VALLAURIS II CLO PLC - Irish Stock Exchange

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It is expected that the Class V Structured Combination Notes will be rated ‘‘AAA’’ by S&P. It is not a condition of the issue and sale of the Notes that the Class V Structured Combination Notes be rated. A security rating is not a recommendation to buy, sell or hold the Rated Notes or the Structured Combination Notes and may be subject to revision, suspension or withdrawal by any rating agency at any time. Credit ratings represent a Rating Agency’s opinion regarding the credit quality of an asset but are not a guarantee of such quality. There is no assurance that a rating accorded to any of the Rated Notes or the Class V Structured Combination Notes will remain for any given period of time or that the rating will not be lowered or withdrawn entirely by a Rating Agency if, in its judgment, circumstances in the future so warrant. In the event that a rating initially assigned to any of the Rated Notes or the Class V Structured Combination Notes is subsequently lowered for any reason, no person or entity is obliged to provide any additional support or credit enhancement with respect to any such Rated Notes or Class V Structured Combination Notes and the market value of such Notes is likely to be adversely affected. There can be no assurance that the Rating Agencies will confirm, within 30 days after the Initial Effective Date and the Final Effective Date, that it has not reduced or withdrawn the ratings assigned on the Closing Date on any of the Class I Senior Notes, the Class II Senior Notes, the Class III Mezzanine Notes or the Class IV Mezzanine Notes. In the event that any of the ratings assigned to such Notes on the Closing Date have been reduced or withdrawn and have not been reinstated at any time up to the Business Day prior to the Payment Date next following the Initial Effective Date or Final Effective Date as appropriate, Interest Proceeds and thereafter Principal Proceeds will be applied to redeem the Class I Senior Notes, in whole or in part, and following redemption in full thereof, to redeem the Class II Senior Notes, in whole or in part, and, following redemption in full thereof, to redeem the Class III Mezzanine Notes, in whole or in part, and, following redemption in full thereof, to redeem the Class IV Mezzanine Notes in whole or in part, on the Payment Date following each of the Initial Effective Date and the Final Effective Date, until the applicable Rating Agency confirms that each such rating is reinstated. Such Notes therefore bear the risk of early redemption in whole or in part in such circumstances resulting in potential reinvestment risk for the holders of such Notes. See Condition 7(d) (Redemption upon Effective Date Rating Event). 3.13 Limited Liquidity and Restrictions on Transfer Although there is currently a market for notes representing collateralised debt obligations similar to the Notes (other than the Subordinated Notes), there is currently no market for the Notes themselves. While the Lead Manager (or in respect of the Subordinated Notes and the Structured Combination Notes, each of the Joint Lead Managers) may make a market in each relevant Class of Notes upon their respective issuance, it is under no obligation to do so. In addition, there can be no assurance that any secondary market for any of the Notes will develop or, if a secondary market does develop, that it will provide the holders of any such Class of Notes with liquidity of investment or will continue for the life of such Notes. Consequently, a purchaser must be prepared to hold such Notes for an indefinite period of time and potentially until the Maturity Date. In addition, no sale, assignment, participation, pledge or transfer of the Notes may be effected if, among other things, it would require any of the Issuer or any of their officers or directors to register under, or otherwise be subject to the provisions of, the Investment Company Act or any other similar legislation or regulatory action. Furthermore, the Notes will not be registered under the Securities Act or any U.S. state securities laws, and the Issuer has no plans, and is under no obligation, to register the Notes under the Securities Act. The Notes are subject to certain transfer restrictions and can be transferred only to certain transferees under certain circumstances. Such restrictions on the transfer of the Notes may further limit their liquidity. See ‘‘Subscription and Sale’’ and ‘‘Transfer Restrictions’’. There is currently no market for the Subordinated Notes and there can be no assurance that such a market will develop. Consequently, a purchaser must be prepared to hold the Subordinated Notes potentially until their Maturity Date. 3.14 No Gross-Up In the event that any withholding tax or deduction for tax is imposed on payments of interest on the Notes, the holders of the Notes will not be entitled to receive grossed-up amounts to 41
compensate for such withholding tax and no Event of Default shall occur as a result of any such withholding or deduction. 3.15 Security Any Collateral Debt Obligations or other assets forming part of the Collateral which are securities will be held by the Custodian (or a sub-custodian of the Custodian). LaSalle Bank National Association, as a sub-custodian (the ‘‘Sub-Custodian’’) of the Custodian will hold such assets which can be cleared through Euroclear in a pledged account with Euroclear (the ‘‘Euroclear Pledged Account’’) unless the Trustee otherwise consents and will hold the other securities comprising the Portfolio which cannot be so cleared (i) through its accounts with Clearstream, Luxembourg or The Depository Trust Company (‘‘DTC’’), as appropriate, and (ii) through its sub-custodians who will in turn hold such Collateral Debt Obligations which are securities both directly and through any appropriate clearing system. Those assets held in clearing systems (and not held in the Euroclear Pledged Account) will not be held in special purpose accounts and will be fungible with other securities from the same issue held in the same accounts on behalf of the other customers of the Custodian or its sub-custodian, as the case may be. A first fixed charge over such Collateral Debt Obligations which are securities will be created under English law pursuant to the Trust Deed on the Closing Date and will take effect as a security interest over the right of the Issuer to require delivery of equivalent securities from the Custodian in accordance with the terms of the Agency Agreement (as defined in the Conditions) which may expose the Secured Parties to the insolvency of the Custodian or its sub-custodian. The Collateral Debt Obligations which are securities held by the Sub-Custodian through the Euroclear Pledged Account will be the subject of a commercial pledge under Belgian law created by the Issuer pursuant to the Euroclear Pledge Agreement on the Closing Date. The effect of this security interest will be to enable the Custodian, on enforcement, to sell the securities in the Euroclear Pledged Account on behalf of the Trustee. The Euroclear Pledge Agreement will not entitle the Trustee to require delivery of the relevant securities from the depositary or depositaries that have physical custody of such securities or allow the Trustee to dispose of such securities directly. In any event, the charge created pursuant to the Trust Deed and the security created by the Euroclear Pledge Agreement may be insufficient or ineffective to secure the Collateral Debt Obligations which are securities for the benefit of Noteholders, particularly in the event of any insolvency or liquidation of the Sub-Custodian (or any other applicable sub-custodian) or the Custodian or any other custodian that has priority over the right of the Issuer to require delivery of such assets from the Custodian in accordance with the terms of the Agency Agreement. In addition, custody and clearance risks may be associated with Collateral Debt Obligations or other assets comprising the Portfolio which are securities that do not clear through DTC, Euroclear or Clearstream, Luxembourg. There is a risk, for example, that such securities could be counterfeit, or subject to a defect in title or claims to ownership by other parties. Any risk of loss arising from any insufficiency or ineffectiveness of the security for the Notes must be borne by the Noteholders without recourse to the Issuer, the Trustee, the Lead Manager, the Joint Lead Managers, the Collateral Managers, the Collateral Administrator, the Custodian or any other party. Fixed Security: Although the security constituted by the Trust Deed over the Collateral held from time to time, including the security over the Accounts, is expressed to take effect as a fixed charge, it may (as a result of, among other things, the substitutions of Collateral Debt Obligations or Eligible Investments contemplated by the Collateral Management Agreement and the payments to be made from the Accounts in accordance with the Conditions and the Trust Deed) take effect as a floating charge which, in particular, would rank after a subsequently created fixed charge. However, the Issuer has covenanted in the Trust Deed not to create any such subsequent security interests (other than permitted under the Trust Deed) without the consent of the Trustee. The Structured Combination Notes will be secured solely to the extent to which the respective underlying Components comprising the Structured Combination Notes are secured. In respect of the OAT Security Component only, holders of the Class V Structured Combination Notes will have the benefit of a Belgian law OAT Strip Pledge Agreement, under which the Issuer will grant a pledge 42
Page 1 and 2: Prospectus dated 26 July 2006 VALLA
Page 3 and 4: information is in accordance with t
Page 5 and 6: AVAILABLE INFORMATION To permit com
Page 7 and 8: Page 4. Final Effective Date ......
Page 9 and 10: The Collateral Administrator: Branc
Page 11 and 12: Class VI Structured Combination Not
Page 13 and 14: Use of Proceeds: Priorities of Paym
Page 15 and 16: Collateral Quality Tests Overcollat
Page 17 and 18: Principal Repayments: Reinvestment
Page 19 and 20: Redemption upon an Effective Date R
Page 21 and 22: Purchase of Collateral Debt Obligat
Page 23 and 24: their respective functions under th
Page 25 and 26: Treatment of Interest Proceeds: Acc
Page 27 and 28: Authorised Denominations: Form, Reg
Page 29 and 30: The Depositary: Additional Issuance
Page 31 and 32: Component. In addition, Class VI St
Page 33 and 34: the obligor group. Second Lien Loan
Page 35 and 36: eferred to herein as ‘‘Particip
Page 37 and 38: Collateral Debt Obligation is enter
Page 39 and 40: Collateral Manager. The need to sat
Page 41 and 42: subject the Notes to an additional
Page 43 and 44: that Collateral Debt Obligations is
Page 45 and 46: 3.4 Subordination of Structured Com
Page 47: 3.9 Mandatory Redemption of the Not
Page 51 and 52: Condition 14(b) (Modification and W
Page 53 and 54: investment decisions for the Issuer
Page 55 and 56: In relation to the disposal of asse
Page 57 and 58: Investment Tax Act (the ‘‘Inves
Page 59 and 60: another member state, except that A
Page 61 and 62: payments, distributions, votes or c
Page 63 and 64: in each case, including any value a
Page 65 and 66: ‘‘Class IV Interest Coverage Ra
Page 67 and 68: ‘‘Credit Improved Obligation’
Page 69 and 70: Balance of all Collateral Debt Obli
Page 71 and 72: ‘‘Effective Date Requirements
Page 73 and 74: next following Payment Date, an amo
Page 75 and 76: ‘‘Interest Determination Date
Page 77 and 78: (a) a secured mezzanine loan or oth
Page 79 and 80: such obligation to purchase or othe
Page 81 and 82: (e) the Principal Balance of any Co
Page 83 and 84: (b) any Subordinated Note to be red
Page 85 and 86: (d) the retention of such Retained
Page 87 and 88: ‘‘Securities Act’’ means th
Page 89 and 90: (a) such Synthetic Security will no
Page 91 and 92: 2. Form and Denomination, Title, Tr
Page 93 and 94: more bids from one or more brokers
Page 95 and 96: (2) any Interest Rate Hedge Termina
Page 97 and 98: (X) (Y) (Z) at the option of the Co
Page 99 and 100:
III Mezzanine Notes, in whole or in
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Failure to Appoint a Replacement Co
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Obligation (save in the case of (i)
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the avoidance of doubt, any schedul
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(BB) termination of the Interest Ra
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(b) (c) (d) at any time in repaymen
Page 111 and 112:
(I) (J) (K) (L) The Retained Portio
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pursuant thereto provided that such
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amount being referred to herein as
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(b) (viii) pay its debts generally
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Notes in accordance with Condition
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nearest one hundred-thousandth of a
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the Class II Senior Notes the Class
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(A) (B) (C) in respect of each Coll
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immediately prior to the related Pa
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(C) (D) the Collateral Administrato
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(b) (c) on the Register at the clos
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(d) as a result of presentation for
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(d) (e) (i) (ii) If an Event of Def
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12. Prescription (a) Note represent
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necessary to facilitate the adminis
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Except where expressly provided oth
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Combination Notes, in the proportio
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FORM OF THE NOTES References below
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interests in the Exchanged Global N
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BOOK-ENTRY CLEARANCE PROCEDURES AND
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Book-Entry Interests owned through
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A person acquiring a Book-Entry Int
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RATINGS OF THE NOTES It is a condit
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EXPECTED AVERAGE LIVES OF THE NOTES
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Deutsche International Finance (Ire
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DESCRIPTION OF THE COLLATERAL MANAG
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A three-dimensional organization -
Page 165 and 166:
Contribution to revenues (consolida
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Directors’ work is prepared and o
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Jean-Luc Simon - CDO Director Jean-
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on behalf of, the Issuer of Synthet
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the Interest Account and/or to the
Page 175 and 176:
to a non-default rate or an improve
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connection with any such sale or re
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in Sections 7.3 (Sale of Credit Imp
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7.6 Unscheduled Principal Proceeds
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(b) in the case of proceeds resulti
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Obligation. For the avoidance of do
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Institution, having a credit rating
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the Defaulted Obligation at the fai
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(a) where the Issuer, following con
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In the event that the Issuer receiv
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(C) at its own cost, (i) in the cas
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Upon the occurrence of any Event of
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For purposes of calculating the Div
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Aggregate Industry Equivalent Unit
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(3) shall be two subcategories abov
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(i) (ii) (iii) if such Collateral D
Page 207 and 208:
Moody’s Recovery Rate Table Oblig
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Reinvestment Period, with the appli
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11.10 S&P CDO Evaluator Test The
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DESCRIPTION OF THE COLLATERAL MANAG
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Collateral Management Agreement (Ap
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DESCRIPTION OF THE COLLATERAL ADMIN
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DESCRIPTION OF THE REPORTS 1. Month
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(P) (Q) which consist of Participat
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Class I Senior Notes, Class II Seni
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In certain circumstances, Irish tax
Page 227 and 228:
amount of interest paid, but also o
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General The following summary descr
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‘‘grossed up’’ for any mate
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maturity of such Notes will be the
Page 235 and 236:
extent thereof), with payments attr
Page 237 and 238:
PREFERRED EQUITY CERTIFICATES AND T
Page 239 and 240:
or more (measured by vote or value)
Page 241 and 242:
values at the time of purchase. A s
Page 243 and 244:
associated territories. These apply
Page 245 and 246:
The Class IV Mezzanine Notes, the S
Page 247 and 248:
Any Plan fiduciary that proposes to
Page 249 and 250:
For the avoidance of doubt, all ref
Page 251 and 252:
(h) (i) (j) (k) (l) (m) any company
Page 253 and 254:
means of sufficient information on
Page 255 and 256:
(c) (d) (e) restrictions described
Page 257 and 258:
(g) representations and warranties.
Page 259 and 260:
PLAN AS DEFINED IN SECTION 3(3) OF
Page 261 and 262:
THE TERMS OF THE TRUST DEED. EACH T
Page 263 and 264:
GENERAL INFORMATION 1. Clearing Sys
Page 265 and 266:
11. Expenses The total expenses rel
Page 267 and 268:
CDO Liabilities....................
Page 269 and 270:
Currency Swap Counterparty.........
Page 271 and 272:
Initial Ratings ...................
Page 273 and 274:
OAT Strips Pledge Agreement .......
Page 275 and 276:
Registered Notes ..................
Page 277 and 278:
Synthetic Counterparty Default ....
Page 279:
imprima de bussy — C94339
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VALLAURIS II CLO PLC - Irish Stock Exchange

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