VALLAURIS II CLO PLC - Irish Stock Exchange

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DESCRIPTION OF THE PORTFOLIO Capitalised terms which are used in this section and not defined in this section shall have the meanings given to them in Condition 1 (Definitions) under ‘‘Conditions of the Notes’’. 1. Introduction Under the Collateral Management Agreement, Natexis Banques Populaires (together with any of its successors in interest) in relation to all investment and management functions with respect to the Collateral except in respect of Financial Instruments and Natexis Asset Management in relation to all investment and management functions with respect to Financial Instruments (as defined below) only (in each case, the ‘‘Collateral Manager’’ and together, the ‘‘Collateral Managers’’) have each agreed to act as the Issuer’s collateral manager and to act in specific circumstances on behalf of the Issuer and to carry out the functions described below. In managing the categories of Collateral Debt Obligations for which they are responsible each Collateral Manager shall act in compliance with the Collateral Management Agreement and the Conditions. Natexis Banques Populaires shall procure that Natexis Asset Management complies with its obligations under the Collateral Management Agreement (including its obligation to manage the categories of Collateral Debt Obligations to be managed by it in compliance with the terms of the Collateral Management Agreement and the Conditions of the Notes). The Collateral Managers shall prior to making investment or disposal decisions consult with each other with a view to ensuring that the Portfolio complies with the terms of the Collateral Management Agreement and the Conditions of the Notes (and, in particular, to ensure compliance with the obligations of the Collateral Managers thereunder in respect of the Investment Objectives (as defined below) and the Collateral Quality Tests to the extent required under the terms of the Collateral Management Agreement). ‘‘Financial Instruments’’ means any financial instrument (instrument financier) within the meaning of article L.211-1 of the French Code Monétaire et Financier including Mezzanine Obligations held in the form of debt securities, Structured Finance Securities, Synthetic Securities (subject as provided in Section 7.16 (Synthetic Securities) below), Collateral Enhancement Obligations, Currency Swap Transactions and any Interest Rate Hedge Transactions. Pursuant to the Collateral Management Agreement, the Collateral Administrator is required to perform certain calculations in relation to the Portfolio on behalf of the Issuer. A portfolio of Senior Secured Loans, Second Lien Loans and Mezzanine Obligations will be purchased by, or on behalf of, the Issuer either (i) on or about the Closing Date or (ii) during the Investment Period from the Closing Date to but excluding the Final Effective Date out of the net proceeds of the issue of the Notes deposited in the Additional Collateral Account on the Closing Date and sums standing to the credit of the Principal Account as described herein (together, the ‘‘Final Portfolio’’). Under the terms of the Collateral Management Agreement, in making investment decisions and entering into arrangements on behalf of the Issuer to buy and sell Collateral Debt Obligations and Collateral Enhancement Obligations, the Collateral Managers shall use all their respective reasonable endeavours to ensure that there shall be sufficient funds available on each Payment Date in accordance with the Priorities of Payment: (a) (b) (c) to satisfy the payment obligations of the Issuer in respect of the CDO Liabilities in a timely manner; to ensure the maintenance of the Initial Ratings on each Class of Rated Notes; and subject to (a) and (b) above and to the protection of the interests of the Noteholders, to maximise the return to the holders of the Subordinated Notes. The above are referred to in the Collateral Management Agreement as the ‘‘Investment Objectives’’. The Collateral Debt Obligations will be constituted and/or evidenced by the various trust deeds, indentures, loan agreements, participation agreements and other similar instruments applicable thereto. All references herein to the acquisition or purchase of Collateral Debt Obligations, Additional Collateral Debt Obligations and Substitute Collateral Debt Obligations shall include provision by, or 163
on behalf of, the Issuer of Synthetic Collateral in respect of Synthetic Securities so purchased or acquired. 2. Investment Period It is anticipated that the Issuer will have purchased, or entered into agreements to purchase, Collateral Debt Obligations with an aggregate principal amount of approximately A200,000,000 on or about the Closing Date. The Collateral Managers will use their respective reasonable endeavours to purchase Additional Collateral Debt Obligations out of the Balance standing to the credit of the Additional Collateral Account after the Closing Date in order to procure that: (a) the Interim Targets (determined by reference to Collateral Debt Obligations both purchased and committed to be purchased) are satisfied with effect from the Initial Effective Date; (b) (c) (d) the aggregate principal amount of Collateral Debt Obligations purchased or committed to be purchased is equal to at least A250,000,000 as at the Initial Effective Date and equal to or greater than the Target Par Amount as at the Final Effective Date; the Collateral Quality Tests and the Coverage Tests (determined by reference to Collateral Debt Obligations both purchased and committed to be purchased) are satisfied with effect from the Final Effective Date and at all times thereafter; and the Portfolio Profile Tests (determined by reference to Collateral Debt Obligations both purchased and committed to be purchased) are satisfied with effect from the Final Effective Date and at all times thereafter, to the extent required to do so under the Reinvestment Criteria. The Additional Collateral Debt Obligations purchased by, or on behalf of, the Issuer during the Investment Period will, at the time a binding commitment for their acquisition is entered into, be required to satisfy the Eligibility Criteria and each Additional Collateral Debt Obligation shall also be selected by the Collateral Managers in a manner consistent with the terms of the Collateral Management Agreement as described in this Prospectus. 3. Initial Effective Date The Business Day after the six month period from the Closing Date shall be the ‘‘Initial Effective Date’’, unless the Collateral Manager, acting on behalf of the Issuer, is able to purchase Collateral Debt Obligations the aggregate principal amount of which is equal to or greater than A250,000,000 prior to the expiration of such period, in which case, the Collateral Manager, acting on behalf of the Issuer, shall declare the Initial Effective Date as set forth in the Collateral Management Agreement. Within 20 days of the Initial Effective Date the independent accountants appointed by the Issuer in accordance with the Collateral Management Agreement shall issue a report (an ‘‘Independent Accountants’ Report’’) confirming details of the aggregate principal amount of the Collateral Debt Obligations purchased or committed to be purchased as at such date and the computations demonstrating compliance with the Interim Targets by reference to such Collateral Debt Obligations, (or absent such compliance with the Interim Targets the report shall be submitted together with a plan prepared by the Collateral Manager acting on behalf of the Issuer that is, in the Manager’s commercially reasonable judgment, sufficient to attain compliance on the Final Effective Date with each of the Collateral Quality Tests, the Coverage Tests and the Portfolio Profile Test) copies of which shall be forwarded to the Issuer, the Trustee, the Collateral Manager, the Collateral Administrator and the Rating Agencies. The Collateral Manager, acting on behalf of the Issuer, shall request that the Rating Agencies confirm the Initial Ratings assigned to each Class of Rated Notes within 30 days after the Initial Effective Date. In the event that the Rating Agencies confirm the ratings assigned to any of the Class I Senior Notes, the Class <strong>II</strong> Senior Notes, the Class <strong>II</strong>I Mezzanine Notes and/or the Class IV Mezzanine Notes as at the Closing Date are reduced or withdrawn, the Collateral Manager, acting on behalf of Issuer, may continue to purchase Additional Collateral Debt Obligations out of the Balance standing to the credit of the Additional Collateral Account up to the Business Day prior to the Payment Date falling immediately after the Initial Effective Date on which date, in the event that such ratings have not been reinstated, all amounts 164
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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)
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the avoidance of doubt, any schedul
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(BB) termination of the Interest Ra
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(b) (c) (d) at any time in repaymen
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(I) (J) (K) (L) The Retained Portio
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pursuant thereto provided that such
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amount being referred to herein as
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(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 and 156: RATINGS OF THE NOTES It is a condit
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: Jean-Luc Simon - CDO Director Jean-
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
Page 207 and 208: Moody’s Recovery Rate Table Oblig
Page 209 and 210: Reinvestment Period, with the appli
Page 211 and 212: 11.10 S&P CDO Evaluator Test The
Page 213 and 214: DESCRIPTION OF THE COLLATERAL MANAG
Page 215 and 216: Collateral Management Agreement (Ap
Page 217 and 218: DESCRIPTION OF THE COLLATERAL ADMIN
Page 219 and 220: 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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