VALLAURIS II CLO PLC - Irish Stock Exchange

CDO Liabilities..........................................................................................................................................57
CDO Principal Balance .............................................................................................................................57
centre of main interest.............................................................................................................................110
Certain ERISA Considerations .......................................................................................................... 21, 48
CFC..........................................................................................................................................................230
Class ................................................................................................................................................ ii, 58, 84
Class I Break-even Loss Rate .................................................................................................................202
Class I Floating Rate of Interest ......................................................................................................57, 113
Class I Loss Differential..........................................................................................................................202
Class I Margin ...................................................................................................................................57, 114
Class I Scenario Loss Rate .....................................................................................................................202
Class I Senior Noteholders........................................................................................................................57
Class I Senior Notes.............................................................................................................................. i, 53
Class II Break-even Loss Rate................................................................................................................203
Class II Floating Rate of Interest.....................................................................................................57, 113
Class II Loss Differential ........................................................................................................................203
Class II Margin..................................................................................................................................57, 114
Class II Scenario Loss Rate....................................................................................................................203
Class II Senior Noteholders ......................................................................................................................57
Class II Senior Notes ............................................................................................................................ i, 53
Class III Break-even Loss Rate ..............................................................................................................203
Class III Coverage Test.............................................................................................................................57
Class III Floating Rate of Interest ...................................................................................................57, 113
Class III Interest Coverage Ratio .............................................................................................................57
Class III Interest Coverage Test .......................................................................................................57, 205
Class III Loss Differential.......................................................................................................................203
Class III Margin ................................................................................................................................57, 114
Class III Mezzanine Noteholders..............................................................................................................57
Class III Mezzanine Notes .................................................................................................................... i, 53
Class III Par Value Ratio .........................................................................................................................57
Class III Par Value Test....................................................................................................................57, 205
Class III Scenario Loss Rate ..................................................................................................................203
Class IV Break-even Loss Rate...............................................................................................................203
Class IV Coverage Test .............................................................................................................................57
Class IV Floating Rate of Interest ...................................................................................................57, 113
Class IV Interest Coverage Ratio .............................................................................................................57
Class IV Interest Coverage Test........................................................................................................57, 205
Class IV Loss Differential .......................................................................................................................203
Class IV Margin ................................................................................................................................58, 114
Class IV Mezzanine Noteholders ..............................................................................................................58
Class IV Mezzanine Notes .................................................................................................................... i, 53
Class IV Par Value Ratio..........................................................................................................................58
260