's obligation to furnish (or procure the furnishing of) any Over-Collateralisation Test Report (whether
directly or through the Trustee) and annual reports to any Person (other than the Irish Stock Exchange) shall be
deemed satisfied to the extent that the same is made available to such Person via access to a website or
delivered by email or other means of electronic transmission, in each case by the applicable Delivery Deadline (if
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any), provided that in relation to website access, the Issuer shall promptly furnish (or procure the furnishing of) a
written notification to such Person when the relevant Over-Collateralisation Test Report is available on a website
and provide such Person with the relevant password or access code therefor.
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HEDGING ARRANGEMENTS
1. Currency Hedging
The Issuer (or the Collateral Manager on behalf of the Issuer) may enter into Currency Hedging Transactions with
Eligible Counterparties in order to hedge currency exchange rate risks arising out of currency mismatches
between assets and liabilities of the Issuer from time to time (see definitions of "Currency Hedging Transactions",
"Hedging and Short-Sale Transactions", "Unhedged Currency Investments", sub-paragraph (ix) of "Excess Issuer
Investments" and sub-paragraph (iv) of "Excluded Issuer Investments" in the Market Valuation Manual).
The entry into any such Currency Hedging Transaction, other than a Form-Approved Swap, shall be subject to
receipt of Rating Agency Confirmation and shall in addition be subject to there being no withholding or deduction
for or on account of any tax required in respect of any payments by either party to such Currency Hedging
Transaction at the time of entry into such transaction.
2. Interest Rate Hedging
The Issuer (or the Collateral Manager on behalf of the Issuer) may enter into Interest Rate Hedging Transactions
with Eligible Counterparties in order to manage the interest rate and other risks in connection with the Issuer's
issuance of, and making of payments on, the Notes and ownership and disposition of the Issuer Investments.
The entry into any such Interest Rate Hedging Transaction, other than a Form-Approved Swap, shall be subject
to receipt of Rating Agency Confirmation and shall in addition be subject to there being no withholding or
deduction for or on account of any tax required in respect of any payments by either party to such Interest Rate
Hedging Transaction at the time of entry into such transaction (see definitions of "Interest Rate Hedging
Transactions" and "Hedging and Short-Sale Transactions" in the Market Valuation Manual).
3. Counterparty Rating Downgrade Requirements
In the event that any Rated Notes remain Outstanding and the applicable ratings of the Secured Hedging
Counterparty at any time fall below the applicable Rating Requirement or are withdrawn, the applicable Secured
Hedging Counterparty shall, within 30 days of the date of such downgrade or withdrawal, take such steps (such
as the posting of collateral with the Issuer or the transfer of its rights and obligations under the Secured Hedging
Transaction to which it is party to another entity) as required by the terms of the relevant Secured Hedging
Transaction (which terms have been approved by the Rating Agencies and are in line with their current ratings
downgrade criteria).
4. Transfer and Modification of Secured Hedging Transactions
The Issuer (or the Collateral Manager on behalf of the Issuer) may not modify any Secured Hedging Transaction
unless such modified Secured Hedging Transaction comprises a Form-Approved Swap or is the subject of Rating
Agency Confirmation. A Secured Hedging Counterparty may transfer its obligations under a Secured Hedging
Transaction to any institution satisfying the applicable Rating Requirement.
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TAX CONSIDERATIONS
General
For purposes of this section of the Offering Circular (Tax Considerations) the terms "Notes" and "Rated Notes"
shall be deemed to include VF Notes and the term “Noteholder” shall be deemed to include “VF Noteholder”.
Purchasers of Notes may be required to pay stamp taxes and other charges in accordance with the laws and
practices of the country of purchase in addition to the issue price of each Note.
Potential purchasers who are in any doubt about their tax position on purchase, ownership, transfer or exercise of
any Note should consult their own tax advisers. In particular, no representation is made as to the manner in
which payments under the Notes would be characterised by any relevant taxing authority. Potential
investors should be aware that the relevant fiscal rules or their interpretation may change, possibly with
retrospective effect, and that this summary is not exhaustive. This summary does not constitute legal or tax
advice or a guarantee to any potential investor of the tax consequences of investing in the Notes.
Taxation of The Netherlands
The comments below are of a general nature based on taxation law and practice in The Netherlands as at the
date of this Offering Circular and are subject to any changes therein. They relate only to the position of persons
who are absolute beneficial owners of the Notes. The following is a general description of certain tax
considerations relating to the Notes. It does not purport to be a complete analysis of all tax considerations
relating to the Notes and so should be treated with appropriate caution. In particular, it does not take into
consideration any tax implications that may arise on a substitution of the Issuer. Prospective investors should
consult their own professional advisors concerning the possible tax consequences of purchasing, holding and/or
selling Notes and receiving payments of interest, principal and/or other amounts under the Notes under the
applicable laws of their country of citizenship, residence or domicile.
Under the existing laws of The Netherlands:
(a)
(b)
(c)
(d)
(e)
all payments of interest and principal by the Issuer under the Notes can be made free of withholding or
deduction for any taxes of whatsoever nature imposed, levied, withheld, or assessed by The
Netherlands or any political subdivision or taxing authority thereof or therein;
a holder of a Note who derives income from a Note or who realises a gain on the disposal or redemption
of a Note will not be subject to Dutch taxation on such income or capital gain, unless:
(i)
(ii)
(iii)
the holder is, or is deemed to be, resident in The Netherlands or, where the holder is an
individual, such holder has elected to be treated as a resident of The Netherlands; or
such income or gain is attributable to an enterprise or part thereof which is either effectively
managed in The Netherlands or carried on through a permanent establishment (vaste
inrichting) or a permanent representative (vaste vertegenwoordiger) in The Netherlands; or
the holder is an individual and such income or gain qualifies as income from activities that
exceed normal active portfolio management in The Netherlands;
Dutch gift, estate or inheritance taxes will not be levied on the occasion of the transfer of a Note by way
of gift by, or on the death of, a holder unless:
(i)
(ii)
(iii)
the holder is, or is deemed to be, resident in The Netherlands for the purpose of the relevant
provisions; or
the transfer is construed as an inheritance or as a gift made by or on behalf of a person who, at
the time of the gift or death, is, or is deemed to be, resident in The Netherlands for the purpose
of the relevant provisions; or
such Note is attributable to an enterprise or part thereof which is either effectively managed in
The Netherlands or carried on through a permanent establishment or a permanent
representative in The Netherlands;
there is no Dutch registration tax, stamp duty or any other similar tax or duty payable in The Netherlands
in respect of or in connection with the execution, delivery and/or enforcement by legal proceedings
(including any foreign judgment in the courts of The Netherlands) of the Notes or the performance of the
Issuer’s obligations under the Notes;
there is no Dutch value added tax payable in respect of payments in consideration for the issue of the
Notes or in respect of the payment of interest or principal under the Notes or the transfer of a Note,
provided that Dutch value added tax may, however, be payable in respect of fees charged for certain
services rendered to the Issuer, if for Dutch value added tax purposes such services are rendered, or
are deemed to be rendered, in The Netherlands and an exemption from Dutch value added tax does not
apply with respect to such services; and
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(f)
a holder of a Note will not be treated as a resident of The Netherlands by reason only of the holding of a
Note or the execution, performance, delivery and/or enforcement of the Notes.
EU Savings Directive
On 3 June 2003 the Council of the European Union ("ECOFIN") adopted a directive regarding the taxation of
interest income. Each Member State must implement the directive by enacting legislation that requires paying
agents (within the meaning of the directive) established within its territory to provide to the relevant competent
authority details of interest payments made to any individual and certain intermediate entities resident in another
Member State or in a dependent or associated territory of a Member State (a "Reportable Territory"). The
competent authority of the Member State of the Paying Agent (within the meaning of the directive) is then
required to communicate this information to the competent authority of the Reportable Territory of which the
beneficial owner of the interest is a resident.
Austria, Belgium and Luxembourg may opt instead to withhold tax from interest payments within the meaning of
the directive.
United States Federal Income Taxation
This is a discussion of the principal U.S. federal income tax consequences of the acquisition, ownership,
disposition and retirement of the Specified Notes (which term shall include the VF Notes for the purposes of this
section).
Except as expressly set forth below, this discussion does not address all aspects of U.S. federal income taxation
that may be relevant to a particular holder based on such holder's particular circumstances, nor does it address
any aspect of state, local, or non-U.S. tax laws or the possible application of U.S. federal gift or estate taxes. In
particular, except as expressly set forth below, this discussion does not address aspects of U.S. federal income
taxation that may be applicable to holders that are subject to special treatment, including U.S. Holders that:
●
●
●
●
are broker-dealers, securities traders, insurance companies, tax-exempt organisations, financial
institutions, real estate investment trusts, regulated investment companies or grantor trusts;
are certain former citizens or long-term residents of the United States;
hold Specified Notes as part of a "straddle", "hedge", "conversion", "integrated transaction" or
"constructive sale" with other investments or
own or are deemed to own 10 per cent. or more, by voting power or value, of the Specified Notes
(including Class E Subordinated Notes treated as equity for U.S. federal income tax purposes).
This discussion considers only holders that will hold Specified Notes as capital assets and whose functional
currency is the U.S. Dollar. This discussion does not address commitment fees (if any) paid with respect to the
Specified Notes. This discussion is generally limited to the tax consequences to initial holders that purchase
Specified Notes upon their initial issuance at their initial issuance price.
"U.S. Holder" is, for the purposes of this section, defined as the beneficial owner of a Specified Note who or
which is for U.S federal income tax purposes:
●
●
●
●
●
a citizen or resident of the United States;
a corporation or partnership created or organised under the laws of the United States or any political
subdivision thereof or therein;
an estate, the income of which is subject to U.S. federal income tax regardless of the source;
a trust that validly elects to be treated as a U.S. person for U.S. federal income tax purposes or
a trust, in respect of the administration of which, a court within the U.S. is able to exercise primary
supervision provided one or more U.S. persons have the authority to control all substantial decisions of
such trust.
The term "non-U.S. Holder" means a beneficial owner of the Specified Notes that is not a U.S. Holder.
If a partnership (or any other entity treated as a partnership for U.S. federal income tax purposes) holds the
Specified Notes, the tax treatment of the partnership and a partner in such partnership generally will depend on
the status of the partner and the activities of the partnership. Such a partner or partnership should consult its
own tax adviser as to its consequences.
Internal Revenue Service Circular 230 Disclosure
Pursuant to Internal Revenue Service Circular 230, we hereby inform you that the description set forth
herein with respect to U.S. federal tax issues was not intended or written to be used, and such
description cannot be used, by any taxpayer for the purpose of avoiding any penalties that may be
imposed on the taxpayer under the U.S. Internal Revenue Code. Such description was written to support
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the marketing of the Specified Notes. This description is limited to the U.S. federal tax issues described
herein. It is possible that additional issues may exist that could affect the U.S. federal tax treatment of an
investment in the Specified Notes, or the matter that is the subject of the description noted herein, and
this description does not consider or provide any conclusions with respect to any such additional
issues. You should seek advice based on your particular circumstances from an independent tax
adviser.
This discussion is based upon the U.S. Internal Revenue Code of 1986, as amended (the "Code"), existing and
proposed regulations thereunder, and current administrative rulings and court decisions, each as available and in
effect as of the date hereof. All of the foregoing are subject to change, possibly on a retroactive basis, and any
such change could affect the continuing validity of this discussion. Furthermore, there are no cases or rulings by
the U.S. Internal Revenue Service ("IRS") addressing entities similar to the Issuer or securities similar to the
Specified Notes. As a result, the IRS might disagree with all or part of the discussion below. No rulings will be
requested of the IRS regarding the issues discussed below or the U.S. federal income tax characterisation of the
Specified Notes.
Each Holder and beneficial owner of a Specified Note that is not a "United States person" (as defined in
Section 7701(a)(30) of the Code) will make, or by acquiring such Specified Note or an interest therein will be
deemed to make, a representation to the effect that (x) either (i) it is not a bank making an extension of credit
pursuant to a loan agreement entered into in the ordinary course of its trade or business (within the meaning of
Section 881(c)(3)(A) of the Code) or (ii) it is a person that is eligible for benefits under an income tax treaty with
the United States that eliminates U.S. federal income taxation of U.S. source interest not attributable to a
permanent establishment in the United States and (y) it is not purchasing the Specified Note in order to reduce its
U.S federal income tax liability or pursuant a tax avoidance plan with respect to U.S. federal income taxes.
Prospective Noteholders should consult their tax adviser concerning the application of U.S. federal income tax
laws, as well as the laws of any state or local taxing jurisdiction, to their particular situation.
United States Taxation of the Issuer
This summary assumes that the Issuer will be treated as a corporation for U.S. federal income tax purposes and
that no election will be made for the Issuer to be treated otherwise. It is intended that the Issuer will not operate
so as to be engaged in a trade or business in the United States for U.S. federal income tax purposes and,
accordingly, will not be subject to U.S. federal income taxes on its net income. Although there is no direct
authority addressing transactions similar to those contemplated herein, under current law and assuming
compliance with the Issuer's organisational documents and with the Transaction Documents, and assuming the
Issuer conducts its affairs in accordance with certain assumptions and representations as to the Issuer's
contemplated activities, the Issuer believes its contemplated activities will not cause it to be engaged in a trade or
business in the United States. This summary assumes that the Issuer will not be so engaged. If the IRS were
successfully to assert that the Issuer is engaged in a U.S. trade or business, however, there could be material
adverse financial consequences to the Issuer and to persons who hold the Specified Notes. There can be no
assurance, that the Issuer's net income will not become subject to U.S. federal net income tax as a result of
unanticipated activities by the Issuer, changes in law, contrary conclusions by U.S. tax authorities or other
causes. In such a case, the Issuer would be potentially subject to substantial U.S. federal income tax and, in
certain circumstances, interest payments by the Issuer under the Specified Notes could be subject to U.S.
withholding tax. The imposition of any of the foregoing taxes could materially affect the Issuer's ability to pay
principal, interest, and other amounts owing in respect of the Specified Notes.
Characterisation of the Notes
The Issuer will treat the VF Notes, Class A Notes, Class B Notes, Class C Notes and Class D Notes as debt for
U.S. federal income tax purposes, and this summary assumes such treatment. By acquiring an interest in a
Initial Rated Note (which term shall include the VF Notes for the purposes of this section), the Holder will agree to
treat such Initial Rated Note as debt for U.S. federal income tax purposes. Prospective investors should note,
however, that the classification of an instrument as debt or equity is highly factual, and there can be no
assurance that the IRS will not contend, and that a court will not ultimately hold, that one or more Classes of
Notes, particularly the more junior Classes of Notes, are equity of the Issuer. For example, due to the
subordination of the Class D Notes to the other Initial Rated Notes and certain other terms of such Notes, the IRS
could successfully assert that such Notes are equity of the Issuer.
If the IRS were to challenge the treatment of the Initial Rated Notes and such challenge succeeded, the affected
Notes would be treated as equity interests and the U.S. federal income tax consequences of investing in those
Specified Notes would be the same as those described below with respect to investments in the Class E
Subordinated Notes. Holders of the Initial Rated Notes should note that no rulings have been or will be sought
from the IRS with respect to the classification of the Initial Rated Notes or the U.S. federal income tax
consequences discussed below, and no assurance can be given that the IRS or the courts will not take a contrary
position to any of the views expressed herein. Under U.S. federal income tax principles, a strong likelihood exists
that the Class E Subordinated Notes will be treated as equity. By acquiring an interest in a Class E Subordinated
Note, the holder will agree to treat such Class E Subordinated Note as equity for U.S. federal income tax
purposes. This summary assumes such treatment.
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Interest on the Initial Rated Notes
A U.S. Holder of an Initial Rated Note that uses the cash method of accounting must include in income the
U.S. Dollar value of interest paid in Euros ("Euro Interest") when received. Euro Interest received is translated
at the U.S.$/Euro spot rate on the date of receipt, regardless of whether the payment is converted into
U.S. Dollars on such date. A cash method U.S. Holder will therefore generally not have foreign currency gain or
loss on receipt of a Euro Interest payment but may have foreign currency gain or loss upon disposing of the Euro
received.
A U.S. Holder of an Initial Rated Note that uses the accrual method of accounting or any U.S. Holder required to
accrue original issue discount ("OID") will be required to include in income the U.S. Dollar value of Euro interest
accrued during the accrual period. An accrual basis U.S. Holder may determine the amount of income
recognised with respect to such interest using either of two methods, in either case regardless of whether the
payments are in fact converted into U.S. Dollars on the date of receipt. Under the first method, the U.S. Dollar
value of accrued interest is translated at the average Euro rate for the interest accrual period (or, with respect to
an accrual period that spans two taxable years, the partial period within the taxable year). An accrual method
U.S. Holder of an Initial Rated Note that uses this first method will therefore recognise foreign currency gain or
loss, as the case may be, on interest paid to the extent that the U.S.$/Euro exchange rate on the date the interest
is received differs from the rate at which the interest income was accrued. Under the second method, the U.S.
Holder can elect to accrue interest at the U.S.$/Euro spot rate on the last day of an interest accrual period (or, in
the case of an accrual period that spans two taxable years, at the exchange rate in effect on the last day of the
partial period within the taxable year) or, if the last day of an interest accrual period is within five business days of
the receipt of such interest, the U.S.$/Euro spot rate on the date of receipt. An election to accrue interest at the
U.S.$/Euro exchange rate generally will apply to all foreign currency denominated debt instruments held by the
U.S. Holder, and is irrevocable without the consent of the IRS. Regardless of the method used to accrue interest,
a U.S. Holder may have additional foreign currency gain or loss upon a subsequent disposition of the Euro
received.
For U.S. federal income tax purposes, OID is the excess of the "stated redemption price at maturity" of a debt
instrument over its "issue price", if that excess equals or exceeds ¼ of 1 per cent. of the debt instrument's stated
redemption price at maturity multiplied by the number of complete years from its issue date to its maturity or
weighted average maturity in the case of instalment obligations (the "OID de minimis amount"). The "stated
redemption price at maturity" of a debt instrument such as the Initial Rated Notes is the sum of all payments
required to be made on the Initial Rated Note other than "qualified stated interest" payments. The "issue price"
of an Initial Rated Note generally is the first offering price to the public at which a substantial amount of the debt
instrument is sold. The term "qualified stated interest" generally means stated interest that is unconditionally
payable in cash or property (other than debt instruments of the issuer), or that is treated as constructively
received at least annually at a single fixed rate or, under certain conditions discussed below, at a variable rate.
U.S Holders should note that if there were more than a remote likelihood that the Issuer will defer interest
payments on the Class B Notes, Class C Notes or Class D Notes, all interest payable on such Notes (including
interest on accrued but unpaid interest) would be treated as OID. The Issuer has determined that the likelihood
of interest being deferred is for this purpose remote. However, if the Issuer defers an interest payment on a
Class B Note, Class C Note or Class D Note, the U.S. Holder thereafter must accrue OID on the principal amount
(including accrued undistributed OID) on the relevant Class of Notes.
If a U.S. Holder holds an Initial Rated Note with OID (an "OID Note"), such U.S. Holder may be required to
include OID in income before receipt of the associated cash payment, regardless of the U.S. Holder's accounting
method for tax purposes. If the U.S. Holder is an initial purchaser of an OID Note, the amount of the OID
includible in income is the sum of the daily accruals of the OID for the Note for each day during the taxable year
(or portion of the taxable year) in which such U.S. Holder held the OID Note. The daily portion is determined by
allocating the OID for each day of the accrual period. An accrual period may be of any length and the accrual
periods may even vary in length over the term of the OID Note, provided that each accrual period is no longer
than one year and each scheduled payment of principal or interest occurs either on the first day of an accrual
period or on the final day of an accrual period. The amount of OID allocable to an accrual period is equal to the
difference between: (a) the product of the "adjusted issue price" of the OID Note at the beginning of the accrual
period and its yield-to-maturity (computed generally using a constant yield method and compounded at the end of
each accrual period, taking into account the length of the particular accrual period) and (b) the amount of any
qualified stated interest allocable to the accrual period. The "adjusted issue price" of an OID Note at the
beginning of any accrual period is the sum of the issue price of the OID Note plus the amount of OID allocable to
all prior accrual periods reduced by any payments the U.S. Holder received on the OID Note that were not
qualified stated interest. Under these rules, the U.S. Holder generally will have to include in income increasingly
greater amounts of OID in successive accrual periods.
Interest payments on certain "variable rate debt instruments" may be considered qualified stated interest. For
this purpose, the Initial Rated Notes will be "variable rate debt instruments" if the Initial Rated Notes (a) have an
issue price that does not exceed the total non-contingent principal payments on the Initial Rated Notes by more
than an amount equal to the lesser of: (i) 0.015 multiplied by the product of such total non-contingent principal
payments and the number of complete years to maturity of the Initial Rated Notes and (ii) 15 per cent. of the total
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non-contingent principal payments on the Initial Rated Notes, (b) provide for stated interest (compounded or paid
at least annually) at the current value of one or more qualified floating rates, including the EURIBOR rate on the
Initial Rated Notes and (c) does not provide for any principal payments that are contingent. The Initial Rated
Notes will qualify as variable rate debt instruments, provided the issue price is not more than €110,500 per
€100,000 of principal amount. None of the interest payments on Initial Rated Notes will be treated as qualified
stated interest if the issue price is more than €110,500 per €100,000 of principal amount.
Because the OID rules are complex, each U.S. Holder of an OID Note should consult with its own tax
adviser regarding the acquisition, ownership, and disposition of such Note.
Interest on the Initial Rated Notes received by a U.S. Holder will generally be treated as foreign source "passive
income" for U.S. foreign tax credit purposes, or, in the case of a financial services entity, as "financial services
income". U.S. Holders should note, however, that, for taxable years beginning after 31 December 2006, the
"financial services income" category will be eliminated. For such years, the foreign tax credit limitation categories
will be limited to "passive category income" and "general category income".
Sale, Exchange, Redemption or Repayment of the Initial Rated Notes
Unless a non-recognition provision applies (and subject to the "Passive Foreign Investment Companies"
discussion in this section of the Offering Circular below which is relevant for holders of the Class E Subordinated
Notes), a U.S. Holder generally will recognise gain or loss on the sale, exchange, repayment or other disposition
of an Initial Rated Note equal to the difference between the amount realised plus the fair market value of any
property received on the disposition (other than amounts attributable to accrued but unpaid interest) and the U.S.
Holder's adjusted tax basis in the Initial Rated Note.
The amount realised on the sale, exchange, redemption or repayment of an Initial Rated Note generally is
determined by translating the Euro proceeds into U.S. Dollars at the U.S.$/Euro spot rate on the date the Initial
Rated Note is disposed of, while a U.S. Holder's adjusted tax basis in an Initial Rated Note generally will be the
cost of the Initial Rated Note to the U.S. Holder, determined by translating the Euro purchase price into
U.S. Dollars at the U.S.$/Euro spot rate on the date the Initial Rated Note was purchased, and increased by the
amount of any OID accrued and reduced by any payments other than payments of qualified stated interest of
such Note. If, however, the Initial Rated Notes are traded on an established securities market, a cash basis U.S.
Holder or electing accrual basis U.S. Holder will determine the amount realised on the settlement date. An
election by an accrual basis U.S. Holder to apply the U.S.$/Euro spot rate on the settlement date will be subject
to the rules regarding currency translation elections described above, and cannot be changed without the
consent of the IRS. The amount of foreign currency gain or loss realised with respect to accrued but unpaid
interest is the difference between the U.S. Dollar value of the interest based on the U.S.$/Euro spot rate on the
date the Initial Rated Notes are disposed of and the U.S. Dollar value at which the interest was previously
accrued. A U.S. Holder will have a tax basis in Euro received on the sale, exchange or retirement of an Initial
Rated Note equal to the U.S. Dollar value of the Euro on the relevant date. Foreign currency gain or loss on a
sale, exchange, redemption or repayment of an Initial Rated Note is recognised only to the extent of total gain or
loss on the transaction.
Foreign currency gain or loss recognised by a U.S. Holder on the sale, exchange or other disposition of an Initial
Rated Note (including repayment at maturity) generally will be treated as ordinary income or loss. Gain or loss in
excess of foreign currency gain or loss on an Initial Rated Note generally will be treated as capital gain or loss.
The deductibility of capital losses is subject to limitations. In the case of a non-corporate U.S. Holder, the
maximum marginal U.S. federal income tax rate applicable to such gain will be lower than the maximum marginal
U.S. federal income tax rate applicable to ordinary income (other than certain dividends) if such U.S. Holder's
holding period for such Initial Rated Notes exceeds one year.
Tax Treatment of U.S. Holders of Class E Subordinated Notes
As noted above, a U.S. Holder of a Class E Subordinated Note should be viewed as owning equity, rather than
debt, of the Issuer for U.S. federal income tax purposes. This summary assumes that the Class E Subordinated
Notes will be treated as equity rather than debt for U.S. federal income tax purposes.
Investment in a Passive Foreign Investment Company
A foreign corporation will be classified as a Passive Foreign Investment Company (a "PFIC") for U.S. federal
income tax purposes if 75 per cent. or more of its gross income (including the pro rata share of the gross income
of any company in which the Issuer is considered to own 25 per cent. or more of the shares by value) in a taxable
year is passive income. Alternatively, a foreign corporation will be classified as a PFIC if at least 50 per cent. of
its assets, averaged over the year and generally determined based on fair market value (including the pro rata
share of the assets of any company in which the Issuer is considered to own 25 per cent. or more of the shares
by value) are held for the production of, or produce, passive income.
Based on the assets that the Issuer expects to hold and the income anticipated thereon, it is highly likely that the
Issuer will be classified as a PFIC for U.S. federal income tax purposes. Accordingly, the following discussion
assumes that the Issuer will be a PFIC throughout the term of the Class E Subordinated Notes, and U.S. Holders
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of Class E Subordinated Notes should assume that they will be subject to the U.S. federal income tax
consequences described below that result from owning equity in a PFIC (subject to the discussion below under
"Investment in a Controlled Foreign Corporation").
Unless a U.S. Holder elects to treat the Issuer as a "qualified electing fund" (as described in the next paragraph)
and the PFIC rules are otherwise applicable, upon certain distributions ("Excess Distributions") by the Issuer
and upon a disposition of the Class E Subordinated Notes at a gain, the U.S. Holder will be liable to pay tax at
the highest tax rate on ordinary income in effect for each period to which the income is allocated plus interest on
the tax, as if such distributions and gain had been recognised rateably over the U.S. Holder's holding period for
the Class E Subordinated Notes. An interest charge is also applied to the deferred tax amount resulting from the
deemed rateable distribution. Finally, a U.S. Holder who acquires Class E Subordinated Notes from a decedent
U.S. Holder would not receive the step-up of the income tax basis to fair market value for such Class E
Subordinated Notes, but would have a tax basis equal to the decedent's basis, if lower.
If a U.S. Holder elects to treat the Issuer as a "qualified electing fund" (a "QEF"), distributions and gain will not be
taxed as if recognised rateably over the U.S. Holder's holding period or subject to an interest charge, nor will the
denial of a basis step-up at death described above apply. Instead, a U.S. Holder that makes a QEF election is
required for each taxable year to include in income the U.S. Holder's pro rata share of the ordinary earnings of
the QEF in question as ordinary income and a pro rata share of the net capital gain of the QEF in question as
capital gain, regardless of whether such earnings or gain have in fact been distributed (assuming the discussion
in this section of the Offering Circular headed "Investment in a Controlled Foreign Corporation" below does not
apply), and subject to a separate election to defer payment of taxes, which deferral is subject to an interest
charge. Consequently, in order to comply with the requirements of a QEF election, a U.S. Holder must receive
from the Issuer certain information. The Issuer intends to supply U.S. Holders (at the expense of such U.S.
Holders and provided that the Issuer is paid in advance) with the information needed for such U.S. Holders to
comply with the requirements of their QEF election. Except as expressly set forth below, the discussion below
assumes that a QEF election will not be made.
As a result of the nature of the Issuer Investments that the Issuer intends to hold, the Issuer may hold
investments treated as equity of non-United States corporations that are PFICs. In such a case, assuming that
the Issuer is a PFIC, a U.S. Holder would be treated as owning its pro rata share of the equity of the PFIC owned
by the Issuer. Such a U.S. Holder would be subject to the rules generally applicable to shareholders of PFICs
discussed above with respect to distributions received by the Issuer from such a PFIC and dispositions by the
Issuer of the equity of such a PFIC (even though the U.S. Holder may not have received the proceeds of such
distribution or disposition). Assuming the Issuer receives the necessary information from the PFIC in which it
owns equity, certain U.S. Holders may make the QEF election discussed above with respect to the equity of the
PFIC owned by the Issuer. However, no assurance can be given that the Issuer will be able to provide U.S.
Holders with such information. If the Issuer is a PFIC, each U.S. Holder of a Class E Subordinated Note must
make an annual return on IRS Form 8621, reporting distributions received and gains realised with respect to
each PFIC in which the U.S. Holder holds a direct or indirect interest. Prospective purchasers should consult
their tax advisers regarding the potential application of the PFIC rules.
Investment in a Controlled Foreign Corporation
Depending on the degree of ownership of the Class E Subordinated Notes and other equity interests in the Issuer
by U.S. Holders and whether the Class E Subordinated Notes are treated as voting securities, the Issuer may
constitute a controlled foreign corporation (a "CFC"). In general, a foreign corporation will constitute a CFC if
more than 50 per cent. of the shares of the corporation, measured by reference to combined voting power or
value, are owned, directly or indirectly, by "U.S. 10 per cent. Shareholders". A "U.S. 10 per cent. Shareholder",
for this purpose, is any U.S. person that possesses 10 per cent. or more of the combined voting power of all
classes of shares of a corporation. It is possible that the IRS may assert that the Class E Subordinated Notes
should be treated as voting securities, and consequently that the U.S. Holders owning Class E Subordinated
Notes so treated, or any combination of such Class E Subordinated Notes and other voting securities of the
Issuer, that constitute 10 per cent. or more of the combined voting power of all classes of shares of the Issuer are
"U.S. 10 per cent. Shareholders" and that, assuming more than 50 per cent. of the Class E Subordinated Notes
and other voting securities of the Issuer are held by such U.S. 10 per cent. Shareholders, the Issuer is a CFC.
If the Issuer were treated as a CFC, a U.S. 10 per cent. Shareholder of the Issuer would be treated, subject to
certain exceptions, as receiving a dividend at the end of the taxable year of the Issuer in an amount equal to that
person's pro rata share of the "subpart F income" and investments in U.S. property of the Issuer. Among other
items, and subject to certain exceptions, "subpart F income" includes dividends, interest, annuities, gains from
the sale of shares and securities, certain gains from commodities transactions, certain types of insurance income
and income from certain transactions with related parties. It is likely that, if the Issuer were to constitute a CFC,
predominantly all of its income would be subpart F income. In addition, special rules apply to determine the
appropriate exchange rate to be used to translate such amounts treated as dividends and the amount of any
foreign currency gain or loss with respect to distributions of previously taxed amounts attributable to movements
in exchange rates between the times of deemed and actual distributions, and certain “dividends” from such CFC
could be recharacterised as U.S. source income for foreign tax credit purposes. Unless otherwise noted, the
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discussion below assumes that the Issuer is not a CFC. U.S. Holders should consult their tax advisers regarding
these special rules.
If the Issuer were to constitute a CFC, for the period during which a U.S. Holder of Class E Subordinated Notes is
a U.S. 10 per cent. Shareholder of the Issuer, such holder generally would be taxable on the subpart F income
and investments in U.S. property of the Issuer under rules described in the preceding paragraph and not under
the PFIC rules previously described. A U.S. Holder that is a U.S. 10 per cent. Shareholder of the Issuer subject
to the CFC rules for only a portion of the time during which it holds Class E Subordinated Notes should consult its
own tax adviser regarding the interaction of the PFIC and CFC rules.
Disbursements on the Class E Subordinated Notes
Except to the extent that disbursements may be attributable to amounts previously taxed pursuant to the CFC
rules or a QEF election is made, some or all of any disbursements with respect to the Class E Subordinated
Notes may constitute Excess Distributions, taxable as previously described. Disbursements of current or
accumulated earnings and profits which are not Excess Distributions will be taxed as dividends when received.
The amount of such income is determined by translating Euros received into U.S. Dollars at the U.S.$/Euro spot
rate on the date of receipt. A U.S. Holder may realise foreign currency gain or loss on a subsequent disposition
of the Euros received, (see the section of this section of the Offering Circular headed "Tax Considerations –
United States Federal Income Taxation").
Eligibility for Reduced Rate of Taxation on Dividends
It is not expected that dividends received on the Class E Subordinated Notes will be eligible for taxation at the
lower rates applicable to long-term capital gains that are available on certain dividends paid to non-corporate
U.S. Holders of shares of U.S. corporations and certain non-U.S. corporations.
Disposition of the Class E Subordinated Notes
In general, a U.S. Holder of a Class E Subordinated Note will recognise gain or loss upon the sale or exchange of
the Class E Subordinated Note equal to the difference between the amount realised and such holder's adjusted
tax basis in such Class E Subordinated Note. Initially, the tax basis of a U.S. Holder should equal the amount
paid for a Class E Subordinated Note. Such basis will be increased by amounts taxable to such holder by virtue
of the CFC rules, and decreased by actual distributions from the Issuer that are deemed to consist of such
previously taxed amounts or are treated as a non-taxable return of capital. A U.S. Holder that receives foreign
currency upon the sale or other disposition of the Class E Subordinated Notes generally will realise an amount
equal to the U.S. Dollar value of the foreign currency on the date of sale. A U.S. Holder will have a tax basis in
the foreign currency received equal to the U.S. Dollar amount realised. Any gain or loss realised by a U.S.
Holder on a subsequent conversion of the foreign currency for a different amount will be a foreign currency gain
or loss. If, however, the Class E Subordinated Notes are traded on an established securities market, a cash
basis U.S. Holder or electing accrual basis U.S. Holder will determine the amount realised on the settlement date.
Unless a QEF election is made it is highly likely that any gain realised on the sale or exchange of a Class E
Subordinated Note will be treated as an Excess Distribution and taxed as ordinary income under the special tax
rules described above, (see the section of this Offering Circular headed "Tax Considerations – United States
Federal Income Taxation").
Subject to a special limitation for individual U.S. Holders that have held the Class E Subordinated Notes for more
than one year, if the Issuer were treated as a CFC and a U.S. Holder were treated as a U.S. 10 per cent.
Shareholder therein, then any gain realised by such holder upon the disposition of Class E Subordinated Notes,
other than gain constituting an Excess Distribution, would be treated as ordinary income to the extent of the U.S.
Holder's pro rata share of current and accumulated earnings and profits of the Issuer. In this respect, earnings
and profits would not include any amounts previously taxed pursuant to the CFC rules.
Foreign Currency Gain or Loss
A U.S. Holder of Class E Subordinated Notes (or other Notes treated as equity interests in the Issuer) that
recognises income from such Notes under the QEF or CFC rules discussed above will recognise foreign currency
gain or loss attributable to movement in foreign exchange rates between the date when it recognised income
under those rules and the date when the income actually is distributed.
A U.S. Holder that purchases Notes with previously owned foreign currency generally will recognise foreign
currency gain or loss in an amount equal to any difference between the U.S. Holder's tax basis in the foreign
currency and the U.S. Dollar value of the foreign currency at the U.S.$/Euro spot rate on the date the Specified
Notes are purchased. A U.S. Holder that receives foreign currency upon the sale or other disposition of the
Specified Notes generally will realise an amount equal to the U.S. Dollar value of the foreign currency on the date
of sale. A U.S. Holder will have a tax basis in the foreign currency received equal to the U.S. Dollar amount
realised. Any gain or loss realised by a U.S. Holder on a subsequent conversion of the foreign currency for a
different amount will be a foreign currency gain or loss.
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Reportable Transaction Reporting
Under certain U.S. Treasury Regulations, U.S. Holders that participate in "reportable transactions" (as defined in
the regulations) must attach to their U.S. federal income tax returns a disclosure statement on Form 8886. U.S.
Holders should consult their own tax advisers as to the possible obligation to file Form 8886 with respect to the
ownership or disposition of the Notes, or any related transaction, including without limitation the disposition of any
non-U.S. currency received as interest or as proceeds from the sale or other disposition of the Notes.
Transfer Reporting Requirements
A U.S. Holder (including a U.S. tax-exempt entity) that transfers property (including cash) to the Issuer in
exchange for Class E Subordinated Notes may be required to file an IRS Form 926 or similar form with the IRS.
In the event a U.S. Holder fails to file any required form, it could be subject to a penalty equal to 10 per cent. of
the fair market value of the Class E Subordinated Notes purchased by such U.S. Holder (generally up to a
maximum of U.S.$100,000).
Tax Treatment of Non-U.S. Holders of Notes
Subject to the discussion in this section of the Offering Circular headed "Information Reporting and Backup
Withholding Tax" below, payments, including interest, OID and any amounts treated as dividends, on a Specified
Note to a non-U.S. Holder and gains realised on the sale, exchange or retirement of a Specified Note by a
non-U.S. Holder, will not be subject to U.S. federal income or withholding tax, unless (a) such income is
effectively connected with a trade or business conducted by such non-U.S. Holder in the United States or (b) in
the case of U.S. federal income tax imposed on gains, such non-U.S. Holder is a non-resident alien individual
who holds a Specified Note as a capital asset and is present in the United States for 183 days or more in the
taxable year of sale and certain other conditions are satisfied.
Issuer Investments in Bearer Form
In computing the Issuer's earnings for the purposes of the CFC or QEF rules, losses on dispositions of securities
in bearer form may not be allowed. Similarly, in computing the Issuer's ordinary earnings and net capital gain for
purposes of the PFIC rules, losses on dispositions of securities in bearer form may not be allowed, and any gain
on such securities may be ordinary rather than capital.
Information Reporting and Backup Withholding Tax
The amount of interest and principal paid or accrued on the Specified Notes, and the proceeds from the sale of a
Specified Note, in each case, paid within the United States or by a U.S. payor or U.S. middleman to a U.S.
person (other than a corporation or other exempt recipient) will be reported to the IRS. Under the Code, a U.S.
person may be subject, under certain circumstances, to "backup withholding tax" with respect to interest and
principal on a Note or the gross proceeds from the sale of a Specified Note paid within the United States or by a
U.S. middleman or United States payor to a U.S. Person. The backup withholding tax rate is 28 per cent. through
2010. Backup withholding tax generally applies only if the U.S. person: (a) fails to furnish its social security or
other taxpayer identification number within a reasonable time after the request therefor, (b) furnishes an incorrect
taxpayer identification number, (c) is notified by the IRS that it has failed to properly report interest OID or
dividends or (d) fails, under certain circumstances, to provide a certified statement, signed under penalty of
perjury, that it has furnished a correct taxpayer identification number and has not been notified by the IRS that it
is subject to backup withholding tax for failure to report interest and dividend payments.
Non-U.S. persons may be required to comply with certification procedures to establish that they are not subject to
information reporting and backup withholding tax.
In the case of payments to a foreign simple trust, a foreign grantor trust or a foreign partnership (other than
payments to a foreign simple trust, a foreign grantor trust or a foreign partnership that qualifies as a "withholding
foreign trust" or a "withholding foreign partnership" within the meaning of the applicable United States Treasury
Regulations and payments to a foreign simple trust, a foreign grantor trust or a foreign partnership that are
effectively connected with the conduct of a trade or business in the United States), the beneficiaries of the foreign
simple trust, the persons treated as the owners of the foreign grantor trust or the partners of the foreign
partnership, as the case may be, will be required to provide the certification discussed above in order to establish
an exemption from backup withholding tax and information reporting requirements. Moreover, a payor may rely
on a certification provided by a payee that is not a U.S. person only if such payor does not have actual
knowledge or a reason to know that any information or certification stated in such certificate is incorrect.
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CERTAIN ERISA CONSIDERATIONS
The U.S. Employee Retirement Income Security Act of 1974, as amended ("ERISA") imposes fiduciary standards
and certain other requirements on employee benefit plans and other retirement arrangements subject thereto,
including collective investment funds, insurance company general and separate accounts whose underlying
assets are treated as if they were assets of such plans pursuant to the U.S. Department of Labor's "plan assets"
regulation, set forth at 29 C.F.R. Section 2510.3-101 (the "Plan Assets Regulation") (collectively, "ERISA
Plans") and on those persons who are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are
subject to ERISA's general fiduciary requirements, including the requirement of investment prudence and
diversification and the requirement that an ERISA Plan's investments be made in accordance with the documents
governing the ERISA Plan. The prudence of a particular investment will be determined by the responsible
fiduciary of an ERISA Plan by taking into account the ERISA Plan's particular circumstances and all of the facts
and circumstances of the investment including, but not limited to, the matters discussed above under the section
of this Offering Circular headed "Risk Factors" and the fact that in the future there may be no market in which
such fiduciary will be able to sell or otherwise dispose of the Notes.
In addition, Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets
of an ERISA Plan (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of
the Code (together with ERISA Plans, "Plans")) and certain persons (referred to as "parties in interest" or
"disqualified persons") having certain relationships to such Plans, unless a statutory or administrative exemption
applies to the transaction. In particular, a sale or exchange of property or an extension of credit between a Plan
and a "party in interest" or "disqualified person" may constitute a prohibited transaction. In the case of
indebtedness, the prohibited transaction provisions apply throughout the term of such indebtedness (and not only
on the date of the initial borrowing). A party in interest or disqualified person who engages in a prohibited
transaction may be subject to excise taxes or other liabilities under ERISA and the Code.
Governmental plans and certain church plans, while not subject to the fiduciary responsibility provisions of ERISA
or the provisions of Section 4975 of the Code, may nevertheless be subject to U.S. state, local or other federal
laws that are substantially similar to the foregoing provisions of ERISA and the Code. Fiduciaries of any such
plans should consult with their counsel before purchasing any VF Notes, Class A Notes, Class B Notes, Class C
Notes, Class D Notes or Class E Subordinated Notes.
Under a "look-through rule" set forth in the Plan Assets Regulation, if a Plan invests in an "equity interest" of an
entity and no other exception applies, the Plan's assets include both the equity interest and an undivided interest
in each of the entity's underlying assets. An equity interest does not include debt (as determined by applicable
local law) which does not have substantial equity features. Under the Plan Assets Regulation, if a Plan invests in
an "equity interest" of an entity that is neither a "publicly-offered security" nor a security issued by an investment
company registered under the Investment Company Act, the Plan's assets include both the equity interest and an
undivided interest in each of the entity's underlying assets, unless it is established that the entity is an "operating
company" or that equity participation in the entity by "benefit plan investors" is not "significant". Equity
participation in an entity by "benefit plan investors" is "significant" if 25 per cent. or more of the value of any class
of equity interest in the entity is held by "benefit plan investors". The term "benefit plan investor" includes (a) an
employee benefit plan (as defined in Section 3(3) of ERISA) whether or not subject to ERISA, (b) a plan
described in Section 4975(e)(1) of the Code that is subject to Section 4975 of the Code or (c) any entity whose
underlying assets include "plan assets" by reason of any such employee benefit plan's or plan's investment in the
entity. For purposes of making the 25 per cent. determination, the value of any equity interests held by a person
(other than a benefit plan investor) who has discretionary authority or control with respect to the assets of the
Issuer or any person who provides investment advice for a fee (direct or indirect) with respect to the Issuer's
assets, or any affiliate of such a person, shall be disregarded. Under the Plan Assets Regulation, an "affiliate" of
a person includes any person, directly or indirectly through one or more intermediaries, controlling, controlled by
or under common control with, the person, and "control" with respect to a person, other than an individual, means
the power to exercise a controlling influence over the management or policies of such person.
The Class E Subordinated Notes would likely be considered to have substantial equity features under the Plan
Assets Regulation and, accordingly, may not be acquired by any "benefit plan investor" (as defined in the Plan
Assets Regulation) that is subject to ERISA and/or Section 4975 of the Code. There can be no assurance that,
despite the transfer restrictions relating to purchases by benefit plan investors and procedures to be employed to
attempt to limit the ownership by benefit plan investors of the Class E Subordinated Notes to less than 25 per
cent. (as determined under the Plan Assets Regulation) of the value of the Class E Subordinated Notes, benefit
plan investors will not in actuality own 25 per cent. or more of the value of the Class E Subordinated Notes.
EACH PURCHASER AND TRANSFEREE OF CLASS E SUBORDINATED NOTE, OR OF ANY INTEREST
THEREIN, WILL BE REQUIRED TO HAVE EXECUTED AN INVESTOR LETTER WITH RESPECT THERETO
(SUBSTANTIALLY IN THE FORM PROVIDED IN APPENDIX 1 TO THE OFFERING CIRCULAR) WHICH
STATES, AMONG OTHER THINGS, THAT THE PURCHASER OR TRANSFEREE REPRESENTS,
WARRANTS AND COVENANTS THAT, AT THE TIME OF ITS ACQUISITION AND THROUGHOUT THE
PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST THEREIN, (1) EITHER (A) IT
IS NOT, AND IS NOT USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (AS DEFINED IN THE U.S.
DEPARTMENT OF LABOR "PLAN ASSETS REGULATION") OR (B) IT IS, OR IS USING THE ASSETS OF, A
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BENEFIT PLAN INVESTOR THAT IS NOT SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE
OR ANY FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAW OR REGULATION THAT IS
SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE
CODE ("SIMILAR LAWS") AND (2) IT WILL NOT SELL OR OTHERWISE TRANSFER ANY CLASS E
SUBORDINATED NOTE, OR ANY INTEREST THEREIN, TO ANY PERSON WITHOUT FIRST OBTAINING
FROM SUCH PERSON THESE SAME FOREGOING WRITTEN REPRESENTATIONS, WARRANTIES AND
COVENANTS.
If for any reason the assets of the Issuer are deemed to be "plan assets" of an ERISA Plan because one or more
ERISA Plan is an owner of Class E Subordinated Notes (or of any "equity interest" in the Issuer), certain
transactions that the Issuer might enter into, or may have entered into, in the ordinary course of its business
might constitute non-exempt "prohibited transactions" under Section 406 of ERISA or Section 4975 of the Code
and might have to be rescinded at significant cost to the Issuer. In addition, the Collateral Manager, as an ERISA
fiduciary may be prevented from engaging in certain investments (as not being deemed consistent with the
ERISA prudent investment standards) or engaging in certain transactions or fee arrangements because they
might be deemed to cause non-exempt prohibited transactions.
Based on the credit quality and the absence of rights to payment in excess of principal and stated interest, the
Issuer believes that the VF Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D
Notes should not be considered to be "equity interests" for purposes of the Plan Assets Regulation.
Nevertheless, prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code
may arise if the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes are acquired by a
Plan with respect to which the Issuer or the Placement Agent or any of their respective Affiliates is a party in
interest or a disqualified person. Similarly, "prohibited transactions" within the meaning of Section 406 of ERISA
or Section 4975 of the Code may arise if a person or entity which is a party in interest or disqualified person with
respect to a Plan acquires or holds 50 per cent. or more of the aggregate equity interest in the Issuer. Certain
exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code
may apply depending in part on the type of Plan fiduciary making the decision to acquire a Class A Note, Class B
Note, Class C Note or Class D Note and the circumstances under which such decision is made. Included among
these exemptions are Prohibited Transaction Class Exemption ("PTCE") 91-38 (relating to investments by bank
collective investment funds), PTCE 84-14, amended effective August 23, 2005, (relating to transactions effected
by a "qualified professional asset manager"), PTCE 90-1 (relating to investments by insurance company pooled
separate accounts), PTCE 95-60 (relating to transactions involving insurance company general accounts) and
PTCE 96-23 (relating to transactions determined by an in-house asset manager). There can be no assurance
that any of these class exemptions or any other exemption will be available with respect to any particular
transaction involving the VF Notes, the Class A Notes, Class B Notes, Class C Notes or Class D Notes.
BY ITS PURCHASE OF ANY VF NOTE, CLASS A NOTE, CLASS B NOTE, CLASS C NOTE OR CLASS D
NOTE OR OF ANY INTEREST THEREIN, THE PURCHASER THEREOF AND EACH TRANSFEREE WILL BE
DEEMED TO HAVE REPRESENTED AND WARRANTED THAT, AT THE TIME OF ITS ACQUISITION AND
THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST
THEREIN, EITHER (A) IT IS NOT AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF ERISA)
THAT IS SUBJECT TO SECTION 406 OF ERISA, A PLAN DESCRIBED IN SECTION 4975(e)(1) OF THE
CODE, OR AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF ANY
SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY OR OTHERWISE, OR A
GOVERNMENTAL PLAN, NON-U.S. PLAN OR CHURCH PLAN WHICH IS SUBJECT TO SIMILAR LAWS OR
ITS PURCHASE, HOLDING AND DISPOSITION OF SUCH VF NOTE, CLASS A NOTE, CLASS B NOTE,
CLASS C NOTE OR CLASS D NOTE OR OF ANY INTEREST THEREIN, WILL NOT CONSTITUTE OR
RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA AND/OR
SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL PLAN, NON-U.S. PLAN OR
CHURCH PLAN, A VIOLATION OF ANY SIMILAR LAWS).
Any insurance company proposing to invest assets of its general account in the VF Notes, Class A Notes,
Class B Notes, Class C Notes or Class D Notes or in any interest therein, should consider the extent to which
such investment would be subject to the requirements of ERISA in light of the U.S. Supreme Court's decision in
John Hancock Mutual Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993). In particular,
such an insurance company should consider the extent of the relief granted by the U.S. Department of Labor in
PTCE 95-60, and the effect of Section 401(c) of ERISA as interpreted by the regulations issued thereunder by
the U.S. Department of Labor in January 2000. There can be no assurance that PTCE 95-60 will be available.
Any Plan fiduciary that proposes to cause a Plan to purchase any VF Notes, Class A Notes, Class B Notes,
Class C Notes or Class D Notes should consult with its counsel regarding the applicability of the fiduciary
responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code to such an
investment, and to confirm that such investment will not constitute or result in a prohibited transaction or any
other violation of an applicable requirement of ERISA.
The sale of any VF Notes, Class A Notes, Class B Notes, Class C Notes or Class D Notes to a Plan is in no
respect a representation by the Issuer, the Placement Agent or the Collateral Manager that such an investment
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meets all relevant legal requirements with respect to investments by Plans generally or any particular Plan, or
that such an investment is appropriate for Plans generally or any particular Plan.
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PLAN OF DISTRIBUTION
IXIS Securities North America Inc. (in its capacity as the Placement Agent) has, pursuant to the Note Placement
Agency Agreement, agreed with the Issuer, subject to the satisfaction of certain conditions, to use reasonable
efforts to sell on behalf of the Issuer, the VF-1 Notes, the Class A-1 Notes, the Class B-1 Notes, the Class C-1
Notes, the Class D-1 Notes, the Class E-1a Preferred Subordinated Notes, the Class E-1b Subordinated Notes
and the Class E-2 Subordinated Notes, in each case, at the issue price of 100 per cent. (less underwriting and
subscription fees to be agreed between the Issuer and Placement Agent). The Note Placement Agency
Agreement entitles the Placement Agent to terminate it in certain circumstances prior to payment being made to
the Issuer.
In connection with the offering, the Placement Agent, in its capacity as Stabilising Agent, may over-allot or effect
transactions with a view to supporting the market price of the VF-1 Notes and the Notes at a level higher than
that which might otherwise prevail for a limited period after the Initial Closing Date. However, there will be no
obligation on the Stabilising Agent to do this. Such stabilising, if commenced, may be discontinued at any time
and must be brought to an end after a limited period. Such stabilising shall be in compliance with all applicable
laws, regulations and rules.
It is a condition of the issuance of the VF-1 Notes and the Specified Notes of each Class that the VF-1 Notes and
the Specified Notes of each other Class be issued in the following principal amounts: VF-1 Notes:
€408.250.000, Class A-1 Notes: €100,000,000, Class B-1 Notes: €6,250,000, Class C-1 Notes: €12,250,000,
Class D-1 Notes: €12,250,000, Class E-1a Preferred Subordinated Notes: €40,000,000, Class E-1b
Subordinated Notes: €41,000,000 and Class E-2 Subordinated Notes: €4,000,000.
The Issuer has agreed to indemnify the Placement Agent, the Collateral Manager, the Collateral Administrator,
the Trustee and certain other participants against certain liabilities or to contribute to payments they may be
required to make in respect thereof.
Certain Issuer Investments may have been originally underwritten or placed by the Placement Agent. In addition,
the Placement Agent may have in the past performed and may in the future perform investment banking services
or other services for issuers of the Issuer Investments. In addition, the Placement Agent and its Affiliates may
from time to time as a principal or through one or more investment funds that it or they manage, make
investments in the equity securities of one or more of the issuers of the Issuer Investments, with a result that one
or more of such issuers may be or may become controlled by the Placement Agent or its Affiliates.
No action has been or will be taken by the Issuer or the Placement Agent that would permit a public offering of
the VF Notes or the Notes or possession or distribution of this Offering Circular or any other offering material in
relation to the VF Notes or the Notes in any jurisdiction where action for the purpose is required. No offers, sales
or deliveries of any VF Notes or Notes or distribution of this Offering Circular or any other offering material
relating to the VF Notes or the Notes, may be made in or from any jurisdiction, except in circumstances which will
result in compliance with any applicable laws and regulations and will not impose any obligations on the Issuer or
the Placement Agent.
The VF Notes and the Notes have not been and will not be registered under the Securities Act and may not be
offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. Persons or to U.S.
residents (as determined for purposes of the Investment Company Act) ("U.S. Residents") except in certain
transactions exempt from, or not subject to, the registration requirements of the Securities Act and in a manner
so as not to require the registration of the Issuer as an "investment company" pursuant to the Investment
Company Act.
The Issuer has been advised by the Placement Agent that (a) the Placement Agent proposes to resell the
VF Notes and the Notes outside the United States to non-U.S. Persons in offshore transactions in reliance on
Regulation S and in accordance with applicable law and (b) the Placement Agent proposes to resell the VF Notes
and the Notes in the United States through its agent, in reliance on Rule 144A only to purchasers for their own
account or for the accounts of QIBs, each of which purchasers or account holders is a Qualified Purchaser for
purposes of Section 3(c)(7) of the Investment Company Act.
The VF Notes or the Notes sold in reliance on Rule 144A will be issued in minimum denominations of €250,000
and integral multiples of €1,000 in excess thereof. Any offer or sale of Rule 144A Notes in reliance on Rule 144A
will be made by broker-dealers who are registered as such under the Exchange Act. After the VF Notes and the
Notes are released for sale, the offering price and other selling terms may from time to time be varied by the
Placement Agent.
The Placement Agent has acknowledged and agreed that it will not offer, sell or deliver any Regulation S Notes,
or for the account or benefit of, any U.S. Person or U.S. Resident as part of their distribution at any time and that
it will send to each distributor, dealer or person receiving a selling concession, fee or other remuneration to which
it sells Regulation S Notes, a confirmation or other notice setting forth the prohibition on offers and sales of the
Regulation S Notes within the United States or to, or for the account or benefit of, any U.S. Person or U.S.
Resident.
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This Offering Circular has been prepared by the Issuer for use in connection with the offer and sale of the
VF Notes and the Notes and for the listing and admitting of the VF-1 Notes and the Specified Notes on the Irish
Stock Exchange. The Issuer and the Placement Agent reserve the right to reject any offer to purchase, in whole
or in part, for any reason, or to sell less than the principal amount of the VF Notes and the Notes which may be
offered. This Offering Circular does not constitute an offer to any person in the United States or to any U.S.
Person. Distribution of this Offering Circular to any such U.S. Person or to any person within the United States,
other than in accordance with the procedures described above, is unauthorised and any disclosure of any of its
contents, without the written consent of the Issuer, is prohibited.
European Economic Area
The Placement Agent has represented, warranted and agreed in relation to each Member State which has
implemented the Prospectus Directive (each, a "Relevant Member State"), that with effect from and including
the date on which the Prospectus Directive is implemented in that Relevant Member State (the "Relevant
Implementation Date") it has not made and will not make an offer of VF Notes or Notes to the public in that
Relevant Member State prior to the publication of a prospectus in relation to the VF Notes and the Notes which
has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in
another Relevant Member State and notified to the competent authority in that Relevant Member State, all in
accordance with the Prospectus Directive, except that it may, with effect from and including the Relevant
Implementation Date, make an offer of VF Notes or Notes to the public in that Relevant Member State at any
time:
(a)
(b)
(c)
to legal entities which are authorised or regulated to operate in the financial markets or, if not so
authorised or regulated, whose corporate purpose is solely to invest in securities;
to any legal entity which has two or more of (1) an average of at least 250 employees during the last
financial year, (2) a total balance sheet of more than €43,000,000 and (3) an annual net turnover of
more than €50,000,000, as shown in its last annual or consolidated accounts; or
in any other circumstances which do not require the publication by the Issuer of a prospectus pursuant
to Article 3 of the Prospectus Directive.
For the purposes of this representation, warranty and agreement, the expression an "offer of VF Notes or Notes
to the public" in relation to any VF Notes or Notes in any Relevant Member State means the communication in
any form and by any means of sufficient information on the terms of the offer and VF Notes and Notes to be
offered so as to enable an investor to decide to purchase or subscribe for VF Notes or Notes, as the same may
be varied in that Relevant Member State by any measure implementing the Prospectus Directive in that Relevant
Member State and the expression "Prospectus Directive" means Directive 2003/71/EC and includes any
relevant implementing measure in each Relevant Member State.
United Kingdom
The Placement Agent has represented, warranted and agreed that:
(a)
(b)
The Netherlands
it has only communicated or caused to be communicated and will only communicate or cause to be
communicated any invitation or inducement to engage in investment activity (within the meaning of
Section 21 of the Financial Services and Markets Act 2000 (the "FSMA")) received by it in connection
with the issue or sale of any VF Notes or Notes in circumstances in which Section 21(1) of the FSMA
does not apply to the Issuer; and
it has complied and will comply with all applicable provisions of the FSMA with respect to anything done
by it in relation to the VF Notes or Notes, from or otherwise involving the United Kingdom.
The Placement Agent has represented, warranted and agreed that it has not offered and will not offer any
VF Notes or other Notes in The Netherlands.
Ireland
The Placement Agent has also agreed to comply with the following selling restrictions:
(a)
(b)
Denmark
to the extent applicable, it will not underwrite the issue of, or placement of, the VF Notes or Notes
otherwise than in conformity with EU Directive 2003/6/EC and the Irish Market Abuse (Directive
2003/6/EC) Regulations 2005; and
it has not and will not do anything in Ireland in connection with the VF Notes or Notes which would
constitute a breach of the Irish Investment Intermediaries Act 1995.
This Offering Circular has not been and will not be filed with or approved by the Danish financial supervisory
authority or any other regulatory authority in the Kingdom of Denmark. The Placement Agent has represented
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and agreed that the VF Notes and Notes have not been offered or sold and may not be offered, sold or delivered
directly or indirectly in Denmark, unless in compliance with chapters 6 or 12 of the Danish Act on Trading in
Securities and executive orders issued pursuant hereto as amended from time to time. Accordingly, this Offering
Circular may not be made available nor may interests in the Issuer otherwise be marketed and offered for sale in
Denmark other than in circumstances which are deemed not to be a marketing or an offer to the public in
Denmark.
Bermuda
The Placement Agent has represented and agreed that it has not offered or sold and will not offer or sell any
VF Notes or Notes to any person, firm or company regarded as a resident of Bermuda for Exchange Control
purposes and will procure that any purchaser from it of any VF Notes or Notes will comply with such proscription.
New Zealand
The Placement Agent has represented and agreed that the VF Notes and Notes may not be offered, sold or
delivered, directly or indirectly, nor may any offering memorandum, any pricing conditions or advertisement in
relation to any offer of VF Notes or Notes be distributed in New Zealand, other than:
1. to any or all of the following only:
(a)
(b)
(c)
persons whose principal business is the investment of money or who, in the course of and for
the purposes of their business, habitually invest money; and/or
persons who are required to pay a minimum subscription price (disregarding any amount paid
or payable out of money lent by the relevant issuer or offeror or any associated person or either
of them) of at least NZ$500,000 for the VF Notes or Notes before the allotment of those
VF Notes or Notes; and/or
any other person who in all circumstances can properly be regarded as having been selected
other than as members of the public; or
2. in other circumstances where there is no contravention of the Securities Act 1978 of New Zealand.
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TRANSFER RESTRICTIONS
Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer,
resale, pledge or transfer of the VF Notes or the Notes.
Rule 144A Notes
Each prospective purchaser of Rule 144A Notes by accepting delivery of this Offering Circular, will be deemed to
have represented and agreed that such person acknowledges that this Offering Circular is personal to it and does
not constitute an offer to any other person or to the public generally to subscribe for or otherwise acquire
VF Notes or Notes other than to QIBs who are also Qualified Purchasers pursuant to Rule 144A under the
Securities Act and the Investment Company Act of 1940 or to Non-U.S. Persons in offshore transactions in
accordance with Regulation S under the Securities Act. Distribution of this Offering Circular, or disclosure of any
of its contents, to any person other than such offeree and those persons, if any, retained to advise it with respect
thereto is unauthorised and any disclosure of any of its contents, without the written consent of the Issuer, is
prohibited.
Transfers of the VF Note Rule 144A Notes will only be effected in accordance with the VF Instrument.
Each purchaser of Notes represented by a Rule 144A Global Note will be deemed to have represented and
agreed as follows:
(1) The purchaser (a) is a QIB, (b) is aware that the sale of such Rule 144A Notes to it is being made in
reliance on Rule 144A, (c) is acquiring such VF Notes or Notes for its own account or for the account of
a QIB as to which the purchaser exercises sole investment discretion, and in a principal amount of not
less than €250,000 for the purchaser and for each such account and (d) will provide notice of the
transfer restrictions described in this heading to any subsequent transferees.
(2) The purchaser understands that such Rule 144A Notes have not been and will not be registered under
the Securities Act, and may be reoffered, resold or pledged or otherwise transferred only (a)(i) to a
person whom the purchaser reasonably believes is a QIB purchasing for its own account or for the
account of a QIB as to which the purchaser exercises sole investment discretion in a transaction
meeting the requirements of Rule 144A or (ii) in an offshore transaction complying with Rule 903 or Rule
904 of Regulation S and not to, or for the account or benefit of, a U.S. Person and (b) in accordance
with all applicable securities laws including the securities laws of any state of the United States. The
purchaser understands that the Issuer has not been registered under the Investment Company Act. The
purchaser understands that before any interest in a Rule 144A Note may be offered, sold, pledged or
otherwise transferred to a person who takes delivery in the form of an interest in the Regulation S Notes,
the Registrar is required to receive a written certification from the purchaser (in the form provided in the
Trust Deed) as to compliance with the transfer restrictions described herein. The purchaser understands
and agrees that any purported transfer of the Rule 144A Notes to a purchaser that does not comply with
the requirements of this paragraph (2) shall be null and void ab initio.
(3) The purchaser is not purchasing such Rule 144A Notes with a view toward the resale, distribution or
other disposition thereof in violation of the Securities Act. The purchaser understands that an
investment in the Rule 144A Notes involves certain risks, including the risk of loss of its entire
investment in the Rule 144A Notes under certain circumstances. The purchaser has had access to
such financial and other information concerning the Issuer and the Rule 144A Notes as it deemed
necessary or appropriate in order to make an informed investment decision with respect to its purchase
of the Rule 144A Notes, including an opportunity to ask questions of, and request information from, the
Issuer.
(4) In connection with the purchase of the Rule 144A Notes: (a) none of the Issuer, the Placement Agent,
the Trustee, the Collateral Manager or the Collateral Administrator is acting as a fiduciary or financial or
Collateral Manager for the purchaser, (b) the purchaser is not relying (for purposes of making any
investment decision or otherwise) upon any advice, counsel or representations (whether written or oral)
of the Issuer, the Placement Agent, the Trustee, the Collateral Manager or the Collateral Administrator
other than in this Offering Circular for such Rule 144A Notes and any representations expressly set
forth in a written agreement with such party, (c) none of the Issuer, the Placement Agent, the Trustee,
the Collateral Manager or the Collateral Administrator has given to the purchaser (directly or indirectly
through any other person) any assurance, guarantee or representation whatsoever as to the expected
or projected success, profitability, return, performance, result, effect, consequence or benefit (including
legal, regulatory, tax, financial, accounting or otherwise) as to an investment in the Rule 144A , (d) the
purchaser has consulted with its own legal, regulatory, tax, business, investment, financial and
accounting advisers to the extent it has deemed necessary, and it has made its own investment
decisions (including decisions regarding the suitability of any transaction pursuant to the Trust Deed)
based upon its own judgment and upon any advice from such advisers as it has deemed necessary and
not upon any view expressed by the Issuer, the Placement Agent, the Trustee, the Collateral Manager
or the Collateral Administrator, (e) the purchaser has evaluated the rates, prices or amounts and other
terms and conditions of the purchase and sale of the Rule 144A Notes with a full understanding of all of
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the risks thereof (economic and otherwise), and it is capable of assuming and willing to assume
(financially and otherwise) those risks and (f) the purchaser is a sophisticated investor.
(5) The purchaser and each account for which the purchaser is acquiring such Rule 144A Notes is a
Qualified Purchaser. The purchaser is acquiring the Rule 144A Notes in a principal amount of not less
than €250,000. The purchaser and each such account is acquiring the Rule 144A Notes as principal for
its own account for investment and not for sale in connection with any distribution thereof. The
purchaser and each such account: (a) was not formed for the specific purpose of investing in the
Rule 144A Notes (except when each beneficial owner of the purchaser and each such account is a
Qualified Purchaser for purposes of Section 3(c)(7) of the Investment Company Act), (b) to the extent
the purchaser is a private investment company formed before 30 April 1996, the purchaser has received
the necessary consent from its beneficial owners, (c) is not a pension, profit sharing or other retirement
trust fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the
particular investments to be made and (d) is not a broker-dealer that owns and invests on a
discretionary basis less than U.S.$25,000,000 in securities of unaffiliated issues. Further, the purchaser
agrees with respect to itself and each such account: (x) that it shall not hold such Rule 144A Notes for
the benefit of any other person and shall be the sole beneficial owner thereof for all purposes, (y) that it
shall not sell participation interests in the Rule 144A Notes or enter into any other arrangement pursuant
to which any other person shall be entitled to a beneficial interest in the distributions on the Rule 144A
Notes and (z) that the Rule 144A Notes purchased directly or indirectly by it constitute an investment of
no more than 40 per cent. of the purchaser's and each such account's assets (except when each
beneficial owner of the purchaser and each such account is a Qualified Purchaser for purposes of
Section 3(c)(7) of the Investment Company Act). The purchaser understands and agrees that any
purported transfer of the Rule 144A Notes to a purchaser that does not comply with the requirements of
this paragraph (5) will be of no force and effect and be void ab initio and the Issuer will have the right to
direct the purchaser to transfer its Rule 144A Notes to a Person who meets the foregoing criteria.
(6) (a) With respect to the purchase, holding and disposition of any VF Note, Class A Note, Class B
Note, Class C Note or Class D Note, or of any interest therein, either (I) it is not an employee
benefit plan (as defined in section 3(3) of ERISA) that is subject to Section 406 of ERISA, a
plan described in section 4975(e)(1) of the Code, or an entity whose underlying assets include
plan assets by reason of any such employee benefit plan's or plan's investment in the entity or
otherwise, or a governmental, non-U.S. or church plan which is subject to any federal, state,
local, non-U.S. or other law or regulation that is substantially similar to the provisions of
Section 406 of ERISA or Section 4975 of the Code ("Similar Laws"), and no part of the assets
to be used by it to purchase or hold such VF Note, Class A Note, Class B Note, Class C Note
or Class D Note or any interest therein constitutes the assets of any such employee benefit
plan or plan or (II) its purchase, holding and disposition of such VF Note, Class A Note, Class B
Note, Class C Note or Class D Note, or of any interest therein, will not constitute or result in a
non-exempt prohibited transaction under Section 406 of ERISA and/or Section 4975 of the
Code (or, in the case of a governmental, non-U.S. or church plan, a violation of any Similar
Laws). Any purported transfer of a VF Note, Class A Note, Class B Note, Class C Note or
Class D Note to a purchaser that does not comply with the requirements of this
paragraph (6)(a) shall be subject to forced transfer provisions.
(b)
(c)
With respect to the purchase, holding and disposition of any Class E Subordinated Note, or of
any interest therein, such purchaser or transferee shall execute an investor letter with respect
thereto (substantially in the form provided in Appendix 1 hereto) which states, among other
things, that the purchaser or transferee represents, warrants and covenants that, at the time of
its acquisition and throughout the period of its holding and disposition of such Note or interest
therein, (1) either (a) it is not, and is not using the assets of, a benefit plan investor (as defined
in the U.S. Department of Labor "Plan Assets Regulation") or (b) it is, or is using the assets
of, a benefit plan investor that is not subject to Title I of ERISA or Section 4975 of the Code or
Similar Laws and (2) it will not sell or otherwise transfer any Class E Subordinated Note, or any
interest therein, to any person without first obtaining from such person these same foregoing
written representations, warranties and covenants. Any purported transfer of the Class E
Subordinated Notes to a purchaser that does not comply with the requirements of this
paragraph (6)(b) shall be subject to forced transfer provisions.
The purchaser acknowledges that the Issuer, the Placement Agent, the Trustee, the Collateral
Manager and the Collateral Administrator and their Affiliates will rely upon the truth and
accuracy of the foregoing acknowledgements, representations and agreements.
(7) The purchaser understands that pursuant to the terms of the Trust Deed, the Issuer has agreed that the
Rule 144A Global Notes will bear the legend set forth below, and will be represented by one or more
Rule 144A Global Notes. The Rule 144A Global Notes may not at any time be held by or on behalf of
U.S. Persons that are not both QIBs and Qualified Purchasers. Before any interest in a Rule 144A
Global Note may be offered, resold, pledged or otherwise transferred to a person who takes an interest
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in a Regulation S Global Note, the transferor will be required to provide the Issuer with a written
certification (in the form provided in the Trust Deed) as to compliance with the transfer restrictions.
THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES
SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), AND THE ISSUER HAS NOT
BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS
AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE
NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF
THE ISSUER THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE
TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A
QIB WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS
OWN ACCOUNT, OR FOR THE ACCOUNT OF A QIB, IN A TRANSACTION MEETING THE
REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT OR (2) IN AN OFFSHORE
TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE
SECURITIES ACT AND NOT TO OR FOR THE ACCOUNT OR BENEFIT OF A U.S. PERSON AND, IN
THE CASE OF PARAGRAPH (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN €250,000 FOR
THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, IN EACH CASE TO A
PURCHASER THAT (V) IS A QUALIFIED PURCHASER WITHIN THE MEANING OF SECTION 3(c)(7)
OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF
INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS
A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS
BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY
FORMED BEFORE 30 APRIL 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON
A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF AN UNAFFILIATED
ISSUER AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND
OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY
DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT
MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT
EXEMPTION OR IN THE CASE OF PARAGRAPH (2), IN A PRINCIPAL AMOUNT OF NOT LESS
THAN €100,000 IN THE CASE OF THE CLASS E SUBORDINATED NOTES OR €500,000 IN THE
CASE OF ANY OTHER CLASS OF NOTES AND (B) IN ACCORDANCE WITH ALL APPLICABLE
SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY TRANSFER IN VIOLATION
OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO AND WILL
NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY
INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE OR ANY INTERMEDIARY.
IN ADDITION TO THE FOREGOING, IN THE EVENT OF A VIOLATION OF (V) THROUGH (Z), THE
ISSUER MAINTAINS THE RIGHT TO DIRECT THE RESALE OF ANY NOTES PREVIOUSLY
TRANSFERRED IN VIOLATION OF (V) THROUGH (Z) IN ACCORDANCE WITH AND SUBJECT TO
THE TERMS OF THE TRUST DEED. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE
OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE TRUST DEED TO ITS
TRANSFEREE.
ANY TRANSFER, PLEDGE OR OTHER USE OF ANY OF THE NOTES REPRESENTED BY THIS
CERTIFICATE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE
REGISTERED OWNER HEREOF, THE NOMINEE OF THE DEPOSITORY TRUST COMPANY
("DTC"), NEW YORK, NEW YORK, HAS AN INTEREST THEREIN, UNLESS THIS CERTIFICATE IS
PRESENTED BY AN AUTHORISED REPRESENTATIVE OF DTC TO THE ISSUER OR ITS AGENT
FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY CERTIFICATE ISSUED
IS REGISTERED IN THE NAME OF THE NOMINEE OF DTC OR OF SUCH OTHER ENTITY AS IS
REQUESTED BY AN AUTHORISED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS
MADE TO THE NOMINEE OF DTC).
TRANSFERS OF ANY OF THE NOTES REPRESENTED BY THIS CERTIFICATE SHOULD BE
LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A
SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS
OF ANY OF THE NOTES REPRESENTED BY THIS CERTIFICATE SHOULD BE LIMITED TO
TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE TRUST
DEED REFERRED TO HEREIN.
PRINCIPAL OF THE NOTES REPRESENTED BY THIS CERTIFICATE IS PAYABLE AS SET FORTH
HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THE NOTES REPRESENTED BY
THIS CERTIFICATE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE
HEREOF. ANY PERSON ACQUIRING THIS CERTIFICATE MAY ASCERTAIN ITS CURRENT
PRINCIPAL AMOUNT BY INQUIRY OF A PAYING AGENT OR THE TRUSTEE.
THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY PAYING AGENT WITH THE
APPLICABLE U.S. FEDERAL INCOME TAX CERTIFICATIONS (GENERALLY, U.S. INTERNAL
REVENUE SERVICE FORM W-9 (OR SUCCESSOR APPLICABLE FORM) IN THE CASE OF A
PERSON THAT IS A "UNITED STATES PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30)
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OF THE CODE OR AN APPLICABLE U.S. INTERNAL REVENUE SERVICE FORM W-8 (OR
SUCCESSOR APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS NOT A "UNITED STATES
PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30) OF THE CODE) MAY RESULT IN U.S.
FEDERAL BACKUP WITHHOLDING TAX FROM PAYMENTS TO THE HOLDER IN RESPECT OF
THIS NOTE.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A [VF NOTE/NOTE (OTHER THAN A CLASS E
SUBORDINATED NOTE)], BY ACCEPTANCE OF SUCH [VF NOTE/NOTE], OR ITS INTEREST IN A
[VF NOTE/NOTE (OTHER THAN A CLASS E SUBORDINATED NOTE)], AS THE CASE MAY BE,
SHALL BE DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH [VF NOTE/NOTE
(OTHER THAN A CLASS E SUBORDINATED NOTE)] AS DEBT FOR U.S. FEDERAL INCOME TAX
PURPOSES.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A CLASS E SUBORDINATED NOTE, BY
ACCEPTANCE OF SUCH NOTE, OR ITS INTEREST IN SUCH NOTE, AS THE CASE MAY BE,
SHALL BE DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH NOTE AS EQUITY
OF THE ISSUER FOR U.S. FEDERAL INCOME TAX PURPOSES.
EACH PURCHASER AND TRANSFEREE OF A CLASS E SUBORDINATED NOTE, OR OF ANY
INTEREST THEREIN, WILL BE REQUIRED TO HAVE EXECUTED A TRANSFEREE CERTIFICATE
WITH RESPECT THERETO (SUBSTANTIALLY IN THE FORM PROVIDED IN APPENDIX 1 TO THE
OFFERING CIRCULAR) WHICH STATES, AMONG OTHER THINGS, THAT THE PURCHASER OR
TRANSFEREE REPRESENTS, WARRANTS AND COVENANTS THAT, AT THE TIME OF ITS
ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH
NOTE OR INTEREST THEREIN, (1) EITHER (A) IT IS NOT, AND IS NOT USING THE ASSETS OF, A
BENEFIT PLAN INVESTOR (AS DEFINED IN THE PLAN ASSETS REGULATION ISSUED BY THE
U.S. DEPARTMENT OF LABOR AT 29 C.F.R. SECTION 2510.3-101) OR (B) IT IS, OR IS USING THE
ASSETS OF, A BENEFIT PLAN INVESTOR THAT IS NOT SUBJECT TO TITLE I OF ERISA OR
SECTION 4975 OF THE CODE OR ANY FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAW OR
REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF
ERISA OR SECTION 4975 OF THE CODE AND (2) IT WILL NOT SELL OR OTHERWISE TRANSFER
ANY CLASS E SUBORDINATED NOTE, OR ANY INTEREST THEREIN, TO ANY PERSON WITHOUT
FIRST OBTAINING FROM SUCH PERSON THESE SAME FOREGOING WRITTEN
REPRESENTATIONS, WARRANTIES AND COVENANTS.
BY ITS PURCHASE OF ANY VF NOTE/CLASS A NOTE/CLASS B NOTE/CLASS C NOTE/CLASS D
NOTE, OR OF ANY INTEREST THEREIN, THE PURCHASER THEREOF AND EACH TRANSFEREE
WILL BE DEEMED TO HAVE REPRESENTED AND WARRANTED THAT, AT THE TIME OF ITS
ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH
NOTE OR INTEREST THEREIN, EITHER (A) IT IS NOT AN "EMPLOYEE BENEFIT PLAN" (AS
DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO SECTION 406 OF ERISA, A "PLAN"
DESCRIBED IN SECTION 4975(e)(1) OF THE CODE, OR AN ENTITY WHOSE UNDERLYING
ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR
PLAN'S INVESTMENT IN THE ENTITY OR OTHERWISE, OR A GOVERNMENTAL PLAN, NON-U.S.
PLAN OR CHURCH PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL, NON-U.S. OR
OTHER LAW OR REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF
SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE OR (B) ITS PURCHASE, HOLDING AND
DISPOSITION OF SUCH VF NOTE/CLASS A NOTE/CLASS B NOTE/CLASS C NOTE/CLASS D
NOTE, OR INTEREST THEREIN, WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT
PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA AND/OR SECTION 4975 OF THE
CODE (OR, IN THE CASE OF A GOVERNMENTAL PLAN, NON-U.S. PLAN OR CHURCH PLAN, A
VIOLATION OF ANY SUBSTANTIALLY SIMILAR FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER
LAW OR REGULATION) BY REASON OF AN APPLICABLE STATUTORY OR ADMINISTRATIVE
EXEMPTION.
(8) The purchaser will not, at any time, offer to buy or offer to sell the Rule 144A Notes by any form of
general solicitation or advertising, including, but not limited to, any advertisement, article, notice or other
communication published in any newspaper, magazine or similar medium or broadcast over television or
radio or seminar or meeting whose attendees have been invited by general solicitations or advertising.
(9) Prospective purchasers are hereby notified that sellers of the Rule 144A Notes may be relying on the
exemption from the provisions of Section 5 of the Securities Act provided by Rule 144A.
(10) The purchaser is not purchasing the Rule 144A Notes in order to reduce its U.S. federal income tax
liability pursuant to a tax avoidance plan;
(11) If the purchaser is not a United States person (as defined in Section 7701(a)(30) of the Code), such
purchaser (i) is not a bank making an extension of credit pursuant to a loan agreement entered into in
the ordinary course of its trade or business (within the meaning of Section 881(c)(3)(A) of the Code) or
(ii) is a person that is eligible for benefits under an income tax treaty with the United States that
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eliminates United States federal income taxation of United States source income not attributable to a
permanent establishment in the United States.
Regulation S Notes
Transfers of the VF Note Rule 144A Notes will only be effected in accordance with the VF Instrument.
Each purchaser of Regulation S Notes represented by a Regulated S Global Note will be deemed to have made
the representations set forth in paragraphs (4) and (6) above and to have further represented and agreed as
follows:
(1) It is located outside the United States and is not a U.S. Person (as defined in Regulation S).
(2) It understands that such Regulation S Notes have not been and will not be registered under the
Securities Act and that the Issuer has not registered and will not register under the Investment Company
Act. It agrees, for the benefit of the Issuer, the Placement Agent and any of their Affiliates, that, if it
decides to resell, pledge or otherwise transfer such Regulation S Notes (or any beneficial interest or
participation therein) purchased by it, any offer, sale or transfer of such Regulation S Notes (or any
beneficial interest or participation therein) will be made in compliance with the Securities Act and only (i)
to a person (A) it reasonably believes is a QIB purchasing for its own account or for the account of a QIB
in a nominal amount of not less than €250,000 for it and each such account, in a transaction that meets
the requirements of Rule 144A and takes delivery in the form of a Rule 144A Note and (B) that
constitutes a "qualified purchaser" for the purposes of Section 3(c)(7) of the Investment Company Act or
(ii) in an offshore transaction in accordance with Rule 903 or Rule 904 (as applicable) under
Regulation S and not to or for the account or benefit of a U.S. Person.
(3) It understands that unless the Issuer determines otherwise in compliance with applicable law, such
Regulation S Notes will bear the legend set forth below.
THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES
SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), AND THE ISSUER HAS NOT
BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS
AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE
NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF
THE ISSUER THAT THIS NOTE MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE
TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A
QIB WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS
OWN ACCOUNT OR FOR THE ACCOUNT OF A QIB, IN A TRANSACTION MEETING THE
REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT OR (2) IN AN OFFSHORE
TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE
SECURITIES ACT AND NOT TO OR FOR THE ACCOUNT OR BENEFIT OF A U.S. PERSON AND, IN
THE CASE OF PARAGRAPH (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN €250,000 FOR
THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, IN EACH CASE TO A
PURCHASER THAT (V) IS A QUALIFIED PURCHASER WITHIN THE MEANING OF SECTION 3(c)(7)
OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF
INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS
A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS
BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY
FORMED BEFORE 30 APRIL 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON
A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF AN UNAFFILIATED
ISSUER AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND
OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY
DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT
MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT
EXEMPTION OR, IN THE CASE OF PARAGRAPH (2), IN A PRINCIPAL AMOUNT OF NOT LESS
THAN €100,000 IN THE CASE OF THE CLASS E SUBORDINATED NOTES OR €500,000 IN THE
CASE OF ANY OTHER CLASS OF NOTES AND (B) IN ACCORDANCE WITH ALL APPLICABLE
SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY TRANSFER IN VIOLATION
OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO AND WILL
NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY
INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE OR ANY INTERMEDIARY.
IN ADDITION TO THE FOREGOING, IN THE EVENT OF A VIOLATION OF (V) THROUGH (Z), THE
ISSUER MAINTAINS THE RIGHT TO DIRECT THE RESALE OF ANY NOTES PREVIOUSLY
TRANSFERRED IN VIOLATION OF (V) THROUGH (Z) IN ACCORDANCE WITH AND SUBJECT TO
THE TERMS OF THE TRUST DEED. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE
OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE TRUST DEED TO ITS
TRANSFEREE.
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TRANSFERS OF ANY OF THE NOTES REPRESENTED BY THIS CERTIFICATE OR OF PORTIONS
OF THIS NOTE SHOULD BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE
RESTRICTIONS SET FORTH IN THE TRUST DEED REFERRED TO HEREIN.
PRINCIPAL OF THE NOTES REPRESENTED BY THIS CERTIFICATE IS PAYABLE AS SET FORTH
HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THE NOTES REPRESENTED BY
THIS CERTIFICATE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE
HEREOF. ANY PERSON ACQUIRING THIS CERTIFICATE MAY ASCERTAIN ITS CURRENT
PRINCIPAL AMOUNT BY INQUIRY OF A PAYING AGENT OR THE TRUSTEE.
THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY PAYING AGENT WITH THE
APPLICABLE U.S. FEDERAL INCOME TAX CERTIFICATIONS (GENERALLY, U.S. INTERNAL
REVENUE SERVICE FORM W-9 (OR SUCCESSOR APPLICABLE FORM) IN THE CASE OF A
PERSON THAT IS A "UNITED STATES PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30)
OF THE CODE OR AN APPLICABLE U.S. INTERNAL REVENUE SERVICE FORM W-8 (OR
SUCCESSOR APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS NOT A "UNITED STATES
PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30) OF THE CODE) MAY RESULT IN U.S.
FEDERAL BACKUP WITHHOLDING TAX FROM PAYMENTS TO THE HOLDER IN RESPECT OF
THIS NOTE.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A [VF NOTE/NOTE (OTHER THAN A CLASS E
SUBORDINATED NOTE)], BY ACCEPTANCE OF SUCH [VF NOTE/NOTE], OR ITS INTEREST IN A
[VF NOTE/NOTE (OTHER THAN A CLASS E SUBORDINATED NOTE)], AS THE CASE MAY BE,
SHALL BE DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH [VF NOTE/NOTE
(OTHER THAN A CLASS E SUBORDINATED NOTE)] AS DEBT FOR U.S. FEDERAL INCOME TAX
PURPOSES.
EACH HOLDER AND EACH BENEFICIAL OWNER OF A CLASS E SUBORDINATED NOTE, BY
ACCEPTANCE OF SUCH NOTE, OR ITS INTEREST IN SUCH NOTE, AS THE CASE MAY BE,
SHALL BE DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH NOTE AS EQUITY
OF THE ISSUER FOR U.S. FEDERAL INCOME TAX PURPOSES.
EACH PURCHASER AND TRANSFEREE OF A CLASS E SUBORDINATED NOTE, OR OF ANY
INTEREST THEREIN, WILL BE REQUIRED TO HAVE EXECUTED A TRANSFEREE CERTIFICATE
WITH RESPECT THERETO (SUBSTANTIALLY IN THE FORM PROVIDED IN APPENDIX 1 TO THE
OFFERING CIRCULAR) WHICH STATES, AMONG OTHER THINGS, THAT THE PURCHASER OR
TRANSFEREE REPRESENTS, WARRANTS AND COVENANTS THAT, AT THE TIME OF ITS
ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH
NOTE OR INTEREST THEREIN, (1) EITHER (A) IT IS NOT, AND IS NOT USING THE ASSETS OF, A
BENEFIT PLAN INVESTOR (AS DEFINED IN THE PLAN ASSETS REGULATION ISSUED BY THE
U.S. DEPARTMENT OF LABOR AT 29 C.F.R. SECTION 2510.3-101) OR (B) IT IS, OR IS USING THE
ASSETS OF, A BENEFIT PLAN INVESTOR THAT IS NOT SUBJECT TO TITLE I OF ERISA OR
SECTION 4975 OF THE CODE OR ANY FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER LAW OR
REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF
ERISA OR SECTION 4975 OF THE CODE AND (2) IT WILL NOT SELL OR OTHERWISE TRANSFER
ANY CLASS E SUBORDINATED NOTE, OR ANY INTEREST THEREIN, TO ANY PERSON WITHOUT
FIRST OBTAINING FROM SUCH PERSON THESE SAME FOREGOING WRITTEN
REPRESENTATIONS, WARRANTIES AND COVENANTS.
BY ITS PURCHASE OF ANY VF NOTE/CLASS A NOTE/CLASS B NOTE/CLASS C NOTE/CLASS D
NOTE, OR OF ANY INTEREST THEREIN, THE PURCHASER THEREOF AND EACH TRANSFEREE
WILL BE DEEMED TO HAVE REPRESENTED AND WARRANTED THAT, AT THE TIME OF ITS
ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF SUCH
NOTE OR INTEREST THEREIN, EITHER (A) IT IS NOT AN "EMPLOYEE BENEFIT PLAN" (AS
DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO SECTION 406 OF ERISA, A "PLAN"
DESCRIBED IN SECTION 4975(e)(1) OF THE CODE, OR AN ENTITY WHOSE UNDERLYING
ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR
PLAN'S INVESTMENT IN THE ENTITY OR OTHERWISE, OR A GOVERNMENTAL PLAN, NON-U.S.
PLAN OR CHURCH PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL, NON-U.S. OR
OTHER LAW OR REGULATION THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF
SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE OR (B) ITS PURCHASE, HOLDING AND
DISPOSITION OF SUCH VF NOTE/CLASS A NOTE/CLASS B NOTE/CLASS C NOTE/CLASS D
NOTE, OR INTEREST THEREIN WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT
PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA AND/OR SECTION 4975 OF THE
CODE (OR, IN THE CASE OF A GOVERNMENTAL PLAN, NON-U.S. PLAN OR CHURCH PLAN, A
VIOLATION OF ANY SUBSTANTIALLY SIMILAR FEDERAL, STATE, LOCAL, NON-U.S. OR OTHER
LAW OR REGULATION) BY REASON OF AN APPLICABLE STATUTORY OR ADMINISTRATIVE
EXEMPTION.
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(4) It acknowledges that the Issuer, the Placement Agent, the Trustee, the Collateral Manager and the
Collateral Administrator and their Affiliates, will rely upon the truth and accuracy of the foregoing
acknowledgements, representations and agreements.
(5) It understands that the Regulation S Notes may not, at any time, be held by, or on behalf of, U.S.
Persons.
(6) The purchaser is not purchasing the Regulation S Notes in order to reduce its U.S. federal income tax
liability pursuant to a tax avoidance plan;
(7) If the purchaser is not a United States person (as defined in Section 7701(a)(30) of the Code), such
purchaser (i) is not a bank making an extension of credit pursuant to a loan agreement entered into in
the ordinary course of its trade or business (within the meaning of Section 881(c)(3)(A) of the Code) or
(ii) is a person that is eligible for benefits under an income tax treaty with the United States that
eliminates United States federal income taxation of United States source income not attributable to a
permanent establishment in the United States.
A transferor who transfers an interest in a Regulation S Global Note to a transferee who will hold the interest in
the same form is not required to make any additional representation or certification.
- 190 -

Reliance on Investment Company Act Section 3(c)(7)
SECTION 3(C)(7) PROCEDURES
The Issuer has not registered with the SEC as an investment company pursuant to the Investment Company Act
in reliance on Section 3(c)(7). To rely on Section 3(c)(7), the Issuer must have a "reasonable belief" that all
purchasers of VF Notes and Notes (including the Placement Agent and subsequent transferees) are either
"qualified purchasers", "knowledgeable employees" (as defined in the Investment Company Act) or non-U.S.
Persons. The Issuer will establish such a reasonable belief by means of the representations, warranties and
agreements made, or deemed made, by the purchasers of VF Notes or Notes under the section of this Offering
Circular headed "Transfer Restrictions" above, the agreements of the Placement Agent relating to Rule 144A and
Regulation S referred to above under the section of this Offering Circular headed "Plan of Distribution" and the
Issuer covenants and undertakings referred to below.
Issuer Covenants and Undertakings
Reminder Notices Whenever the Issuer (or the Collateral Administrator, on behalf of the Issuer) sends a
periodic report to the VF Noteholders or Noteholders, the Issuer will send a "Section 3(c)(7) Reminder Notice"
(or procure the same is sent by the Collateral Administrator on its behalf) to the VF Noteholders or Noteholders in
substantially the form of a schedule to the Trust Deed. Each Section 3(c)(7) Reminder Notice will state that (1)
each holder of an interest in a Rule 144A Note must be able to make the representations and warranties
described above under the section of this Offering Circular headed "Transfer Restrictions", (2) interests in a
Rule 144A Note will be transferable only to qualified purchasers that are able to make these representations, (3)
any sale, pledge or other transfer of a VF Note or Note (or any interest therein) made in violation of the transfer
restrictions contained in this Offering Circular or in the Trust Deed, or made based upon any false or inaccurate
representation made by the purchaser or a transferee to the Issuer, will be void ab initio and of no force or effect,
(4) none of the Issuer, the Trustee or the Registrar has any obligation to recognise any sale, pledge or other
transfer of a VF Note or Note (or any interest therein) made in violation of any such transfer restriction or made
based upon any such false or inaccurate representation and (5) if any holder of an interest in a Rule 144A Note is
determined not to be a qualified purchaser, then the Issuer will have the right (exercisable in its sole discretion) to
require such holder to sell all of its Rule 144A Notes (and all interests therein) to a transferee that is a qualified
purchaser at the then-current market price therefor. The Issuer will send each Section 3(c)(7) Reminder Notice
(or procure the same is sent by the Collateral Administrator on its behalf) to DTC with a request that Participants
forward the same to the beneficial owners of the Rule 144A Notes.
Bloomberg Screens etc. The Issuer will from time to time request (or procure that the Placement Agent
requests on its behalf) all third-party vendors to include on screens maintained by such vendors appropriate
legends regarding Rule 144A and Section 3(c)(7) restrictions on the Rule 144A Notes and Rule 144A Global
Notes. Without limiting the foregoing, the Issuer will request (or procure that the Placement Agent requests on its
behalf) Bloomberg, L.P. to include, in the "Description" page on each Bloomberg screen containing information
about the Rule 144A Notes and Rule 144A Global Notes, a statement in the "Comments" box that the Rule 144A
Notes and Rule 144A Global Notes are "being offered in reliance on the exemption from registration under
Rule 144A under the Securities Act to persons that are both (1) "qualified institutional buyers" (as defined in
Rule 144A under the Securities Act) and (2) "qualified purchasers" (as defined under Section 3(c)(7) of the
Investment Company Act of 1940)".
CUSIP The Issuer will cause (or procure that the Placement Agent causes on its behalf) each "CUSIP" number
obtained for a Rule 144A Note or Rule 144A Global Notes to have an attached "fixed field" that contains "3(c)(7)"
and "144A" indicators.
- 191 -

GENERAL INFORMATION
1. Clearing Systems
The Notes of each Class have been accepted for clearance through DTC, Euroclear and Clearstream,
Luxembourg. The American Banker's Association Committee on Uniform Security Identification Procedures
("CUSIP"), Common Code and International Securities Identification Number ("ISIN") for each Class of
Regulation S Notes and Rule 144A Notes are:
Rule 144A Notes
Regulation S Notes
ISIN CUSIP number ISIN Common Code
Class A-1 Notes US77277LAB36 77277L AB 3 XS0259039864 025903986
Class B-1 Notes US77277LAC19 77277L AC 1 XS0259040953 025904095
Class C-1 Notes US77277LAD91 77277L AD 9 XS0259041506 025904150
Class D-1 Notes US77277LAE74 77277L AE 7 XS0259042223 025904222
Class E-1a Preferred
US77277LAF40 77277L AF 4 XS0259053428 025905342
Subordinated Notes
Class E-1b Subordinated Notes US77277LAG23 77277L AG 2 XS0259053931 025905393
Class E-2 Subordinated Notes US77277LAH06 77277L AH 0 XS0259054152 025905415
2. Listing
The listing of the VF-1 Notes and the Specified Notes on the Official List of the Irish Stock Exchange is expected
to be granted on or about 23 June 2006.
3. Consents and Authorisations
The Issuer has obtained all necessary consents, approvals and authorisations in The Netherlands (if any) in
connection with the issue and performance of the VF-1 Notes and the Specified Notes. The issue of the VF-1
Notes and the Specified Notes was authorised by resolution of the board of Directors of the Issuer passed on
20 June 2006.
4. No Significant or Material Change
Since the date of incorporation of the Issuer on 9 January 2006, there has been no significant or material adverse
change in the financial or trading position or prospects of the Issuer, nor has the Issuer commenced trading or
established any accounts save as described in this Offering Circular.
5. No Litigation
The Issuer is not involved, and has not been involved, in any governmental, legal or arbitration proceedings
(including any such proceedings which are pending or threatened of which the Issuer is aware) which may have
or have had since the date of its incorporation a significant effect on the Issuer's financial position.
6. Accounts
Since the date of its incorporation the Issuer has not commenced operations other than in respect of the
acquisition of certain Issuer Investments on or prior to the Initial Closing Date and has not produced accounts.
So long as any VF Note or Note remains Outstanding, copies of the most recent annual audited financial
statements of the Issuer can be obtained at the Specified Offices of the Transfer Agents and Paying Agents
during normal business hours. The first financial statements of the Issuer will be in respect of the period from
incorporation to 31 December 2006. The annual accounts of the Issuer will be audited. The Issuer will not
prepare interim financial statements.
The auditor of the Issuer is PricewaterhouseCoopers Accountants N.V.. The Issuer will file its annual report
(including audited financial statements) with the Irish Stock Exchange, when approved by the Directors and in
any event within six months of the end of the financial period to which they relate.
7. Documents Available for Inspection
Physical copies of the following documents may be inspected at the offices of any of the Transfer Agents and
Paying Agent and at the registered offices of the Issuer during usual business hours on any weekday (Saturdays,
Sundays and public holidays excepted) for the life of the Offering Circular:
(a)
(b)
(c)
(d)
(e)
the memorandum and articles of association of the Issuer;
the Note Placement Agency Agreement;
the Trust Deed (which includes the form of each Note of each Class);
the Agency Agreement;
the Collateral Management Agreement;
- 192 -

(f)
(g)
(h)
(i)
the Collateral Administration Agreement;
each Secured Hedging Agreement;
the Pledge Agreement; and
the Security and Intercreditor Deed.
- 193 -

GLOSSARY
€ .......................................................................................vii
Acceleration Notice ......................................................... 37
Account-Holding Bank .................................................... 38
Accounts ......................................................................... 38
Acquisition Criteria ...................................................... 6, 95
Additional Interest ........................................................... 38
adjusted issue price ...................................................... 173
Administrative Expenses................................................. 38
Advance .................................................................... 5, 154
Advance Rate ................................................................. 98
Affiliate ............................................................................ 38
Affiliated .......................................................................... 38
Agency Agreement ......................................................... 37
Agent............................................................................... 38
Aggregate Counterparty Exposure ................................. 99
Amendment Buy-Out ................................................ 38, 88
Amendment Buy-Out Option........................................... 88
Amendment Buy-Out Purchase Price ............................. 38
Amendment Buy-Out Purchaser ..................................... 38
Amendment Restrictions............................................... 165
Applicable Currency Amendments.................................. 39
Applicable Margin ......................................................... 154
Approved Dealer ........................................................... 100
Approved Exchange...................................................... 100
Approved Industry......................................................... 100
Approved Investment Banking Firm.............................. 100
Approved Pricing Service.............................................. 100
Approved Source .......................................................... 100
Approved Third-Party Appraiser ................................... 100
Articles .......................................................................... 139
Asset Category ............................................................. 112
Asset Category A-1 Investments .................................. 112
Asset Category A-2 Investments .................................. 112
Asset Category A-3 Investments .................................. 112
Asset Category A-4 Investments .................................. 112
Asset Category A-5 Investments .................................. 112
Asset Category A-6 Investments .................................. 112
Asset Category B-1 Investments .................................. 112
Asset Category B-2 Investments .................................. 112
Asset Category B-3 Investments .................................. 112
Asset Category B-4 Investments .................................. 112
Asset Category B-5 Investments .................................. 112
Asset Category B-6 Investments .................................. 112
Asset Category B-7 Investments .................................. 112
Asset Category B-8 Investments .................................. 112
Asset Category B-9 Investments .................................. 113
Asset Category C-1 Investments .................................. 113
Asset Category C-2 Investments .................................. 113
Asset Category C-3 Investments .................................. 113
Asset Category D-1 Investments .................................. 113
Asset Category D-2 Investments .................................. 113
Asset Category D-3 Investments .................................. 113
Asset Category E-1 Investments .................................. 113
Asset Category E-2 Investments .................................. 113
Asset Category E-3 Investments .................................. 113
Asset Category F-1 Investments................................... 113
Asset Category F-2 Investments................................... 114
Asset Category F-3 Investments................................... 114
Asset Category I-1 Investments.................................... 114
Asset Category I-10 Investments.................................. 115
Asset Category I-2 Investments.................................... 114
Asset Category I-3 Investments.................................... 114
Asset Category I-4 Investments.................................... 114
Asset Category I-5 Investments.................................... 114
Asset Category I-6 Investments.................................... 114
Asset Category I-7 Investments.................................... 114
Asset Category I-8 Investments .................................... 115
Asset Category I-9 Investments .................................... 115
Asset Category K-1 Investments................................... 115
Asset Category K-2 Investments................................... 115
Asset-Backed Security .................................................. 101
Assignment Agreement................................................. 154
Assignments.................................................................... 21
Associated Mandatory Redemption Class ................ 39, 78
Authorised Denomination................................................ 39
Authorised Integral Amount............................................. 39
Babson Capital.............................................................. 141
Base Conditions .............................................................. 39
Beneficial Owner ........................................................... 134
Benefit Plan Investor ........................................................ iv
Blockage Period .............................................................. 39
Blocked Junior Note Interest ........................................... 39
Business Day ............................................................ 39, 55
Busted Convertible Bond .............................................. 101
Calculation Agent ............................................................ 37
Cash.............................................................................. 101
Cash Equivalents .......................................................... 101
CFC............................................................................... 175
Cheapest to Deliver Security......................................... 101
Class ........................................................................... 1, 39
Class A Noteholders ....................................................... 39
Class A Notes ................................................................. 39
Class A-1 Notes ................................................................ 1
Class B Noteholders ....................................................... 39
Class B Notes ................................................................. 39
Class B Notes Advance Amount ................................... 102
Class B Notes Blockage Notice ................................ 39, 60
Class B Notes Blockage Period ...................................... 39
Class B Notes Blockage Trigger Event ........................... 39
Class B Notes Discharge Date........................................ 39
Class B Notes Over-Collateralisation Test.................... 102
Class B Notes Payment Default...................................... 39
Class B-1 Notes ................................................................ 1
Class C Noteholders ....................................................... 39
Class C Notes ................................................................. 40
Class C Notes Advance Amount................................... 102
Class C Notes Blockage Notice ................................ 40, 60
Class C Notes Blockage Period ...................................... 40
Class C Notes Blockage Trigger Event........................... 40
Class C Notes Discharge Date ....................................... 40
Class C Notes Over-Collateralisation Test.................... 102
Class C Notes Payment Default...................................... 40
Class C-1 Notes ................................................................ 1
Class D Noteholders ....................................................... 40
Class D Notes ................................................................. 40
Class D Notes Advance Amount................................... 102
Class D Notes Blockage Notice ................................ 40, 61
Class D Notes Blockage Trigger Event........................... 40
Class D Notes Discharge Date ....................................... 40
Class D Notes Over-Collateralisation Test.................... 102
Class D Notes Payment Default...................................... 40
Class D-1 Notes ................................................................ 1
Class E Commitment ...................................................... 40
Class E Commitment Termination Date.......................... 40
Class E Mandatory Redemption Date....................... 40, 78
Class E Partial Instalment Payment.......................... 40, 56
Class E Partial Instalment Payments ........................ 40, 56
Class E Partial Payment Date................................... 40, 56
Class E Subordinated Note Maturity Date ...................... 40
Class E Subordinated Noteholders ................................. 40
Class E Subordinated Notes ....................................... 1, 40
Class E Subordinated Notes Discharge Date ................. 40
- 194 -

Class E-1 Subordinated Notes.......................................... 1
Class E-1a Preferred Subordinated Notes........................ 1
Class E-1b Subordinated Notes........................................ 1
Class E-2 Subordinated Notes.......................................... 1
Class of Noteholders....................................................... 39
Class of Notes................................................................. 39
Clearing System.............................................................. 40
Clearing Systems.......................................................... 133
Clearstream, Luxembourg .......................................... 1, 40
Closing Date ................................................................... 41
Code .........................................................................iii, 172
COF Advance ........................................................... 5, 155
Collateral......................................................................... 41
Collateral Acquisition Agreements .................................. 41
Collateral Administration Agreement .............................. 37
Collateral Administrator................................................... 37
Collateral Management Agreement ................................ 37
Collateral Management Fees.......................................... 41
Collateral Manager...................................... 1, 37, 102, 141
Collateral Manager Advance........................................... 41
Collateral Manager Termination Right ...................... 41, 64
Collateralisation Shortfall Amount................................... 41
Collateralisation Shortfall Date........................................ 41
Collateralisation Shortfall Valuation Statement......... 41, 68
Commercial Paper Notes.............................................. 155
Commitment.................................................................... 41
Commitment Fee Rate.................................................. 155
Commitment Termination Event ................................... 155
Committed Unsettled Status ........................................... 41
Conditions ....................................................................... 41
Conduit Noteholder ....................................................... 155
control ............................................................................. 38
Controlling Class............................................................. 41
Controlling Class Agent .................................................. 42
Cost of Funds Rate ....................................................... 155
Counterparty Downgrade Collateral................................ 42
Credit Default Exposure Contract ................................. 102
Credit Default Protection Adjustments .......................... 102
Credit Default Protection Advance Amount .................. 102
Credit Default Protection Contract ................................ 103
Credit Default Protection Contract Exposure .................. 42
Credit Default Swap ...................................................... 103
Currency Hedging Transaction ..................................... 103
CUSIP ........................................................................... 192
Custodian................................................................ 37, 103
Custody Cash Deposit .................................................... 42
Custody Deposit.............................................................. 42
Dealer Fee Letter ............................................................ 42
Dealer Fees .................................................................... 42
Debt ................................................................................ 42
Default............................................................................. 43
Defaulting VF-1 Noteholder .......................................... 155
Defensive Hedge Advance Amount .............................. 103
Defensive Hedge Transaction....................................... 103
Definitive Certificates ................................................ 13, 43
Delayed Payment Date ............................................. 43, 75
Delayed Redemption Notes ............................................ 43
Delivery Deadline...................................................... 43, 67
Deposits .......................................................................... 43
Designated Approval Representative ........................... 103
Determination Date ......................................................... 43
Direct Participants......................................................... 133
Diversity Compliance Period........................................... 43
Diversity Compliance Requirement........................... 43, 67
DSC .............................................................................. 141
DSCDM......................................................................... 141
DTC............................................................... 1, 12, 43, 186
Due Period ...................................................................... 43
Dutch Ineligible Securities............................................. 104
Early Termination Date ................................................. 163
ECOFIN......................................................................... 171
Elected Amount......................................................... 43, 75
Elected Class E Global Redemption Amount............ 43, 74
Electing Class E Subordinated Noteholder ............... 43, 75
Eligible Assets............................................................... 104
Eligible Counterparty..................................................... 104
Eligible Foreign Currencies ........................................... 104
Eligible Selling Institution .............................................. 104
Eligible Transferee ........................................................ 155
Employee Benefit Plan......................................................iii
Equivalent or Shorter Maturity......................................... 43
ERISA .......................................................................iii, 178
ERISA Plans ................................................................. 178
EURIBID.......................................................................... 43
EURIBOR........................................................................ 43
EURIBOR Swaps ...................................................... 43, 50
Euro..................................................................................vii
Euro Advance................................................................ 155
Euro Interest.................................................................. 173
Euroclear..................................................................... 1, 43
European Union ............................................................ 105
Euro-zone........................................................................ 43
Event of Default......................................................... 43, 80
Excess Distributions...................................................... 175
Excess Issuer Investments ........................................... 105
Exchange Act ...................................................................vii
Exchange Date........................................................ 44, 131
Excluded Assets.............................................................. 44
Excluded Issuer Investments ........................................ 106
Extraordinary Resolution................................................. 44
Fixed Rate Notes ............................................................ 44
Fixed Rate of Interest................................................ 44, 70
Floating Rate Notes ........................................................ 44
Floating Rate of Interest............................................ 44, 70
Form-Approved Swap ..................................................... 44
Foundation .................................................................... 140
FSMA ....................................................................... vi, 182
Fungible Notes .............................................................. 165
Further Issuance ........................................................... 158
Further Non-Fungible Class A Notes .............................. 33
Further Non-Fungible Class B Notes .............................. 33
Further Non-Fungible Class C Notes .............................. 33
Further Non-Fungible Class D Notes .............................. 33
Further Non-Fungible Class E Subordinated Notes........ 33
Further Non-Fungible VF Notes ...................................... 32
Further Notes ................................................................ 163
GBP..................................................................................vii
GIA ................................................................................ 141
Global Notes ............................................................... 1, 44
Government Securities.................................................. 107
Hedging and Short-Sale Advance Amount ................... 107
Hedging and Short-Sale Transaction ............................ 107
Hedging Arrangement ..................................................... 44
Hedging Representative.................................................. 44
High Yield Security........................................................ 108
Holder.............................................................................. 44
IFSRA................................................................................ 1
Incentive Fee........................................................... 44, 148
Incentive Fee Payment Date................................... 11, 148
Increase ........................................................................ 155
Increase Request .......................................................... 155
Indebtedness................................................................... 44
Indirect Participants....................................................... 133
Initial Borrowing Arrangements ....................................... 17
Initial Closing Date ...................................................... 1, 44
Initial Issuance Class A Notes......................................... 44
- 195 -

Initial Issuance Class B Notes ........................................ 44
Initial Issuance Class C Notes ........................................ 44
Initial Issuance Class D Notes ........................................ 44
Initial Issuance Class E Subordinated Notes .................. 44
Initial Issuance Class E-1a Preferred Subordinated Notes
........................................................................................ 44
Initial Issuance Class E-1b Subordinated Notes............. 45
Initial Issuance Class E-2 Subordinated Notes............... 45
Initial Issuance Notes...................................................... 45
Initial Rated Notes....................................................... 1, 49
Interbank Advance ............................................................ 5
Interbank Rate .............................................................. 155
Interbank Rate Advance ............................................... 156
Intercreditor Approval...................................................... 45
Intercreditor Arrangements ............................................. 45
Intercreditor Priority of Payments............................ 45, 162
Interest Custody Account................................................ 45
Interest Determination Date ...................................... 45, 70
Interest Payment Amount ............................................... 45
Interest Period................................................................. 45
Interest Rate Hedging Transaction ............................... 108
Interest Rate/Currency Hedging Advance Amount ....... 108
Interest Rate/Currency Hedging Net Exposure............. 108
Interest-Bearing Notes .................................................... 45
Interim Determination Date ........................................... 149
Intermediate Trade........................................................ 163
Investment Company Act............................ 1, 45, 186, 188
Irish Paying Agent........................................................... 37
Irish Stock Exchange ...................................................... 45
IRS ................................................................................ 172
ISIN ............................................................................... 192
issue price..................................................................... 173
Issuer .......................................................................... 1, 37
Issuer Dutch Account...................................................... 45
Issuer Fee ....................................................................... 45
Issuer Indebtedness........................................................ 45
Issuer Investments........................................................ 108
Issuer Order .................................................................. 160
Junior Class .............................................................. 45, 57
Junior Interest-Bearing Notes ......................................... 45
Junior Secured Creditor ................................................ 163
Junior Secured Obligations........................................... 163
Ledger............................................................................. 46
lender liability .................................................................. 28
Liquidation Direction ....................................................... 46
Liquidity Limitation Procedure......................................... 46
Loan Commitment........................................................... 46
Loans ............................................................................ 108
Long-Stop Date............................................................... 46
Major Trade................................................................... 163
Majority Senior Holder .................................................... 46
Management Agreement ........................................ 37, 139
Management Fee.................................................... 46, 148
Managing Directors................................................. 46, 139
Market Valuation Manual ................................................ 46
Market Value................................................................... 97
Market Value Price.......................................................... 98
MassMutual................................................................... 141
Master Trust Deed .......................................................... 37
Master Trust Deed Covenants ...................................... 165
Material Agreements....................................................... 46
Maturity Date................................................................... 46
Maximum Amount ......................................................... 156
Maximum Funding Exposure .......................................... 46
Maximum Unfunded Amount ........................................ 108
Member State ................................................................. 46
Mezzanine Loan............................................................ 108
Minimum Denomination .................................................. 46
Minor Trade................................................................... 164
Modified Following Business Day Convention ................ 46
Monthly Date ................................................................. 156
Moody’s Advance Amount ............................................ 108
Moody’s OC Test Rating ............................................... 109
Moody's ....................................................................... 1, 46
Net Accrual Amount ...................................................... 110
Net Asset Value ............................................................ 111
Net Exposure Component............................................. 111
Net Value ...................................................................... 111
New Holders.............................................................. 46, 90
New York Business Day................................................ 136
Non-Call Period............................................................... 46
Non-Cash Pay Instrument............................................. 111
Non-Credit Risk Security............................................... 111
Non-Excluded Issuer Investments ................................ 111
Non-Fungible Notes ...................................................... 165
Non-Permitted Holder ......................................... 36, 46, 55
Non-Petition Covenant .................................................... 47
non-U.S. Holder ............................................................ 171
Note................................................................................. 47
Note Commitment ........................................................... 47
Note Placement Agency Agreement ............................... 47
Note Tax Event ............................................................... 47
Noteholder Accession Certificate .................................. 158
Noteholder Confirmation Notice .................................... 158
Noteholders..................................................................... 47
Notes............................................................................... 47
Offer to Purchase ............................................................ 47
Offering ............................................................................ iv
Offering Circular ................................................................ ii
OID................................................................................ 173
OID de minimis amount................................................. 173
OID Note ....................................................................... 173
Optional Currency Advance .......................................... 156
Optional Redemption ...................................................... 47
Optional Redemption Date........................................ 47, 74
Ordinary Resolution ........................................................ 47
Other terms ..................................................................... 92
Outstanding..................................................................... 47
Outstanding Issuer Swap Termination Payments ........... 47
Over-Collateralisation Failure.......................................... 47
Over-Collateralisation Test Report.................................. 47
Over-Collateralisation Tests.......................................... 111
parallel security ............................................................. 110
Participants ................................................................... 133
Participation .................................................................. 115
Participations................................................................... 21
Paying Agent Account..................................................... 47
Paying Agents ................................................................. 37
Payment Date ............................................................. 1, 47
Payment Default.............................................................. 47
Percentage.................................................................... 156
Performing..................................................................... 115
Permitted Action............................................................ 164
Permitted Dealing.......................................................... 164
Permitted Redemption Amount ................................. 47, 75
Permitted Security Interest.............................................. 47
Permitted Security Interests ............................................ 65
Permitted Short-Sale Exposure....................................... 48
Permitted Short-Sale Obligation.................................... 115
Permitted Short-Sale Transaction ................................. 115
Person........................................................................... 115
PFIC .............................................................................. 174
Placement Agent......................................................... 1, 48
Plan ...................................................................................iii
Plan Assets Regulation .................................... iv, 178, 185
Plans ............................................................................. 178
- 196 -

Pledge Agreement .......................................................... 48
Portfolio........................................................................... 18
Post Redemption Default Due Period ....................... 48, 69
Post Redemption Default Payment Date .................. 48, 69
Post Specified Notes..................................................... 165
Pound Sterling .............................................................. 116
Pounds Sterling................................................................vii
Premature Redemption Date .................................... 48, 78
Premature Redemption Requirements ..................... 48, 74
Prepayment Cure Methodology ................................ 48, 68
Prepayment Date ...................................................... 48, 68
Prepayment Priorities................................................ 48, 68
Prepayment Priority Levels ....................................... 48, 68
Presentation Date ........................................................... 48
Principal Amount Outstanding ........................................ 48
Principal Custody Account ........................................ 45, 48
Principal Paying Agent.................................................... 37
Principal Paying Agent Deposit....................................... 48
Principal Secured Creditors .......................................... 164
Principal Secured Obligations....................................... 164
Priority Class............................................................. 48, 57
pro rata............................................................................ 49
Pro Rated Obligations..................................................... 49
Proceeding.................................................................... 156
Proceedings .................................................................... 91
Projection Cure Methodology.................................... 48, 69
Projection Cure Settlement Default........................... 48, 69
Projection Cure Statement........................................ 48, 68
Projection Cure Statement Date ............................... 49, 68
Prospectus Directive .............................................1, vi, 182
Protected Market Value ................................................ 116
Protected Price ............................................................. 116
PTCE ............................................................................ 179
QEF............................................................................... 175
QIB.................................................................................. 49
QIB/Qualified Purchaser ................................................. 49
Qualified Institutional Buyer .............................................. v
Qualified Purchaser ........................................................ 49
QUALIFIED PURCHASERS ............................................. 1
qualified stated interest ................................................. 173
Qualifying Country ........................................................ 116
Quarterly Mark Security ................................................ 116
Quotation Day ............................................................... 156
Quoted Issuer Investment Valuation......................... 49, 67
Rate of Interest ............................................................... 49
Rated Notes .................................................................... 49
Rating.............................................................................. 49
Rating Agencies.......................................................... 1, 49
Rating Agency Confirmation ........................................... 49
Rating Agency Tables................................................... 116
Rating Procedures ........................................................ 116
Rating Requirement ........................................................ 49
Record Date.................................................................. 136
Redemption Breakage Costs .......................................... 49
Redemption Date ............................................................ 50
Redemption Price ........................................................... 50
Reduction Amount .................................................... 50, 75
Reference Banks ...................................................... 50, 72
Reference Security ....................................................... 117
Register........................................................................... 50
Registrar ......................................................................... 37
Regulation S ................................................................... 50
Regulation S Global Note ..................................... 1, 50, 54
Regulation S Global Notes.......................................... 1, 54
Regulation S Notes ..................................................... 1, 50
Reinvestment Yield ......................................................... 50
Related Rights ................................................................ 50
Relevant Conditions...................................................... 165
Relevant Date ................................................................. 84
Relevant Implementation Date................................. vi, 182
Relevant Issuer Investment........................................... 117
Relevant Margin .............................................................. 51
Relevant Member State ........................................... vi, 182
Relevant Outstanding Class...................................... 51, 90
Relevant Trust Instrument............................................... 37
Replaced Noteholder .................................................... 154
Replacement Noteholder .............................................. 154
Replacement Rating Agency..................................... 49, 51
Report ............................................................................. 51
Reportable Territory ...................................................... 171
Reporting Date .............................................................. 117
Repository ....................................................................... 51
Representative ................................................................ 51
Required VF-1 Noteholders .......................................... 156
Resolution ....................................................................... 51
Restricted Payment Provisos .......................................... 51
Restriction Notice ............................................................ 51
RSA.................................................................................. iv
Rule 144A ....................................................................... 51
Rule 144A Global Note ......................................... 1, 51, 54
Rule 144A Global Notes.............................................. 1, 54
Rule 144A Notes ......................................................... 1, 51
S&P ............................................................................. 1, 51
S&P Advance Amount................................................... 117
S&P Highly-Diversified Advance Rate .......................... 118
S&P OC Test Rating ..................................................... 118
S&P OC Test Rating Chart ........................................... 118
Scheduled Commitment Termination Date ................... 156
Screen Rate .................................................................. 156
SEC.................................................................... iv, 36, 141
Second Lien Loan ......................................................... 118
Section 3(c)(7) Reminder Notice................................... 191
Secured Creditors ........................................................... 51
Secured Hedging Agreement.......................................... 51
Secured Hedging Counterparty....................................... 51
Secured Hedging Transaction....................................... 119
Secured Obligations........................................................ 51
Secured Participation .................................................... 119
Securities Act .............................................. 1, 51, 186, 188
Securities Lending Transactions ................................... 119
Security ......................................................................... 119
Security and Intercreditor Deed ...................................... 37
Security Documents ........................................................ 51
Security Interest .............................................................. 51
Security Period.............................................................. 161
Security Trustee ...................................................... 37, 119
Security Trustee Issuer Order Acknowledgement......... 161
Selling Institution ............................................................. 21
Semi-Liquid Security ..................................................... 119
Senior Advance Amount ............................................... 119
Senior Blockage Notice............................................. 52, 59
Senior Blockage Period................................................... 52
Senior Blockage Trigger Event ....................................... 52
Senior Discharge Date .................................................... 52
Senior Facility................................................................ 119
Senior Indebtedness ....................................................... 52
Senior Obligations........................................................... 52
Senior Outstanding Class ............................................... 52
Senior Over-Collateralisation Test ................................ 119
Senior Payment Default .................................................. 52
Senior Prepayment Cure Priority .................................... 68
Senior Secured Loan .................................................... 119
Senior Unsecured Loan ................................................ 119
shortfall............................................................................ 63
short-sale ...................................................................... 107
Short-Sale Advance Amount......................................... 119
- 197 -

Short-Sale Contract ...................................................... 120
Short-Sale TRS............................................................. 120
Short-Sale TRS Contract Exposure ................................ 52
Similar Laws......................................................iii, 179, 185
Single Asset Total Return Swap ................................... 120
Specific Conditions ......................................................... 52
Specified Maturity Date................................................... 52
Specified Notes................................................... 1, 52, 165
Specified Office............................................................... 52
Split Date ........................................................................ 52
Split Redemption Procedure ........................................... 52
Stabilising Manager .........................................................vii
Structured Finance Obligation ...................................... 120
Structured Product Transaction .................................... 120
Summary........................................................................... 1
Supervening Shortfall................................................ 52, 69
Swap Transaction ......................................................... 121
Synthetic Collateral ......................................................... 53
Synthetic Counterparty ................................................... 53
Synthetic Purchase Contract ........................................ 121
Synthetic Purchase Contract Advance Amount ............ 121
Synthetic Security ........................................................... 53
TARGET Day ................................................................ 156
TARGET System ............................................................ 53
Total Capitalisation ....................................................... 121
Total VF-1 Commitments .............................................. 156
Transaction Creditors...................................................... 53
Transaction Default......................................................... 53
Transaction Documents .................................................. 53
Transaction Event of Default........................................... 53
Transfer Agents .............................................................. 37
Trigger Event .................................................................. 53
Trust Deed .................................................................. 1, 37
Trust Instrument.............................................................. 53
Trustee........................................................................ 1, 37
Trustee Fees and Expenses ........................................... 53
U.S. 10 per cent. Shareholder ...................................... 175
U.S. 10 per cent. Shareholders..................................... 175
U.S. Dollars......................................................................vii
U.S. Holder ................................................................... 171
U.S. Residents .............................................................. 181
U.S.$ ................................................................................vii
Under-Collateralisation Cure Methodologies ............ 53, 69
Under-Collateralisation Cure Timeline ............................ 53
Under-Collateralisation Event ......................................... 53
Unfunded Revolver Adjustment Amount ....................... 121
Unhedged Currency Investment ................................... 121
Unhedged Excess Amount............................................ 121
Unquoted Investments ............................................ 22, 121
Unquoted Issuer Investment Valuation ..................... 53, 67
Unused Class B Notes Commitments............................. 53
Unused Class C Notes Commitments............................. 53
Unused Class D Notes Commitments............................. 54
Unused Class E Subordinated Notes Commitments ...... 54
Unused Senior Commitments ......................................... 54
Unutilised Commitment ................................................. 156
US Asset ....................................................................... 121
US Element ................................................................... 121
Valuation Date............................................................... 121
VAT ................................................................................. 54
VF Conditions.................................................................. 54
VF Instrument.............................................................. 1, 54
VF Note Regulation S Note..................................... 12, 130
VF Note Rule 144A Note......................................... 12, 130
VF Noteholders ............................................................... 54
VF Notes ................................................................. 54, 163
VF Notes Closing Date.................................................. 163
VF Reserved Matter ...................................................... 157
VF-1 Commitment ......................................................... 156
VF-1 Commitment Termination Date ............................ 156
VF-1 Conditions ............................................................ 152
VF-1 Instrument ........................................................ 5, 152
VF-1 Interest Period ...................................................... 157
VF-1 Noteholder............................................................ 157
VF-1 Noteholder Default ............................................... 157
VF-1 Noteholder Fee Letter .......................................... 157
VF-1 Noteholder Indebtedness ..................................... 157
VF-1 Notes .................................................................... 1, 5
VFN Agent............................................................... 54, 122
VFN Agent Fee Letter ................................................... 156
VFN Register................................................................. 157
VFN Registrar ............................................................... 157
Voting Percentage......................................................... 157
- 198 -

REGISTERED OFFICE OF THE ISSUER
Rockall CLO B.V.
Parnassustoren, Locatellikade 1
1076 AZ Amsterdam
The Netherlands
COLLATERAL
ADMINISTRATOR,
PRINCIPAL PAYING AGENT,
EXCHANGE AGENT,
CALCULATION AGENT,
CUSTODIAN AND TRANSFER
AGENT
ABN AMRO Bank N.V.
(London Branch)
82 Bishopsgate
London EC2N 4BN
England
IRISH LISTING AND
PAYING AGENT
NCB Stockbrokers Limited
3 St George’s Dock
IFSC, Dublin 1
Ireland
COLLATERAL MANAGER
Babson Capital Europe
Limited
Almack House
28 King Street
London SW1Y 6XA
PLACEMENT AGENT
IXIS Securities North America
Inc.
9 West 57th Street
New York, NY 10019
VFN AGENT AND VFN
REGISTRAR
IXIS Financial Products Inc.
9 West 57th Street
New York, NY 10019
TRUSTEE AND SECURITY
TRUSTEE
ABN AMRO Trustees Limited
82 Bishopsgate
London EC2N 4BN
England
REGISTRAR AND TRANSFER
AGENT
LaSalle Bank National
Association
181 W. Madison
Chicago
IL 60602
United States
To the Placement Agent as to English law
White & Case
5 Old Broad Street
London EC2N 1DW
England
To the Placement Agent as to U.S. law
White & Case
5 Old Broad Street
London EC2N 1DW
England
AUDITORS TO THE ISSUER
PricewaterhouseCoopers Accountants N.V.
Thomas R. Malthusstraat 5
1066 JR Amsterdam
The Netherlands
LEGAL ADVISERS
To the Trustee as to English law
White & Case
5 Old Broad Street
London EC2N 1DW
England
To the Collateral Manager as to English law
Clifford Chance
Limited Liability Partnership
10 Upper bank Street
London E14 5JJ
To the Placement Agent
as to Dutch law
Clifford Chance
Limited Liability Partnership
Droogbak 1A
1013 GE Amsterdam
The Netherlands