VALLAURIS II CLO PLC - Irish Stock Exchange

DESCRIPTION OF THE REPORTS
1. Monthly Reports
The Collateral Administrator shall not later than the tenth Business Day after the last day of
each month (excluding in respect of any month in which a Note Valuation Report is prepared)
commencing September 2006 (assuming the Initial Effective Date falls in such month, or October
2006 otherwise), on behalf of the Issuer and in consultation with the Collateral Manager, compile and
make available (by posting on a website (www.cdotrustee.com) which shall not form a part of this
prospectus) to the Trustee, the Collateral Manager, the Issuer and the Rating Agencies and, upon
written request thereof in accordance with Condition 4(f) (Information Regarding the Portfolio) any
Noteholder, a monthly report (the ‘‘Monthly Report’’), which shall contain the information set out
below with respect to the Collateral Debt Obligations, determined by the Collateral Administrator as
of the last Business Day of the immediately preceding month. In addition, the Issuer will be
responsible for delivering an electronic copy of the information contained in the Monthly Report, on
each date the Monthly Report is distributed, to any publishers of financial data designated for receipt
of such information by the Issuer from time to time. In addition, for so long as any of the Notes are
Outstanding, the Monthly Report will be available for inspection at, and copies thereof may be
obtained free of charge upon request from, the Irish Listing Agent.
Portfolio
(i)
(ii)
(iii)
(iv)
Accounts
(v)
(vi)
the aggregate of the Principal Balances of, respectively, the Collateral Debt Obligations,
Eligible Investments and Collateral Enhancement Obligations;
the identity of, the annual interest rate, Stated Maturity, obligor under, industry and
Rating (if applicable)(but not any confidential credit estimate) of, each Collateral Debt
Obligation and Collateral Enhancement Obligation and details of whether such obligation
is Synthetic Security;
the identity of, respectively, any Collateral Debt Obligations and Collateral Enhancement
Obligations that were released for sale or other disposition or that were acquired since the
date of determination of the last Monthly Report;
the purchase or sale price of each Collateral Debt Obligation and Collateral Enhancement
Obligations acquired and/or sold since the date of determination of the last Monthly
Report and the identity of the purchasers or sellers thereof, if any, that are Affiliated with
the Issuer or the Collateral Manager;
the Balances standing to the credit of each of the Interest Account and the Principal
Account;
the Balances standing to the credit of the Expense Reserve Account, the Additional
Collateral Account, the Collateral Enhancement Account, the Synthetic Collateral Account,
the Retained Portion Account and the Currency Accounts;
(vii) the Principal Balance, annual interest rate, Stated Maturity, obligor and rating of each
Eligible Investment purchased with funds from any Account;
Interest Rate Hedge and Currency Swap Transactions
(viii) the outstanding notional amount of each Interest Rate Hedge Transaction;
(ix)
the amount scheduled to be received and paid by the Issuer pursuant to each Interest Rate
Hedge Transaction and Currency Swap Transaction on the next Payment Date;
Coverage Tests and Collateral Quality Tests
(x) the Senior Par Value Ratio, Class III Par Value Ratio and Class IV Par Value Ratio and
a statement as to whether each of the Senior Par Value Test, Class III Par Value Test and
Class IV Par Value Test is satisfied;
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