ROCKALL CLO B.V. - Irish Stock Exchange

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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 -
Page 1 and 2: ROCKALL CLO B.V. (a private limited
Page 3 and 4: OFFER/INVITATION/DISTRIBUTION RESTR
Page 5 and 6: Each purchaser of VF Notes and Note
Page 7 and 8: NOTES AND NOTES HAVE NOT BEEN OFFER
Page 9 and 10: CONTENTS Page SUMMARY..............
Page 11 and 12: 6 Holders of the Class E-1b Subordi
Page 13 and 14: Principal Payments on the Notes Red
Page 15: Payments (see the section of this O
Page 19 and 20: the Security Trustee shall, if dire
Page 21 and 22: with the Over-Collateralisation Tes
Page 23 and 24: ERISA Considerations Limited Recour
Page 25 and 26: 1.7 Removal of Credit Enhancement T
Page 27 and 28: made until payment in full of all o
Page 29 and 30: inter-company guarantees such a pro
Page 31 and 32: orrower. A Selling Institution voti
Page 33 and 34: may have an associated Secured Hedg
Page 35 and 36: will be to enable the Custodian, on
Page 37 and 38: 2.25 Disclosure of Portfolio The Is
Page 39 and 40: Investments to properly plan for ex
Page 41 and 42: 3.12 Volatility of the Class E Subo
Page 43 and 44: sections of these Risk Factors head
Page 45 and 46: may also act as counterparty with r
Page 47 and 48: "Account-Holding Bank" means (a) in
Page 49 and 50: "Class C Notes" means the Initial I
Page 51 and 52: (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)
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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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interest rate hedging transactions
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paragraph (a)(vii) of Condition 10
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interest payable in respect of each
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Intercreditor Arrangements shall be
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Redemption Date") provided that Cla
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until all outstanding Senior Indebt
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on the Noteholders. Upon the expiry
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otherwise be due but for the imposi
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(b) (xii) (xiii) (xiv) Final judgme
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(c) (d) 12. Prescription Notes and
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Resolution represents of the aggreg
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(x) (xi) (xii) (xiii) (xiv) (xv) to
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management or operation of the Coll
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20. Specific Conditions Specific Co
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DESCRIPTION OF THE PORTFOLIO AND MA
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(Definitions)) or (2) the Issuer ha
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"Market Value Price" "Advance Rate"
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espect to which Rating Agency Confi
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"Class B Notes Advance Amount" "Cla
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“Dutch Ineligible Securities” "
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"Excluded Issuer Investments" (xi)
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“High Yield Security” “Intere
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“Net Accrual Amount” (vi) (vii)
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Over-Collateralisation Test, the Cl
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of “Caa1” for the purposes of c
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instrumentality thereof. “Pound S
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Purchase Contracts, Short-Sale Cont
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elated Permitted Short-Sale Obligat
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Collateral Manager on its behalf) r
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Asset Category S&P Senior Advance R
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Asset Category Less than or equal t
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Asset Category Less than or equal t
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FORM OF THE VF NOTES AND THE NOTES
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five years (in the case of interest
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2. Book-Entry Ownership (a) (b) DTC
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Closing Date will be required, by v
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RATINGS OF THE NOTES It is a condit
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Mrs Maria Chr. van der Sluijs Plant
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There may be circumstances where de
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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
Page 195 and 196:
in a Regulation S Global Note, the
Page 197 and 198:
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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