EXHIBIT 99.5
December 9, 2004
Credit Suisse First Boston International
Xxx Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
RE: Confirmation of Primary Swap Relating to the Class A-1b Notes
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and
conditions of the Swap Transaction (the "Primary Swap") entered into between
Credit Suisse First Boston International (the "Counterparty") and Capital Auto
Receivables Asset Trust 2004-2 (the "Trust") as of the Trade Date listed below
(the "Transaction"). This letter constitutes a "Confirmation" as referred to in
the Primary ISDA Agreement specified below.
1. The definitions and provisions contained in the 2000 ISDA Definitions (the
"Definitions"), as published by the International Swaps and Derivatives
Association, Inc. ("ISDA"), are incorporated into this Confirmation. In
the event of any inconsistency between those definitions and provisions
and this Confirmation, this Confirmation will govern. The parties agree
that this transaction is a Transaction under the ISDA Master Agreement of
the parties dated as of December 9, 2004. The agreement is comprised of
the printed form of such agreement as published by ISDA, as supplemented
and modified by a Schedule (the "Primary ISDA Agreement").
This Confirmation constitutes a binding agreement between you and us and
will supplement, form a part of, and be subject to the Primary ISDA
Agreement described above as amended and supplemented from time to time.
The Counterparty and the Trust acknowledge that this Transaction relates
to the Class A-1b Floating Rate Asset Backed Notes (the "Reference Notes")
issued by the Trust for value pursuant to and subject to the Indenture.
Capitalized terms used and not otherwise defined herein, in the Primary
ISDA Agreement or in the Definitions shall have the meanings assigned to
them in Exhibit A or Exhibit B hereto, as applicable.
All references to "dollars" or to "$" shall be references to amounts in
United States Dollars.
2. The terms of the particular Transaction to which this Confirmation relates
are as follows:
Type of Transaction: Interest Rate Swap.
Notional Amount: $657,000,000 with respect to the initial Calculation
Period. The Notional Amount with respect to each Calculation Period
thereafter shall be equal to the Reference Note Balance as of the close of
business on the Distribution Date at the beginning of the relevant
Calculation Period (as set forth in the Calculation Statement (defined
below) delivered by GMAC to the Counterparty on or prior to the
Determination Date relating to such Calculation Period pursuant to Section
3 below).
Trade Date: December 1, 2004.
Effective Date: December 9, 2004.
Termination Date: The earlier of the close of business on (i) March 15,
2007, and (ii) the Fixed Rate Payer Payment Date on which the Notional
Amount is reduced to zero.
Fixed Amounts:
Fixed Rate Payer: The Trust.
Fixed Rate Payer Period End Dates: The 15th calendar day of each
month, commencing January 15, 2005 to and including the Termination
Date, in each case, subject to adjustment in accordance with the
Following Business Day Convention.
Fixed Rate Payer Payment Date: With respect to each Calculation
Period, the day that is one Business Day prior to the first
Distribution Date to occur following the last day of such
Calculation Period.
Fixed Rate: 3.116%.
Fixed Rate Day Count Fraction: 30/360.
Floating Amounts:
Floating Rate Payer: The Counterparty.
Floating Rate Payer Period End Dates: Each Fixed Rate Payer Period
End Date.
Floating Rate Payer Payment Dates: Each Fixed Rate Payer Payment
Date.
Reset Dates: With respect to each Calculation Period, the first day
of such Calculation Period.
Floating Rate Option: LIBOR (as defined in Exhibit A hereto).
Spread: 0 Basis Points.
Floating Rate Day Count Fraction: Actual/360.
Compounding: Inapplicable.
Business Days for Payment: New York (New York), Detroit (Michigan) and
Chicago (Illinois).
Calculation Agent: The Trust, or General Motors Acceptance Corporation, as
agent for and on behalf of the Trust.
Default Rate: For any United States Dollar payments, the rate determined
under the option entitled "USD Federal Funds - H.15" plus 1% using daily
Reset Dates. The Default Rate will be applied on the basis of Compounding
as if the overdue amount were a Notional Amount and using daily
Compounding Dates, and interest will accrue and be payable before as well
as after judgment.
3. Calculations and Notifications: On or before each Determination Date, the
Calculation Agent shall determine the Fixed Amount due to the Counterparty
on the next succeeding Fixed Rate Payer Payment Date and the Floating
Amount due to the Trust on the next succeeding Floating Rate Payer Payment
Date and the Calculation Agent shall notify the Counterparty in writing of
both (i) the Floating Rate and (ii) the amount of such payment.
2
In addition, on each Determination Date the Trust shall deliver to the
Counterparty (by facsimile with hard copy to follow) a statement (the
"Calculation Statement") setting forth with respect to the close of
business on the immediately preceding Distribution Date the Reference Note
Balance as of such Distribution Date.
The Trust will give the Counterparty prompt written notice of any Default
under the Indenture.
4. Credit Downgrade: In the event that the Joint Probability is reduced below
AA- in the case of S&P or Aa3, in the case of Moody's, the Counterparty
shall promptly notify the Trust (and any permitted assignee or transferee
of the Trust) and GMAC of such event and (unless, within thirty (30) days
after such reduction, the applicable Rating Agency has reconfirmed the
ratings of the Reference Notes and the Other Securities that were in
effect immediately prior to such reduction) the Counterparty shall within
thirty (30) days of receipt of notice of such reduction, with the prior
written confirmation of the applicable Rating Agency that such arrangement
will not result in the reduction of the rating of any of the Reference
Notes or the Other Securities existing immediately prior to the reduction
of the applicable Joint Probability, either:
(1) (x) obtain a substitute swap provider (the "Substitute Swap
Provider") acceptable to the Trust (such acceptance not to be
unreasonably withheld) and replace this Transaction with a swap
transaction on substantially similar terms or with such other
amendments as consented to in writing by the Trust (which consent
shall not be unreasonably withheld), provided such replacement would
result in an S&P Joint Probability of at least AA- and a Moody's
Joint Probability of at least Aa3, except that such Substitute Swap
Provider shall thenceforth be the "Counterparty" hereunder; or (y)
replace, with the consent of the then current Offsetting
Counterparty, the swap transaction with the then current Offsetting
Counterparty with a swap transaction with a replacement Offsetting
Counterparty or enter into a swap transaction with another party
such that such party shall be acting as an intermediary between the
Counterparty and the then current Offsetting Counterparty (such
replacement or intermediary being the "Replacement Offsetting
Counterparty"), in either case on terms approved by S&P and Moody's;
or
(2) enter into an ISDA Credit Support Annex with the Trust mutually
acceptable to the Trust and the Counterparty and, if the
Counterparty is required to post collateral pursuant to such ISDA
Credit Support Annex, at the time such ISDA Credit Support Annex is
entered into, the Counterparty shall request its legal counsel to
deliver to each applicable Rating Agency an opinion as to the
enforceability thereof; or
(3) enter into such other credit support arrangements to assure
performance by the Counterparty of its obligations under this
Transaction.
Notwithstanding the foregoing, in the event that the Joint Probability is
reduced below A- in the case of S&P, or A3, in the case of Moody's, then
the Offsetting Counterparty shall promptly notify the Trust (and any
permitted assignee or transferee of the Trust) and the Counterparty of
such event and (unless, within thirty (30) days after such reduction the
applicable Rating Agency has reconfirmed the ratings of the Reference
Notes and the Other Securities that were in effect immediately prior to
such reduction) the Counterparty shall within thirty (30) days of receipt
of notice of such reduction, with the prior written confirmation of the
applicable Rating Agency that such arrangement will not result in the
reduction of the rating of any of the Reference Notes or the Other
Securities existing immediately
3
prior to the reduction of the applicable Joint Probability as a direct
result of the reduction of such Joint Probability, obtain a Substitute
Swap Provider acceptable to the Trust (such acceptance not to be
unreasonably withheld) and replace this Transaction with a swap
transaction on substantially similar terms or with such other amendments
as consented to in writing by the Trust (which consent shall not be
unreasonably withheld) provided such replacement would result in an S&P
Joint Probability of at least AA- or a Moody's Joint Probability of Aa3
except that such Substitute Swap Provider shall thenceforth be the
"Counterparty" hereunder.
Upon any replacement of this Transaction with a swap transaction with a
Substitute Swap Provider, this Transaction shall terminate without any
payment by either party hereto and any and all collateral posted by the
Counterparty shall be returned to it within three (3) Business Days and
any other form of collateral arrangement (including letters of credit,
surety bond or other guarantee) provided by or on behalf of the
Counterparty shall terminate.
In the event that the Counterparty fails to satisfy its obligations set
forth above in this Section 4, the Trust or any permitted assignee or
transferee of the Trust shall have the option, exercisable in its
discretion and with regard to the interests of the Noteholders, within ten
(10) Business Days following the date of expiry of the thirty (30) day
period after the date of receipt of notice of the reduction (unless,
within thirty (30) days of receipt of notice of such reduction, the
applicable Rating Agency has reconfirmed the rating of the Reference Notes
that was in effect immediately prior to such reduction), to designate (in
writing) an Early Termination Date on the basis that such failure shall be
treated as a Termination Event with the Counterparty as the Affected
Party. For the avoidance of doubt, the Counterparty and the Trust
acknowledge and agree that any such failure shall not constitute an Event
of Default.
5. Account Details:
Payments to Fixed Rate Payer:
JPMorgan Chase Bank - New York, NY
ABA No.: 02100021
A/C: No.: 507199782 further credit to
CARAT 2004-2 Collection Account No. 00000000.1
Attn: Xxxxx Xxxxxxxxxx (000) 000-0000
Payments to Floating Rate Payer:
BANK OF NEW YORK,
SWIFT: XXXXXX0X
for favour Credit Suisse First Boston International, London
Account Number: 8900360968
6. Limited Recourse: Notwithstanding anything to the contrary contained
herein but without limiting the Counterparty's rights under Section
5(a)(i) of the Primary ISDA Agreement, all of the obligations of the Trust
shall be payable by the Trust only at the times and to the extent of funds
available therefor under the Trust Sale and Servicing Agreement and, to
the extent such funds are not available or are insufficient for the
payment thereof, shall not constitute a claim against the Trust to the
extent of such unavailability or insufficiency until such time as, and
then to the extent that, the Trust has assets sufficient to pay such prior
deficiency. This paragraph shall survive the termination of this Agreement
4
but in all cases shall expire one year and one day after the final payment
with respect to all notes and certificates issued by the Trust.
7. Limitation of Liability: It is expressly understood and agreed by the
parties hereto that (a) this Agreement is executed and delivered by
Deutsche Bank Trust Company Delaware, not individually or personally but
solely as Owner Trustee of the Trust in the exercise of the powers and
authority conferred and vested in it, (b) each of the representations,
undertakings and agreements herein made on the part of the Trust is made
and intended not as personal representations, undertakings and agreements
by Deutsche Bank Trust Company Delaware but is made and intended for the
purpose for binding only the Trust, (c) nothing herein contained shall be
construed as creating any liability on Deutsche Bank Trust Company
Delaware, individually or personally, to perform any covenant either
expressed or implied contained herein, all such liability, if any, being
expressly waived by the parties hereto and by any Person claiming by,
through or under the parties hereto and (d) under no circumstances shall
Deutsche Bank Trust Company Delaware be personally liable for the payment
of any indebtedness or expenses of the Trust or be liable for the breach
or failure of any obligation, representation, warranty or covenant made or
undertaken by the Trust under this Agreement or any other related
documents.
8. To the extent that a capitalized term in this Transaction is defined by
reference to a related definition contained in any Trust Document, for
purposes of this Transaction only, such capitalized term shall be deemed
to be amended only if the amendment of the term in a Trust Document
relating to such capitalized term occurs with the prior written consent of
the Counterparty.
* * * *
5
Please confirm that the foregoing correctly sets forth the terms of our
agreement by executing the copy of this Confirmation enclosed for that purpose
and returning it to us.
CAPITAL AUTO RECEIVABLES ASSET
TRUST 2004-2
By: DEUTSCHE BANK TRUST COMPANY
DELAWARE, not in its individual capacity
but solely as Owner Trustee
By: /s/ Xxx Xxxxxxxx
---------------------------------
Name: Xxx Xxxxxxxx
Title: Attorney-In-Fact
Accepted and confirmed as
of the date first written above:
CREDIT SUISSE FIRST BOSTON INTERNATIONAL
By: /s/ Xxxxxx Xxxxxxxxx
--------------------------
Name: Xxxxxx Xxxxxxxxx
Title: Authorized Signatory
By: /s/ Xxxxxx Xxxx
-------------------------
Name: Xxxxxx Xxxx
Title: Authorized Signatory
Acknowledged and agreed as
of the date first written above:
GENERAL MOTORS ACCEPTANCE CORPORATION,
solely as Calculation Agent
By: /s/ Xxxx X. Xxxxxxxxx
---------------------
Name: Xxxx X. Xxxxxxxxx
Title: Director - Global Securitization
EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
"Calculation Period": means, with respect to each party hereunder, each
period from, and including one Period End Date of that party to, but excluding,
the next following Period End Date of that party during the Term of the Swap
Transaction, except that the initial Calculation Period for that party will
commence on, and include, the Effective Date.
"Determination Date": the tenth (10th) day of each calendar month, or if
such tenth (10th) day is not a Business Day, the next succeeding Business Day.
"Distribution Date": the fifteenth (15th) day of each succeeding calendar
month following the Effective Date or, if such fifteenth (15th) day is not a
Business Day, the next such succeeding Business Day, commencing January 18,
2005.
"Indenture": the Indenture, dated as of the date hereof between the Trust
and the Indenture Trustee, as amended and supplemented from time to time in
accordance with its terms.
"Indenture Trustee": JPMorgan Chase Bank, N.A., not in its individual
capacity but solely as trustee under the Indenture, or any successor trustee
under the Indenture.
"LIBOR": means for any Calculation Period with respect to each Floating
Rate Payer Payment Date, the rate for deposits in U.S. Dollars for a period of
one month which appears on the Telerate Service Page 3750 as of 11:00 a.m.,
London time, on the day that is two LIBOR Business Days prior to the first day
of the Calculation Period preceding such Floating Rate Payer Payment Date (or,
in the case of the initial Floating Rate Payer Payment Date, two LIBOR Business
Days prior to Closing Date) preceding such Floating Rate Payer Payment Date. If
the rate does not appear on that date on the Telerate Service Page 3750 (or any
other page as may replace that page on that service, or if that service is no
longer offered, any other service commonly used in the interbank market for
displaying LIBOR or comparable rates as may be selected by the Indenture Trustee
after consultation with the Seller), then LIBOR will be the Reference Bank Rate.
"LIBOR Business Day": any day other than a Saturday, Sunday or any other
day on which banks in London are required or authorized to be closed.
"Other Securities": Class A-1a Notes, Class A-2 Notes, Class A-3 Notes,
Class A-4 Notes, Class B Note, Class C Notes and Class D Notes issued by the
Trust.
"Reference Bank Rate": means for any Calculation Period for any Floating
Rate Payer Payment Date, the per annum rate determined on the basis of the rates
at which deposits in U.S. Dollars are offered by the reference banks (which will
be four major banks that are engaged in transactions in the London interbank
market, selected by the Calculation Agent) as of 11:00 a.m., London time, on the
day that is two LIBOR Business Days prior to the first day of the Calculation
Period preceding such Floating Rate Payer Payment Date to prime banks in the
London interbank market for a period of one month, in amounts approximately
equal to the principal amount of the Reference Notes then outstanding. The
Calculation Agent will request the principal London office of each of the
reference banks to provide a quotation of its rate. If at least two quotations
are provided, the rate will be the arithmetic mean of the quotations, rounded
upwards to the nearest one-sixteenth of one percent. If on that date fewer than
two quotations are provided as requested, the rate will be the arithmetic mean,
rounded upwards to the nearest one-sixteenth of one percent, of the rates quoted
by one or more major banks in New York City, selected by the Calculation Agent,
as of 11:00 a.m., New York City time, on that date to leading European banks for
United States dollar deposits for a period of one month in
A - 1
amounts approximately equal to the principal amount of the Reference Notes then
outstanding. If no quotation can be obtained, then LIBOR will be the rate for
the prior Floating Rate Payer Payment Date.
"Reference Note Balance": as of the Effective Date, $657,000,000 and, with
respect to each Distribution Date thereafter, the aggregate principal balance of
any and all outstanding Reference Notes.
"Seller": Capital Auto Receivables, Inc., which has executed the Trust
Sale and Servicing Agreement as the Seller, or its successor in interest
pursuant to Section 3.03 of the Trust Sale and Servicing Agreement.
"Trust Sale and Servicing Agreement": the Trust Sale and Servicing
Agreement, dated as of the date hereof between the Seller, General Motors
Acceptance Corporation, as Servicer, and the Trust, as amended, modified and
supplemented from time to time in accordance with its terms.
A-2
EXHIBIT B
"Contingent Party": the Offsetting Counterparty or the Replacement
Offsetting Counterparty, as applicable.
"Fallback Swap Transaction": the swap transaction entered into by the
Trust and Offsetting Counterparty relating to the Class A-1b Notes.
"Joint Probability": the Moody's Joint Probability or the S&P Joint
Probability, as applicable.
"Moody's": Xxxxx'x Investors Service, Inc. and its successors.
"Moody's Joint Probability" means the joint probability determined by
Moody's of the long-term likelihood of payment under this interest rate swap
determined by locating the intersection of the long-term unsecured debt ratings
of the Primary Party and the Contingent Party on the table below headed "Implied
Joint Support Rating for Medium Correlation Case" (except that, for any pairing
other than the initial Primary Party with the initial Contingent Party, the
table below to be used shall be the table headed "Implied Joint Support Rating
for Low Correlation Case" or the table headed "Implied Joint Support Rating for
High Correlation Case" if so specified by Moody's within five days after Moody's
has received notice of a potential pairing of a Primary Party with a Contingent
Party).
IMPLIED JOINT SUPPORT RATING FOR HIGH CORRELATION CASE
Rating of the Higher Rated Party
Rating
of the
Lower
Rated
Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
Aa3 Aaa Aaa Aa1 Aa2
A1 Aaa Aaa Aa1 Aa2 Aa3
A2 Aaa Aaa Aa1 Aa2 Aa3 A1
A3 Aaa Aaa Aa1 Aa2 Aa3 A1 A2
Baa1 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3
Baa2 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1
Baa3 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2
Ba1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1
Ba2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2
Ba3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3
B1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1
B2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2
B3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
B-1
IMPLIED JOINT SUPPORT RATING FOR MEDIUM CORRELATION CASE
Rating of the Higher Rated Party
Rating
of the
Lower
Rated
Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
Aa3 Aaa Aaa Aa1 Aa1
A1 Aaa Aaa Aa1 Aa1 Aa1
A2 Aaa Aaa Aa1 Aa1 Aa2 Aa2
A3 Aaa Aaa Aa1 Aa1 Aa2 Aa2 Aa3
Baa1 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2
Baa2 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3
Baa3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2
Ba1 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3
Ba2 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Ba1 Ba1
Ba3 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba2
IMPLIED JOINT SUPPORT RATING FOR LOW CORRELATION CASE
Rating of the Higher Rated Party
Rating
of the
Lower
Rated
Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aaa
Aa3 Aaa Aaa Aaa Aaa
A1 Aaa Aaa Aaa Aaa Aaa
A2 Aaa Aaa Aaa Aaa Aaa Aa1
A3 Aaa Aaa Aaa Aaa Aaa Aa1 Aa2
Baa1 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 Aa3
Baa2 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 A1 A1
Baa3 Aaa Aaa Aaa Aaa Aa1 Aa1 Aa3 A1 A1 Baa1
Ba1 Aaa Aaa Aaa Aa1 Aa1 Aa2 A1 A1 A2 Baa1 Baa3
Ba2 Aaa Aaa Aa1 Aa1 Aa1 Aa2 A1 A1 A2 Baa2 Baa3 Ba1
Ba3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2 Baa3 Ba1 Ba2
B1 Aaa Aa1 Aa1 Aa2 Aa3 Aa3 A1 A3 Baa1 Baa2 Ba1 Ba1 Ba2 Ba3
B2 Aaa Aa1 Aa2 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba3 Ba3 B1
B3 Aaa Aa1 Aa2 Aa3 A1 A1 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B1 B3
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Notwithstanding the foregoing, in the event that under the Triparty Agreement
the Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
B-2
2.02 of the Triparty Agreement, then the term "Xxxxx'x Joint Probability" shall
refer to the Offsetting Counterparty's long term senior unsecured credit rating
assigned by Xxxxx'x (and, for avoidance of doubt, the obligations of the
Counterparty specified in Section 4 of this Confirmation shall constitute
obligations of the Offsetting Counterparty).
"Offsetting Counterparty" means General Motors Acceptance Corporation or
any successor thereto ("GMAC") under the Fallback Swap Transactions entered into
between the Trust and GMAC.
"Primary Party": the Counterparty, unless a Substitute Swap Provider has
been obtained, in which case it shall be the Substitute Swap Provider or, if
applicable, a guarantor thereof.
"Rating Agency": each of S&P and Xxxxx'x.
"S&P": Standard & Poor's Ratings Services and its successors.
"S&P Joint Probability" means the joint probability determined by S&P of
the long-term likelihood of payment under the interest rate swap determined by
locating the intersection of the Counterparty's long term senior unsecured debt
rating and the Contingent Party's long-term senior unsecured debt rating in the
following table:
IMPLIED JOINT SUPPORT RATING
PRIMARY PARTY
CONTINGENT
PARTY AAA AA+ AA AA- A+ A A- BBB+ BBB BBB-
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+
AA- AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA
A+ AAA AAA AAA AA+ AA+ AA+ AA+ AA AA AA-
A AAA AAA AAA AA+ AA+ AA AA AA- AA- A+
A- AAA AAA AAA AA+ AA+ AA AA- A+ A+ A
BBB+ AAA AAA AA+ AA+ AA AA- A+ A A A-
BBB AAA AAA AA+ AA+ AA AA- A+ A A- BBB+
BBB- AAA AAA AA+ AA AA- A+ A A- BBB+ BBB
Notwithstanding the foregoing, (i) in the event that the long-term senior
unsecured debt rating of either the Primary Party or the Contingent Party is
rated below BBB- by S&P, then the S&P Joint Probability shall be the higher of
the then current long-term senior unsecured debt rating of the Primary Party and
the Contingent Party and (ii) in the event that under the Triparty Agreement the
Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
2.02 of the Triparty Agreement, then the term "S&P Joint Probability" shall
refer to the Offsetting Counterparty's long-term senior unsecured credit rating
assigned by S&P (and, for the avoidance of doubt, the obligations of the
Counterparty specified in Section 4 of this Confirmation shall constitute
obligations of the Offsetting Counterparty).
"Triparty Agreement": the Triparty Contingent Assignment Agreement dated
as of the Effective Date among the Trust, the Offsetting Counterparty and the
Counterparty.
B-3
