VALLAURIS II CLO PLC - Irish Stock Exchange

However, if the IRS or a court determines that the Notes constitute contingent payment debt
obligations subject to the non-contingent bond method, then a U.S. Holder generally will have a basis
in such Note equal to the cost of such Note to such U.S. Holder (i) increased by OID accrued with
respect to such Note (determined without regard to adjustments made to reflect the differences
between actual and projected payments), and (ii) reduced by the amount of any non-contingent
payments and the projected amount of any contingent payments previously made on such Note. Any
gain recognized on the sale, exchange, redemption, retirement or other taxable disposition of such
Note will be treated as ordinary interest income. Further, in such a case, any loss will be treated as
ordinary loss to the extent of prior interest inclusions with respect to such Note, reduced by the total
net negative adjustments that the U.S. Holder has taken into account as ordinary loss with respect to
such Note; any remaining loss will be a capital loss.
In certain circumstances, U.S. Holders that are individuals may be entitled to preferential
treatment for net long-term capital gains; however, the ability of U.S. Holders to offset capital losses
against ordinary income is limited.
Any gain recognized by a U.S. Holder on the sale, exchange, redemption, retirement or other
taxable disposition of a Note generally will be treated as from sources within the United States
assuming that such Notes are not held by a U.S. Holder through a non-U.S. branch.
Payments of Interest and OID in Euro A U.S. Holder with a U.S. Dollar functional currency
that uses the cash method of accounting for U.S. federal income tax purposes and receives a payment
of interest on a Note (other than OID) denominated in Euro will be required to include in gross
income the U.S. Dollar value of the payment in Euro (as applicable) on the date such payment is
received (based on the U.S. Dollar spot rate for the Euro on the date such payment is received)
regardless of whether the payment is in fact converted to U.S. Dollars at that time. No exchange gain
or loss will be recognized with respect to the receipt of such payment.
A U.S. Holder that uses the accrual method of accounting for U.S. federal income tax purposes,
or that otherwise is required to accrue interest prior to receipt, will be required to include in gross
income the U.S. Dollar value of the amount of interest income that has accrued and is otherwise
required to be taken into account with respect to a Note during an interest period. The U.S. Dollar
value of such accrued interest income will be determined by translating such interest income at the
average U.S. Dollar exchange rate for the Euro (as applicable) in effect during the interest period or,
with respect to an interest period that spans two taxable years, the partial period within the taxable
year. A U.S. Holder may elect, however, to translate such accrued interest income using the U.S.
Dollar spot rate for the Euro (as applicable) on the last day of the interest period or, with respect to
an interest period that spans two taxable years, on the last day of the taxable year. If the last day of
an interest period is within five Business Days of the date of receipt of the accrued interest, a U.S.
Holder may translate such interest using the U.S. Dollar spot rate on the date of receipt. The above
election must be applied consistently to all debt instruments from year to year and may not be
changed without the consent of the IRS. Prior to making such an election, a U.S. Holder should
consult its own tax advisor.
A U.S. Holder that uses the accrual method of accounting for U.S. federal income tax purposes
may recognize exchange gain or loss with respect to accrued interest income on the date the payment
of such income is received. The amount of any such exchange gain or loss recognized will equal the
difference, if any, between the U.S. Dollar value of the payment in the Euro received (based on the
U.S. Dollar spot rate for the Euro on the date such payment is received) with respect to such accrued
interest and the U.S. Dollar value of the income inclusion with respect to such accrued interest
(computed as determined above). Any such exchange gain or loss will be treated as ordinary income
or loss, but generally will not be treated as an adjustment to interest income, and will generally be
treated as U.S. source income or loss, respectively.
The Issuer intends to take the position that OID for any interest period on a Note will be
determined in Euro (as applicable) and then translated into U.S. Dollars in the same manner as
stated interest accrued by an accrual basis U.S. Holder, as described above. As described above,
however, the treatment of Notes issued with OID is subject to uncertainty, and it is possible that
different rules would apply. Applying this method, all payments on a Note (other than payments of
Qualified Stated Interest) will generally be viewed first as payments of previously-accrued OID (to the
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