VALLAURIS II CLO PLC - Irish Stock Exchange

values at the time of purchase. A similar principle will apply in determining the amount allocable to
the Components upon a sale of a Structured Combination Note. The exchange of Structured
Combination Notes for the separate OAT Strips or Natexis Zero Coupon Notes (as the case may be)
and Subordinated Notes corresponding to the Components of the Structured Combination Notes
should not be a taxable event. A U.S. Holder of a Structured Combination Note should review the
applicable discussion above with respect to the Subordinated Notes (See – ‘‘Tax Treatment of U.S.
Holders of Subordinated Notes’’) relating to the U.S. federal income tax consequences of the purchase,
ownership and disposition of such Subordinated Notes. A U.S. Holder of a Structured Combination
Note should consult its own advisors as to the U.S. federal income tax consequences of the purchase,
ownership and disposition of the OAT Strips or as applicable, Natexis Zero Coupon Notes.
Tax Return Disclosure and Investor List Requirements
Under Treasury regulations, any person that files a U.S. federal income tax return or U.S.
federal information return and participates in a ‘‘reportable transaction’’ in a taxable year is required
to disclose certain information on IRS Form 8886 (or its successor form) attached to such person’s
U.S. federal income tax return for such taxable year (and also file a copy of such form with the
IRS’s Office of Tax Shelter Analysis) and to retain certain documents related to the transaction. In
addition, under these regulations, under certain circumstances, certain organisers and sellers of a
‘‘reportable transaction’’ will be required to maintain lists of participants in the transaction containing
identifying information, retain certain documents related to the transaction, and furnish those lists
and documents to the IRS upon request. The definition of ‘‘reportable transaction’’ is highly
technical. However, in very general terms, a transaction may be a ‘‘reportable transaction’’ if, among
other things, it is offered under conditions of confidentiality or, if it results in the claiming of a loss
or losses for U.S. federal income tax purposes in excess of certain threshold amounts.
In addition, under these Treasury regulations, if the Issuer participates in a ‘‘reportable
transaction,’’ a U.S. Holder of Subordinated Notes (or any other Notes, if such Notes are treated as
equity for U.S. federal income tax purposes) that is a ‘‘reporting shareholder’’ of the Issuer will be
treated as participating in the transaction and will be subject to the rules described above. Although
most of the Issuer’s activities generally are not expected to give rise to ‘‘reportable transactions,’’ the
Issuer nevertheless may participate in certain types of transactions that could be treated as
‘‘reportable transactions.’’ A U.S. Holder of Subordinated Notes or other equity in the Issuer will be
treated as a ‘‘reporting shareholder’’ of the Issuer if (i) such U.S. Holder owns 10% or more of the
Subordinated Notes or other equity in the Issuer and makes a QEF election with respect to the Issuer
or (ii) the Issuer is treated as a CFC and such U.S. Holder is a ‘‘U.S. Shareholder’’ (as defined
above) of the Issuer. The Issuer intends to provide to U.S. Holders of Subordinated Notes that are
‘‘reporting shareholders;’’ any information necessary to complete IRS Form 8886 (or its successor
form).
Prospective investors in the Notes should consult their own tax advisors concerning any possible
disclosure obligations under these Treasury regulations with respect to their ownership or disposition
of the Notes in light of their particular circumstances.
Tax Treatment of Non-U.S. Holders of Notes
In general, payments on the Notes to a Holder that is not, for U.S. federal income tax
purposes, a U.S. Holder (a ‘‘non-U.S. Holder’’) and gain realized on the sale, exchange, redemption,
retirement or other taxable disposition of the Notes by a non-U.S. Holder, will not be subject to U.S.
federal income or withholding tax, unless (i) such income is effectively connected with a trade or
business conducted by such non-U.S. Holder in the United States, or (ii) in the case of gain, such
non-U.S. Holder is a nonresident alien individual who holds the Notes as a capital asset and is
present in the United States for more than 182 days in the taxable year of the sale, exchange,
redemption, retirement or other taxable disposition and certain other conditions are satisfied.
Information Reporting and Backup Withholding
Under certain circumstances, the Code requires ‘‘information reporting’’, and may require
‘‘backup withholding’’ with respect to certain payments made on the Notes and the payment of the
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