VALLAURIS II CLO PLC - Irish Stock Exchange

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).
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