ROCKALL CLO B.V. - Irish Stock Exchange

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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