VALLAURIS II CLO PLC - Irish Stock Exchange

(C)
at its own cost, (i) in the case where the Hedge Counterparty is an Interest Rate
Hedge Counterparty, and:
(1) if the long-term and short-term senior unsecured debt ratings of such Interest
Rate Hedge Counterparty or its Credit Support Provider are below ‘‘A1’’ (but
not below ‘‘A3’’) or below ‘‘P-1’’ from Moody’s, post, within 30 calendar days
of such downgrade below the Required Ratings, collateral with the Issuer
pursuant to an appropriate mark-to-market collateral agreement in an amount
equal to 102 per cent. of the weekly mark-to-market value (subject to a
minimum of zero) of any such Interest Rate Hedge Transaction that is the
subject of such Interest Rate Hedge Agreement, as determined by the Collateral
Manager, acting on behalf of the Issuer, and the Interest Rate Hedge
Counterparty and in accordance with the then current market practice;
(2) if any of the long-term or short-term senior unsecured debt ratings of such
Interest Rate Hedge Counterparty or its Credit Support provider are below
‘‘A3’’ or ‘‘P-1’’ from Moody’s, immediately post collateral with the Issuer
pursuant to an appropriate mark-to-market collateral agreement in an amount
equal to 102 per cent. of the weekly mark-to-market value (subject to a
minimum of zero) of any such Interest Rate Hedge Transaction that is the
subject of such Interest Rate Hedge Agreement, as determined by the Collateral
Manager, acting on behalf of the Issuer, and the Interest Rate Hedge
Counterparty and in accordance with the then current market practice, plus the
product of 0.40 per cent. multiplied by the remaining average life (as determined
by the Collateral Administrator in accordance with the terms of the Collateral
Management Agreement) of such Interest Rate Hedge Transaction multiplied by
the notional amount of such Interest Rate Hedge Transaction provided that for
such time as the applicable Interest Rate Hedge Counterparty posts collateral in
the circumstances of this paragraph (2), it shall use its reasonable efforts to
transfer, within 30 calendar days of such downgrade below the Required
Ratings, all of its rights and obligations under the Interest Rate Hedge
Agreement pursuant to paragraph (A) above and/or procure a guarantor or
indemnitor of its obligations under the Interest Rate Hedge Agreement pursuant
to paragraph (B) above; and
(3) if the short-term senior unsecured debt ratings of such Interest Rate Hedge
Counterparty or its Credit Support Provider are below ‘‘A-1’’ but not below
‘‘A-3’’ from S&P, post, within 30 calendar days of such downgrade below the
Required Ratings, collateral with the Issuer pursuant to an appropriate mark-tomarket
collateral agreement in an amount equal to 100 per cent. of the weekly
mark-to-market value (subject to a minimum of zero) of any such Interest Rate
Hedge Transaction that is the subject of such Interest Rate Hedge Agreement,
as determined by the Collateral Manager, acting on behalf of the Issuer, and
the Interest Rate Hedge Counterparty and in accordance with the then current
market practice, plus the product of (x) the relevant Volatility Buffer (as defined
in the Collateral Management Agreement), multiplied by (y) the notional
amount of the Interest Rate Hedge Transaction, as determined by the Collateral
Manager, acting on behalf of the Issuer and calculated weekly;
(ii)
in the case where the Hedge Counterparty is a Currency Swap Counterparty,
and:
(1) if the long term and short term senior unsecured debt ratings of the Currency
Swap Counterparty or its Credit Support Provider are below ‘‘A1’’ (but not
below ‘‘A3’’) or below ‘‘P-1’’ from Moody’s, post, within 30 calendar days of
such downgrade below the Required Ratings, collateral with the Issuer pursuant
to an appropriate mark-to-market collateral agreement in an amount equal to
102 per cent. of the weekly mark-to-market value (subject to a minimum of
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