OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

OFFERING CIRCULAR SUPPLEMENT 

CLARIS LIMITED 

as Issuer 

Euro 10,000,000,000 

Secured Transaction Programme 

SERIES 63/2006 

TRANCHE 1 

EUR 25,000,000 Napa Valley 2006-1 Synthetic CDO of ABS Floating Rate Notes due 2026 

Issue Price: 100 per cent. 

SG CORPORATE & INVESTMENT BANKING 

The date of this Offering Circular Supplement is 7 February 2006.

This Offering Circular Supplement under which the Notes described herein (the “Notes”) are issued 

constitutes a securities note (the “Securities Note”) for the purposes of Article 5.3 of the Prospectus 

Directive (Directive 2003/71/EC) (the “Prospectus Directive”) and should be read in conjunction 

with the Offering Circular (the “Offering Circular”) dated 4 October 2005 issued in relation to the 

Euro 10,000,000,000 Secured Transaction Programme of Claris Limited, Claris 2 Limited and Iris 

SPV plc. The Offering Circular and this Offering Circular Supplement together constitute the 

prospectus (the “Prospectus”) with respect to the Notes prepared for the purposes of Article 5.3 of the 

Prospectus Directive. To the extent that the Offering Circular is inconsistent with this Offering 

Circular Supplement, this Offering Circular Supplement shall prevail. Terms defined in the Offering 

Circular shall, unless the context otherwise requires, bear the same meanings in this Offering Circular 

Supplement. 

This Offering Circular Supplement does not constitute, and may not be used for the purposes of, an 

offer of, or an invitation by or on behalf of anyone to subscribe or purchase any of the Notes. 

Application has been made to the Irish Financial Services Regulatory Authority (“IFSRA”), as 

competent authority under Directive 2003/71/EC, for the Securities Note to be approved. Application 

has been made to the Irish Stock Exchange Limited (“Irish Stock Exchange”) for the Notes to be 

admitted to the Official List and to trading on its regulated market. 

The regulated market of the Irish Stock Exchange is a regulated market for the purposes of the 

Investment Services Directive 93/22/EEC. Copies of this Securities Note will be filed with and are 

expected to be approved by the IFSRA. 

Subject as set out below, the Issuer accepts responsibility for the information contained in this 

document. To the best of the knowledge and belief of the Issuer (which has taken all reasonable care 

to ensure that such is the case), the information contained in this document is in accordance with the 

facts and does not omit anything likely to affect the import of such information. 

The information contained herein relating to the issuer of the Securities and each other Obligor (as 

defined in the Conditions) has been accurately extracted from publicly available information the 

sources of which, as the case may be, are stated herein. The Issuer accepts responsibility for the 

accuracy of such extraction but accepts no further or other responsibility in respect of such 

information. So far as the Issuer is aware and/or able to ascertain from such publicly available 

information, no facts have been omitted which could render the reproduced information misleading. 

The Issuer has not been responsible for, nor has it undertaken, any investigation or verification of 

statements, including statements as to foreign law, contained in such information. 

Signed: 

_______________ 

Louise Kerhoat 

Director 

2

TABLE OF CONTENTS 

RISK FACTORS .................................................................................................................................... 4 

ISSUE TERMS ....................................................................................................................................... 6 

ANNEX 1 ............................................................................................................................................. 32 

CONSEQUENCES OF A CREDIT EVENT ................................................................................... 32 

ANNEX 2 ............................................................................................................................................. 34 

FORM OF CREDIT DEFAULT SWAP .......................................................................................... 34 

GENERAL INFORMATION............................................................................................................... 89 

Page 

3

RISK FACTORS 

Prospective investors should carefully consider the following investment considerations, in addition to 

the matters set forth elsewhere in this Offering Circular Supplement and the Offering Circular (as 

defined below), prior to investing in the Notes (as defined below). 

The investment considerations set out below are not and are not intended to be, a comprehensive list 

of all considerations relevant to a decision to purchase or hold any Notes. 

Credit exposures to Reference Obligations 

Pursuant to the Default Swap (as defined in paragraph 22 (x)) the Issuer has sold to the Default Swap 

Counterparty (as defined in paragraph 22 (xi)) protection on a portfolio of Reference Obligations (as 

defined in the Default Swap). The redemption amount of the Notes at their Maturity Date will depend 

on whether Credit Events (as defined in the Default Swap) have occurred in respect of such Reference 

Obligations. Consequently, as described in this Offering Circular Supplement, the Notes create 

significantly leveraged exposure to the credit of such Reference Obligations. Noteholders may lose, 

in part or in whole, amounts invested in the Notes as the result of a Credit Event occurring with 

respect to one or more Reference Obligations thereof. 

The Default Swap Counterparty will determine the occurrence of a Credit Event in respect of any of 

the Reference Obligations, provided certain other conditions described herein are satisfied. Although 

any Notice of Publicly Available Information to be delivered by the Default Swap Counterparty will 

cite Publicly Available Information confirming the occurrence of the Credit Event, a holder of the 

Notes may disagree with the Default Swap Counterparty’s determination, but will nevertheless be 

bound by that determination under the terms of the Notes. 

Limited liquidity of the Notes 

There is not at present an active and liquid secondary market for the Notes. There can be no 

assurance that a secondary market for any of the Notes will develop, or, if a secondary market does 

develop, that it will provide the holders of the Notes with liquidity or that it will continue for the 

entire life of the Notes. This may leave Noteholders with an illiquid investment. Illiquidity means 

that a Noteholder may not be able to realise its anticipated yield. Illiquidity can obviously have an 

adverse effect on the market value of the Notes. Consequently, any purchaser of Notes must be 

prepared to hold such Notes until final redemption or maturity of the Notes. 

Independent Rating and Mitigation Risk 

Noteholders should be aware that credit ratings do not constitute a guarantee of the quality of the 

Notes or the Reference Obligations. The rating assigned to the Notes by a rating agency reflects only 

the rating agency’s opinions. A rating agency does not evaluate the risks of fluctuation in market 

value but attempts to assess the likelihood of principal and/or interest payments being made. A 

security rating is not a recommendation to buy, sell or hold securities and may be subject to revision, 

suspension or withdrawal at any time by the assigning agency. 

The Noteholders are informed that the rating of the Notes by Moody’s takes into account the financial 

capacity of the issuer of the Securities, the Counterparty of the Deposit Agreement, and the Swap 

Counterparties to meet their respective payment obligations under the Securities, Deposit Agreement 

and Swap Agreements (whether on their due date for payment or upon acceleration). 

Non-reliance 

The Noteholders who purchase the Notes will be deemed to have represented and agreed that they (i) 

have the knowledge and sophistication independently to appraise and understand the financial and 

legal terms and conditions of the Notes and to assume the economic consequences and risks thereof; 

(ii) to the extent necessary, have consulted with their own independent financial, legal or other 

advisers and have made their own investment, hedging and trading decisions in connection with the

Notes based upon their own judgement and the advice of such advisers and not upon any view 

expressed by the Issuer or the Swap Counterparties; (iii) have not relied upon any representations 

(whether written or oral) of any other party, and are not in any fiduciary relationship with the Issuer or 

the Swap Counterparties; (iv) have not obtained from the Issuer or the Swap Counterparties (directly 

or indirectly through any other person) any advice, counsel or assurances as to the expected or 

projected success, profitability, performance, results or benefits of the Notes, and have agreed that the 

Issuer and the Swap Counterparties do not have any liability in that respect. 

Awareness 

The Noteholders are informed that both the Issuer and the Swap Counterparties hold or may from 

time to time hold Obligations (including the Reference Obligations) of the Reference Entities, all as 

defined in the Default Swap (substantially in the form attached hereto in Annex 2). 

Certain affiliates of the Swap Counterparties or the Portfolio Adjustment Agent (as defined in the 

Default Swap) may from time to time advise the Reference Entities, the issuers of Reference 

Obligations or the issuers of Underlying Assets (as defined in the Default Swap) regarding 

transactions to be entered into by them, or engage in transactions involving one or more Reference 

Entities, issuers of Reference Obligations or issuers of Underlying Assets for their proprietary 

accounts and for other accounts under their management. 

Any such transactions may have a positive or negative effect on the value of the Reference 

Obligations and therefore on the value of the Notes. Accordingly, certain conflicts of interest may 

arise both among these affiliates and between the interests of these affiliates and the interests of 

Noteholders. 

Pursuant to the terms of the Default Swap, the Portfolio Adjustment Agent may effect Portfolio 

Adjustments (as defined in the Default Swap) in accordance with the terms of the Default Swap. 

Limited Recourse 

Noteholders are only entitled to have recourse to the assets over which security has been created in 

relation to the Notes (including the Swap Agreements). After those assets have been realised and the 

proceeds distributed in accordance with the order of priority set out herein, the Noteholders are not 

entitled to take any further steps against the Issuer to recover any sum and no debt shall be owed by 

the Issuer in respect of any further sum. 

This is not a capital guaranteed product. In a worst case scenario, investors could lose their entire 

investment. Therefore, investors should make an investment decision on this product only after 

careful consideration with their advisers as to the suitability of this product in the light of their 

particular financial circumstances. 

This Offering Circular Supplement does not constitute, and may not be used for the purposes of, an 

offer of, or an invitation by or on behalf of, anyone to subscribe or purchase any of the Notes. 

5

ISSUE TERMS 

Terms used herein shall be deemed to be defined as such for the purposes of the Conditions set forth 

either in the Offering Circular or in Annexes 1 and 2 attached to these Issue Terms (the “Annexes”). 

These Issue Terms are supplemental to and must be read in conjunction with such Offering Circular. 

1 Issuer: Claris Limited. 

2 (i) Series Number: 63/2006. 

(ii) Tranche Number: 1. 

3 Specified Currency or Currencies: Euro (“EUR”). 

4 Aggregate Nominal Amount: EUR 25,000,000 subject to adjustment pursuant 

to the provisions of Annex 1 hereto (the “Initial 

Aggregate Nominal Amount”). 

The Initial Aggregate Nominal Amount, as 

adjusted from time to time, as provided in this 

paragraph 4 and paragraph 8 below, is referred to 

herein as the “Adjusted Aggregate Nominal 

Amount”. 

If, following a Credit Event (as defined in the 

Default Swap (as defined in paragraph 22(x) 

below)), the Issuer is required to pay a Cash 

Settlement Amount (as defined in the Default 

Swap), then, with effect from the relevant Cash 

Settlement Date (as defined in the Default 

Swap), the Adjusted Aggregate Nominal 

Amount of the Notes shall automatically be 

reduced to an amount equal to the Initial 

Aggregate Nominal Amount minus whichever is 

the greater of: 

(i) 

the Initial Aggregate Nominal Amount 

minus the Tranche Notional Amount 

(which term is defined in the Default 

Swap); and 

(ii) the Aggregate Nominal Realisation 

Amount, 

such reduction to be applied to each Note pro 

rata to the number of Notes outstanding. 

For the avoidance of doubt, in the event of any 

such reduction following a Credit Event as 

described above, no amount shall be payable to 

the Noteholders in connection with any such 

reduction, and such reduction will be effected by 

the cancellation of the relevant nominal amount 

of the Notes. 

Following the provision of the Default Swap 

Counterparty’s consent as described in paragraph 

6

38(i), the Adjusted Aggregate Nominal Amount 

of the Notes shall be reduced by an amount equal 

to the relevant Notes Amortisation Amount(s) on 

the relevant date the Notes are due for 

redemption as described above. 

5 (i) Issue Price: 100.00 per cent. of the Initial Aggregate Nominal 

Amount 

(ii) Net proceeds: EUR 25,000,000. 

6 Specified Denominations: EUR 500,000 provided that the nominal amount 

of each Note shall be adjusted as provided in 

paragraph 4 above and paragraph 8 below. 

7 Issue Date: 7 February 2006. 

8 Maturity Date: Subject to the provisions of paragraph 30 below, 

the Maturity Date shall be whichever is the 

earlier of: 

1. the later of: 

(i) 

(ii) 

7 February 2026, subject to adjustment 

in accordance with the Following 

Business Day Convention (the 

“Scheduled Maturity Date”); and 

the last final Cash Settlement Date in 

respect of the Unsettled Credit Events 

(as defined below), if: 

(A) the Calculation Agent 

determines, in its sole and 

absolute discretion, that one or 

more Unsettled Credit Events 

has occurred on or before the 

Latest Determination Time; and 

(B) 

(C) 

the Retained Amount (as defined 

below) is greater and not equal 

to zero; and 

the Calculation Agent gives 

notice thereof to the Issuer, the 

Issuing and Paying Agent and 

the Trustee not later than the 

Latest Determination Time; and 

2. the date on which the Adjusted 

Aggregate Nominal Amount of the 

Notes is reduced to zero pursuant to 

paragraph 4 above (the “Revised 

Maturity Date”). 

Notwithstanding the foregoing, if the Maturity 

Date is extended as provided above, the Issuer 

shall, on the Scheduled Maturity Date, partially 

7

edeem each Note in an amount equal to the 

Scheduled Maturity Date Payment Amount (as 

defined below) by realising part of the Main 

Deposit and, with effect from such partial 

redemption, the Adjusted Aggregate Nominal 

Amount of the Notes shall be reduced to the 

Retained Amount (as defined below). For the 

avoidance of doubt, the Maturity Date may not 

occur later than 7 August 2027, subject to 

adjustment in accordance with the Following 

Business Day Convention. 

For the purposes of the Notes: 

(a) 

(b) 

(c) 

(d) 

(e) 

“Unsettled Credit Event” means a 

Credit Event in respect of which the 

relevant Cash Settlement Amount has 

not yet been paid pursuant to the terms 

of the Default Swap and/or a Potential 

ABS Failure to Pay (as defined in the 

Default Swap); 

“Scheduled Maturity Date Payment 

Amount” means an amount equal to the 

Relevant Proportion of the amount (if 

any) by which the Adjusted Aggregate 

Nominal Amount of the Notes 

immediately prior to the Scheduled 

Maturity Date exceeds the Retained 

Amount; 

“Relevant Proportion” means, at any 

time, the proportion which one Note 

bears to the number of all of the Notes 

outstanding; 

“Retained Amount” means the Notional 

Reduction Amount as at the Scheduled 

Maturity Date; and 

“Notional Reduction Amount” means, 

as of any date, whichever is the lower of 

(i) the Adjusted Aggregate Nominal 

Amount; and (ii) the aggregate of the 

Cash Settlement Amounts which would 

be payable in respect of all Unsettled 

Credit Events assuming in the case of 

each Reference Entity relating to an 

Unsettled Credit Event, a Loss Amount 

equal to the relevant Reference Entity 

Notional Amount. 

9 Interest Basis: Floating Rate Notes. 

(i) 

3 month EUR-EURIBOR-Telerate (as 

designated in the ISDA Definitions, as 

amended in paragraph 18(viii) below) + 

8

the Margin (as defined in paragraph 

18(ix) below) from and including the 

Issue Date to but excluding the earlier of 

(1) the Revised Maturity Date and (2) 

the Scheduled Maturity Date; and 

(ii) in the event that, pursuant to paragraph 8 

above, the Maturity Date is extended 

beyond the Scheduled Maturity Date, 

EUR-EONIA-OIS-COMPOUND (as 

designated in the ISDA Definitions) plus 

the Margin for the period from and 

including the Scheduled Maturity Date 

to but excluding the Maturity Date, as 

paid under the Deposit. 

(Further particulars specified below) 

10 Redemption/Payment Basis: Each Note shall be redeemed at the Final 

Redemption Amount, the Early Redemption 

Amount, the Relevant Proportion of the Notes 

Amortisation Amount or the Optional 

Redemption Amount in respect of each Specified 

Denomination, as the case may be, as more 

particularly described in paragraphs 24, 29, 30 

and 38 below. 

11 Change of Interest or Redemption/ 

Payment Basis: 

Where applicable, as described in paragraph 9 

above and paragraph 38 below. 

12 Put/Call Options: Issuer Call Option. See paragraph 24 below. 

13 Status of the Notes: Secured and limited recourse obligations. 

14 Listing: Application has been made to the IFSRA, as 

competent authority under the Prospectus 

Directive, for the Securities Note to be approved. 

Application has been made to the Irish Stock 

Exchange for the Notes to be admitted to the 

Official List and to trading on its regulated 

market. 

15 Method of distribution: Non-syndicated. 

16 Rating: Yes. Moody’s has assigned the Notes a rating of 

Aa3. 

PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE 

17 Fixed Rate Note Provisions: Not applicable. 

18 Floating Rate Provisions: Applicable. 

(i) Specified Period(s)/Specified 

Interest Payment Dates: 

Quarterly on 7 February, 7 May, 7 August and 

7 November in each year from and including 

7 May 2006 to and including the Maturity Date. 

(ii) Business Day Convention: Following Business Day Convention. 

9

(iii) Additional Business Centre(s) 

(Condition 6(a)): 

Paris, London, New York and TARGET 

Business Day. 

(iv) 

Manner in which the Rate(s) of 

Interest is/are to be determined: 

ISDA Determination. 

(v) Interest Period Date(s): Not applicable. 

(vi) 

Party responsible for calculating 

the Rate(s) of Interest and Interest 

Amount(s) (if not the Calculation 

Agent): 

Not applicable. 

(vii) Screen Rate Determination 

(Condition 6(b)(iii)(B)): 


(viii) 

ISDA Determination (Condition 

6(b)(iii)(A)): 

Applicable. 

- Floating Rate Option: In respect of the period from and including the 

Issue Date to but excluding the Scheduled 

Maturity Date, EUR-EURIBOR-Telerate, save 

that references to “Telerate Page 248” in the 

definition of “EUR-EURIBOR-Telerate” 

contained in the ISDA Definitions shall be 

deemed to be references to “Reuters Page 

EURIBOR01”. 

In the event that the Maturity Date is extended 

beyond the Scheduled Maturity Date pursuant to 

the provisions of paragraph 8.1(ii) above, the 

Floating Rate Option in respect of the period 

from and including the Scheduled Maturity Date 

to but excluding the Maturity Date shall be EUR- 

EONIA-OIS-COMPOUND or (if the Deposit 

Bank is replaced as described in paragraph 

22(viii) below) such other floating rate as is then 

applicable to the Deposit (as defined in 

paragraph 22(vii) below). 

- Designated Maturity: Where the Floating Rate Option is EUR- 

EURIBOR-Telerate, 3 months, provided that in 

the event the Issuer exercises its Call Option on 

an Optional Redemption Date Linear 

Interpolation (as defined in the ISDA 

Definitions) shall apply to the Interest Period in 

which the Optional Redemption Date falls (such 

Linear Interpolation for such Interest Period to 

be determined with regard to Designated 

Maturities of one month and two months). 

Where the Floating Rate Option is EUR-EONIA- 

OIS-COMPOUND, for the purposes of the ISDA 

Definitions, the "Calculation Period" shall be 

each relevant Interest Period. 

- Reset Date: The first day of each Interest Period. 

10

(viii) ISDA Determination (if different 

from those set out in the 

Conditions): 


(ix) Margin(s): Plus 1.15 per cent. per annum with respect to 

each Interest Period commencing on and 

including the Interest Period scheduled to 

commence on (and include) the Issue Date to the 

Interest Period scheduled to end on (but exclude) 

the Step Up Date and plus 2.00 per cent. per 

annum with respect to each Interest Period 

commencing on and including the Interest Period 

scheduled to commence on (and include) the 

Step Up Date to and including the Interest Period 

scheduled to end on (but exclude) the Scheduled 

Maturity Date (applicable only where the 

Floating Rate Option is EUR-EURIBOR- 

Telerate). 

(x) Minimum Rate of Interest: 0 per cent. per annum. 

(xi) Maximum Rate of Interest: Not applicable. 

Plus 0.00 per cent. per annum (applicable only 

where the Floating Rate Option is EUR-EONIA- 

OIS-COMPOUND) as amended from time to 

time in accordance with the Deposit Agreement 

to follow the opposite of the Deposit Margin 

paid on the Deposit Agreement. 

(xii) 

Day Count Fraction (Condition 

6(a)): 

Actual/360. 

(xiii) Rate Multiplier: Not applicable. 

(xiv) 

Fall back provisions, rounding 

provisions, denominator and any 

other terms relating to the method 

of calculating interest on Floating 

Rate Notes, if different from those 

set out in the Conditions: 

(1) Condition 6(i) applies, save that the 

reference in the third line thereof to “the 

outstanding nominal amount of such 

Note” shall be deemed instead to refer to 

an amount calculated on each Interest 

Observation Date (as defined below) 

equal to (I) the Relevant Proportion of 

the sum of the Daily Outstanding 

Amounts for each day of the relevant 

Interest Period (each such day, a 

“Relevant Calculation Date”) divided 

by (II) the actual number of days in such 

Interest Period; 

where: 

“Daily Outstanding Amount” means 

the higher of (i) zero and (ii) the 

Adjusted Aggregate Nominal Amount 

minus the Notional Reduction Amount 

(each as of that Relevant Calculation 

Date). 

11

For the purposes of this paragraph 

18(xiv)(1) “Interest Observation Date” 

means, with respect to an Interest 

Payment Date, the day falling two 

Business Days prior to that Interest 

Payment Date. 

(2) In addition to the payment of any interest 

calculated at the Rate of Interest as 

described in paragraphs 18(i)-(xiii) and 

18(xiv)(1), following the occurrence of a 

one or more Final Valuation Notice 

Receipt Date (as such term is defined in 

the Default Swap), the Issuer shall also 

pay each Noteholder on that Interest 

Payment Date in respect of each Note, an 

amount determined by the Calculation 

Agent in respect of each Final Valuation 

Notice Receipt Date and the 

corresponding Cash Settlement Amount 

equal to: 

(i) 

the amount of interest that would 

have been calculated in respect 

of each Note on all Interest 

Observation Dates occurring 

during the period from and 

including the Event 

Determination Date relating to 

such Final Valuation Notice 

Receipt Date until and including 

the Interest Observation Date 

immediately following such 

Final Valuation Notice Receipt 

Date, had such Cash Settlement 

Amount been determined and 

known as at such Event 

Determination Date; 

minus 

(ii) 

the amount of interest actually 

paid or scheduled to be paid as 

applicable, in respect of each 

Note in respect of each Interest 

Period relating to all such 

Interest Observation Dates, 

either pursuant to paragraph 

18(xiv)(1) or delayed payments 

of interest pursuant to this 

paragraph 18(xiv)(2) other than 

as a result of the Final Valuation 

Notice to which such Final 

Valuation Notice Receipt Date 

relates); 

12

plus 

(iii) 

an amount determined by the 

Calculation Agent in its sole and 

absolute discretion as being 

equal to the Relevant Proportion 

of the amount of interest 

received by the Issuer pursuant 

to the Deposit Agreement (as 

defined in paragraph 22(vii)) to 

the extent that such amount of 

interest received is attributable 

to the difference between the 

amounts described in subparagraphs 

(i) and (ii) above. 

19 Zero Coupon Note Provisions: Not applicable. 

20 Index Linked Interest Note Provisions: Not applicable. 

21 Dual Currency Note Provisions: Not applicable. 

PROVISIONS RELATING TO THE SECURITY 

22 Mortgaged Property 

(3) In the event that the Notes are redeemed 

after the Scheduled Maturity Date by 

reason of the late occurrence of an Early 

Redemption Event pursuant to Condition 

7(c), Condition 7(d) or Condition 10, 

then no interest shall be payable during 

the period from and including the 

Scheduled Maturity Date until the Early 

Redemption Date. 

(i) Securities: Securities issuer: ABN AMRO Bank N.V. 

Registered Office: Gustav Mahlerlaan 10, 1082 

PP Amsterdam, The Netherlands 

Country of Incorporation: The Netherlands 

Description: Financial Institution 

Title of Securities: EUR 2,000,000,000 3.25 per 

cent. Covered Bonds due 2013, issued on 18 

January 2006 under an EUR 25,000,000,000 

Covered Bond Programme, guaranteed as to 

payments of interest and principal by ABN 

AMRO Covered Bond Company B.V. 

Securities Maturity Date: 18 January 2013 (such 

date, the “Securities Maturity Date”) 

Coupon: 3.25% per annum 

ISIN: XS0241183804 

13

Governing law: Dutch law 

Rating: Aaa, AAA and AAA by Moody’s, S&P 

and Fitch, respectively 

Listing: Euronext Amsterdam 

Nominal Amount: EUR 25,000,000 as at the 

Issue Date 

Issue Amount: EUR 2,000,000,000 

Put Option/Call Option: Not applicable 

Early Redemption for taxation reasons: 

Applicable 

The Securities shall be transferred from Société 

Générale as vendor (in such capacity, the 

“Vendor”) to the Issuer pursuant to a sale 

agreement to be dated on or around 7 February 

2006 (the “Sale Agreement”). 

The Securities issuer currently publishes semiannual 

interim accounts in addition to the annual 

report. 

The most recently published annual and interim 

reports in respect of the Securities issuer, the 

ISDA Agreement and the Sale Agreement may 

be obtained, free of charge, at the office of the 

Paying Agent in Dublin during normal business 

hours so long as any Notes are outstanding. 

(ii) Security (order of priorities): The Trustee shall apply all moneys received by it 

under the Trust Deed in connection with the 

realisation or enforcement of the Security 

constituted by the Trust Deed in the following 

order of priorities: 

(i) 

(ii) 

(iii) 

Firstly, in payment or satisfaction of 

fees, costs, charges, expenses and 

liabilities incurred by the Trustee or any 

receiver in preparing and executing the 

trusts under the Principal Trust Deed and 

the Supplemental Trust Deed (including 

any taxes required to be paid, the costs 

of realising any Security and the 

Trustee’s remuneration); 

Secondly, in payment or satisfaction of 

fees, costs, charges, expenses and 

liabilities incurred by the Portfolio 

Administrator in performing its 

obligations under the Portfolio 

Administration Agreement; 

Thirdly, (except where the Notes have 

14

ecome due and payable as a result of a 

termination of either of the Swap 

Agreements (as defined in paragraph 

22(x) below) by reason of the 

designation or occurrence of an Early 

Termination Date with respect to which 

the Issuer is neither the Defaulting Party 

nor an Affected Party (in each case as 

defined in the Swap Agreements)) in 

payment of any Swap Counterparty 

Claim; 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

Fourthly, in payment of any Vendor 

Claim or Deposit Bank Claim (as each 

such term is defined in the Trust Deed); 

Fifthly, in payment of any Custodian 

Claim or Disposal Agent Claim; 

Sixthly, in payment of any Issuing and 

Paying Agent Claim; 

Seventhly, in payment of any Noteholder 

Claim; and 

Eighthly, where the Notes have become 

due and payable as a result of a 

termination of either of the Swap 

Agreements by reason of the designation 

or occurrence of an Early Termination 

Date with respect to which the Issuer is 

neither the Defaulting Party nor an 

Affected Party, in payment of any Swap 

Counterparty Claim. 

(iii) Contract (if applicable): Not applicable. 

(iv) Beneficiary (ies): Not applicable. 

(v) Securities Agreement: Not applicable. 

(vi) Counterparties: Not applicable. 

(vii) Deposit Agreement: A deposit agreement (the “Deposit Agreement”) 

to be dated on or around the Issue Date between 

the Issuer and the Deposit Bank pursuant to 

which the Issuer shall agree to deposit in an 

account (the “Deposit Account”) with the 

Deposit Bank: 

(i) 

(ii) 

(iii) 

any Excess Amount (as defined below); 

and 

any Excess Realisation Proceeds; and 

the amount of principal received by the 

Issuer upon redemption of the Securities 

at par at their maturity (the “Securities 

15

Redemption Amount”). 

The aggregate amount of the Excess Amount 

standing to the credit of the Deposit Account 

from time to time is referred to as the “Excess 

Deposit”. The aggregate of (i) any Excess 

Realisation Proceeds and (ii) the Securities 

Redemption Amount standing to the credit of the 

Deposit Account from time to time is referred to 

as the “Main Deposit”. The Excess Deposit and 

the Main Deposit are referred to together as the 

“Deposit”. For the purposes of the Notes, the 

“Excess Amount” means the sum of: 

(i) 

on any Interest Payment Date, the 

amount (if any) by which the aggregate 

of: 

(A) 

(B) 

(C) 

the Floating Amount received by 

the Issuer in respect of the 

Interest Rate Swap on such 

Interest Payment Date; 

any interest accrued on the Main 

Deposit in accordance with the 

Deposit; 

(i) the fixed payments received 

by the Issuer in respect of the 

Default Swap on such Interest 

Payment Date; or (ii) if the 

relevant Interest Payment Date is 

a Bridge Date (as defined in the 

Default Swap), the amount 

(positive when received by the 

Issuer, negative when paid by 

the Issuer) payable pursuant to 

the Fixed Amount Adjustment 

Method (as defined in the 

Default Swap), 

exceeds the aggregate Interest Amount 

payable in respect of the Notes on such 

Interest Payment Date; and 

(ii) 

any interest accrued on the Excess 

Amount and credited to the Excess 

Deposit from time to time in accordance 

with the Deposit Agreement. 

Amounts may be withdrawn from the Deposit in 

accordance with the provisions of Annex 1 

hereto. 

(viii) Deposit Bank(s): Société Générale, London Branch, provided that 

the short term rating of Société Générale is then 

rated at least “Prime-1” by Moody’s and the 

16

(ix) Other Security Agreement: Not applicable. 

senior unsecured debt long term rating of Société 

Générale is then rated at least “A1” by Moody’s, 

otherwise another bank whose short term rating 

is rated at least “Prime-1” by Moody’s and the 

senior unsecured debt long term rating of such 

other bank is rated at least “A1” by Moody’s as 

more fully set out in the Deposit Agreement 

(provided that the identity of such bank has been 

notified to the Trustee and the cost of the 

replacement of any such Deposit Bank by such 

bank shall be at the expense of the relevant bank 

or the Deposit Bank and not at the expense of the 

Issuer). 

(x) Swap (if applicable): The description of the Swap Agreements set out 

below is a summary of certain features of the 

Swap Agreements and is qualified by reference 

to the detailed provisions of the Swap 

Agreements. 

Payments under the Swap Agreements 

Pursuant to a 1992 ISDA Master Agreement 

(Multicurrency-Cross Border) (the 

“Agreement”) dated as of 1 April 2005 

(including the Schedule thereto), the Issuer has 

entered into a credit default swap with the 

Default Swap Counterparty (as defined in 

paragraph 22(xi)) with an effective date of the 

Issue Date (the “Effective Date”) (the “Default 

Swap”) and an interest rate swap with the 

Interest Rate Swap Counterparty (as defined in 

paragraph 22(xi)) with an effective date of the 

Issue Date (the “Interest Rate Swap”, which 

expression shall include any substitute interest 

rate swap with any substitute swap counterparty 

entered into pursuant to the terms of such interest 

rate swap) (the Default Swap and the Interest 

Rate Swap each a “Swap Agreement” and 

together the “Swap Agreements”). 

The Default Swap shall be substantially in the 

form attached as Annex 2 hereto. 

Pursuant to the Interest Rate Swap, the Issuer 

will pay to the Interest Rate Swap Counterparty 

an initial fixed payment of EUR 105,479.48 and 

thereafter on each Interest Payment Date an 

amount which, together with the fixed payments 

made by the Default Swap Counterparty 

pursuant to the Default Swap and the floating 

amounts payable by the Deposit Bank pursuant 

to the Deposit Agreement, each as referred to 

above, will be at least equal to the aggregate 

17

Interest Amount that is payable to Noteholders 

pursuant to the terms of this Offering Circular 

Supplement up to the Securities Maturity Date. 

Subject to the early termination provisions set 

out below, the Issuer will pay to the Interest Rate 

Swap Counterparty amounts equal to the interest 

payable on the Securities on the dates for 

payment thereof. 

The Swap Agreements shall terminate, subject to 

the provisions of the Swap Agreements, on the 

due date for redemption of the Notes if at any 

time any of the Notes becomes redeemable in 

accordance with the Conditions prior to the 

Scheduled Maturity Date. Pursuant to the terms 

of the Swap Agreements, each Swap Agreement 

may be terminated early (in whole only but not 

in part), amongst other circumstances: 

(i) 

(ii) 

(iii) 

(iv) 

at the option of one party, if there is a 

failure by the other party to pay any 

amounts due under the relevant Swap 

Agreement unless the relevant Swap 

Counterparty has posted the required 

collateral under the Credit Support 

Annex entered into in respect of the 

relevant Swap Agreement (the “Credit 

Support Annex”); or 

if (subject as provided in the Swap 

Agreements) withholding taxes are 

imposed on payments made by the Issuer 

or the relevant Swap Counterparty under 

the relevant Swap Agreement or it 

becomes illegal for either party to 

perform its obligations under the 

relevant Swap Agreement; or 

upon the occurrence of certain other 

events with respect to either party to the 

relevant Swap Agreement, including 

bankruptcy of the Issuer; or 

(in the case of the Default Swap), the 

Interest Rate Swap is terminated early 

(provided that such Default Swap shall 

not terminate early in the event that the 

Interest Rate Swap is terminated early by 

way of substitution in accordance with 

the provisions of the Interest Rate 

Swap). 

There may also be a partial termination of the 

Interest Rate Swap following a Credit Event 

under the Default Swap. 

18

Consequences of Early Termination 

Upon any such early termination of either Swap 

Agreement, the Issuer or the relevant Swap 

Counterparty may (subject as set out below and 

provided, in the case of certain tax events, that 

the Issuer may first be obliged to use all 

reasonable endeavours to transfer its obligations) 

be liable to make a termination payment to the 

other (regardless, if applicable, of which of such 

parties may have caused such termination). 

Pursuant to the terms of the Swap Agreements, 

such termination payment will be based upon 

Loss (as defined in the relevant Swap 

Agreement). 

Regardless of which party makes the 

determination of the termination payment (if 

any), there is no assurance that the proceeds from 

the sale of the Securities and/or liquidation of the 

Deposit plus or minus, as the case may be, such 

termination payment will be sufficient to repay 

the principal amount due to be paid in respect of 

the Notes and any other amounts in respect 

thereof that are due. 

(xi) Swap Counterparty(ies): The Swap Counterparty in respect of the Default 

Swap (the “Default Swap Counterparty”) and 

the Swap Counterparty in respect of the Interest 

Rate Swap (the “Interest Rate Swap 

Counterparty” and, together with the Default 

Swap Counterparty, the “Swap 

Counterparties”), shall initially be: 

Société Générale 

29, boulevard Haussmann 

75009 Paris 

France 

(xii) Swap Guarantor (if applicable): Not applicable. 

(xiii) Details of Credit Support Not applicable. 

Each of the Interest Rate Swap and the Default 

Swap contain provisions whereby such swap 

may, in certain circumstances and provided that 

certain conditions are met, be terminated and 

replaced by a new interest rate swap or default 

swap, respectively, with a substitute swap 

counterparty. In such event, such substitute swap 

counterparty shall, for the purposes of this 

Offering Circular Supplement, be deemed to be 

the Interest Rate Swap Counterparty or Default 

Swap Counterparty (as appropriate) and a Swap 

Counterparty. 

19

Document (if applicable): 

(xiv) Credit Support Provider: Not applicable. 

23 Realisation of Security: Creditor Direction. 

PROVISIONS RELATING TO REDEMPTION 

24 Call Option: Applicable. 

Notwithstanding the Conditions and the 

remaining provisions of this paragraph 24, in the 

event that the Protection Buyer fails to post on or 

before the sixth Business Day prior to the Fixed 

Rate Payer Payment Date scheduled to fall on 

7 February 2013 (the “Step Up Date”) any 

collateral in relation to Fixed Amounts payable 

but not yet paid from and excluding the Step Up 

Date to and including the Scheduled Termination 

Date (as each such term is defined in the Default 

Swap) in accordance with paragraph 8 of the 

Default Swap (only if so required to do so at 

such time in accordance with the provisions 

thereof (and not, for the avoidance of doubt, at 

any other time in accordance with the provisions 

thereof)), the Issuer shall be deemed to have 

exercised its Call Option to have the Notes 

redeemed on the Step Up Date and shall provide 

the Noteholders with notice of such deemed 

exercise on the fourth Business Day prior to the 

Step Up Date and Condition 7(e) of the Notes 

shall be amended accordingly. 

The provisions of paragraphs 24(i) and (ii) shall 

apply, mutatis mutandis, to the deemed exercise 

of the Call Option pursuant to this paragraph 24, 

with the Time Call Notice Date (as defined in the 

Default Swap) deemed to be the fourth Business 

Day prior to the Step Up Date. 

In the event that notice of the exercise of the Call 

Option is provided by the Issuer, any interest 

payable with respect to the Notes on the Optional 

Redemption Date shall be calculated by 

disregarding any Final Valuation Notice 

provided after the Time Call Notice Date (as 

defined in the Default Swap) or after the fourth 

Business Day prior to the Step Up Date in the 

case of a deemed exercise of the Call Option by 

the Issuer as described above. 

(i) Optional Redemption Date(s): The Issuer may redeem all, but not some only, of 

the Notes, at their Optional Redemption 

Amount(s) (as defined below), on any 

30 December, 30 March, 30 June and 

30 September in each year, from and including 

30 December 2008, such date, the “Optional 

20

Redemption Date”. 

In the event that the Issuer exercises its Call 

Option pursuant to this paragraph 24: 

(a) 

(b) 

(c) 

(d) 

the Issuer shall either realise the 

Securities or liquidate the Main Deposit 

(as applicable); 

the Issuer shall pay or receive an amount 

equal to the Final Exchange Payer 

Amount (as defined in the Default 

Swap); 

the Interest Rate Swap will, if not 

already terminated or due to be 

terminated as a result of such exercise, 

be terminated at its mark-to-market 

value and the Issuer will pay or receive 

the termination payment (if any) 

pursuant to the terms and provisions 

described therein; and 

the Issuer shall pay, together with the 

aggregate of the Optional Redemption 

Amounts and with respect to each Note, 

an amount equal to the Additional Call 

Option Amount (as defined below) and 

an amount equal to the Relevant 

Proportion of such part of the Deposit as 

is attributable to the Excess Deposit. 

“Additional Call Option Amount” with respect 

to each Note means, with reference to all 

Reference Obligations in respect of which an 

Event Determination Date has occurred on or 

prior to the Time Call Notice Date (as defined in 

the Default Swap) and in respect of which a 

Final Valuation Notice Receipt Date has not 

occurred on or before such Time Call Notice 

Date, an amount determined by the Calculation 

Agent equal to: 

(i) 

the interest that would have been 

calculated on each Payment Observation 

Date occurring from and including the 

Event Determination Date to the 

Payment Observation Date falling 

immediately prior to the Optional 

Redemption Date had the Final Price 

calculated in respect of each such 

Reference Obligation been 100 per cent. 

21

minus 

(ii) 

the amount of interest actually paid in 

respect of the Interest Periods relating to 

all such Payment Observation Dates 

either pursuant to paragraph 18(xiv)(1) 

or delayed payments of interest pursuant 

to paragraph 18(xiv)(2) (other than as a 

result of the Final Valuation Notice to 

which such Final Valuation Notice 

Receipt Date relates). 

plus 

(iii) 

an amount determined by the Calculation 

Agent in its sole and absolute discretion 

as being equal to the Relevant 

Proportion of the amount of interest 

received by the Issuer pursuant to the 

Deposit Agreement to the extent such 

amount is attributable to an amount 

equal to the difference between the 

amounts described under (i) and (ii) 

above. 

(ii) 

(iii) 

Optional Redemption Amount(s) 

and method, if any, of calculation 

of such amount(s): 

If redeemable in part: 

With respect to each Specified Denomination, 

the Relevant Proportion of the Adjusted 

Aggregate Nominal Amount. 

(a) 

Minimum nominal amount 

to be redeemed: 


(b) Maximum nominal 

amount to be redeemed: 


(iv) Option Exercise Date(s): Any redemption of the Notes made pursuant to 

the exercise of the Issuer’s option described in 

this paragraph 24 shall occur on the Optional 


(v) 

(vi) 

Description of any other Issuer’s 

option: 

Notice period (if other than as set 

out in the Conditions): 


At least 4 Business Days prior to an Optional 


25 Put Option: Not applicable. 

26 Exchangeable Notes: No. 

27 Exchange Event: Not applicable. 

28 Repayable Assets: All Securities. 

29. Final Redemption Amount: The Final Redemption Amount payable in 

respect of each Note shall be an amount equal to 

the Relevant Proportion of any sums received by 

22

the Issuer in respect of the Deposit on the 

Maturity Date. 

For the avoidance of doubt, if: 

(i) 

an Event of Default occurs and the Notes 

are declared due and payable in 

accordance with Condition 10 at any 

time prior to the Scheduled Maturity 

Date; or 

(ii) an Early Redemption Event 

Determination Date occurs at any time 

on or after the Issue Date up to and 

including the Latest Determination 

Time, 

the Notes will be redeemed at their Early 

Redemption Amount on the Early Redemption 

Date in accordance with paragraph 30. 

30 Early Redemption Amount: 

(i) Early Redemption Amount(s) 

payable on mandatory redemption 

(Condition 7(c), redemption for 

taxation and other reasons 

(Condition 7(d)), an event of 

default (Condition 10) and/or the 

method of calculating the same (if 

required or if different from that 

set out in the Conditions): 

Condition 7(d)(ii) is amended by adding at the 

end of the first paragraph thereof the following 

proviso: 

“If (A) a Bankruptcy Event of Default occurs in 

respect of the Default Swap Counterparty under 

Section 5(a)(vii) of the Agreement, and (B) the 

Default Swap Counterparty has posted the 

required collateral under the Credit Support 

Annex (subject to, and in accordance with, the 

provisions of the Credit Support Annex), then 

the Default Swap shall be deemed not to have 

been terminated in whole for the purposes of this 

Condition 7(d)(ii).” 

In the event of any such Early Redemption Event 

or event of default under Condition 10 then: 

(A) 

(B) 

(C) 

the Issuer shall either realise or liquidate 

the Securities and/or the Deposit (as 

applicable), 

the Swap Agreements will be terminated 

at their mark-to-market value as 

determined by the Calculation Agent in 

its sole and absolute discretion using the 

payment measure and payment method 

elected by the parties to the Agreement; 

and 

the Calculation Agent shall calculate the 

Early Redemption Amount in 

accordance with the provisions contained 

below. 

23

The Early Redemption Amount payable in 

respect of each Note shall be the greater of: 

(a) 

(b) 

zero; and 

an amount determined in accordance 

with the following formula: 

MV − STC 

N 

Where: “MV” means the net proceeds received 

pursuant to paragraph 30(i)(A) above; 

“STC” means an amount equal to the aggregate 

termination amounts payable pursuant to 

paragraph 30(i)(B) above, as determined by the 

Calculation Agent on the Breakage Cost 

Valuation Date, each termination amount being 

expressed as a positive number if payable by the 

Issuer to the relevant Swap Counterparty, and a 

negative number if payable by the relevant Swap 

Counterparty to the Issuer provided that, where 

such termination amounts are payable as a result 

of either (A) an Event of Default where the 

relevant Swap Counterparty is the Defaulting 

Party (in each case as defined in the Swap 

Agreements) or (B) any Additional Termination 

Event where the Swap Counterparty is the sole 

Affected Party (in each case as defined in the 

Swap Agreements), “STC” shall be capped at the 

amount (if any) by which MV exceeds an 

amount equal to the sum of the Adjusted 

Aggregate Nominal Amount and interest accrued 

on the Notes to the date of redemption. 

“N” means the number of Notes outstanding. 

Where the Issuer is to sell any of the Securities 

or the claim in respect of the Deposit (where the 

cash amount comprising the Deposit is 

unavailable for withdrawal), such sale shall be 

effected on behalf of the Issuer by the Disposal 

Agent in accordance with the terms of the 

Disposal Agency Agreement. With respect to 

the calculation of the Early Redemption Amount, 

the determinations and calculations of the 

Calculation Agent will be conclusive and 

binding upon the Issuer, the Custodian, the 

Trustee and the Noteholders, in the absence of 

manifest error. 

In the event that such Early Redemption Amount 

paid to each Noteholder is less than the nominal 

amount of the Note (the difference between the 

Early Redemption Amount of the Note and the 

nominal amount of the Note being referred to as 

24

the “Shortfall”), such Shortfall shall be borne by 

the Noteholder and the Noteholder shall have no 

further recourse to the Issuer in respect of such 

Shortfall. For the avoidance of doubt, any such 

early redemption may take place after the 

Scheduled Maturity Date; but, in such event, no 

interest shall be payable under the Notes in 

respect of any period from and including the 

Scheduled Maturity Date. 

For the purpose hereof: 

“Breakage Cost Valuation Date” means the 

date on which the Early Redemption Amount is 

determined or announced by the Calculation 

Agent, which is expected to be the 30th Business 

Day following the Early Redemption Event 

Determination Date, to the extent reasonably 

practicable. 

“Early Redemption Date” means the date 

notified as such by the Calculation Agent (on 

behalf of the Issuer) in the Settlement Notice, 

which is expected to be the fourth Business Day 

following the Breakage Cost Valuation Date, to 

the extent reasonably practicable. 

“Early Redemption Event” means the 

occurrence (i) at any time prior to the Scheduled 

Maturity Date of any of the events set out in 

Condition 10 or (ii) at any time from and 

including the Issue Date to and including the 

Latest Determination Time of any of the early 

redemption events referred to in Condition 7(c) 

or 7(d). 

“Early Redemption Event Determination 

Date” means (i) a date on which the Trustee 

declares the Notes due and repayable in 

accordance with Condition 10 or (ii) the date on 

which an Early Redemption Event Notice is 

delivered by the Calculation Agent (on behalf of 

the Issuer) to the Notice Agent and, as long as 

the Notes are in global form, to the Clearing 

System. 

“Early Redemption Event Notice” means a 

notice to be delivered, as soon as practicable 

after having been notified by the Issuer of the 

occurrence of an event under Condition 7(c) or 

7(d), by the Calculation Agent (on behalf of the 

Issuer) to the Notice Agent and, as long as the 

Notes are in global form, to the Clearing System 

notifying of the occurrence of such event and 

setting out any relevant information evidencing 

the occurrence of such event at any time from 

25

and including the Issue Date up to the Latest 

Determination Time. 

For the avoidance of doubt, an event described in 

Condition 7(c) or 7(d) need not be continuing on 

the date on which the Early Redemption Event 

Notice is delivered by the Calculation Agent. 

Failure by the Calculation Agent to deliver an 

Early Redemption Event Notice shall not 

preclude the Issuer from notifying the 

Calculation Agent of the occurrence of one or 

more than one subsequent event(s) described in 

Condition 7(c) or 7(d). 

“Settlement Notice” means a notice to be sent 

by the Calculation Agent (on behalf of the 

Issuer) as soon as practicable after the Breakage 

Cost Valuation Date to the Notice Agent and, as 

long as the Notes are in global form, to the 

Clearing System, specifying the Early 

Redemption Amount and the Early Redemption 

Date. 

Condition 7(c)) is deleted and replaced with: 

(c) Mandatory Redemption: If any of the 

Securities becomes payable prior to its stated 

date of maturity for whatever reason (under the 

terms of such Securities applicable as at the Issue 

Date) or there is a payment default in respect of 

any of the Securities (under the terms of such 

Securities applicable as at the Issue Date), all 

such Securities which have become so payable or 

repayable or in respect of which there has been a 

payment default together with any or all 

remaining Securities, as specified in the relevant 

Supplemental Trust Deed (which may or may not 

form obligations of the same person as those 

which have become repayable or in respect of 

which there has been such a payment default), 

shall be deemed to have become immediately 

repayable (the “Repayable Assets”). The Issuer 

shall then forthwith give notice as soon as 

reasonably practicable (unless otherwise 

specified in the relevant Supplemental Trust 

Deed) to the Trustee and the Noteholders and 

upon the giving of such notice shall redeem each 

Note at its Early Redemption Amount either in 

whole or, as the case may be, in part on a pro 

rata basis in a proportion of its Final Redemption 

Amount equal to the proportion that the nominal 

amount of the Repayable Assets bears to the 

nominal amount of all the Securities (including 

the Repayable Assets). Interest (if any) in respect 

of any Note so redeemed shall be as set out in the 

relevant Offering Circular Supplement. Failure 

26

(ii) 

Unmatured Coupons to become 

void upon early redemption 

(Bearer Notes only) (Condition 

8(f)): 

to make any payment due in respect of a 

mandatory redemption under this Condition 7(c) 

of part of the nominal amount of the Notes or 

interest thereon shall not constitute an Event of 

Default under Condition 10. 

In the event of Notes becoming mandatorily due 

for redemption and the Security becoming 

enforceable (i) the Trustee may take such action 

as is provided in Condition 4(d) and (ii) payment 

of the Early Redemption Amount shall be made 

subject to the operation of Condition 4(e), and 

may therefore be less than the principal amount, 

and any accrued interest or other sums due 

under, of the Notes being redeemed. 


GENERAL PROVISIONS APPLICABLE TO THE NOTES 

31 Form of Notes: Bearer Notes. 

(i) 

Temporary or permanent Global 

Note/Certificate: 

Temporary Global Note exchangeable for 

Permanent Global Note, which is exchangeable 

for Definitive Notes in the limited circumstances, 

specified in the Permanent Global Note. 

(ii) Applicable TEFRA exemption: D Rules. 

32 Additional Financial Centre(s) (Condition 

8(h)) or other special provisions relating to 

payment dates: 

33 Talons for future Coupons or Receipts to 

be attached to Definitive Notes (and dates 

on which such Talons mature): 

34 Details relating to Partly Paid Notes: 

amount of each payment comprising the 

Issue Price and date on which each 

payment is to be made and consequences 

(if any) of failure to pay, including any 

right of the Issuer to forfeit the Notes and 

interest due on late payment: 


No. 


35 Details relating to Instalment Notes: Not applicable. 

36 Redenomination, renominalisation and 

reconventioning provisions: 


37 Consolidation provisions: Not applicable. 

38 Other terms or special conditions: (i) If, at any time after the Interest Payment 

Date scheduled to fall on the Step Up 

Date to the Scheduled Maturity Date, the 

27

Portfolio Notional Amount is reduced 

below the sum of (i) the Initial 

Aggregate Nominal Amount divided by 

the Factor and (ii) the Threshold as a 

consequence of a Removal or an 

amortisation or repayment (whether in 

whole or in part) of one or more 

Reference Obligations for any reason 

other than the occurrence of a Credit 

Event in relation to such Reference 

Obligation(s) (in each case the 

“Reduction”), the Calculation Agent 

shall calculate the notes amortisation 

amount (the “Notes Amortisation 

Amount”) as the result of: 

MAX (0,R-MAX(0,AONA-AT))xF 

Where 

AONA = the sum of the Portfolio 

Notional Amount and the Aggregate 

Loss Amount immediately prior to the 

Removal, amortisation or repayment of 

the Reference Obligation(s), as 

applicable 

AT = the sum of (i) the Initial Aggregate 

Nominal Amount divided by the Factor 

and (ii) the Threshold 

F = the Factor 

MAX = the greater of 

R = the amount of the Reduction 

and notify the Issuer in writing of such 

Notes Amortisation Amount, (such date 

of notification, the “Notes Amortisation 

Amount Notification Date” and such 

notice, the “Notes Amortisation 

Amount Notice”. The Issuer shall 

redeem, on a pro rata basis, the Notes by 

an amount equal to the Notes 

Amortisation Amount, as defined above, 

on the first Interest Payment Date which 

occurs more than four Business Days 

after the Notes Amortisation Amount 

Notification Date, but only if the Default 

Swap Counterparty has provided its prior 

written consent to such redemption. 

In the event that the Default Swap 

Counterparty does not provide its 

consent as aforesaid in relation to any 

Notes Amortisation Amount, then any 

28

subsequent consent provided by the 

Default Swap Counterparty must include 

its consent to redeem the Notes in 

relation to any previous Notes 

Amortisation Amounts in respect of 

which its consent was not previously 

provided and the Issuer shall, in such 

circumstances, redeem the Notes in an 

amount equal to all such Notes 

Amortisation Amounts so referenced in 

the Default Swap Counterparty’s consent 

on the first Interest Payment Date which 

occurs more than four Business Days 

after the latest relevant Notes 

Amortisation Amount Notification Date. 

(ii) 

(iii) 

(iv) 

(v) 

The Notes shall not be redeemed early 

pursuant to Conditions 7(c) and (d), as 

amended by this Offering Circular 

Supplement, unless an Early Redemption 

Event Notice is delivered on or prior to 

the Latest Determination Time. 

The Issuer may only issue further notes 

having the same terms and conditions as 

the Notes in all respects (or in all 

respects except for the first payment of 

interest on them) and so that such further 

issue shall be consolidated and form a 

single series with the Notes in 

accordance with Condition 14 if (a) for 

so long as the Notes are rated by 

Moody’s, confirmation is received from 

Moody’s, that there will be no adverse 

change to the credit rating of the Notes 

with which such further notes are to 

form a single series; and (b) the 

Mortgaged Property relating to such 

consolidated series is correspondingly 

increased. 

For the purposes of these Notes, for so 

long as the Notes are rated by Moody’s, 

any purchases of the Notes by the Issuer 

in accordance with Condition 7(i) may 

only be made upon prior confirmation 

from Moody’s, that the relevant 

purchase will not affect the rating of the 

Notes, such confirmation not to be 

unreasonably withheld. 

Where only part of the Notes are to be 

redeemed and cancelled in accordance 

with Condition 7(j), the Early 

Redemption Amount payable in respect 

of each Note shall be determined by the 

29

Calculation Agent in accordance with 

the preceding provisions of paragraph 

30(i) above, mutatis mutandis, as if: 

(x) reference therein to the 

realisation of the Securities 

and/or the liquidation of the 

Deposit were to the realisation 

and/or liquidation of a pro rata 

portion of the Securities and/or 

the Deposit, as the case may be; 

(y) references therein to the 

termination of the Swap 

Agreements were to the pro rata 

partial termination of the Swap 

Agreements; and 

(z) 

“N” was defined as the number 

of Notes being redeemed. 

Copies of each of the Supplemental Trust Deed 

and the Deposit Agreement shall be available on 

request at the specified office of each Paying 

Agent. 

DISTRIBUTION 

39 (i) If syndicated, names of Managers: Not applicable. 

(ii) Stabilising Manager (if any): Not applicable. 

(iii) Dealer’s Commission: Not applicable. 

40 If non-syndicated, name of Dealer: Société Générale. 

41 Additional selling restrictions: Not applicable. 

OPERATIONAL INFORMATION 

42 ISIN Code: XS0241473049. 

43 Common Code: 024147304. 

44 WKN Registration number: Not applicable. 

45 Any clearing system(s) other than 

Euroclear and Clearstream, Luxembourg 

and the relevant identification number(s): 


46 Delivery: Delivery against payment. 

47 The Agents appointed in respect of the 

Notes are: 

Issuing and Paying Agent: HSBC Bank plc. 

Notice Agent: HSBC Bank plc. 

Custodian: HSBC Bank plc. 

30

Calculation Agent: Société Générale. 

Disposal Agent: Société Générale. 

Paying Agent in Ireland: HSBC Institutional 

Trust Services (Ireland) Limited. 

Listing Agent in Ireland: Arthur Cox Listing 

Services Limited, Earlsfort Centre, Earlsfort 

Terrace, Dublin 2, Ireland. 

GENERAL 

48 Additional steps that may only be taken 

following approval by an Extraordinary 

Resolution in accordance with Condition 

12(a): 


31

ANNEX 1 

CONSEQUENCES OF A CREDIT EVENT, REDEMPTION OR CANCELLATION OF 

SOME OR ALL OF THE NOTES OR OF A FURTHER ISSUANCE 

(this Annex forms part of the Issue Terms to which it is attached) 

1. Capitalised terms used in this Annex 1 and not otherwise defined in the Offering Circular 

Supplement have the meanings given to them in the Default Swap. 

Consequences of a Credit Event 

2. If, following the occurrence of a Credit Event, the Issuer is obliged under the terms of the 

Default Swap to pay to the Default Swap Counterparty a Cash Settlement Amount, then the 

Issuer shall: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

procure the liquidation of to the lesser of (a) the Main Deposit and (b) such amount of 

the Main Deposit as will be sufficient to raise the Required Cash Amount; 

(only to the extent that the Required Cash Amount exceeds the Main Deposit), realise 

such nominal amount of the Securities as will be sufficient (or if the whole amount is 

not sufficient, the whole nominal amount of Securities), when aggregated with the 

termination amount either positive or negative arising as a consequence of the 

induced termination of the Interest Rate Swap pursuant to paragraph (iii) below, to 

raise the Required Cash Amount Shortfall. Such nominal amount of Securities is 

referred to herein as the “Nominal Securities Realisation Amount” (and, for the 

avoidance of doubt, in the event that Securities have to be realised, the excess of such 

Nominal Securities Realisation Amount over the resultant of (i) the Required Cash 

Amount Shortfall divided by (ii) the realisation price (expressed as a percentage) of 

the Securities shall be less than the lowest tradable amount of the Securities); 

to the extent that any realisation or liquidation occurs pursuant to sub-paragraph (ii) 

above, effect a corresponding partial termination of the Interest Rate Swap, such 

termination to be by an amount equal to the Nominal Securities Realisation Amount; 

pay the Cash Settlement Amount to the Default Swap Counterparty and pay any 

amounts payable, or receive any amounts to be paid by the Interest Rate Swap 

Counterparty in connection with the partial termination of the Interest Rate Swap in 

accordance with the terms of the Swap Agreement; and 

put any Excess Realisation Proceeds on deposit under the Main Deposit. 

3. In addition, if the Issuer is obliged under the terms of the Default Swap to pay to the Default 

Swap Counterparty a Net Rebate Amount; the Issuer shall: 

(i) 

(ii) 

procure liquidation of such amount of the Excess Deposit as is equal to the Net 

Rebate Amount and pay such amount to the Default Swap Counterparty; and 

procure liquidation of such amount of the Excess Deposit in order to pay the 

additional interest amount described in paragraph 18(xiv)(2) of these Issue Terms and 

shall pay such amount to the Noteholders. 

The Issuer will rely on the Default Swap Counterparty for taking all actions in relation to the 

occurrence of a Credit Event on its behalf (including administrative tasks in connection 

thereto). The Default Swap Counterparty shall inform the Issuer, in writing, of any action 

taken on its behalf as soon as practicable before such action. 

4. For the purposes of the Notes: 

32

(i) 

“Aggregate Nominal Realisation Amount” means: 

(a) 

(b) 

prior to the date that any Nominal Realisation Amount is realised, zero; 

from and including each date that a Nominal Realisation Amount is realised, 

an amount equal to the Aggregate Nominal Realisation Amount immediately 

prior to the realisation of such Nominal Realisation Amount, plus an amount 

equal to such Nominal Realisation Amount, 

and subject further to the provisions of paragraph 5 of this Annex 1 below. 

(ii) 

(iii) 

(iv) 

(v) 

“Excess Realisation Proceeds” means the amount (if any) by which the sum of the 

proceeds of the realisation of the Securities pursuant to paragraph 2(ii) above and the 

result of the related Interest Rate Swap partial termination pursuant to paragraph 2(iii) 

above exceeds the Required Cash Amount Shortfall; 

“Required Cash Amount” means an amount equal to the Cash Settlement Amount; 

“Required Cash Amount Shortfall” means the excess, if any, of the Required Cash 

Amount over the Main Deposit (as determined not taking into account any Excess 

Realisation Proceeds that are to be added pursuant to the payment of a Cash 

Settlement Amount); and 

“Nominal Realisation Amount” means the Nominal Securities Realisation Amount 

minus the Excess Realisation Proceeds. 

5. Consequences of a partial cancellation or further issue of Notes 

In the event of any cancellation of Notes in accordance with Condition 7, from and 

including the day of such cancellation, each of the Initial Aggregate Nominal 

Amount, the Adjusted Aggregate Nominal Amount and the Aggregate Nominal 

Realisation Amount shall be decreased pro rata to the number of Notes being 

cancelled. 

In the event of any further issue of Notes in accordance with Condition 14, from and 

including the day of such further issue, the Initial Aggregate Nominal Amount, the 

Adjusted Aggregate Nominal Amount and the Aggregate Nominal Realisation 

Amount shall be increased pro rata to the number of Notes being issued and the Issuer 

shall procure all such further actions as are required pursuant to the Conditions in 

connection with the acquisition of Collateral, creation of security or otherwise. 

For the avoidance of doubt, the outstanding nominal amount of each Note shall not be 

affected by any such cancellation or further issue. 

33

ANNEX 2 

FORM OF CREDIT DEFAULT SWAP 

CONFIRMATION 

DATE: 7 February 2006 

TO: 

Claris Limited 

22 Grenville Street 

St. Helier 

Jersey JE4 8PX 

Telephone No: +44 1534 609 000 

Facsimile No.: +44 1534 609 333 

Attention: The Directors 

FROM: 

Attention: 

SUBJECT: 


Tour Société Générale 

17 cours Valmy 

92987 Paris la Défense Cedex 

Telephone No: + 33 1 42 13 41 25 

Facsimile No: + 33 1 42 13 52 17 

OPER/DFI/TAU/EXO 

Credit Derivative Transaction 

REFERENCE NUMBER: Claris Limited 63/2006 

SG Internal reference number EXO-973327 

__________________________________________________________________________________ 

Dear Sirs, 

The purpose of this letter (this “Confirmation”) is to confirm the terms and conditions of the Credit 

Derivative Transaction entered into between us on the Trade Date specified below (the 

“Transaction”). This Confirmation constitutes a “Confirmation” as referred to in the Agreement 

specified below. The definitions and provisions contained in the 2003 ISDA Credit Derivatives 

Definitions (the “Credit Derivatives Definitions”), as published by the International Swaps and 

Derivatives Association, Inc., are incorporated into this Confirmation. In the event of any 

inconsistency between the Credit Derivatives Definitions and this Confirmation, this Confirmation 

will govern. 

This Confirmation supplements, forms part of and is subject to the agreement which arises pursuant to 

Part 5(d) of the Schedule to the ISDA Master Agreement (the “Agreement”) dated as of 1 April 2005 

entered into between you and us. All provisions contained in the Agreement shall govern this 

Confirmation except as expressly modified below. 

Reference is also made to the terms and conditions of the Series 63/2006 Tranche 1 EUR 25,000,000 

Napa Valley 2006-1 Synthetic CDO of ABS Floating Rate Notes due 2026 (the “Notes”) issued by 

you. Where the context so requires, capitalised terms shall bear the meaning attributed to them in the 

Notes. In the event of any inconsistency between the Notes and this Confirmation, this Confirmation 

will govern. 

34

The Terms of the Transaction to which this Confirmation relates are as follows: 

1. General Terms: 

Trade Date: 13 January 2006. 

Effective Date: 

Issue Date. 

Scheduled Termination Date: 7 February 2026. 

Termination Date: 

The Protection Buyer’s obligation to pay Fixed Amounts to 

the Protection Seller will terminate on the earliest of (i) the 

Scheduled Termination Date, (ii) the Revised Maturity Date 

(as defined in the terms and conditions of the Notes) and (iii) 

the Time Call Date (as defined below) in circumstances 

described more fully in “Optional Termination of the Default 

Swap” below, such earliest date being the “Termination 

Date”). 

The Protection Seller’s obligation to pay Cash Settlement 

Amounts and Net Rebate Amounts to the Protection Buyer 

will continue beyond the Scheduled Termination Date in 

respect of any ABS Reference Obligation for which: 

(i) 

(ii) 

the Conditions to Settlement have been satisfied; or 

a Potential ABS Failure to Pay has been notified, 

in each case, on or prior to the Latest Determination Time. 

Optional Termination of the Default 

Swap: 

The Protection Buyer has a right but not an obligation to 

terminate this Transaction in whole but not in part on any 

30 December, 30 March, 30 June and 30 September in each 

year, from and including 30 December 2008 (such date, the 

“Time Call Date”) by giving to the Issuer not less than 

4 Business Days’ prior written notice (the date such notice is 

given, the “Time Call Notice Date”), provided that such right 

may not be exercised by the Protection Buyer if its short term 

rating is, at the time of the relevant Time Call Notice Date, 

rated below P-1 by Moody’s or if its senior unsecured debt 

long term rating is rated below A1 by Moody’s, unless 

sufficient collateral has been posted by the Protection Buyer 

and, prior to such exercise, written confirmation has been 

received from the Rating Agency that the rating of the Notes 

has not been reduced or withdrawn as a result of insufficient 

collateral to make such call. 

For the avoidance of doubt, no Net Rebate Amount shall be 

payable on the Time Call Date and any Final Valuation Notice 

provided after the Time Call Notice Date shall be disregarded. 

The Protection Buyer’s obligation to pay Fixed Amounts and 

the Protection Seller’s obligation to pay Floating Amounts and 

Net Rebate Amounts to the Protection Buyer shall terminate 

on the Time Call Date if the Protection Buyer has exercised its 

right to terminate this Transaction on such date. 

Notwithstanding the above, the Protection Buyer shall be 

35

deemed to have exercised its right to terminate the Transaction 

if the Protection Buyer is required to but fails to post the 

Additional Collateral described at paragraph 8 below prior to 

the sixth Business Day prior to the Fixed Rate Payer Payment 

Date scheduled to fall on the Step Up Date. 

Floating Rate Payer: 

Fixed Rate Payer: 

Calculation Agent: 

Calculation Agent City: 

Portfolio Adjustment Agent: 

Portfolio Administrator 

Reference Entity: 

ABS Reference Entity: 

ABS Reference Obligation: 

Reference Obligation: 

Claris Limited (the “Protection Seller”). 

Société Générale (the “Protection Buyer”). 

Société Générale. 

New York, provided that any reference in Section 1.10 of the 

Credit Derivatives Definitions to “4:00 p.m.” and “Calculation 

Agent City Business Day” shall be replaced with a reference to 

“5:00 p.m.” and “Business Day”, respectively. 

Société Générale. 

The Bank of New York. 

As at the second Business Day prior to the Effective Date, any 

entity listed as such in Appendix A (or its Successor), and 

thereafter any entity (or its Successor) that is included in and 

has not been removed from the Reference Portfolio by virtue 

of the provisions of this Confirmation. 

Any Reference Entity, the Reference Obligation of which is an 

ABS Reference Obligation. 

As of the Effective Date any obligation in Appendix A, and 

thereafter any obligation that is included in and has not been 

removed from the Reference Portfolio by virtue of the 

Portfolio Adjustment provisions at paragraph 6 of this 

Confirmation. 

Each ABS Reference Obligation. 

Reference Price: 100%. 

Initial Portfolio Notional Amount: EUR 2,232,142,857. 

Portfolio Notional Amount: 

Business Day Convention: 

Business Days: 

As at any day, the sum of all Reference Obligation Notional 

Amounts as at the close of business on that day (after taking 

into account any Portfolio Adjustments occurring on that day). 

Following (which, unless otherwise specified, shall apply to 

any date referred to in this Confirmation that falls on a day that 

is not a Business Day). 

Paris, London, New York and TARGET Settlement Day. 

2. Fixed Payments, Additional Payments and Final Exchange: 

Fixed Rate Payer Calculation 

Amount: 

In respect of each Fixed Rate Payer Payment Date, an amount 

determined by the Calculation Agent on the applicable 

Payment Observation Date, equal to the sum of the Tranche 

Notional Amount for each day of the Fixed Rate Payer 

Calculation Period relating to such Fixed Rate Payer Payment 

Date (each such day a “Fixed Rate Calculation Date”) 

36

divided by the actual number of days in such Fixed Rate Payer 

Calculation Period, subject to a minimum of zero 

where: 

“Tranche Notional Amount” means, with respect to a Fixed 

Rate Calculation Date, an amount equal to the Initial Tranche 

Notional Amount minus the Aggregate Cash Settlement 

Amount as at that Fixed Rate Calculation Date. 

Notwithstanding Section 2.5 or Article V of the Credit 

Derivatives Definitions, the Fixed Amount payable by the 

Protection Buyer on the Fixed Rate Payer Payment Date (the 

“Bridge Date”) immediately following the Securities Maturity 

Date (as defined in the Conditions) shall be calculated in 

accordance with the Fixed Amount Adjustment Method 

provisions below. 

Fixed Rate payable by Protection 

Buyer: 

The sum of: (i) (a) 1.15 per cent. per annum with respect to 

each Fixed Rate Payer Calculation Period from and including 

the Fixed Rate Payer Calculation Period scheduled to 

commence on (and include) the Effective Date to and 

including the Fixed Rate Payer Calculation Period scheduled 

to end on (but exclude) 7 February 2013 (the “Step Up Date”) 

or (b) 2.00 per cent. per annum with respect to each Fixed Rate 

Payer Calculation Period from and including the Fixed Rate 

Payer Calculation Period scheduled to commence on (and 

include) the Step Up Date to and including the Fixed Rate 

Payer Calculation Period scheduled to end on (but exclude) the 

Scheduled Termination Date and (ii) the Deposit Margin (as 

defined in the Deposit Agreement), multiplied by the nominal 

amount of the Main Deposit divided by the Tranche Notional 

Amount, such Deposit Margin being notified by the Protection 

Seller to the Protection Buyer, 

Provided that the Fixed Rate payable by the Protection Buyer 

shall not exceed 2.45 per cent. per annum prior to the Step Up 

Date and 3.15 per cent. per annum thereafter or be less than 

zero. 

Fixed Rate Payer Payment Dates: 

Payment Observation Date: 

Fixed Rate Payer Calculation 

Period: 

Fixed Rate Payer Period End Dates: 

Fixed Rate Day Count Fraction: 

Each Fixed Rate Payer Period End Date. 

With respect to any Fixed Rate Payer Payment Date, the date 

occurring 2 Business Days prior to that Fixed Rate Payer 

Payment Date. 

Each period from, and including, one Fixed Rate Payer Period 

End Date to, but excluding, the next following Fixed Rate 

Payer Period End Date, except that (a) the initial Fixed Rate 

Payer Calculation Period will commence on, and include, the 

Effective Date, and (b) the final Fixed Rate Payer Calculation 

Period will end on, but exclude, the Termination Date. 

7 February, 7 May, 7 August and 7 November in each year, 

from and including 7 May 2006. 

Actual/360. 

37

Fixed Amount Adjustment Method: 

If the Calculation Agent determines in its sole discretion that, 

as at the Bridge Date, the Hedging Interest Amount does not 

equal the Interest Amount (as defined in the Conditions) 

payable in respect of the Notes on the Interest Payment Date 

on which the Bridge Date falls, then the Calculation Agent 

shall give written notice to the Protection Buyer and the 

Protection Seller (with a copy to the Issuing and Paying 

Agent) of such fact. Such notice shall include details of the 

relevant Interest Amount, the Hedging Interest Amount and 

the Bridge Shortfall. 

If the sum of the Bridge Shortfall and the Scheduled Fixed 

Amount is greater than zero, the Fixed Amount payable by the 

Protection Buyer on the Bridge Date shall be such sum. 


Amount is less than zero, then 

(a) 

(b) 

the Fixed Amount on the Bridge Date shall be deemed 

to be zero; and 

the Protection Seller shall on the Bridge Date pay the 

product of (i) the sum of the Bridge Shortfall and the 

Scheduled Fixed Amount and (ii) negative one (-1) to 

the Protection Buyer. 


Amount is equal to zero, the Fixed Amount on the Bridge Date 

shall be deemed to be zero. 

For these purposes: 

“Bridge Shortfall” means an amount, which may be positive 

or negative, equal to (a) the Interest Amount would be payable 

in respect of the Notes on the Bridge Date (ignoring any 

amounts payable under paragraph 18(xiv)(2) of the Offering 

Circular Supplement on such date, and assuming that the 

Notional Reduction Amount, as defined in paragraph 8 of the 

Offering Circular Supplement is zero on each relevant 

Calculation Date in Interest Period relating to such Interest 

Amount) minus (b) the Hedging Interest Amount. 

“Final IRS Amount” means the Floating Amount (as defined 

in the Interest Rate Swap) paid by Société Générale (or any 

Eligible Transferee as defined in the Interest Rate Swap) on 

the Termination Date of the Interest Rate Swap. 

“Hedging Interest Amount” means the sum of (a) the 

Scheduled Fixed Amount and (b) the Final IRS Amount and 

(c) the Floating Rate Interest Amount payable on the Bridge 

Date pursuant to the Deposit Agreement. 

“Scheduled Fixed Amount” means the Fixed Amount that 

would otherwise be payable by the Protection Buyer on the 

Bridge Date if it were not for these Fixed Amount Adjustment 

Method provisions. 

38

Additional Fixed Payment: 

Final Exchange Payer: 

Final Exchange Payer Amount: 

In addition to the obligation of the Protection Buyer to pay 

Fixed Amounts on the Fixed Rate Payer Payment Dates, the 

Protection Buyer shall on the Issue Date of the Notes pay to 

the Protection Seller EUR 49,995.73. 

Buyer or Seller (as set out in Final Exchange Payer Amount 

below). 

In the event that the Issuer exercises, or is deemed to have 

exercised, its Call Option (as described in the Offering 

Circular Supplement with respect to the Notes), an amount 

equal to the difference between (i) the sum of the Call 

Redemption Proceeds and the Interest Rate Swap Termination 

Payment and (ii) the Optional Redemption Amounts payable 

under the Notes will be paid from the Protection Seller to the 

Protection Buyer (in the event that such sum as described in (i) 

above exceeds the Optional Redemption Amounts payable 

under the Notes) or paid from the Protection Buyer to the 

Protection Seller (in the event that such sum as described in (i) 

above is less than the Optional Redemption Amounts payable 

under the Notes). 

Where: 

“Interest Rate Swap Termination Payment” means any 

termination payments payable under Section 6(e) of the 

Agreement in the event the Interest Rate Swap is terminated 

pursuant to the provisions of the Interest Rate Swap following 

an exercise by the Protection Buyer of its option described at 

“Optional Termination of the Default Swap” above, with 

termination payments payable by the fixed rate payer of the 

Interest Rate Swap expressed as a negative number and 

termination payments payable by the floating rate payer of the 

Interest Rate Swap expressed as a positive number. 

Final Exchange Payer Payment 

Dates: 

On the Optional Redemption Date (as defined in the Offering 

Circular Supplement). 

3. Floating Payments: 

Conditions to Settlement: 

In respect of each ABS Reference Obligation: 

Credit Event Notice 

Notifying Party: Protection Buyer 

Notice of Publicly Available Information: Applicable 

For the avoidance of doubt, the Conditions to Settlement may 

be satisfied more than once in relation to this Transaction, but 

once only in respect of any one ABS Reference Obligation 

provided that, in the event a Credit Event occurs in respect of 

an ABS Reference Entity where there is more than one ABS 

Reference Obligation of such ABS Reference Entity in the 

Reference Portfolio at such time, the Conditions to Settlement 

may be satisfied in respect of each such ABS Reference 

Obligation. 

39

Event Determination Date: 

Credit Event Notice: 

Notice Delivery Period: 

Credit Events: 

In respect of an ABS Reference Obligation, the first date on 

which the Credit Event Notice including Publicly Available 

Information is effective and Section 1.8 of the Credit 

Derivatives Definitions shall not apply. 

The Protection Buyer shall, upon the delivery of a Credit 

Event Notice in accordance with the Credit Derivatives 

Definitions as amended by this Confirmation, procure that a 

copy of such Credit Event Notice is delivered to the 

Calculation Agent, the Portfolio Administrator and the Rating 

Agency. For the avoidance of doubt, such additional delivery 

shall not constitute a Condition to Settlement. 

Section 1.9 of the Credit Derivatives Definitions shall not 

apply and “Notice Delivery Period” shall mean the period 

from and including the Effective Date to and including the 

Latest Determination Time provided that a Credit Event 

Notice may be delivered after the Latest Determination Time 

in respect of any ABS Reference Obligation for which a 

Potential ABS Failure to Pay has been notified on or before 

the Latest Determination Time. 

In respect of each ABS Reference Obligation: 

ABS Failure to Pay Interest 

ABS Failure to Pay Principal 

ABS Notional Writedown 

Downgrade Event 

ABS Payment Requirement: USD 10,000 

Notwithstanding Section 3.3 of the Credit Derivatives 

Definitions, an event shall not constitute a Credit Event unless 

it occurs at or before the Latest Determination Time provided 

that the occurrence of an ABS Failure to Pay Interest or an 

ABS Failure to Pay Principal after the Latest Determination 

Time shall constitute a Credit Event if the notice of the 

Potential ABS Failure to Pay resulting in such ABS Failure to 

Pay Interest or such ABS Failure to Pay Principal was 

provided at or before the Latest Determination Time. 

Latest Determination Time: 

Obligations: 

5:00 p.m. (Paris time) on the second Business Day preceding 

the Scheduled Termination Date. 

Reference Obligations Only. 

4. Settlement Terms: 

Settlement Method: 

Cash Settlement Amount: 

Cash Settlement. 

As determined on a Final Valuation Notice Receipt Date, the 

Cash Settlement Amount shall be the product of the Factor 

multiplied by: 

(a) 

zero, if the Aggregate Loss Amount as at that Final 

Valuation Notice Receipt Date is less than or equal to 

40

the Threshold, or 

(b) 

(c) 

the excess of the Aggregate Loss Amount over the 

Threshold, if in respect of the immediately preceding 

Final Valuation Notice Receipt Date the Aggregate 

Loss Amount did not exceed the Threshold, or 

the Loss Amount, in all other circumstances, 

provided that in no event shall the Aggregate Cash Settlement 

Amount exceed the Initial Tranche Notional Amount. In the 

event the Aggregate Cash Settlement Amount so calculated 

would exceed the Initial Tranche Notional Amount, the last 

Cash Settlement Amount shall be reduced so that the 

Aggregate Cash Settlement Amount equals the Initial Tranche 

Notional Amount. 

Aggregate Cash Settlement Amount: 

Subject to paragraph 13 below: 

(a) 

(b) 

prior to the date on which any Cash Settlement 

Amount has been specified in a Final Valuation 

Notice, zero; and 

thereafter, on a Final Valuation Notice Receipt Date, 

an amount equal to the sum of the Aggregate Cash 

Settlement Amount immediately prior to such Final 

Valuation Notice Receipt Date and the sum of all Cash 

Settlement Amounts specified in the Final Valuation 

Notice relating to such Final Valuation Notice Receipt 

Date. 

Cash Settlement Date: 

Net Rebate Amount: 

Five Business Days following a Final Valuation Notice 

Receipt Date. 

On the Cash Settlement Date, the Protection Seller shall also 

pay to the Protection Buyer in respect of each Reference 

Obligation in respect of which a Cash Settlement Amount is to 

be paid on such Cash Settlement Date an amount determined 

by the Calculation Agent in its sole and absolute discretion as 

being equal to: 

(i) 

the amount of interest that would have been payable 

under the Notes in respect of the Interest Periods 

relating to all Payment Observation Dates occurring in 

the period from and including the relevant Event 

Determination Date relating to such Cash Settlement 

Amount to and including the Payment Observation 

Date immediately following the date on which such 

Cash Settlement Amount was determined, had the 

related Event Determination Date not occurred; 

minus 

(ii) 

the amount of interest that would have been calculated 

as payable under the Notes on all such Payment 

Observation Dates had such Cash Settlement Amount 

been determined and known as at such Event 

41

Determination Date, 

plus 

(iii) 

an amount determined by the Calculation Agent in its 

sole and absolute discretion as being equal to the 

amount of interest received by the Issuer pursuant to 

the Deposit Agreement (as defined in paragraph 

22(vii) of the Offering Circular Supplement) to the 

extent that such amount of interest received is 

attributable to an amount equal to the difference 

between the amounts described in (i) and (ii) above, 

(such sum the Net Rebate Amount), which shall be notified by 

the Calculation Agent to the Protection Buyer after the Final 

Valuations Notice Receipt Date and prior to the Cash 

Settlement Date, subject to a minimum of zero. 

Initial Tranche Notional Amount: Subject to paragraph 13 below, EUR 25,000,000. 

Tranche Size: 

1.12 per cent. 

Threshold: EUR 2,901,786. 

Aggregate Loss Amount: 

Subject to paragraph 13 below: 

(a) 

(b) 

prior to the date on which any Loss Amount has been 

specified in a Final Valuation Notice, zero; and 

thereafter, on a Final Valuation Notice Receipt Date, 

an amount equal to the sum of (i) the sum of all Loss 

Amounts that have been specified in Final Valuation 

Notice(s) prior to but not on such Final Valuation 

Notice Receipt Date; and (ii) the sum of all Loss 

Amounts specified in the Final Valuation Notice 

relating to such Final Valuation Notice Receipt Date. 

Loss Amount: 

Adjusted Reference Obligation 

Notional Amount: 

In respect of a Final Valuation Notice Receipt Date for each 

ABS Reference Obligation in respect of which an Event 

Determination Date has occurred and which has not previously 

been taken into account in the calculation of a Loss Amount, 

the greater of (i) the product of the Adjusted Reference 

Obligation Notional Amount for that ABS Reference 

Obligation and the excess of the Reference Price over the Final 

Price for that ABS Reference Obligation and (ii) zero. 

With respect to an ABS Reference Obligation that has been the 

subject of an Event Determination Date, an amount equal to 

the Reference Obligation Notional Amount at the date 

immediately preceding the Event Determination Date less the 

aggregate amount of all cash distributions made to a holder of 

such ABS Reference Obligation up to and including such time, 

which are paid in respect of principal in relation to an amount 

of such ABS Reference Obligation with a principal amount 

outstanding, at the date immediately preceding the Event 

Determination Date, equal to the Reference Obligation 

Notional Amount of such ABS Reference Obligation. 

42

Factor: 

Valuation: 

Final Price: 

The quotient of (a) the Initial Tranche Notional Amount 

divided by (b) the product of (i) the Tranche Size multiplied 

by (ii) the Initial Portfolio Notional Amount. 

Sections 7.4, 7.5, 7.7, 7.8 and 7.10 of the Credit Derivatives 

Definitions shall not apply. 

The Calculation Agent will determine the Final Price 

(expressed as a percentage of the relevant principal amount 

rounded up to four decimal places) in respect of each ABS 

Reference Obligation as follows: 

The Calculation Agent will attempt to obtain Full Quotations 

from at least five Quotation Dealers on the Initial Valuation 

Date. 

If the Calculation Agent obtains at least two Full Quotations 

on the Initial Valuation Date, the Final Price will, subject to 

the following paragraph, be the highest such Full Quotation. 

If (a) the Calculation Agent is unable to obtain at least two 

Full Quotations on the Initial Valuation Date or (b) the highest 

Full Quotation determined as detailed above on the Initial 

Valuation Date would otherwise be below the Moody’s 

Expected ABS Recovery Rate such Full Quotation shall not 

constitute the Final Price. In these circumstances, the 

Calculation Agent shall attempt to obtain Full Quotations from 

at least five Quotation Dealers on the day falling one calendar 

month after the Initial Valuation Date and on each day falling 

one calendar month thereafter (or, in the case where such day 

is not a Business Day, the first Business Day falling after such 

date) (each, an “Interim Valuation Date”) until and including 

the earlier to occur of (i) the date on which more than two Full 

Quotations are obtained and the highest such Full Quotation is 

equal to or higher than the Moody’s Expected ABS Recovery 

Rate (in which case, such highest Full Quotation shall 

constitute the Final Price) or (ii) the date falling 12 calendar 

months after the Initial Valuation Date. 

If no Final Price has been determined as set out above, the 

Calculation Agent shall attempt to obtain Full Quotations from 

at least five Quotation Dealers on the day falling 13 calendar 

months following the Initial Valuation Date (the “Final 

Valuation Date”) and the Final Price in respect of the relevant 

Reference Obligation shall be the price determined by the 

Calculation Agent as follows: 

(a) 

(b) 

(c) 

if the Calculation Agent obtains at least two Full 

Quotations on the Final Valuation Date, the Final 

Price will be the highest of such Full Quotations; or 

if the Calculation Agent is unable to obtain at least 

two Full Quotations on the Final Valuation Date but 

obtains one Full Quotation, the Final Price shall be 

such Full Quotation; 

if the Calculation Agent is unable to obtain at least one 

43

Full Quotation, the Final Price shall be the weighted 

average of firm quotations obtained from Quotation 

Dealers on the Final Valuation Date, to the extent 

reasonably practicable, each for an amount of the ABS 

Reference Obligation with an outstanding principal 

balance of as large a size as available but less than the 

Quotation Amount that in aggregate are approximately 

equal to the Quotation Amount; or 

(d) 

if the Calculation Agent is unable to obtain at least one 

firm quotation, the Final Price shall be deemed to be 

zero. 

Full Quotation: Firm bid quotation for the relevant Reference 

Obligation with an outstanding principal amount, excluding 

accrued interest, less than or equal to the Adjusted Reference 

Obligation Notional Amount or its equivalent in the currency 

of the Reference Obligation (the “Quotation Amount”). 

Quotation Dealers: 

With respect to an ABS Reference Obligation, at least five 

dealers (each a “Quotation Dealer”) determined in 

accordance with (a) through (d) below, from which the 

Calculation Agent shall attempt to obtain quotations in the 

order specified: 

(a) 

(b) 

(c) 

(d) 

the arranger of the ABS Reference Obligation in 

respect of which a Quotation is being sought; 

any lead and co-lead managers in respect of such ABS 

Reference Obligation; 

any other participant in the asset backed security 

market that is, in the opinion of the Calculation Agent, 

of recognised good standing in such market and in the 

leading 10 institutions in such market as named by a 

market source; and 

any other institution as determined by the Calculation 

Agent. 

In connection with any requests for quotations in respect of an 

ABS Reference Obligation, the Calculation Agent may, but 

shall not be required to, inform the relevant Quotation Dealers 

of the occurrence and nature of the relevant Credit Event and 

the circumstances under which such Credit Event occurred. 

The Calculation Agent or the Protection Buyer may constitute 

a Quotation Dealer provided that any Quotation obtained from 

the Calculation Agent or the Protection Buyer shall not be 

taken into account for the purposes of any requirement to 

obtain Quotations from a specified number of Quotation 

Dealers. For the avoidance of doubt, any bid quotation 

provided by the Calculation Agent or the Protection Buyer 

shall be the quotation it would provide to a counterparty in the 

market, as determined in its sole and absolute discretion. 

Final Valuation: 

The Calculation Agent (on behalf of Protection Buyer) will 

send a Final Valuation Notice to the Protection Seller, with a 

44

copy to the Clearing System, the Protection Buyer, the Rating 

Agency and the Portfolio Administrator, within 5 Business 

Days of determining a Final Price. 

Notice and Account Details: 

Contact Details for Notices: 

Protection Buyer: 

Tour Société Générale 

17 cours Valmy 

92987 Paris La Défense Cedex 

Telephone No: + 33 1 42 13 31 60 

Facsimile No: + 33 1 42 13 44 17 

Attention: Sovanna Menigoz 

OPER/DFI/TAU/EXO 

Protection Seller: 

HSBC Bank plc 

(as Notice Agent) 

8 Canada Square 

London E14 5HQ 

Facsimile No: + 44 20 7260 8932 

Attention: 

Corporate Trust and Loan Agency, 

the Manager, BPA Desk 

cc: Claris Limited 


St. Helier 


Facsimile No: + 44 1534 609 333 

Attention: Company Secretary 

Account Details: 


For the Account of: Société Générale Paris 

Name of Bank: Société Générale, Paris 

Ref: 

OPER/DFI/TAU/MID/PRO 

SWIFT Code: SOGEFRPPHCM 


For the Account of: Claris Limited 

Name of Bank: HSBC Bank plc 

Account number: 57524703 

SWIFT Code: MIDLGB22 

Ref: Claris Series 63/2006 

45

Offices: 


Paris 


St. Helier, Jersey 

5. The Reference Portfolio 

The reference portfolio (the “Reference Portfolio”) shall as at the Effective Date consist of the 

Reference Obligations listed in Appendix A (the “Initial Reference Portfolio”). Thereafter, in 

respect of any date, the Reference Portfolio shall comprise the Initial Reference Portfolio as amended 

by any Portfolio Adjustments that have been effected by the Portfolio Adjustment Agent from and 

including the Effective Date to and including such date. 

The Portfolio Administrator shall on the Issue Date of the Notes confirm whether the Initial Reference 

Portfolio complies with the Portfolio Adjustment Rules. 

6. Portfolio Adjustments 

6.1 Ability to effect Portfolio Adjustment 

On each Business Day following the Effective Date up to and including the date falling ten Business 

Days prior to the Fixed Rate Payer Payment Date scheduled to fall on the Step Up Date (each a 

“Portfolio Adjustment Date”), the Portfolio Adjustment Agent may, subject to the Procedure for 

Portfolio Adjustments referred to below, effect any of the following modifications to the Reference 

Portfolio (each a “Portfolio Adjustment”): 

(a) 

(b) 

remove the whole or any part of an ABS Reference Obligation from the Reference 

Portfolio (a “Removal”), provided that (1) with respect to any Removal occurring 

after the Last Ramp-Up Date, the Portfolio Adjustment Agent may not effect any 

Removal where the relevant removal of ABS Reference Obligations from the 

Reference Portfolio would result in the cumulative total of the Reference Obligation 

Notional Amounts (or parts thereof) of all ABS Reference Obligations removed from 

the Reference Portfolio (i) after but excluding the Last Ramp-Up Date and (ii) in the 

calendar year in which such Portfolio Adjustment Date falls (pursuant to all 

Removals) but (iii) excluding the unamortised portion of the Reference Obligation 

Notional Amount of any ABS Reference Obligation which has been or is the subject 

of a Removal and which has been or is the subject of a Replenishment in respect of 

the amortised portion of its Reference Obligation Notional Amount, exceeding 20 per 

cent. of the Initial Portfolio Notional Amount; and (2) the Portfolio Adjustment Rules 

are met in respect of the Reference Portfolio as of the relevant Portfolio Adjustment 

Date (and after taking into account (i) the ABS Reference Obligation to be removed, 

(ii) any other ABS Reference Obligations removed on such Portfolio Adjustment 

Date pursuant to this section and (iii) any ABS Reference Obligations added on such 

Portfolio Adjustment Date pursuant to Replenishments); 

add new ABS Reference Obligations to the Reference Portfolio (a “Replenishment”) 

to replace, in whole or in part, any Reference Obligation whose Reference Obligation 

Notional Amount has either been reduced or removed following a Removal with any 

replacement ABS Reference Obligation, provided that the Portfolio Adjustment Rules 

are met in respect of the Reference Portfolio as of the relevant Portfolio Adjustment 

Date (after taking into account (i) the ABS Reference Obligation to be added, (ii) any 

other ABS Reference Obligations added on such Portfolio Adjustment Date pursuant 

to this section and, (iii) any ABS Reference Obligations removed on such Portfolio 

46

Adjustment Date pursuant to Removals). For the avoidance of doubt, an ABS 

Reference Obligation may be added to the Reference Portfolio under this section in 

circumstances where the ABS Reference Obligation to be replaced has been (A) 

amortised, repaid or cancelled (in whole or in part) or (B) removed pursuant to (a) 

above (in whole or in part), but not in circumstances where the ABS Reference 

Obligation has been removed from the Reference Portfolio (or had its Reference 

Obligation Notional Amount reduced) as a consequence of an Event Determination 

Date in respect thereof. In the event that the Portfolio Adjustment Agent specifies 

that “Automatic Replenishment” is to apply in relation to any ABS Reference 

Obligation, such ABS Reference Obligation will, upon any amortisation, repayment 

or cancellation in part of such ABS Reference Obligation be deemed to be 

automatically subject to a Replenishment of such ABS Reference Obligation in an 

amount equal to such amortisation, repayment or cancellation. The Portfolio 

Adjustment Agent may by notice to the Portfolio Administrator, at any time specify 

that an ABS Reference Obligation in the Reference Portfolio is to either (i) cease to 

be subject to or (ii) become subject to, Automatic Replenishment. 

For the avoidance of doubt, the Portfolio Adjustment Agent may effect one or a group of more than 

one Portfolio Adjustments at any one time. 

The Portfolio Adjustment Agent may not effect a Portfolio Adjustment or group of Portfolio 

Adjustments if such Portfolio Adjustment or group of Portfolio Adjustments, as appropriate, fails to 

comply with the Portfolio Adjustments Rules set out in Part I of Appendix B. 

For the purpose of this paragraph 6.1, “Last Ramp-Up Date” means the Fixed Rate Payer Payment 

Date scheduled to fall on 7 February 2007. 

6.2 Procedure for Portfolio Adjustments 

The Portfolio Adjustment Agent shall deliver a written notice (a “Portfolio Adjustment Notice”) 

(substantially in the form as set out in Part II of Appendix B) to the Portfolio Administrator of its 

intention to make a Portfolio Adjustment. A Portfolio Adjustment Notice shall, in respect of each 

ABS Reference Obligation that is the subject of the proposed Portfolio Adjustment, identify the 

following: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

(j) 

(k) 

(l) 

whether the proposed Portfolio Adjustment is a Replenishment or Removal; 

the name of the ABS Reference Entity; 

the name of the ABS Reference Obligation; 

the ISIN code in respect of the relevant ABS Reference Obligation; 

the Moody’s Rating or the Equivalent Moody’s Rating of such ABS Reference Obligation at 

the Portfolio Adjustment Date; 

the Predominant Domicile of the Underlying Assets; 

the Reference Obligation Notional Amount; 

the Moody’s ABS Classification; 

the Moody’s Expected ABS Recovery Rate; 

in the case of a Replenishment, the Weighted Average Life of such ABS Reference 

Obligation at the time of the Replenishment; 

the Key Agent; 

the Haircut of such ABS Reference Obligation determined according to Moody’s Liquidity 

47

Haircut Table shown in Appendix C Part I; 

(m) 

(n) 

(o) 

(p) 

the Initial Rating; 

the Tranche Weighting; 

the Adjusted Rating; and 

the ABS Issue Date. 

The Portfolio Administrator shall, not later than one Business Day prior to the relevant Portfolio 

Adjustment Date, confirm that the proposed Portfolio Adjustment complies with the Portfolio 

Adjustment Rules by sending to the Portfolio Adjustment Agent an Adjustment Acknowledgement 

Notice (substantially in the form as set out in Part III of Appendix B). 

No Portfolio Adjustment shall be effective unless the Portfolio Administrator has confirmed that the 

proposed Portfolio Adjustment complies with the Portfolio Adjustment Rules on or before the 

relevant Portfolio Adjustment Date. 

6.3 Reporting 

The Portfolio Administrator shall keep a record of all Portfolio Adjustments to the Reference 

Portfolio and maintain a register recording the composition of the Reference Portfolio at any time, 

including: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

(j) 

(k) 

(l) 

(m) 

(n) 

(o) 

(p) 

the name of each ABS Reference Entity; 

the name of each ABS Reference Obligation; 

the ISIN code in respect of each ABS Reference Obligation; 

the current Moody’s Rating or Equivalent Moody’s Rating of each ABS Reference 

Obligation; 

the Adjusted Rating of each ABS Reference Obligation; 

the Initial Rating of each ABS Reference Obligation; 

the Predominant Domicile of the Underlying Assets in respect of each ABS Reference 

Obligation; 

the Reference Obligation Notional Amount in respect of each ABS Reference Obligation; 

the Moody’s ABS Classification in respect of each ABS Reference Obligation; 

the Key Agent in respect of each ABS Reference Obligation; 

the Moody’s Expected ABS Recovery Rate in respect of each ABS Reference Obligation; 

in the case of each Replenishment, the Weighted Average Life of the ABS Reference 

Obligation at the time of such Replenishment ; 

details of all Replenishments and Removals; 

the Tranche Weighting of each ABS Reference Obligation; 

the Haircut of each ABS Reference Obligation determined according to Moody’s Liquidity 

Haircut Table shown in Appendix C Part I; and 

the ABS Issue Date of each ABS Reference Obligation. 

The Calculation Agent (on behalf of the Protection Buyer) will send the Moody’s Input to Moody’s at 

48

monitor.paris@moodys.com within 5 Business Days of the last Business Day in each calendar month. 

6.4 Identical Management 

Each of the parties hereto acknowledges and agrees that the Reference Portfolio will be identically 

managed in relation to this Transaction and the Related Transactions. Any Portfolio Adjustment to 

the Reference Portfolio in relation to this Transaction shall also be a Portfolio Adjustment for the 

purposes of the Reference Portfolio in relation to each of the Related Transactions. 

7. Amendments to Agreement 

(a) 

For the purposes of this Group of Transactions (as defined in the Agreement), this 

Transaction, the Interest Rate Swap and the Credit Support Annex, Section 5(a)(vii) of the 

Agreement shall be amended with respect to the Protection Seller, by: 

(i) deleting each occurrence of the words “insolvency or” from sub-paragraph (4); 

(ii) deleting the words “seeks or” and “trustee, custodian” from sub-paragraph (6); 

(iii) 

(iv) 

(v) 

deleting sub-paragraph (7) in its entirety; 

replacing the number “(7)” with “(6)” in sub-paragraph (8); and 

deleting sub-paragraph (9) in its entirety. 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex, 

Section 2(c)(ii) of the Agreement shall not apply. 

If and for so long as the Protection Buyer has Posted Collateral in accordance with paragraph 

8 below, Section 5(a)(i) of the Agreement shall be deleted with respect to the Protection 

Buyer and this Transaction. 

For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex 

only, Section 2(a)(iii) of the Agreement shall be amended with respect to the Protection Buyer 

only by deleting the words “or Potential Event of Default”. 

For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex 

only, Section 3 of the Agreement shall be amended with respect to the Protection Seller only 

by, the deletion of the words “or Potential Event of Default” from paragraph (b). 

For the avoidance of doubt, in the event that the Protection Buyer fails to make payment of 

any Fixed Amount on any Fixed Rate Payer Payment Date, such failure shall not constitute a 

Failure to Pay or Deliver Event of Default under Section 5(a)(i) of the Agreement if and to the 

extent a corresponding Return Amount (as defined in the Credit Support Annex) is due to be 

transferred from the Transferee (as defined in the Credit Support Annex) to the Transferor (as 

defined in the Credit Support Annex) on such Fixed Rate Payer Payment Date (as more 

particularly described in the Credit Support Annex) or if the Transferor’s Credit Support 

Balance is reduced to satisfy or discharge any amount the Transferor is required to pay to the 

Transferee (as more particularly described in the Credit Support Annex), and the obligations 

of the Protection Buyer, the Transferor and the Transferee to make any such payment and 

transfer as described above shall be satisfied and discharged pursuant to Section 2(c) of the 

Agreement. 


Part 5(a) of the Schedule to the Agreement shall be replaced with the following: 

“(a) 

Gross Up 

49

In respect of any payment to be made by Party A, no Tax shall constitute an 

Indemnifiable Tax if such Tax arises as a result of a Change in Tax Law. In respect 

of any payment to be made by Party B, no Tax shall constitute an Indemnifiable 

Tax.” 

(h) 

(i) 

(j) 


Section 5(b)(ii)(x) of the Agreement shall not apply with respect to Party A provided that if 

Section 5(b)(ii)(x) would, but for the operation of this paragraph 7(h) apply to Party A, Party 

A may transfer (at its own cost and expense) all its rights and obligations under the 

Agreement in respect of this Transaction, the Interest Rate Swap and the Credit Support 

Annex to another of its Offices or Affiliates so that Section 5(b)(ii)(x) (assuming Section 

5(b)(ii)(x) would, but for the operation of this paragraph 7(h) apply to Party A) ceases to 

apply to Party A provided that, if Party A effects such a transfer, a “Misrepresentation” Event 

of Default under Section 5(a)(iv) shall be deemed not to have occurred to Party A and 

provided further that Party A shall be liable to reimburse Party B for all costs and expenses 

incurred by Party B in effecting such transfer by Party A. 

Notwithstanding anything to the contrary in the Agreement (including, for the avoidance of 

doubt, Section 6(d)), for the purposes of this Transaction, the Interest Rate Swap and the 

Credit Support Annex only, in the event that an Early Termination Date is designated or 

occurs other than as a result of an Event of Default or Termination Event with respect to 

which the Protection Seller is the Defaulting Party or an Affected Party, as the case may be, 

any amount payable by the Protection Seller to the Protection Buyer under Section 6(e) shall 

not be payable until the Business Day immediately following the Maturity Date (as defined in 

the terms and conditions to the Notes). 

Notwithstanding Part 1(i) of the Schedule to the Agreement, Section 5(b)(iii)(Tax Event Upon 

Merger) shall apply to Party B provided that, following the occurrence of a Tax Event Upon 

Merger, Party A shall, notwithstanding the provisions of Section 6(b)(ii)(Transfer to Avoid 

Termination Event) of the Agreement, use all reasonable efforts (which shall not require Party 

A to incur a loss, excluding immaterial, incidental expenses) to transfer all of its rights and 

obligations under this Confirmation to another of its Offices or Affiliates so that such Tax 

Event Upon Merger ceases to exist. As long as Party A has not effected such a transfer, then 

notwithstanding the provisions of Part 5(a) (Gross Up) of the Schedule to the Agreement, the 

provisions of Section 2(d)(i)(4) (Deduction or Withholding for Tax) of the Agreement shall, 

notwithstanding Part 5(a)(Gross Up) of the Schedule, apply unamended in respect of all 

payments to be made by Party A to Party B in connection with this Confirmation and if Party 

A fails to so gross up, a Termination Event shall be deemed to have occurred with Party A as 

the sole Affected Party. 

8. Replacement of Protection Buyer 

In the event that the Moody’s short term issuer credit rating of the Protection Buyer falls below 

Prime-1 or the Moody’s senior unsecured debt long term rating of the Protection Buyer falls below 

A1 (the date on which either such rating falls below Prime-1, or A1 as the case may be, the 

“Downgrade Date”), the Protection Buyer may either: 

(a) 

(b) 

transfer its obligations in respect of this Transaction to a financial institution (an “Eligible 

Transferee”), the short term issuer credit rating and senior unsecured debt long term rating of 

which by Moody’s is equal to or higher than Prime-1 and A1 respectively, and which has 

entered into a credit support annex substantially the same as the Credit Support Annex, 

subject to Rating Agency Confirmation that the then current rating of the Notes will not be 

adversely affected; or 

procure that its obligations in respect of this Transaction are guaranteed in favour of the 

Protection Seller by a guarantor (an “Eligible Guarantor”), the short term issuer credit rating 

and senior unsecured debt long term rating of which by Moody’s is equal to or higher than 

50

Prime-1 and A1 respectively, subject to Rating Agency Confirmation that the then current 

rating of the Notes will not be adversely affected. 

If the Protection Buyer fails to satisfy either of paragraphs (a) or (b) above within 30 calendar days of 

the Downgrade Date, the Protection Buyer shall immediately post cash (such posting, a “Posting” and 

the date of such Posting, the “Posting Date”) to the Protection Seller of an amount equal to all Fixed 

Amounts payable but not yet paid by the Protection Buyer from and including the Downgrade Date to 

and including the Fixed Rate Payer Payment Date scheduled to fall on the Step Up Date (such 

amount, the “Collateral”), subject to the terms of the Credit Support Annex attached to the 

Agreement (including any terms relating to the return of such Collateral as more particularly 

described therein). 

In addition, if the Protection Buyer has still not satisfied either of paragraphs (a) or (b) above and has, 

on the date that is 6 Business Days prior to the Step Up Date, a short term issuer credit rating and 

senior unsecured debt long term rating of less than Prime-1 or A1 respectively, the Protection Buyer 

shall post cash of an amount equal to all Fixed Amounts payable but not yet paid by the Protection 

Buyer from and excluding the Step Up Date to and including the Scheduled Maturity Date (such 

amount, the “Additional Collateral”), subject to the terms of the Credit Support Annex attached to 

the Agreement (including any terms relating to the return of such Additional Collateral as more 

particularly described therein). 

Notwithstanding the above, for the purposes of calculating the Collateral and the Additional 

Collateral: 

(i) 

(ii) 

(iii) 

the Deposit Margin, as defined in the Deposit Agreement, shall be deemed to be 1 per cent. 

per annum; 

the Fixed Amount Adjustment Method provisions shall apply; and 

in the case of a Downgrade Date that occurs prior to the Securities Maturity Date, the Bridge 

Shortfall shall be deemed to be zero. 

On any day following the Posting Date, the Protection Buyer may, notwithstanding any Posting, 

transfer to an Eligible Transferee or procure the guarantee by an Eligible Guarantor of its obligations 

in respect of this Transaction in accordance with paragraphs (a) and (b) above. Upon the satisfaction 

of such provisions, any Collateral or Additional Collateral posted by the Protection Buyer pursuant to 

the terms above in this paragraph 8 shall be returned to the Protection Buyer, in accordance with the 

terms of the Credit Support Annex attached to the Agreement. 

In the event that a Downgrade Date occurs and the Protection Buyer recovers, where applicable, a 

short term issuer credit rating and a senior unsecured debt long term rating of at least Prime-1 and A1 

respectively, then any Collateral or Additional Collateral previously posted by the Protection Buyer 

shall be transferred back to the Protection Buyer in accordance with the terms of the Credit Support 

Annex, provided, for the avoidance of doubt, that this paragraph 8 will apply in the event a 

Downgrade Date following such recovery subsequently occurs. 

For the purposes of determining the rating of the Protection Buyer pursuant to this paragraph 8, the 

rating of the Protection Buyer shall be the higher of the rating granted by Moody’s to (i) the 

Protection Buyer and (ii) any guarantor of the obligations of the Protection Buyer hereunder, provided 

that Moody’s shall have given the Rating Agency Confirmation. 

All out-of-pocket expenses, including legal fees, of either the Protection Buyer or the Protection 

Seller arising as a result of the Protection Buyer transferring or procuring a guarantee in respect of its 

obligations or Posting Collateral, in each case in accordance with this paragraph 8, shall be paid for by 

the Protection Buyer. 

Following a transfer in accordance with this paragraph 8, no further payments shall be due from the 

Protection Seller to the Protection Buyer (other than a return of any Collateral in respect of any 

51

Posting under the Credit Support Annex). 

Except for the Posting of the Additional Collateral during the 6 Business Days prior to the Step Up 

Date (a failure of which will result in the deemed exercise of the Issuer’s Call Option in accordance 

with paragraph 24 of the Offering Circular Supplement relating to the Notes), failure by the Protection 

Buyer to, where applicable, transfer its obligations or procure that its obligations are guaranteed or to 

post cash as described above in this paragraph 8, shall, constitute an Additional Termination Event (a 

“Downgrade Termination Event”) in respect of which the Protection Buyer shall be the sole 

Affected Party. If an Early Termination Date is designated in respect of such Downgrade 

Termination Event, the Protection Buyer agrees to purchase the Securities (as defined in the 

Conditions) from the Protection Seller, promptly upon demand from the latter, at par plus accrued 

interest. 

For the avoidance of doubt, in the event that such deemed exercise of the Issuer’s Call Option applies, 

this Transaction shall be terminated in accordance with Parts 1(p)(i) and 5(b) of the Schedule to the 

Agreement. 

9. This Transaction Not a Contract of Insurance 

The parties confirm that this Transaction is not intended to be and does not constitute a contract of 

surety, insurance, guarantee or indemnity. The parties acknowledge that the payments to be made by 

the Protection Seller will be made independently and are not conditional upon the Protection Buyer 

sustaining or being exposed to risk or loss and that the rights and obligations of the parties hereunder 

are not dependent upon the Protection Buyer owning or having any legal, equitable or other interest in 

the Reference Obligations. 

10. Netting 

For the purposes of this Transaction only, paragraph 2(c)(ii) of the Agreement shall be amended by 

adding the words “or in respect of the Interest Rate Swap or Credit Support Annex” after the word 

“Transaction”. 

11. Notification of Assignment 

Notwithstanding Section 7 of the Agreement, for the purposes of this Transaction, the Interest Rate 

Swap and the Credit Support Annex only, the Protection Buyer hereby agrees and consents to the 

assignment by way of security by the Protection Seller of its interests under the Agreement (without 

prejudice to, and after giving effect to, any contractual netting provisions contained in the Agreement) 

to the Trustee (or any successor thereto) pursuant to and in accordance with the Trust Deed and 

acknowledges notice of such assignment. Each of the parties hereby confirms and agrees that the 

Trustee shall not be liable for any of the obligations of the Protection Seller under the Agreement. 

12. Governing law 

This Confirmation will be governed and construed in accordance with English law. 

13. Partial Redemption and/or Purchase of the Notes and issuance of further Notes 

(a) 

(b) 

The Protection Seller may (i) purchase and redeem the Notes in accordance with Condition 

7(i) (a “Purchase and Redemption”) and/or (ii) issue further Notes in accordance with 

Condition 14 (a “Further Issue”), in each case in accordance with the more detailed 

provisions of the Notes. 

Upon a Purchase and Redemption, the obligations of the parties under this Transaction shall 

be reduced pro-rata with the proportion of principal amount of the Notes so purchased and 

redeemed and an amount equal to the Mark-to-Market Change (if any) resulting from such 

adjustment will become payable between the parties, such Mark-to-Market Change in respect 

of this Transaction as calculated pursuant to the Mark-to-Market termination provisions of 

52

sub-paragraph (d) below. 

(c) 

(d) 

Upon a Further Issue, the obligations of the parties under this Transaction shall be increased 

pro-rata with the proportion of principal amount of the Notes so issued, and an amount equal 

to the Mark-to-Market Change (if any) resulting from such adjustment will become payable 

between the parties, such Mark-to-Market Change in respect of this Transaction as calculated 

pursuant to the Mark-to-Market termination provisions of sub-paragraph (d) below. 

Upon an adjustment of the Transaction upon a Purchase and Redemption or Further Issue, an 

amount will be payable as follows: 

(i) 

(ii) 

if the Mark-to Market Value of the Transaction immediately prior to the adjustment is 

greater than the Mark-to-Market Value of the Transaction immediately following the 

adjustment, the Protection Seller will pay to the Protection Buyer the Mark-to-Market 

Change; or 

if the Mark-to-Market Value of the Transaction immediately prior to the adjustment is 

less than the Mark-to-Market Value of the Transaction immediately following the 

adjustment, the Protection Buyer will pay to the Protection Seller the absolute value 

of the Mark-to-Market Change. 

For the above purposes the following terms shall have the meanings specified below: 

“Mark-to-Market Change” means an amount (which may be positive or negative) equal to the 

Mark-to-Market Value of a transaction having identical terms to this Transaction immediately prior to 

the relevant adjustment minus the Mark-to-Market Value of a transaction having identical terms to 

this Transaction immediately following such adjustment. 

“Mark-to-Market Value” means at any time an amount which would be payable to the Protection 

Buyer (expressed as a positive) or by the Protection Buyer (expressed as a negative) pursuant to 

Section 6(e) of the Agreement as though an Early Termination Date had been designated as a result of 

a Termination Event under the Agreement for which the Protection Seller was the sole Affected Party 

and the only Affected Transaction was the Transaction in respect of which a Mark-to-Market Value 

was being determined. 

(e) 

Upon an adjustment of the Transaction upon a Purchase and Redemption or Further Issue: 

(i) 

(ii) 

the Initial Tranche Notional Amount shall be the product of (x) the Initial Tranche 

Notional Amount immediately prior to such adjustment multiplied by (y) the quotient 

of the number of Notes in issue immediately after such adjustment divided by the 

number of Notes in issue immediately before such adjustment; and 

the Aggregate Cash Settlement Amount shall be the product of (x) the Aggregate 

Cash Settlement Amount immediately prior to such adjustment multiplied by (y) the 

quotient of the number of Notes in issue immediately after such adjustment divided 

by the number of Notes in issue immediately before such adjustment. 

14. Dispute Resolution 

In the event that a party (the “Disputing Party”) does not agree with any determination made (or the 

failure to make any determination) by the Calculation Agent, the Disputing Party shall have the right 

to require that the Calculation Agent have such determination made by a disinterested third party that 

is a dealer of derivative obligations and that is, or whose Affiliates are, dealers in obligations of the 

type of the Reference Obligation but is not an Affiliate of either party. Such dealer shall be selected 

by the Calculation Agent in its reasonable discretion after consultation with the parties. Any exercise 

by the Disputing Party of its rights hereunder must be in writing and shall be delivered to the 

Calculation Agent as soon as possible but no later than the Business Day following the Business Day 

on which the Calculation Agent notifies the Disputing Party of any determination made (or of the 

53

failure to make any determination). Any determination by a disinterested third party shall be binding 

in the absence of manifest error and shall be made as soon as possible but no later than within five 

Business Days of the Disputing Party’s exercise of its rights hereunder. The costs of such 

disinterested third party shall be borne by (a) the Disputing Party if the disinterested third party 

substantially agrees with the Calculation Agent or (b) the non-Disputing Party if the disinterested 

third party does not substantially agree with the Calculation Agent. Determinations as to any amounts 

due shall (if possible) be calculated retrospectively with reference to the actual amount that was due 

on any Cash Settlement Date, and shall not account for subsequent changes with respect to any 

Reference Obligation. Interest on any amounts due that are subject to dispute shall be paid from (and 

including) the date of non-payment to (but excluding) the date such amount is paid, at the Termination 

Rate. Such interest will be calculated on the basis of daily compounding and the actual number of 

days elapsed. 

15. Definitions 

ABS Failure to Pay Interest: 

A failure to make a Scheduled Interest Payment in an 

aggregate amount of not less than the ABS Payment 

Requirement of an ABS Reference Obligation on the 

Scheduled Distribution Date, save that a Credit Event shall not 

occur: 

(i) 

(ii) 

solely by reason of the addition of accrued interest to 

the principal amount of an ABS Reference Obligation 

or the separate recording of interest as capitalised 

interest or by reason of deferral of such interest 

according to the terms and conditions of the ABS 

Reference Obligation or the reduction of an interest 

amount in accordance with the terms of an available 

funds cap relating to a tranche of such ABS Reference 

Obligation in each case instead of being paid in cash 

(unless such addition of accrued interest or separate 

recording of interest or reduction of an interest amount 

constitutes a default or event of default under the 

terms of such ABS Reference Obligation in effect as 

of the date of such failure); or 

solely by reason of such amount of interest being paid 

under an insurance contract, a financial guarantee or 

an indemnity, 

in each case as provided for under the terms of such ABS 

Reference Obligation in effect as of the date of such failure. 

For the purposes of determining whether an ABS Failure to 

Pay Interest has occurred, the effect of any limited recourse 

provisions described in the terms and conditions or any other 

provisions of the relevant ABS Reference Obligation shall be 

disregarded. 

For the avoidance of doubt, a Credit Event shall not occur and 

the relevant Credit Event Notice shall be deemed, 

retroactively, not to have been delivered if the ABS Failure to 

Pay Interest is cured within one month of the Credit Event 

Notice and the Calculation Agent has determined in good faith 

that the payment failure was due to operational (administrative 

or technical) reasons. 

54

ABS Failure to Pay Principal: (a) The irrevocable reduction in, or writedown of, the 

principal amount of an ABS Reference Obligation in 

an aggregate amount of not less than the ABS 

Payment Requirement in accordance with the terms of 

such ABS Reference Obligation at the time of such 

reduction or writedown as a result of the allocations of 

losses or cashflow shortfalls, however described, from 

the assets securing, directly or indirectly (including, 

for the avoidance of doubt, through a credit derivative 

transaction) the ABS Reference Obligation (other than 

any repayment in connection with a scheduled or nonscheduled 

payment of principal) provided that the 

Calculation Agent has determined that it is 

mathematically impossible assuming (i) no further 

defaults on the Underlying Assets and (ii) that the 

Underlying Assets continue to repay or prepay at the 

same rate as they have done since the ABS Reference 

Obligation was issued (excluding defaulted 

Underlying Assets) and (iii) taking into account the 

terms of the ABS Reference Obligation, for the 

reduction or writedown to be reversed and that the 

Calculation Agent has sent a written notice to the 

Rating Agency, the Issuer and the Trustee describing 

the determination of the mathematical impossibility; 

(b) 

(c) 

subject to the provisions below, the irrevocable 

reduction in, or writedown of, the principal amount of 

an ABS Reference Obligation in an aggregate amount 

of not less than the ABS Payment Requirement as a 

result of an amendment to the terms of the relevant 

ABS Reference Obligation (other than any repayment 

in connection with a scheduled or non-scheduled 

payment of principal in respect of the affected ABS 

Reference Obligation) which directly results in an 

economic loss for the holder of the ABS Reference 

Obligation provided that the Calculation Agent has 

determined that it is mathematically impossible 

assuming (i) no further defaults on the Underlying 

Assets and (ii) that the Underlying Assets continue to 

repay or prepay at the same rate as they have done 

since the ABS Reference Obligation was issued 

(excluding defaulted Underlying Assets) and (iii) 

taking into account the terms of the ABS Reference 

Obligation, for the reduction or writedown to be 

reversed and that the Calculation Agent has sent a 

written notice to the Rating Agency, the Issuer and the 

Trustee describing the determination of the 

mathematical impossibility; or 

a failure to pay the principal amount (excluding any 

principal constituted by deferred or capitalised 

interest) in an aggregate amount of not less than the 

ABS Payment Requirement of an ABS Reference 

Obligation at the earlier of (i) the legal maturity of 

such ABS Reference Obligation or (ii) the liquidation 

55

or distribution of all the assets securing, directly or 

indirectly (including, for the avoidance of doubt, 

through a credit-derivative transaction), such ABS 

Reference Obligation or designated to fund amounts 

due under such ABS Reference Obligation on a due 

date prior to the stated maturity of such ABS 

Reference Obligation after taking into account any 

Grace Period for that ABS Reference Obligation; 

provided that such failure shall not constitute an ABS 

Failure to Pay Principal if the amount of principal in 

respect of which such failure has occurred is paid 

under an insurance contract, a financial guarantee or 

an indemnity provided for under the terms of such 

ABS Reference Obligation in effect at the time of such 

failure. 

For the purposes of determining whether an ABS Failure to 

Pay Principal has occurred, the effect of any limited recourse 

provisions described in the terms and conditions or any other 

provisions of the relevant ABS Reference Obligation shall be 

disregarded. 

ABS Issue Date: 

ABS Notional Writedown: 

Adjusted Moody’s Expected ABS 

Recovery Rate: 

Adjusted Rating: 

Issue Date of the ABS Reference Obligation. 

In relation to an ABS Reference Obligation, there has been an 

irrevocable reduction in, or writedown of, the principal amount 

thereof or a redemption and/or cancellation in part thereof in 

circumstances which do not constitute a default under the 

terms thereof and in which holders thereof received less than 

par in relation to such irrevocable reduction or writedown or, 

as the case may be, in relation to the part redeemed and/or 

cancelled (the amount of such reduction being the “ABS 

Notional Writedown Amount”), and the terms of such ABS 

Reference Obligation do not provide for the reinstatement or 

reimbursement of the ABS Notional Writedown Amount 

provided that the Calculation Agent has determined that it is 

mathematically impossible, assuming (i) no further defaults on 

the Underlying Assets and (ii) that the Underlying Assets 

continue to repay or prepay at the same rate as they have done 

since the ABS Reference Obligation was issued (excluding 

defaulted Underlying Assets) and (iii) taking into account the 

terms of the ABS Reference Obligation, for the reduction or 

writedown to be reversed and that the Calculation Agent has 

sent a written notice to the Rating Agency, the Issuer and the 

Trustee describing the determination of the mathematical 

impossibility. 

In respect of a Reference Obligation, the product of (A) the 

Moody’s Expected ABS Recovery Rate and (B) the result of 

(i) one minus (ii) the Liquidity Haircut (as set out in Part I of 

Appendix C). 

Moody’s Rating adjusted by two notches down if the ABS 

Reference Obligation is on watch for possible downgrade and 

two notches up if on watch for possible upgrade (or Equivalent 

56

Moody’s Rating, if applicable). 

Call Redemption Proceeds: 

Credit Support Annex: 

Downgrade Event: 

Equivalent Moody’s Rating: 

Expected Maturity: 

Expected Scheduled Maturity: 

Final Valuation Notice: 

Final Valuation Notice Receipt 

Date: 

Fitch: 

Grace Period: 

Initial Valuation Date: 

Initial Rating: 

Interest Rate Swap: 

Liquidation proceeds in respect of the Securities sold pursuant 

to the exercise by the Issuer of its Call Option and/or any 

redemption proceeds thereof and/or any monies held in the 

Deposit Account (as defined in the Offering Circular 

Supplement). 

The credit support annex dated as of 7 February 2006 between 

Société Générale and Claris Limited in connection with the 

issue by Claris Limited of the Notes. 

In respect of an ABS Reference Obligation, the downgrade by 

Moody’s of such obligation to Ca or lower (if such ABS 

Reference Obligation has a Moody’s Rating). 

The rating applied by Moody’s to an ABS Reference 

Obligation which has no Moody’s Rating, by notching the 

rating given by another rating agency, in accordance with the 

rules set out in Appendix C Part III. 

In respect of an ABS Reference Obligation, the expected 

maturity date of that ABS Reference Obligation as at the date 

that ABS Reference Obligation is issued as determined by the 

Calculation Agent. 

In respect of a date, the period, expressed in years, from and 

including such date to and including the Step Up Date. 

A notice specifying each relevant Final Price, the relevant 

Loss Amount, the Aggregate Loss Amount and the Cash 

Settlement Amount. 

Each day upon which the relevant Clearing System (as defined 

in the terms and conditions of the Notes) receives a Final 

Valuation Notice. In the case a Final Valuation Notice is 

received in the period from and including a Payment 

Observation Date to but excluding the relevant Interest 

Payment Date, such notice shall be deemed to have been 

received on the first Business Day of the immediately 

following Interest Period. 

Fitch Ratings Ltd or any successor rating agency thereto. 

As described in the Credit Derivatives Definitions except that 

the deemed Grace Period described in Section 1.12(a)(iii) shall 

not apply to any Obligation. 

In respect of each Reference Obligation for which the 

Calculation Agent has sent a Credit Event Notice, 45 Business 

Days following the relevant Event Determination Date. 

Moody’s Rating or Equivalent Moody’s Rating as of the ABS 

Issue Date. 

The interest rate swap entered into between Société Générale 

and Claris Limited with a value date specified as the Issue 

Date in connection with the issue by Claris Limited of the 

57

Notes. 

Key Agent: 

Moody’s: 

Moody’s ABS Classification: 

Moody’s CDOROM(tm) Model 

Test: 

Moody’s Expected ABS Recovery 

Rate: 

In respect of an ABS Reference Obligation, as defined in 

CDOROM(tm) Model Test. 

Moody’s Investors Service, Inc. or any successor rating 

agency thereto. 

In respect of an ABS Reference Obligation, the classification 

identified in the table attached in Part II of Appendix C. 

CDOROM(tm) is a Monte Carlo-based simulation model 

provided by Moody’s from time to time mainly for calculating 

the expected loss on tranches of synthetic CDOs, using 

Moody’s Input. 

In respect of Reference Obligations, the Moody’s Expected 

ABS Recovery Rate shall be calculated using the appropriate 

recovery tables set out in Part I of Appendix C for the relevant 

type of Reference Obligation and its Initial Rating or 

Equivalent Moody’s Rating as of the ABS Issue Date. 

In respect of Reference Obligations for which a Credit Event 

has occurred, for the purpose of running the Moody’s 

CDOROM(tm) Model Test only, the Moody’s Expected ABS 

Recovery Rate shall be the Final Price or if the latter has not 

been determined yet, the highest Full Quotation obtained on 

the latest Interim Valuation Date. 

Moody’s Rating: 

Moody’s Input: 

Originator: 

Portfolio Adjustment Agent: 

The rating displayed on www.moodys.com of the ABS 

Reference Obligation as of any date of determination, or, if 

such rating is not available, the rating displayed on 

Bloomberg, or, if such rating is not available, the rating 

provided in the documentation, or, if such rating is not 

available, the shadow rating provided by Moody’s. 

The inputs as shown in Part V of Appendix C used in respect 

of Moody’s CDOROM(tm) Model Test, comprising amongst 

others the Moody’s Expected ABS Recovery Rate, the 

Adjusted Rating, and in respect of an ABS Reference 

Obligation only, the Initial Rating and the Key Agent. 

In respect of an ABS Reference Obligation, the entity that, 

under the terms of such Reference Obligation, is responsible 

for originating or selling the Underlying Assets to the relevant 

ABS issuer. 


Portfolio Adjustment Rules: The rules set out in Part I of Appendix B. 

Portfolio 

Agreement: 

Administration 

The portfolio administration agreement dated 7 February 2006 

between, inter alios, the Protection Buyer, the Protection 

Seller and the Portfolio Administrator, entered into in 

connection with the Notes and accession agreement between, 

inter alios, the abovementioned parties dated 7 February 2006 

relating to the Notes. 

58

Portfolio Administrator: 

Potential ABS Failure to Pay: 

Publicly Available Information: 

The Bank of New York or any successor thereto. 

Any event which would, but for the application of any Grace 

Period or any condition precedent to the commencement of 

any Grace Period applicable to such ABS Reference 

Obligation(s) or any grace period as described in the last 

paragraph of the definition of ABS Failure to Pay Interest, 

constitute an ABS Failure to Pay Interest or an ABS Failure to 

Pay Principal, the occurrence of which has been notified in 

writing by the Protection Buyer to the Protection Seller on or 

prior to the Latest Determination Time. 

Any information that reasonably confirms any of the facts 

relevant to the determination that the Credit Event described in 

a Credit Event Notice has occurred and (in the case of an ABS 

Notional Writedown only) is accompanied by a certificate 

signed by a senior risk officer of the risk management 

department of the Protection Buyer and that (a) has been 

published in not less than two internationally recognised 

published or electronically displayed news sources (it being 

understood that, without limitation, each of Bloomberg 

Service, Dow Jones Telerate Service, Reuter Monitor Money 

Rates Services, Dow Jones News Wire, Wall Street Journal, 

New York Times, Nihon Keizai Shinbun, Asahi Shinbun, 

Yomiuri Shinbun, Financial Times, La Tribune, Les Echos and 

The Australian Financial Review (and successor publications), 

the main source(s) of business news in the country in which 

the Reference Entity is organised, any other internationally 

recognised published or electronically displayed new sources 

and any widely read and generally recognised reputable 

structured finance industry publications and trustee reports of 

the relevant Obligations, shall be deemed to be an 

internationally recognised published or electronically 

displayed news source), regardless of whether the reader or 

user thereof pays a fee to obtain such information, provided 

that, if either of the parties or any of their respective Affiliates 

is cited as the sole source of such information, then such 

information shall not be deemed to be Publicly Available 

Information unless such party or its Affiliate is acting in its 

capacity as trustee, fiscal agent, administrative agent, clearing 

agent, or paying agent for an Obligation, or (b) is information 

received from or published by (i) an ABS Reference Entity, 

(ii) a trustee, fiscal agent, administrative agent, clearing agent, 

calculation agent or paying agent for an Obligation, or an 

entity independent from the Calculation Agent that was a party 

to the offering or distribution of that Obligation or is a party to 

any agreement relating to the relevant Obligation, (iii) 

Euroclear, Clearstream, Luxembourg or any clearing system in 

respect of which the affected Obligation is held or (iv) any 

internationally recognised stock exchange on which the 

affected ABS Reference Obligations are listed or (c) is 

information contained in any order, decree, notice or filing, 

however described, of or filed with a court, tribunal, exchange, 

regulatory authority or similar administrative, regulatory or 

judicial body. In relation to any information of the type 

59

described in (b) or (c), the party receiving such information 

may assume that such information has been disclosed to it 

without violating any law, agreement or understanding 

regarding the confidentiality of such information and that the 

party delivering such information has not taken any action or 

entered into any agreement or understanding with the 

Reference Entity or any affiliate thereof that would be 

breached by, or would prevent, the disclosure of such 

information to third parties. 

In order to constitute “Publicly Available Information”, any 

information provided need not state that the Credit Event (a) 

has satisfied the ABS Payment Requirement, (b) is the result 

of any applicable Grace Period being satisfied or (c) has 

satisfied any criteria of a subjective nature specified in certain 

Credit Events. 

Rating Agency: 

Rating Agency Confirmation: 

Reference Obligation Notional 

Amount: 

Moody’s. 

Receipt of written confirmation from the Rating Agency, for 

so long as the Notes are outstanding and rated by such Rating 

Agency, that such specified action or determination will not 

result in the reduction or withdrawal of its then current rating 

on the Notes. 

In respect of a Reference Obligation, as at the Effective Date 

the amount (the “Initial Reference Obligation Notional 

Amount”) specified in relation to such Reference Obligation 

in Appendix A, and in respect of each subsequent day, the 

Initial Reference Obligation Notional Amount as amended by 

any Portfolio Adjustment that is effective on or prior to that 

day. 

ABS Reference Obligations will be deemed to be removed 

from the Reference Portfolio in whole, and the Reference 

Obligation Notional Amount in respect of such ABS 

Reference Obligation reduced accordingly (a) on and as of the 

date when fully amortised, cancelled or repaid, including by 

any guarantor or insurer of such ABS Reference Obligation, 

(b) when an Event Determination Date has occurred in respect 

of an ABS Reference Obligation (in which case it shall be 

deemed to be removed from the Reference Portfolio in full) 

and (c) following a Removal in respect of such ABS Reference 

Obligation in accordance with Paragraph 6.1(a) above. 

For the avoidance of doubt, under Automatic Replenishment, 

the Reference Obligation Notional Amount shall not be 

reduced in case of amortisation of the ABS Reference 

Obligation unless such Reference Obligation Notional Amount 

has been repaid fully. 

Related Transactions: 

(a) any series of notes expressly relating to the Reference 

Portfolio issued by the Protection Seller other than the Notes, 

(b) any series of notes issued by SGA Société Générale 

Acceptance N.V. expressly relating to the Reference Portfolio, 

and (c) any credit default transactions entered into between 

Société Générale as protection buyer and a counterparty as 

60

protection seller expressly relating to the Reference Portfolio. 

Remaining Expected Life: 

S&P or Standard & Poor’s: 

Scheduled Distribution Date: 

Scheduled Interest Payment: 

Scheduled Maturity: 

Servicer: 

Underlying Assets: 

Weighted Average Life: 

In respect of an ABS Reference Obligation and a date of 

determination, the period, expressed in years, between that 

date of determination and the Expected Maturity of that ABS 

Reference Obligation. 

Standard & Poor’s Ratings Services, a division of The 

McGraw Hill Companies, Inc. or any successor rating agency 

thereto. 

The date on which, under the terms of the relevant ABS 

Reference Obligation, Scheduled Interest Payments are due to 

be paid, after taking into account any applicable Grace Period. 

For the avoidance of doubt, the Scheduled Distribution Date 

shall not be affected by a deferral of interest payments, 

provided that such deferral of interest payments constitutes an 

event of default according to the terms and conditions of the 

ABS Reference Obligation. 

Any payment of interest in respect of the relevant ABS 

Reference Obligation when such payment falls due and 

payable under the terms of the relevant ABS Reference 

Obligation provided that Scheduled Interest Payments shall 

not include payments of interest amounts that are explicitly 

stated to be unrated by the Rating Agency at the date the 

Reference Entity is added to the Reference Portfolio. 

In respect of a date, the period, expressed in years, from and 

including such date to and including the Scheduled 

Termination Date. 

In respect of any ABS Reference Obligation, the entity that, 

under the terms of such ABS Reference Obligation, is 

responsible for the collection and the administration of the 

Underlying Assets of such ABS Reference Obligation and/or 

for providing information on such Underlying Assets that is to 

be made available to other parties connected with the ABS 

Reference Obligation provided that (A) any subsidiaries, 

holding companies or other Affiliates in respect of such entity 

shall not be deemed to be a Servicer in respect of such ABS 

Reference Obligation and (B) such entity shall only be deemed 

to be a Servicer in the country or countries in which it carries 

out such activities in relation to the relevant Underlying Assets 

and any branches or other offices of such entity located outside 

such country or countries, as the case may be, shall not be 

deemed to be a Servicer in respect of such ABS Reference 

Obligation. 

In respect of an ABS Reference Obligation, designated assets 

held by the relevant ABS Reference Entity from which such 

ABS Reference Entity funds payments, directly or indirectly in 

respect of such ABS Reference Obligation. 

In respect of an ABS Reference Obligation and a date of 

determination, the period, expressed in years, determined as 

61

follows: 

(a) 

(b) 

(c) 

In respect of an ABS Reference Obligation under 

which the outstanding principal amount is expected to 

be repaid in a single repayment at the Expected 

Maturity, the Remaining Expected Life of that ABS 

Reference Obligation. 

In respect of an ABS Reference Obligation for which 

there is a fixed repayment schedule (which does not 

permit deferral of principal payments) published in the 

offering circular for that ABS Reference Obligation, 

the sum of the products of the remaining scheduled 

repayments and their respective scheduled repayment 

dates (expressed as years from the date of 

determination) divided by the outstanding notional 

amount of the ABS Reference Obligation at that date 

of determination or otherwise determined by the 

Protection Buyer. 

In respect of any other ABS Reference Obligation, 

such period reflecting the average time to projected 

occurrence of the principal cash flows of the ABS 

Reference Obligation (weighted by the size of such 

cash flow) determined by (i) a dealer who is then 

modelling the principal cash flows of the ABS 

Reference Obligation, or (ii) a third party who is then 

modelling the principal cash flows of the ABS 

Reference Obligation, or (iii) by the Calculation Agent 

in good faith and based upon modelling the principal 

cash flows of the ABS Reference Obligation. 

Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this 

Confirmation and returning it to us. 

Yours faithfully, 

SOCIÉTÉ GÉNÉRALE 

By: 

Name: 

Title: 

CLARIS LIMITED 

By: 

Name: 

Title: 

62

APPENDIX A 

INITIAL REFERENCE PORTFOLIO 

ABS Reference Entity 

ABS Reference 

Obligation 

ABS Issue Date 

ISIN 

Moody's 

Rating 

Predominant 

Domicile 

Moody's ABS Classification 

Weighted 

Average 

Life 

Key Agent 

Haircut 

Moody's 

Expected ABS 

Recovery 

Rate 

Tranche 

Weighting 

Reference Obligation 

Notional Amount 

(EUR) 

RENTAL CAR 

FINANCE CORP. 

RCFC 2004-1A A 05 May 2004 US760106AT17 Aaa United States 

Consumer ABS Auto and 

Personal Lease 

2.19 

Dollar Thrifty 

Automotive Group 

5.00% 85.00% 86.50% 22,321,428.57 

HYUNDAI AUTO 

RECEIVABLES TRUST 

HART 2004-A A4 01 September 2004 US449182BC79 Aaa United States 



2.28 

Hyundai Motor 

Company 

5.00% 85.00% 87.50% 22,321,428.57 

FORD CREDIT 

FLOORPLAN MASTER 

OWNER TRUST A 

FORDF 2005-1 A 14 June 2005 US34528PAG19 Aaa United States 



2.29 Ford Motor Co 5.00% 85.00% 90.25% 22,321,428.57 

VOLKSWAGEN AUTO 

LOAN ENHANCED 

TRUST 

VALET 2003-1 A3 27 June 2003 US92866XAC11 Aaa United States 



0.14 Volkswagen AG 5.00% 85.00% 97.25% 22,321,428.57 

TRIAD AUTO 

RECEIVABLES 

OWNER TRUST 

TAROT 2003-B A3 29 October 2003 US89578SAC70 Aaa United States 



0.18 

Triad Financial 

Corporation 

5.00% 85.00% 90.95% 22,321,428.57 

USAA AUTO OWNER 

TRUST 

USAOT 2005-2 A3 21 June 2005 US903278BZ16 Aaa United States 



1.53 

USAA Federal 

Savings Bank 

5.00% 85.00% 96.90% 22,321,428.57 

CAPITAL AUTO 

RECEIVABLES ASSET 

TRUST 

CARAT 2005- 

SN1A A4 

28 April 2005 US139732FG16 Aaa United States 



1.69 

General Motors 

Corp 

5.00% 85.00% 83.25% 22,321,428.57 

AESOP FUNDING II 

LLC 

AESOP 2006-1A A 19 January 2006 US15132CAJ18 Aaa United States 



4.93 Deutsche Bank AG 5.00% 85.00% 84.25% 22,321,428.57 

WHEELS SPV, LLC WHLS 2005-B A2 29 June 2005 US96328UAB26 Aaa United States 



2.81 Wheels, Inc 5.00% 85.00% 90.20% 22,321,428.57 

CAPITAL AUTO 


TRUST 

CARAT 2004-2 

A1A 

09 December 2004 US139732ER89 Aaa United States 



0.25 


Corp 

5.00% 85.00% 92.50% 22,321,428.57 

HONDA AUTO 

RECEIVABLES 

OWNER TRUST 

HAROT 2005-3 A1 14 June 2005 US43813AAA25 Aaa United States 



0.06 

Honda Motor Co 

Ltd 

5.00% 85.00% 96.15% 22,321,428.57 

HARLEY-DAVIDSON 

MOTORCYCLE 

TRUST 

HDMOT 2005-1 

A1 

08 February 2005 US41283ABR95 Aaa United States 



0.59 

Harley-Davidson 

Inc 

5.00% 85.00% 94.00% 22,321,428.57 

NATIONAL CITY 

AUTO RECEIVABLES 

TRUST 

NCART 2004-A A3 25 February 2004 US635310AJ49 Aaa United States 



0.48 National City Corp. 5.00% 85.00% 94.25% 22,321,428.57 

BMW VEHICLE 

OWNER TRUST 

BMWOT 2005-A 

A2 

23 March 2005 US055959BH21 Aaa United States 



0.37 

Bayerische Motoren 

Werke AG 

5.00% 85.00% 97.25% 22,321,428.57 


LLC 

AESOP 2004-2A 

A3 

18 February 2004 US00103RBJ41 Aaa United States 



3.01 Cendant Corp 5.00% 85.00% 85.45% 22,321,428.57 

FORD CREDIT AUTO 

OWNER TRUST 

FORDO 2005-B A3 14 April 2005 US34527RKW24 Aaa United States 



1.18 Ford Motor Co 5.00% 85.00% 92.50% 22,321,428.57 

64

CAPITAL AUTO 


TRUST 

CARAT 2003-2 

A3A 

11 June 2003 US139732DW83 Aaa United States 



0.04 


Corp 

5.00% 85.00% 95.50% 22,321,428.57 

DAIMLER CHRYSLER 

AUTO TRUST 

DCAT 2003-B A3 04 December 2003 US23383VCD01 Aaa United States 



0.16 DaimlerChrysler Ag 5.00% 85.00% 89.50% 22,321,428.57 


MOTORCYCLE 

TRUST 

HDMOT 2003-1 

A2 

04 February 2003 US41283AAV17 Aaa United States 



0.96 


Inc 

5.00% 85.00% 95.00% 22,321,428.57 

HONDA AUTO 

RECEIVABLES 

OWNER TRUST 

HAROT 2002-4 A4 20 November 2002 US43811PAD50 Aaa United States 



0.19 


Ltd 

5.00% 85.00% 95.50% 22,321,428.57 

HONDA AUTO 

RECEIVABLES 

OWNER TRUST 

HAROT 2003-2 A4 21 May 2003 US43812DAD12 Aaa United States 



0.57 


Ltd 

5.00% 85.00% 97.25% 22,321,428.57 


LLC 

AESOP 2000-2 A 22 May 2000 US00103RAF38 Aaa United States 



1.35 Cendant Corp 5.00% 85.00% 85.00% 22,321,428.57 


LLC 

AESOP 2002-1A 

A2 

25 July 2002 US00103RAQ92 Aaa United States 



1.51 

Bank of America 

Corp 

5.00% 85.00% 85.00% 22,321,428.57 

PROVIDIAN 

GATEWAY MASTER 

TRUST 

PGMT 2004-BA A 03 June 2004 US74408AAE01 Aaa United States Consumer ABS Credit Card 0.46 

Washington Mutual 

Inc 

5.00% 75.00% 50.50% 22,321,428.57 

PROVIDIAN 


TRUST 

PGMT 2004-EA A 23 November 2004 US74408AAN00 Aaa United States Consumer ABS Credit Card 1.79 


Inc 

5.00% 75.00% 53.00% 22,321,428.57 

CIRCUIT CITY 

CREDIT CARD 

MASTER TRUST 

CIRMT 2003-2 A 25 April 2003 US172937AT10 Aaa United States Consumer ABS Credit Card 0.21 

Circuit city Stores 

Inc/Consolidated 

5.00% 75.00% 64.50% 22,321,428.57 

CAPITAL ONE 

MASTER TRUST 

COMT 2001-3A A 17 May 2001 US14040KBT43 Aaa United States Consumer ABS Credit Card 0.29 

Capital One Bank, 

Falls Church, VA 

5.00% 85.00% 85.79% 22,321,428.57 


MOTORCYCLE 

TRUST 

HDMOT 2003-2 

A2 

20 May 2003 US41283AAY55 Aaa United States 



1.11 


Inc 

5.00% 85.00% 95.00% 22,321,428.57 

METRIS MASTER 

TRUST 

MMT 2005-2 A 19 October 2005 US59159UBX54 Aaa United States Consumer ABS Credit Card 1.64 Metris Cos Inc 5.00% 75.00% 49.00% 22,321,428.57 

MBNA CREDIT CARD 

MASTER NOTE 

TRUST 

MBNAS 2001-A3 

A3 

08 August 2001 US55264TAG67 Aaa United States Consumer ABS Credit Card 0.46 MBNA Corp 5.00% 85.00% 82.35% 22,321,428.57 

FLEET CREDIT CARD 

MASTER TRUST II 

FCCMT 2001-A A 23 February 2001 US33901HAV50 Aaa United States Consumer ABS Credit Card 0.04 

Bank of america 

Corp 

5.00% 85.00% 82.50% 22,321,428.57 

CAPITAL ONE 

MASTER TRUST 

COMT 1998-1 A 01 April 1998 US14040KAH14 Aaa United States Consumer ABS Credit Card 2.21 

Capital One 

Financial Corp 

5.00% 85.00% 83.00% 22,321,428.57 

CHASE CREDIT CARD 

MASTER TRUST 

CHAMT 2002-3 A 30 May 2002 US16151RBN26 Aaa United States Consumer ABS Credit Card 3.29 

JPMorgan Chase & 

Co 

5.00% 85.00% 84.00% 22,321,428.57 

FLEET CREDIT CARD 

MASTER TRUST II 

FCCMT 2002-B A 31 October 2002 US33901HBE27 Aaa United States Consumer ABS Credit Card 1.71 

Bank of america 

Corp 

5.00% 85.00% 82.50% 22,321,428.57 

CITIBANK CREDIT 

CARD ISSUANCE 

TRUST 

CITIBANK CREDIT 

CARD ISSUANCE 

TRUST 

PROVIDIAN 


TRUST 

CCCIT 2001-A1 

A1 

CCCIT 2001-A7 

A7 

07 February 2001 US17305EAK10 Aaa United States Consumer ABS Credit Card 2.02 Citigroup Inc 5.00% 85.00% 87.75% 22,321,428.57 

23 August 2001 US17305EAQ89 Aaa United States Consumer ABS Credit Card 5.54 Citigroup Inc 5.00% 85.00% 87.75% 22,321,428.57 

PGMT 2004-FA A 23 November 2004 US74408AAS96 Aaa United States Consumer ABS Credit Card 1.79 


Inc 

5.00% 75.00% 52.50% 22,321,428.57 

65

METRIS MASTER 

TRUST 

METRIS MASTER 

TRUST 

MMT 2004-1 A 20 April 2004 US59159UBM99 Aaa United States Consumer ABS Credit Card 1.23 Metris Cos Inc 5.00% 85.00% 88.00% 22,321,428.57 

MMT 2002-4A A 04 June 2002 US59159UBL17 Aaa United States Consumer ABS Credit Card 1.31 Metris Cos Inc 5.00% 85.00% 90.50% 22,321,428.57 

SLM STUDENT LOAN 

TRUST 

SLMA 2002-7 A4 26 November 2002 US78442GEQ55 Aaa United States 

Consumer ABS Student 

Loans 

2.46 SLM Corp 5.00% 85.00% 97.00% 22,321,428.57 

KEYCORP STUDENT 

LOAN TRUST 

KSLT 1999-B A2 30 September 1999 US493268AS51 Aaa United States 


Loans 

2.77 Keycorp 5.00% 85.00% 90.50% 22,321,428.57 

SLM STUDENT LOAN 

TRUST 

SLMA 2004-1 A2 29 January 2004 US78442GKR64 Aaa United States 


Loans 

4.38 SLM Corp 5.00% 85.00% 96.75% 22,321,428.57 

COLLEGE LOAN 

CORPORATION 

TRUST 

COLLE 2005-2 A1 18 October 2005 US194266AA08 Aaa United States 


Loans 

2.69 

Great Lakes 

Educational Loan 

Services, Inc. 

5.00% 85.00% 95.75% 22,321,428.57 

KEYCORP STUDENT 

LOAN TRUST 

KSLT 2005-A 1A1 17 November 2005 US493268CC81 Aaa United States 


Loans 

1.84 Keycorp 5.00% 85.00% 96.75% 22,321,428.57 

BANC OF AMERICA 

COMMERCIAL 

MORTGAGE INC. 

BACM 2005-6 A1 01 December 2005 US05947U3Z93 Aaa United States CMBS conduit 2.98 


Corp 

5.00% 75.00% 70.00% 22,321,428.57 

MORGAN STANLEY 

CAPITAL I 

LB-UBS 

COMMERCIAL 

MORTGAGE TRUST 

LB-UBS 

COMMERCIAL 


CS FIRST BOSTON 

MORTGAGE 

SECURITIES CORP. 

JP MORGAN 

COMMERCIAL 

MORTGAGE 

FINANCE CORP. 

GS MORTGAGE 

SECURITIES 

CORPORATION II 

GS MORTGAGE 

SECURITIES 

CORPORATION II 

GENERAL ELECTRIC 

CAPITAL 

ASSURANCE 

COMPANY 


COMMERCIAL 

MORTGAGE INC. 

GMAC COMMERCIAL 

MORTGAGE 

SECURITIES INC 


DEAN WITTER 

CAPITAL I 


MORTGAGE 


MSC 2004-T15 A1 01 July 2004 US61745MK935 Aaa United States CMBS conduit 2.46 Wells Fargo & Co 5.00% 85.00% 89.25% 22,321,428.57 

LBUBS 2001-C2 

A1 

LBUBS 2000-C4 

A1 

CSFB 2001-CKN5 

A2 

11 May 2001 US52108HDE18 Aaa United States CMBS conduit 2.21 Wachovia Corp 5.00% 85.00% 79.25% 22,321,428.57 

11 September 2000 US52108HBJ23 Aaa United States CMBS conduit 1.02 

01 November 2001 US22540VEG32 Aaa United States CMBS conduit 1.47 

JPMC 2000-C9 A1 01 January 2000 US617059GX22 Aaa United States CMBS conduit 0.47 

GSMS 2004-GG2 

A4 

GSMS 2005-GG4 

A3 

ORIX Capital 

Markets, LLC 

Key Corporate 

Capital Inc. 

ORIX Capital 

Markets, LLC 

5.00% 85.00% 79.00% 22,321,428.57 

5.00% 85.00% 79.50% 22,321,428.57 

5.00% 85.00% 74.25% 22,321,428.57 

01 August 2004 US36228CTF04 Aaa United States CMBS conduit 5.00 Wells Fargo & Co 5.00% 85.00% 86.75% 22,321,428.57 

01 June 2005 US36228CVQ31 Aaa United States CMBS conduit 6.17 

GFCM 2003-1 A2 01 September 2003 US36161RAB50 Aaa United States CMBS Large Loans 2.58 

BACM 2004-2 A4 01 April 2004 US05947URD27 Aaa United States CMBS conduit 5.29 

GMACC 2000-C3 

A2 

MSDWC 2002-IQ3 

A4 

CSFB 2001-CK1 

A3 

01 December 2000 US361849NH15 Aaa United States CMBS conduit 4.61 

01 December 2002 US61746WXN54 Aaa United States CMBS conduit 6.51 

01 March 2001 US22540AXK95 Aaa United States CMBS conduit 4.53 


Corp 


Corp 


Corp 


Corp 


Corp 

ORIX Capital 

Markets, LLC 

5.00% 85.00% 80.00% 22,321,428.57 

5.00% 85.00% 91.00% 22,321,428.57 

5.00% 85.00% 85.75% 22,321,428.57 

5.00% 85.00% 77.78% 22,321,428.57 

5.00% 85.00% 85.63% 22,321,428.57 

5.00% 85.00% 73.24% 22,321,428.57 

66


COMMERCIAL 

MORTGAGE INC. 

GREENWICH 

CAPITAL 

COMMERCIAL 

FUNDING CORP. 


MORTGAGE 



COMMERCIAL 

MORTGAGE INC. 


COMMERCIAL 

MORTGAGE INC. 

WACHOVIA BANK 

COMMERCIAL 


GE CAPITAL 

COMMERCIAL 

MORTGAGE 

CORPORATION 

JP MORGAN CHASE 

COMMERCIAL 

MORTGAGE SEC 

CORP 


CAPITAL I 

MERRILL LYNCH 


GE CAPITAL 

COMMERCIAL 

MORTGAGE 

CORPORATION 

BEAR STEARNS 

COMMERCIAL 

MORTGAGE 

SECURITIES INC. 

LB-UBS 

COMMERCIAL 


RESIDENTIAL ASSET 

SECURITIES 

CORPORATION 


SECURITIES 

CORPORATION 

THORNBURG 

MORTGAGE 

SECURITIES TRUST 

BACM 2004-5 A3 01 November 2004 US05947UXN35 Aaa United States CMBS conduit 5.58 

GCCFC 2005-GG3 

A3 

CSFB 2005-C6 

A2FX 

01 February 2005 US396789JS99 Aaa United States CMBS conduit 5.75 

01 December 2005 US225470PV91 Aaa United States CMBS conduit 4.57 

BACM 2005-2 A4 01 June 2005 US05947UL895 Aaa United States CMBS Large Loans 6.10 

BACM 2005-3 A2 01 July 2005 US05947UR421 Aaa United States CMBS conduit 4.25 

WBCMT 2005-C16 

A3 


Corp 


Corp 

Key Corporate 

Capital Inc. 


Corp 


Corp 

5.00% 85.00% 80.00% 22,321,428.57 

5.00% 85.00% 80.00% 22,321,428.57 

5.00% 75.00% 70.00% 22,321,428.57 

5.00% 75.00% 70.00% 22,321,428.57 

5.00% 75.00% 70.00% 22,321,428.57 

01 January 2005 US929766YW73 Aaa United States CMBS conduit 5.84 Wachovia Corp 5.00% 85.00% 80.00% 22,321,428.57 

GECMC 2000-1 A2 01 December 2000 US36158YAB56 Aaa United States CMBS conduit 4.49 General electric Co 5.00% 85.00% 76.17% 22,321,428.57 

JPMCC 2004-C3 

A4 

01 December 2004 US46625YEX76 Aaa United States CMBS conduit 6.40 

PNC Financial 

Services Group Inc 

5.00% 85.00% 80.00% 22,321,428.57 

MSC 2005-HQ7 A2 01 November 2005 US617451BN80 Aaa United States CMBS conduit 6.54 Wells Fargo & Co 5.00% 75.00% 70.00% 22,321,428.57 

MLMT 2005-LC1 

A2 

GECMC 2005-C4 

A2 

BSCMS 2004- 

PWR4 A1 

LBUBS 2000-C3 

A2 

RASC 2005-EMX1 

AI2 

RASC 2004-KS2 

A2B2 

01 December 2005 

US59022HMW9 

6 

Aaa United States CMBS conduit 4.75 

01 December 2005 US36828QQA75 Aaa United States CMBS conduit 4.78 

01 June 2004 US07383FE871 Aaa United States CMBS Large Loans 2.70 


Corp 

PNC Financial 

Services Group Inc 

Prudential Financial 

Inc 

5.00% 75.00% 70.00% 22,321,428.57 

5.00% 75.00% 70.00% 22,321,428.57 

5.00% 85.00% 88.38% 22,321,428.57 

11 May 2000 US52108HAT14 Aaa United States CMBS Large Loans 3.75 Wachovia Corp 5.00% 85.00% 79.75% 22,321,428.57 

04 March 2005 US76110WP917 Aaa United States RMBS Subprime 1.88 

26 February 2004 

US76110WWM4 

5 

TMST 2005-4 A2 22 December 2005 US885220JP91 Aaa United States 

Aaa United States RMBS Subprime 0.81 

RMBS First and Second Lien 

Prime 


Corp 


Corp 

5.00% 85.00% 76.05% 22,321,428.57 

5.00% 85.00% 88.50% 22,321,428.57 

2.12 Wells Fargo & Co 5.00% 85.00% 98.38% 22,321,428.57 

SACO I TRUST SACO 2005-8 A1 28 October 2005 US785778LA76 Aaa United States 


Prime 

0.94 

ABN AMRO 

Holding NV 

5.00% 85.00% 70.38% 22,321,428.57 


SECURITIES 

CORPORATION 

RASC 2005-KS6 

A2 

28 June 2005 US76110WY349 Aaa United States RMBS Subprime 1.35 


Corp 

5.00% 85.00% 78.04% 22,321,428.57 

SACO I TRUST 

SACO 2005-WM1 

A 

31 August 2005 US785778HU86 Aaa United States RMBS Midprime 0.78 

EMC Mortgage 

Corp. 

5.00% 75.00% 70.00% 22,321,428.57 

67


MORTGAGE 

PRODUCTS, INC. 

STRUCTURED ASSET 

SECURITIES 

CORPORATION 

ACCREDITED 

MORTGAGE LOAN 

TRUST 

OPTEUM MORTGAGE 

ACCEPTANCE 

CORPORATION 

FIRST FRANKLIN 

MTG LOAN ASSET 

BACKED 

CERTIFICATES 

CHEVY CHASE 

MORTGAGE 

FUNDING C 

NEW CENTURY 

HOME EQUITY LOAN 

TRUST 


SECURITIES 

CORPORATION 

BEAR STEARNS 

ASSET BACKED 

SECURITIES, INC. 


MORTGAGE 


THORNBURG 

MORTGAGE 

SECURITIES TRUST 

FIELDSTONE 

MORTGAGE 

INVESTMENT CORP. 

CARRINGTON 

MORTGAGE LOAN 

TRUST 

STRUCTURED ASSET 

SECURITIES 

CORPORATION 

RAMP 2005-EFC6 

1A2 

SASC 2005-WF4 

A3 

22 November 2005 US76112BJ845 Aaa United States 


Prime 

23 November 2005 US863576DD31 Aaa United States RMBS Subprime 2.71 

ACCR 2005-4 A2B 23 November 2005 US004375EG23 Aaa United States RMBS Subprime 1.81 

OPMAC 2005-5 

1A1A 

FFML 2005-FFH4 

2A1 

CCMFC 2005-3A 

A2 

NCHET 2005-2 

A2B 

RASC 2005-EMX4 

A2 

BSABS 2005-EC1 

A2 


A2 

29 November 2005 US68383NCV38 Aaa United States 


Prime 

2.81 


Corp 

Lehman Brothers 

Holdings Inc 

Accredited Home 

Lenders Holding Co 

5.00% 85.00% 77.40% 22,321,428.57 

5.00% 85.00% 83.57% 22,321,428.57 

5.00% 85.00% 83.43% 22,321,428.57 

0.87 Wells Fargo & Co 5.00% 85.00% 91.05% 22,321,428.57 

15 December 2005 US32027NWZ04 Aaa United States RMBS Subprime 0.90 National City Corp. 5.00% 85.00% 70.35% 22,321,428.57 

16 June 2005 US16678RDU8 Aaa United States 


Prime 

22 April 2005 US64352VKQ31 Aaa United States RMBS Subprime 1.83 

17 November 2005 US76110W5X07 Aaa United States RMBS Subprime 2.62 

30 December 2005 US0738795A26 Aaa United States RMBS Subprime 2.92 

29 September 2005 US76112BC329 Aaa United States RMBS Midprime 2.67 

TMST 2005-3 A1 30 September 2005 US885220HZ91 Aaa United States 


Prime 

3.97 

Chevy Chase Bank 

F.S.B. 

New Century 



Corp 

EMC Mortgage 

Corp. 


Corp 

5.00% 85.00% 89.25% 22,321,428.57 

5.00% 85.00% 96.60% 22,321,428.57 

5.00% 85.00% 76.00% 22,321,428.57 

5.00% 85.00% 80.00% 22,321,428.57 

5.00% 85.00% 79.13% 22,321,428.57 

1.99 Wells Fargo & Co 5.00% 85.00% 96.45% 22,321,428.57 

FMIC 2005-3 2A2 23 November 2005 US31659TEG67 Aaa United States RMBS Subprime 2.49 Wells Fargo & Co 5.00% 85.00% 76.92% 22,321,428.57 

CARR 2005-NC2 

A2 

SASC 2005-AR1 

A4 

04 May 2005 US144531BS84 Aaa United States RMBS Subprime 0.74 

25 November 2005 US86359DVU89 Aaa United States RMBS Subprime 2.83 

New Century 


Lehman Brothers 

Holdings Inc 

5.00% 85.00% 76.80% 22,321,428.57 

5.00% 85.00% 77.84% 22,321,428.57 

ADJUSTABLE RATE 

MORTAGE TRUST 

ARMT 2005-12 

5A1 

30 November 2005 

US2254W0MM4 

2 

Aaa 

United States 


Prime 

2.32 Wells Fargo & Co 5.00% 85.00% 94.00% 22,321,428.57 

AMERIQUEST 

MORTGAGE 

SECURITIES INC. 

AMSI 2005-R11 

A2C 

20 December 2005 US03072SU782 Aaa United States RMBS Subprime 3.14 

Ameriquest Capital 

Corp 

5.00% 85.00% 81.05% 22,321,428.57 

GE-WMC MORTGAGE 

SECURITIES LLC 

SACO I TRUST 

ASSET BACKED 

SECURITIES CORP 

HOME EQUITY LN 

TRST 

GEWMC 2005-2 

A2C 

SACO 2005-10 

2A1 

ABSHE 2005-HE8 

A5 

19 December 2005 US367910AU06 Aaa United States RMBS Subprime 3.00 C-Bass LLC 5.00% 85.00% 77.93% 22,321,428.57 

30 December 2005 US785778NE70 Aaa United States 


Prime 

1.06 

ABN AMRO 

Holding NV 

5.00% 85.00% 82.09% 22,321,428.57 

28 October 2005 US04541GUM22 Aaa United States RMBS Subprime 2.76 Wells Fargo & Co 5.00% 85.00% 79.78% 22,321,428.57 

FIRST NLC TRUST FNLC 2005-4 A3 22 December 2005 US32113JCF03 Aaa United States RMBS Subprime 2.89 Wells Fargo & Co 5.00% 85.00% 77.84% 22,321,428.57 

68

FREMONT HOME 

LOAN TRUST 

FHLT 2005-E 2A3 20 December 2005 US35729PNB21 Aaa United States RMBS Subprime 3.14 Wells Fargo & Co 5.00% 85.00% 77.97% 22,321,428.57 

GSAMP TRUST 

GSAMP 2005- 

WMC2 A2B 

23 November 2005 US362341UY32 Aaa United States RMBS Subprime 2.77 

JPMorgan Chase & 

Co 

5.00% 85.00% 79.64% 22,321,428.57 


MORTGAGE 


ASSET BACKED 

FUNDING 

CERTIFICATES 


AI2 

ABFC 2005-HE2 

A2C 

30 August 2005 US76112BYQ75 Aaa United States RMBS Midprime 2.53 


Corp 

5.00% 75.00% 48.30% 22,321,428.57 

30 August 2005 US04542BNG31 Aaa United States RMBS Midprime 2.90 Wells Fargo & Co 5.00% 85.00% 76.45% 22,321,428.57 

Source: Bloomberg and Société Générale 

69

APPENDIX B 

Part I 

PORTFOLIO ADJUSTMENT RULES 

The Initial Reference Portfolio and any Portfolio Adjustment, as appropriate, must comply with those 

of the following conditions that are specified below to apply to it (the “Portfolio Adjustment 

Rules”): 

(a) 

(b) 

(c) 

To the extent that the Reference Portfolio complies with the rules of constitution of the 

Reference Portfolio as set out in these Portfolio Adjustment Rules prior to the date of the 

reduction or Removal with respect to such Portfolio Adjustment, the Reference Portfolio 

resulting from the Replenishment shall continue to comply with the rules of constitution of 

the Reference Portfolio as set out in these Portfolio Adjustment Rules. 

To the extent that the Reference Portfolio does not comply with the rules of constitution of 

the Reference Portfolio as set out in these Portfolio Adjustment Rules prior to the date of the 

reduction or Removal with respect to such Portfolio Adjustment, the Reference Portfolio 

resulting from the Replenishment shall maintain or improve the ability of the Reference 

Portfolio to meet the rules of constitution of the Reference Portfolio as set out in these 

Portfolio Adjustment Rules. 

No Portfolio Adjustment may be effected if such Portfolio Adjustment would: 

(i) 

(ii) 

result into the Output N°12 of Moody's CDOROM(tm) for the Reference Portfolio 

immediately following such Portfolio Adjustment be greater than the Output N°11 of 

Moody's CDOROM(tm); or 

result into the Output N°12 of Moody’s CDOROM(tm) to increase, if the Output 

N°12 of Moody's CDOROM(tm) immediately prior to the Portfolio Adjustment was 

greater than Output N°11, 

provided that if : 

(A) 

(B) 

the Moody's Metric (as such term is defined in the Moody’s CDOROM(tm) 

Model Test) immediately prior to such Portfolio Adjustment is greater than 

the Trading Hurdle; and 

the Moody’s Metric after the Portfolio Adjustment is greater than the 

Trading Hurdle, 

either: 

(1) there can be no Removal and any ABS Reference Obligation which 

is the subject of a Replenishment must have a Moody’s Rating of 

Aaa and a Spread lower than or equal to the Spread Cap; or 

(2) more than 50% of the holders of the Notes have given their consent 

to such Portfolio Adjustment. 

“Trading Hurdle” means the sum of the Initial Rating Moody’s Metrics and 2. 

“Initial Rating Moody’s Metric” means 4. 

“Spread” means the ABS Reference Obligation spread determined by the Calculation Agent in 

a commercially reasonable manner using current market practice. 

70

“Spread Cap” means the spread expressed in percentage per annum according to the Moody’s 

ABS Type and interest type indicated in the table below: 

Moody's ABS Type Fixed rate 

interest 

Floating rate 

interest 

Consumer ABS 0.60% 0.40% 

RMBS 0.70% 0.50% 

Specific 0.90% 0.70% 

CMBS 0.90% 0.70% 

REITs 0.90% 0.70% 

1. Following any Portfolio Adjustment, the sum of the Reference Obligation Notional Amounts 

as at the relevant Portfolio Adjustment Date for those ABS Reference Obligations in respect 

of which no Credit Event Notice has been delivered cannot exceed the Initial Portfolio 

Notional Amount less the sum of the Reference Obligation Notional Amounts for those ABS 

Reference Obligations in respect of which Credit Event Notices have been delivered as at 

such Portfolio Adjustment Date. 

2. An ABS Reference Obligation may not be included in the Reference Portfolio unless such 

ABS Reference Obligation is listed in the Moody’s ABS Classification as specified in 

Appendix C Part II (as determined by the Calculation Agent acting in good faith and in a 

commercially reasonable manner). 

3. An ABS Reference Obligation may not be removed (in whole or in part) from the Reference 

Portfolio pursuant to a Removal after the notification by the Calculation Agent of the 

occurrence of a Credit Event in respect of such ABS Reference Obligation. 

4. (i) As at the Issue Date of the Notes, any ABS Reference Obligation must have a 

Moody’s Rating of Aaa or a S&P rating of AAA, or, if not rated by Moody’s or S&P, 

must be rated AAA by Fitch. 

(ii) 

(iii) 

(iv) 

As at a Portfolio Adjustment Date, any ABS Reference Obligation which is the 

subject of a Replenishment must have a Moody’s Rating of Aaa or a S&P rating of 

AAA, or, if not rated by Moody’s or S&P, must be rated AAA by Fitch. However, 

should a Replenishment occur which has a result of a Removal, the ABS Reference 

Obligation which is subject to a Replenishment must have a Moody’s or S&P rating 

or Equivalent Moody’s or S&P rating not lower than the Moody’s or S&P rating or 

Equivalent Moody’s or S&P rating of the ABS Reference Obligation which is subject 

to Removal. Should such rating be lower than Aaa in the case of Moody’s or AAA in 

the case of S&P, then the Weighted Average Life of the ABS Reference Obligation 

which is subject to a Replenishment must be lower than or equal to the Weighted 

Average Life of the ABS Reference Obligation which is subject to Removal. 

As at the Issue Date of the Notes, and thereafter as at a Portfolio Adjustment Date, the 

sum of the Reference Obligation Notional Amounts of the ABS Reference 

Obligations which have no Moody’s Rating, but only an Equivalent Moody’s Rating 

must not represent more than 20% of the sum of the Reference Obligation Notional 

Amounts of all ABS Reference Obligations of the Reference Portfolio. 

As at the Issue Date of the Notes, and thereafter as at a Portfolio Adjustment Date, the 

sum of the Reference Obligation Notional Amounts of the ABS Reference 

Obligations which have an Equivalent Moody’s Rating derived from a single-rating 

must not represent more than 10% of the sum of the Reference Obligation Notional 

Amounts of all ABS Reference Obligations of the Reference Portfolio, and the ABS 

Reference Obligations which have an Equivalent Moody’s Rating derived from a 

71

single-rating from one specified rating agency must not represent more than 7.5% of 

the sum of the Reference Obligation Notional Amounts of all ABS Reference 

Obligations of the Reference Portfolio. 

5. No ABS Reference Obligation may be included in the Reference Portfolio if, to the 

professional judgment of the Calculation Agent, in good faith, this ABS Reference Obligation 

is (a) capable of being declared subject to a Credit Event on or prior to the date on which the 

relevant Reference Obligation is to be added to the Reference Portfolio or (b) is the subject of 

a Credit Event which is continuing on the date on which the relevant Reference Obligation is 

to be added to the Reference Portfolio (c) which was the subject of a Credit Event which has 

been cured or waived prior to the date on which the relevant Reference Obligation is to be 

added to the Reference Portfolio. 

6. The weighted average of the Weighted Average Life in years of each ABS Reference 

Obligation in the Reference Portfolio does not exceed the lower of (a) 7 years and (b) an 

amount equal to the number of years from the Portfolio Adjustment Date to the Interest 

Payment Date falling on 7 February 2013. 

7. The Reference Obligation Notional Amount of any ABS Reference Obligation as at the Issue 

Date must not exceed 1.0 per cent. of the Initial Portfolio Notional Amount and thereafter the 

Reference Obligation Notional Amount of any ABS Reference Obligation as at the date on 

which such ABS Reference Obligation is included in the Reference Portfolio must not exceed 

2.0 per cent. of the Initial Portfolio Notional Amount. 

8. Any ABS Reference Entity shall be a bankruptcy-remote special-purpose entity (as 

determined by the Calculation Agent acting in good faith and in a commercially reasonable 

manner). 

9. The quotient of (i) the number of ABS Reference Entities that are common to the reference 

portfolio of the Series 38/2005 Tranche 1 EUR 25,000,00 Napa Valley III Synthetic CDO of 

ABS Floating Rate Notes due 2025 issued by Claris Limited on 25 January 2005 (ISIN Code: 

XS0207499202) and of the Reference Portfolio, divided by (ii) the total number of ABS 

Reference Entities in the Reference Portfolio, should not exceed 10 per cent. 

72

APPENDIX B 

Part II 

PORTFOLIO ADJUSTMENT NOTICE 

[On the letterhead of the Portfolio Adjustment Agent] 

[Date] 

To: 

The Bank of New York 

(in its capacity as Portfolio Administrator) 

Dear Sirs 

Re: Claris Limited – Series 63/2006 Tranche 1 EUR 25,000,000 Napa Valley 2006-1 Synthetic 

CDO of ABS Floating Rate Notes due 2026 (the “Notes) 

This letter constitutes a Portfolio Adjustment Notice pursuant to the terms of the credit default swap 

(the “Default Swap”) entered into in relation to the Notes between the Default Swap Counterparty 

and the Issuer. 

Terms not otherwise defined herein shall bear the same meaning as in the Default Swap. 

The Portfolio Adjustment Agent hereby confirms that it is the Portfolio Adjustment Agent acting in 

accordance with the Default Swap and that its actions proposed hereunder are permitted pursuant to 

the terms of the Default Swap. 

The Portfolio Adjustment Agent hereby notifies the Portfolio Administrator as follows: 

A 

Type of Portfolio Adjustment 

[Removal/Replenishment]. 

B 

Portfolio Adjustment Date 

[Insert date of proposed Portfolio Adjustment]. 

C 

Details 

Insert the following details in relation to the proposed Portfolio Adjustment 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

(j) 

the name of the ABS Reference Entity; 

the name of the ABS Reference Obligation; 

the ISIN code in respect of the relevant ABS Reference Obligation; 

the current Moody’s Rating or Equivalent Moody’s Rating of such ABS Reference 

Obligation; 

the Adjusted Rating of such ABS Reference Obligation; 

the Initial Rating of such ABS Reference Obligation; 

the Predominant Domicile of the Underlying Assets; 

the Reference Obligation Notional Amount; 

the Moody’s ABS Classification; 

the Key Agent; 

73

(k) 

(l) 

(m) 

(n) 

(o) 

(p) 

the Moody’s Expected ABS Recovery Rate; 

in the case of a Replenishment, the Weighted Average Life of such ABS Reference 

Obligation at the time of the Replenishment. 

details of all Replenishments and Removals; 

the Tranche Weighting of such ABS Reference Obligation; 

the Haircut of such ABS Reference Obligation determined according to Moody’s 

Liquidity Haircut Table shown in Appendix C Part I to the Default Swap; and 

the ABS Issue Date. 

Accordingly, please confirm in writing by sending us an Adjustment Acknowledgement Notice no 

later than one Business Day prior to the relevant Portfolio Adjustment Date confirming that the 

proposed Portfolio Adjustment complies with the Portfolio Adjustment Rules. 

…………………………………. 

Signed by and on behalf of 

SOCIÉTÉ GÉNÉRALE 

in its capacity as Portfolio Adjustment Agent 

…………………………………. 

Date 

74

APPENDIX B 

Part III 

ADJUSTMENT ACKNOWLEDGEMENT NOTICE 

[On the letterhead of the Portfolio Administrator] 

[Date] 

To: 


(as Portfolio Adjustment Agent) 

Dear Sirs 

Re: Portfolio Adjustment Notice dated [ ] 

We refer to the Portfolio Adjustment Notice annexed hereto and confirm that the proposed Portfolio 

Adjustment referred to therein complies with the Portfolio Adjustment Rules. 

.......................................................................... ................................................................... 

Signed by and on behalf of 

Date 

THE BANK OF NEW YORK 

In its capacity as Portfolio Administrator 

75

APPENDIX C 

Part I 

Moody’s Expected ABS Recovery Rate Table 

For the purpose of defining Moody’s recovery rate assumptions, ABS Reference Obligations shall be 

classified in three distinct sectors: 

• Diversified Securities primarily include (1) automobile securities; (2) car rental receivable 

securities; (3) credit card securities; and (4) student loan securities. 

• Residential Securities primarily include (1) home equity loan securities; (2) manufactured 

housing securities; (3) residential A mortgage securities; and (4) residential B/C mortgage 

securities. 

• Undiversified Securities primarily include (1) CMBS conduits; (2) CMBS CTLs; (3) CMBS 

large loans; and (4) securities issued out of those ABS sectors not included under Diversified 

Securities. 

For Diversified Securities, the recovery rate is assumed as follows: 

Tranche Weighting / Original 

rating 

Aaa 

Aa1 to Aa3 

>70% 85% 80% 

10% 75% 70% 

70% 85% 80% 

10% 75% 70% 

5% 65% 55% 

2% 55% 45% 

Moody’s Liquidity Haircut Table 

Case 

Haircut 

Liquid Securities 5% 

Illiquid Securities 35% 

For the purposes of the above, “Liquid Security” means any ABS Reference Obligation which is 

either (i) the senior-most funded tranches (including without limitation the unfunded super senior 

tranches of synthetic transactions) of the following asset types: 

• Automobile ABS (excluding securitizations of subprime assets in such category) 

• Cash Flow Corporate CBOs/CLOs 

• CMBS (all categories) 

• Credit Card ABS (excluding securitizations of subprime assets in such category) 

• European Consumer Loan ABS 

• Government ABS 

• Home Equity Loan ABS 

• RMBS (all categories) 

• REITs (all categories) 

• Student Loan ABS (excluding securitization of subprime assets in such category) or (ii) a 

tranche of static Corporate Synthetic CDOs 

and “Illiquid Security” means any ABS Reference Obligation that is not a Liquid Security. 

77

APPENDIX C 

Part II 

Moody’s ABS Classification Table 

Number Moody's ABS Type Moody’s ABS Classification Key Agent 

36 Consumer ABS ABS – Consumer – Consumer ABS – Auto and Personal Lease Originator 

37 Consumer ABS ABS – Consumer – Consumer ABS – Credit Card Originator 

38 Consumer ABS ABS – Consumer – Consumer ABS – Student Loans Originator 

39 RMBS ABS – Consumer – RMBS – First and Second Lien Prime Servicer 

40 RMBS ABS – Consumer – RMBS – Midprime Servicer 

41 RMBS ABS – Consumer – RMBS Subprime Servicer 

44 Specific ABS – Specific – Specific – Tax Lien Servicer 

45 Specific ABS – Specific – Specific – Mutual Fund Fees Manager 

46 Specific ABS – Specific – Specific – Structured Settlement Servicer 

47 Specific ABS – Specific – Specific – Utility Stranded Cost None 

49 Specific ABS – Specific – Specific – IP (including Entertainment Royalties) Originator 

50 Specific ABS – Specific – Specific – Dealer’s Floorplan Seller 

52 CMBS ABS – Commercial Real Estate – CMBS – Conduit None 

53 CMBS ABS – Commercial Real Estate – CMBS – Credit Tenant Lease None 

54 CMBS ABS – Commercial Real Estate – CMBS – Large Loans None 

55 REITs ABS – Commercial Real Estate – REITs – Hotel Manager 

56 REITs ABS – Commercial Real Estate – REITs – Multi family Manager 

57 REITs ABS – Commercial Real Estate – REITs – Office Manager 

58 REITs ABS – Commercial Real Estate – REITs – Retail Manager 

59 REITs ABS – Commercial Real Estate – REITs – Industrial Manager 

60 REITs ABS – Commercial Real Estate – REITs – Healthcare Manager 

61 REITs ABS – Commercial Real Estate – REITs – Self-storage Manager 

For the purpose of this document, the “Moody’s ABS Classification” may include any of the following 

(this list not being exhaustive): 

“ABS Automobile Securities” means Asset Backed Securities that entitle the holders thereof to receive 

payments that depend (except for rights or other assets designed to assure the servicing or timely 

distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from instalment sale 

loans made to finance the purchase of, or from leases of, automobiles, generally having the following 

characteristics: (1) the loans or leases may have varying contractual maturities; (2) the loans or leases are 

obligations of numerous borrowers or lessors and accordingly represent a diversified pool of obligor credit 

risk; (3) the repayment stream on such loans or leases is primarily determined by a contractual payment 

schedule, with early repayment on such loans or leases predominantly dependent upon the disposition of the 

underlying vehicle; and (4) such leases typically provide for the right of the lessee to purchase the vehicle 

for its stated residual value, subject to payments at the end of lease term for excess mileage or use. 

“ABS Car Rental Receivable Securities” means Asset Backed Securities that entitle the holders thereof to 

receive payments that depend (except for rights or other assets designed to assure the servicing or timely 

distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from leases and 

subleases of vehicles to car rental systems and their franchisees, generally having the following 

characteristics: (1) the leases and subleases have varying contractual maturities; (2) the subleases are 

obligations of numerous franchisees and accordingly represent a diversified pool of obligor credit risk; (3) 

the repayment stream on such leases and subleases is primarily determined by a contractual payment 

schedule, with early termination of such leases and subleases predominantly dependent upon the disposition 

to a lessee or third party of the underlying vehicle; and (4) such leases or subleases typically provide for the 

right of the lessee or sublessee to purchase the vehicle for its stated residual value, subject to payments at 

the end of lease term for excess mileage or use. 

“ABS CMBS Conduit Securities” means Asset Backed Securities (A) issued by a single-seller or 

multiseller conduit under which the holders of such Asset Backed Securities have recourse to a specified 

pool of assets (but not other assets held by the conduit that support payments on other series of securities) 

and (B) that entitle the holders thereof to receive payments that depend (except for rights or other assets 

designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed 

Securities) on the cash flow from a pool of commercial mortgage loans generally having the following 

characteristics: (1) the commercial mortgage loans have varying contractual maturities; (2) the commercial 

78

mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to 

reference an outstanding loan the proceeds of which were so used); (3) the commercial mortgage loans are 

obligations of a relatively limited number of obligors (with the creditworthiness of individual obligors being 

less material than for ABS CMBS Large Loan Securities and ABS Credit Tenant Lease Securities) and 

accordingly represent a relatively undiversified pool of obligor credit risk; and (4) repayment thereof can 

vary substantially from the contractual payment schedule (if any), with early prepayment of individual 

loans depending on numerous factors specified to the particular obligors and upon whether, in the case of 

loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium. 

“ABS CMBS Large Loan Securities” means Asset Backed Securities (other than ABS CMBS Conduit 

Securities and ABS CMBS Credit Tenant Lease Securities) that entitle the holders thereof to receive 


distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from a pool of 

commercial mortgage loans made to finance the acquisition, construction and improvement of properties. 

They generally have the following characteristics: (1) the commercial mortgage loans have varying 

contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or 

improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so 

used); (3) the commercial mortgage loans are obligations of a relatively limited number of obligors and 

accordingly represent a relatively undiversified pool of obligor credit risk; (4) repayment thereof can vary 

substantially from the contractual payment schedule (if any), with early prepayment of individual loans 

depending on numerous factors specific to the particular obligors and upon whether, in the case of loans 

bearing interest at a fixed rate, such loans or securities include an effective prepayment premium; and (5) 

the valuation of individual properties securing the commercial mortgage loans is the primary factor in any 

decision to invest in these securities. 

“ABS Credit Card Securities” means Asset Backed Securities that entitle the holders thereof to receive 


distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from balances 

outstanding under revolving consumer credit card accounts, generally having the following characteristics: 

(1) the accounts have standardised payment terms and require minimum monthly payments; (2) the 

balances are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor 

credit risk; and (3) the repayment stream on such balances does not depend upon a contractual payment 

schedule, with early repayment depending primarily on interest rates, availability of credit against a 

maximum credit limit and general economic matters. 

“ABS Home Equity Line of Credit Securities” means Asset Backed Securities that entitle the holders 

thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or 

timely distribution of proceeds to holders of such mortgage backed securities) on the cash flow from 

balances (including revolving balances) outstanding under lines of credit secured by a first and/or 

subordinate lien on residential real estate (single or multi family properties), the proceeds of which lines of 

credit are not used to purchase such real estate or to purchase or construct dwellings thereon (or to refinance 

indebtedness so previously used). 

“ABS Midprime Residential Mortgage Securities” means Asset Backed Securities that entitle the holders 


timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from mid prime 

residential mortgage loans with (to the extent a FICO Score is available therefore) a weighted average 

borrowers’ FICO Scores of 625 or above and less than 700, secured (on a first priority basis, subject to 

permitted liens, easements and other encumbrances) by residential real estate (single or multi-family 

properties) the proceeds of which are used to purchase real estate and purchase or construct dwellings 

thereon (or to refinance indebtedness previously so used), generally having the following characteristics: (1) 

the mortgage loans have standardised payment terms and require minimum monthly payments; (2) the 

mortgage loans are obligations of numerous borrowers and accordingly represent a very diversified pool of 

obligor credit risk; and (3) the repayment of such mortgage loans is subject to a contractual payment 

schedule, with early repayment depending primarily on interest rates and the sale of the mortgaged real 

estate and related dwelling. 

“ABS Monoline Guaranteed Securities” means Asset Backed Securities as to which the timely payment 

of interest when due, and the payment of principal no later than stated legal maturity, is unconditionally 

guaranteed pursuant to a financial guaranty insurance policy issued by a monoline financial insurance 

company but only if such insurance policy (1) expires no earlier than such stated maturity, (2) provides that 

79

payment thereunder is independent of the performance by the obligor on the relevant Asset Backed Security 

and (3) is issued by a monoline financial insurance company having a credit rating assigned by each 

nationally recognised statistical rating organisation that currently rates such Asset Backed Security higher 

than the credit rating assigned by such rating organisation to such Asset Backed Security, determined 

without giving effect to such insurance policy, provided that any Asset Backed Security falling within this 

definition shall be excluded from the definition of each other Specified Type of Asset Backed Security. 

“ABS Prime Residential Mortgage Securities” means Asset Backed Securities that entitle the holders 


timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from prime 


borrowers’ FICO Scores of 700 or above, secured other than in the case of home equity (on a first priority 

basis, subject to permitted liens, easements and other encumbrances) by residential real estate (single or 

multi-family properties) the proceeds of which are used to purchase real estate and purchase or construct 

dwellings thereon (or to refinance indebtedness previously so used), generally having the following 

characteristics: (1) the mortgage loans have standardised payment terms and require minimum monthly 

payments; (2) the mortgage loans are obligations of numerous borrowers and accordingly represent a very 

diversified pool of obligor credit risk; and (3) the repayment of such mortgage loans is subject to a 

contractual payment schedule, with early repayment depending primarily on interest rates and the sale of 

the mortgaged real estate and related dwelling. 

“ABS Residential Mortgage Securities” means Asset Backed Securities that entitle the holders thereof to 

receive payments that depend (except for rights or other assets designed to assure the servicing or timely 

distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from prime, mid prime, 

sub prime and home equity residential mortgage loans secured other than in the case of home equity (on a 

first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate 

(single or multi-family properties) the proceeds of which are used to purchase real estate and purchase or 

construct dwellings thereon (or to refinance indebtedness previously so used), generally having the 

following characteristics: (1) the mortgage loans have standardised payment terms and require minimum 

monthly payments; (2) the mortgage loans are obligations of numerous borrowers and accordingly represent 

a very diversified pool of obligor credit risk; and (3) the repayment of such mortgage loans is subject to a 

contractual payment schedule, with early repayment depending primarily on interest rates and the sale of 

the mortgaged real estate and related dwelling. 

“ABS Student Loan Securities” means Asset Backed Securities that entitle the holders thereof to receive 


distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from loans made to 

students (or their parents) to finance educational needs. 

“ABS Subprime Residential Mortgage Securities” means Asset Backed Securities that entitle the holders 


timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from sub prime 


borrowers’ FICO Scores of 625 or below, secured (on a first priority basis, subject to permitted liens, 

easements and other encumbrances) by residential real estate (single or multi-family properties) the 

proceeds of which are used to purchase real estate and purchase or construct dwellings thereon (or to 

refinance indebtedness previously so used), generally having the following characteristics: (1) the mortgage 

loans have standardised payment terms and require minimum monthly payments; (2) the mortgage loans are 

obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; 

and (3) the repayment of such mortgage loans is subject to a contractual payment schedule, with early 

repayment depending primarily on interest rates and the sale of the mortgaged real estate and related 

dwelling. 

“Asset Backed Securities” means securities which typically entitle the holders thereof to receive payments 

that depend primarily on the cash flow from a specified pool of financial assets, either fixed or revolving, 

that by their terms convert into cash within a finite time period, together with rights or other assets 

designed to assure the servicing or timely distribution of proceeds to holders of such securities. 

“FICO Score” means a credit score developed by Fair Isaac & Co for determining the likelihood that 

credit users will pay their bill. 

80

“Loan to Value Ratio” means the ratio, expressed as a percentage, of the principal balance of a mortgage 

loan to the most recent open market valuation of the relevant property. 

“Originator (Shelf/Program)” means a program of issue of asset backed securities with a specific 

Bloomberg mortgage ticker. 

81

APPENDIX C 

Part III 

Equivalent Moody’s Rating Rules 

(I) 

U.S. STRUCTURED PRODUCTS 

A. ASSET BACKED SECURITIES: 

The following notching conventions are appropriate for S&P-only rated tranches. (The figures 

represent the number of notches to be subtracted from the S&P rating. For example, a “1” 

applied to a S&P rating of BBB implies a Moody’s rating of Baa3.) 

ASSET CLASS 

AAA to 

AA- 

A+ to 

BBB- 

Below 

BBB- 

Agricultural and Industrial Equipment loans 1 2 3 

Aircraft and Auto leases 2 3 4 

Arena and Stadium Financing 1 2 3 

Auto loan 1 2 3 

Boat, Motorcycle, RV, Truck 1 2 3 

Computer, Equipment and Small-ticket item leases 1 2 3 

Consumer Loans 1 3 4 

Credit Card 1 2 3 

Cross-border transactions 1 2 3 

Entertainment Royalties 1 2 3 

Floorplan 1 2 3 

Franchise Loans 1 2 4 

Future Receivables 1 1 2 

Health Care Receivables 1 2 3 

Manufactured Housing 1 2 3 

Mutual Fund Fees 1 2 4 

Small Business Loans 1 2 3 

Stranded Utilities 1 2 3 

Structured Settlements 1 2 3 

Student Loan 1 2 3 

Tax Liens 1 2 3 

Trade Receivables 2 3 4 

82

B. RESIDENTIAL MORTGAGE BACKED SECURITIES: 

The following notching conventions are appropriate for S&P-only rated tranches. 

Residential Mortgage Related AAA AA+ to BBB- Below BBB- 

Home Equity Loans 1 2 3 

Jumbo A 1 2 3 

Residential B & C 1 2 3 

Alt-A or Mixed Pools 1 3 4 

The following notching conventions are with respect to Fitch: 

Residential Mortgage Related AAA- AA+ to BBB- Below BBB- 

Jumbo A 1 2 4 

Alt-A or Mixed Pools 1 3 5 

For dual-rated Jumbo A or Alt-A transactions, take the lower of the two ratings on the 

security, apply the appropriate single-rated notching guideline from above, then go up by 1/2 

notch. 

C. COMMERCIAL MORTGAGE BACKED SECURITIES: 

The following notching conventions are with respect to S&P and Fitch. 

ASSET CLASS 

Tranche Rated by Fitch 

and S&P; no tranche in 

deal rated by Moody’s 

Tranche Rated by Fitch 

and/or S&P; at least one 

other tranche in deal rated 

by Moody’s 

Commercial Mortgage Backed Securities 

Conduit # 

Credit Tenant Lease 

2 notches from lower of 

Fitch/S&P 

Follow corporate notching 

practice 

1.5 * notches from lower of 

Fitch/S&P 

Follow corporate notching 

practice 

Large Loan 

No Notching Permitted 

# 

* 

For this purpose, conduits are defined as fixed rate, sequential pay, multi-borrower 

transactions having a Herfindahl score of 40 or higher at the loan level with all collateral 

(conduit loans, A notes, large loans, CTLs and any other real estate collateral) factored in. 

A 1.5 notch haircut implies, for example, that if the S&P/Fitch rating were BBB, then the 

Moody’s rating factor would be halfway between the Baa3 and Ba1 rating factors. 

83

D. COLLATERALISED DEBT OBLIGATIONS: 

No notching permitted. Moody’s must in all cases assign a rating or a rating estimate to the 

CDO tranche to be included in a resecuritization transaction. 

(II) 

INTERNATIONAL STRUCTURED PRODUCTS 

Notching conventions are applicable to structured products originated from continental 

Europe and rated by both S&P and Fitch. All other transactions require a rating assessment. 

A. ASSET BACKED SECURITIES: 

The following notching conventions are with respect to S&P and Fitch rated transactions. The 

number of notches is taken from the lower of the two ratings. 

ASSET CLASS AAA to BBB- Below BBB- 

Auto-Prime 1 2 

Consumer Loans 1 2 

Credit Card 1 2 

No notching is authorised for all other asset types. 

B. RESIDENTIAL MORTGAGE BACKED SECURITIES: 

The following notching conventions are with respect to S&P and Fitch rated transactions. The 

number of notches is taken from the lower of the two ratings. 

AAA to BBB- 

Below BBB- 

Non-German Residential Mortgages 1 2 

Practice for German RMBS not rated by Moody’s: 

1) For class rated AAA rated by both Fitch and S&P, 1 notch down; 

2) For other instances, obtain rating estimate from Moody’s 

C. COMMERCIAL MORTGAGE BACKED SECURITIES: 

Practice for CMBS not rated by Moody’s: 

1) For investment grade classes rated by both S&P and Fitch meeting certain criteria 1 , 

2.5 notches off the lower of the 2 ratings; 

2) For other instances, obtain a rating estimate from Moody’s 

D. COLLATERALISED DEBT OBLIGATIONS: 

1) Where Moody’s has rated at least the senior tranche: 

A) A rating estimate on other tranches may be available from Moody’s database 

or 

B) For investment grade tranches, notch down by one from lower of S&P and 

Fitch. For non-investment grade tranches, notch down by two from lower of 

84

S&P and Fitch 

2) For all other transactions, obtain rating estimate from Moody’s 

______________________ 

1 (a) Traditional commercial real estate asset classes comprise greater than ninety percent (90%) of 

the collateral base. 

(b) 

(c) 

(d) 

(e) 

(f) 

Payment waterfall provides for a pass-through sequential structure, provided that we relax this 

requirement when the payment structure has pro rata features and Moody’s is asked to 

provide a notched rating on one or more mezzanine classes benefiting from the pro rata 

structure. 

Collateral base comprised of not more than five percent (5%) exposure to Tier D countries 

(Greece, Italy, Portugal, Eastern European countries) AND European properties make up 

greater than fifty percent (50%) of the security. 

Some form of liquidity provided for all classes of notes to be notched. 

Meaning of the rating of the of classes of notes to be notched is the same as or more 

conservative than that for the CDO structure into which such notes are to be sold. Base 

assumption is timely payment of interest/ultimate repayment of principal at or before the end 

of the tail period. 

Collateral for the notes, if applicable, is rated the same as or higher than the rating indicator, 

accounting for notching, to be assigned by Moody’s with respect to the notched notes. This 

criterion is assumed to apply largely to collateralised synthetic transactions. 

85

APPENDIX C 

Part IV 

Moody’s Idealised Expected Loss Table 

1 2 3 4 5 6 7 8 9 10 

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.01% 

0.00% 0.00% 0.01% 0.01% 0.02% 0.02% 0.03% 0.04% 0.05% 0.06% 

0.00% 0.00% 0.01% 0.03% 0.04% 0.05% 0.06% 0.07% 0.09% 0.11% 

0.00% 0.01% 0.03% 0.06% 0.08% 0.10% 0.12% 0.15% 0.18% 0.22% 

0.00% 0.02% 0.06% 0.10% 0.14% 0.18% 0.22% 0.26% 0.32% 0.39% 

0.01% 0.04% 0.12% 0.19% 0.26% 0.32% 0.39% 0.46% 0.54% 0.66% 

0.02% 0.08% 0.20% 0.30% 0.40% 0.50% 0.61% 0.72% 0.84% 0.99% 

0.05% 0.15% 0.31% 0.46% 0.61% 0.75% 0.92% 1.08% 1.25% 1.43% 

0.09% 0.26% 0.46% 0.66% 0.87% 1.08% 1.33% 1.57% 1.78% 1.98% 

0.23% 0.58% 0.94% 1.31% 1.68% 2.04% 2.38% 2.73% 3.06% 3.36% 

0.48% 1.11% 1.72% 2.31% 2.90% 3.44% 3.88% 4.34% 4.78% 5.17% 

0.86% 1.91% 2.85% 3.74% 4.63% 5.37% 5.89% 6.41% 6.96% 7.43% 

1.55% 3.03% 4.33% 5.38% 6.52% 7.42% 8.04% 8.64% 9.19% 9.71% 

2.57% 4.61% 6.37% 7.62% 8.87% 9.84% 10.52% 11.13% 11.68% 12.21% 

3.94% 6.42% 8.55% 9.97% 11.39% 12.46% 13.21% 13.83% 14.42% 14.96% 

6.39% 9.14% 11.57% 13.22% 14.88% 16.06% 17.05% 17.92% 18.58% 19.20% 

9.56% 12.78% 15.75% 17.86% 19.97% 21.43% 22.76% 24.01% 25.12% 26.24% 

14.30% 17.88% 21.45% 24.13% 26.81% 28.60% 30.39% 32.18% 33.96% 35.75% 

28.04% 31.35% 34.35% 36.43% 38.40% 39.66% 40.88% 42.07% 43.22% 44.39% 

86

APPENDIX C 

Part V 

Moody’s Inputs 

Input No. Content / Definition 

2 Specify yes - Test2 

3 Specify CDO^1 

4 Ticked 

6 Specify “All fixed” 

8 Ticked 

10 Specify “Same for all entities” 

12 Ticked 

13 10,000,000 

14 Enter the fixed / floating swap rate with respect to the Benchmark where the 

maturity of the fixed / floating rate swap is equal to the Expected Scheduled 

Maturity 

15 Enter the Expected Scheduled Maturity 

20 Tranche Size 

21 Enter a number equal to the (a) Threshold divided by (b) the Initial Portfolio 

Notional amount 

22 Enter the Rating as of the Issue Date 

23 5% multiplied by Output N°4. If the Securities are downgraded to Aa1 or lower, 

the sum of (a) 5% multiplied by Output N°4 and (b) the idealised expected loss for 

the Securities as per the Moody’s Idealised Expected Loss Table measured with 

the rating of the Securities with respect to the time horizon in years between the 

present date and the Expected Scheduled Maturity, using linear interpolation. 

24 Margin 

25 Enter the Expected Scheduled Maturity 

30 ABS Reference Entity 


32 Reference Obligation Notional Amount before any Credit Event Determination 

Date has occurred 

33 Enter the Adjusted Rating. For ABS Reference Obligations subject to a Credit 

Event, enter “Ca” 

34 SU 

35 Moody’s ABS Classification for the ABS Reference Obligation 

36 Predominant Domicile 


39 Enter the ABS Issue Date 

40 Enter the name of any guarantor or monoline insurance company guaranteeing

Input No. 

Content / Definition 

such ABS Reference Obligation 

41 Key Agent 

42 Tranche Weighting 

43 Initial Rating 

44 Expected Scheduled Maturity 

45 FALSE 

46 Moody’s Expected ABS Recovery Rate or, in relation to an ABS Reference 

Obligation for which a Credit Event has occurred, the Final Price (alternatively, if 

such Final Price has not been calculated yet, the highest Full Quotation obtained 

on the last Interim Valuation Date) 

48 Haircut. For ABS Reference Obligations subject to a Credit Event, enter 0%. 

88

GENERAL INFORMATION 

1. The Issuer has obtained all necessary consents, approvals and authorisations in Jersey in 

connection with the issue of the Notes and entry into relevant documentation relating thereto. 

The issue of the Notes and entry into relevant documentation relating thereto was authorised 

by a resolution of the Board of Directors of the Issuer and passed on 3 February 2006. 

2. There has been no significant change in the financial or trading position of the Issuer and no 

material adverse change in the financial position or prospects of the Issuer, since the date of 

the most recently audited accounts for the financial year ended 30 September 2004. There are 

no governmental, legal or arbitration proceedings (including any such proceedings which are 

pending or threatened of which the Issuer is aware) which may have, or have had since its 

incorporation on 19 March 1998 a significant effect on its financial position or its 

profitability. 

3. The aggregate amount of expenses to be borne by the Issuer in connection with the issue of 

the Notes will not exceed €60,000. 

4. As of 11 November 2005 Ernst & Young LLP resigned as auditors of Claris Limited and 

from 16 November 2005, Mazars LLP of 24 Bevis Marks, London, EC3A 7NR was 

appointed as the new auditors of Claris Limited. Mazars LLP is a registered auditor 

registered by the Institute of Chartered Accountants of England and Wales (No. 1139861). 

5. Any reference to a website in this Offering Circular Supplement does not form part of the 

Securities Note. 

89

Registered office of the Issuer 

Claris Limited 


St. Helier 


Trustee 

HSBC Trustee (C.I.) Limited 

PO Box 88 


St. Helier 

Jersey JE4 9PF 

Issuing and Paying Agent and Custodian 

HSBC Bank plc 

8 Canada Square 

London E14 5HQ 

Paying Agent in Ireland 

HSBC Institutional Trust Services (Ireland) Limited 

HSBC House 

Harcourt Centre, Harcourt Street 

Dublin 2, Ireland 

Listing Agent in Ireland 

Arthur Cox Listing Services Limited 

Earlsfort Centre 

Earlsfort Terrace 

Dublin 2, Ireland 

Portfolio Administrator 

The Bank of New York 

One Canada Square 

London E14 5AL 

Arranger and Calculation Agent 


29, boulevard Haussmann 

75009 Paris 

Legal Advisers 

To the Arranger and the Trustee 

in respect of French and English law 

To the Issuer 

in respect of Jersey law 

White & Case 

Toque Générale: J002 

11, Boulevard de la Madeleine 

75001 Paris 

White & Case 

5 Old Broad Street 

London EC2N 1DW 

Mourant du Feu & Jeune 


St. Helier 

Jersey JE4 8PX

OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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