VALLAURIS II CLO PLC - Irish Stock Exchange

Structured Combination Notes:
Class V Structured Combination
Notes:
OAT Strips:
A32,200,000 Subordinated Notes due 2022
A18,000,000 Class V Structured Combination Notes due 2022
A3,500,000 Class VI Structured Combination Notes due 2022
The Notes will be issued pursuant to the Trust Deed (as defined
below) as entered into between (amongst others) the Issuer and
ABN AMRO Trustees Limited, as Trustee.
The Class I Senior Notes, the Class II Senior Notes, the Class III
Mezzanine Notes and the Class IV Mezzanine Notes are together
referred to herein as the ‘‘Rated Notes’’.
Initial issue Price of each Class of Notes: 100 per cent.
The Components of each Structured Combination Note are not
separately transferable. However, a holder may exchange all or a
portion of its Structured Combination Notes for proportional
interests in the underlying Classes represented by the applicable
Components, as described in Condition 2(h) (Exchange of
Structured Combination Notes).
The terms and conditions applicable to each Structured
Combination Note shall be the same as those applicable to the
relevant Underlying Notes (as defined below in the Conditions)
(save, in each case, to the extent related to the issuance and transfer
thereof and save, in respect of the Structured Combination Notes,
with respect to the payment of interest and principal thereon) to the
extent of each of the respective Components of which such
Structured Combination Note is comprised.
Each Class V Structured Combination Note consists of two
Components: the ‘‘OAT Security Component’’ which comprises
an interest in OAT Strips with an aggregate nominal face amount
(at maturity) of A18,049,190 and acquired at an aggregate purchase
price of A9,900,000 and the ‘‘Class V Subordinated Component’’
which comprises a proportional interest of each such Class V
Structured Combination Note in an aggregate initial principal
amount of A8,100,000, which represents an equal initial principal
amount of the Subordinated Notes.
The Issuer will collateralise the OAT Security Component of the
Class V Structured Combination Notes by acquiring Obligation
Assimilable du Trésor securities issued by the French treasury which
have been stripped (‘‘OAT Strips’’) by Spécialistes en Valeurs du
Trésor (‘‘SVTs’’). SVTs are French government securities primary
dealers who are responsible for making markets in French treasury
securities and are authorised to strip and reconstitute, inter alia,
Obligation Assimilable du Trésor securities. Stripping consists of
separating a bond’s interest and principal payments into several
zero coupon bonds.
OAT Strips acquired by the Issuer with a maturity date of 25 April
2021 in respect of the nominal principal amount of A18,049,190 will
be held as security, that is, the OAT Security Component solely for
the benefit of the holders of the Class V Structured Combination
Notes and proceeds received in respect of such OAT Strips, either
before or after enforcement of such security will not be available to
any other Class of Noteholders. See ‘‘Security for the Notes’’. The
OAT Strips will not be included in any calculation of the Coverage
Tests or Collateral Quality Tests.
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