VALLAURIS II CLO PLC - Irish Stock Exchange

(xi)
the Senior Interest Coverage Ratio, the Class III Interest Coverage Ratio and the Class IV
Interest Coverage Ratio and a statement as to whether each of the Senior Interest
Coverage Test, the Class III Interest Coverage Test and the Class IV Interest Coverage
Test is satisfied;
(xii) the Interest Reinvestment Ratio and a statement as to whether the Interest Reinvestment
Test is satisfied;
(xiii) the Average Portfolio Rating and a statement as to whether the Maximum Portfolio
Rating Test is satisfied;
(xiv) the Diversity Score and, for each Monthly Report prepared during the Reinvestment
Period, a statement as to whether the Minimum Diversity Test is satisfied;
(xv) the Portfolio Weighted Average Life and a statement as to whether the Maximum
Weighted Average Life Test is satisfied;
(xvi) the result obtained upon calculation of the Weighted Average Spread and a statement as
to whether the Minimum Weighted Average Spread Test is each satisfied;
(xvii) the Weighted Average Moody’s Recovery Rate and a statement as to whether the Moody’s
Minimum Weighted Average Recovery Rate Test is satisfied;
(xviii) the S&P Minimum Weighted Average Recovery Rate and a statement as to whether the
S&P Minimum Weighted Average Recovery Rate Test is satisfied;
(xix) a statement as to whether the S&P CDO Monitor Test is satisfied (if applicable);
(xx) a statement as to whether the S&P CDO Evaluator Test is satisfied (if applicable);
Portfolio Profile Tests
(xxi) the aggregate Principal Balance of Collateral Debt Obligations:
(A)
(B)
(C)
(D)
(E)
(F)
(G)
(H)
(I)
(J)
(K)
(L)
which consist of Senior Secured Loans;
which consist of Second Lien Loans;
which consist of Mezzanine Obligations;
which consist of Non-Euro Obligations;
of each single obligor which consist of Senior Secured Loans;
of each single obligor which consist of Second Lien Loans;
of each single obligor which consist of Mezzanine Obligations;
which provide for payment of interest in cash less frequently than semi-annually but
at least as frequently as annually;
which bear interest at other than a floating rate of interest;
which have a Moody’s Rating of ‘‘Caa1’’ or less or an S&P Rating of ‘‘CCC+’’ or
less;
which consist of Participations or Synthetic Securities in respect of which the Selling
Institution or Synthetic Counterparty has a rating of ‘‘A2’’ or better from Moody’s;
which consist of Participations or Synthetic Securities from one Selling Institution;
(M) which consist of Participations or Synthetic Securities from the Collateral Manager or
an Affiliate thereof;
(N)
(O)
which consist of Participations or Synthetic Securities from Selling Institutions or
Synthetic Counterparties (other than the Collateral Manager) with a rating of ‘‘A1’’
or lower (but not lower than ‘‘A3’’) from Moody’s;
which consist of Participations from Selling Institutions with a rating of ‘‘AA-’’ or
better from S&P;
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