VALLAURIS II CLO PLC - Irish Stock Exchange

Holders upon sale, redemption, retirement or other disposition of or the receipt of certain types of
distributions on the Class IV Mezzanine Notes. In addition, it is unclear whether a U.S. holder of
Class IV Mezzanine Notes as debt will be able to make a protective QEF election described in ‘‘Tax
Treatment of U.S. Holders of Subordinated Notes – Investment in a Passive Foreign Investment
Company’’, in anticipation of any possible recharacterisation of the Class IV Mezzanine Notes as
equity in the issuer. Prospective U.S. investors in the Class IV Mezzanine Notes are strongly urged to
consult their tax advisors as to whether it is possible to make a protective QEF election with respect
to their investment in the Class IV Notes and the consequences of making such an election. The
remainder of this discussion assumes that the Class IV Mezzanine Notes are treated as debt for U.S.
federal income tax purposes.
Tax Treatment of U.S. Holders of the Senior Notes and the Mezzanine Notes
Treatment of the Notes The Issuer expects the Senior Notes and the Mezzanine Notes to be
treated as debt for U.S. federal income tax purposes. Although the Subordinated Notes are
denominated as debt, based on the capital structure of the Issuer and the characteristics of the
Subordinated Notes, it is likely that the Subordinated Notes would be treated as equity for U.S.
federal income tax purposes. This summary assumes that the foregoing treatment of each Class of
Notes is correct. For the remainder of this discussion on ‘‘Tax Considerations’’, the term ‘‘Notes’’
refers to the Senior Notes and the Mezzanine Notes. The Subordinated Notes are discussed below
under ‘‘Tax Treatment of U.S. Holders of Subordinated Notes’’. Further, the Issuer will treat, and
each holder and beneficial owner of a Note (by acquiring such Note or an interest in such Note) will
agree to treat, such Note as debt for U.S. federal income tax purposes. With regard to the
characterisation for U.S. federal income tax purposes of the Notes issued after the Closing Date,
prospective investors should note that the characterisation of an instrument as debt or equity for U.S.
federal income tax purposes is highly factual and must be based on the facts and circumstances
existing at the time such instrument is issued and material changes from those existing on the Closing
Date (e.g. a material decline in the value of the Issuer’s assets, a material adverse change in the
Issuer’s ability to repay the Notes previously issued, and/or a material decline in the proportion of
the Subordinated Notes) could affect the characterisation of the Notes issued after (but not before)
such changes. Additionally, no ruling will be sought from the IRS regarding this, or any other, aspect
of the U.S. federal income tax treatment of the Notes. Accordingly, there can be no assurance that
the IRS will not contend, and that a court will not ultimately hold, that one or more Classes of the
Notes (e.g., the Class IV Mezzanine Notes because of their place in the capital structure of the
Issuer) are equity in the Issuer. If any of the Classes of the Notes were treated as equity in, rather
than debt of, the Issuer for U.S. federal income tax purposes, U.S. Holders of such Notes would be
subject to taxation under rules substantially the same as those set forth below under ‘‘Tax Treatment
of U.S. Holders of Subordinated Notes’’ which could cause adverse tax consequences upon sale,
exchange, redemption, retirement or other taxable disposition of, or the receipt of certain types of
distributions on, the Notes of such Class or Classes by a U.S. Holder of such Notes.
In this regard, any U.S. Holder of a Note that treats such Note as equity in the Issuer for U.S.
federal income tax purposes, inconsistently with the Issuer’s treatment of such Notes for such
purposes, is required to disclose such treatment on its U.S. federal income tax return. Additionally, if
a U.S. Holder of a Note treats such Note as debt of the Issuer for U.S. federal income tax purposes,
consistently with the Issuer’s treatment of such Note for such purposes, it is unclear whether such
U.S. Holder will be able to make a protective QEF election (described below in ‘‘Tax Treatment of
U.S. Holders of Subordinated Notes-Investment in a Passive Foreign Investment Company’’) in
anticipation of any possible recharacterisation of such Note as equity in the Issuer.
Interest on the Notes in U.S. Dollars Subject to the discussion below, U.S. Holders of Senior
Notes generally will include in gross income payments of stated interest received on the Senior Notes,
in accordance with their usual method of accounting for U.S. federal income tax purposes, as
ordinary interest income from sources outside the United States.
However, if the Issue Price of the Notes is less than such Notes’ respective ‘‘stated redemption
price at maturity’’ by more than a de minimis amount, U.S. Holders will be considered to have
purchased such Notes with original issue discount (‘‘OID’’). The respective stated redemption price at
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