VALLAURIS II CLO PLC - Irish Stock Exchange

Upon the occurrence of any Event of Default or Termination Event, a Hedge Agreement may
be terminated in accordance with the detailed provisions thereof and a lump sum determined by
reference to market quotations obtained for the entry into of a replacement swap on the same terms
as that terminated or as otherwise described in the applicable Hedge Agreement (the ‘‘Termination
Payment’’) may become payable by the Issuer to the applicable Hedge Counterparty or vice versa.
11. The Collateral Quality Tests
The Collateral Quality Tests will be used primarily as the criteria for purchasing Collateral Debt
Obligations. The Collateral Quality Tests will consist of the Minimum Diversity Test, the Maximum
Weighted Average Life Test, the Maximum Portfolio Rating Test, the Minimum Weighted Average
Spread Test, the Moody’s Minimum Weighted Average Recovery Rate Test, the S&P Minimum
Weighted Average Recovery Rate Test, the S&P CDO Monitor Test, and the S&P CDO Evaluator
Test. The Collateral Administrator will (subject to the proviso below) carry out the Collateral Quality
Tests (i) as at the Initial Effective Date, (ii) as at the Final Effective Date, (iii) after the Initial
Effective Date, upon a substitution (including both the date of sale and reinvestment if not the same
date) of, or a default under, a Collateral Debt Obligation or acquisition of any Additional Collateral
Debt Obligation, (iv) the last Business Day of each Month and (v) with reasonable notice (not being
less than two Business Days’ notice), on any Business Day requested by the Rating Agencies (any
such date, a ‘‘Measurement Date’’), provided that the S&P CDO Monitor Test will only be carried out
on a Measurement Date falling on or after the Final Effective Date until the end of the Reinvestment
Period and provided further that the S&P CDO Evaluator Test will only be carried out on a
Measurement Date falling on or after the end of the Reinvestment Period.
The Collateral Administrator will carry out the Collateral Quality Tests on each Measurement
Date. For the purpose of the Minimum Diversity Test, the Maximum Portfolio Rating Test and the
Minimum Weighted Average Spread Test, the Issuer shall, not later than five Business Days prior to
the Final Effective Date and may at any time thereafter, upon five Business Days’ notice, notify the
Collateral Manager, the Trustee, the Collateral Administrator and the Rating Agencies of the quality
case which is to apply in respect of such tests, as referred to in the Moody’s Test Matrix and
provided that the quality case applicable to the Maximum Portfolio Rating Test shall be determined
by reference to the quality cases which are to apply by reference to the quality cases which are to
apply (each of the quality cases being a ‘‘Quality Case’’) set out below for any given case:
(a) the applicable Moody’s Test Matrix for performing the Moody’s Minimum Diversity Test will
be the Moody’s Test Matrix in which the elected case is set out;
(b) the applicable column for performing the Moody’s Maximum Rating Factor Test will be the
column in the applicable Moody’s Test Matrix in which the elected case is set out.
(c) the applicable row for determining the Minimum Weighted Average Spread will be the row in
the applicable Moody’s Test Matrix in which the elected case is set out; and
(d) the applicable row and column for performing the Moody’s Minimum Weighted Average
Recovery Rate Test will be the row and column in the applicable Moody’s Test Matrix in which
the elected case is set out.
In no circumstances shall the Issuer be under any obligation to elect that a different Quality Case
shall apply.
Diversity Score: 30
Moody’s Maximum Portfolio Rating 2250 2400 2550
Moody’s Minimum Weighted Average
Minimum Weighted Average Spread
Recovery Rate
2.35% ........................................................................................... 53.3% 56.3% 59.1%
2.55% ........................................................................................... 50.8% 54.0% 56.9%
2.75% ........................................................................................... 48.3% 51.6% 54.7%
2.95% ........................................................................................... 46.0% 49.6% 52.7%
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