OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

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APPENDIX C Part I Moody’s Expected ABS Recovery Rate Table For the purpose of defining Moody’s recovery rate assumptions, ABS Reference Obligations shall be classified in three distinct sectors: • Diversified Securities primarily include (1) automobile securities; (2) car rental receivable securities; (3) credit card securities; and (4) student loan securities. • Residential Securities primarily include (1) home equity loan securities; (2) manufactured housing securities; (3) residential A mortgage securities; and (4) residential B/C mortgage securities. • Undiversified Securities primarily include (1) CMBS conduits; (2) CMBS CTLs; (3) CMBS large loans; and (4) securities issued out of those ABS sectors not included under Diversified Securities. For Diversified Securities, the recovery rate is assumed as follows: Tranche Weighting / Original rating Aaa Aa1 to Aa3 >70% 85% 80% 10% 75% 70% 70% 85% 80% 10% 75% 70% 5% 65% 55% 2% 55% 45%
Moody’s Liquidity Haircut Table Case Haircut Liquid Securities 5% Illiquid Securities 35% For the purposes of the above, “Liquid Security” means any ABS Reference Obligation which is either (i) the senior-most funded tranches (including without limitation the unfunded super senior tranches of synthetic transactions) of the following asset types: • Automobile ABS (excluding securitizations of subprime assets in such category) • Cash Flow Corporate CBOs/CLOs • CMBS (all categories) • Credit Card ABS (excluding securitizations of subprime assets in such category) • European Consumer Loan ABS • Government ABS • Home Equity Loan ABS • RMBS (all categories) • REITs (all categories) • Student Loan ABS (excluding securitization of subprime assets in such category) or (ii) a tranche of static Corporate Synthetic CDOs and “Illiquid Security” means any ABS Reference Obligation that is not a Liquid Security. 77
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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
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Redemption Date”. In the event th
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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 72 and 73: single-rating from one specified ra
Page 74 and 75: (k) (l) (m) (n) (o) (p) the Moody
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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