ROCKALL CLO B.V. - Irish Stock Exchange

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
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