VALLAURIS II CLO PLC - Irish Stock Exchange

‘‘Note Valuation Report’’ means the semi-annual report defined as such in the Collateral
Management Agreement which is prepared by the Collateral Administrator on behalf of the Issuer
and is made available to the Issuer, the Lead Manager, the Joint Lead Managers, the Trustee, the
Collateral Manager and the Rating Agencies and, upon request therefor in accordance with Condition
4(f) (Information Regarding the Portfolio), to any Noteholder, which shall include information
regarding the status of the Collateral Debt Obligations pursuant to the Collateral Management
Agreement.
‘‘Noteholders’’ means the persons in whose name the Notes are registered from time to time.
‘‘OAT Custody Account’’ means the custody account or accounts (including any cash account
relating to any securities account) established on the books of the Custodian in accordance with the
provisions of the Agency Agreement and to which the OAT Strips forming the OAT Strips Portion
will be credited.
‘‘OAT Relevant Sale Portion’’ means in relation to a Payment Date, that portion of the OAT
Strips to be sold on that Payment Date by the Custodian acting on behalf of the Issuer as calculated
in accordance with the OAT Sale Formula by the Collateral Administrator and confirmed by the
Collateral Managers and notified to the Issuer, the Trustee and the Custodian on the related
Determination Date.
‘‘OAT Sale Formula’’ means the formula which determines the aggregate notional principal
amount of OAT Strips which collateralise the OAT Security Component of the Structured
Combination Notes to be sold as set out below:
X=
E
———
(1 – P)
Where:
X = the notional principal amount of the OAT Strips whose OAT Market Value on the
relevant date is equal to the amount derived from the OAT Sale Formula;
E = the distribution received on the Structured Combination Note Subordinated Component on
the relevant Payment Date;
P = the OAT Market Value of the OAT Strips Portion on the relevant date; and
OAT Market Value = the best bid price from 3 market makers in the OAT market,
provided that, when P is greater than or equal to 100.00 per cent., X will be equal to the
principal amount of the OAT Strips available in the OAT Strips Portion.
‘‘OAT Security Component’’ means, in respect of the Structured Combination Notes, a
Component thereof that represents an interest in the OAT Strips Portion.
‘‘OAT Strips Collateral’’ means the security granted by the Issuer to the Trustee pursuant to the
Trust Deed and the OAT Strips Pledge Agreement.
‘‘OAT Strips’’ means, Obligation Assimilable á des valeurs du Trésor securities issued by the
French treasury which have been stripped by Spécialistes en Valeurs du Trésors into zero coupon
bonds.
‘‘OAT Strips Pledge Agreement’’ means the Belgian law pledge agreement entered into between
the Issuer and the Trustee on the Closing Date in respect of the OAT Strips Portion;
‘‘OAT Strips Portion’’ means OAT Strips with a maturity date of 25 April 2021, ISIN
FR0010193003 and nominal principal amount of A18,049,190 purchased by the Issuer for A9,900,000
and held by the Custodian subject to the security created by the OAT Strips Pledge Agreement.
‘‘OAT Strips Sale Proceeds’’ means in relation to a Payment Date, the net proceeds of sale of
the OAT Relevant Sale Portion on that Payment Date received by the Custodian, acting on behalf of
the Issuer pursuant to the terms of the Agency Agreement.
‘‘Offer’’ means with respect to any Collateral Debt Obligation (a) any offer by the obligor under
such obligation or by any other Person made to all of the creditors of such obligor in relation to
71