OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

“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
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