EXHIBIT 99.5
The Credit Support Annex to the ISDA Master Agreement
ISDA(R)
International Swaps and Derivatives Association, Inc.
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA Master Agreement deemed entered into
dated as of June 29, 2006
between
BARCLAYS BANK PLC THE BANK OF NEW YORK, not in its
individual or corporate capacity
but solely as Swap Contract
Administrator for CWALT, Inc.
Alternative Loan Trust 2006-OC5,
pursuant to a Swap Contract
Administration Agreement
and
.................................... ..................................
("Party A") ("Party B")
This Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule and is a Credit Support Document under this
Agreement with respect to each party.
Paragraph 13.
(a) Security Interest for "Obligations". The term "Obligations" as used in
this Annex includes the following additional obligations:
With respect to Party A: None.
With respect to Party B: None.
(b) Credit Support Obligations.
(i) Delivery Amount, Return Amount and Credit Support Amount.
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(A) "Delivery Amount" has the meaning specified in Paragraph 3(a) ,
except that the words "upon a demand made by the Secured Party
on or promptly following a Valuation Date" shall be deleted and
replaced with the words "not later than the close of business
on the next Local Business Day following a Valuation Date"; and
(B) "Return Amount" has the meaning specified in Paragraph 3(b).
(C) "Credit Support Amount". shall not have the meaning specified
in Paragraph 3(b) and, instead, will have the following
meaning:
"Credit Support Amount" means, (a) for any Valuation Date on
which a Ratings Event (as defined in the Agreement) has
occurred and is continuing and Party A has not otherwise
complied with Part 5(a) of this Agreement, the Secured Party's
Modified Exposure for that Valuation Date.
(ii) Eligible Credit Support. On any date, the following items will
qualify as "Eligible Credit Support" for each party:
Valuation
Percentage
(A) cash in U.S Dollars 100%
(B) negotiable debt obligations issued after 18 98.0%
July 1984 by the U.S. Treasury Department
having a residual maturity on such date of
less than 1 year (with local and foreign
currency issuer ratings of Xxxxx'x Aa2 and
S&P AA or above)
(C) negotiable debt obligations issued after 18 To Be
July 1984 by the U.S. Treasury Department Determined
having a residual maturity on such date equal
to or greater than 1 year but less than 5
years (with local and foreign currency issuer
ratings of Xxxxx'x Aa2 and S&P AA or above)
(D) negotiable debt obligations issued after l8 To Be
July 1984 by the U.S. Treasury Department Determined
having a residual maturity on such date equal
to or greater than 5 years but less than 10
years (with local and foreign currency issuer
ratings of Xxxxx'x Aa2 and S&P AA or above)
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(E) negotiable debt obligations of the Government To Be
National Mortgage Association, the Federal Determined
National Mortgage Association, the Federal
Home Loan Mortgage Corporation, the Student
Loan Marketing Association or a Federal Home
Loan Bank (all entities rated Xxxxx'x Aal and
S&P AA+ or above) with a residual maturity on
such date equal to or greater than 1 year but
less than 3 years.
(F) negotiable debt obligations of the Government To Be
National Mortgage Association, the Federal Determined
National Mortgage Association, the Federal
Home Loan Mortgage Corporation, the Student
Loan Marketing Association or a Federal Home
Loan Bank (all entries rated Xxxxx'x Xx 1 and
S&P AA+ or above) with a residual maturity on
such date equal to or greater than 3 years
but less than 5 years.
(G) negotiable debt obligations of the Government To Be
National Mortgage Association, the Federal Determined
National Mortgage Association, the Federal
Home Loan Mortgage Corporation, the Student
Loan Marketing Association or a Federal Home
Loan Bank (all entries rated Xxxxx'x Aal and
S&P AA+ or above) with a residual maturity on
such date equal to or greater than 5 years
but less than 7 years.\
(H) negotiable debt obligations of the Government To Be
National Mortgage Association, the Federal Determined
National Mortgage Association, the Federal
Home Loan Mortgage Corporation, the Student
Loan Marketing Association or a Federal Home
Loan Bank (all entries rated Xxxxx'x Aal and
S&P AA+ or above) with a residual maturity on
such date equal to or greater than 7 years
but less than 10 years.
For the avoidance of doubt, where negotiable debt obligations are rated
by only one of the above relevant rating agencies, the rating applied
will be based on the rating of that agency. Notwithstanding the
foregoing, the Eligible Collateral referenced above may only be posted
if S&P has assigned a rating to such Eligible Collateral.
Where the ratings of the relevant agencies differ with respect to the
same negotiable debt obligation, the lower of the ratings shall apply.
In addition, upon a Ratings Event, Party A shall agree the Valuation
Percentage in relation to (C) through (H) above with the relevant rating
agency, which shall be S&P, Xxxxx'x and Fitch (to
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the extent such ratings agency has provided a rating for the underlying
Certificates); provided, however, that if Party A is required to post
collateral in accordance with the terms of this Agreement it shall post
only (A) and (B) above until such time as the Valuation Percentages are
agreed.
(iii) Other Eligible Support. Such Other Eligible Support as the Pledgor
may designate; provided, at the expense of the Pledgor, the prior
written consent of the relevant rating agency, which shall be S&P,
Xxxxx'x and Fitch (to the extent such ratings agency has provided
a rating for the underlying Certificates)), shall have been
obtained. For the avoidance of doubt there are no items which
qualify as Other Eligible Support as of the date of this Annex.
(iv) Thresholds.
(A) "Independent Amount" means zero.
(B) "Threshold" means for Party A:
1. infinity, unless (i) a Ratings Event occurs and is
continuing and (ii) Party A has not otherwise complied
with Part 5(a) of this Agreement, then its Threshold
shall be zero, or
2. in the event that Party A has otherwise complied with
Part 5(a)of this Agreement, its Threshold shall
continue to be infinity.
"Threshold" means, for Party B: infinity
(C) "Minimum Transfer Amount" means USD 100,000, provided,
however, with respect to the Secured Party at any time when
the Secured Party is a Defaulting Party, "Minimum Transfer
Amount" means zero.
(D) Rounding: The Delivery Amount and the Return Amount will not
be rounded.
(c) Valuation and Timing.
(i) "Valuation Agent" means Party A. The valuation agent's
calculations shall be made in accordance with market practices
using commonly accepted third party sources such as Bloomberg or
Reuters.
(ii) "Valuation Date" means each Local Business Day which, if treated
as a Valuation Date, would result in a Delivery Amount or Return
Amount.
(iii) "Valuation Time" means the close of business in the city of the
Valuation Agent 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.
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(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 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): None.
(e) Substitution.
(i) "Substitution Date" has the meaning specified in Paragraph
4(d)(ii).
(ii) Consent. Not applicable.
(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 of the dispute
is given under Paragraph 5.
Value. For the purpose of Paragraphs 5(i)(C) and 5(ii), on any
date, the Value of Eligible Credit Support will be calculated as
follows:
For Eligible Credit Support comprised of cash, the amount of such
cash.
For Eligible Collateral comprising securities; the sum of (a)(x)
the last bid price on such date for such securities on the
principal national securities exchange on which such securities
are listed, multiplied by the applicable Valuation Percentage or
(y) where any such securities are not listed on a national
securities exchange, the bid price for such securities quoted as
at the close of business on such date by any principal market
maker for such securities chosen by the Valuation Agent,
multiplied by the applicable Valuation Percentage or (z) if no
such bid price is listed or quoted for such date, the last bid
price listed or quoted (as the case may be), as of the day next
preceding such date on which such prices were available;
multiplied by the applicable Valuation Percentage; plus (b) the
accrued interest on such securities (except to the extent that
such interest shall have been paid to the Pledgor pursuant to
Paragraph 6(d)(ii) or included in the applicable price referred to
in subparagraph (a) above) as of such date.
(ii) Alternative. The provisions of Paragraph 5 will apply; provided
that the obligation of the appropriate party to deliver the
undisputed amount to the other party will not arise prior to the
time that would otherwise have applied to the Transfer pursuant
to, or deemed made, under Paragraph 3 if no dispute had arisen.
(g) Holding and Using Posted Collateral.
(i) Eligibility to Hold Posted Collateral; Custodians.
Party B is not and will not be entitled to hold Posted Collateral.
Party B's Custodian will be entitled to hold Posted Collateral
pursuant to Paragraph 6(b); provided that the
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Custodian for Party B shall be the same banking institution that
acts as Trustee for the Certificates (as defined in the Pooling
and Servicing Agreement) for Party B.
Initially, the Custodian for Party B is : to be advised in writing
by Party B to Party A.
(ii) Use of Posted Collateral. The provisions of Paragraph 6(c) will
not apply to Party B; therefore, Party B will not have any of the
rights specified in Paragraph 6(c)(i) or 6 (c)(ii); provided,
however, that the Trustee shall invest Cash Posted Credit Support
in such investments as designated by Party A, with losses (net of
gains) incurred in respect of such investments to be for the
account of Party A.
(h) Distributions and Interest Amount.
(i) Interest Rate. The "Interest Rate" will be the rate earned on Cash
Posted Credit Support pursuant to clause (g)(ii) above.
(ii) Transfer of Interest Amount. The Transfer of the Interest Amount
will be made on each Distribution Date.
(iii) Alternative to Interest Amount. The provisions of Paragraph
6(d)(ii) will not apply.
(i) Additional Representation(s).
There are no additional representations by either party.
(j) Other Eligible Support and Other Posted Support.
(i) "Value" with respect to Other Eligible Support and Other Posted
Support shall have such meaning as the parties shall agree in
writing from time to time.
(ii) "Transfer" with respect to Other Eligible Support and Other Posted
Support shall have such meaning as the parties shall agree in
writing from time to time.
(k) Demands and Notices.
All demands, specifications and notices under this Annex will be made
pursuant to the Notices Section of this Agreement, save that any demand,
specification or notice:
(i) shall be given to or made at the following addresses:
If to Party A:
0 Xxx Xxxxx Xxxxxxxxx
Xxxxxx Xxxxx
Xxxxxx X00 0XX, England
Attention: Swaps Documentation
Facsimile No.: 0000-000-0000/6858
Telephone No.: 0000-000-0000/6904
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with a copy to:
General Counsel's Office
000 Xxxx Xxxxxx
Xxx Xxxx, X.X. 00000
Notices to Party A shall not be deemed effective unless delivered to the
London address set forth above.
If to Party B:
As set forth in part 4(a) of the Schedule
or at such other address as the relevant party may from time to time
designate by giving notice (in accordance with the terms of this
paragraph) to the other party;
(ii) shall (unless otherwise stated in this Annex) be deemed to be
effective at the time such notice is actually received unless such
notice is received on a day which is not a Local Business Day or
after the Notification Time on any Local Business Day in which
event such notice shall be deemed to be effective on the next
succeeding Local Business Day.
(l) Address for Transfers.
Party B: To be notified by Party B to Party A at the time of the request
for Transfer.
(m) Other Provisions.
(i) Additional Definitions. As used in this Annex:
"Local Business Day" means: (i) any day on which commercial banks
are open for business (including dealings in foreign exchange and
foreign currency deposits) in London, New York and the location of
the Trustee, and (ii) in relation to a Transfer of Eligible Credit
Support, a day on which the clearance system agreed between the
parties for the delivery of Eligible Credit Support is open for
acceptance and execution of settlement instructions (or in the
case of a Transfer of Cash or other Eligible Credit Support for
which delivery is contemplated by other means, a day on which
commercial banks are open for business (including dealings for
foreign exchange and foreign deposits) in New York and such other
places as the parties shall agree).
(ii) Holding Collateral. The Secured Party shall cause any Custodian
appointed hereunder to open and maintain a segregated account and
to hold, record and identify all the Posted Collateral in such
segregated account and, subject to Paragraph 8(a), such Posted
Collateral shall at all times be and remain the property of the
Pledgor and shall at no time constitute the property of, or be
commingled with the property of, the Secured Party or the
Custodian.
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(iii) Agreement as to Single Secured Party and Pledgor. Party A and
Party B agree that, notwithstanding anything to the contrary in
this Annex, (a) the term "Secured Party" as used in this Annex
means only Party B, (b) the term "Pledgor" as used in this Annex
means only Party A, (c) only Party A makes the pledge and grant in
Paragraph 2, the acknowledgement in the final sentence of
Paragraph 8(a) and the representations in Paragraph 9 and (d)
Party A shall have no obligations under this Annex other than
during a Collateral Requirement Period.
(iv) Form of Annex. The parties hereby agree that the text of the body
of this Annex is intended to be the printed form of ISDA Credit
Support Annex (Bilateral Form - ISDA Agreements Subject to New
York Law version) as published and copyrighted by the
International Swaps and Derivatives Association, Inc.
(v) Exposure. The Parties agree that in the event of a Ratings Event
relating to an action taken by S&P, the Valuation Agent shall
internally verify its calculation of the Secured Party's Exposure
by reporting its calculation thereof to S&P on a weekly basis. In
addition, in the case where the long term unubordinated and
unsecured debt of Party A ceases tobe rated at least BBB+ by S&P,
the Valuation Agent shall externally verify its calculation of the
Secured Party's Exposure by seeking two quotations from Reference
Market-makers at the end of each month (such quotations being for
amounts payable as described in the definition of "Market
Quotations" in the Agreement where the date on which such
quotations are sought is the Early Termination Date and the
Transaction entered into pursuant to the Agreement is the only
Termination Transaction). In the case where external verification
of the Exposure calculation is required, the Valuation Agent must
(i) obtain at least two such quotations (ii) may not obtain the
quotations referred to above from the same Reference Market-maker
in excess of four times during any 12 month period. Furthermore,
the Exposure valuations should reflect the higher of two bids from
Reference Market-makers that would be eligible and willing to
provide the market quotation in the absence of the current
provider and (iii) must submit to S&P the two bids provided by
external parties. The collateral requirement should be based on
the greater of the internal and external verifications. In the
event the verification procedures set forth above indicate that
there is a deficiency in the amount of Eligible Collateral that
has been posted to the Secured Party, the Pledgor shall post the
amount of Eligible Collateral necessary to cure such deficiency to
the Secured Party within three Local Business Days.
(vi) Expenses. Notwithstanding Paragraph 10, the Pledgor will be
responsible for, and will reimburse the Secured Party for, all
transfer and other taxes and other costs involved in the transfer
of Eligible Collateral.
(vii) Additional Definitions. As used in this Annex:
"Ratings Event" means a "Ratings Event" (as defined in the
Agreement).
"Modified Exposure" means, for any Valuation Date, an amount equal
to the greater of (a) the sum of Secured Party's Exposure for that
Valuation Date plus the Notional Volatility Buffer and (b) zero.
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"Notional Volatility Buffer" as determined by the Valuation Agent
for any date, means the outstanding Notional Amount of the
Transaction on such date multiplied by the relevant percentage for
such date as set out in the table below on such date.
Less than Less than or equal
or to
equal to 5 10 years but
Party A S&P Rating years to greater
on Termination than 5 years to
such date Date of the Termination Date of
Transaction the Transaction
--------------------------------------------------------
Short Term Rating of 3.25% 4.00%
A-2
--------------------------------------------------------
Short Term Rating of 4.00% 5.00%
A-3
--------------------------------------------------------
Long Term Rating of 4.50% 5.75%
BB+ or lower
--------------------------------------------------------
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IN WITNESS WHEREOF, the parties have executed this Annex by their duly
authorized representatives as of the date of the Agreement.
BARCLAYS BANK PLC THE BANK OF NEW YORK, not in its
individual or corporate capacity but
solely as Swap Contract Administrator
for CWALT, Inc. Alternative Loan Trust
2006-OC5, pursuant to a Swap Contract
Administration Agreement
By: /s/ Xxxxxx Xxxx By: /s/ Xxxxxxxx Xxxxxxxxxxx
-------------------------- -----------------------------
Name: Xxxxxx Xxxx Name: Xxxxxxxx Xxxxxxxxxxx
Title: Director Title: Vice President
Date: Date:
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