VALLAURIS II CLO PLC - Irish Stock Exchange

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estimate the default rate the portfolio is likely to experience. The S&P CDO Monitor will be provided by S&P to the Collateral Manager and the Collateral Administrator on the Final Effective Date, together with necessary instructions and assumptions. The S&P CDO Monitor calculates the cumulative default rate of a pool of Collateral Debt Obligations and Eligible Investments consistent with a specified benchmark rating level based upon S&P’s proprietary corporate debt default studies. The S&P CDO Monitor recognises and analyses the effects of substituting Collateral Debt Obligations, investments of Principal Proceeds in Eligible Investments, rating changes on Collateral Debt Obligations and amortisation and payment of Collateral Debt Obligations. In addition to the other constraints set out herein, any purchase or sale of a Collateral Debt Obligation must satisfy or not worsen the S&P CDO Monitor Test, except that Credit Impaired Obligations and Defaulted Obligations may also be sold regardless whether such sale satisfies or improves the S&P CDO Monitor Test. In addition to its quantitative tests, S&P’s ratings take into account qualitative features of a transaction, including the legal structure and the risks associated with such structure, such rating agency’s view as to the quality of the participants in the transaction and other factors that it deems relevant. 149
EXPECTED AVERAGE LIVES OF THE NOTES The Maturity Date of the Notes of each Class is 26 September 2022; however, the average life of each Class of the Notes is expected to be shorter than the number of years to their Maturity Date. Average life refers to the average amount of time that will elapse from the date of issue of each Class of Notes until each Euro of the principal of such Note will be paid to the holder thereof. The actual average lives and actual maturities of each Class of the Notes will be determined by the amount and frequency of principal payments in respect of such Class, which are dependent upon, among other things, the amount of sinking fund payments and any other payments received at or in advance of the scheduled maturity of Collateral Debt Obligations (whether through sale, maturity, redemption, default or other liquidation or disposition). The actual average lives and actual maturities of each Class of the Notes will be affected by the structure of the Notes and the financial condition of each of the obligors of the underlying Collateral Debt Obligations and the characteristics of such Collateral Debt Obligations, including the existence and frequency of exercise of any optional or mandatory redemption features, the prevailing level of interest rates, the redemption price, the actual default rate and the actual level of recoveries on any Defaulted Obligations, the frequency of tender or exchange offers for such Collateral Debt Obligations and any sales of Collateral Debt Obligations, mandatory prepayments of principal on the Notes upon failure of applicable Coverage Tests, any sales of Collateral Debt Obligations and the ability of the Collateral Manager, acting on behalf of the Issuer, to reinvest Sale Proceeds in Substitute Collateral Debt Obligations. Certain of the Collateral Debt Obligations may be subject to sinking fund or optional redemption by the obligors of such Collateral Debt Obligations. Any disposition of a Collateral Debt Obligation may change the composition and characteristics of the Collateral Debt Obligations and the rate of payment thereon, and, accordingly, may affect the actual average lives of each Class of the Notes. The rate of future defaults and the amount and timing of any cash realisation from Defaulted Obligations will also affect the maturity and average lives of each Class of the Notes. The ability of the Collateral Manager to reinvest Principal Proceeds in the manner described under ‘‘Description of the Portfolio’’ will also affect the average lives of each Class of the Notes. Based on the portfolio of Collateral Debt Obligations expected to have been purchased and settled by the Issuer on or about the Closing Date, under a hypothetical scenario in which gross default rates are 0.0 per cent. per annum and the Collateral Debt Obligations have the longest possible maturity profile permissible under the Reinvestment Criteria, 10.0 to 30.0 per cent. annual prepayment and no optional redemptions are made on the Collateral Debt Obligations, the average life of each Class of the Notes would be expected to be as follows: Class I Senior Notes: 8.9-9.5 years; Class <strong>II</strong> Senior Notes: 10.7-11.6 years; Class <strong>II</strong>I Mezzanine Notes: 11.4-12.3 years and Class IV Mezzanine Notes: 12.0-12.5. The Subordinated Notes will not have an average life. The approximations in the preceding paragraph are not predictive; in fact as referred to above, the average lives of each Class of the Notes will be affected by the financial condition of the obligors of the underlying Collateral Debt Obligations and the characteristics of such obligations, including the amount and frequency of prepayments, the existence and frequency of exercise of any optional redemption, mandatory prepayment or sinking fund features, the prevailing level of interest rates, the redemption price, the actual default rate and the actual level of recoveries on any Defaulted Obligations, the frequency of tender or exchange offers for the Collateral Debt Obligations, and any sales of Collateral Debt Obligations. See ‘‘Description of the Portfolio – Management of the Portfolio’’. 150
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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
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Obligation (save in the case of (i)
Page 105 and 106: the avoidance of doubt, any schedul
Page 107 and 108: (BB) termination of the Interest Ra
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 and 154: A person acquiring a Book-Entry Int
Page 155: RATINGS OF THE NOTES It is a condit
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
Page 205 and 206: (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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