VALLAURIS II CLO PLC - Irish Stock Exchange

RISK FACTORS
An investment in the Notes of any Class involves certain risks, including risks relating to the
Collateral securing such Notes and risks relating to the structure and rights of such Notes and the
related arrangements. Prospective investors should carefully consider the following factors (‘‘Risk
Factors’’), in addition to the matters set forth elsewhere in this Prospectus, prior to investing in any
Notes. Terms not defined in this section and not otherwise defined above have the meanings set out in
Condition 1 (Definitions) of the ‘‘Terms and Conditions of the Notes’’.
1. General
1.1 General
It is intended that the Issuer will invest in loans, securities and other financial assets with certain
risk characteristics as described below and subject to the investment policies, restrictions and
guidelines described in ‘‘Description of the Portfolio’’ below. There can be no assurance that the
Issuer’s investments will be successful, that its investment objectives will be achieved, that the holders
of Notes will receive the full amounts payable by the Issuer under the Notes or that they will receive
any return on their investment in the Notes. Prospective investors are therefore advised to review this
entire Prospectus carefully and should consider, among other things, the factors set out below before
deciding whether to invest in the Notes. Except as is otherwise stated below, such risk factors are
generally applicable to all Classes of Notes, although the degree of risk associated with each Class of
Notes will vary in accordance with its priority of payment pursuant to the Priorities of Payment.
None of the Lead Manager, the Joint Lead Managers, the Collateral Managers or the Trustee
undertakes to review the financial condition or affairs of the Issuer during the life of the
arrangements contemplated by this Prospectus or to advise any investor or potential investor in the
Notes of any information coming to the attention of the Lead Manager, the Joint Lead Managers,
the Collateral Managers or the Trustee which is not included in this Prospectus. None of the Lead
Manager, the Joint Lead Managers nor the Trustee undertakes to review the financial condition or
affairs of the Collateral Managers during the life of the arrangements contemplated by this
Prospectus.
1.2 Suitability
Prospective purchasers of the Notes of any Class should ensure that they understand the nature
of such Notes and the extent of their exposure to risk, that they have sufficient knowledge, experience
and access to professional advisers to make their own legal, tax, accounting and financial evaluation
of the merits and risks of investment in such Notes and that they consider the suitability of such
Notes as an investment in the light of their own circumstances and financial condition.
1.3 Structured Combination Notes
Each of the risk factors herein applies to the Structured Combination Notes to the extent that
the Components of such Structured Combination Notes correspond to the Underlying Notes to which
these risk factors apply.
In addition to the risks associated with the OAT Strips Collateral, the risks associated with an
investment in the Class V Structured Combination Notes include the risks associated with an
investment in the Subordinated Notes to the extent of the Class V Subordinated Component. Unless
the Class V Structured Combination Notes are mentioned separately in these Risk Factors,
descriptions of the risks associated with investments in the Subordinated Notes apply equally to an
investment in the Class V Structured Combination Notes, to the extent of the Class V Subordinated
Component. In addition, Class V Structured Combination Notes will be subject to the credit risk of
the obligor under the OAT Strips Collateral.
In addition to the risks associated with the Natexis Zero Coupon Collateral, the risks associated
with an investment in the Class VI Structured Combination Notes include the risks associated with an
investment in the Subordinated Notes to the extent of the Class VI Subordinated Component. Unless
the Class VI Structured Combination Notes are mentioned separately in these Risk Factors,
descriptions of the risks associated with investments in the Subordinated Notes apply equally to an
investment in the Class VI Structured Combination Notes, to the extent of the Class VI Subordinated
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