ROCKALL CLO B.V. - Irish Stock Exchange

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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 <strong>Stock</strong> 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 - 95 -
(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)). - 96 -
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ROCKALL CLO B.V. (a private limited
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OFFER/INVITATION/DISTRIBUTION RESTR
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Each purchaser of VF Notes and Note
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NOTES AND NOTES HAVE NOT BEEN OFFER
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CONTENTS Page SUMMARY..............
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6 Holders of the Class E-1b Subordi
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Principal Payments on the Notes Red
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Payments (see the section of this O
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for each calendar week and (y) to t
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the Security Trustee shall, if dire
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with the Over-Collateralisation Tes
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ERISA Considerations Limited Recour
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1.7 Removal of Credit Enhancement T
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made until payment in full of all o
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inter-company guarantees such a pro
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orrower. A Selling Institution voti
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may have an associated Secured Hedg
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will be to enable the Custodian, on
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2.25 Disclosure of Portfolio The Is
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Investments to properly plan for ex
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3.12 Volatility of the Class E Subo
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sections of these Risk Factors head
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may also act as counterparty with r
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"Account-Holding Bank" means (a) in
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"Class C Notes" means the Initial I
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(c) (d) (e) (f) Noteholders represe
Page 53 and 54: "Exchange Date" means a day falling
Page 55 and 56: "Ledger" means the ledger maintaine
Page 57 and 58: "Permitted Short-Sale Exposure" mea
Page 59 and 60: the ratio of (i) the number of days
Page 61 and 62: accounts so as to effect payment of
Page 63 and 64: (b) "Unused Class D Notes Commitmen
Page 65 and 66: and, as the case may be, the Truste
Page 67 and 68: (c) (d) (iii) Ledger If: (xx) (yy)
Page 69 and 70: (ii) (iii) Class B Notes Blockage U
Page 71 and 72: 4. Security made with respect to th
Page 73 and 74: entitled at any time to institute a
Page 75 and 76: interest rate hedging transactions
Page 77 and 78: paragraph (a)(vii) of Condition 10
Page 79 and 80: interest payable in respect of each
Page 81 and 82: Intercreditor Arrangements shall be
Page 83 and 84: Redemption Date") provided that Cla
Page 85 and 86: until all outstanding Senior Indebt
Page 87 and 88: on the Noteholders. Upon the expiry
Page 89 and 90: otherwise be due but for the imposi
Page 91 and 92: (b) (xii) (xiii) (xiv) Final judgme
Page 93 and 94: (c) (d) 12. Prescription Notes and
Page 95 and 96: Resolution represents of the aggreg
Page 97 and 98: (x) (xi) (xii) (xiii) (xiv) (xv) to
Page 99 and 100: management or operation of the Coll
Page 101 and 102: 20. Specific Conditions Specific Co
Page 103: DESCRIPTION OF THE PORTFOLIO AND MA
Page 107 and 108: "Market Value Price" "Advance Rate"
Page 109 and 110: espect to which Rating Agency Confi
Page 111 and 112: "Class B Notes Advance Amount" "Cla
Page 113 and 114: “Dutch Ineligible Securities” "
Page 115 and 116: "Excluded Issuer Investments" (xi)
Page 117 and 118: “High Yield Security” “Intere
Page 119 and 120: “Net Accrual Amount” (vi) (vii)
Page 121 and 122: Over-Collateralisation Test, the Cl
Page 123 and 124: of “Caa1” for the purposes of c
Page 125 and 126: instrumentality thereof. “Pound S
Page 127 and 128: Purchase Contracts, Short-Sale Cont
Page 129 and 130: elated Permitted Short-Sale Obligat
Page 131 and 132: Collateral Manager on its behalf) r
Page 133 and 134: Asset Category S&P Senior Advance R
Page 135 and 136: Asset Category Less than or equal t
Page 137 and 138: Asset Category Less than or equal t
Page 139 and 140: FORM OF THE VF NOTES AND THE NOTES
Page 141 and 142: five years (in the case of interest
Page 143 and 144: 2. Book-Entry Ownership (a) (b) DTC
Page 145 and 146: Closing Date will be required, by v
Page 147 and 148: RATINGS OF THE NOTES It is a condit
Page 149 and 150: Mrs Maria Chr. van der Sluijs Plant
Page 151 and 152: There may be circumstances where de
Page 153 and 154: International Business from Northea
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DESCRIPTION OF THE COLLATERAL ADMIN
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DESCRIPTION OF THE COLLATERAL MANAG
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Automatic Termination of the Collat
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DESCRIPTION OF THE TERMS AND CONDIT
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Replacement of VF-1 Noteholders In
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"Interbank Rate Advance" means an A
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DESCRIPTION OF THE SECURITY AND INT
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Senior Indebtedness or Class B Note
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dealings (including in the case of
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"Minor Trade" means a sale or other
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Specified Notes The conditions cons
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any), provided that in relation to
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TAX CONSIDERATIONS General For purp
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the marketing of the Specified Note
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non-contingent principal payments o
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discussion below assumes that the I
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CERTAIN ERISA CONSIDERATIONS The U.
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meets all relevant legal requiremen
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This Offering Circular has been pre
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TRANSFER RESTRICTIONS Because of th
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in a Regulation S Global Note, the
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eliminates United States federal in
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(4) It acknowledges that the Issuer
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GENERAL INFORMATION 1. Clearing Sys
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GLOSSARY € ......................
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Initial Issuance Class B Notes ....
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Short-Sale Contract ...............
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ROCKALL CLO B.V. - Irish Stock Exchange

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