ROCKALL CLO B.V. - Irish Stock Exchange

may have an associated Secured Hedging Transaction which will include currency protection provisions,
losses may be incurred due to fluctuations in the Euro exchange rates in the event of a default under
any such Secured Hedging Transaction.
In addition, fluctuations in Euro exchange rates may result in a decrease in value of the Portfolio for the
purposes of sale thereof upon enforcement of the security over it. The Collateral Manager may also be
limited at the time of reinvestment in its choice of Issuer Investments because of the cost of entry into
such Secured Hedging Transactions and due to restrictions in the Collateral Management Agreement
with respect thereto.
The Issuer's ongoing payment obligations under such Secured Hedging Transactions (including
termination payments) may be significant. The payments associated with such hedging arrangements
generally rank senior to payments on the Class B Notes, the Class C Notes, the Class D Notes and the
Class E Subordinated Notes.
The Issuer will depend upon each Secured Hedging Counterparty to perform its obligations under any
applicable Secured Hedging Transactions. If any such Secured Hedging Counterparty defaults or
becomes unable to perform due to insolvency or otherwise, the Issuer may not receive payments it
would otherwise be entitled to from such Secured Hedging Counterparty to cover its foreign exchange
exposure.
2.16 Insolvency Considerations relating to Issuer Investments
Issuer Investments may be subject to various laws enacted for the protection of creditors in the
countries of the jurisdictions of incorporation of obligors and, if different, in which the obligors conduct
business and in which they hold assets, which may adversely affect such obligors' abilities to make
payment on a full or timely basis. These insolvency considerations will differ depending on the country
in which each obligor is located or domiciled and may differ depending on whether the obligor is a
non-sovereign or a sovereign entity. In particular, it should be noted that a number of continental
European jurisdictions operate "debtor-friendly" insolvency regimes which would result in delays in
payments under Issuer Investments where obligations thereunder are subject to such regimes, in the
event of their insolvency.
The different insolvency regimes applicable in the different European jurisdictions may result in a
corresponding variability of recovery rates for senior loans, mezzanine loans and High Yield Securities
entered into or issued by obligors in such jurisdictions. Reliable historical data is limited.
2.17 Changes in Tax Law, No Gross Up
Following acquisition by the Issuer, payments of interest on the Issuer Investments either will not be
subject to any withholding tax imposed by any jurisdiction (including pursuant to the operation of an
applicable tax treaty and, in some cases, the completion of procedural formalities) or, if and to the extent
that any such withholding tax does apply, the relevant obligor will be obliged to make gross up payments
to the Issuer that cover the full amount of such withholding tax. However, there can be no assurance
that, as a result of any change in any applicable law, rule or regulation or interpretation thereof, the
payments on the Issuer Investments might not in the future become subject to withholding tax or
increased withholding rates in respect of which the relevant obligor will not be obliged to gross up to the
Issuer. In such circumstances, the Issuer may be able, but will not be obliged, to take advantage of
(a) a double taxation treaty between The Netherlands and the jurisdiction from which the relevant
payment is made, (b) the current applicable law in the jurisdiction of the relevant obligor or (c) the fact
that the Issuer has taken a Participation in such Issuer Investments from a Selling Institution which is
able to pay interest payable under such Participation gross if paid in the ordinary course of its business.
In the event that the Issuer receives any interest payments on any Issuer Investments net of any
applicable withholding tax, the Over-Collateralisation Tests will be determined by reference to such net
receipts. Such tax would also reduce the amounts available to make payments on the VF Notes and the
Notes. There can be no assurance that remaining payments on the Issuer Investments would be
sufficient to make timely payments of interest, principal on each Maturity Date and other amounts
payable in respect of the VF Notes or the Notes of each Class.
2.18 Collateral Manager
The Collateral Manager is given authority in the Collateral Management Agreement to act as Collateral
Manager to the Issuer in respect of the Portfolio pursuant to and in accordance with the parameters and
criteria set out in the Collateral Management Agreement. The powers and duties of the Collateral
Manager in relation to the Portfolio include acting on behalf of the Issuer in relation to the acquisition
and sale of Issuer Investments and monitoring compliance with the Over-Collateralisation Tests in
accordance with the provisions of the Collateral Management Agreement (see the section of this
Offering Circular headed "Description of the Portfolio and Market Valuation Methodology"). Any analysis
by the Collateral Manager (on behalf of the Issuer) of obligors under Issuer Investments which it is
intending to purchase or which comprise Collateral from time to time will, in respect of Issuer
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