ISDA® International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the ISDA MASTER AGREEMENT dated as of November 16, 2004 between WACHOVIA BANK, NATIONAL ASSOCIATION ("Party A") and GOLD BANK ("Party B")
Exhibit 10.11
| (Bilateral Form) | (ISDA Agreements Subject to New York Law Only) |
ISDA®
International Swaps and Derivatives Association, Inc.
to the Schedule to the
ISDA MASTER AGREEMENT
dated as of November 16, 2004 between
WACHOVIA BANK, NATIONAL ASSOCIATION ("Party A")
and
GOLD BANK ("Party B")
This Annex supplements, forms part of, and is subject to, the ISDA Master Agreement referred to above (this "Agreement"), is part of its Schedule and is a Credit Support Document under this Agreement with respect to each party.
Accordingly, the parties agree as follows: –
Paragraphs 1 - 12. Incorporation
Paragraphs 1 through 12 inclusive of the ISDA Credit Support Annex (Bilateral Form) (ISDA Agreements Subject to New York Law Only) published in 1994 by the International Swaps and Derivatives Association, Inc. are incorporated herein by reference and made a part hereof.
Paragraph 13. Elections and Variables
| (a) | Security
Interest for "Obligations." The term
"Obligations" as
used in this Annex includes no additional obligations with respect to
Party A and Party B. |
|
| (b) | Credit
Support Obligations. |
|
(i) |
Delivery Amount,
Return Amount and Credit Support Amount. |
|
(A) |
"Delivery Amount"
has the meaning specified in Paragraph
3(a). |
|
| (B) | "Return Amount" has the meaning specified in Paragraph 3(b). | |
| (C) | "Credit Support Amount" has the meaning specified in Paragraph 3. | |
| (ii) | Eligible Collateral.
The following items will qualify as
"Eligible Collateral" for
the party specified, provided that the Secured Party shall be entitled
at any time, and from time to time, not to accept as Eligible Collateral
any of the following which constitute Ineligible Securities as defined
below: |
| Party A | Party B | Valuation Percentage |
|||
| (A) | Cash: U.S.
Dollars in depositary account form. |
YES | YES | 100% | |
| (B) | Treasury Bills:
negotiable obligations issued by
the U.S. Treasury Department having a remaining maturity of not more than
one year. |
YES | YES | 98% | |
| (C) | Treasury Notes:
negotiable debt obligations issued by the
U.S. Treasury Department having a remaining maturity of more than one
year but not more than 10 years. |
YES | YES | 98% | |
| (D) | Treasury Bonds:
negotiable debt obligations issued by the
U.S. Treasury Department having a remaining maturity of more than 10 years
but not more than 30 years. |
YES | YES | 92% | |
| (E) | Agency Securities:
negotiable debt obligations of the Federal
National Mortgage Association (FNMA), Federal Home Loan Mortgage Corporation
(FHLMC), Federal Home Loan Banks (FHLB), Federal Farm Credit Banks (FFCB),
Student Loan Marketing Association (SLMA), Tennessee Valley Authority
(TVA) having a remaining maturity of not more than 30 years. |
YES | YES | 92% | |
| (F) | FHLMC Certificates.
Mortgage participation certificates issued
by FHLMC evidencing undivided interests or participations in pools of
first lien conventional or FHA/VA residential mortgages or deeds of trust,
guaranteed by FHLMC, and having a remaining maturity of not more than
30 years. |
YES | YES | 92% |
2
| (G) | FNMA Certificates.
Mortgage-backed pass-through certificates
issued by FNMA evidencing undivided interests in pools of first lien mortgages
or deeds of trust on residential properties, guaranteed by FNMA, and having
a remaining maturity of not more than 30 years. |
YES | YES | 92% | |
| (H) | GNMA Certificates.
Mortgage-backed pass-through certificates
issued by private entities, evidencing undivided interests in pools of
first lien mortgages or deeds of trust on single family residences, guaranteed
by the Government National Mortgage Association (GNMA) with the full faith
and credit of the United States, and having a remaining maturity of not
more than 30 years. |
YES | YES | 92% | |
| (iii) | Other Eligible Support. Not applicable. | ||||
| (iv) | Thresholds. | ||||
| (A) | "Independent Amount" means
for Party A: zero |
||||
| "Independent Amount" means for Party B: | |||||
zero,
unless an Independent Amount becomes applicable to Party B under any Transaction,
in which case the Independent Amount for Party B under this Annex shall
be the aggregate sum of each Independent Amount for each such Transaction
with respect to which Party B has any remaining obligations to Party A
(including any obligations under Section 6(e) of this Agreement if that
Transaction becomes a Terminated Transaction), as such Independent Amount
is set forth in the Confirmation for that Transaction (as amended from
time to time), or as otherwise agreed between the parties on the Trade
Date of that Transaction if a Confirmation for that Transaction has not
yet been executed and delivered. If the Confirmation for a Transaction
does not specify an Independent Amount, the Independent Amount for that
Transaction will be deemed to be zero unless otherwise agreed between
the parties. |
|||||
| (B) | "Threshold"
means, for Party A on any date of determination,
(a) the amount set forth opposite the Credit Rating of Party A on that
date, or (b) zero if on that date Party A does not have a Credit Rating
or an Event of Default exists with respect to Party A: |
||||
3
| Threshold | Credit Rating (S&P) | Credit Rating | |||
| (Moody's) | |||||
| $ | 30,000,000 | AAA | Aaa | ||
| $ | 20,000,000 | AA-, AA and AA+ | Aa3, Aa2 and Aa1 | ||
| $ | 10,000,000 | A-, A and A+ | A3, A2 and A1 | ||
| $ | 5,000,000 | BBB and BBB+ | Baa2 and Baa1 | ||
| $ | 0 | BBB- and below | Baa3 and below | ||
| "Threshold" means for Party B: zero | ||
| (C) |
"Minimum Transfer
Amount" means, 'for Party A on any date
of determination, (a) the
amount set forth opposite the Credit Rating of Party A on that date, or
(b) zero if on that date Party A does not have a Credit Rating or an Event
of Default exists with respect to Party A: |
| Minimum Transfer | Credit Rating (S&P) | Credit Rating | |||
| Amount | (Moody's) | ||||
| $ | 5,000,000 | AAA | Aaa | ||
| $ | 3,000,000 | AA-, AA and AA+ | Aa3, Aa2 and Aa1 | ||
| $ | 1,000,000 | A-, A and A+ | A3, A2 and A1 | ||
| $ | 500,000 | BBB and BBB+ | Baa2 and Baa1 | ||
| $ | 0 | BBB- and below | Baa3 and below | ||
"Minimum Transfer
Amount" means with respect to Party
B: $100,000 |
||
Provided that
if an Event of Default exists with respect to Party B, the Minimum Transfer
Amount for Party B shall be zero. |
||
| (D) |
Rounding: The
Delivery Amount and the Return Amount will be rounded down to the nearest
integral multiple of $10,000. |
|
| (c) | Valuation and Timing.] | |
| (i) | "Valuation
Agent" means: for purposes of Paragraphs
3 and 5, the party making the demand under Paragraph 3; for purposes of
paragraph 4(d)(ii), the Secured Party receiving the Substitute Credit
Support; and, for purposes of Paragraph 6(d), the Secured Party receiving
or deemed to receive the Distributions or the Interest Amount, as applicable;
provided that if an Event of Default or Potential Event of Default has
occurred and is continuing with resect to a party, the other party shall
be the Valuation Agent. |
|
| (ii) | "Valuation
Date" means any Local Business Day on
which a demand is made before 5:00 p.m., New York time, pursuant to Paragraph
3. |
|
4
(iii) |
"Valuation
Time" means the close of business in
New York City on the Local Business Day before the Valuation Date or date
of calculation, as applicable; provided that the calculations of Value
and Exposure will be made as of approximately the same time on the same
date. |
|
(iv) |
"Notification
Time" means 11:00 a.m., New York time,
on a Local Business Day. |
|
| (d) | Conditions
Precedent and Secured Party's Rights and Remedies. The
following Termination Event(s) will be a "Specified
Condition" for the party specified (that
party being the Affected Party if the Termination Event occurs with respect
to that party): |
|
| Party A | Party B | ||
| Illegality | YES | YES |
provided
that if the Affected Party would be entitled
to receive Eligible Credit Support or Posted Credit Support but for that,
Specified Condition, then notwithstanding Sections 6(b)(ii) and (iii)
of this Agreement, the Affected Party may designate an Early Termination
Date in respect of all Affected Transactions pursuant to Section 6(b)(iv)
as, the result of any such Termination Event(s) regardless of whether
the condition set forth in Section 6(b)(iv)(1) has been satisfied. |
|||
| (e) | Substitution | ||
| (i) | "Substitution Date" has the meaning specified in Paragraph 4(d)(ii). | ||
| (ii) | Consent. The Pledgor is not required to obtain the Secured Party's consent for any substitution pursuant to Paragraph 4(d) unless the Pledgor is organized under the laws of England or Wales, in which case such consent shall not be unreasonably withheld. | ||
| (f) | Dispute Resolution. | ||
| (i) | "Resolution Time" means 1:00 p.m., New York time, on the Local Business Day following the date on which the notice is given that gives rise to a dispute under Paragraph 5. | ||
| (ii) | Value. For
the purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Posted Credit
Support other than Cash will be calculated based upon the mid-point between
the bid and offered purchase rates or prices for that Posted Credit Support
as reported on the Bloomberg electronic service as of the Resolution Time,
or if unavailable, as quoted to the Valuation Agent as of the Resolution
Time by a dealer in that Posted Credit Support of recognized standing
selected in good faith by the Valuation Agent, which calculation shall
include any unpaid interest on that Posted Credit Support. |
||
| (iii) | Alternative. The provisions of Paragraph 5 will apply. Holding and Using Posted Collateral. | ||
5
| (g) | Holding
and Using Posted Collateral. |
||
|
(i) |
Eligibility
to Hold Posted Collateral; Custodians. |
||
(A) |
Party
A will be entitled to hold Posted Collateral itself or through a Custodian
pursuant to Paragraph 6(b), provided that
the following conditions applicable to it are satisfied: |
||
|
(1) |
Party A is not a
Defaulting Party. |
||
(2) |
Posted Collateral
may be held only in the following jurisdictions: New York and North Carolina. |
||
(3) |
The party or entity
holding the Collateral maintains a Credit Rating of at least BBB+ from
S&P and Baa1 from Moody's. |
||
(4) |
The Custodian is
a bank or trust company having total assets in excess of $10 billion. |
||
(B) |
Party
B will be entitled to hold Posted Collateral itself or through its Custodian
pursuant to Paragraph 6(b), provided that
the following conditions applicable to it are satisfied: |
||
(1) |
Party B is not a
Defaulting Party. |
||
(2) |
Posted Collateral
may be held only in the following jurisdictions: New York and Kansas. |
||
(3) |
The party or entity
holding the Collateral maintains a Credit Rating of at least BBB+ from
S&P and Baal from Moody's. |
||
(4) |
The Custodian is
a bank or trust company having total assets in excess of $10 billion. |
||
(ii) |
Use
of Posted Collateral. The provisions
of Paragraph 6(c) will apply to both parties, and in addition to the other
conditions set forth in Paragraph 6(c), the Secured Party's rights under
Paragraph 6(c) are subject to the condition precedent that each of the
conditions set forth in Paragraph 13(g)(i) is satisfied with respect to
it. |
||
| (h) | Interest
Amount. |
||
(i) |
Interest
Rate. The "Interest Rate" for any day
will be the Federal Funds (Effective) rate published in N.Y. Federal Reserve
Statistical Release H.15(519) for that day (or if that day is not a New
York Business Day, then for the next preceding New York Business Day). |
||
6
For the purpose of
computing the Interest Amount, the amount of interest computed for each
day of the Interest Period shall not be subject to compounding. |
||
(ii) |
Transfer of
Interest Amount. The Transfer of the
Interest Amount will be made on the first Local Business Day of each calendar
month and on any Local Business Day that Posted Collateral in the form
of Cash is Transferred to the Pledgor pursuant to Paragraph 3(b). |
|
| (iii) | Alternative
to Interest Amount. The provisions of
Paragraph 6(d)(ii) will apply. Additional Representation(s). Not applicable. Other Eligible Support and Other Posted Support. Not applicable. |
|
| (i) | Additional
Representation(s). Not applicable. |
|
| (j) | Other
Eligible Support and Other Posted Support. Not
applicable. |
|
| (k) | Demands
and Notices. All demands, specifications
and notices under this Annex will be made to a party as follows unless
otherwise specified from time to time by that party for purposes of this
Annex in a written notice given to the other party: To Party A: WACHOVIA BANK, NATIONAL ASSOCIATION 000 Xxxxx Xxxxxxx Xxxxxx 0xx Xxxxx Xxxxxxxxx, XX 00000-0000 Attention: Collateral Management Group Phone: 000-000-0000 Fax: 000-000-0000 To Party B: GOLD BANK Xxxx X. Xxxxxxxx 00000 Xxxx Xxxxxx Xxxxxxx, XX 00000 Attention: Xxxx X. Xxxxxxxx Fax: (000) 000-0000 Phone: (000) 000-0000 |
|
| (l) | Addresses
for Transfers. |
|
(i) |
For each Transfer
hereunder to Party A, instructions will be provided by Party A for that
specific Transfer. |
|
7
| (ii) | For each Transfer
hereunder to Party B, instructions will be provided by Party B for that
specific Transfer. |
|
| (m) | Other Provisions. | |
| (i) | Additional
Definitions. As used in this Annex,
the following terms have the following meanings: |
|
"Credit Rating"
means, for a party or entity on any
date of determination, (a) the Long-Term Counterparty Rating then assigned
to it by Standard & Poor's Ratings Services, a division of the XxXxxx-Xxxx
Companies, Inc. ("S&P") or the Counterparty Rating then assigned to
it by Xxxxx'x Investors Service ("Moody's'), or (b) if a party does not
have either a Long-Term Counterparty Rating assigned to it by S&P
or a Counterparty Rating assigned to it by Moody's, then its Credit Rating
will be the respective rating then assigned to its unsecured and unsubordinated
long-term debt or deposit obligations by either S&P or Moody's. If
such ratings are assigned by both S&P and Moody's, then its Credit
Rating will be the lower of such ratings. |
||
"Ineligible
Securities" means any obligations, securities,
certificates or instruments that (i) are denominated in a currency other
than U.S. Dollars, (ii) are issued other than in Federal Reserve book
entry form, or (iii) constitute or include structured notes or other structured
debt instruments, real estate mortgage investment conduits, collateralized
mortgage obligations, guaranteed mortgage certificates, interest-only
securities, principal-only securities or any securities representing interests
in, or are composed in whole or in part of, residual or high risk mortgage
derivatives or other derivatives. |
||
| (ii) | Exposure. All
calculations of "Exposure" under this Annex shall include all Transactions,
including all Specified Transactions that have been or will be entered
into between the parties (whether or not evidenced by a Confirmation). |
|
| (iii) | Grace Period.
Clause (i) of Paragraph 7 is hereby
amended by deleting the words "two Local Business Days" and substituting
therefor "one Local Business Day." |
|
8
IN WITNESS WHEREOF the parties have executed this Credit Support Annex as of the date hereof.
WACHOVIA BANK, NATIONAL ASSOCIATION
By: /s/ Xxxxxx X. Xxxxxxx, III
Name: Xxxxxx X. Xxxxxxx, III
Title: Vice President
GOLD BANK
By: /s/ Xxxx X. Xxxxxxxx
Name: Xxxx X. Xxxxxxxx
Title: Exec. V.P. and CFO
9
