VALLAURIS II CLO PLC - Irish Stock Exchange

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Amendment and Termination The Depositary Agreement may be amended by agreement among the Issuer, the Depositary and the Trustee. The consent of Euroclear and Clearstream, Luxembourg shall not be required in connection with any amendment made to the Depositary Agreement: (i) to cure any inconsistency, omission, defect or ambiguity in such agreement; (ii) to add to the covenants and agreements of the Depositary or the Issuer; (iii) to effect the assignment of the Depositary’s rights and duties to a qualified successor; (iv) to comply with the Securities Act, the Exchange Act, or the U.S. Investment Company Act of 1940, as amended; or (v) to modify, alter, amend or supplement the Depositary Agreement in any other respect which, in the opinion of the Trustee, is not materially prejudicial to the holders of Book-Entry Interests. Except as set forth above, no amendment that adversely effects the holders of the Book-Entry interests may be made to the Depositary Agreement or the Book-Entry Interests without the consent of the holders of Book-Entry Interests. Upon the issuance of Definitive Certificates, the Depositary Agreement will terminate. The Depositary Agreement may be terminated upon the resignation of the Depositary if no successor has been appointed within 90 days as set forth under ‘‘Resignation or Removal of Depositary’’ below. Resignation or Removal of Depositary The Depositary may at any time resign as Depositary upon 90 days’ written notice delivered to each of the Issuer and the Trustee. The Issuer may remove the Depositary at any time upon 90 days’ written notice delivered to the Depositary. No resignation or removal of the Depositary and no appointment of a successor Depositary shall become effective until (i) the acceptance of appointment by the successor Depositary or (ii) the issue of Definitive Certificates. Obligation of Depositary The Depositary will assume no obligation or liability under the Depositary Agreement other than to use good faith and reasonable care in the performance of its duties under such Agreement. 147
RATINGS OF THE NOTES It is a condition of the issuance and offering that the Notes (except for the Subordinated Notes and the Structured Combination Notes) be issued with at least the following ratings assigned by Moody’s and S&P: Class I Senior Notes: ‘‘Aaa’’ from Moody’s and ‘‘AAA’’ from S&P; Class II Senior Notes: ‘‘Aa2’’ from Moody’s and ‘‘AA’’ from S&P; Class III Mezzanine Notes: ‘‘Baa2’’ from Moody’s and ‘‘BBB’’ from S&P; Class IV Mezzanine Notes: ‘‘Ba2’’ from Moody’s and ‘‘BB’’ from S&P. The Subordinated Notes being offered hereby will not be rated. The ratings assigned by S&P to the Class I Senior Notes and the Class II Senior Notes address the timely payment of interest and the ultimate payment of principal. The ratings assigned by S&P to the Class III Mezzanine Notes and the Class IV Mezzanine Notes address the ultimate payment of principal and interest. It is expected that the Class V Structured Combination Notes will be rated AAA by S&P. It is not a condition of the issue and sale of the Notes that the Class V Structured Combination Notes be rated. The rating assigned by S&P to the Class V Structured Combination Notes address the ultimate payment of principal only. The rating does not address any residual interest. The ratings by Moody’s addresses the expected loss posed to investors by the Maturity Date. While the Moody’s rating primarily addresses expected loss, in respect of the Senior Notes, Moody’s has also assessed the likelihood of timely cash payment of interest on these particular obligations and views it at closing as consistent with the expected loss rating assigned. Moody’s The ratings assigned to the Rated Notes by Moody’s are based upon its assessment of the probability that the Collateral Debt Obligations will provide sufficient funds to pay each such Class of Rated Notes, based largely upon Moody’s statistical analysis of historical default rates on debt obligations with various ratings, the asset and interest coverage required for the relevant Class of Notes (which is achieved through the subordination of the Subordinated Notes and, in the case of the Class I Senior Notes, subordination of the Class II Senior Notes, the Class III Mezzanine Notes and the Class IV Mezzanine Notes, in the case of the Class II Senior Notes, subordination of the Class III Mezzanine Notes and the Class IV Mezzanine Notes), and in the case of the Class III Mezzanine Notes, the subordination of the Class IV Mezzanine Notes and the diversification requirements that the Collateral Debt Obligations are required to satisfy. Moody’s ratings address the expected loss posed to investors by the Maturity Date. While the Moody’s rating primarily addresses expected loss, in respect of the Senior Notes, Moody’s has also assessed the likelihood of timely cash payment of interest on these particular obligations and views it at closing as consistent with the expected loss rating assigned. Moody’s analyses the likelihood that each Collateral Debt Obligation will default, based on historical default rates for similar debt obligations, the historical volatility of such default rates (which increases as securities with lower ratings are added to the portfolio) and an additional default assumption to account for future fluctuations in defaults. Moody’s then determines the level of credit protection necessary to achieve the expected loss associated with the rating of the structured securities, taking into account the expected volatility of the default rate of the portfolio based on the level of diversification by region, issuer and industry. In addition to these quantitative tests, Moody’s ratings take into account qualitative features of a transaction, including the experience of the Collateral Manager, the legal structure and the risks associated with such structure and other factors that they deem relevant. In addition, a portion of the Collateral Debt Obligations will not be rated by Moody’s but will be assigned a rating pursuant to the methodology described herein. See ‘‘The Collateral Quality Tests – Maximum Portfolio Rating Test’’. S&P S&P’s credit rating analysis includes the application of its dynamic, analytical computer model, as it may be modified by S&P from time to time (the ‘‘S&P CDO Monitor’’), which is used to 148
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Prospectus dated 26 July 2006 VALLA
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information is in accordance with t
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AVAILABLE INFORMATION To permit com
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Page 4. Final Effective Date ......
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The Collateral Administrator: Branc
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Class VI Structured Combination Not
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Use of Proceeds: Priorities of Paym
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Collateral Quality Tests Overcollat
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Principal Repayments: Reinvestment
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Redemption upon an Effective Date R
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Purchase of Collateral Debt Obligat
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their respective functions under th
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Treatment of Interest Proceeds: Acc
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Authorised Denominations: Form, Reg
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The Depositary: Additional Issuance
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Component. In addition, Class VI St
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the obligor group. Second Lien Loan
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eferred to herein as ‘‘Particip
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Collateral Debt Obligation is enter
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Collateral Manager. The need to sat
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subject the Notes to an additional
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that Collateral Debt Obligations is
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3.4 Subordination of Structured Com
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3.9 Mandatory Redemption of the Not
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compensate for such withholding tax
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Condition 14(b) (Modification and W
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investment decisions for the Issuer
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In relation to the disposal of asse
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Investment Tax Act (the ‘‘Inves
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another member state, except that A
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payments, distributions, votes or c
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in each case, including any value a
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‘‘Class IV Interest Coverage Ra
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‘‘Credit Improved Obligation’
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Balance of all Collateral Debt Obli
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‘‘Effective Date Requirements
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next following Payment Date, an amo
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‘‘Interest Determination Date
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(a) a secured mezzanine loan or oth
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such obligation to purchase or othe
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(e) the Principal Balance of any Co
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(b) any Subordinated Note to be red
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(d) the retention of such Retained
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‘‘Securities Act’’ means th
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(a) such Synthetic Security will no
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2. Form and Denomination, Title, Tr
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more bids from one or more brokers
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(2) any Interest Rate Hedge Termina
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(X) (Y) (Z) at the option of the Co
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III Mezzanine Notes, in whole or in
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Failure to Appoint a Replacement Co
Page 103 and 104: Obligation (save in the case of (i)
Page 105 and 106: the avoidance of doubt, any schedul
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Page 109 and 110: (b) (c) (d) at any time in repaymen
Page 111 and 112: (I) (J) (K) (L) The Retained Portio
Page 113 and 114: pursuant thereto provided that such
Page 115 and 116: amount being referred to herein as
Page 117 and 118: (b) (viii) pay its debts generally
Page 119 and 120: Notes in accordance with Condition
Page 121 and 122: nearest one hundred-thousandth of a
Page 123 and 124: the Class II Senior Notes the Class
Page 125 and 126: (A) (B) (C) in respect of each Coll
Page 127 and 128: immediately prior to the related Pa
Page 129 and 130: (C) (D) the Collateral Administrato
Page 131 and 132: (b) (c) on the Register at the clos
Page 133 and 134: (d) as a result of presentation for
Page 135 and 136: (d) (e) (i) (ii) If an Event of Def
Page 137 and 138: 12. Prescription (a) Note represent
Page 139 and 140: necessary to facilitate the adminis
Page 141 and 142: Except where expressly provided oth
Page 143 and 144: Combination Notes, in the proportio
Page 145 and 146: FORM OF THE NOTES References below
Page 147 and 148: interests in the Exchanged Global N
Page 149 and 150: BOOK-ENTRY CLEARANCE PROCEDURES AND
Page 151 and 152: Book-Entry Interests owned through
Page 153: A person acquiring a Book-Entry Int
Page 157 and 158: EXPECTED AVERAGE LIVES OF THE NOTES
Page 159 and 160: Deutsche International Finance (Ire
Page 161 and 162: DESCRIPTION OF THE COLLATERAL MANAG
Page 163 and 164: A three-dimensional organization -
Page 165 and 166: Contribution to revenues (consolida
Page 167 and 168: Directors’ work is prepared and o
Page 169 and 170: Jean-Luc Simon - CDO Director Jean-
Page 171 and 172: on behalf of, the Issuer of Synthet
Page 173 and 174: the Interest Account and/or to the
Page 175 and 176: to a non-default rate or an improve
Page 177 and 178: connection with any such sale or re
Page 179 and 180: in Sections 7.3 (Sale of Credit Imp
Page 181 and 182: 7.6 Unscheduled Principal Proceeds
Page 183 and 184: (b) in the case of proceeds resulti
Page 185 and 186: Obligation. For the avoidance of do
Page 187 and 188: Institution, having a credit rating
Page 189 and 190: the Defaulted Obligation at the fai
Page 191 and 192: (a) where the Issuer, following con
Page 193 and 194: In the event that the Issuer receiv
Page 195 and 196: (C) at its own cost, (i) in the cas
Page 197 and 198: Upon the occurrence of any Event of
Page 199 and 200: For purposes of calculating the Div
Page 201 and 202: Aggregate Industry Equivalent Unit
Page 203 and 204: (3) shall be two subcategories abov
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(i) (ii) (iii) if such Collateral D
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Moody’s Recovery Rate Table Oblig
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Reinvestment Period, with the appli
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11.10 S&P CDO Evaluator Test The
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DESCRIPTION OF THE COLLATERAL MANAG
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Collateral Management Agreement (Ap
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DESCRIPTION OF THE COLLATERAL ADMIN
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DESCRIPTION OF THE REPORTS 1. Month
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(P) (Q) which consist of Participat
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Class I Senior Notes, Class II Seni
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In certain circumstances, Irish tax
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amount of interest paid, but also o
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General The following summary descr
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‘‘grossed up’’ for any mate
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maturity of such Notes will be the
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extent thereof), with payments attr
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PREFERRED EQUITY CERTIFICATES AND T
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or more (measured by vote or value)
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values at the time of purchase. A s
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associated territories. These apply
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The Class IV Mezzanine Notes, the S
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Any Plan fiduciary that proposes to
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For the avoidance of doubt, all ref
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(h) (i) (j) (k) (l) (m) any company
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means of sufficient information on
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(c) (d) (e) restrictions described
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(g) representations and warranties.
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PLAN AS DEFINED IN SECTION 3(3) OF
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THE TERMS OF THE TRUST DEED. EACH T
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GENERAL INFORMATION 1. Clearing Sys
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11. Expenses The total expenses rel
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CDO Liabilities....................
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Currency Swap Counterparty.........
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Initial Ratings ...................
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OAT Strips Pledge Agreement .......
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Registered Notes ..................
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Synthetic Counterparty Default ....
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imprima de bussy — C94339
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VALLAURIS II CLO PLC - Irish Stock Exchange

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