OFFERING CIRCULAR SUPPLEMENT CLARIS LIMITED as Issuer ...

APPENDIX C
Part V
Moody’s Inputs
Input No. Content / Definition
2 Specify yes - Test2
3 Specify CDO^1
4 Ticked
6 Specify “All fixed”
8 Ticked
10 Specify “Same for all entities”
12 Ticked
13 10,000,000
14 Enter the fixed / floating swap rate with respect to the Benchmark where the
maturity of the fixed / floating rate swap is equal to the Expected Scheduled
Maturity
15 Enter the Expected Scheduled Maturity
20 Tranche Size
21 Enter a number equal to the (a) Threshold divided by (b) the Initial Portfolio
Notional amount
22 Enter the Rating as of the Issue Date
23 5% multiplied by Output N°4. If the Securities are downgraded to Aa1 or lower,
the sum of (a) 5% multiplied by Output N°4 and (b) the idealised expected loss for
the Securities as per the Moody’s Idealised Expected Loss Table measured with
the rating of the Securities with respect to the time horizon in years between the
present date and the Expected Scheduled Maturity, using linear interpolation.
24 Margin
25 Enter the Expected Scheduled Maturity
30 ABS Reference Entity
31 ABS Reference Entity
32 Reference Obligation Notional Amount before any Credit Event Determination
Date has occurred
33 Enter the Adjusted Rating. For ABS Reference Obligations subject to a Credit
Event, enter “Ca”
34 SU
35 Moody’s ABS Classification for the ABS Reference Obligation
36 Predominant Domicile
38 ABS Reference Entity
39 Enter the ABS Issue Date
40 Enter the name of any guarantor or monoline insurance company guaranteeing