OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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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
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 and 34: (i) “Aggregate Nominal Realisatio
Page 35 and 36: The Terms of the Transaction to whi
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: ABS Failure to Pay Principal: (a) T
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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