VALLAURIS II CLO PLC - Irish Stock Exchange

The Class IV Mezzanine Notes, the Subordinated Notes and the Structured Combination Notes
would likely be considered to have substantial equity features under the Plan Assets Regulation, and
the Issuer does not intend to limit the value of the interests held by benefit plan investors in each
class of Notes to below 25 per cent. However, as (i) no employee benefit plan as defined in Section
3(3) of ERISA which is subject to ERISA, (ii) no plan as defined in Section 4975(e)(1) of the Code
which is subject to Section 4975 of the Code and (iii) no entity whose underlying assets include ‘‘plan
assets’’ by reason of such plan’s investment of the entity (collectively, ‘‘ERISA Plans’’) shall be
permitted to acquire Class IV Mezzanine Notes, the Subordinated Notes and the Structured
Combination Notes in the initial offering or thereafter, the fiduciary responsibility and prohibited
transaction provisions of ERISA and Section 4975 of the Code will not be applicable to the Issuer or
to any other benefit plan investors who invest in the Class IV Mezzanine Notes, the Subordinated
Notes or Structured Combination Notes. Therefore, provided no ERISA Plans acquire Class IV
Mezzanine Notes, the Subordinated Notes or the Structured Combination Notes, even if other types
of benefit plan investors hold 25 per cent. of the value of the Class IV Mezzanine Notes or one or
more classes of Subordinated Notes or Structured Combination Notes, the assets of the Issuer should
not be deemed plan assets under the Plan Asset Regulations for purposes of ERISA or Section 4975
of the Code.
In determining whether or not a benefit plan investor is an ERISA Plan, life insurance company
general accounts (both U.S. and non-U.S.) should consider the effect of the U.S. Supreme Court’s
decision in John Hancock Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993),
which held that those funds allocated to the general account of an insurance company pursuant to
contracts which vary with the investment experience of the insurance company’s general account and
are attributable to ERISA Plans are considered to be ‘‘plan assets’’. Despite the presence of such
contracts attributable to ERISA Plans invested in the general account, if the insurance company
complies with certain regulations issued by the Department of Labor under ERISA Section 401(c), it
will not be deemed to hold the plan assets of any ERISA Plans. However, any separate account
funds held on behalf of an ERISA Plan by a life insurance company (whether held in or outside of
the U.S.) would generally be considered to be plan assets. Any benefit plan investor, including a life
insurance company general account, should consult with its counsel in determining whether or not it
is an ERISA Plan prior to investing in the Class IV Mezzanine Notes, the Subordinated Notes or the
Structured Combination Notes.
Despite the prohibition upon, and the procedures employed to prevent, the acquisition of the
Class IV Mezzanine Notes, the Subordinated Notes and the Structured Combination Notes by
ERISA Plans, there can be no assurances that an ERISA Plan will not in fact acquire Class IV
Mezzanine Notes, Subordinated Notes or Structured Combination Notes in violation of such
restriction. In such an event, if the total value of the Class IV Mezzanine Notes, the Subordinated
Notes or the Structured Combination Notes in one or more classes held by benefit plan investors
(both ERISA Plans and non-ERISA plans) were to equal or exceed 25 per cent., the assets of the
Issuer could be deemed plan assets.
If, for any reason the assets of the Issuer are deemed to be ‘‘plan assets’’ of an ERISA Plan,
then, among other possible adverse results, certain transactions the Issuer might enter into, or may
have entered into, in the ordinary course of its business might constitute non-exempt ‘‘prohibited
transactions’’ under Section 406 of ERISA or Section 4975 of the Code and might have to be
rescinded. The Collateral Manager, as a person with discretionary authority to manage the assets of
the Issuer, would probably be deemed an ERISA fiduciary. As a result, the Collateral Manager may
be prevented from making certain investments on behalf of the Issuer (as not being deemed consistent
with the ERISA prudent investment standards) or engaging in certain transactions or fee
arrangements because they may cause non-exempt prohibited transactions.
BY ITS PURCHASE OR HOLDING OF A CLASS IV MEZZANINE NOTE, A
SUBORDINATED NOTE OR A STRUCTURED COMBINATION NOTE, OR ANY INTEREST
THEREIN, THE PURCHASER AND/OR HOLDER THEREOF AND EACH TRANSFEREE
WILL BE REQUIRED OR WILL BE DEEMED TO HAVE REPRESENTED, WARRANTED
AND AGREED THAT, AT THE TIME OF ITS ACQUISITION, AND THROUGHOUT THE
PERIOD THAT IT HOLDS SUCH CLASS IV MEZZANINE NOTE, SUBORDINATED NOTE
238