Deutsche Bank Deutsche Bank AG New York 60 Wall Street New York, NY 10005 Telephone: 212-250-9425 Facsimile: 212-797-0779 Date: May 31, 2007
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EXHIBIT
99.2
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Deutsche
Bank
 Deutsche
Bank AG New York
00
Xxxx Xxxxxx
Xxx
Xxxx, XX 00000
Telephone:
000-000-0000
Facsimile:
000-000-0000
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Date:
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May
31, 2007
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To:
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COUNTRYWIDE
HOME LOANS, INC. (“Party B”)
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Attn:
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Documentation
Unit
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Fax
No:
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000-000-0000
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From:
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DEUTSCHE
BANK AG, NEW YORK BRANCH (“Party A”)
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Our
Reference:
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Global
No. N616173N
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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 Party A and Party B.
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
Party
A and Party B 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 CWABS Asset-Backed Certificates Trust 2007-8, dated
as
of May 1, 2007 among CWABS, Inc. as depositor, Park Monaco Inc., 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, and The Bank of New York Trust Company, N.A., as co-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.
1.
The
terms of the particular Swap Transaction to which this Confirmation relates
are
as follows:
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General
Terms
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Trade
Date:
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May
18, 2007
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Effective
Date:
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November
25, 2007
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Termination
Date:
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November
25, 2014
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.
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Notional
Amount:
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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
December 2007.
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Reference
Assets:
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CWABS,
Inc. Asset-Backed Certificates, Series 2007-8, Class 1-A-1 (Cusip:
00000XXX0), Class 1-A-2 (Cusip: 00000XXX0), Class 2-A-1 (Cusip:
00000XXX0), Class 2-A-2 (Cusip: 00000XXX0), Class 2-A-3 (Cusip:
00000XXX0), Class 2-A-4 (Cusip: 00000XXX0), Class M-1
(Cusip: 00000XXX0), Class M-2 (Cusip: 00000XXX0), Class M-3
(Cusip: 00000XXX0), Class M-4 (Cusip: 00000XXX0), Class M-5 (Cusip:
00000XXX0), Class M-6 (Cusip: 00000XXX0), Class M-7 (Cusip: 00000XXX0),
Class M-8 (Cusip: 00000XXX0), Class M-9 (Cusip: 00000XXX0), and
Class BV
(Cusip: 00000XXX0).
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Principal
Balance:
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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 Reference Assets or the parties fail to
agree on
the aggregate Principal Balance of the Reference Assets for any
Calculation Period, the aggregate Principal Balance of the Reference
Assets shall be determined by the Calculation Agent pursuant to
the
Pooling and Servicing Agreement.
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Business
Days:
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Floating
Amounts
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2
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Floating
Amount Payer:
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Party
A
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Floating
Amount Payer Period End Dates:
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The
25th calendar day of each month, from and including December 25,
2007 to
and including the Termination Date, subject to adjustment in accordance
with the Following Business Day Convention.
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Floating
Amount Payer Payment Dates:
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One
(1) Business Day prior to each Floating Amount Payer Period End
Date.
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Floating
Rate Option:
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USD-LIBOR-BBA
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Designated
Maturity:
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1
month
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Spread:
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Inapplicable
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Floating
Rate Day Count Fraction:
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Actual/360
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Reset
Dates:
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The
first day of each Calculation Period.
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Fixed
Amounts
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Fixed
Amount Payer:
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Party
B
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Fixed
Amount Payer Period End Dates:
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The
25th calendar day of each month, from and including December 25,
2007 to
and including the Termination Date, with No Adjustment of Period
End
Dates.
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Fixed
Amount Payer Payment Dates:
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The
25th calendar day of each month, from and including December 25,
2007 to
and including the Termination Date, subject to adjustment in accordance
with the Following Business Day Convention.
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Fixed
Rate:
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5.18%
per annum
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Fixed
Rate Day Count Fraction:
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30/360
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Additional
Payment:
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On
May 31, 2007 Party B shall pay Party A the sum of USD 550,000,
subject to
adjustment in accordance with the Following Business Day
Convention.
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Other
Provisions
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3
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Netting:
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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.
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Procedural
Terms
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Account
Details:
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Account
Details of Party A:
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Deutsche
Bank Trust Company Americas, New York
Acct#
01 473 969
Swift
Code: XXXXXX00
Favor
of: Deutsche Bank AG, New York
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Account
Details of Party B:
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As
per Party B’s standard settlement instructions.
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Assignment:
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Party
A will not unreasonably withhold or delay its consent to an assignment
of
this Transaction to any other third
party.
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4
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
DEUTSCHE
BANK AG, NEW YORK BRANCH
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For
and on behalf of
COUNTRYWIDE
HOME LOANS, INC.
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/s/
Xxxxx Xxxxxxxx
Name:
Xxxxx Xxxxxxxx
Title:
Vice President
Date:
5/30/07
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/s/
Xxxxx Xxxxxxx
Name:
Xxxxx Xxxxxxx
Title:
Executive Vice President
Date:
5/30/07
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/s/
Xxxxx Xxxxxx
Name: Xxxxx Xxxxxx Title:
Associate
Date:
5/30/07
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5
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Appendix
A
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Calculation
Periods up to but excluding the Payment Date scheduled to
occur:
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Notional
Amount (in USD):
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December
25, 2007
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1,132,298,275
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January
25, 2008
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1,118,000,889
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February
25, 2008
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1,102,384,436
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March
25, 2008
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1,085,485,470
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April
25, 2008
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1,067,379,486
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May
25, 2008
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1,048,119,931
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June
25, 2008
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964,538,184
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July
25, 2008
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943,328,038
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August
25, 2008
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923,644,457
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September
25, 2008
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903,984,165
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October
25, 2008
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884,025,005
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November
25, 2008
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863,795,548
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December
25, 2008
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831,187,022
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January
25, 2009
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810,552,576
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February
25, 2009
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790,192,605
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March
25, 2009
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771,042,339
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April
25, 2009
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753,350,468
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May
25, 2009
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736,013,534
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June
25, 2009
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627,081,194
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July
25, 2009
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610,958,262
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August
25, 2009
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595,242,224
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September
25, 2009
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581,278,647
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October
25, 2009
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568,245,190
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November
25, 2009
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555,518,352
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December
25, 2009
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520,108,333
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January
25, 2010
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506,746,566
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February
25, 2010
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493,646,003
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March
25, 2010
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480,833,296
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April
25, 2010
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468,425,787
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May
25, 2010
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456,177,944
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June
25, 2010
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427,750,172
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July
25, 2010
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416,767,770
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August
25, 2010
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406,070,073
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September
25, 2010
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395,575,004
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October
25, 2010
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385,314,774
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November
25, 2010
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375,320,183
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December
25, 2010
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349,475,390
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January
25, 2011
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340,618,855
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February
25, 2011
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331,925,257
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March
25, 2011
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323,424,704
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April
25, 2011
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315,213,952
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May
25, 2011
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307,085,716
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June
25, 2011
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283,983,401
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July
25, 2011
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276,908,604
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August
25, 2011
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270,021,600
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September
25, 2011
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263,253,926
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6
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October
25, 2011
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256,633,831
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November
25, 2011
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250,189,461
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December
25, 2011
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229,516,214
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January
25, 2012
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223,965,926
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February
25, 2012
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218,510,734
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March
25, 2012
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213,173,856
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April
25, 2012
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208,003,857
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May
25, 2012
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202,895,082
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June
25, 2012
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195,774,863
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July
25, 2012
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193,094,806
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August
25, 2012
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190,581,638
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September
25, 2012
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188,330,368
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October
25, 2012
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186,350,378
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November
25, 2012
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184,119,227
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December
25, 2012
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182,163,779
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January
25, 2013
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180,146,256
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February
25, 2013
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178,481,022
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March
25, 2013
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176,836,607
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April
25, 2013
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174,899,734
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May
25, 2013
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173,031,813
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June
25, 2013
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171,151,264
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July
25, 2013
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169,337,144
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August
25, 2013
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167,510,558
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September
25, 2013
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165,748,073
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October
25, 2013
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164,120,603
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November
25, 2013
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162,406,611
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December
25, 2013
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160,822,876
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January
25, 2014
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159,118,742
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February
25, 2014
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157,706,812
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March
25, 2014
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156,311,436
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April
25, 2014
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154,671,189
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May
25, 2014
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153,086,921
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June
25, 2014
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151,490,678
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July
25, 2014
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149,948,547
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August
25, 2014
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148,394,542
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September
25, 2014
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146,892,873
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October
25, 2014
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145,502,581
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November
25, 2014
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144,038,153
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7
