OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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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
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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
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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 70 and 71: APPENDIX B Part I PORTFOLIO ADJUSTM
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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