VALLAURIS II CLO PLC - Irish Stock Exchange

ate Synthetic Security shall be a fraction, expressed as a percentage and annualised, the numerator of
which is the current stated periodic spread over EURIBOR scheduled to be received by the Issuer
from the related Synthetic Counterparty and the denominator of which is the notional balance of
such Synthetic Security.
In the event that any Deliverable Obligations are received by the Issuer, the Collateral Manager,
acting on behalf of the Issuer:
(a) may, to the extent that such obligations satisfy the Eligibility Criteria, designate such
Deliverable Obligation as a Collateral Debt Obligation; or
(b) shall, in all other circumstances, sell or procure the sale thereof as soon as reasonably
practicable.
For the purposes of the above, ‘‘Deliverable Obligations’’ shall mean an obligation referred to in
a Synthetic Security as the ‘‘Deliverable Obligation’’ which is deliverable upon termination prior to
the scheduled maturity thereof.
7.17 Sale/Purchase Contracts
The Issuer or the Collateral Manager, acting on behalf of the Issuer, may only enter into
contracts for sale and/or purchase of Collateral Debt Obligations with counterparties who are rated
by Moody’s lower than ‘‘A2’’ and by S&P lower than ‘‘A’’ in respect of their long-term senior
unsecured debt and ‘‘P-1’’ by Moody’s and ‘‘A-1’’ by S&P in respect of their short-term senior
unsecured debt if any such contract has a settlement date which is no further from the date of entry
into such contract than the customary market settlement period at such time. The Issuer or the
Collateral Manager, acting on behalf of the Issuer, may, however, enter into contracts for sale and/or
purchase of Collateral Debt Obligations which have a settlement date at such time which is further
from the date of entry into such contract than the customary market settlement period with
counterparties who are rated by Moody’s equal to or above ‘‘A2’’ and by S&P equal to or above
‘‘A’’ in respect of their long-term senior unsecured debt and ‘‘P-1’’ by Moody’s and ‘‘A-1’’ by S&P in
respect of their short-term senior unsecured debt provided that the settlement date of any such
contract must be within 30 days of entry into such contract.
7.18 Participations
Pursuant to the Collateral Management Agreement, the Collateral Manager, acting on behalf of
the Issuer, may from time to time acquire Collateral Debt Obligations from Selling Institutions by
way of Participations. The Collateral Manager will use its reasonable endeavors to procure that the
Participations entered into by the Issuer after the Closing Date will be in a form substantially similar
to that recommended by the Loan Market Association or the Loan Syndication and Trading
Association, Inc. and will contain limited recourse and non petition provisions similar to those
contained in the Trust Deed. Rating Agency Confirmation must first be obtained in the case of
Participations, where the Selling Institution (the ‘‘first Selling Institution’’) derives its interest in such
Participation from another Selling Institution (the ‘‘second Selling Institution’’). At the time such
Participation is acquired, the percentage of the CDO Principal Balance that represents Participations
entered into by the Issuer with a single Selling Institution, shall not, when combined with the
percentage of the aggregate Principal Amount of Collateral Debt Obligations that represent Synthetic
Securities entered into with such institution exceed the applicable Individual Third Party Credit
Exposure Limit set out in the Individual Bivariate Risk Table determined by reference to the credit
rating of such Selling Institution (or any guarantor thereof). At the time such Participation is
acquired, the aggregate percentage of the CDO Principal Balance that represents all Participations
and Synthetic Securities entered into by the Collateral Manager acting on behalf of the Issuer, with
counterparties having the same credit rating will not exceed the applicable Aggregate Third Party
Credit Exposure Limit set out in Aggregate Bivariate Risk Table for such credit rating. If the Selling
Institution selling the Participation continues, after such sale, to derive its interest through a
participation or series of participations then each entity (excluding the relevant borrower) through
which the first Selling Institution, directly or indirectly, derives its interest in the relevant Collateral
Debt Obligation shall be treated as a Selling Institution and the relevant Collateral Debt Obligation
shall be treated as a single participation (with a Principal Balance equal to that of the relevant
Participation) entered into by the Collateral Manager, acting on behalf of the Issuer, with a Selling
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