VALLAURIS II CLO PLC - Irish Stock Exchange

(b) the products obtained by multiplying the Principal Balance of each floating rate Non-Euro
Obligation, excluding Defaulted Obligations, by the margin (expressed in basis points) over
EURIBOR payable by the applicable Currency Swap Counterparty to the Issuer under the
Currency Swap Transaction relating thereto;
(c) the aggregate of the products obtained by multiplying the Principal Balance of each fixed
rate Euro denominated Collateral Debt Obligation the subject of an Interest Rate Hedge
Transaction (excluding any Defaulted Obligations), by the difference between the amount
payable by the applicable Interest Rate Hedge Counterparty to the Issuer under the
Interest Rate Hedge Transaction relating thereto and the Note EURIBOR (as expressed in
basis points);
(d) the aggregate of the products obtained by multiplying the Principal Balance of each fixed
rate Non-Euro Obligation, excluding Defaulted Obligations, by the difference between the
amount payable by the applicable Currency Swap Counterparty to the Issuer under the
Currency Swap Transaction relating thereto and the Note EURIBOR (as expressed in basis
points) thereof; and
(e) in respect of any fixed Collateral Debt Obligations not the subject of an Interest Rate
Hedge Transaction, the difference between the fixed rate coupon of such Collateral Debt
Obligation and Note EURIBOR as at the date of calculation;
dividing such sum by the aggregate Principal Balances of all such fixed and floating rate Collateral
Debt Obligations, including Non-Euro Obligations but excluding Defaulted Obligations, and rounding
the result up to the nearest basis point.
‘‘Note EURIBOR’’ means the six-month EURIBOR as at any Measurement Date (or in respect
of any Measurement Date during the first Interest Accrual Period, the EURIBOR rate determined by
linear interpolation in respect of 6 month EURO deposits and 9 month EURO deposits).
11.5 The Moody’s Minimum Weighted Average Recovery Rate Test
The ‘‘Moody’s Minimum Weighted Average Recovery Rate Test’’ will be satisfied as at any
Measurement Date if the Moody’s Weighted Average Recovery Rate 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.
‘‘Moody’s Recovery Rate’’ means, in relation to each Collateral Debt Obligation, either (a) the
Moody’s Recovery Rate allotted to such Collateral Debt Obligation in the Moody’s Recovery Rate
Table below, by reference to whether it is a Senior Secured Loan, Second Lien Loan or Mezzanine
Obligation and the Associated Country of such Collateral Debt Obligation; or (b) the Moody’s
Recovery Rate assigned thereto by Moody’s on request by the Collateral Manager, provided that for
the purposes of calculating the Moody’s Minimum Weighted Average Recovery Rate Test, a
Synthetic Security shall be included as a Collateral Debt Obligation having the relevant characteristics
of the related Reference Obligation (and the obligor under the related Reference Obligation) and not
of the Synthetic Security, unless the Collateral Manager determines otherwise and receives Rating
Agency Confirmation in respect of such determination, such Moody’s Recovery Rate to be rounded
to the nearest decimal place and expressed as a percentage.
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