VALLAURIS II CLO PLC - Irish Stock Exchange

Class VI Structured Combination
Notes:
Natexis Zero Coupon Notes:
The holders of the Class V Structured Combination Notes (in
respect of the OAT Security Component) shall have recourse only
to the OAT Strips in relation to such Component and proceeds
received in respect thereof as described above and shall not have
any rights in or to the other security granted under the Trust Deed
for the benefit of the Secured Parties generally.
On each Payment Date upon which a payment of interest on the
Subordinated Notes is made in accordance with the Priorities of
Payment the Issuer shall sell a portion of the OAT Strips
representing the OAT Security Component of the Class V
Structured Combination Notes. The portion of the OAT Strips to
be sold shall be determined in accordance with the OAT Sale
Formula and the Issuer shall apply the proceeds thereof in or
towards the redemption of the principal amount outstanding of the
Class V Structured Combination Notes. The Issuer shall apply all
proceeds of the OAT Strips at their maturity in redemption of the
Class V Structured Combination Notes in respect of the OAT
Security Component on the next Payment Date following its receipt
thereof. Once the principal amount outstanding of the Class V
Structured Combination Note has been reduced to A1.00 (pursuant
to the redemption of the OAT Security Component, the realisation
of proceeds of the OAT Strips or otherwise), on any applicable
Payment Date thereafter, all distributions received in respect of the
Components shall be distributed as interest on The Class V
Structured Combination Note without any redemption taking place
(other than the A1.00 which shall be repaid at maturity of the Class
V Structured Combination Note).
The OAT Strips will be held for the Issuer in a segregated Euroclear
custody account subject to a Belgian law pledge for the benefit of
the Structured Combination Noteholders only.
Each Class VI Structured Combination Note consists of two
Components: the ‘‘Natexis Zero Coupon Security Component’’
which comprises an interest in Natexis Zero Coupon Notes with an
aggregate nominal face amount (at maturity) of A3,500,000 (and
acquired at an aggregate purchase price of A2,080,000 and the
‘‘Class VI Subordinated Component’’ which comprises a
proportional interest of each such Class VI Structured
Combination Note in an aggregate initial principal amount of
A1,420,000, which represents an equal initial principal amount of
the Subordinated Notes.
The Issuer will collateralise the Natexis Zero Coupon Security
Component of the Class VI Structured Combination Notes by
acquiring Natexis Zero Coupon Notes issued by Natexis Banques
Populaires, pursuant to its Euro Medium Term Notes and Debt
Instruments Programme. Copies of the Base Prospectus dated
6 September 2005 and the Final Terms dated 21 July 2006 relating
to the Natexis Zero Coupon Notes may be obtained free of charge
from the Irish Listing Agent (but neither of them form a part of this
Prospectus). Natexis Zero Coupon Notes acquired by the Issuer
with a maturity date of 26 September 2018 in respect of the nominal
principal amount of A3,500,000 will be held as security, that is, the
Natexis Zero Coupon Security Component solely for the benefit of
the holders of the Class VI Structured Combination Notes and
proceeds received in respect of such Natexis Zero Coupon Notes,
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