ROCKALL CLO B.V. - Irish Stock Exchange

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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 - 117 -
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. - 118 -
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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
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"Exchange Date" means a day falling
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"Ledger" means the ledger maintaine
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"Permitted Short-Sale Exposure" mea
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the ratio of (i) the number of days
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accounts so as to effect payment of
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(b) "Unused Class D Notes Commitmen
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and, as the case may be, the Truste
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(c) (d) (iii) Ledger If: (xx) (yy)
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(ii) (iii) Class B Notes Blockage U
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4. Security made with respect to th
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entitled at any time to institute a
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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 and 104: DESCRIPTION OF THE PORTFOLIO AND MA
Page 105 and 106: (Definitions)) or (2) the Issuer ha
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: instrumentality thereof. “Pound S
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
Page 155 and 156: DESCRIPTION OF THE COLLATERAL ADMIN
Page 157 and 158: DESCRIPTION OF THE COLLATERAL MANAG
Page 159 and 160: Automatic Termination of the Collat
Page 161 and 162: DESCRIPTION OF THE TERMS AND CONDIT
Page 163 and 164: Replacement of VF-1 Noteholders In
Page 165 and 166: "Interbank Rate Advance" means an A
Page 167 and 168: DESCRIPTION OF THE SECURITY AND INT
Page 169 and 170: Senior Indebtedness or Class B Note
Page 171 and 172: dealings (including in the case of
Page 173 and 174: "Minor Trade" means a sale or other
Page 175 and 176: 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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