VALLAURIS II CLO PLC - Irish Stock Exchange

Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
Aggregate
Industry
Equivalent
Unit Score
4.8500 2.6333 9.9500 4.0000 15.0500 4.5100
4.9500 2.6667 10.0500 4.0100 15.1500 4.5200
Aggregate
Industry
Equivalent
Unit Score
Industry
Diversity
Score
11.2 The Maximum Weighted Average Life Test
The ‘‘Weighted Average Life Test’’ means a test which will be satisfied as at any Measurement
Date from (and including) the Effective Date, if the Portfolio Weighted Average Life is on or before
26 July 2017.
‘‘Portfolio Weighted Average Life’’ is, as of any date of determination the date calculated by
adding to the Closing Date the Weighted Average Life of the Collateral Debt Obligations (expressed
as a number of months from the Closing Date) calculated by (i) summing the products obtained by
multiplying (a) each of (1) the Principal Balance (or portion thereof) of each Collateral Debt
Obligation (excluding Defaulted Obligations) that is then held by the Issuer and that matures or
amortises on any date subsequent to such date of determination, and (2) if the aggregate Principal
Balance of the Collateral Debt Obligations on such date of determination is less than the initial
aggregate Principal Balance of the Collateral Debt Obligations (excluding Defaulted Obligations) at
the Final Effective Date, the difference between such initial aggregate Principal Balance and such
outstanding aggregate Principal Balance by (b) the number of months from the Closing Date to the
date of such maturity or amortisation (in the case of paragraph (i)(a)(1)) or to such date of
determination (in the case of paragraph (i)(a)(2)) and (ii) dividing such sum by the aggregate Principal
Balance (excluding Defaulted Obligations) used in paragraph (a)(1) above.
11.3 The Maximum Portfolio Rating Test
The ‘‘Maximum Portfolio Rating Test’’ will be satisfied as of any Measurement Date if the
Average Portfolio Rating on each Measurement Date (i) from and including the Initial Effective Date
to but excluding the Final Effective Date is 2,410 or less which corresponds to a rating of between
‘‘B1’’ and ‘‘B2’’ and (ii) from and including the Final Effective Date is equal to or less than the level
specified in the Moody’s Test Matrix (set out above) which is applicable under the Quality Case
selected by the Collateral Manager, acting on behalf of the Issuer.
The ‘‘Average Portfolio Rating’’ is determined by summing the products obtained by multiplying
the Principal Balance of each Collateral Debt Obligation, excluding Defaulted Obligations, by its
corresponding Moody’s Rating Factor or Implied Moody’s Rating Factor (as applicable), dividing
such sum by the aggregate Principal Balances of all Collateral Debt Obligations, excluding Defaulted
Obligations, and rounding the result up to the nearest whole number.
The ‘‘Moody’s Rating’’ of any Collateral Debt Obligation, as at any date of determination, shall
mean the following:
(i) with respect to Collateral Debt Obligations that are Senior Secured Loans,
(a) if the obligor of such Collateral Debt Obligation has a corporate family rating by
Moody’s, such rating,
(b) if the obligor of such Collateral Debt Obligation has no corporate family rating by
Moody’s and the Collateral Debt Obligation itself is not rated, but the obligor of
such Collateral Debt Obligation has a senior unsecured obligation publicly rated by
Moody’s, such rating,
(c) if the obligor of such Collateral Debt Obligation has no corporate family rating by
Moody’s, but the Collateral Debt Obligation itself is rated, one subcategory below
such rating, and
(d) if the obligor of such Collateral Debt Obligation has no corporate family rating by
Moody’s and neither such Collateral Debt Obligation nor any senior unsecured
obligation of the obligor has been publicly rated by Moody’s, but another obligation
of the obligor has been rated by Moody’s (including, but not limited to, public
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