VALLAURIS II CLO PLC - Irish Stock Exchange

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 II Senior Notes: 10.7-11.6 years; Class III 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