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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
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OFFERING CIRCULAR SUPPLEMENT CLARIS
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TABLE OF CONTENTS RISK FACTORS ....
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Notes based upon their own judgemen
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38(i), the Adjusted Aggregate Nomin
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the Margin (as defined in paragraph
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(viii) ISDA Determination (if diffe
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plus (iii) an amount determined by
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ecome due and payable as a result o
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(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 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 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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