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OFFERING CIRCULAR SUPPLEMENT

CLARIS LIMITED as Issuer

Euro 10,000,000,000 Secured Transaction Programme

SERIES 67/2006 TRANCHE 1

EUR 40,000,000 Napa Valley V(II) Synthetic CDO of ABS Floating Rate Notes due 2026

Issue Price: 100 per cent.

SOCIÉTÉ GÉNÉRALE CORPORATE & INVESTMENT BANKING

The date of this Offering Circular Supplement is 24 May 2006.

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This Offering Circular Supplement under which the Notes described herein (the “Notes”) are issued constitutes a securities note (the “Securities Note”) for the purposes of Article 5.3 of the Prospectus Directive (Directive 2003/71/EC) (the “Prospectus Directive”) and should be read in conjunction with the Offering Circular (the “Offering Circular”) dated 10 May 2006 issued in relation to the Euro 10,000,000,000 Secured Transaction Programme of Claris Limited, Claris 2 Limited, Claris III Limited and Iris SPV plc. The Offering Circular and this Offering Circular Supplement together constitute the prospectus (the “Prospectus”) with respect to the Notes prepared for the purposes of Article 5.3 of the Prospectus Directive. To the extent that the Offering Circular is inconsistent with this Offering Circular Supplement, this Offering Circular Supplement shall prevail. Terms defined in the Offering Circular shall, unless the context otherwise requires, bear the same meanings in this Offering Circular Supplement.

This Offering Circular Supplement does not constitute, and may not be used for the purposes of, an offer of, or an invitation by or on behalf of anyone to subscribe or purchase any of the Notes.

Application has been made to the Irish Financial Services Regulatory Authority (“IFSRA”), as competent authority under Directive 2003/71/EC, for the Securities Note to be approved. Application has been made to the Irish Stock Exchange Limited (“Irish Stock Exchange”) for the Notes to be admitted to the Official List and to trading on its regulated market.

The regulated market of the Irish Stock Exchange is a regulated market for the purposes of the Investment Services Directive 93/22/EEC. Copies of this Securities Note will be filed with and are expected to be approved by the IFSRA.

Subject as set out below, the Issuer accepts responsibility for the information contained in this document. To the best of the knowledge and belief of the Issuer (which has taken all reasonable care to ensure that such is the case), the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of such information.

The information contained herein relating to the issuer of the Securities and each other Obligor (as defined in the Conditions) has been accurately extracted from publicly available information the sources of which, as the case may be, are stated herein. The Issuer accepts responsibility for the accuracy of such extraction but accepts no further or other responsibility in respect of such information. So far as the Issuer is aware and/or able to ascertain from such publicly available information, no facts have been omitted which could render the reproduced information misleading. The Issuer has not been responsible for, nor has it undertaken, any investigation or verification of statements, including statements as to foreign law, contained in such information.

The Notes have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the “Securities Act”) or under the securities laws of any state of the United States and will be offered only outside the United States in compliance with Regulation S under the Securities Act (“Regulation S”). Interests in the Notes will be subject to certain restrictions on transfer and each purchaser of Notes in making its purchase is deemed to have made certain acknowledgements, representations and agreements, as set out in item 41 (Additional Selling Restrictions) of the Issue Terms below and in the section “Subscription and Sale” of the Offering Circular.

In this Offering Circular Supplement unless otherwise specified or the context otherwise requires, references to “euro”, “EUR” and “€” are references to the currency of the member states of the European Union that adopt the single currency in accordance with the Treaty establishing the European Community, as amended by the treaty on the European Union and references to “U.S.$”, “USD” and “$” are references to the lawful currency of the United States of America.

Signed: ________________________

Duly authorised for or on behalf of Claris Limited

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TABLE OF CONTENTS

Page

RISK FACTORS .................................................................................................................................... 4 ISSUE TERMS ....................................................................................................................................... 6 ANNEX 1 ............................................................................................................................................. 34

CONSEQUENCES OF A CREDIT EVENT, REDEMPTION OR CANCELLATION OF SOME OR ALL OF THE NOTES OR OF A FURTHER ISSUANCE ....................................................... 34

ANNEX 2 ............................................................................................................................................. 36 FORM OF DEFAULT SWAP CONFIRMATION.......................................................................... 36

GENERAL INFORMATION............................................................................................................... 88

RISK FACTORS

Prospective investors should carefully consider the following investment considerations, in addition to the matters set forth elsewhere in this Offering Circular Supplement and the Offering Circular, prior to investing in the Notes.

The risk factors set out below are not and are not intended to be, a comprehensive list of all considerations relevant to a decision to purchase or hold any Notes.

Credit exposures to Reference Obligations

Pursuant to the Default Swap (as defined in paragraph 22 (x) of the Issue Terms) the Issuer has sold to the Default Swap Counterparty (as defined in paragraph 22 (xi) of the Issue Terms) protection on a portfolio of Reference Obligations (as defined in the Default Swap) (see Annex 2). The redemption amount of the Notes at their Maturity Date will depend on whether Credit Events (as defined in the Default Swap) have occurred in respect of such Reference Obligations. Consequently, as described in this Offering Circular Supplement, the Notes create significantly leveraged exposure to the credit of such Reference Obligations. Noteholders may lose, in part or in whole, amounts invested in the Notes as the result of a Credit Event occurring with respect to one or more Reference Obligations.

The Default Swap Counterparty will determine the occurrence of a Credit Event in respect of any of the Reference Obligations, provided certain other conditions described herein are satisfied. Although any Notice of Publicly Available Information to be delivered by the Default Swap Counterparty will cite Publicly Available Information confirming the occurrence of the Credit Event, a holder of the Notes may disagree with the Default Swap Counterparty’s determination, but will nevertheless be bound by that determination under the terms of the Notes.

Limited liquidity of the Notes

There is not at present an active and liquid secondary market for the Notes. There can be no assurance that a secondary market for any of the Notes will develop, or, if a secondary market does develop, that it will provide the holders of the Notes with liquidity or that it will continue for the entire life of the Notes. This may leave Noteholders with an illiquid investment. Illiquidity means that a Noteholder may not be able to realise its anticipated yield. Illiquidity can obviously have an adverse effect on the market value of the Notes. Consequently, any purchaser of Notes must be prepared to hold such Notes until final redemption or maturity of the Notes.

Independent Rating and Mitigation Risk

Noteholders should be aware that credit ratings do not constitute a guarantee of the quality of the Notes or the Reference Obligations. The rating assigned to the Notes by a rating agency reflects only the rating agency’s opinions. A rating agency does not evaluate the risks of fluctuation in market value but attempts to assess the likelihood of principal and/or interest payments being made. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time by the assigning agency.

The Noteholders are informed that the rating of the Notes by Moody’s takes into account the financial capacity of the issuer of the Securities, the Deposit Bank, and the Swap Counterparties to meet their respective payment obligations under the Securities, Deposit Agreement and Swap Agreements (whether on their due date for payment or upon acceleration).

Non-reliance

The Noteholders who purchase the Notes will be deemed to have represented and agreed that they (i) have the knowledge and sophistication independently to appraise and understand the financial and legal terms and conditions of the Notes and to assume the economic consequences and risks thereof; (ii) to the extent necessary, have consulted with their own independent financial, legal or other advisers and have made their own investment, hedging and trading decisions in connection with the

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Notes based upon their own judgement and the advice of such advisers and not upon any view expressed by the Issuer or the Swap Counterparties; (iii) have not relied upon any representations (whether written or oral) of any other party, and are not in any fiduciary relationship with the Issuer or the Swap Counterparties; (iv) have not obtained from the Issuer or the Swap Counterparties (directly or indirectly through any other person) any advice, counsel or assurances as to the expected or projected success, profitability, performance, results or benefits of the Notes, and have agreed that the Issuer and the Swap Counterparties do not have any liability in that respect.

Awareness

The Noteholders are informed that both the Issuer and the Swap Counterparties hold or may from time to time hold (other than in connection with the Notes or the Default Swap) Obligations (including the Reference Obligations) of the Reference Entities, all as defined in the Default Swap (substantially in the form attached hereto in Annex 2).

Certain affiliates of the Swap Counterparties or the Portfolio Adjustment Agent (as defined in the Default Swap) may from time to time advise the Reference Entities, the issuers of Reference Obligations or the issuers of Underlying Assets (as defined in the Default Swap) regarding transactions to be entered into by them, or engage in transactions involving one or more Reference Entities, issuers of Reference Obligations or issuers of Underlying Assets for their proprietary accounts and for other accounts under their management.

Any such transactions may have a positive or negative effect on the value of the Reference Obligations and therefore on the value of the Notes. Accordingly, certain conflicts of interest may arise both among these affiliates and between the interests of these affiliates and the interests of Noteholders.

Pursuant to the terms of the Default Swap, the Portfolio Adjustment Agent may effect Portfolio Adjustments (as defined in the Default Swap) in accordance with the terms of the Default Swap.

Limited Recourse

Noteholders are only entitled to have recourse to the assets over which security has been created in relation to the Notes (including the Swap Agreements). After those assets have been realised and the proceeds distributed in accordance with the order of priority set out herein, the Noteholders are not entitled to take any further steps against the Issuer to recover any sum and no debt shall be owed by the Issuer in respect of any further sum.

This is not a capital guaranteed product. In a worst case scenario, investors could lose their entire investment. Therefore, investors should make an investment decision on this product only after careful consideration with their advisers as to the suitability of this product in the light of their particular financial circumstances.

This Offering Circular Supplement does not constitute, and may not be used for the purposes of, an offer of, or an invitation by or on behalf of, anyone to subscribe or purchase any of the Notes.

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ISSUE TERMS

Terms used herein shall be deemed to be defined as such for the purposes of the Conditions set forth either in the Offering Circular or in Annexes 1 and 2 attached to these Issue Terms (the “Annexes”). These Issue Terms are supplemental to and must be read in conjunction with such Offering Circular.

1 Issuer: Claris Limited.

2 (i) Series Number: 67/2006.

(ii) Tranche Number: 1.

3 Specified Currency or Currencies: Euro (“EUR”).

4 Aggregate Nominal Amount: EUR 40,000,000 subject to adjustment pursuant to the provisions of Annex 1 hereto (the “Initial Aggregate Nominal Amount”).

The Initial Aggregate Nominal Amount, as adjusted from time to time, as provided in this paragraph 4 and paragraph 8 below, is referred to herein as the “Adjusted Aggregate Nominal Amount”.

If, following a Credit Event (as defined in the Default Swap (as defined in paragraph 22(x) below)), the Issuer is required to pay a Cash Settlement Amount (as defined in the Default Swap), then, with effect from the relevant Cash Settlement Date (as defined in the Default Swap), the Adjusted Aggregate Nominal Amount of the Notes shall automatically be reduced to an amount equal to the Initial Aggregate Nominal Amount minus whichever is the greater of:

(i) the Initial Aggregate Nominal Amount minus the Tranche Notional Amount (which term is defined in the Default Swap); and

(ii) the Aggregate Nominal Realisation Amount,

such reduction to be applied to each Note pro rata to the number of Notes outstanding.

For the avoidance of doubt, in the event of any such reduction following a Credit Event as described above, no amount shall be payable to the Noteholders in connection with any such reduction, and such reduction will be effected by the cancellation of the relevant nominal amount of the Notes.

Following the provision of the Default Swap Counterparty’s consent as described in paragraph

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38(i), the Adjusted Aggregate Nominal Amount of the Notes shall be reduced by an amount equal to the relevant Notes Amortisation Amount(s) on the relevant date the Notes are due for redemption as described above.

5 (i) Issue Price: 100.00 per cent. of the Initial Aggregate Nominal Amount

(ii) Net proceeds: EUR 40,000,000.

6 Specified Denominations: EUR 100,000 provided that the nominal amount of each Note shall be adjusted as provided in paragraph 4 above, paragraph 8 below and Annex 1 hereto.

7 Issue Date: 24 May 2006.

8 Maturity Date: Subject to the provisions of paragraph 30 below, the Maturity Date shall be whichever is the earlier of:

1. the later of:

(i) 24 May 2026, subject to adjustment in accordance with the Following Business Day Convention (the “Scheduled Maturity Date”); and

(ii) the final Cash Settlement Date in respect of the Unsettled Credit Events (as defined below), if:

(A) the Calculation Agent determines, in its sole and absolute discretion, that one or more Unsettled Credit Events has occurred as at the Latest Determination Time; and

(B) the Retained Amount (as defined below) is greater and not equal to zero; and

(C) the Calculation Agent gives notice thereof to the Issuer, the Issuing and Paying Agent and the Trustee not later than the Latest Determination Time; and

2. the date on which the Adjusted Aggregate Nominal Amount of the Notes is reduced to zero pursuant to paragraph 4 above (the “Revised Maturity Date”).

Notwithstanding the foregoing, if the Maturity Date is extended as provided above, the Issuer

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shall, on the Scheduled Maturity Date, partially redeem each Note in an amount equal to the Scheduled Maturity Date Payment Amount (as defined below) by realising part of the Main Deposit and, with effect from such partial redemption, the Adjusted Aggregate Nominal Amount of the Notes shall be reduced to the Retained Amount (as defined below). For the avoidance of doubt, the Maturity Date may not occur later than 24 November 2027, subject to adjustment in accordance with the Following Business Day Convention.

For the purposes of the Notes:

(a) “Unsettled Credit Event” means a Credit Event in respect of which the relevant Cash Settlement Amount has not yet been paid pursuant to the terms of the Default Swap and/or a Potential ABS Failure to Pay (as defined in the Default Swap);

(b) “Scheduled Maturity Date Payment Amount” means an amount equal to the Relevant Proportion of the amount (if any) by which the Adjusted Aggregate Nominal Amount of the Notes immediately prior to the Scheduled Maturity Date exceeds the Retained Amount;

(c) “Relevant Proportion” means, at any time, the proportion which one Note bears to the number of all of the Notes outstanding;

(d) “Retained Amount” means the Notional Reduction Amount as at the Scheduled Maturity Date; and

(e) “Notional Reduction Amount” means, as of any date, whichever is the lower of (i) the Adjusted Aggregate Nominal Amount; and (ii) the aggregate of the Cash Settlement Amounts which would be payable in respect of all Unsettled Credit Events assuming in the case of each Reference Entity relating to an Unsettled Credit Event, a Loss Amount equal to the relevant Reference Entity Notional Amount.

9 Interest Basis: Floating Rate Notes.

(i) 3 month EUR-EURIBOR-Telerate (as designated in the ISDA Definitions, as

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amended in paragraph 18(viii) below) + the Margin (as defined in paragraph 18(x) below) from and including the Issue Date to but excluding the earlier of (1) the Revised Maturity Date and (2) the Scheduled Maturity Date; and

(ii) in the event that, pursuant to paragraph 8 above, the Maturity Date is extended beyond the Scheduled Maturity Date, EUR-EONIA-OIS-COMPOUND (as designated in the ISDA Definitions) plus the Margin for the period from and including the Scheduled Maturity Date to but excluding the Maturity Date, as paid under the Deposit.

(Further particulars specified below)

10 Redemption/Payment Basis: Each Note shall be redeemed at the Final Redemption Amount, the Early Redemption Amount, the Relevant Proportion of the Notes Amortisation Amount or the Optional Redemption Amount in respect of each Specified Denomination, as the case may be, as more particularly described in paragraphs 24, 29, 30 and 38 below.

11 Change of Interest or Redemption/ Payment Basis:

Where applicable, as described in paragraph 9 above and paragraph 38 below.

12 Put/Call Options: Issuer Call Option. See paragraph 24 below.

13 Status of the Notes: Secured and limited recourse obligations.

14 Listing: Application has been made to the IFSRA, as competent authority under the Prospectus Directive, for this Offering Circular Supplement to be approved. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and to trading on its regulated market.

15 Method of distribution: Non-syndicated.

16 Rating: Yes. Moody’s has assigned the Notes a rating of “Aaa”.

PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE

17 Fixed Rate Note Provisions: Not applicable.

18 Floating Rate Provisions: Applicable.

(i) Specified Period(s)/Specified Interest Payment Dates:

Quarterly on 24 February, 24 May, 24 August and 24 November in each year from and including 24 August 2006 to and including the Maturity Date.

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(ii) Business Day Convention: Following Business Day Convention.

(iii) Additional Business Centre(s) (Condition 6(a)):

Paris, London, New York and TARGET Business Day.

(iv) Manner in which the Rate(s) of Interest is/are to be determined:

ISDA Determination.

(v) Interest Period Date(s): Not applicable.

(vi) Party responsible for calculating the Rate(s) of Interest and Interest Amount(s) (if not the Calculation Agent):

Not applicable.

(vii) Screen Rate Determination (Condition 6(c)(iii)(B)):

Not applicable.

(viii) ISDA Determination (Condition 6(c)(iii)(A)):

Applicable.

- Floating Rate Option: In respect of the period from and including the Issue Date to but excluding the earlier of (1) the Revised Maturity Date and (2) the Scheduled Maturity Date, EUR-EURIBOR-Telerate, save that references to “Telerate Page 248” in the definition of “EUR-EURIBOR-Telerate” contained in the ISDA Definitions shall be deemed to be references to “Reuters Page EURIBOR01”.

In the event that the Maturity Date is extended beyond the Scheduled Maturity Date pursuant to the provisions of paragraph 8.1(ii) above, the Floating Rate Option in respect of the period from and including the Scheduled Maturity Date to but excluding the Maturity Date shall be EUR-EONIA-OIS-COMPOUND or (if the Deposit Bank is replaced as described in paragraph 22(viii) below) such other floating rate as is then applicable to the Deposit (as defined in paragraph 22(vii) below).

- Designated Maturity: Where the Floating Rate Option is EUR-EURIBOR-Telerate, 3 months, provided that in the event the Issuer exercises its Call Option on an Optional Redemption Date Linear Interpolation (as defined in the ISDA Definitions) shall apply to the Interest Period in which the Optional Redemption Date falls (such Linear Interpolation for such Interest Period to be determined with regard to Designated Maturities of one month and two months).

Where the Floating Rate Option is EUR-EONIA-OIS-COMPOUND, for the purposes of the ISDA Definitions, the “Calculation Period” shall be

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each relevant Interest Period.

- Reset Date: The first day of each Interest Period.

(ix) ISDA Determination (if different from those set out in the Conditions):

Not applicable.

(x) Margin(s): Plus 0.40 per cent. per annum with respect to each Interest Period commencing on and including the Interest Period scheduled to commence on (and include) the Issue Date to the Interest Period scheduled to end on (but exclude) the Step Up Date and plus 0.70 per cent. per annum with respect to each Interest Period commencing on and including the Interest Period scheduled to commence on (and include) the Step Up Date to and including the Interest Period scheduled to end on (but exclude) the Scheduled Maturity Date (applicable only where the Floating Rate Option is EUR-EURIBOR-Telerate).

Plus 0.00 per cent. per annum (applicable only where the Floating Rate Option is EUR-EONIA-OIS-COMPOUND) as amended from time to time in accordance with the Deposit Agreement to follow the opposite of the Deposit Margin paid on the Deposit Agreement.

(xi) Minimum Rate of Interest: 0 per cent. per annum.

(xii) Maximum Rate of Interest: Not applicable.

(xiii) Day Count Fraction (Condition 6(a)):

Actual/360.

(xiv) Rate Multiplier: Not applicable.

(xv) Fall back provisions, rounding provisions, denominator and any other terms relating to the method of calculating interest on Floating Rate Notes, if different from those set out in the Conditions:

(1) Condition 6(i) applies, save that the reference in the third line thereof to “the outstanding nominal amount of such Note” shall be deemed instead to refer to an amount calculated on each Interest Observation Date (as defined below) equal to (I) the Relevant Proportion of the sum of the Daily Outstanding Amounts for each day of the relevant Interest Period (each such day, a “Relevant Calculation Date”) divided by (II) the actual number of days in such Interest Period;

where:

“Daily Outstanding Amount” means the higher of (i) zero and (ii) the Adjusted Aggregate Nominal Amount

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minus the Notional Reduction Amount (each as of that Relevant Calculation Date).

For the purposes of this paragraph 18(xv)(1) “Interest Observation Date” means, with respect to an Interest Payment Date, the day falling two Business Days prior to that Interest Payment Date.

(2) In addition to the payment of any interest calculated at the Rate of Interest as described in paragraphs 18(i)-(xiv) and 18(xv)(1), following the occurrence of one or more Final Valuation Notice Receipt Dates (as such term is defined in the Default Swap), the Issuer shall also pay each Noteholder on the relevant Interest Payment Date in respect of each Note, an amount of interest determined by the Calculation Agent in respect of each Final Valuation Notice Receipt Date and the corresponding Cash Settlement Amount equal to:

(i) the amount of interest that would have been calculated in respect of each Note on all Interest Observation Dates occurring during the period from and including the Event Determination Date relating to such Final Valuation Notice Receipt Date until and including the Interest Observation Date immediately following such Final Valuation Notice Receipt Date, had such Cash Settlement Amount been determined and known as at such Event Determination Date;

minus

(ii) the amount of interest actually paid or scheduled to be paid as applicable, in respect of each Note in respect of each Interest Period relating to all such Interest Observation Dates, either pursuant to paragraph 18(xv)(1) or delayed payments of interest pursuant to this paragraph 18(xv)(2) other than as a result of the Final Valuation

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Notice to which such Final Valuation Notice Receipt Date relates);

plus

(iii) an amount determined by the Calculation Agent in its sole and absolute discretion as being equal to the Relevant Proportion of the amount of interest received by the Issuer pursuant to the Deposit Agreement (as defined in paragraph 22(vii)) to the extent that such amount of interest received is attributable to the difference between the amounts described in sub-paragraphs (i) and (ii) above.

(3) In the event that the Notes are redeemed after the Scheduled Maturity Date by reason of the late occurrence of an Early Redemption Event pursuant to Condition 7(c), Condition 7(d) or Condition 10, then no interest shall be payable during the period from and including the Scheduled Maturity Date until the Early Redemption Date.

19 Zero Coupon Note Provisions: Not applicable.

20 Index Linked Interest Note Provisions: Not applicable.

21 Dual Currency Note Provisions: Not applicable.

PROVISIONS RELATING TO THE SECURITY

22 Mortgaged Property

(i) Securities: Securities issuer: CIF Euromortgage

Registered Office: 26-28 rue de Madrid 75384 Paris Cedex 08, France

Country of Incorporation: France

Description: Financial Institution

Title of Securities: EUR 1,000,000,000 3.625 per cent. Obligations Foncières due March 2013, issued on 22 March 2006 under the Euro 20,000,000,000 Debt Issuance Programme of CIF Euromortgage

Securities Maturity Date: 25 March 2013 (such date, the “Securities Maturity Date”)

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Coupon: 3.625% per annum

ISIN: FR0010257683

Governing law: French law

Rating: Aaa by Moody’s and AAA by Fitch

Listing: Luxembourg Stock Exchange, Eurolist by Euronext Paris S.A. and Frankfurt Stock Exchange

Nominal Amount: EUR 40,000,000 as at the Issue Date

Issue Amount: EUR 1,000,000,000

Issue Price: 99.690 per cent.

Put Option/Call Option: Not applicable

Early Redemption for taxation reasons: Applicable

The Securities shall be transferred from Société Générale as vendor (in such capacity, the “Vendor”) to the Issuer pursuant to a sale agreement to be dated on or around 24 May 2006 (the “Sale Agreement”).

The Securities issuer currently publishes semi-annual interim accounts in addition to the annual report.

The most recently published annual and interim reports in respect of the Securities issuer, the Swap Agreements and the Sale Agreement may be obtained, free of charge, at the office of the Paying Agent in Ireland during normal business hours so long as any Notes are outstanding.

(ii) Security (order of priorities): The Trustee shall apply all moneys received by it under the Trust Deed in connection with the realisation or enforcement of the Security constituted by the Trust Deed in the following order of priorities:

(i) firstly, in payment or satisfaction of fees, costs, charges, expenses and liabilities incurred by the Trustee or any receiver in preparing and executing the trusts under the Principal Trust Deed and the Supplemental Trust Deed (including any taxes required to be paid, the costs of realising any Security and the Trustee’s remuneration);

(ii) secondly, in payment or satisfaction of fees, costs, charges, expenses and

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liabilities incurred by the Portfolio Administrator in performing its obligations under the Portfolio Administration Agreement;

(iii) thirdly, (except where the Notes have become due and payable as a result of a termination of either of the Swap Agreements (as defined in paragraph 22(x) below) by reason of the designation or occurrence of an Early Termination Date with respect to which the Issuer is neither the Defaulting Party nor an Affected Party (in each case as defined in the Swap Agreements)) in payment of any Swap Counterparty Claim;

(iv) fourthly, pro rata and on a pari passu basis, in payment of any Vendor Claim or Deposit Bank Claim (as each such term is defined in the Trust Deed);

(v) fifthly, pro rata and on a pari passu basis, in payment of any Custodian Claim or Disposal Agent Claim;

(vi) sixthly, in payment of any Issuing and Paying Agent Claim;

(vii) seventhly, in payment of any Noteholder Claim; and

(viii) eighthly, where the Notes have become due and payable as a result of a termination of either of the Swap Agreements by reason of the designation or occurrence of an Early Termination Date with respect to which the Issuer is neither the Defaulting Party nor an Affected Party, in payment of any Swap Counterparty Claim.

(iii) Contract (if applicable): Not applicable.

(iv) Beneficiary (ies): Not applicable.

(v) Securities Agreement: Not applicable.

(vi) Counterparties: Not applicable.

(vii) Deposit Agreement: A deposit agreement (the “Deposit Agreement”) to be dated on or around the Issue Date between the Issuer and the Deposit Bank pursuant to which the Issuer shall agree to deposit in an account (the “Deposit Account”) with the Deposit Bank:

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(i) any Excess Amount (as defined below); and

(ii) any Excess Realisation Proceeds; and

(iii) the amount of principal received by the Issuer upon redemption of the Securities at par at their maturity (the “Securities Redemption Amount”).

The aggregate amount of the Excess Amount standing to the credit of the Deposit Account from time to time is referred to as the “Excess Deposit”. The aggregate of (i) any Excess Realisation Proceeds and (ii) the Securities Redemption Amount standing to the credit of the Deposit Account from time to time is referred to as the “Main Deposit”. The Excess Deposit and the Main Deposit are referred to together as the “Deposit”. For the purposes of the Notes, the “Excess Amount” means the sum of:

(i) on any Interest Payment Date, the amount (if any) by which the aggregate of:

(A) the Floating Amount received by the Issuer in respect of the Interest Rate Swap on such Interest Payment Date;

(B) any interest accrued on the Main Deposit in accordance with the Deposit;

(C) (i) the fixed payments received by the Issuer in respect of the Default Swap on such Interest Payment Date; or (ii) if the relevant Interest Payment Date is a Bridge Date (as defined in the Default Swap), the amount (positive when received by the Issuer, negative when paid by the Issuer) payable pursuant to the Fixed Amount Adjustment Method (as defined in the Default Swap),

exceeds the aggregate Interest Amount payable in respect of the Notes on such Interest Payment Date; and

(ii) any interest accrued on the Excess Amount and credited to the Excess Deposit from time to time in accordance with the Deposit Agreement.

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Amounts may be withdrawn from the Deposit in accordance with the provisions of Annex 1 hereto.

(viii) Deposit Bank(s): Société Générale, London Branch, provided that the short term rating of Société Générale is then rated at least “P-1” by Moody’s and the senior unsecured debt long term rating of Société Générale is then rated at least “A1” by Moody’s, otherwise another bank whose short term rating is rated at least “P-1” by Moody’s and the senior unsecured debt long term rating of such other bank is rated at least “A1” by Moody’s as more fully set out in the Deposit Agreement (provided that the identity of such bank has been notified to the Trustee and the cost of the replacement of any such Deposit Bank by such bank shall be at the expense of the relevant bank or the Deposit Bank and not at the expense of the Issuer).

(ix) Other Security Agreement: Not applicable.

(x) Swap (if applicable): The description of the Swap Agreements set out below is a summary of certain features of the Swap Agreements and is qualified by reference to the detailed provisions of the Swap Agreements.

Payments under the Swap Agreements

Pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Border) (the “Agreement”) dated as of 1 April 2005 (including the Schedule thereto), the Issuer has entered into a credit default swap with the Default Swap Counterparty (as defined in paragraph 22(xi)) with an effective date of the Issue Date (the “Effective Date”) (the “Default Swap”) and an interest rate swap with the Interest Rate Swap Counterparty (as defined in paragraph 22(xi)) with an effective date of the Issue Date (the “Interest Rate Swap”, which expression shall include any substitute interest rate swap with any substitute swap counterparty entered into pursuant to the terms of such interest rate swap) (the Default Swap and the Interest Rate Swap are each a “Swap Agreement” and together the “Swap Agreements”).

The Default Swap shall be substantially in the form attached as Annex 2 hereto.

Pursuant to the Interest Rate Swap, the Interest Rate Swap Counterparty will pay to the Issuer an initial fixed payment of EUR 102,328.80 and thereafter on each Interest Payment Date an amount which, together with the fixed payments

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made by the Default Swap Counterparty pursuant to the Default Swap and the floating amounts payable by the Deposit Bank pursuant to the Deposit Agreement, each as referred to above, will be at least equal to the aggregate Interest Amount that is payable to Noteholders pursuant to the terms of this Offering Circular Supplement up to the Securities Maturity Date. Subject to the early termination provisions set out below, the Issuer will pay to the Interest Rate Swap Counterparty amounts equal to the interest payable on the Securities on the dates for payment thereof.

The Swap Agreements shall terminate, subject to the provisions of the Swap Agreements, on the due date for redemption of the Notes if at any time any of the Notes becomes redeemable in accordance with the Conditions prior to the Scheduled Maturity Date. Pursuant to the terms of the Swap Agreements, each Swap Agreement may be terminated early (in whole only but not in part), amongst other circumstances:

(i) at the option of one party, if there is a failure by the other party to pay any amounts due under the relevant Swap Agreement unless the relevant Swap Counterparty has posted the required collateral under the Credit Support Annex entered into in respect of the relevant Swap Agreement (the “Credit Support Annex”); or

(ii) if (subject as provided in the Swap Agreements) withholding taxes are imposed on payments made by the Issuer or the relevant Swap Counterparty under the relevant Swap Agreement or it becomes illegal for either party to perform its obligations under the relevant Swap Agreement; or

(iii) upon the occurrence of certain other events with respect to either party to the relevant Swap Agreement, including bankruptcy of the Issuer; or

(iv) (in the case of the Default Swap), the Interest Rate Swap is terminated early (provided that such Default Swap shall not terminate early in the event that the Interest Rate Swap is terminated early by way of substitution in accordance with the provisions of the Interest Rate

19

Swap).

There may also be a partial termination of the Interest Rate Swap following a Credit Event under the Default Swap.

Consequences of Early Termination

Upon any such early termination of either Swap Agreement, the Issuer or the relevant Swap Counterparty may (subject as set out below and provided, in the case of certain tax events, that the Issuer may first be obliged to use all reasonable endeavours to transfer its obligations) be liable to make a termination payment to the other (regardless, if applicable, of which of such parties may have caused such termination).

Pursuant to the terms of the Swap Agreements, such termination payment will be based upon Loss (as defined in the relevant Swap Agreement).

Regardless of which party makes the determination of the termination payment (if any), there is no assurance that the proceeds from the sale of the Securities and/or liquidation of the Deposit plus or minus, as the case may be, such termination payment will be sufficient to repay the principal amount due to be paid in respect of the Notes and any other amounts in respect thereof that are due.

(xi) Swap Counterparty(ies): The Swap Counterparty in respect of the Default Swap (the “Default Swap Counterparty”) and the Swap Counterparty in respect of the Interest Rate Swap (the “Interest Rate Swap Counterparty” and, together with the Default Swap Counterparty, the “Swap Counterparties”), shall initially be:

20

Société Générale 29, boulevard Haussmann 75009 Paris France

Each of the Interest Rate Swap and the Default Swap contain provisions whereby such swap may, in certain circumstances and provided that certain conditions are met, be terminated and replaced by a new interest rate swap or default swap, respectively, with a substitute swap counterparty. In such event, such substitute swap counterparty shall, for the purposes of this Offering Circular Supplement, be deemed to be the Interest Rate Swap Counterparty or Default Swap Counterparty (as appropriate) and a Swap Counterparty.

(xii) Swap Guarantor (if applicable): Not applicable.

(xiii) Details of Credit Support Document (if applicable):

Not applicable.

(xiv) Credit Support Provider: Not applicable.

23 Realisation of Security: Creditor Direction.

PROVISIONS RELATING TO REDEMPTION

24 Call Option: Applicable.

Notwithstanding the Conditions and the remaining provisions of this paragraph 24, in the event that the Protection Buyer fails to post on or before the sixth Business Day prior to the Fixed Rate Payer Payment Date scheduled to fall on 24 May 2013 (the “Step Up Date”) any collateral in relation to Fixed Amounts payable but not yet paid from and excluding the Step Up Date to and including the Scheduled Termination Date (as each such term is defined in the Default Swap) in accordance with paragraph 8 of the Default Swap (only if so required to do so at such time in accordance with the provisions thereof (and not, for the avoidance of doubt, at any other time in accordance with the provisions thereof)), the Issuer shall be deemed to have exercised its Call Option to have the Notes redeemed on the Step Up Date and shall provide the Noteholders with notice of such deemed exercise on the fourth Business Day prior to the Step Up Date and Condition 7(e) of the Notes shall be amended accordingly.

The provisions of paragraphs 24(i) and (ii) shall apply, mutatis mutandis, to the deemed exercise of the Call Option pursuant to this paragraph 24,

21

with the Time Call Notice Date (as defined in the Default Swap) deemed to be the fourth Business Day prior to the Step Up Date.

In the event that notice of the exercise of the Call Option is provided by the Issuer, any interest payable with respect to the Notes on the Optional Redemption Date shall be calculated by disregarding any Final Valuation Notice provided after the Time Call Notice Date (as defined in the Default Swap) or after the fourth Business Day prior to the Step Up Date in the case of a deemed exercise of the Call Option by the Issuer as described above.

(i) Optional Redemption Date(s): The Issuer may redeem all, but not some only, of the Notes, at their Optional Redemption Amount(s) (as defined below), on any Interest Payment Date, from and including the Interest Payment Date falling on 24 May 2009 (such date, the “Optional Redemption Date”).

In the event that the Issuer exercises its Call Option pursuant to this paragraph 24:

(a) the Issuer shall either realise the Securities or liquidate the Main Deposit (as applicable);

(b) the Issuer shall pay or receive an amount equal to the Final Exchange Payer Amount (as defined in the Default Swap);

(c) the Interest Rate Swap will, if not already terminated or due to be terminated as a result of such exercise, be terminated at its mark-to-market value and the Issuer will pay or receive the termination payment (if any) pursuant to the terms and provisions described therein; and

(d) the Issuer shall pay, together with the aggregate of the Optional Redemption Amounts and with respect to each Note, an amount equal to the Additional Call Option Amount (as defined below) and an amount equal to the Relevant Proportion of such part of the Deposit as is attributable to the Excess Deposit.

22

“Additional Call Option Amount” with respect to each Note means, with reference to all Reference Obligations in respect of which an Event Determination Date has occurred on or prior to the Time Call Notice Date (as defined in the Default Swap) and in respect of which a Final Valuation Notice Receipt Date has not occurred on or before such Time Call Notice Date, an amount determined by the Calculation Agent equal to:

(i) the interest that would have been calculated on each Payment Observation Date occurring from and including the Event Determination Date to the Payment Observation Date falling immediately prior to the Optional Redemption Date had the Final Price calculated in respect of each such Reference Obligation been 100 per cent.

minus

(ii) the amount of interest actually paid in respect of the Interest Periods relating to all such Payment Observation Dates either pursuant to paragraph 18(xv)(1) or delayed payments of interest pursuant to paragraph 18(xv)(2) (other than as a result of the Final Valuation Notice to which such Final Valuation Notice Receipt Date relates).

plus

(iii) an amount determined by the Calculation Agent in its sole and absolute discretion as being equal to the Relevant Proportion of the amount of interest received by the Issuer pursuant to the Deposit Agreement to the extent such amount is attributable to an amount equal to the difference between the amounts described under (i) and (ii) above.

(ii) Optional Redemption Amount(s) and method, if any, of calculation of such amount(s):

With respect to each Specified Denomination, the Relevant Proportion of the Adjusted Aggregate Nominal Amount.

(iii) If redeemable in part:

(a) Minimum nominal amount to be redeemed:

Not applicable.

(b) Maximum nominal amount to be redeemed:

Not applicable.

23

(iv) Option Exercise Date(s): Any redemption of the Notes made pursuant to the exercise of the Issuer’s option described in this paragraph 24 shall occur on the Optional Redemption Date.

(v) Description of any other Issuer’s option:

Not applicable.

(vi) Notice period (if other than as set out in the Conditions):

At least four Business Days prior to an Optional Redemption Date.

25 Put Option: Not applicable.

26 Exchangeable Notes: No.

27 Exchange Event: Not applicable.

28 Repayable Assets: All Securities.

29 Final Redemption Amount: Subject to paragraph 8 above, the Final Redemption Amount payable in respect of each Note shall be an amount equal to the Relevant Proportion of any sums received by the Issuer in respect of the Deposit on the Maturity Date.

For the avoidance of doubt, if:

(i) an Event of Default occurs and the Notes are declared due and payable in accordance with Condition 10 at any time prior to the Scheduled Maturity Date; or

(ii) an Early Redemption Event Determination Date occurs at any time on or after the Issue Date up to and including the Latest Determination Time,

the Notes will be redeemed at their Early Redemption Amount on the Early Redemption Date in accordance with paragraph 30.

30 Early Redemption Amount:

(i) Early Redemption Amount(s) payable on mandatory redemption (Condition 7(c), redemption for taxation and other reasons (Condition 7(d)), an event of default (Condition 10) and/or the method of calculating the same (if required or if different from that set out in the Conditions):

24

In the event of any such Early Redemption Event or event of default under Condition 10 then:

(A) the Issuer shall either realise or liquidate the Securities and/or the Deposit (as applicable),

(B) the Swap Agreements will be terminated at their mark-to-market value as determined by the Calculation Agent in its sole and absolute discretion using the payment measure and payment method elected by the parties to the Agreement; and

(C) the Calculation Agent shall calculate the Early Redemption Amount in accordance with the provisions contained below.

The Early Redemption Amount payable in respect of each Note shall be the greater of:

(a) zero; and

(b) an amount determined in accordance with the following formula:

NSTCMV −

Where: “MV” means the net proceeds received pursuant to paragraph 30(i)(A) above;

“STC” means an amount equal to the aggregate termination amounts payable pursuant to paragraph 30(i)(B) above, as determined by the Calculation Agent on the Breakage Cost Valuation Date, each termination amount being expressed as a positive number if payable by the Issuer to the relevant Swap Counterparty, and a negative number if payable by the relevant Swap Counterparty to the Issuer provided that, where such termination amounts are payable as a result of either (A) an Event of Default where the relevant Swap Counterparty is the Defaulting Party (in each case as defined in the Swap Agreements) or (B) any Additional Termination Event where the Swap Counterparty is the sole Affected Party (in each case as defined in the Swap Agreements), “STC” shall be capped at the amount (if any) by which MV exceeds an amount equal to the sum of the Adjusted Aggregate Nominal Amount and interest accrued on the Notes to the date of redemption.

25

“N” means the number of Notes outstanding.

Where the Issuer is to sell any of the Securities or the claim in respect of the Deposit (where the cash amount comprising the Deposit is unavailable for withdrawal), such sale shall be effected on behalf of the Issuer by the Disposal Agent in accordance with the terms of the Disposal Agency Agreement. With respect to the calculation of the Early Redemption Amount, the determinations and calculations of the Calculation Agent will be conclusive and binding upon the Issuer, the Custodian, the Trustee and the Noteholders, in the absence of manifest error.

In the event that such Early Redemption Amount paid to each Noteholder is less than the nominal amount of the Note (the difference between the Early Redemption Amount of the Note and the nominal amount of the Note being referred to as the “Shortfall”), such Shortfall shall be borne by the Noteholder and the Noteholder shall have no further recourse to the Issuer in respect of such Shortfall. For the avoidance of doubt, any such early redemption may take place after the Scheduled Maturity Date; but, in such event, no interest shall be payable under the Notes in respect of any period from and including the Scheduled Maturity Date.

For the purpose hereof:

“Breakage Cost Valuation Date” means the date on which the Early Redemption Amount is determined or announced by the Calculation Agent, which is expected to be the 30th Business Day following the Early Redemption Event Determination Date, to the extent reasonably practicable.

“Early Redemption Date” means the date notified as such by the Calculation Agent (on behalf of the Issuer) in the Settlement Notice, which is expected to be the fourth Business Day following the Breakage Cost Valuation Date, to the extent reasonably practicable.

“Early Redemption Event” means the occurrence (i) at any time prior to the Scheduled Maturity Date of any of the events set out in Condition 10 or (ii) at any time from and including the Issue Date to and including the Latest Determination Time of any of the early redemption events referred to in Condition 7(c) or 7(d).

26

“Early Redemption Event Determination Date” means (i) a date on which the Trustee declares the Notes due and repayable in accordance with Condition 10 or (ii) the date on which an Early Redemption Event Notice is delivered by the Calculation Agent (on behalf of the Issuer) to the Notice Agent and, as long as the Notes are in global form, to the Clearing System.

“Early Redemption Event Notice” means a notice to be delivered, as soon as practicable after having been notified by the Issuer of the occurrence of an event under Condition 7(c) or 7(d), by the Calculation Agent (on behalf of the Issuer) to the Notice Agent and, as long as the Notes are in global form, to the Clearing System notifying of the occurrence of such event and setting out any relevant information evidencing the occurrence of such event at any time from and including the Issue Date up to the Latest Determination Time.

For the avoidance of doubt, an event described in Condition 7(c) or 7(d) need not be continuing on the date on which the Early Redemption Event Notice is delivered by the Calculation Agent. Failure by the Calculation Agent to deliver an Early Redemption Event Notice shall not preclude the Issuer from notifying the Calculation Agent of the occurrence of one or more than one subsequent event(s) described in Condition 7(c) or 7(d).

“Settlement Notice” means a notice to be sent by the Calculation Agent (on behalf of the Issuer) as soon as practicable after the Breakage Cost Valuation Date to the Notice Agent and, as long as the Notes are in global form, to the Clearing System, specifying the Early Redemption Amount and the Early Redemption Date.

(ii) Amendment to Condition 7(c): For the purposes of the Notes, Condition 7(c) is deleted and replaced with:

“(c) Mandatory Redemption: If any of the Securities becomes payable prior to its stated date of maturity for whatever reason (under the terms of such Securities applicable as at the Issue Date) or there is a payment default in respect of any of the Securities (under the terms of such Securities applicable as at the Issue Date), all such Securities which have become so payable or

27

repayable or in respect of which there has been a payment default together with any or all remaining Securities, as specified in the relevant Supplemental Trust Deed (which may or may not form obligations of the same person as those which have become repayable or in respect of which there has been such a payment default), shall be deemed to have become immediately repayable (the “Repayable Assets”). The Issuer shall then forthwith give notice as soon as reasonably practicable (unless otherwise specified in the relevant Supplemental Trust Deed) to the Trustee and the Noteholders and upon the giving of such notice shall redeem each Note at its Early Redemption Amount either in whole or, as the case may be, in part on a pro rata basis in a proportion of its Final Redemption Amount equal to the proportion that the nominal amount of the Repayable Assets bears to the nominal amount of all the Securities (including the Repayable Assets). Interest (if any) in respect of any Note so redeemed shall be as set out in the relevant Offering Circular Supplement. Failure to make any payment due in respect of a mandatory redemption under this Condition 7(c) of part of the nominal amount of the Notes or interest thereon shall not constitute an Event of Default under Condition 10.

In the event of Notes becoming mandatorily due for redemption and the Security becoming enforceable (i) the Trustee may take such action as is provided in Condition 4(d) and (ii) payment of the Early Redemption Amount shall be made subject to the operation of Condition 4(e), and may therefore be less than the principal amount, and any accrued interest or other sums due under, of the Notes being redeemed.”

28

(iii) Amendment to Condition 7(d)(ii): Condition 7(d)(ii) is amended by adding at the end of the first paragraph thereof the following proviso:

“If (A) a Bankruptcy Event of Default occurs in respect of the Default Swap Counterparty under Section 5(a)(vii) of the Agreement, and (B) the Default Swap Counterparty has posted the required collateral under the Credit Support Annex (subject to, and in accordance with, the provisions of the Credit Support Annex), then the Default Swap shall be deemed not to have been terminated in whole for the purposes of this Condition 7(d)(ii).”

(iv) Unmatured Coupons to become void upon early redemption (Bearer Notes only) (Condition 8(f)):

Not applicable.

GENERAL PROVISIONS APPLICABLE TO THE NOTES

31 Form of Notes: Bearer Notes.

(i) Temporary or permanent Global Note/Certificate:

Temporary Global Note exchangeable for a Permanent Global Note, which is exchangeable for Definitive Notes in the limited circumstances specified in the Permanent Global Note.

(ii) Applicable TEFRA exemption: D Rules.

32 Additional Financial Centre(s) (Condition 8(h)) or other special provisions relating to payment dates:

Not applicable.

33 Talons for future Coupons or Receipts to be attached to Definitive Notes (and dates on which such Talons mature):

No.

34 Details relating to Partly Paid Notes: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences (if any) of failure to pay, including any right of the Issuer to forfeit the Notes and interest due on late payment:

Not applicable.

35 Details relating to Instalment Notes: Not applicable.

36 Redenomination, renominalisation and reconventioning provisions:

Not applicable.

37 Consolidation provisions: Not applicable.

38 Other terms or special conditions: (i) If, at any time after the Interest Payment Date scheduled to fall on the Step Up Date to the Scheduled Maturity Date, the Portfolio Notional Amount is reduced

29

below the sum of (i) the Initial Aggregate Nominal Amount divided by the Factor and (ii) the Threshold as a consequence of a Removal or an amortisation or repayment (whether in whole or in part) of one or more Reference Obligations for any reason other than the occurrence of a Credit Event in relation to such Reference Obligation(s) (in each case the “Reduction”), the Calculation Agent shall calculate the notes amortisation amount (the “Notes Amortisation Amount”) as the result of:

MAX (0,R-MAX(0,AONA-AT))xF

Where

AONA = the sum of the Portfolio Notional Amount and the Aggregate Loss Amount immediately prior to the Removal, amortisation or repayment of the Reference Obligation(s), as applicable

AT = the sum of (i) the Initial Aggregate Nominal Amount divided by the Factor and (ii) the Threshold

F = the Factor

MAX = the greater of

R = the amount of the Reduction

and notify the Issuer in writing of such Notes Amortisation Amount, (such date of notification, the “Notes Amortisation Amount Notification Date” and such notice, the “Notes Amortisation Amount Notice”. The Issuer shall redeem, on a pro rata basis, the Notes by an amount equal to the Notes Amortisation Amount, as defined above, on the first Interest Payment Date which occurs more than four Business Days after the Notes Amortisation Amount Notification Date, but only if the Default Swap Counterparty has provided its prior written consent to such redemption.

In the event that the Default Swap Counterparty does not provide its consent as aforesaid in relation to any Notes Amortisation Amount, then any subsequent consent provided by the

30

Default Swap Counterparty must include its consent to redeem the Notes in relation to any previous Notes Amortisation Amounts in respect of which its consent was not previously provided and the Issuer shall, in such circumstances, redeem the Notes in an amount equal to all such Notes Amortisation Amounts so referenced in the Default Swap Counterparty’s consent on the first Interest Payment Date which occurs more than four Business Days after the latest relevant Notes Amortisation Amount Notification Date.

(ii) The Notes shall not be redeemed early pursuant to Conditions 7(c) and (d), as amended by this Offering Circular Supplement, unless an Early Redemption Event Notice is delivered on or prior to the Latest Determination Time.

(iii) The Issuer may only issue further notes having the same terms and conditions as the Notes in all respects (or in all respects except for the first payment of interest on them) and so that such further issue shall be consolidated and form a single series with the Notes in accordance with Condition 14 if (a) for so long as the Notes are rated by Moody’s, confirmation is received from Moody’s, that there will be no adverse change to the credit rating of the Notes with which such further notes are to form a single series; and (b) the Mortgaged Property relating to such consolidated series is correspondingly increased.

(iv) For the purposes of these Notes, for so long as the Notes are rated by Moody’s, any purchases of the Notes by the Issuer in accordance with Condition 7(i) may only be made upon prior confirmation from Moody’s, that the relevant purchase will not affect the rating of the Notes, such confirmation not to be unreasonably withheld.

(v) Where only part of the Notes are to be redeemed and cancelled in accordance with Condition 7(j), the Early Redemption Amount payable in respect of each Note shall be determined by the Calculation Agent in accordance with

31

the preceding provisions of paragraph 30(i) above, mutatis mutandis, as if:

(x) reference therein to the realisation of the Securities and/or the liquidation of the Deposit were to the realisation and/or liquidation of a pro rata portion of the Securities and/or the Deposit, as the case may be;

(y) references therein to the termination of the Swap Agreements were to the pro rata partial termination of the Swap Agreements; and

(z) “N” was defined as the number of Notes being redeemed.

Copies of each of the Supplemental Trust Deed and the Deposit Agreement shall be available on request at the specified office of each Paying Agent.

DISTRIBUTION

39 (i) If syndicated, names of Managers: Not applicable.

(ii) Stabilising Manager (if any): Not applicable.

(iii) Dealer’s Commission: Not applicable.

40 If non-syndicated, name of Dealer: Société Générale.

41 Additional selling restrictions: Not applicable.

For the avoidance of doubt, the Notes will be distributed in accordance with Regulation S only.

Each purchaser of Notes will be deemed to have made certain representations and to have agreed as set out in the Offering Circular, in particular each purchaser of Notes will be deemed to have represented and agreed as follows:

(a) it is, and the person, if any, for whose account it is acquiring the Notes is, located outside the United States and is not a U.S. Person (as defined in Regulation S);

(b) it understands that the Notes have not been and will not be registered under the Securities Act and that the Issuer has not registered and will not register under the United States Investment Company Act of 1940 and the rules and regulations thereunder, as amended. It agrees, for

32

the benefit of the Issuer, the Dealer and any of their Affiliates, that, if it decides to resell, pledge or otherwise transfer such Notes (or any beneficial interest or participation therein) purchased by it, any offer, sale or transfer of such Notes (or any beneficial interest or participation therein) will be made in compliance with the Securities Act and only to a non U.S. Person in an offshore transaction in accordance with Rule 903 or Rule 904 (as applicable) under Regulation S;

(c) it understands that the Notes may not, at any time, be held by, or on behalf of, U.S. Persons or U.S. residents; and

(d) it agrees not to sell or otherwise transfer a Note or any interest therein otherwise than to a purchaser or transferee that is deemed to make these same representations, warranties and agreements with respect to its purchase, holding and disposition of such Notes.

OPERATIONAL INFORMATION

42 ISIN Code: XS0253456650.

43 Common Code: 025345665.

44 WKN Registration number: Not applicable.

45 Any clearing system(s) other than Euroclear and Clearstream, Luxembourg and the relevant identification number(s):

Not applicable.

46 Delivery: Delivery against payment.

47 The Agents appointed in respect of the Notes are:

Issuing and Paying Agent: HSBC Bank plc.

Notice Agent: HSBC Bank plc.

Custodian: HSBC Bank plc.

Calculation Agent: Société Générale.

Disposal Agent: Société Générale.

Paying Agent in Ireland: HSBC Institutional Trust Services (Ireland) Limited.

Listing Agent in Ireland: Arthur Cox Listing Services Limited, Earlsfort Centre, Earlsfort Terrace, Dublin 2, Ireland.

33

GENERAL

48 Additional steps that may only be taken following approval by an Extraordinary Resolution in accordance with Condition 12(a):

Not applicable.

34

ANNEX 1

CONSEQUENCES OF A CREDIT EVENT, REDEMPTION OR CANCELLATION OF SOME OR ALL OF THE NOTES OR OF A FURTHER ISSUANCE

(this Annex forms part of the Issue Terms to which it is attached)

1. Capitalised terms used in this Annex 1 and not otherwise defined in this Offering Circular Supplement have the meanings given to them in the Default Swap.

Consequences of a Credit Event

2. If, following the occurrence of a Credit Event, the Issuer is obliged under the terms of the Default Swap to pay to the Default Swap Counterparty a Cash Settlement Amount, then the Disposal Agent shall, on behalf of the Issuer:

(i) procure the liquidation of the lesser of (a) the Main Deposit and (b) such amount of the Main Deposit as will be sufficient to raise the Required Cash Amount (as defined in paragraph 4(iii) below;)

(ii) (only to the extent that the Required Cash Amount exceeds the Main Deposit), realise such nominal amount of the Securities as will be sufficient (or if the whole amount is not sufficient, the whole nominal amount of Securities), when aggregated with the termination amount either positive or negative arising as a consequence of the induced termination of the Interest Rate Swap pursuant to paragraph (iii) below, to raise the Required Cash Amount Shortfall (as defined in paragraph 4(iv) below). Such nominal amount of Securities is referred to herein as the “Nominal Securities Realisation Amount” (and, for the avoidance of doubt, in the event that Securities have to be realised, the excess of such Nominal Securities Realisation Amount over the resultant of (i) the Required Cash Amount Shortfall divided by (ii) the realisation price (expressed as a percentage) of the Securities shall be less than the lowest tradable amount of the Securities);

(iii) to the extent that any realisation or liquidation occurs pursuant to sub-paragraph (ii) above, effect a corresponding partial termination of the Interest Rate Swap, such termination to be by an amount equal to the Nominal Securities Realisation Amount;

(iv) pay the Cash Settlement Amount to the Default Swap Counterparty and pay any amounts payable, or receive any amounts to be paid by the Interest Rate Swap Counterparty in connection with the partial termination of the Interest Rate Swap in accordance with the terms of the Swap Agreements; and

(v) put any Excess Realisation Proceeds on deposit under the Main Deposit.

3. In addition, if the Issuer is obliged under the terms of the Default Swap to pay to the Default Swap Counterparty a Net Rebate Amount, then the Disposal Agent shall, on behalf of the Issuer:

(i) procure liquidation of such amount of the Excess Deposit as is equal to the Net Rebate Amount and pay such amount to the Default Swap Counterparty; and

(ii) procure liquidation of such amount of the Excess Deposit in order to pay the additional interest amount described in paragraph 18(xv)(2) of these Issue Terms and shall pay such amount to the Noteholders.

The Issuer will rely on the Default Swap Counterparty for taking all actions in relation to the occurrence of a Credit Event on its behalf (including administrative tasks in connection

35

thereto). The Default Swap Counterparty shall inform the Issuer, in writing, of any action taken on its behalf as soon as practicable before such action.

4. For the purposes of the Notes:

(i) “Aggregate Nominal Realisation Amount” means:

(a) prior to the date that any Nominal Realisation Amount is realised, zero;

(b) from and including each date that a Nominal Realisation Amount is realised, an amount equal to the Aggregate Nominal Realisation Amount immediately prior to the realisation of such Nominal Realisation Amount, plus an amount equal to such Nominal Realisation Amount,

and subject further to the provisions of paragraph 5 of this Annex 1 below.

(ii) “Excess Realisation Proceeds” means the amount (if any) by which the sum of the proceeds of the realisation of the Securities pursuant to paragraph 2(ii) above and the result of the related Interest Rate Swap partial termination pursuant to paragraph 2(iii) above exceeds the Required Cash Amount Shortfall;

(iii) “Required Cash Amount” means an amount equal to the Cash Settlement Amount;

(iv) “Required Cash Amount Shortfall” means the excess, if any, of the Required Cash Amount over the Main Deposit (as determined not taking into account any Excess Realisation Proceeds that are to be added pursuant to the payment of a Cash Settlement Amount); and

(v) “Nominal Realisation Amount” means the Nominal Securities Realisation Amount minus the Excess Realisation Proceeds.

5. Consequences of a partial cancellation or further issue of Notes

In the event of any cancellation of Notes in accordance with Condition 7, from and including the day of such cancellation, each of the Initial Aggregate Nominal Amount, the Adjusted Aggregate Nominal Amount and the Aggregate Nominal Realisation Amount shall be decreased pro rata to the number of Notes being cancelled.

In the event of any further issue of Notes in accordance with Condition 14, from and including the day of such further issue, the Initial Aggregate Nominal Amount, the Adjusted Aggregate Nominal Amount and the Aggregate Nominal Realisation Amount shall be increased pro rata to the number of Notes being issued and the Issuer shall procure all such further actions as are required pursuant to the Conditions in connection with the acquisition of Collateral, creation of security or otherwise.

For the avoidance of doubt, the outstanding nominal amount of each Note shall not be affected by any such cancellation or further issue.

36

ANNEX 2

FORM OF DEFAULT SWAP CONFIRMATION

DATE: 24 May 2006

TO: Claris Limited

22 Grenville Street St. Helier Jersey JE4 8PX Telephone No: +44 1534 609 000 Facsimile No.: +44 1534 609 333

Attention: The Directors

FROM: Société Générale Tour Société Générale 17 cours Valmy 92987 Paris la Défense Cedex

Telephone No: + 33 1 42 13 31 60

Facsimile No: + 33 1 42 13 44 17

Attention: OPER/DFI/TAU/EXO

SUBJECT: Credit Derivative Transaction

REFERENCE NUMBER: Claris Limited 67/2006 SG Internal reference number EXO-1039653

__________________________________________________________________________________

Dear Sirs,

The purpose of this letter (this “Confirmation”) is to confirm the terms and conditions of the Credit Derivative Transaction entered into between us on the Trade Date specified below (the “Transaction”). This Confirmation constitutes a “Confirmation” as referred to in the Agreement specified below. The definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions (the “Credit Derivatives Definitions”), as published by the International Swaps and Derivatives Association, Inc., are incorporated into this Confirmation. In the event of any inconsistency between the Credit Derivatives Definitions and this Confirmation, this Confirmation will govern.

This Confirmation supplements, forms part of and is subject to the agreement (the “Agreement”) which arises pursuant to Part 5(d) of the Schedule to the ISDA Master Agreement dated as of 1 April 2005 entered into between you and us. All provisions contained in the Agreement shall govern this Confirmation except as expressly modified below.

Reference is also made to the terms and conditions of the Series 67/2006 Tranche 1 EUR 40,000,000 Napa Valley V(II) Synthetic CDO of ABS Floating Rate Notes due 2026 (the “Notes”) issued by you, as set out in the Principal Trust Deed and the Supplemental Trust Deed (as the same may be amended from time to time, the “Conditions”). In the event of any inconsistency between the Conditions and this Confirmation, this Confirmation will govern.

The terms of the Transaction to which this Confirmation relates are as follows:

37

1. General Terms:

Trade Date: 26 April 2006.

Effective Date: Trade Date.

Scheduled Termination Date: 24 May 2026.

Termination Date: The Protection Buyer’s obligation to pay Fixed Amounts to the Protection Seller will terminate on the earliest of (i) the Scheduled Termination Date, (ii) the Revised Maturity Date (as defined in the Conditions) and (iii) the Time Call Date (as defined below) in circumstances described more fully in “Optional Termination of the Default Swap” below, such earliest date being the “Termination Date”).

The Protection Seller’s obligation to pay Cash Settlement Amounts and Net Rebate Amounts to the Protection Buyer will continue beyond the Scheduled Termination Date in respect of any ABS Reference Obligation for which:

(i) the Conditions to Settlement have been satisfied; or

(ii) a Potential ABS Failure to Pay has been notified,

in each case, on or prior to the Latest Determination Time.

Optional Termination of the Default Swap:

The Protection Buyer has a right but not an obligation to terminate this Transaction in whole but not in part on any Interest Payment Date, from and including the Interest Payment Date falling on 24 May 2009 (such date, the “Time Call Date”) by giving to the Issuer not less than four Business Days’ prior written notice (the date such notice is given, the “Time Call Notice Date”), provided that such right may not be exercised by the Protection Buyer if its short term rating is, at the time of the relevant Time Call Notice Date, rated below “P-1” by Moody’s or if its senior unsecured debt long term rating is rated below “A1” by Moody’s, unless sufficient collateral has been posted by the Protection Buyer and, prior to such exercise, written confirmation has been received from the Rating Agency that the rating of the Notes has not been reduced or withdrawn as a result of insufficient collateral to make such call.

For the avoidance of doubt, no Net Rebate Amount shall be payable on the Time Call Date and any Final Valuation Notice provided after the Time Call Notice Date shall be disregarded.

The Protection Buyer’s obligation to pay Fixed Amounts and the Protection Seller’s obligation to pay Floating Amounts and Net Rebate Amounts to the Protection Buyer shall terminate on the Time Call Date if the Protection Buyer has exercised its right to terminate this Transaction on such date.

Notwithstanding the above, the Protection Buyer shall be deemed to have exercised its right to terminate the Transaction if the Protection Buyer is required to but fails to post the Additional Collateral described at paragraph 8 below prior to

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the sixth Business Day prior to the Fixed Rate Payer Payment Date scheduled to fall on the Step Up Date.

Floating Rate Payer: Claris Limited (the “Protection Seller”).

Fixed Rate Payer: Société Générale (the “Protection Buyer”).

Calculation Agent: Société Générale.

Calculation Agent City: New York, provided that any reference in Section 1.10 of the Credit Derivatives Definitions to “4:00 p.m.” and “Calculation Agent City Business Day” shall be replaced with a reference to “5:00 p.m.” and “Business Day”, respectively.

Portfolio Adjustment Agent: Société Générale.

Portfolio Administrator: Wells Fargo Bank, N.A.

Reference Entity: As at the second Business Day prior to the Effective Date, any entity listed as such in Appendix A (or its Successor), and thereafter any entity (or its Successor) that is included in and has not been removed from the Reference Portfolio by virtue of the provisions of this Confirmation.

ABS Reference Entity: Any Reference Entity, the Reference Obligation of which is an ABS Reference Obligation.

ABS Reference Obligation: As of the Effective Date any obligation in Appendix A, and thereafter any obligation that is included in and has not been removed from the Reference Portfolio by virtue of the Portfolio Adjustment provisions at paragraph 6 of this Confirmation.

Reference Obligation: Each ABS Reference Obligation.

Reference Price: 100%.

Initial Portfolio Notional Amount: EUR 2,000,000,000.

Portfolio Notional Amount: As at any day, the sum of all Reference Obligation Notional Amounts as at the close of business on that day (after taking into account any Portfolio Adjustments occurring on that day).

Business Day Convention: Following (which, unless otherwise specified, shall apply to any date referred to in this Confirmation that falls on a day that is not a Business Day).

Business Days: Paris, London, New York and TARGET Settlement Day.

2. Fixed Payments, Additional Fixed Payment and Final Exchange:

Fixed Rate Payer Calculation Amount:

In respect of each Fixed Rate Payer Payment Date, an amount determined by the Calculation Agent on the applicable Payment Observation Date, equal to the sum of the Tranche Notional Amount for each day of the Fixed Rate Payer Calculation Period relating to such Fixed Rate Payer Payment Date (each such day a “Fixed Rate Calculation Date”) divided by the actual number of days in such Fixed Rate Payer Calculation Period, subject to a minimum of zero

39

where:

“Tranche Notional Amount” means, with respect to a Fixed Rate Calculation Date, an amount equal to the Initial Tranche Notional Amount minus the Aggregate Cash Settlement Amount as at that Fixed Rate Calculation Date.

Notwithstanding Section 2.5 or Article V of the Credit Derivatives Definitions, the Fixed Amount payable by the Protection Buyer on the Fixed Rate Payer Payment Date (the “Bridge Date”) immediately following the Securities Maturity Date (as defined in the Conditions) shall be calculated in accordance with the Fixed Amount Adjustment Method provisions below.

Fixed Rate payable by Protection Buyer:

The sum of: (i) (a) 0.40 per cent. per annum with respect to each Fixed Rate Payer Calculation Period from and including the Fixed Rate Payer Calculation Period scheduled to commence on (and include) the Effective Date to and including the Fixed Rate Payer Calculation Period scheduled to end on (but exclude) 24 May 2013 (the “Step Up Date”) or (b) 0.70 per cent. per annum with respect to each Fixed Rate Payer Calculation Period from and including the Fixed Rate Payer Calculation Period scheduled to commence on (and include) the Step Up Date to and including the Fixed Rate Payer Calculation Period scheduled to end on (but exclude) the Scheduled Termination Date and (ii) the Deposit Margin (as defined in the Deposit Agreement), multiplied by the nominal amount of the Main Deposit divided by the Tranche Notional Amount, such Deposit Margin being notified by the Protection Seller to the Protection Buyer,

Provided that the Fixed Rate payable by the Protection Buyer shall not exceed 1.40 per cent. per annum prior to the Step Up Date and 1.70 per cent. per annum thereafter or be less than zero.

Fixed Rate Payer Payment Dates: Each Fixed Rate Payer Period End Date.

Payment Observation Date: With respect to any Fixed Rate Payer Payment Date, the date occurring two Business Days prior to that Fixed Rate Payer Payment Date.

Fixed Rate Payer Calculation Period:

Each period from, and including, one Fixed Rate Payer Period End Date to, but excluding, the next following Fixed Rate Payer Period End Date, except that (a) the initial Fixed Rate Payer Calculation Period will commence on, and include, the Effective Date, and (b) the final Fixed Rate Payer Calculation Period will end on, but exclude, the Termination Date.

Fixed Rate Payer Period End Dates: 24 February, 24 May, 24 August and 24 November in each year from and including 24 August 2006.

Fixed Rate Day Count Fraction: Actual/360.

Fixed Amount Adjustment Method: If the Calculation Agent determines in its sole discretion that, as at the Bridge Date, the Hedging Interest Amount does not equal the Interest Amount (as defined in the Conditions)

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payable in respect of the Notes on the Interest Payment Date on which the Bridge Date falls, then the Calculation Agent shall give written notice to the Protection Buyer and the Protection Seller (with a copy to the Issuing and Paying Agent) of such fact. Such notice shall include details of the relevant Interest Amount, the Hedging Interest Amount and the Bridge Shortfall.

If the sum of the Bridge Shortfall and the Scheduled Fixed Amount is greater than zero, the Fixed Amount payable by the Protection Buyer on the Bridge Date shall be such sum.

If the sum of the Bridge Shortfall and the Scheduled Fixed Amount is less than zero, then

(a) the Fixed Amount on the Bridge Date shall be deemed to be zero; and

(b) the Protection Seller shall on the Bridge Date pay the product of (i) the sum of the Bridge Shortfall and the Scheduled Fixed Amount and (ii) negative one (-1) to the Protection Buyer.

If the sum of the Bridge Shortfall and the Scheduled Fixed Amount is equal to zero, the Fixed Amount on the Bridge Date shall be deemed to be zero.

For these purposes:

“Bridge Shortfall” means an amount, which may be positive or negative, equal to (a) the Interest Amount would be payable in respect of the Notes on the Bridge Date (ignoring any amounts payable under paragraph 18(xv)(2) of the Offering Circular Supplement on such date, and assuming that the Notional Reduction Amount, as defined in paragraph 8 of the Offering Circular Supplement is zero on each relevant Calculation Date in the Interest Period relating to such Interest Amount) minus (b) the Hedging Interest Amount.

“Final IRS Amount” means the Floating Amount (as defined in the Interest Rate Swap) paid by Société Générale (or any Eligible Transferee as defined in the Interest Rate Swap) on the Termination Date of the Interest Rate Swap.

“Hedging Interest Amount” means the sum of (a) the Scheduled Fixed Amount and (b) the Final IRS Amount and (c) the Floating Rate Interest Amount (as defined in the Deposit Agreement) payable on the Bridge Date pursuant to the Deposit Agreement.

“Scheduled Fixed Amount” means the Fixed Amount that would otherwise be payable by the Protection Buyer on the Bridge Date if it were not for these Fixed Amount Adjustment Method provisions.

Additional Fixed Payment: In addition to the obligation of the Protection Buyer to pay the Fixed Amount on each Fixed Rate Payer Payment Date, the Protection Buyer shall on the Issue Date of the Notes pay to

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the Protection Seller EUR 63,151.02.

Final Exchange Payer: Buyer or Seller (as set out in Final Exchange Payer Amount below).

Final Exchange Payer Amount: In the event that the Issuer exercises, or is deemed to have exercised, its Call Option (as described in the Offering Circular Supplement with respect to the Notes), an amount equal to the difference between (i) the sum of the Call Redemption Proceeds and the Interest Rate Swap Termination Payment and (ii) the Optional Redemption Amounts payable under the Notes will be paid from the Protection Seller to the Protection Buyer (in the event that such sum as described in (i) above exceeds the Optional Redemption Amounts payable under the Notes) or paid from the Protection Buyer to the Protection Seller (in the event that such sum as described in (i) above is less than the Optional Redemption Amounts payable under the Notes).

Where:

“Interest Rate Swap Termination Payment” means any termination payments payable under Section 6(e) of the Agreement in the event the Interest Rate Swap is terminated pursuant to the provisions of the Interest Rate Swap following an exercise by the Protection Buyer of its option described at “Optional Termination of the Default Swap” above, with termination payments payable by the fixed rate payer of the Interest Rate Swap expressed as a negative number and termination payments payable by the floating rate payer of the Interest Rate Swap expressed as a positive number.

Final Exchange Payer Payment Dates:

On the Optional Redemption Date (as defined in the Offering Circular Supplement).

3. Floating Payments:

Conditions to Settlement: In respect of each ABS Reference Obligation:

Credit Event Notice

Notifying Party: Protection Buyer

Notice of Publicly Available Information: Applicable

For the avoidance of doubt, the Conditions to Settlement may be satisfied more than once in relation to this Transaction, but once only in respect of any one ABS Reference Obligation provided that, in the event a Credit Event occurs in respect of an ABS Reference Entity where there is more than one ABS Reference Obligation of such ABS Reference Entity in the Reference Portfolio at such time, the Conditions to Settlement may be satisfied in respect of each such ABS Reference Obligation.

Event Determination Date: In respect of an ABS Reference Obligation, the first date on which the Credit Event Notice including Publicly Available Information is effective and Section 1.8 of the Credit

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Derivatives Definitions shall not apply.

Credit Event Notice: The Protection Buyer shall, upon the delivery of a Credit Event Notice in accordance with the Credit Derivatives Definitions as amended by this Confirmation, procure that a copy of such Credit Event Notice is delivered to the Calculation Agent, the Portfolio Administrator and the Rating Agency. For the avoidance of doubt, such additional delivery shall not constitute a Condition to Settlement.

Notice Delivery Period: Section 1.9 of the Credit Derivatives Definitions shall not apply and “Notice Delivery Period” shall mean the period from and including the Effective Date to and including the Latest Determination Time provided that a Credit Event Notice may be delivered after the Latest Determination Time in respect of any ABS Reference Obligation for which a Potential ABS Failure to Pay has been notified on or before the Latest Determination Time.

Credit Events: In respect of each ABS Reference Obligation:

ABS Failure to Pay Interest

ABS Failure to Pay Principal

ABS Notional Writedown

Downgrade Event

ABS Payment Requirement: USD 10,000

Notwithstanding Section 3.3 of the Credit Derivatives Definitions, an event shall not constitute a Credit Event unless it occurs at or before the Latest Determination Time provided that the occurrence of an ABS Failure to Pay Interest or an ABS Failure to Pay Principal after the Latest Determination Time shall constitute a Credit Event if the notice of the Potential ABS Failure to Pay resulting in such ABS Failure to Pay Interest or such ABS Failure to Pay Principal was provided at or before the Latest Determination Time.

Latest Determination Time: 5:00 p.m. (Paris time) on the second Business Day preceding the Scheduled Termination Date.

Obligations: Reference Obligations Only.

4. Settlement Terms:

Settlement Method: Cash Settlement.

Cash Settlement Amount: As determined on a Final Valuation Notice Receipt Date, the Cash Settlement Amount shall be the product of the Factor multiplied by:

(a) zero, if the Aggregate Loss Amount as at that Final Valuation Notice Receipt Date is less than or equal to the Threshold, or

(b) the excess of the Aggregate Loss Amount over the

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Threshold, if in respect of the immediately preceding Final Valuation Notice Receipt Date the Aggregate Loss Amount did not exceed the Threshold, or

(c) the Loss Amount, in all other circumstances,

provided that in no event shall the Aggregate Cash Settlement Amount exceed the Initial Tranche Notional Amount. In the event the Aggregate Cash Settlement Amount so calculated would exceed the Initial Tranche Notional Amount, the last Cash Settlement Amount shall be reduced so that the Aggregate Cash Settlement Amount equals the Initial Tranche Notional Amount.

Aggregate Cash Settlement Amount: Subject to paragraph 13 below:

(a) prior to the date on which any Cash Settlement Amount has been specified in a Final Valuation Notice, zero; and

(b) thereafter, on a Final Valuation Notice Receipt Date, an amount equal to the sum of the Aggregate Cash Settlement Amount immediately prior to such Final Valuation Notice Receipt Date and the sum of all Cash Settlement Amounts specified in the Final Valuation Notice relating to such Final Valuation Notice Receipt Date.

Cash Settlement Date: Five Business Days following a Final Valuation Notice Receipt Date.

Net Rebate Amount: On each Cash Settlement Date, the Protection Seller shall also pay to the Protection Buyer in respect of each Reference Obligation in respect of which a Cash Settlement Amount is to be paid on such Cash Settlement Date an amount determined by the Calculation Agent in its sole and absolute discretion as being equal to:

(i) the amount of interest that would have been payable under the Notes in respect of the Interest Periods relating to all Payment Observation Dates occurring in the period from and including the relevant Event Determination Date relating to such Cash Settlement Amount to and including the Payment Observation Date immediately following the date on which such Cash Settlement Amount was determined, had the related Event Determination Date not occurred;

minus

(ii) the amount of interest that would have been calculated as payable under the Notes on all such Payment Observation Dates had such Cash Settlement Amount been determined and known as at such Event Determination Date,

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plus

(iii) an amount determined by the Calculation Agent in its sole and absolute discretion as being equal to the amount of interest received by the Issuer pursuant to the Deposit Agreement (as defined in paragraph 22(vii) of the Offering Circular Supplement) to the extent that such amount of interest received is attributable to an amount equal to the difference between the amounts described in (i) and (ii) above,

(such sum the “Net Rebate Amount”), which shall be notified by the Calculation Agent to the Protection Buyer after the Final Valuation Notice Receipt Date and prior to the Cash Settlement Date, subject to a minimum of zero.

Initial Tranche Notional Amount: Subject to paragraph 13 below, EUR 40,000,000.

Tranche Size: 2.00 per cent.

Threshold: EUR 20,000,000.

Aggregate Loss Amount: Subject to paragraph 13 below:

(a) prior to the date on which any Loss Amount has been specified in a Final Valuation Notice, zero; and

(b) thereafter, on a Final Valuation Notice Receipt Date, an amount equal to the sum of (i) the sum of all Loss Amounts that have been specified in Final Valuation Notice(s) prior to but not on such Final Valuation Notice Receipt Date; and (ii) the sum of all Loss Amounts specified in the Final Valuation Notice relating to such Final Valuation Notice Receipt Date.

Loss Amount: In respect of a Final Valuation Notice Receipt Date for each ABS Reference Obligation in respect of which an Event Determination Date has occurred and which has not previously been taken into account in the calculation of a Loss Amount, the greater of (i) the product of the Adjusted Reference Obligation Notional Amount for that ABS Reference Obligation and the excess of the Reference Price over the Final Price for that ABS Reference Obligation and (ii) zero.

Adjusted Reference Obligation Notional Amount:

With respect to an ABS Reference Obligation that has been the subject of an Event Determination Date, an amount equal to:

(i) the Reference Obligation Notional Amount of such ABS Reference Obligation at the date immediately preceding such Event Determination Date; less

(ii) the aggregate of all cash distributions made to a holder of such ABS Reference Obligation up to and including the day that is two Business Days prior to the relevant valuation date (as determined pursuant to the Final Price determination procedure set out below) in relation to a principal amount of such ABS Reference Obligation equal to its Reference Obligation Notional

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Amount as at the date immediately preceding the Event Determination Date.

Factor: The quotient of (a) the Initial Tranche Notional Amount divided by (b) the product of (i) the Tranche Size multiplied by (ii) the Initial Portfolio Notional Amount.

Valuation: Sections 7.4, 7.5, 7.7, 7.8 and 7.10 of the Credit Derivatives Definitions shall not apply.

Final Price:

The Calculation Agent will determine the Final Price (expressed as a percentage of the relevant principal amount rounded up to four decimal places) in respect of each ABS Reference Obligation as follows:

The Calculation Agent will attempt to obtain Full Quotations from at least five Quotation Dealers on the Initial Valuation Date.

If the Calculation Agent obtains at least two Full Quotations on the Initial Valuation Date, the Final Price will, subject to the following paragraph, be the highest such Full Quotation.

If (a) the Calculation Agent is unable to obtain at least two Full Quotations on the Initial Valuation Date or (b) the highest Full Quotation determined as detailed above on the Initial Valuation Date would otherwise be below the Moody’s Expected ABS Recovery Rate such Full Quotation shall not constitute the Final Price. In these circumstances, the Calculation Agent shall attempt to obtain Full Quotations from at least five Quotation Dealers on the day falling one calendar month after the Initial Valuation Date and on each day falling one calendar month thereafter (or, in the case where such day is not a Business Day, the first Business Day falling after such date) (each, an “Interim Valuation Date”) until and including the earlier of (i) the date on which more than two Full Quotations are obtained and the highest such Full Quotation is equal to or higher than the Moody’s Expected ABS Recovery Rate (in which case, such highest Full Quotation shall constitute the Final Price) or (ii) the date falling 12 calendar months after the Initial Valuation Date.

If no Final Price has been determined as set out above, the Calculation Agent shall attempt to obtain Full Quotations from at least five Quotation Dealers on the day falling 13 calendar months following the Initial Valuation Date (the “Final Valuation Date”) and the Final Price in respect of the relevant Reference Obligation shall be the price determined by the Calculation Agent as follows:

(a) if the Calculation Agent obtains at least two Full Quotations on the Final Valuation Date, the Final Price will be the highest of such Full Quotations; or

(b) if the Calculation Agent is unable to obtain at least two Full Quotations on the Final Valuation Date but obtains one Full Quotation, the Final Price shall be

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such Full Quotation;

(c) if the Calculation Agent is unable to obtain at least one Full Quotation, the Final Price shall be the weighted average of firm quotations obtained from Quotation Dealers on the Final Valuation Date, to the extent reasonably practicable, each for an amount of the ABS Reference Obligation with an outstanding principal balance of as large a size as available but less than the Quotation Amount that in aggregate are approximately equal to the Quotation Amount; or

(d) if the Calculation Agent is unable to obtain at least one firm quotation, the Final Price shall be deemed to be zero.

Full Quotation: Firm bid quotation for the relevant Reference Obligation with an outstanding principal amount, excluding accrued interest, less than or equal to the Adjusted Reference Obligation Notional Amount or its equivalent in the currency of the Reference Obligation (the “Quotation Amount”).

Quotation Dealers: With respect to an ABS Reference Obligation, at least five dealers (each a “Quotation Dealer”) determined in accordance with (a) through (d) below, from which the Calculation Agent shall attempt to obtain quotations in the order specified:

(a) the arranger of the ABS Reference Obligation in respect of which a Quotation is being sought;

(b) any lead and co-lead managers in respect of such ABS Reference Obligation;

(c) any other participant in the asset backed security market that is, in the opinion of the Calculation Agent, of recognised good standing in such market and in the leading 10 institutions in such market as named by a market source; and

(d) any other institution as determined by the Calculation Agent.

In connection with any requests for quotations in respect of an ABS Reference Obligation, the Calculation Agent may, but shall not be required to, inform the relevant Quotation Dealers of the occurrence and nature of the relevant Credit Event and the circumstances under which such Credit Event occurred.

The Calculation Agent or the Protection Buyer may constitute a Quotation Dealer provided that any Quotation obtained from the Calculation Agent or the Protection Buyer shall not be taken into account for the purposes of any requirement to obtain Quotations from a specified number of Quotation Dealers. For the avoidance of doubt, any bid quotation provided by the Calculation Agent or the Protection Buyer shall be the quotation it would provide to a counterparty in the

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market, as determined in its sole and absolute discretion.

Final Valuation: The Calculation Agent (on behalf of Protection Buyer) will send a Final Valuation Notice to the Protection Seller, with a copy to the Clearing System, the Protection Buyer, the Rating Agency and the Portfolio Administrator, within 5 Business Days of determining a Final Price.

Notice and Account Details: Contact Details for Notices:

Protection Buyer:

Tour Société Générale 17 cours Valmy 92987 Paris La Défense Cedex

Telephone No: + 33 1 42 13 31 60 Fax No: + 33 1 42 13 44 17 Attention: OPER/DFI/TAU/EXO/Sovanna Menigoz

Protection Seller:

HSBC Bank plc (as Notice Agent) 8 Canada Square London E14 5HQ Fax No: + 44 20 7260 8932

Attention: Corporate Trust and Loan Agency, the Manager, BPA Desk

cc: Claris Limited 22 Grenville Street St. Helier Jersey JE4 8PX Fax No: + 44 1534 609 333 Attention: Company Secretary

Account Details:

Protection Buyer:

For the Account of: Société Générale Paris Name of Bank: Société Générale, Paris Ref: OPER/DFI/TAU/MID/PRO SWIFT Code: SOGEFRPPHCM

Protection Seller:

For the Account of: Claris Limited Name of Bank: HSBC Bank plc Account number: 57524703 SWIFT Code: MIDLGB22 Ref: Claris Series 67/2006

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Offices:

Protection Buyer:

Paris

Protection Seller:

St. Helier, Jersey

5. The Reference Portfolio

The reference portfolio (the “Reference Portfolio”) shall as at the Effective Date consist of the Reference Obligations listed in Appendix A (the “Initial Reference Portfolio”). Thereafter, in respect of any date, the Reference Portfolio shall comprise the Initial Reference Portfolio as amended by any Portfolio Adjustments that have been effected by the Portfolio Adjustment Agent from and including the Effective Date to and including such date.

The Portfolio Administrator shall on the Issue Date of the Notes confirm whether the Initial Reference Portfolio complies with the Portfolio Adjustment Rules.

6. Portfolio Adjustments

6.1 Ability to effect Portfolio Adjustment

On each Business Day following the Effective Date up to and including the date falling ten Business Days prior to the Fixed Rate Payer Payment Date scheduled to fall on the Step Up Date (each a “Portfolio Adjustment Date”), the Portfolio Adjustment Agent may, subject to the Procedure for Portfolio Adjustments referred to below, effect any of the following modifications to the Reference Portfolio (each a “Portfolio Adjustment”):

(a) remove the whole or any part of an ABS Reference Obligation from the Reference Portfolio (a “Removal”), provided that (1) with respect to any Removal occurring after the Last Ramp-Up Date, the Portfolio Adjustment Agent may not effect any Removal where the relevant removal of ABS Reference Obligations from the Reference Portfolio would result in the cumulative total of the Reference Obligation Notional Amounts (or parts thereof) of all ABS Reference Obligations removed from the Reference Portfolio (i) after but excluding the Last Ramp-Up Date and (ii) in the calendar year in which such Portfolio Adjustment Date falls (pursuant to all Removals) but (iii) excluding the unamortised portion of the Reference Obligation Notional Amount of any ABS Reference Obligation which has been or is the subject of a Removal and which has been or is the subject of a Replenishment in respect of the amortised portion of its Reference Obligation Notional Amount, exceeding 20 per cent. of the Initial Portfolio Notional Amount; and (2) the Portfolio Adjustment Rules are met in respect of the Reference Portfolio as of the relevant Portfolio Adjustment Date (and after taking into account (i) the ABS Reference Obligation to be removed, (ii) any other ABS Reference Obligations removed on such Portfolio Adjustment Date pursuant to this section and (iii) any ABS Reference Obligations added on such Portfolio Adjustment Date pursuant to Replenishments);

(b) add new ABS Reference Obligations to the Reference Portfolio (a “Replenishment”) to replace, in whole or in part, any Reference Obligation whose Reference Obligation Notional Amount has either been reduced or removed following a Removal with any replacement ABS Reference Obligation, provided that the Portfolio Adjustment Rules are met in respect of the Reference Portfolio as of the relevant Portfolio Adjustment Date (after taking into account (i) the ABS Reference Obligation to be added, (ii) any other ABS Reference Obligations added on such Portfolio Adjustment Date pursuant to this section and, (iii) any ABS Reference Obligations removed on such Portfolio

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Adjustment Date pursuant to Removals). For the avoidance of doubt, an ABS Reference Obligation may be added to the Reference Portfolio under this section in circumstances where the ABS Reference Obligation to be replaced has been (A) amortised, repaid or cancelled (in whole or in part) or (B) removed pursuant to (a) above (in whole or in part), but not in circumstances where the ABS Reference Obligation has been removed from the Reference Portfolio (or had its Reference Obligation Notional Amount reduced) as a consequence of an Event Determination Date in respect thereof. In the event that the Portfolio Adjustment Agent specifies that “Automatic Replenishment” is to apply in relation to any ABS Reference Obligation, such ABS Reference Obligation will, upon any amortisation, repayment or cancellation in part of such ABS Reference Obligation be deemed to be automatically subject to a Replenishment of such ABS Reference Obligation in an amount equal to such amortisation, repayment or cancellation. The Portfolio Adjustment Agent may by notice to the Portfolio Administrator, at any time specify that an ABS Reference Obligation in the Reference Portfolio is to either (i) cease to be subject to or (ii) become subject to, Automatic Replenishment.

For the avoidance of doubt, the Portfolio Adjustment Agent may effect one or a group of more than one Portfolio Adjustments at any one time.

The Portfolio Adjustment Agent may not effect a Portfolio Adjustment or group of Portfolio Adjustments if such Portfolio Adjustment or group of Portfolio Adjustments, as appropriate, fails to comply with the Portfolio Adjustments Rules set out in Part I of Appendix B.

For the purpose of this paragraph 6.1, “Last Ramp-Up Date” means the Fixed Rate Payer Payment Date scheduled to fall on 24 May 2007.

6.2 Procedure for Portfolio Adjustments

The Portfolio Adjustment Agent shall deliver a written notice (a “Portfolio Adjustment Notice”) (substantially in the form as set out in Part II of Appendix B) to the Portfolio Administrator of its intention to make a Portfolio Adjustment. A Portfolio Adjustment Notice shall, in respect of each ABS Reference Obligation that is the subject of the proposed Portfolio Adjustment, identify the following:

(a) whether the proposed Portfolio Adjustment is a Replenishment or Removal;

(b) the name of the ABS Reference Entity;

(c) the name of the ABS Reference Obligation;

(d) the ISIN code in respect of the relevant ABS Reference Obligation;

(e) the Moody’s Rating or the Equivalent Moody’s Rating of such ABS Reference Obligation at the Portfolio Adjustment Date;

(f) the Predominant Domicile of the Underlying Assets;

(g) the Reference Obligation Notional Amount;

(h) the Moody’s ABS Classification;

(i) the Moody’s Expected ABS Recovery Rate;

(j) in the case of a Replenishment, the Weighted Average Life of such ABS Reference Obligation at the time of the Replenishment;

(k) the Key Agent;

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(l) the Haircut of such ABS Reference Obligation determined according to Moody’s Liquidity Haircut Table shown in Part I of Appendix C;

(m) the Initial Rating;

(n) the Tranche Weighting;

(o) the Adjusted Rating; and

(p) the ABS Issue Date.

The Portfolio Administrator shall, not later than one Business Day prior to the relevant Portfolio Adjustment Date, confirm that the proposed Portfolio Adjustment complies with the Portfolio Adjustment Rules by sending to the Portfolio Adjustment Agent an Adjustment Acknowledgement Notice (substantially in the form as set out in Part III of Appendix B).

No Portfolio Adjustment shall be effective unless the Portfolio Administrator has confirmed that the proposed Portfolio Adjustment complies with the Portfolio Adjustment Rules on or before the relevant Portfolio Adjustment Date.

6.3 Reporting

The Portfolio Administrator shall keep a record of all Portfolio Adjustments to the Reference Portfolio and maintain a register recording the composition of the Reference Portfolio at any time, including:

(a) the name of each ABS Reference Entity;

(b) the name of each ABS Reference Obligation;

(c) the ISIN code in respect of each ABS Reference Obligation;

(d) the current Moody’s Rating or Equivalent Moody’s Rating of each ABS Reference Obligation;

(e) the Adjusted Rating of each ABS Reference Obligation;

(f) the Initial Rating of each ABS Reference Obligation;

(g) the Predominant Domicile of the Underlying Assets in respect of each ABS Reference Obligation;

(h) the Reference Obligation Notional Amount in respect of each ABS Reference Obligation;

(i) the Moody’s ABS Classification in respect of each ABS Reference Obligation;

(j) the Key Agent in respect of each ABS Reference Obligation;

(k) the Moody’s Expected ABS Recovery Rate in respect of each ABS Reference Obligation;

(l) in the case of each Replenishment, the Weighted Average Life of the ABS Reference Obligation at the time of such Replenishment;

(m) details of all Replenishments and Removals;

(n) the Tranche Weighting of each ABS Reference Obligation;

(o) the Haircut of each ABS Reference Obligation determined according to Moody’s Liquidity Haircut Table shown in Part I of Appendix C; and

(p) the ABS Issue Date of each ABS Reference Obligation.

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The Calculation Agent (on behalf of the Protection Buyer) will send the Moody’s Input to Moody’s at monitor.paris@moodys.com within five Business Days of the last Business Day in each calendar month.

6.4 Identical Management

Each of the parties hereto acknowledges and agrees that the Reference Portfolio will be identically managed in relation to this Transaction and the Related Transactions. Any Portfolio Adjustment to the Reference Portfolio in relation to this Transaction shall also be a Portfolio Adjustment for the purposes of the Reference Portfolio in relation to each of the Related Transactions.

7. Amendments to Agreement

(a) For the purposes of this Group of Transactions (as defined in the Agreement), this Transaction, the Interest Rate Swap and the Credit Support Annex, Section 5(a)(vii) of the Agreement shall be amended with respect to the Protection Seller, by:

(i) deleting each occurrence of the words “insolvency or” from sub-paragraph (4);

(ii) deleting the words “seeks or” and “trustee, custodian” from sub-paragraph (6);

(iii) deleting sub-paragraph (7) in its entirety;

(iv) replacing the number “(7)” with “(6)” in sub-paragraph (8); and

(v) deleting sub-paragraph (9) in its entirety.

(b) For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex, Section 2(c)(ii) of the Agreement shall not apply.

(c) If and for so long as the Protection Buyer has Posted Collateral in accordance with paragraph 8 below, Section 5(a)(i) of the Agreement shall be deleted with respect to the Protection Buyer and this Transaction.

(d) For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex only, Section 2(a)(iii) of the Agreement shall be amended with respect to the Protection Buyer only by deleting the words “or Potential Event of Default”.

(e) For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex only, Section 3 of the Agreement shall be amended with respect to the Protection Seller only by, the deletion of the words “or Potential Event of Default” from paragraph (b).

(f) For the avoidance of doubt, in the event that the Protection Buyer fails to make payment of any Fixed Amount on any Fixed Rate Payer Payment Date, such failure shall not constitute a Failure to Pay or Deliver Event of Default under Section 5(a)(i) of the Agreement if and to the extent a corresponding Return Amount (as defined in the Credit Support Annex) is due to be transferred from the Transferee (as defined in the Credit Support Annex) to the Transferor (as defined in the Credit Support Annex) on such Fixed Rate Payer Payment Date (as more particularly described in the Credit Support Annex) or if the Transferor’s Credit Support Balance is reduced to satisfy or discharge any amount the Transferor is required to pay to the Transferee (as more particularly described in the Credit Support Annex), and the obligations of the Protection Buyer, the Transferor and the Transferee to make any such payment and transfer as described above shall be satisfied and discharged pursuant to Section 2(c) of the Agreement.

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(g) For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex, Part 5(a) of the Schedule to the Agreement shall be replaced with the following:

“(a) Gross Up

In respect of any payment to be made by Party A, no Tax shall constitute an Indemnifiable Tax if such Tax arises as a result of a Change in Tax Law. In respect of any payment to be made by Party B, no Tax shall constitute an Indemnifiable Tax.”

(h) For the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex, Section 5(b)(ii)(x) of the Agreement shall not apply with respect to Party A provided that if Section 5(b)(ii)(x) would, but for the operation of this paragraph 7(h) apply to Party A, Party A may transfer (at its own cost and expense) all its rights and obligations under the Agreement in respect of this Transaction, the Interest Rate Swap and the Credit Support Annex to another of its Offices or Affiliates so that Section 5(b)(ii)(x) (assuming Section 5(b)(ii)(x) would, but for the operation of this paragraph 7(h) apply to Party A) ceases to apply to Party A provided that, if Party A effects such a transfer, a “Misrepresentation” Event of Default under Section 5(a)(iv) shall be deemed not to have occurred to Party A and provided further that Party A shall be liable to reimburse Party B for all costs and expenses incurred by Party B in effecting such transfer by Party A.

(i) Notwithstanding anything to the contrary in the Agreement (including, for the avoidance of doubt, Section 6(d)), for the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex only, in the event that an Early Termination Date is designated or occurs other than as a result of an Event of Default or Termination Event with respect to which the Protection Seller is the Defaulting Party or an Affected Party, as the case may be, any amount payable by the Protection Seller to the Protection Buyer under Section 6(e) shall not be payable until the Business Day immediately following the Maturity Date (as defined in the terms and conditions to the Notes).

(j) Notwithstanding Part 1(i) of the Schedule to the Agreement, Section 5(b)(iii)(Tax Event Upon Merger) shall apply to Party B provided that, following the occurrence of a Tax Event Upon Merger, Party A shall, notwithstanding the provisions of Section 6(b)(ii)(Transfer to Avoid Termination Event) of the Agreement, use all reasonable efforts (which shall not require Party A to incur a loss, excluding immaterial, incidental expenses) to transfer all of its rights and obligations under this Confirmation to another of its Offices or Affiliates so that such Tax Event Upon Merger ceases to exist. As long as Party A has not effected such a transfer, then notwithstanding the provisions of Part 5(a) (Gross Up) of the Schedule to the Agreement, the provisions of Section 2(d)(i)(4) (Deduction or Withholding for Tax) of the Agreement shall, notwithstanding Part 5(a)(Gross Up) of the Schedule, apply unamended in respect of all payments to be made by Party A to Party B in connection with this Confirmation and if Party A fails to so gross up, a Termination Event shall be deemed to have occurred with Party A as the sole Affected Party.

8. Replacement of Protection Buyer

In the event that the Moody’s short term issuer credit rating of the Protection Buyer falls below “P-1” or the Moody’s senior unsecured debt long term rating of the Protection Buyer falls below “A1” (the date on which either such rating falls below “P-1”, or “A1” as the case may be, the “Downgrade Date”), the Protection Buyer may either:

(a) transfer its obligations in respect of this Transaction to a financial institution (an “Eligible Transferee”), the short term issuer credit rating and senior unsecured debt long term rating of which by Moody’s is equal to or higher than “P-1” and “A1” respectively, and which has entered into a credit support annex substantially the same as the Credit Support Annex,

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subject to Rating Agency Confirmation that the then current rating of the Notes will not be adversely affected; or

(b) procure that its obligations in respect of this Transaction are guaranteed in favour of the Protection Seller by a guarantor (an “Eligible Guarantor”), the short term issuer credit rating and senior unsecured debt long term rating of which by Moody’s is equal to or higher than Prime-1 and A1 respectively, subject to Rating Agency Confirmation that the then current rating of the Notes will not be adversely affected.

If the Protection Buyer fails to satisfy either of paragraphs (a) or (b) above within 30 calendar days of the Downgrade Date, the Protection Buyer shall immediately post cash (such posting, a “Posting” and the date of such Posting, the “Posting Date”) to the Protection Seller of an amount equal to all Fixed Amounts payable but not yet paid by the Protection Buyer from and including the Downgrade Date to and including the Fixed Rate Payer Payment Date scheduled to fall on the Step Up Date (such amount, the “Collateral”), subject to the terms of the Credit Support Annex attached to the Agreement (including any terms relating to the return of such Collateral as more particularly described therein).

In addition, if the Protection Buyer has still not satisfied either of paragraphs (a) or (b) above and has, on the date that is six Business Days prior to the Step Up Date, a short term issuer credit rating and senior unsecured debt long term rating of less than “P-1” or “A1” respectively, the Protection Buyer shall post cash of an amount equal to all Fixed Amounts payable but not yet paid by the Protection Buyer from and excluding the Step Up Date to and including the Scheduled Maturity Date (such amount, the “Additional Collateral”), subject to the terms of the Credit Support Annex attached to the Agreement (including any terms relating to the return of such Additional Collateral as more particularly described therein).

Notwithstanding the above, for the purposes of calculating the Collateral and the Additional Collateral:

(i) the Deposit Margin, as defined in the Deposit Agreement, shall be deemed to be 1 per cent. per annum;

(ii) the Fixed Amount Adjustment Method provisions shall apply; and

(iii) in the case of a Downgrade Date that occurs prior to the Securities Maturity Date, the Bridge Shortfall shall be deemed to be zero.

On any day following the Posting Date, the Protection Buyer may, notwithstanding any Posting, transfer to an Eligible Transferee or procure the guarantee by an Eligible Guarantor of its obligations in respect of this Transaction in accordance with paragraphs (a) and (b) above. Upon the satisfaction of such provisions, any Collateral or Additional Collateral posted by the Protection Buyer pursuant to the terms above in this paragraph 8 shall be returned to the Protection Buyer, in accordance with the terms of the Credit Support Annex attached to the Agreement.

In the event that a Downgrade Date occurs and the Protection Buyer recovers, where applicable, a short term issuer credit rating and a senior unsecured debt long term rating of at least “P-1” and “A1” respectively, then any Collateral or Additional Collateral previously posted by the Protection Buyer shall be transferred back to the Protection Buyer in accordance with the terms of the Credit Support Annex, provided, for the avoidance of doubt, that this paragraph 8 will apply in the event a Downgrade Date following such recovery subsequently occurs.

For the purposes of determining the rating of the Protection Buyer pursuant to this paragraph 8, the rating of the Protection Buyer shall be the higher of the rating granted by Moody’s to (i) the Protection Buyer and (ii) any guarantor of the obligations of the Protection Buyer hereunder, provided that Moody’s shall have given the Rating Agency Confirmation.

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All out-of-pocket expenses, including legal fees, of either the Protection Buyer or the Protection Seller arising as a result of the Protection Buyer transferring or procuring a guarantee in respect of its obligations or Posting Collateral, in each case in accordance with this paragraph 8, shall be paid for by the Protection Buyer.

Following a transfer in accordance with this paragraph 8, no further payments shall be due from the Protection Seller to the Protection Buyer (other than a return of any Collateral in respect of any Posting under the Credit Support Annex).

Except for the Posting of the Additional Collateral during the 6 Business Days prior to the Step Up Date (a failure of which will result in the deemed exercise of the Issuer’s Call Option in accordance with paragraph 24 of the Offering Circular Supplement relating to the Notes), failure by the Protection Buyer to, where applicable, transfer its obligations or procure that its obligations are guaranteed or to post cash as described above in this paragraph 8, shall, constitute an Additional Termination Event (a “Downgrade Termination Event”) in respect of which the Protection Buyer shall be the sole Affected Party. If an Early Termination Date is designated in respect of such Downgrade Termination Event, the Protection Buyer agrees to purchase the Securities (as defined in the Conditions) from the Protection Seller, promptly upon demand from the latter, at par plus accrued interest.

For the avoidance of doubt, in the event that such deemed exercise of the Issuer’s Call Option applies, this Transaction shall be terminated in accordance with Parts 1(p)(i) and 5(b) of the Schedule to the Agreement.

9. This Transaction Not a Contract of Insurance

The parties confirm that this Transaction is not intended to be and does not constitute a contract of surety, insurance, guarantee or indemnity. The parties acknowledge that the payments to be made by the Protection Seller will be made independently and are not conditional upon the Protection Buyer sustaining or being exposed to risk or loss and that the rights and obligations of the parties hereunder are not dependent upon the Protection Buyer owning or having any legal, equitable or other interest in the Reference Obligations.

10. Netting

For the purposes of this Transaction only, paragraph 2(c)(ii) of the Agreement shall be amended by adding the words “or in respect of the Interest Rate Swap or Credit Support Annex” after the word “Transaction”.

11. Notification of Assignment

Notwithstanding Section 7 of the Agreement, for the purposes of this Transaction, the Interest Rate Swap and the Credit Support Annex only, the Protection Buyer hereby agrees and consents to the assignment by way of security by the Protection Seller of its interests under the Agreement (without prejudice to, and after giving effect to, any contractual netting provisions contained in the Agreement) to the Trustee (or any successor thereto) pursuant to and in accordance with the Trust Deed and acknowledges notice of such assignment. Each of the parties hereby confirms and agrees that the Trustee shall not be liable for any of the obligations of the Protection Seller under the Agreement.

12. Governing law

This Confirmation will be governed and construed in accordance with English law.

13. Partial Redemption and/or Purchase of the Notes and issuance of further Notes

(a) The Protection Seller may (i) purchase and redeem the Notes in accordance with Condition 7(i) (a “Purchase and Redemption”) and/or (ii) issue further Notes in accordance with

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Condition 14 (a “Further Issue”), in each case in accordance with the more detailed provisions of the Notes.

(b) Upon a Purchase and Redemption, the obligations of the parties under this Transaction shall be reduced pro-rata with the proportion of principal amount of the Notes so purchased and redeemed and an amount equal to the Mark-to-Market Change (if any) resulting from such adjustment will become payable between the parties, such Mark-to-Market Change in respect of this Transaction as calculated pursuant to the Mark-to-Market termination provisions of sub-paragraph (d) below.

(c) Upon a Further Issue, the obligations of the parties under this Transaction shall be increased pro-rata with the proportion of principal amount of the Notes so issued, and an amount equal to the Mark-to-Market Change (if any) resulting from such adjustment will become payable between the parties, such Mark-to-Market Change in respect of this Transaction as calculated pursuant to the Mark-to-Market termination provisions of sub-paragraph (d) below.

(d) Upon an adjustment of this Transaction upon a Purchase and Redemption or Further Issue, an amount will be payable as follows:

(i) if the Mark-to Market Value of this Transaction immediately prior to the adjustment is greater than the Mark-to-Market Value of the Transaction immediately following the adjustment, the Protection Seller will pay to the Protection Buyer the Mark-to-Market Change; or

(ii) if the Mark-to-Market Value of this Transaction immediately prior to the adjustment is less than the Mark-to-Market Value of this Transaction immediately following the adjustment, the Protection Buyer will pay to the Protection Seller the absolute value of the Mark-to-Market Change.

For the above purposes the following terms shall have the meanings specified below:

“Mark-to-Market Change” means an amount (which may be positive or negative) equal to the Mark-to-Market Value of a transaction having identical terms to this Transaction immediately prior to the relevant adjustment minus the Mark-to-Market Value of a transaction having identical terms to this Transaction immediately following such adjustment.

“Mark-to-Market Value” means at any time an amount which would be payable by the Protection Seller to the Protection Buyer (expressed as a positive) or by the Protection Buyer to the Protection Seller (expressed as a negative) pursuant to Section 6(e) of the Agreement as though an Early Termination Date had been designated as a result of a Termination Event under the Agreement for which the Protection Seller was the sole Affected Party and the only Affected Transaction was this Transaction in respect of which a Mark-to-Market Value was being determined.

(e) Upon an adjustment of this Transaction upon a Purchase and Redemption or Further Issue:

(i) the Initial Tranche Notional Amount shall be the product of (x) the Initial Tranche Notional Amount immediately prior to such adjustment multiplied by (y) the quotient of the number of Notes in issue immediately after such adjustment divided by the number of Notes in issue immediately before such adjustment; and

(ii) the Aggregate Cash Settlement Amount shall be the product of (x) the Aggregate Cash Settlement Amount immediately prior to such adjustment multiplied by (y) the quotient of the number of Notes in issue immediately after such adjustment divided by the number of Notes in issue immediately before such adjustment.

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14. Dispute Resolution

In the event that a party (the “Disputing Party”) does not agree with any determination made (or the failure to make any determination) by the Calculation Agent, the Disputing Party shall have the right to require that the Calculation Agent have such determination made by a disinterested third party that is a dealer of derivative obligations and that is, or whose Affiliates are, dealers in obligations of the type of the Reference Obligation but is not an Affiliate of either party. Such dealer shall be selected by the Calculation Agent in its reasonable discretion after consultation with the parties. Any exercise by the Disputing Party of its rights hereunder must be in writing and shall be delivered to the Calculation Agent as soon as possible but no later than the Business Day following the Business Day on which the Calculation Agent notifies the Disputing Party of any determination made (or of the failure to make any determination). Any determination by a disinterested third party shall be binding in the absence of manifest error and shall be made as soon as possible but no later than within five Business Days of the Disputing Party’s exercise of its rights hereunder. The costs of such disinterested third party shall be borne by (a) the Disputing Party if the disinterested third party substantially agrees with the Calculation Agent or (b) the non-Disputing Party if the disinterested third party does not substantially agree with the Calculation Agent. Determinations as to any amounts due shall (if possible) be calculated retrospectively with reference to the actual amount that was due on any Cash Settlement Date, and shall not account for subsequent changes with respect to any Reference Obligation. Interest on any amounts due that are subject to dispute shall be paid from (and including) the date of non-payment to (but excluding) the date such amount is paid, at the Termination Rate. Such interest will be calculated on the basis of daily compounding and the actual number of days elapsed.

15. Definitions

ABS Failure to Pay Interest: A failure to make a Scheduled Interest Payment in an aggregate amount of not less than the ABS Payment Requirement of an ABS Reference Obligation on the Scheduled Distribution Date, save that a Credit Event shall not occur:

(i) solely by reason of the addition of accrued interest to the principal amount of an ABS Reference Obligation or the separate recording of interest as capitalised interest or by reason of deferral of such interest according to the terms and conditions of the ABS Reference Obligation or the reduction of an interest amount in accordance with the terms of an available funds cap relating to a tranche of such ABS Reference Obligation in each case instead of being paid in cash (unless such addition of accrued interest or separate recording of interest or reduction of an interest amount constitutes a default or event of default under the terms of such ABS Reference Obligation in effect as of the date of such failure); or

(ii) solely by reason of such amount of interest being paid under an insurance contract, a financial guarantee or an indemnity,

in each case as provided for under the terms of such ABS Reference Obligation in effect as of the date of such failure.

For the purposes of determining whether an ABS Failure to Pay Interest has occurred, the effect of any limited recourse provisions described in the terms and conditions or any other

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provisions of the relevant ABS Reference Obligation shall be disregarded.

For the avoidance of doubt, a Credit Event shall not occur and the relevant Credit Event Notice shall be deemed, retroactively, not to have been delivered if the ABS Failure to Pay Interest is cured within one month of the Credit Event Notice and the Calculation Agent has determined in good faith that the payment failure was due to operational (administrative or technical) reasons.

ABS Failure to Pay Principal: (a) The irrevocable reduction in, or writedown of, the principal amount of an ABS Reference Obligation in an aggregate amount of not less than the ABS Payment Requirement in accordance with the terms of such ABS Reference Obligation at the time of such reduction or writedown as a result of the allocations of losses or cashflow shortfalls, however described, from the assets securing, directly or indirectly (including, for the avoidance of doubt, through a credit derivative transaction) the ABS Reference Obligation (other than any repayment in connection with a scheduled or non-scheduled payment of principal) provided that the Calculation Agent has determined that it is mathematically impossible assuming (i) no further defaults on the Underlying Assets and (ii) that the Underlying Assets continue to repay or prepay at the same rate as they have done since the ABS Reference Obligation was issued (excluding defaulted Underlying Assets) and (iii) taking into account the terms of the ABS Reference Obligation, for the reduction or writedown to be reversed and that the Calculation Agent has sent a written notice to the Rating Agency, the Issuer and the Trustee describing the determination of the mathematical impossibility;

(b) subject to the provisions below, the irrevocable reduction in, or writedown of, the principal amount of an ABS Reference Obligation in an aggregate amount of not less than the ABS Payment Requirement as a result of an amendment to the terms of the relevant ABS Reference Obligation (other than any repayment in connection with a scheduled or non-scheduled payment of principal in respect of the affected ABS Reference Obligation) which directly results in an economic loss for the holder of the ABS Reference Obligation provided that the Calculation Agent has determined that it is mathematically impossible assuming (i) no further defaults on the Underlying Assets and (ii) that the Underlying Assets continue to repay or prepay at the same rate as they have done since the ABS Reference Obligation was issued (excluding defaulted Underlying Assets) and (iii) taking into account the terms of the ABS Reference Obligation, for the reduction or writedown to be reversed and that the Calculation Agent has sent a

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written notice to the Rating Agency, the Issuer and the Trustee describing the determination of the mathematical impossibility; or

(c) a failure to pay the principal amount (excluding any principal constituted by deferred or capitalised interest) in an aggregate amount of not less than the ABS Payment Requirement of an ABS Reference Obligation at the earlier of (i) the legal maturity of such ABS Reference Obligation or (ii) the liquidation or distribution of all the assets securing, directly or indirectly (including, for the avoidance of doubt, through a credit-derivative transaction), such ABS Reference Obligation or designated to fund amounts due under such ABS Reference Obligation on a due date prior to the stated maturity of such ABS Reference Obligation after taking into account any Grace Period for that ABS Reference Obligation; provided that such failure shall not constitute an ABS Failure to Pay Principal if the amount of principal in respect of which such failure has occurred is paid under an insurance contract, a financial guarantee or an indemnity provided for under the terms of such ABS Reference Obligation in effect at the time of such failure.

For the purposes of determining whether an ABS Failure to Pay Principal has occurred, the effect of any limited recourse provisions described in the terms and conditions or any other provisions of the relevant ABS Reference Obligation shall be disregarded.

ABS Issue Date: Issue Date of the ABS Reference Obligation.

ABS Notional Writedown: In relation to an ABS Reference Obligation, there has been an irrevocable reduction in, or writedown of, the principal amount thereof or a redemption and/or cancellation in part thereof in circumstances which do not constitute a default under the terms thereof and in which holders thereof received less than par in relation to such irrevocable reduction or writedown or, as the case may be, in relation to the part redeemed and/or cancelled (the amount of such reduction being the “ABS Notional Writedown Amount”), and the terms of such ABS Reference Obligation do not provide for the reinstatement or reimbursement of the ABS Notional Writedown Amount provided that the Calculation Agent has determined that it is mathematically impossible, assuming (i) no further defaults on the Underlying Assets and (ii) that the Underlying Assets continue to repay or prepay at the same rate as they have done since the ABS Reference Obligation was issued (excluding defaulted Underlying Assets) and (iii) taking into account the terms of the ABS Reference Obligation, for the reduction or writedown to be reversed and that the Calculation Agent has sent a written notice to the Rating Agency, the Issuer and the Trustee describing the determination of the mathematical

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impossibility.

Adjusted Moody’s Expected ABS Recovery Rate:

In respect of a Reference Obligation, the product of (A) the Moody’s Expected ABS Recovery Rate and (B) the result of (i) one minus (ii) the Liquidity Haircut (as set out in Part I of Appendix C).

Adjusted Rating: Moody’s Rating adjusted by two notches down if the ABS Reference Obligation is on watch for possible downgrade and two notches up if on watch for possible upgrade (or Equivalent Moody’s Rating, if applicable).

Call Redemption Proceeds: Liquidation proceeds in respect of the Securities sold pursuant to the exercise by the Issuer of its Call Option and/or any redemption proceeds thereof and/or any monies held in the Deposit Account (as defined in the Offering Circular Supplement).

Credit Support Annex: The credit support annex dated as of 24 May 2006 between Société Générale and Claris Limited in connection with the issue by Claris Limited of the Notes.

Downgrade Event: In respect of an ABS Reference Obligation, the downgrade by Moody’s of such obligation to “Ca” or lower (if such ABS Reference Obligation has a Moody’s Rating).

Equivalent Moody’s Rating: The rating applied by Moody’s to an ABS Reference Obligation which has no Moody’s Rating, by notching the rating given by another rating agency, in accordance with the rules set out in Part III of Appendix C.

Expected Maturity: In respect of an ABS Reference Obligation, the expected maturity date of that ABS Reference Obligation as at the date that ABS Reference Obligation is issued as determined by the Calculation Agent.

Expected Scheduled Maturity: In respect of a date, the period, expressed in years, from and including such date to and including the Step Up Date.

Final Valuation Notice: A notice specifying each relevant Final Price, the relevant Loss Amount, the Aggregate Loss Amount and the Cash Settlement Amount.

Final Valuation Notice Receipt Date:

Each day upon which the relevant Clearing System (as defined in the terms and conditions of the Notes) receives a Final Valuation Notice. In the case a Final Valuation Notice is received in the period from and including a Payment Observation Date to but excluding the relevant Interest Payment Date, such notice shall be deemed to have been received on the first Business Day of the immediately following Interest Period.

Fitch: Fitch Ratings Ltd or any successor rating agency thereto.

Grace Period: As described in the Credit Derivatives Definitions except that the deemed Grace Period described in Section 1.12(a)(iii) shall not apply to any Obligation.

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Initial Valuation Date: In respect of each Reference Obligation for which the Calculation Agent has sent a Credit Event Notice, 45 Business Days following the relevant Event Determination Date.

Initial Rating: Moody’s Rating or Equivalent Moody’s Rating as of the ABS Issue Date.

Interest Rate Swap: The interest rate swap entered into between Société Générale and Claris Limited with a value date specified as the Issue Date in connection with the issue by Claris Limited of the Notes.

Key Agent: In respect of an ABS Reference Obligation, as defined in CDOROM(tm) Model Test.

Moody’s: Moody’s Investors Service, Inc. or any successor rating agency thereto.

Moody’s ABS Classification: In respect of an ABS Reference Obligation, the classification identified in the table attached in Part II of Appendix C.

Moody’s CDOROM(tm) Model Test:

CDOROM(tm) is a Monte Carlo-based simulation model provided by Moody’s from time to time mainly for calculating the expected loss on tranches of synthetic CDOs, using Moody’s Input.

Moody’s Expected ABS Recovery Rate:

In respect of Reference Obligations, the Moody’s Expected ABS Recovery Rate shall be calculated using the appropriate recovery tables set out in Part I of Appendix C for the relevant type of Reference Obligation and its Initial Rating or Equivalent Moody’s Rating as of the ABS Issue Date.

In respect of Reference Obligations for which a Credit Event has occurred, for the purpose of running the Moody’s CDOROM(tm) Model Test only, the Moody’s Expected ABS Recovery Rate shall be the Final Price or if the latter has not been determined yet, the highest Full Quotation obtained on the latest Interim Valuation Date.

Moody’s Input: The inputs as shown in Part V of Appendix C used in respect of Moody’s CDOROM(tm) Model Test, comprising amongst others the Moody’s Expected ABS Recovery Rate, the Adjusted Rating, and in respect of an ABS Reference Obligation only, the Initial Rating and the Key Agent.

Moody’s Rating: The rating displayed on www.moodys.com of the ABS Reference Obligation as of any date of determination, or, if such rating is not available, the rating displayed on Bloomberg, or, if such rating is not available, the rating provided in the documentation, or, if such rating is not available, the shadow rating provided by Moody’s.

Originator: In respect of an ABS Reference Obligation, the entity that, under the terms of such Reference Obligation, is responsible for originating or selling the Underlying Assets to the relevant ABS issuer.

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Portfolio Adjustment Agent: Société Générale.

Portfolio Adjustment Rules: The rules set out in Part I of Appendix B.

Portfolio Administration Agreement:

The portfolio administration agreement and the portfolio administration agreement accession agreement, each dated 24 May 2006, between, among others, the Protection Buyer, the Protection Seller and the Portfolio Administrator pursuant to which, among other things, the Portfolio Administrator has agreed to perform certain portfolio administration services on behalf of the Protection Seller.

Portfolio Administrator: Wells Fargo Bank, N.A. or any successor thereto.

Potential ABS Failure to Pay: Any event which would, but for the application of any Grace Period or any condition precedent to the commencement of any Grace Period applicable to such ABS Reference Obligation(s) or any grace period as described in the last paragraph of the definition of ABS Failure to Pay Interest, constitute an ABS Failure to Pay Interest or an ABS Failure to Pay Principal, the occurrence of which has been notified in writing by the Protection Buyer to the Protection Seller on or prior to the Latest Determination Time.

Publicly Available Information: Any information that reasonably confirms any of the facts relevant to the determination that the Credit Event described in a Credit Event Notice has occurred and (in the case of an ABS Notional Writedown only) is accompanied by a certificate signed by a senior risk officer of the risk management department of the Protection Buyer and that (a) has been published in not less than two internationally recognised published or electronically displayed news sources (it being understood that, without limitation, each of Bloomberg Service, Dow Jones Telerate Service, Reuter Monitor Money Rates Services, Dow Jones News Wire, Wall Street Journal, New York Times, Nihon Keizai Shinbun, Asahi Shinbun, Yomiuri Shinbun, Financial Times, La Tribune, Les Echos and The Australian Financial Review (and successor publications), the main source(s) of business news in the country in which the Reference Entity is organised, any other internationally recognised published or electronically displayed new sources and any widely read and generally recognised reputable structured finance industry publications and trustee reports of the relevant Obligations, shall be deemed to be an internationally recognised published or electronically displayed news source), regardless of whether the reader or user thereof pays a fee to obtain such information, provided that, if either of the parties or any of their respective Affiliates is cited as the sole source of such information, then such information shall not be deemed to be Publicly Available Information unless such party or its Affiliate is acting in its capacity as trustee, fiscal agent, administrative agent, clearing agent, or paying agent for an Obligation, or (b) is information received from or published by (i) an ABS Reference Entity, (ii) a trustee, fiscal agent, administrative agent, clearing agent, calculation agent or paying agent for an Obligation, or an

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entity independent from the Calculation Agent that was a party to the offering or distribution of that Obligation or is a party to any agreement relating to the relevant Obligation, (iii) Euroclear, Clearstream, Luxembourg or any clearing system in respect of which the affected Obligation is held or (iv) any internationally recognised stock exchange on which the affected ABS Reference Obligations are listed or (c) is information contained in any order, decree, notice or filing, however described, of or filed with a court, tribunal, exchange, regulatory authority or similar administrative, regulatory or judicial body. In relation to any information of the type described in (b) or (c), the party receiving such information may assume that such information has been disclosed to it without violating any law, agreement or understanding regarding the confidentiality of such information and that the party delivering such information has not taken any action or entered into any agreement or understanding with the Reference Entity or any affiliate thereof that would be breached by, or would prevent, the disclosure of such information to third parties.

In order to constitute “Publicly Available Information”, any information provided need not state that the Credit Event (a) has satisfied the ABS Payment Requirement, (b) is the result of any applicable Grace Period being satisfied or (c) has satisfied any criteria of a subjective nature specified in certain Credit Events.

Rating Agency: Moody’s.

Rating Agency Confirmation: Receipt of written confirmation from the Rating Agency, for so long as the Notes are outstanding and rated by such Rating Agency, that such specified action or determination will not result in the reduction or withdrawal of its then current rating on the Notes.

Reference Obligation Notional Amount:

In respect of a Reference Obligation, as at the Effective Date the amount (the “Initial Reference Obligation Notional Amount”) specified in relation to such Reference Obligation in Appendix A, and in respect of each subsequent day, the Initial Reference Obligation Notional Amount as amended by any Portfolio Adjustment that is effective on or prior to that day.

ABS Reference Obligations will be deemed to be removed from the Reference Portfolio in whole, and the Reference Obligation Notional Amount in respect of such ABS Reference Obligation reduced accordingly (a) on and as of the date when fully amortised, cancelled or repaid, including by any guarantor or insurer of such ABS Reference Obligation, (b) when an Event Determination Date has occurred in respect of an ABS Reference Obligation (in which case it shall be deemed to be removed from the Reference Portfolio in full) and (c) following a Removal in respect of such ABS Reference Obligation in accordance with Paragraph 6.1(a) above.

63

For the avoidance of doubt, under Automatic Replenishment, the Reference Obligation Notional Amount shall not be reduced in case of amortisation of the ABS Reference Obligation unless such Reference Obligation Notional Amount has been repaid fully.

Related Transactions: (a) any series of notes expressly relating to the Reference Portfolio issued by the Protection Seller other than the Notes, (b) any series of notes issued by SGA Société Générale Acceptance N.V. expressly relating to the Reference Portfolio, and (c) any credit default transactions entered into between Société Générale as protection buyer and a counterparty as protection seller expressly relating to the Reference Portfolio.

Remaining Expected Life: In respect of an ABS Reference Obligation and a date of determination, the period, expressed in years, between that date of determination and the Expected Maturity of that ABS Reference Obligation.

S&P or Standard & Poor’s: Standard & Poor’s Ratings Services, a division of The McGraw Hill Companies, Inc. or any successor rating agency thereto.

Scheduled Distribution Date: The date on which, under the terms of the relevant ABS Reference Obligation, Scheduled Interest Payments are due to be paid, after taking into account any applicable Grace Period. For the avoidance of doubt, the Scheduled Distribution Date shall not be affected by a deferral of interest payments, provided that such deferral of interest payments constitutes an event of default according to the terms and conditions of the ABS Reference Obligation.

Scheduled Interest Payment: Any payment of interest in respect of the relevant ABS Reference Obligation when such payment falls due and payable under the terms of the relevant ABS Reference Obligation provided that Scheduled Interest Payments shall not include payments of interest amounts that are explicitly stated to be unrated by the Rating Agency at the date the Reference Entity is added to the Reference Portfolio.

Scheduled Maturity: In respect of a date, the period, expressed in years, from and including such date to and including the Scheduled Termination Date.

Servicer: In respect of any ABS Reference Obligation, the entity that, under the terms of such ABS Reference Obligation, is responsible for the collection and the administration of the Underlying Assets of such ABS Reference Obligation and/or for providing information on such Underlying Assets that is to be made available to other parties connected with the ABS Reference Obligation provided that (A) any subsidiaries, holding companies or other Affiliates in respect of such entity shall not be deemed to be a Servicer in respect of such ABS Reference Obligation and (B) such entity shall only be deemed to be a Servicer in the country or countries in which it carries out such activities in relation to the relevant Underlying Assets and any branches or other offices of such entity located outside

64

such country or countries, as the case may be, shall not be deemed to be a Servicer in respect of such ABS Reference Obligation.

Underlying Assets: In respect of an ABS Reference Obligation, designated assets held by the relevant ABS Reference Entity from which such ABS Reference Entity funds payments, directly or indirectly in respect of such ABS Reference Obligation.

Weighted Average Life: In respect of an ABS Reference Obligation and a date of determination, the period, expressed in years, determined as follows:

(a) In respect of an ABS Reference Obligation under which the outstanding principal amount is expected to be repaid in a single repayment at the Expected Maturity, the Remaining Expected Life of that ABS Reference Obligation.

(b) In respect of an ABS Reference Obligation for which there is a fixed repayment schedule (which does not permit deferral of principal payments) published in the offering circular for that ABS Reference Obligation, the sum of the products of the remaining scheduled repayments and their respective scheduled repayment dates (expressed as years from the date of determination) divided by the outstanding notional amount of the ABS Reference Obligation at that date of determination or otherwise determined by the Protection Buyer.

(c) In respect of any other ABS Reference Obligation, such period reflecting the average time to projected occurrence of the principal cash flows of the ABS Reference Obligation (weighted by the size of such cash flow) determined by (i) a dealer who is then modelling the principal cash flows of the ABS Reference Obligation, or (ii) a third party who is then modelling the principal cash flows of the ABS Reference Obligation, or (iii) by the Calculation Agent in good faith and based upon modelling the principal cash flows of the ABS Reference Obligation.

Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this Confirmation and returning it to us.

65

Yours faithfully,

SOCIÉTÉ GÉNÉRALE

By: ______________________

Name:

Title:

CLARIS LIMITED

By: ______________________

Name:

Title:

66

APPENDIX A

INITIAL REFERENCE PORTFOLIO

ABS Reference Entity ABS Reference

Obligation ABS Issue

Date CUSIP ISIN Moody's Rating

Predominant Domicile

Moody's ABS Classification

Weighted Average

Life Key Agent Haircut

Moody's expected

ABS Recovery

Rate Tranche

Weighting

Reference Obligation Notional Amount (EUR)

1 CS FIRST BOSTON MORTGAGE

SECURITIES CORP.

CSFB 2004-C3 A3 01/08/2004 22541SWH7 US22541SWH74 Aaa United States CMBS conduit 3.07 PNC Financial Services Group Inc

5% 85% 86.37% 20,000,000

2 CS FIRST BOSTON MORTGAGE

SECURITIES CORP.

CSFB 2004-C5 A3 01/12/2004 22541S2Q0 US22541S2Q08 Aaa United States CMBS conduit 5.32 Keycorp 5% 85% 80.00% 20,000,000

3 BANC OF AMERICA COMMERCIAL

MORTGAGE INC.

BACM 2004-3 A4 01/07/2004 05947UVB1 US05947UVB15 Aaa United States CMBS conduit 5.37 Bank of America Corp

5% 85% 85.75% 20,000,000

4 GREENWICH CAPITAL

COMMERCIAL FUNDING CORP.

GCCFC 2004-GG1 A5 01/05/2004 396789FR5 US396789FR52 Aaa United States CMBS conduit 4.83 Wachovia Corp 5% 85% 85.75% 20,000,000

5 JP MORGAN CHASE COMMERCIAL

MORTGAGE SEC CORP

JPMCC 2002-C1 A3 01/08/2002 46625MLS6 US46625MLS60 Aaa United States CMBS conduit 5.9 Wachovia Corp 5% 85% 77.75% 20,000,000

6 LB-UBS COMMERCIAL

MORTGAGE TRUST

LBUBS 2004-C1 A2 11/01/2004 52108HYH1 US52108HYH10 Aaa United States CMBS Large Loans

2.96 Wachovia Corp 5% 85% 86.38% 20,000,000

7 BANC OF AMERICA COMMERCIAL

MORTGAGE INC.

BACM 2005-3 A3A 01/07/2005 05947UR59 US05947UR595 Aaa United States CMBS Large Loans

5.83 Bank of America Corp

5% 75% 70.00% 20,000,000

8 AAMES MORTGAGE INVESTMENT TRUST

AMIT 2005-4 2A3S 12/09/2005 00252FCS8 US00252FCS83 Aaa United States RMBS Midprime

0.79 Wells Fargo & Co 5% 85% 74.97% 20,000,000

9 THORNBURG MORTGAGE

SECURITIES TRUST

TMST 2004-3 A 29/09/2004 885220FS7 US885220FS76 Aaa United States RMBS First and Second Lien Prime

2.19 Wells Fargo & Co 5% 85% 96.85% 20,000,000

10 AEGIS ASSET BACKED

SECURITIES TRUST

AABST 2005-4 1A3 30/08/2005 00764MGE1 US00764MGE12 Aaa United States RMBS Subprime

2.8 Wells Fargo & Co 5% 85% 76.75% 20,000,000

11 ARGENT SECURITIES INC.

ARSI 2005-W2 A2B1 27/09/2005 040104NA5 US040104NA53 Aaa United States RMBS Subprime

2.14 Ameriquest Capital Corp

5% 85% 79.95% 20,000,000

12 FBR SECURITIZATION

TRUST

FBRSI 2005-2 AV3A 28/09/2005 30246QAF0 US30246QAF00 Aaa United States RMBS Midprime

2.08 Wells Fargo & Co 5% 85% 79.72% 20,000,000

13 FIRST FRANKLIN MTG LOAN ASSET

BACKED CERTIFICATES

FFML 2005-FF8 A2C 29/09/2005 362341QP7 US362341QP70 Aaa United States RMBS Midprime

1.59 National City Corp. 5% 85% 78.15% 20,000,000

14 AEGIS ASSET BACKED

SECURITIES TRUST

AABST 2005-5 1A3 28/10/2005 00764MHB6 US00764MHB63 Aaa United States RMBS Midprime

3.02 Wells Fargo & Co 5% 85% 76.45% 20,000,000

15 ADJUSTABLE RATE MORTAGE TRUST

ARMT 2005-11 5A1 31/10/2005 007036UQ7 US007036UQ74 Aaa United States RMBS First and Second Lien Prime

2.93 Wells Fargo & Co 5% 85% 87.00% 20,000,000

16 BEAR STEARNS ASSET BACKED

BSABS 2005-HE10 A2 31/10/2005 073879W95 US073879W950 Aaa United States RMBS Midprime

2.51 EMC Mortgage Corp.

5% 85% 75.60% 20,000,000

67

SECURITIES, INC. 17 HOMEBANC

MORTGAGE TRUST HMBT 2005-5 A1 30/11/2005 43739ECB1 US43739ECB11 Aaa United States RMBS First

and Second Lien Prime

2.59 Wells Fargo & Co 5% 85% 83.25% 20,000,000

18 BEAR STEARNS ASSET BACKED

SECURITIES, INC.

BSABS 2005-AQ2 A2 30/11/2005 0738792T4 US0738792T44 Aaa United States RMBS Midprime

1.59 EMC Mortgage Corp.

5% 85% 73.30% 20,000,000

19 RESIDENTIAL ASSET MORTGAGE

PRODUCTS, INC.

RAMP 2005-RZ4 A2 06/12/2005 76112BM72 US76112BM724 Aaa United States RMBS Midprime

2.63 General Motors Corp

5% 85% 79.40% 20,000,000

20 LEHMAN XS TRUST LXS 2005-8 1A2 25/11/2005 525221DS3 US525221DS38 Aaa United States RMBS First and Second Lien Prime

2.58 Lehman Brothers Holdings Inc

5% 85% 81.55% 20,000,000

21 BEAR STEARNS ALT-A TRUST

BALTA 2005-10 11A1 30/12/2005 07386HYW5 US07386HYW59 Aaa United States RMBS First and Second Lien Prime

1.95 Wells Fargo & Co 5% 85% 75.00% 20,000,000

22 LEHMAN XS TRUST LXS 2005-10 2A1 30/12/2005 525221FY8 US525221FY87 Aaa United States RMBS First and Second Lien Prime

0.98 Lehman Brothers Holdings Inc

5% 85% 92.00% 20,000,000

23 BEAR STEARNS ALT-A TRUST

BALTA 2005-7 11A1 29/07/2005 07386HVG3 US07386HVG37 Aaa United States RMBS First and Second Lien Prime

1.91 Wells Fargo & Co 5% 85% 81.45% 20,000,000

24 PEOPLE'S CHOICE HOME LOAN

SECURITIES TRUST

PCHLT 2005-3 1A1 01/07/2005 71085PCL5 US71085PCL58 Aaa United States RMBS Midprime

6.53 Wells Fargo & Co 5% 85% 77.15% 20,000,000

25 PEOPLE'S CHOICE HOME LOAN

SECURITIES TRUST

PCHLT 2005-4 1A2 26/10/2005 71085PDD2 US71085PDD24 Aaa United States RMBS Midprime

2.35 Wells Fargo & Co 5% 85% 77.30% 20,000,000

26 CHEVY CHASE MORTGAGE

FUNDING CORP.

CCMFC 2005-4A A2 15/12/2005 16678REU7 US16678REU77 Aaa United States RMBS First and Second Lien Prime

3.58 Chevy Chase Bank F.S.B.

5% 85% 88.50% 20,000,000

27 BAYVIEW COMMERCIAL ASSET TRUST

BAYC 2005-4A A1 16/12/2005 07324SCR1 US07324SCR13 Aaa United States RMBS Midprime

4.64 Wells Fargo & Co 5% 85% 72.62% 20,000,000

28 COMMERCIAL MORTGAGE PASS-

THROUGH CERTIFICATES

COMM 2005-FL11 A1 29/11/2005 126164AA0 US126164AA03 Aaa United States CMBS Large Loans

1.09 General Motors Corp

5% 75% 57.37% 20,000,000

29 TERWIN MORTGAGE TRUST

TMTS 2005-18AL A1 28/12/2005 881561E91 US881561E913 Aaa United States RMBS First and Second Lien Prime

0.8 Wells Fargo & Co 5% 85% 79.90% 20,000,000

30 RESIDENTIAL ASSET SECURITIES

CORPORATION

RASC 2006-EMX1 A2 20/01/2006 75405KAB4 US75405KAB44 Aaa United States RMBS Midprime

2.65 General Motors Corp

5% 85% 77.60% 20,000,000

31 MERRILL LYNCH MORTGAGE TRUST

MLMT 2004-MKB1 A3 01/05/2004 59022HCU4 US59022HCU41 Aaa United States CMBS Large Loans

5.41 Key Corporate Capital Inc.

5% 85% 84.51% 20,000,000

32 HOME EQUITY ASSET TRUST

HEAT 2005-3 1A1 28/04/2005 437084KG0 US437084KG03 Aaa United States RMBS Midprime

1.35 Wells Fargo & Co 5% 85% 80.90% 20,000,000

33 JP MORGAN MORTGAGE

ACQUISITION CORP

JPMAC 2006-FRE1 A3 27/01/2006 46626LFL9 US46626LFL99 Aaa United States RMBS Midprime

3 JPMorgan Chase & Co

5% 85% 74.80% 20,000,000

34 RESIDENTIAL ASSET MORTGAGE

PRODUCTS, INC.

RAMP 2006-RS1 AI2 25/01/2006 76112BT83 US76112BT836 Aaa United States RMBS Midprime

2.6 General Motors Corp

5% 85% 86.65% 20,000,000

35 MERRILL LYNCH MORTGAGE TRUST

MLMT 2005-CIP1 A3A 01/08/2005 59022HJJ2 US59022HJJ23 Aaa United States CMBS Large Loans

6.15 PNC Financial Services Group Inc

5% 75% 69.93% 20,000,000

36 JP MORGAN CHASE COMMERCIAL

JPMCC 2004-CBX A5 01/11/2004 46625YDD2 US46625YDD22 Aaa United States CMBS conduit 6.02 General Motors Corp

5% 85% 79.74% 20,000,000

68

MORTGAGE SEC CORP

37 LB-UBS COMMERCIAL

MORTGAGE TRUST

LBUBS 2003-C8 A3 11/11/2003 52108HXL3 US52108HXL31 Aaa United States CMBS conduit 5.41 Wachovia Corp 5% 85% 84.83% 20,000,000

38 CS FIRST BOSTON MORTGAGE

SECURITIES CORP.

CSFB 2003-CK2 A4 01/04/2003 22541NS83 US22541NS838 Aaa United States CMBS conduit 6.59 Key Corporate Capital Inc.

5% 85% 77.50% 20,000,000

39 WACHOVIA BANK COMMERCIAL

MORTGAGE TRUST

WBCMT 2005-C22 A3 01/12/2005 92976BBL5 US92976BBL53 Aaa United States CMBS conduit 6.27 Wachovia Corp 5% 75% 70.00% 20,000,000

40 BEAR STEARNS ASSET BACKED

SECURITIES, INC.

BSABS 2006-EC1 A2 30/01/2006 07387UAB7 US07387UAB70 Aaa United States RMBS Subprime

2.64 EMC Mortgage Corp.

5% 85% 75.37% 20,000,000

41 OPTION ONE MORTGAGE LOAN

TRUST

OOMLT 2006-1 2A1 03/02/2006 68389FKM5 US68389FKM58 Aaa United States RMBS Midprime

0.75 H&R Block Inc 5% 85% 83.00% 20,000,000

42 OPTEUM MORTGAGE

ACCEPTANCE CORPORATION

OPMAC 2005-5 1A1C 29/11/2005 68383NCX9 US68383NCX93 Aaa United States RMBS First and Second Lien Prime

2.82 Wells Fargo & Co 5% 85% 81.94% 20,000,000

43 VOLKSWAGEN AUTO LOAN

ENHANCED TRUST

VALET 2005-1 A2 16/11/2005 92866XAK3 US92866XAK37 Aaa United States Consumer ABS Auto and Personal Lease

0.48 Volkswagen AG 5% 85% 97.75% 20,000,000

44 TRIAD AUTO RECEIVABLES OWNER TRUST

TAROT 2003-B A3 29/10/2003 89578SAC7 US89578SAC70 Aaa United States Consumer ABS Auto and Personal Lease

0.07 Triad Financial Corporation

5% 85% 90.95% 20,000,000

45 USAA AUTO OWNER TRUST

USAOT 2005-2 A3 21/06/2005 903278BZ1 US903278BZ16 Aaa United States Consumer ABS Auto and Personal Lease

1.21 USAA Federal Savings Bank

5% 85% 96.90% 20,000,000

46 AESOP FUNDING II LLC

AESOP 2006-1A A 19/01/2006 15132CAJ1 US15132CAJ18 Aaa United States Consumer ABS Auto and Personal Lease

4.62 Deutsche Bank AG 5% 85% 84.25% 20,000,000

47 HOME EQUITY ASSET TRUST

HEAT 2006-3 1A1 30/03/2006 437084UK0 US437084UK05 Aaa United States RMBS Midprime

1.93 Wells Fargo & Co 5% 85% 81.46% 20,000,000

48 HOME EQUITY ASSET TRUST

HEAT 2006-2 1A1 01/02/2006 437084SM9 US437084SM98 Aaa United States RMBS Midprime

1.98 Wells Fargo & Co 5% 85% 79.05% 20,000,000

49 CAPITAL AUTO RECEIVABLES ASSET TRUST

CARAT 2005-1 A2A 02/06/2005 139732FM8 US139732FM83 Aaa United States Consumer ABS Auto and Personal Lease

0.06 General Motors Corp

5% 85% 92.00% 20,000,000

50 NAVISTAR FINANCIAL DEALER

NOTE MASTER TRUST

NAVMT 2004-1 A 10/06/2004 638917AH7 US638917AH75 Aaa United States Specific Dealer’s Floorplan

1.01 Navistar International Corp.

5% 85% 84.50% 20,000,000

51 MBNA MASTER CREDIT CARD

TRUST

MBNAM 2001-B A 08/03/2001 55262TGA5 US55262TGA51 Aaa United States Consumer ABS Credit

Card

4.81 MBNA Corp 5% 85% 85.00% 20,000,000

52 FORD CREDIT AUTO OWNER TRUST

FORDO 2005-B A3 14/04/2005 34527RKW2 US34527RKW24 Aaa United States Consumer ABS Auto and Personal Lease

0.86 Ford Motor Co 5% 85% 92.50% 20,000,000

53 CAPITAL AUTO RECEIVABLES ASSET TRUST

CARAT 2004-2 A1B 09/12/2004 139732EY3 US139732EY31 Aaa United States Consumer ABS Auto and Personal Lease

0.11 General Motors Corp

5% 85% 92.50% 20,000,000

54 AESOP FUNDING II LLC

AESOP 2000-2 A 22/05/2000 00103RAF3 US00103RAF38 Aaa United States Consumer ABS Auto and Personal Lease

1.03 Cendant Corp 5% 85% 85.00% 20,000,000

55 AESOP FUNDING II LLC

AESOP 2002-1A A2 25/07/2002 00103RAQ9 US00103RAQ92 Aaa United States Consumer ABS Auto and

1.2 Bank of America Corp

5% 85% 85.00% 20,000,000

69

Personal Lease 56 CAPITAL ONE

MASTER TRUST COMT 2002-4A A 07/06/2002 14040KCN6 US14040KCN63 Aaa United States Consumer

ABS Credit Card

0.98 Capital One Financial Corp

5% 85% 84.50% 20,000,000

57 RESIDENTIAL ASSET SECURITIES

CORPORATION

RASC 2006-KS1 A2 26/01/2006 76113AAD3 US76113AAD37 Aaa United States RMBS Midprime

1.7 General Motors Corp

5% 85% 80.19% 20,000,000

58 HOME EQUITY MORTGAGE TRUST

HEMT 2004-5 A1 28/10/2004 22541SJ58 US22541SJ588 Aaa United States RMBS First and Second Lien Prime

0.23 Merrill lynch & Co Inc

5% 75% 78.75% 20,000,000

59 BEAR STEARNS ALT-A TRUST

BALTA 2006-1 11A1 31/01/2006 07386HA92 US07386HA928 Aaa United States RMBS First and Second Lien Prime

1.99 Wells Fargo & Co 5% 85% 79.75% 20,000,000

60 BEAR STEARNS COMMERCIAL

MORTGAGE SECURITIES INC.

BSCMS 2005-T20 A2 01/10/2005 07387bch4 US07387BCH42 Aaa United States CMBS conduit 4.22 Wells Fargo & Co 5% 85% 83.00% 20,000,000

61 GSAMP TRUST GSAMP 2005-WMC3 A2B

28/12/2005 362341L49 US362341L491 Aaa United States RMBS Midprime

2.49 JPMorgan Chase & Co

5% 85% 79.00% 20,000,000

62 STRUCTURED ASSET INVESTMENT

LOAN TRUST

SAIL 2005-11 A6 25/12/2005 86358EZS8 US86358EZS89 Aaa United States RMBS Midprime

2.79 Lehman Brothers Holdings Inc

5% 85% 83.00% 20,000,000

63 GSAA HOME EQUITY TRUST

GSAA 2005-15 2A2 29/12/2005 362341D71 US362341D712 Aaa United States RMBS First and Second Lien Prime

2.78 Wells Fargo & Co 5% 85% 94.42% 20,000,000

64 ARGENT SECURITIES INC.

ARSI 2005-W5 A2C 28/12/2005 040104QN4 US040104QN48 Aaa United States RMBS Subprime

2.47 Ameriquest Capital Corp

5% 85% 78.00% 20,000,000

65 MORGAN STANLEY CAPITAL I

MSC 2006-T21 A2 01/01/2006 617451CN7 US617451CN71 Aaa United States CMBS conduit 4.44 Wells Fargo & Co 5% 85% 73.00% 20,000,000

66 CITIBANK OMNI-S MASTER TRUST

SCAMT 2002-3 A 13/06/2002 81234CCF6 US81234CCF68 Aaa United States Consumer ABS Credit

Card

5.98 Sears Holdings Corp 5% 85% 78.00% 20,000,000

67 CITIBANK OMNI-S MASTER TRUST

SCAMT 2002-2 A 08/05/2002 81234CCD1 US81234CCD11 Aaa United States Consumer ABS Credit

Card

2.89 Citigroup Inc 5% 85% 79.50% 20,000,000

68 NORDSTROM CREDIT CARD MASTER NOTE

TRUST

NDCCM 2002-1A A 01/05/2002 655665AA5 US655665AA54 Aaa United States Consumer ABS Credit

Card

0.89 Nordstrom 5% 85% 80.50% 20,000,000

69 INDYMAC RESIDENTIAL ASSET

BACKED TRUST

INABS 2006-A A3 09/02/2006 456606kh4 US456606KH43 Aaa United States RMBS Midprime

3.21 IndyMac Bank FSB/Pasadena

5% 85% 81.60% 20,000,000

70 CITIGROUP/DEUTSCHE BANK

COMMERCIAL MORTGAGE TRUST

CD 2005-CD1 A3 01/11/2005 12513EAE4 US12513EAE41 Aaa United States CMBS conduit 6.26 PNC Financial Services Group Inc

5% 75% 70.00% 20,000,000

71 WACHOVIA BANK COMMERCIAL

MORTGAGE TRUST

WBCMT 2003-C5 A2 01/07/2003 929766GS6 US929766GS63 Aaa United States CMBS conduit 6.73 Wachovia Corp 5% 85% 79.86% 20,000,000

72 CS FIRST BOSTON MORTGAGE

SECURITIES CORP.

CSFB 2004-AA1 A1 28/10/2004 22541SF29 US22541SF297 Aaa United States RMBS Subprime

1.92 Wells Fargo & Co 5% 85% 81.10% 20,000,000

73 LEHMAN XS TRUST LXS 2006-1 1A1 25/01/2006 525221HQ3 US525221HQ36 Aaa United States RMBS First and Second Lien Prime

2.25 Lehman Brothers Holdings Inc

5% 85% 82.34% 20,000,000

74 LEHMAN XS TRUST LXS 2006-2N 1A1 31/01/2006 525221HA8 US525221HA83 Aaa United States RMBS First and Second Lien Prime

3.1 Lehman Brothers Holdings Inc

5% 75% 60.00% 20,000,000

70

75 CITIBANK CREDIT CARD ISSUANCE

TRUST

CCCIT 2001-A1 A1 07/02/2001 17305EAK1 US17305EAK10 Aaa United States Consumer ABS Credit

Card

1.71 Citigroup Inc 5% 85% 87.75% 20,000,000

76 CITIBANK CREDIT CARD ISSUANCE

TRUST

CCCIT 2001-A7 A7 23/08/2001 17305EAQ8 US17305EAQ89 Aaa United States Consumer ABS Credit

Card

5.23 Citigroup Inc 5% 85% 87.75% 20,000,000

77 METRIS MASTER TRUST

MMT 2004-1 A 20/04/2004 59159UBM9 US59159UBM99 Aaa United States Consumer ABS Credit

Card

0.91 Metris Cos Inc 5% 85% 88.00% 20,000,000

78 METRIS MASTER TRUST

MMT 2002-4A A 04/06/2002 59159UBL1 US59159UBL17 Aaa United States Consumer ABS Credit

Card

0.99 Metris Cos Inc 5% 85% 90.50% 20,000,000

79 FIRST FRANKLIN MTG LOAN ASSET

BACKED CERTIFICATES

FFML 2006-FFH1 A1 28/02/2006 32027NZH7 US32027NZH78 Aaa United States RMBS Midprime

0.79 National City Corp. 5% 85% 75.57% 20,000,000

80 WACHOVIA BANK COMMERCIAL

MORTGAGE TRUST

WBCMT 2006-C23 A1 01/03/2006 92976BDP4 US92976BDP40 Aaa United States CMBS conduit 2.54 Wachovia Corp 5% 75% 70.00% 20,000,000

81 COLLEGE LOAN CORPORATION

TRUST

COLLE 2005-2 A1 18/10/2005 194266AA0 US194266AA08 Aaa United States Consumer ABS Student

Loans

2.2 Great Lakes Educational Loan

Services, Inc.

5% 85% 95.75% 20,000,000

82 KEYCORP STUDENT LOAN TRUST

KSLT 2005-A 1A1 17/11/2005 493268CC8 US493268CC81 Aaa United States Consumer ABS Student

Loans

1.64 Keycorp 5% 85% 96.75% 20,000,000

83 STRUCTURED ASSET INVESTMENT

LOAN TRUST

SAIL 2006-1 A3 25/01/2006 86358EA89 US86358EA894 Aaa United States RMBS Midprime

3.48 Lehman Brothers Holdings Inc

5% 85% 84.00% 20,000,000

84 RESIDENTIAL ASSET SECURITIES

CORPORATION

RASC 2003-KS1 A1 30/01/2003 76110WQE9 US76110WQE92 Aaa United States RMBS Subprime

0.33 General Motors Corp

5% 85% 92.00% 20,000,000

85 RENTAL CAR FINANCE CORP.

RCFC 2004-1A A 05/05/2004 760106AT1 US760106AT17 Aaa United States Consumer ABS Auto and Personal Lease

1.88 Dollar Thrifty Automotive Group

5% 85% 86.50% 20,000,000

86 LONG BEACH MORTGAGE LOAN

TRUST

LBMLT 2006-WL3 2A1 30/01/2006 542514ST2 US542514ST23 Aaa United States RMBS Subprime

0.58 Washington Mutual Inc

5% 85% 81.85% 20,000,000

87 LONG BEACH MORTGAGE LOAN

TRUST

LBMLT 2006-1 1A 07/02/2006 542514RH9 US542514RH93 Aaa United States RMBS Midprime

2.03 Washington Mutual Inc

5% 85% 79.35% 20,000,000

88 MERRILL LYNCH MORTGAGE

INVESTORS, INC.

MLMI 2006-WMC1 A1A

14/02/2006 59020U4L6 US59020U4L65 Aaa United States RMBS Midprime

1.88 Merrill lynch & Co Inc

5% 85% 77.25% 20,000,000

89 FIRST FRANKLIN MTG LOAN ASSET

BACKED CERTIFICATES

FFML 2006-FF3 A1 23/02/2006 362334AS3 US362334AS33 Aaa United States RMBS Midprime

1.98 National City Corp. 5% 85% 80.55% 20,000,000

90 GSAA HOME EQUITY TRUST

GSAA 2006-3 A2 24/02/2006 362334BR4 US362334BR41 Aaa United States RMBS First and Second Lien Prime

2.86 National City Corp. 5% 85% 94.32% 20,000,000

91 CAPITAL AUTO RECEIVABLES ASSET TRUST

CARAT 2006-1 A2A 16/02/2006 139732FW6 US139732FW65 Aaa United States Consumer ABS Auto and Personal Lease

0.67 General Motors Corp

5% 85% 92.25% 20,000,000

92 RESIDENTIAL ASSET SECURITIES

CORPORATION

RASC 2006-KS2 A3 27/02/2006 75406BAC1 US75406BAC19 Aaa United States RMBS Subprime

3.26 General Motors Corp

5% 85% 78.30% 20,000,000

93 SLM STUDENT LOAN TRUST

SLMA 2006-1 A1 26/01/2006 78442GRK4 US78442GRK49 Aaa United States Consumer ABS Student

1.31 SLM Corp 5% 85% 96.75% 20,000,000

71

Loans 94 BEAR STEARNS

ASSET BACKED SECURITIES, INC.

BSABS 2006-PC1 A1 30/01/2006 07387UAU5 US07387UAU51 Aaa United States RMBS Subprime

0.76 EMC Mortgage Corp.

5% 85% 72.40% 20,000,000

95 AMERICAN EXPRESS CREDIT

ACCOUNT MASTER TRUST

AMXCA 2006-B A 15/02/2006 02582JEB2 US02582JEB26 Aaa United States Consumer ABS Credit

Card

4.64 American Express Co

5% 85% 83.50% 20,000,000

96 AMERICAN EXPRESS CREDIT

ACCOUNT MASTER TRUST

AMXCA 2006-A A 15/02/2006 02582JDZ0 US02582JDZ03 Aaa United States Consumer ABS Credit

Card

2.64 American Express Co

5% 85% 83.50% 20,000,000

97 DISCOVER CARD MASTER TRUST I

DCMT 2005-4 A1 16/12/2005 25466KFJ3 US25466KFJ34 Aaa United States Consumer ABS Credit

Card

4.56 Morgan Stanley 5% 85% 87.50% 20,000,000

98 GE CAPITAL CREDIT CARD MASTER

NOTE TRUST

GEMNT 2005-3 A 30/06/2005 36159JAN1 US36159JAN19 Aaa United States Consumer ABS Credit

Card

4.06 General electric Co 5% 85% 79.00% 20,000,000

99 GS MORTGAGE SECURITIES

CORPORATION II

GSMS 2004-GG2 A5 01/08/2004 36228CTG8 US36228CTG86 Aaa United States CMBS conduit 6.81 Wells Fargo & Co 5% 85% 86.59% 20,000,000

100 BANC OF AMERICA COMMERCIAL

MORTGAGE INC.

BACM 2005-6 A2 01/12/2005 05947U4A3 US05947U4A34 Aaa United States CMBS conduit 4.49 Bank of America Corp

5% 75% 70.00% 20,000,000

Source: Bloomberg and Société Générale

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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) 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.

(b) 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.

(c) No Portfolio Adjustment may be effected if such Portfolio Adjustment would:

(i) 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

(ii) 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) 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

(B) 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.

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“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 Part II of Appendix C (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) 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.

(iii) 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.

(iv) As at the Issue Date, 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.

74

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 24 May 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).

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APPENDIX B

Part II

PORTFOLIO ADJUSTMENT NOTICE

[On the letterhead of the Portfolio Adjustment Agent]

[Date]

To: Wells Fargo Bank, N.A. (in its capacity as Portfolio Administrator)

Dear Sirs

Re: Claris Limited – Series 67/2006 Tranche 1 EUR 40,000,000 Napa Valley V(II) 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) the name of the ABS Reference Entity;

(b) the name of the ABS Reference Obligation;

(c) the ISIN code in respect of the relevant ABS Reference Obligation;

(d) the current Moody’s Rating or Equivalent Moody’s Rating of such ABS Reference Obligation;

(e) the Adjusted Rating of such ABS Reference Obligation;

(f) the Initial Rating of such ABS Reference Obligation;

(g) the Predominant Domicile of the Underlying Assets;

(h) the Reference Obligation Notional Amount;

(i) the Moody’s ABS Classification;

(j) the Key Agent;

76

(k) the Moody’s Expected ABS Recovery Rate;

(l) in the case of a Replenishment, the Weighted Average Life of such ABS Reference Obligation at the time of the Replenishment.

(m) details of all Replenishments and Removals;

(n) the Tranche Weighting of such ABS Reference Obligation;

(o) the Haircut of such ABS Reference Obligation determined according to Moody’s Liquidity Haircut Table shown in Part I of Appendix C to the Default Swap; and

(p) the ABS Issue Date.

Accordingly, please confirm in writing by sending us an Adjustment Acknowledgement Notice no later than one Business Day prior to the relevant Portfolio Adjustment Date confirming that the proposed Portfolio Adjustment complies with the Portfolio Adjustment Rules.

…………………………………. ………………………………….

Signed by and on behalf of Date SOCIÉTÉ GÉNÉRALE in its capacity as Portfolio Adjustment Agent

77

APPENDIX B

Part III

ADJUSTMENT ACKNOWLEDGEMENT NOTICE

[On the letterhead of the Portfolio Administrator]

[Date]

To: Société Générale (as Portfolio Adjustment Agent)

Dear Sirs

Re: Portfolio Adjustment Notice dated [ ]

We refer to the Portfolio Adjustment Notice annexed hereto and confirm that the proposed Portfolio Adjustment referred to therein complies with the Portfolio Adjustment Rules.

.......................................................................... ................................................................... Signed by and on behalf of Date WELLS FARGO BANK, N.A. In its capacity as Portfolio Administrator

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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%

<= 70%, >10% 75% 70%

<= 10% 70% 65%

For Residential Securities and Undiversified Securities, the recovery rate is assumed as follows:

Tranche Weighting / Original rating

“Aaa” “Aa1” to “Aa3”

>70% 85% 80%

<= 70%, >10% 75% 70%

<= 10%, >5% 65% 55%

<= 5%, >2% 55% 45%

<= 2% 45% 35%

For the purposes of the above, “Tranche Weighting” means the proportion of the capitalisation structure of the relevant ABS Reference Obligation represented by the tranche of debt securities comprising the applicable ABS Reference Obligation.

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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.

80

APPENDIX C

Part II

Moody’s ABS Classification Table

Number Moody’s ABS Type Moody’s ABS Classification Key Agent 36 Consumer ABS ABS – Consumer – Consumer ABS – Auto and Personal Lease Originator 37 Consumer ABS ABS – Consumer – Consumer ABS – Credit Card Originator 38 Consumer ABS ABS – Consumer – Consumer ABS – Student Loans Originator 39 RMBS ABS – Consumer – RMBS – First and Second Lien Prime Servicer 40 RMBS ABS – Consumer – RMBS – Midprime Servicer 41 RMBS ABS – Consumer – RMBS Subprime Servicer 44 Specific ABS – Specific – Specific – Tax Lien Servicer 45 Specific ABS – Specific – Specific – Mutual Fund Fees Manager 46 Specific ABS – Specific – Specific – Structured Settlement Servicer 47 Specific ABS – Specific – Specific – Utility Stranded Cost None 49 Specific ABS – Specific – Specific – IP (including Entertainment Royalties) Originator 50 Specific ABS – Specific – Specific – Dealer’s Floorplan Seller 52 CMBS ABS – Commercial Real Estate – CMBS – Conduit None 53 CMBS ABS – Commercial Real Estate – CMBS – Credit Tenant Lease None 54 CMBS ABS – Commercial Real Estate – CMBS – Large Loans None 55 REITs ABS – Commercial Real Estate – REITs – Hotel Manager 56 REITs ABS – Commercial Real Estate – REITs – Multi family Manager 57 REITs ABS – Commercial Real Estate – REITs – Office Manager 58 REITs ABS – Commercial Real Estate – REITs – Retail Manager 59 REITs ABS – Commercial Real Estate – REITs – Industrial Manager 60 REITs ABS – Commercial Real Estate – REITs – Healthcare Manager 61 REITs ABS – Commercial Real Estate – REITs – Self-storage Manager 62 REITs ABS – Commercial Real Estate – REITs – Diversified Manager

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APPENDIX C

Part III

Equivalent Moody’s Rating Rules

(I) U.S. STRUCTURED PRODUCTS

A. ASSET BACKED SECURITIES:

The following notching conventions are appropriate for S&P-only rated tranches. (The figures represent the number of notches to be subtracted from the S&P rating. For example, a “1” applied to a S&P rating of “BBB” implies a Moody’s rating of “Baa3”.)

ASSET CLASS “AAA” to “AA-”

“A+” to “BBB-”

Below “BBB-”

Agricultural and Industrial Equipment loans 1 2 3

Aircraft and Auto leases 2 3 4

Arena and Stadium Financing 1 2 3

Auto loan 1 2 3

Boat, Motorcycle, RV, Truck 1 2 3

Computer, Equipment and Small-ticket item leases 1 2 3

Consumer Loans 1 3 4

Credit Card 1 2 3

Cross-border transactions 1 2 3

Entertainment Royalties 1 2 3

Floorplan 1 2 3

Franchise Loans 1 2 4

Future Receivables 1 1 2

Health Care Receivables 1 2 3

Manufactured Housing 1 2 3

Mutual Fund Fees 1 2 4

Small Business Loans 1 2 3

Stranded Utilities 1 2 3

Structured Settlements 1 2 3

Student Loan 1 2 3

Tax Liens 1 2 3

Trade Receivables 2 3 4

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B. RESIDENTIAL MORTGAGE BACKED SECURITIES:

The following notching conventions are appropriate for S&P-only rated tranches.

Residential Mortgage Related “AAA” “AA+” to “BBB-”

Below “BBB-”

Home Equity Loans 1 2 3

Jumbo A 1 2 3

Residential B & C 1 2 3

Alt-A or Mixed Pools 1 3 4

The following notching conventions are with respect to Fitch:

Residential Mortgage Related “AAA-” “AA+” to “BBB-”

Below “BBB-”

Jumbo A 1 2 4

Alt-A or Mixed Pools 1 3 5

For dual-rated Jumbo A or Alt-A transactions, take the lower of the two ratings on the security, apply the appropriate single-rated notching guideline from above, then go up by 1/2 notch.

C. COMMERCIAL MORTGAGE BACKED SECURITIES:

The following notching conventions are with respect to S&P and Fitch.

ASSET CLASS Tranche Rated by Fitch and S&P; no tranche in deal rated by Moody’s

Tranche Rated by Fitch and/or S&P; at least one other tranche in deal rated by Moody’s

Commercial Mortgage Backed Securities

Conduit# 2 notches from lower of Fitch/S&P

1.5* notches from lower of Fitch/S&P

Credit Tenant Lease Follow corporate notching practice

Follow corporate notching practice

Large Loan No Notching Permitted

# For this purpose, conduits are defined as fixed rate, sequential pay, multi-borrower

transactions having a Herfindahl score of 40 or higher at the loan level with all collateral (conduit loans, A notes, large loans, CTLs and any other real estate collateral) factored in.

* A 1.5 notch haircut implies, for example, that if the S&P/Fitch rating were “BBB”, then the Moody’s rating factor would be halfway between the “Baa3” and “Ba1” rating factors.

83

D. COLLATERALISED DEBT OBLIGATIONS:

No notching permitted. Moody’s must in all cases assign a rating or a rating estimate to the CDO tranche to be included in a resecuritization transaction.

(II) INTERNATIONAL STRUCTURED PRODUCTS

Notching conventions are applicable to structured products originated from continental Europe and rated by both S&P and Fitch. All other transactions require a rating assessment.

A. ASSET BACKED SECURITIES:

The following notching conventions are with respect to S&P and Fitch rated transactions. The number of notches is taken from the lower of the two ratings.

ASSET CLASS “AAA” to “BBB-” Below “BBB-”

Auto-Prime 1 2

Consumer Loans 1 2

Credit Card 1 2

No notching is authorised for all other asset types.

B. RESIDENTIAL MORTGAGE BACKED SECURITIES:

The following notching conventions are with respect to S&P and Fitch rated transactions. The number of notches is taken from the lower of the two ratings.

“AAA” to “BBB-” Below “BBB-”

Non-German Residential Mortgages 1 2

Practice for German RMBS not rated by Moody’s:

1) For class rated “AAA” rated by both Fitch and S&P, 1 notch down;

2) For other instances, obtain rating estimate from Moody’s

C. COMMERCIAL MORTGAGE BACKED SECURITIES:

Practice for CMBS not rated by Moody’s:

1) For investment grade classes rated by both S&P and Fitch meeting certain criteria1, 2.5 notches off the lower of the 2 ratings;

2) For other instances, obtain a rating estimate from Moody’s

D. COLLATERALISED DEBT OBLIGATIONS:

1) Where Moody’s has rated at least the senior tranche:

A) A rating estimate on other tranches may be available from Moody’s database or

84

B) For investment grade tranches, notch down by one from lower of S&P and Fitch. For non-investment grade tranches, notch down by two from lower of S&P and Fitch

2) For all other transactions, obtain rating estimate from Moody’s

______________________

1 (a) Traditional commercial real estate asset classes comprise greater than ninety percent (90%) of the collateral base.

(b) Payment waterfall provides for a pass-through sequential structure, provided that we relax this requirement when the payment structure has pro rata features and Moody’s is asked to provide a notched rating on one or more mezzanine classes benefiting from the pro rata structure.

(c) Collateral base comprised of not more than five percent (5%) exposure to Tier D countries (Greece, Italy, Portugal, Eastern European countries) AND European properties make up greater than fifty percent (50%) of the security.

(d) Some form of liquidity provided for all classes of notes to be notched.

(e) Meaning of the rating of the of classes of notes to be notched is the same as or more conservative than that for the CDO structure into which such notes are to be sold. Base assumption is timely payment of interest/ultimate repayment of principal at or before the end of the tail period.

(f) Collateral for the notes, if applicable, is rated the same as or higher than the rating indicator, accounting for notching, to be assigned by Moody’s with respect to the notched notes. This criterion is assumed to apply largely to collateralised synthetic transactions.

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APPENDIX C

Part IV

Moody’s Idealised Expected Loss Table

1 2 3 4 5 6 7 8 9 10 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.01%0.00% 0.00% 0.01% 0.01% 0.02% 0.02% 0.03% 0.04% 0.05% 0.06%0.00% 0.00% 0.01% 0.03% 0.04% 0.05% 0.06% 0.07% 0.09% 0.11%0.00% 0.01% 0.03% 0.06% 0.08% 0.10% 0.12% 0.15% 0.18% 0.22%0.00% 0.02% 0.06% 0.10% 0.14% 0.18% 0.22% 0.26% 0.32% 0.39%0.01% 0.04% 0.12% 0.19% 0.26% 0.32% 0.39% 0.46% 0.54% 0.66%0.02% 0.08% 0.20% 0.30% 0.40% 0.50% 0.61% 0.72% 0.84% 0.99%0.05% 0.15% 0.31% 0.46% 0.61% 0.75% 0.92% 1.08% 1.25% 1.43%0.09% 0.26% 0.46% 0.66% 0.87% 1.08% 1.33% 1.57% 1.78% 1.98%0.23% 0.58% 0.94% 1.31% 1.68% 2.04% 2.38% 2.73% 3.06% 3.36%0.48% 1.11% 1.72% 2.31% 2.90% 3.44% 3.88% 4.34% 4.78% 5.17%0.86% 1.91% 2.85% 3.74% 4.63% 5.37% 5.89% 6.41% 6.96% 7.43%1.55% 3.03% 4.33% 5.38% 6.52% 7.42% 8.04% 8.64% 9.19% 9.71%2.57% 4.61% 6.37% 7.62% 8.87% 9.84% 10.52% 11.13% 11.68% 12.21%3.94% 6.42% 8.55% 9.97% 11.39% 12.46% 13.21% 13.83% 14.42% 14.96%6.39% 9.14% 11.57% 13.22% 14.88% 16.06% 17.05% 17.92% 18.58% 19.20%9.56% 12.78% 15.75% 17.86% 19.97% 21.43% 22.76% 24.01% 25.12% 26.24%

14.30% 17.88% 21.45% 24.13% 26.81% 28.60% 30.39% 32.18% 33.96% 35.75%28.04% 31.35% 34.35% 36.43% 38.40% 39.66% 40.88% 42.07% 43.22% 44.39%

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

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Input No. Content / Definition such ABS Reference Obligation

41 Key Agent

42 Tranche Weighting

43 Initial Rating

44 Expected Scheduled Maturity

45 FALSE

46 Moody’s Expected ABS Recovery Rate or, in relation to an ABS Reference Obligation for which a Credit Event has occurred, the Final Price (alternatively, if such Final Price has not been calculated yet, the highest Full Quotation obtained on the last Interim Valuation Date)

48 Haircut. For ABS Reference Obligations subject to a Credit Event, enter 0%.

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GENERAL INFORMATION

1. The Issuer has obtained all necessary consents, approvals and authorisations in Jersey in connection with the issue of the Notes and entry into relevant documentation relating thereto. The issue of the Notes and entry into relevant documentation relating thereto was authorised by a resolution of the Board of Directors of the Issuer and passed on 22 May 2006.

2. There has been no significant change in the financial or trading position of the Issuer and no material adverse change in the financial position or prospects of the Issuer, since the date of the most recently audited accounts for the financial year ended 30 September 2004. There are no governmental, legal or arbitration proceedings (including any such proceedings which are pending or threatened of which the Issuer is aware) which may have, or have had since its incorporation on 19 March 1998 a significant effect on its financial position or its profitability.

3. The aggregate amount of expenses to be borne by the Issuer in connection with the issue and listing of the Notes will not exceed EUR 70,000.

4. Any reference to a website in this Offering Circular Supplement does not form part of the Securities Note.

Registered Office of the Issuer

Claris Limited 22 Grenville Street

St. Helier Jersey JE4 8PX

Trustee

HSBC Trustee (C.I.) Limited PO Box 88

1 Grenville Street St. Helier

Jersey JE4 9PF

Issuing and Paying Agent and Custodian

HSBC Bank plc 8 Canada Square London E14 5HQ

England

Paying Agent in Ireland

HSBC Institutional Trust Services (Ireland) Limited

HSBC House Harcourt Centre, Harcourt Street

Dublin 2, Ireland

Listing Agent in Ireland

Arthur Cox Listing Services Limited Earlsfort Centre Earlsfort Terrace Dublin 2, Ireland

Portfolio Administrator

Wells Fargo Bank, N.A. 420 Montgomery Street

San Francisco, CA 94104 United States

Arranger, Calculation Agent and Disposal Agent

Société Générale 29, boulevard Haussmann

75009 Paris France

Legal Advisers

To the Arranger and the Trustee in respect of French and English law

To the Issuer in respect of Jersey law

White & Case 11, Boulevard de la Madeleine

75001 Paris France

White & Case 5 Old Broad Street

London EC2N 1DW England

Mourant du Feu & Jeune 22 Grenville Street

St. Helier Jersey JE4 8PX