VALLAURIS II CLO PLC - Irish Stock Exchange

(i)
(ii)
(iii)
if such Collateral Debt Obligation is publicly rated by Moody’s, then the S&P Rating
of such Collateral Debt Obligation shall be (A) one subcategory below the S&P
equivalent of the rating assigned by Moody’s if such Collateral Debt Obligation is
rated ‘‘Baa3’’ or higher by Moody’s and (B) two sub-categories below the S&P
equivalent of the rating assigned by Moody’s if such Collateral Debt Obligation is
rated ‘‘Bal’’ or lower by Moody’s; provided that the Euro Equivalent of the aggregate
principal amount of Collateral Debt Obligations that may be given an S&P Rating
based on a rating given by Moody’s as provided in this sub-clause (b)(i) shall not
exceed 10 per cent. of the CDO Principal Balance;
if such Collateral Debt Obligation is not rated by Moody’s but a parallel security is
rated by Moody’s, then the rating of such parallel security shall be determined in
accordance with the methodology set forth in sub-clause (b)(i) above;
if no other security or obligation of the issuer or obligor is rated by S&P or
Moody’s, then the Issuer or the Collateral Manager on behalf of the Issuer may
apply to S&P for an S&P credit estimate, which shall then be its S&P Rating;
provided that during the period measured from the date of acquisition of such
Collateral Debt Obligation through to the date on which such credit estimate is
assigned, such Collateral Debt Obligation shall be attributed an S&P Rating of ‘‘B-’’
(for 21 days), and to the extent no credit estimate is received within 21 days, as
agreed with S&P thereafter; and
(c)
with respect to any Synthetic Security or Participation, if the related Synthetic Security
Counterparty or Selling Institution (as applicable) has been downgraded to an issuer credit
rating lower than ‘‘A’’ by S&P, the S&P Rating shall be the lower of such rating or the
rating of the related Reference Obligation or borrower (as applicable) as determined
according to clauses (a) through (c) herein.
All Collateral Debt Obligations which are project finance loans or which are Structured Finance
Securities must be given a public or shadow rating by S&P and must be assigned an S&P Recovery
Rate by S&P.
For the purposes of the Maximum Portfolio Rating Test, if a Collateral Debt Obligation has
been sold or is the subject of an optional redemption or Offer, and the Sale Proceeds or Unscheduled
Principal Payments from such event have not yet been reinvested in Substitute Collateral Debt
Obligations or distributed to the Noteholders or the other creditors of the Issuer in accordance with
the Priorities of Payment, the Principal Balance of such Collateral Debt Obligation shall be calculated
as if such Collateral Debt Obligation had not been sold or was not subject to such an optional
redemption or Offer and such Collateral Debt Obligation shall be included in such test as if it had
not been sold by the Issuer or was subject to an optional redemption or Offer.
11.4 The Minimum Weighted Average Spread Test
The ‘‘Minimum Weighted Average Spread Test’’ will be satisfied if the Weighted Average Spread
is greater than or equal to, as at any Measurement Date, from and including the Initial Effective
Date to and excluding the Final Effective Date, 2.55 per cent. and, as at any Measurement Date
from and including the Final Effective Date is greater than or equal to 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 ‘‘Weighted Average Spread’’ is determined by summing the following:
(a)
the products obtained by multiplying the Principal Balance of each floating rate Collateral
Debt Obligation, save for Non-Euro Obligations and excluding Defaulted Obligations, by
the margin (expressed in basis points) over EURIBOR payable in respect of such
Collateral Debt Obligation (net of any withholding taxes not subject to an applicable gross
up obligation) due on the date of determination;
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