VALLAURIS II CLO PLC - Irish Stock Exchange

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amount of the Class as a whole (including the related Components for the purposes of such calculation). Subject as provided below, no other payments in respect of principal will be made on the Structured Combination Notes. In addition, the holders of any Structured Combination Notes shall have all the rights of the holder of a Subordinated Note corresponding to the Subordinated Component of which the Structured Combination Notes are comprised as if they were a direct holder thereof. Security for the Notes: The Notes will be secured by (amongst other things) a portfolio of Collateral Debt Obligations including: (a) (b) (c) Senior Secured Loans, Second Lien Loans and Mezzanine Obligations of various obligors denominated in Euro; and/or Currency Swap Obligations which shall each comprise: (i) (ii) a Senior Secured Loan, Second Lien Loan or Mezzanine Obligation denominated in United States dollars, Canadian dollars, Australian dollars, pounds sterling or any lawful currency (other than the Euro) of a Qualifying Country (each a ‘‘Non-Euro Obligation’’) which satisfies each of the Eligibility Criteria other than that relating to its currency of denomination; and a Currency Swap Transaction entered into with a Currency Swap Counterparty in respect of such obligation referred to in (i) above pursuant to which the payments of principal, interest and other amounts in respect of such Non-Euro Obligation are exchanged for amounts in Euros. See ‘‘Description of the Portfolio – Currency Swap Obligations’’ below. in the event that any such securities are acquired by the Issuer, Synthetic Securities which are linked to obligations with the characteristics of Senior Secured Loans, Second Lien Loans or Mezzanine Obligations. The Notes will also be secured by certain other assets of the Issuer. See Condition 4(a) (Security). The Structured Combination Notes will be secured solely to the extent to which the respective underlying Components comprising the Structured Combination Notes are secured. The Class V Structured Combination Notes will have the benefit of an assignment, by way of security, relating to the OAT Strips pursuant to the Trust Deed and a pledge over the OAT Strips comprising the OAT Strips Portion pursuant to the OAT Strips Pledge Agreement for the benefit of the Class V Structured Combination Noteholders only. The Class VI Structured Combination Notes will have the benefit of an assignment, by way of security, relating to the Natexis Zero Coupon Notes, pursuant to the Trust Deed and a pledge over the Natexis Zero Coupon Notes comprising the Natexis Zero Coupon Notes Portion pursuant to the Natexis Zero Coupon Notes Pledge Agreement for the benefit of the Class VI Structured Combination Noteholders only. 13
Purchase of Collateral Debt Obligations: A portfolio of Senior Secured Loans, Second Lien Loans and Mezzanine Obligations that at the time of their acquisition on behalf of the Issuer complies with the Eligibility Criteria described herein will be purchased on behalf of the Issuer by the Collateral Manager either (i) on or about the Closing Date or (ii) during the Investment Period (as defined below), 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’’). The Issuer shall be required to purchase Collateral Debt Obligations with an aggregate principal amount of A250,000,000 by the Initial Effective Date and an aggregate principal amount of A300,000,000 (the ‘‘Target Par Amount’’) by the end of the 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 Additional Collateral Debt Obligations purchased on behalf of the Issuer by the Collateral Manager during the Investment Period will, at the time of their acquisition, satisfy the Eligibility Criteria and the purchase thereof will be required to satisfy the Reinvestment Criteria. It is expected that substantially all of the Collateral Debt Obligations will have ratings that are below investment grade and accordingly will have greater credit and liquidity risk than obligations of investment grade sovereign or corporate entities. See ‘‘Risk Factors. The Collateral Managers will use their reasonable endeavours to procure that: (a) (b) the aggregate principal amount of the Collateral Debt Obligations held or committed to be purchased is equal to at least A250,000,000 as at the Initial Effective Date and at least 100 per cent. of the Target Par Amount as at the Final Effective Date; the Collateral Quality Tests (consisting 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 Portfolio Profile Tests and the Coverage Tests (consisting of the Senior Par Value Test, the Senior Interest Coverage Test, the Mezzanine Par Value Tests, the Mezzanine Interest Coverage Tests and the Interest Reinvestment Test) are satisfied with respect to the Collateral Debt Obligations held or committed to be purchased as at the Final Effective Date. Failure to satisfy such tests will result in the occurrence of an Effective Date Rating Event which, if continuing on the second Business Day prior to the next Payment Date, could result in redemption of the Notes. See ‘‘Description of the Portfolio’’ and Condition 7(d) (Redemption upon Effective Date Rating Event). 14
Page 1 and 2: Prospectus dated 26 July 2006 VALLA
Page 3 and 4: information is in accordance with t
Page 5 and 6: AVAILABLE INFORMATION To permit com
Page 7 and 8: Page 4. Final Effective Date ......
Page 9 and 10: The Collateral Administrator: Branc
Page 11 and 12: Class VI Structured Combination Not
Page 13 and 14: Use of Proceeds: Priorities of Paym
Page 15 and 16: Collateral Quality Tests Overcollat
Page 17 and 18: Principal Repayments: Reinvestment
Page 19: Redemption upon an Effective Date R
Page 23 and 24: their respective functions under th
Page 25 and 26: Treatment of Interest Proceeds: Acc
Page 27 and 28: Authorised Denominations: Form, Reg
Page 29 and 30: The Depositary: Additional Issuance
Page 31 and 32: Component. In addition, Class VI St
Page 33 and 34: the obligor group. Second Lien Loan
Page 35 and 36: eferred to herein as ‘‘Particip
Page 37 and 38: Collateral Debt Obligation is enter
Page 39 and 40: Collateral Manager. The need to sat
Page 41 and 42: subject the Notes to an additional
Page 43 and 44: that Collateral Debt Obligations is
Page 45 and 46: 3.4 Subordination of Structured Com
Page 47 and 48: 3.9 Mandatory Redemption of the Not
Page 49 and 50: compensate for such withholding tax
Page 51 and 52: Condition 14(b) (Modification and W
Page 53 and 54: investment decisions for the Issuer
Page 55 and 56: In relation to the disposal of asse
Page 57 and 58: Investment Tax Act (the ‘‘Inves
Page 59 and 60: another member state, except that A
Page 61 and 62: payments, distributions, votes or c
Page 63 and 64: in each case, including any value a
Page 65 and 66: ‘‘Class IV Interest Coverage Ra
Page 67 and 68: ‘‘Credit Improved Obligation’
Page 69 and 70: Balance of all Collateral Debt Obli
Page 71 and 72:
‘‘Effective Date Requirements
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next following Payment Date, an amo
Page 75 and 76:
‘‘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
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Notes in accordance with Condition
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nearest one hundred-thousandth of a
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the Class II Senior Notes the Class
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(A) (B) (C) in respect of each Coll
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immediately prior to the related Pa
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(C) (D) the Collateral Administrato
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(b) (c) on the Register at the clos
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(d) as a result of presentation for
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(d) (e) (i) (ii) If an Event of Def
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12. Prescription (a) Note represent
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necessary to facilitate the adminis
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Except where expressly provided oth
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Combination Notes, in the proportio
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FORM OF THE NOTES References below
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interests in the Exchanged Global N
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BOOK-ENTRY CLEARANCE PROCEDURES AND
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Book-Entry Interests owned through
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A person acquiring a Book-Entry Int
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RATINGS OF THE NOTES It is a condit
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EXPECTED AVERAGE LIVES OF THE NOTES
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Deutsche International Finance (Ire
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DESCRIPTION OF THE COLLATERAL MANAG
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A three-dimensional organization -
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Contribution to revenues (consolida
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Directors’ work is prepared and o
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Jean-Luc Simon - CDO Director Jean-
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on behalf of, the Issuer of Synthet
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the Interest Account and/or to the
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to a non-default rate or an improve
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connection with any such sale or re
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in Sections 7.3 (Sale of Credit Imp
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7.6 Unscheduled Principal Proceeds
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(b) in the case of proceeds resulti
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Obligation. For the avoidance of do
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Institution, having a credit rating
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the Defaulted Obligation at the fai
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(a) where the Issuer, following con
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In the event that the Issuer receiv
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(C) at its own cost, (i) in the cas
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Upon the occurrence of any Event of
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For purposes of calculating the Div
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Aggregate Industry Equivalent Unit
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(3) shall be two subcategories abov
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(i) (ii) (iii) if such Collateral D
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Moody’s Recovery Rate Table Oblig
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Reinvestment Period, with the appli
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11.10 S&P CDO Evaluator Test The
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DESCRIPTION OF THE COLLATERAL MANAG
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Collateral Management Agreement (Ap
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DESCRIPTION OF THE COLLATERAL ADMIN
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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
Page 261 and 262:
THE TERMS OF THE TRUST DEED. EACH T
Page 263 and 264:
GENERAL INFORMATION 1. Clearing Sys
Page 265 and 266:
11. Expenses The total expenses rel
Page 267 and 268:
CDO Liabilities....................
Page 269 and 270:
Currency Swap Counterparty.........
Page 271 and 272:
Initial Ratings ...................
Page 273 and 274:
OAT Strips Pledge Agreement .......
Page 275 and 276:
Registered Notes ..................
Page 277 and 278:
Synthetic Counterparty Default ....
Page 279:
imprima de bussy — C94339
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VALLAURIS II CLO PLC - Irish Stock Exchange

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