OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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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: Société Générale 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
Page 1 and 2: OFFERING CIRCULAR SUPPLEMENT CLARIS
Page 3 and 4: TABLE OF CONTENTS RISK FACTORS ....
Page 5 and 6: Notes based upon their own judgemen
Page 7 and 8: 38(i), the Adjusted Aggregate Nomin
Page 9 and 10: the Margin (as defined in paragraph
Page 11 and 12: (viii) ISDA Determination (if diffe
Page 13 and 14: plus (iii) an amount determined by
Page 15 and 16: ecome due and payable as a result o
Page 17 and 18: (ix) Other Security Agreement: Not
Page 19 and 20: Consequences of Early Termination U
Page 21 and 22: Redemption Date”. In the event th
Page 23 and 24: the Issuer in respect of the Deposi
Page 25 and 26: the “Shortfall”), such Shortfal
Page 27 and 28: (ii) Unmatured Coupons to become vo
Page 29 and 30: subsequent consent provided by the
Page 31 and 32: Calculation Agent: Société Géné
Page 33: (i) “Aggregate Nominal Realisatio
Page 37 and 38: divided by the actual number of day
Page 39 and 40: Additional Fixed Payment: Final Exc
Page 41 and 42: the Threshold, or (b) (c) the exces
Page 43 and 44: Factor: Valuation: Final Price: The
Page 45 and 46: copy to the Clearing System, the Pr
Page 47 and 48: Adjustment Date pursuant to Removal
Page 49 and 50: monitor.paris@moodys.com within 5 B
Page 51 and 52: Prime-1 and A1 respectively, subjec
Page 53 and 54: sub-paragraph (d) below. (c) (d) Up
Page 55 and 56: ABS Failure to Pay Principal: (a) T
Page 57 and 58: Moody’s Rating, if applicable). C
Page 59 and 60: Portfolio Administrator: Potential
Page 61 and 62: protection seller expressly relatin
Page 64 and 65: APPENDIX A INITIAL REFERENCE PORTFO
Page 66 and 67: METRIS MASTER TRUST METRIS MASTER T
Page 68 and 69: RESIDENTIAL ASSET MORTGAGE PRODUCTS
Page 70 and 71: APPENDIX B Part I PORTFOLIO ADJUSTM
Page 72 and 73: single-rating from one specified ra
Page 74 and 75: (k) (l) (m) (n) (o) (p) the Moody
Page 76 and 77: APPENDIX C Part I Moody’s Expecte
Page 78 and 79: APPENDIX C Part II Moody’s ABS Cl
Page 80 and 81: payment thereunder is independent o
Page 82 and 83: APPENDIX C Part III Equivalent Mood
Page 84 and 85:
D. COLLATERALISED DEBT OBLIGATIONS:
Page 86 and 87:
APPENDIX C Part IV Moody’s Ideali
Page 88 and 89:
Input No. Content / Definition such
Page 90:
Registered office of the Issuer Cla
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OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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