VALLAURIS II CLO PLC - Irish Stock Exchange

Synthetic Security shall constitute a Credit Risk Obligation in the event that the Reference Obligation
to which such Collateral Debt Obligation is linked would constitute a Credit Risk Obligation if it
were itself a Collateral Debt Obligation.
‘‘Currency Accounts’’ means the accounts of the Issuer with the Account Bank, each of which
shall be denominated in one of the currencies of Non-Euro Obligations, into which amounts received
in respect of Non-Euro Obligations shall be paid and out of which amounts payable to a Currency
Swap Counterparty pursuant to any Currency Swap Transaction shall be paid.
‘‘Currency Swap Agreement’’ means each 1992 ISDA Master Agreement (Multicurrency Cross-
Border) or 2002 ISDA Master Agreement (or such ISDA pro forma Master Agreement as may be
published by ISDA from time to time) and the Schedule relating thereto entered into between the
Issuer and a Currency Swap Counterparty, including any guarantee thereof and any credit support
annex entered into pursuant to the terms thereof and together with each confirmation entered into
thereunder in respect of a Currency Swap Transaction and including any Replacement Currency Swap
Agreement entered into and replacement thereof provided always that each such Currency Swap
Agreement will be in the applicable Pre-Approved Form or shall be in a form in respect of the terms
of which Rating Agency Confirmation has been received.
‘‘Currency Swap Counterparty’’ means any financial institution with which the Issuer has
(pursuant to, and in accordance with, the terms of the Collateral Management Agreement) entered
into a Currency Swap Agreement or any permitted successor or assignee thereof pursuant to the
terms of such Currency Swap Agreement.
‘‘Currency Swap Obligation’’ means a Non-Euro Obligation together with its related Currency
Swap Transaction.
‘‘Currency Swap Replacement Receipt’’ means any amount payable to the Issuer by a Currency
Swap Counterparty upon entry into a Replacement Currency Swap Agreement which is replacing a
Currency Swap Agreement which has been terminated.
‘‘Currency Swap Termination Payment’’ means any amount payable by the Issuer to a Currency
Swap Counterparty upon termination (in whole or in part) of a Currency Swap Agreement.
‘‘Currency Swap Termination Receipt’’ means any amount payable by the Currency Swap
Counterparty to the Issuer upon termination of a Currency Swap Agreement in whole or in part.
‘‘Currency Swap Transaction’’ means, in respect of each Non-Euro Obligation, the currency swap
transaction entered into in respect thereof pursuant to the Collateral Management Agreement and
under the Currency Swap Agreement, including each Replacement Currency Swap Transaction entered
into in replacement therefor.
‘‘Currency Swap Transaction Exchange Rate’’ means the rate of exchange set out in the relevant
Currency Swap Agreement.
‘‘Current Pay Obligation’’ means a Collateral Debt Obligation (a) which would otherwise be a
Defaulted Obligation, but as to which:
(i) no interest payments are due and unpaid, the most recent interest payment due thereon
was paid in cash, and the Collateral Manager reasonably expects that the next interest
payment due will be paid in cash;
(ii) relevant amounts under the Collateral Debt Obligation can be legally paid by the obligor
on its next payment due date, and which payment is not at risk of being set aside in any
bankruptcy, insolvency or receivership proceeding in connection with such obligor;
(iii) (in the case where such obligor is subject to bankruptcy proceedings), a bankruptcy court
has authorised the payment of interest due and payable on such Collateral Debt
Obligation; and
(iv) the Market Value of such Collateral Debt Obligation is at least 80 per cent,
and (b) which is determined by the Collateral Manager to conform to the foregoing
requirements (i) through (iv) as applicable, provided however, that the Collateral Manager shall
make such determination in its reasonable business judgment which shall not be called into
question as a result of any subsequent event; and provided further that the aggregate Principal
61