EXHIBIT 99.2
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The Confirmation
Deutsche Bank
Aktiengesellschaft
Date: December 29, 2006
To: COUNTRYWIDE HOME LOANS, INC. ("Party B")
Attn: Documentation Unit
Fax No: 000-000-0000
From: DEUTSCHE BANK AG, NEW YORK BRANCH ("Party A")
Our Reference: Global No. N546958N
Swap Transaction Confirmation
The purpose of this letter agreement ("Confirmation") is to confirm the terms
and conditions of the Transaction entered into on the Trade Date specified
below (the "Transaction") between Deutsche Bank AG, New York Branch ("DBAG")
and Countrywide Home Loans, Inc.
This Confirmation supersedes any previous Confirmation or other communication
with respect to the Transaction and evidences a complete and binding agreement
between you and us as to the terms of the Swap Transaction to which this
Confirmation relates. This Confirmation is subject to the terms and conditions
of the ISDA Master Agreement dated as of July 18, 1996, between each of DBAG
and Counterparty and shall form a part of and be subject to that ISDA Master
Agreement (the "Agreement").
The definitions and provisions contained in the 2000 ISDA Definitions (the
"2000 Definitions"), as published by the International Swaps and Derivatives
Association, Inc. ("ISDA") are incorporated into this Confirmation. In the
event of any inconsistency between the 2000 Definitions and this Confirmation,
this Confirmation will govern for the purposes of the Transaction. References
herein to a "Transaction" shall be deemed to be references to a "Swap
Transaction" for the purposes of the 2000 Definitions. Capitalized terms used
in this Confirmation and not defined in this Confirmation or the 2000
Definitions shall have the respective meaning assigned in the Agreement.
Capitalized terms used in this Confirmation and not defined in the Agreement,
this Confirmation or the 2000 Definitions shall have the respective meaning
assigned in the Pooling and Servicing Agreement for CWALT, Inc. Alternative
Loan Trust 2006-OC11, dated as of December 1, 2006 among CWALT, Inc. as
depositor, Park Monaco Inc., as a seller, Park Granada LLC, as a seller, Park
Sienna LLC, as a seller, Countrywide Home Loans, Inc. as a seller, Countrywide
Home Loans Servicing LP, as master servicer, The Bank of New York, as trustee
(the "Pooling and Servicing Agreement"). Each party hereto agrees to make
payment to the other party hereto in accordance with the provisions of this
Confirmation and of the Agreement.
N546958N
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
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Trade Date: December 15, 2006
Effective Date: December 29, 2006
Termination Date: December 25, 2012
For purposes of the final Calculation
Period on the Floating Amounts,
Termination Date will be subject to
adjustment in accordance with the
Following Business Day Convention, and
for purposes of the final Calculation
Period on the Fixed Amounts,
Termination Date will be subject to No
Adjustment.
Notional Amount: With respect to each Calculation
Period, the lesser of (i) the Notional
Amount as set forth in Appendix A
attached hereto and (ii) the aggregate
Principal Balance of the Reference
Assets on or about the 15th calendar
day of each month, commencing in the
month of January 2007.
Referenced Assets: CWALT, Inc. Alternative Loan Trust
2006-OC11, Class 1-A (Cusip: 23244J AA
4), Class 2-A-1 (Cusip: 23244J AB 2),
Class 2-A-2A (Cusip: 23244J AC 0),
Class 2-A-2B (Cusip: 23244J AD 8),
Class 2-A-3 (Cusip: 23244J AE 6), Class
M-1 (Cusip: 23244J AG 1), Class M-2
(Cusip: 23244J AH 9), Class M-3 (Cusip:
23244J AJ 5), Class M-4 (Cusip: 23244J
AK 2), Class M-5 (Cusip: 23244J AL 0),
Class M-6 (Cusip: 23244J AM 8), Class
M-7 (Cusip: 23244J AN 6) and Class M-8
(Cusip: 23244J AP 1)
Principal Balance: As reported on Bloomberg Financial
Services, Inc. ("Bloomberg"): by
entering the Cusip, , type
"pdi4", . If Bloomberg fails to
publish the aggregate Principal Balance
of the Referenced Assets or the parties
fail to agree on the aggregate
Principal Balance of the Referenced
Assets for any Calculation Period, the
aggregate Principal Balance of the
Referenced Assets shall be determined
by the Calculation Agent pursuant to
the Pooling and Servicing Agreement.
Business Days:
New York
Floating Amounts
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Floating Amount Payer: Party A
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Floating Amount Payer Period End The 25th calendar day of each month,
Dates: from and including January 25, 2007 to
and including the Termination Date,
subject to adjustment in accordance
with the Following Business Day
Convention.
Floating Amount Payer Payment One (1) Business Day prior to each
Dates: Floating Amount Payer Period End Date.
Floating Rate Option: USD-LIBOR-BBA
Designated Maturity: 1 month
Spread: Inapplicable
Floating Rate Day Count Fraction: Actual/360
Reset Dates: The first day of each Calculation Period
Fixed Amounts
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Fixed Amount Payer: Party B
Fixed Amount Payer Period End The 25th calendar day of each month,
Dates: from and including January 25, 2007 to
and including the Termination Date,
with No Adjustment of Period End Dates.
Fixed Amount Payer Payment Dates: The 25th calendar day of each month,
from and including January 25, 2007 to
and including the Termination Date,
subject to adjustment in accordance
with the Following Business Day
Convention.
Fixed Rate: 5.00% per annum
Fixed Rate Day Count Fraction: 30/360
Additional Payment:
Party A shall pay Party B the sum of
USD 414,000 on the Effective Date
subject to adjustment in accordance
with the Following Business Day
Convention.
Other Provisions
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Netting:
With respect to each Calculation
Period, if a Net Payment Amount for
such Calculation Period is owed by
Party A, then such Net Payment Amount
shall be paid by Party A to Party B on
the Floating Amount Payer Payment Date,
and if a Net Payment Amount for such
Calculation Period is owed by Party B,
then such Net Payment Amount shall be
paid by Party B to Party A on the Fixed
Amount Payer Payment Date.
Where,
Net Payment Amount shall mean, for a
Calculation Period, the excess of the
larger aggregate amount payable and
currently owed by one party over the
smaller aggregate amount payable and
currently owed by the other party.
Procedural Terms
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Account Details:
Account Details of Party A:
Deutsche Bank Trust Company Americas,
New York
Acct# 01 473 969
Swift Code: XXXXXX00
Favour of: Deutsche Bank AG, New York
Account Details of Party B:
As per Party B's standard settlement
instructions.
Assignment: DBAG will not unreasonably withhold or
delay its consent to an assignment of
this Transaction to any other third
party.
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This agreement may be executed in several counterparts, each of which shall be
deemed an original but all of which together shall constitute one and the same
instrument.
Please confirm that the foregoing correctly sets forth the terms of our
agreement by having an authorized officer sign this Confirmation and return it
via facsimile to:
Attention: Derivative Documentation
Telephone: 00 00 0000 0000
Facsimile: 44 20 7545 9761
E-mail: xxxxxxxxxx.xxxxxxxxxxxxx@xx.xxx
This message will be the only form of Confirmation dispatched by us. If you
wish to exchange hard copy forms of this Confirmation, please contact us.
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For and on behalf of For and on behalf of
DEUTSCHE BANK AG, NEW YORK COUNTRYWIDE HOME LOANS, INC.
BRANCH
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/s/ Xxxx Xxxxxxx /s/ Xxxxxxx Xxxxx
------------------------------------- ----------------------------------------
Name: Xxxx Xxxxxxx Name: Xxxxxxx Xxxxx
Title: Vice President Title:
Date: Date:
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/s/ Xxxxxxx Xxxx
-------------------------------------
Name: Xxxxxxx Xxxx
Title: Assistant Vice President
Date:
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Appendix A
Calculation Periods up to but excluding Notional Amount (in USD):
the Payment Date scheduled to occur:
January 25, 2007 660,358,175.25
February 25, 2007 655,025,697.86
March 25, 2007 648,886,165.66
April 25, 2007 641,949,316.73
May 25, 2007 634,228,004.03
June 25, 2007 625,738,199.60
July 25, 2007 616,498,979.54
August 25, 2007 606,532,489.03
September 25, 2007 595,863,887.06
October 25, 2007 584,521,270.38
November 25, 2007 572,535,576.84
December 25, 2007 559,940,467.83
January 25, 2008 546,772,190.34
February 25, 2008 533,069,418.96
March 25, 2008 518,929,284.68
April 25, 2008 504,714,851.28
May 25, 2008 490,616,237.05
June 25, 2008 476,686,842.98
July 25, 2008 463,007,918.69
August 25, 2008 449,578,047.91
September 25, 2008 436,428,620.06
October 25, 2008 423,632,540.15
November 25, 2008 409,695,480.91
December 25, 2008 395,684,717.45
January 25, 2009 382,191,753.49
February 25, 2009 369,195,565.30
March 25, 2009 356,676,065.74
April 25, 2009 344,614,059.24
May 25, 2009 333,840,070.80
June 25, 2009 323,732,341.70
July 25, 2009 313,930,057.14
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Appendix A
Calculation Periods up to but excluding Notional Amount (in USD):
the Payment Date scheduled to occur:
August 25, 2009 304,423,983.41
September 25, 2009 295,205,166.60
October 25, 2009 286,264,924.03
November 25, 2009 277,179,256.81
December 25, 2009 268,391,395.29
January 25, 2010 259,892,361.14
February 25, 2010 251,669,993.02
March 25, 2010 243,714,858.92
April 25, 2010 236,017,870.37
May 25, 2010 228,803,357.98
June 25, 2010 221,809,864.82
July 25, 2010 215,029,725.79
August 25, 2010 208,458,545.03
September 25, 2010 202,087,759.77
October 25, 2010 195,911,255.77
November 25, 2010 189,923,105.78
December 25, 2010 184,117,707.91
January 25, 2011 178,489,480.78
February 25, 2011 173,032,874.07
March 25, 2011 167,742,905.77
April 25, 2011 162,614,234.26
May 25, 2011 157,642,307.13
June 25, 2011 152,821,967.85
July 25, 2011 148,148,595.16
August 25, 2011 143,617,802.59
September 25, 2011 139,225,147.50
October 25, 2011 134,966,419.55
November 25, 2011 130,837,536.98
December 25, 2011 125,575,761.11
January 25, 2012 119,637,226.69
February 25, 2012 113,993,730.63
March 25, 2012 108,630,042.44
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Appendix A
Calculation Periods up to but excluding Notional Amount (in USD):
the Payment Date scheduled to occur:
April 25, 2012 103,531,767.50
May 25, 2012 98,685,289.18
June 25, 2012 94,787,295.84
July 25, 2012 91,566,675.44
August 25, 2012 88,455,330.27
September 25, 2012 85,449,553.57
October 25, 2012 82,545,764.32
November 25, 2012 79,740,503.08
December 25, 2012 77,030,427.77
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