ISDAâ International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the Master Agreement dated as of November 30, 2007 between
EXECUTION
COPY
(Bilateral
Form) (ISDA
Agreements
Subject to New York Law Only)
ISDAâ
International
Swaps
and
Derivatives
Association, Inc.
CREDIT
SUPPORT ANNEX
to
the
Schedule to the Master Agreement
dated
as
of November
30, 2007
between
|
ABN
AMRO BANK N.V.
|
and
|
U.S.
BANK NATIONAL ASSOCIATION,
NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY AS TRUSTEE ON BEHALF OF THE SUPPLEMENTAL INTEREST TRUST, XXXXXX XS TRUST MORTGAGE PASS-THROUGH CERTIFICATES, SERIES
2007-20N
|
|
(“Party
A”)
|
(“Party
B”)
|
Paragraph
13. Elections
and Variables
| (a) |
Security
Interest for “Obligations”.
|
The
term
“Obligations”
as used
in this Annex includes the following additional obligations: None.
| (b) |
Credit
Support Obligations.
|
(i) Delivery
Amount, Return Amount and Credit Support Amount.
(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 by the words “on each Valuation Date;” provided,
that
the Delivery Amount shall be calculated, with respect to collateral posting
required by each Rating Agency, by using (i) such Rating Agency’s Valuation
Percentages as provided below to determine Value and (ii) the Credit Support
Amount related to such Rating Agency. The Delivery Amount shall be the greatest
of such calculated amounts.
(B) “Return
Amount”
has the
meaning
specified in Paragraph 3(b); provided,
that
the Return Amount shall be calculated, with respect to collateral posting
required by each Rating Agency, by using (i) such Rating Agency’s Valuation
Percentages as provided below to determine Value and (ii) the Credit Support
Amount related to such Rating Agency. The Return Amount shall be the least
of
such calculated amounts.
(C) “Credit
Support Amount”
has the
meaning specified in Paragraph 13(j)(iv).
1
(ii) Eligible
Credit Support.
The
following Valuation
Percentages1
shall
apply to Eligible Collateral with respect to Party A; provided,
however,
that
all Eligible Collateral shall be denominated in United States Dollars.
|
Collateral
|
S&P
Valuation
Percentage
for Eligible Counterparties
|
S&P
Valuation
Percentage
for Ineligible Counterparties
|
Fitch
Valuation
Percentage
|
Xxxxx’x
First
Trigger Valuation
Percentage
|
Xxxxx’x
Second
Trigger Valuation
Percentage
|
|||||||||||
|
Cash
|
100
|
%
|
80
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of not more than one
year
|
98.0
|
%
|
78.4
|
%
|
99.5
|
%
|
100
|
%
|
100
|
%
|
||||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of not more than five
years
|
98.0
|
%
|
78.4
|
%
|
96.6
|
%
|
100
|
%
|
97
|
%
|
||||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than one year but not more
than
ten years
|
92.6
|
%
|
74.1
|
%
|
93.9
|
%
|
100
|
%
|
94
|
%
|
||||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of greater than or equal to five
years
but less than or equal to ten years
|
92.6
|
%
|
74.1
|
%
|
93.9
|
%
|
100
|
%
|
94
|
%
|
||||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than ten years
|
84.6
|
%
|
67.7
|
%
|
92.7
|
%
|
100
|
%
|
87
|
%
|
||||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date of
not
more than one year
|
98.0
|
%
|
78.4
|
%
|
(2
|
)
|
100
|
%
|
99
|
%
|
||||||
|
Fixed-rate
and floating-rate U.S. Agency Debentures having a remaining maturity
on
such date of not more than five years
|
98.0
|
%
|
78.4
|
%
|
(3
|
)
|
100
|
%
|
96
|
%
|
||||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date of
more
than one year but not more than ten years
|
92.6
|
%
|
74.1
|
%
|
(4
|
)
|
100
|
%
|
93
|
%
|
||||||
|
Fixed-rate
and floating-rate U.S. Agency Debentures having a remaining maturity
on
such date of greater than or equal to five years but less than or
equal to
ten years
|
92.6
|
%
|
74.1
|
%
|
(5
|
)
|
100
|
%
|
93
|
%
|
||||||
1
With
respect to collateral types not listed below, such assets will be subject
to
review by each of S&P, Fitch and Xxxxx’x.
2
Subject
to review by Fitch.
3
Subject
to review by Fitch.
4
Subject
to review by Fitch.
2
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date
of more
than ten years
|
77.9
|
%
|
62.3
|
%
|
(6
|
)
|
100
|
%
|
86
|
%
|
5
Subject
to review by Fitch.
6
Subject
to review by Fitch.
(iii) Thresholds.
| (A) |
“Independent
Amount”
means with respect to Party A: Zero
|
“Independent
Amount”
means
with respect to Party B: Zero
|
(B)
|
“Threshold”
means with respect to Party A: infinity; provided
that the Threshold with respect to Party A shall be zero for so long
as,
with respect to Xxxxx’x and Fitch, no Relevant Entity has the Xxxxx’x
First Trigger Required Ratings or a Collateralization Event is occurring,
respectively, and with respect to S&P, no Relevant Entity has the
S&P First Trigger Required Ratings, and (i) no Relevant Entity has
had
the Xxxxx’x First Trigger Required Ratings since this Annex was executed,
or (ii) at least 30 Local Business Days have elapsed since the last
time a
Relevant Entity had the Xxxxx’x First Trigger Required Ratings, or (iii)
no Relevant Entity has met the Hedge Counterparty Ratings Requirement
since this Annex was executed, or (iv) at least 30 calendar days
have
elapsed since the last time a Collateralization Event occurred, or
(v) a
Ratings Event is occurring, or (vi) no Relevant Entity has had the
S&P
First Trigger Required Ratings since this Annex was executed or (vii)
at
least 10 Local Business Days have elapsed since the last time the
Relevant
Entity has had the S&P
First Trigger Required Ratings.
|
“Threshold”
means
with respect to Party B: infinity.
|
(C)
|
“Minimum
Transfer Amount”
means
with respect to Party A: USD $100,000; provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000.
|
| (D) |
“Minimum
Transfer Amount”
means with respect to Party B: USD $100,000 (or
if the Posted Collateral is less than $100,000, the aggregate Value
of
Posted Collateral);
provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000 (or if the Posted
Collateral is less than $50,000, the aggregate Value of Posted
Collateral).
|
|
(E)
|
Rounding.
The Delivery Amount will be rounded up to the nearest integral multiple
of
USD $10,000; provided,
however,
that if S&P is rating the Certificates, the Delivery Amount will be
rounded up to the nearest integral multiple of $1,000. The Return
Amount
will be rounded down to the nearest integral multiple
of
USD $10,000; provided,
however,
that if S&P is rating the Certificates, the Return Amount will be
rounded down to the nearest integral multiple of
$1,000.
|
(iv) “Exposure”
has the
meaning specified in Paragraph 12, except that (1) after the word “Agreement”
the words “(assuming, for this purpose only, that Part 5(q) of the Schedule is
3
deleted)”
shall
be inserted and (2) at the end of
such definition, the words “with terms substantially the same as those of this
Agreement.”
| (c) |
Valuation
and Timing.
|
(i) “Valuation
Agent”
means
Party A in all circumstances.
(ii) “Valuation
Date”
means
the first Local Business Day in each week.
(iii) “Valuation
Time”
means
the close of business in the city of the Valuation Agent on the Local Business
Day immediately preceding the Valuation Date or date of calculation, as
applicable, provided that the calculations of Value and Credit Support Amount
will, as far as practicable, 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.
The
amount of “Value”
with
respect to Cash in Paragraph 12 shall be the Amount thereof multiplied by the
applicable Valuation Percentage.
| (d) |
Conditions
Precedent and Secured Party’s Rights and Remedies.
None.
|
| (e) |
Substitution.
|
(i) “Substitution
Date”
has the
meaning specified in Paragraph 4(d)(ii).
(ii) Consent.
If
specified here as applicable, then the Pledgor must obtain the Secured Party’s
consent for any substitution pursuant to Paragraph 4(d):
Inapplicable.
| (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 Eligible Credit Support
or
Posted Credit Support as of the relevant Valuation Date or date of Transfer
will
be calculated as follows:
(A) with
respect to any Eligible Credit Support or Posted Credit Support comprising
securities (“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 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 (which
shall
not be and shall be independent from the Valuation Agent) 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 where applicable
on such Securities (except to the extent that such interest shall have been
paid
to the Pledgor pursuant to Paragraph 5(c)(ii) or included in the applicable
price) as of such date; and
4
(B) with
respect to any Cash, the face amount thereof multiplied by the applicable
Valuation Percentage.
(iii) Alternative.
The
provisions of Paragraph 5 will apply.
| (g) |
Holding
and Using Posted
Collateral.
|
(i) Eligibility
to Hold Posted Collateral; Custodians:
A
Custodian will be entitled to hold Posted Collateral on behalf of Party B
pursuant to Paragraph 6(b); provided
that:
(A) Posted
Collateral may be held only in the following jurisdiction: United
States.
(B) The
Custodian for Party B (A) is a commercial bank or trust company which is
unaffiliated with Party B and organized under the laws of the United States
or
state thereof, having assets of at least $500 million and a long term debt
or a
deposit rating of at least (i) Baa2 from Xxxxx’x and (ii) A-1 from S&P, or
is the Trustee, and a short term rating from Fitch of at least “F1” and (B)
shall hold all Eligible Credit Support in an Eligible Account segregated from
the Swap Account [and the Interest Rate Cap Account], as defined in the related
Trust Agreement.
Initially,
the Custodian for Cash and Securities for Party B is: The Trustee under the
Trust Agreement, or any successor trustee thereto.
If the
Custodian ceases to meet the requirements set forth in the first paragraph
of
this clause (i)(B), the Trustee shall replace such Custodian within 60 calendar
days from the time such Custodian failed to be so eligible.
(ii) Use
of Posted Collateral.
The
provisions of Paragraph 6(c)(i) will not apply to Party B, but the provisions
of
Paragraph 6(c)(ii) will apply to Party B.
(iii) Notice.
If a
party or its Custodian fails to meet the criteria for eligibility to hold (or,
in the case of a party, to use) Posted Collateral set forth in this Paragraph
13(g), such party shall promptly notify the other party of such
ineligibility.
| (h) |
Distributions
and Interest Amount.
|
(i) Interest
Rate.
The
“Interest
Rate”
will
be
the federal funds overnight rate as published by the Board of Governors of
the
Federal Reserve System in H.15 (519) or its successor publication, or such
other
rate as the parties may agree from time to time.
(ii) Transfer
of Interest Amount.
The
transfer of the Interest Amount will be made on the second Local Business Day
following the end of each calendar month and on any other Local Business Day
on
which Posted Collateral in the form of Cash is transferred to the Pledgor
pursuant to Paragraph 3(b), in each case to the extent that a Delivery Amount
would not be created or increased by that transfer, provided
that
Party B shall not be obliged to so transfer any Interest Amount unless and
until
it has earned and received such interest.
(iii) Alternative
to Interest Amount.
The
provisions of Paragraph 6(d)(ii) will apply.
(i) Address
for Transfers.
5
Party
A:
To be notified to Party B by Party A at the time of the request for the
transfer.
Party
B:
To be notified to Party A by Party B upon request by Party A.
| (j) |
Other
Provisions.
|
(i) Events
of Default.
Subclause
(iii) shall be deleted from Paragraph 7.
(ii) Costs
of Transfer on Exchange.
|
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 Credit Support either from the Pledgor
to the
Secured Party or from the Secured Party to the
Pledgor.
|
(iii) Cumulative
Rights.
|
The
rights, powers and remedies of the Secured Party under this Annex
shall be
in addition to all rights, powers and remedies given to the Secured
Party
by the Agreement or by virtue of any statute or rule of law, all
of which
rights, powers and remedies shall be cumulative and may be exercised
successively or concurrently without impairing the rights of the
Secured
Party in the Posted Credit Support created pursuant to this
Annex.
|
(iv) Ratings
Criteria.
“Credit
Support Amount”
means
(a) in respect of S&P, the S&P Credit Support Amount, (b) in respect of
Fitch, the Fitch Credit Support Amount, and (c) in respect of Xxxxx’x, the
Xxxxx’x First Trigger Credit Support Amount, or the Xxxxx’x Second Trigger
Credit Support Amount, as applicable.
With
respect to Fitch:
“Fitch
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date (x) on which a Collateralization Event with respect
to
Fitch has occurred and been continuing for at least 30 calendar days
or
(y) on which a Ratings Event with respect to Fitch has occurred and
is
continuing, an amount equal to the sum of (1) the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
and (2) the aggregate of the products of the Volatility Buffer for
each
Transaction and the Notional Amount of each Transaction for the
Calculation Period of each such Transaction which includes such Valuation
Date, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“Volatility
Buffer”
shall
mean the percentage set forth in the following table with respect to any
Transaction (other than a Transaction identified in the related Confirmation
as
a Timing Hedge):
6
|
Weighted
Average Life (Years)
|
|||||||||||||||||||||||||||||||
|
Notes’
Rating
|
1
|
2
|
3
|
4
|
5
|
6
|
7
|
8
|
9
|
10
|
|||||||||||||||||||||
|
USD
Interest Rate Swaps
|
|||||||||||||||||||||||||||||||
|
AA-
or Better
|
0.6
|
1.6
|
2.6
|
3.4
|
4.2
|
4.8
|
5.5
|
5.9
|
6.4
|
7.0
|
|||||||||||||||||||||
|
A+/A
|
0.3
|
0.8
|
1.3
|
1.7
|
2.1
|
2.4
|
2.8
|
3.0
|
3.3
|
3.6
|
|||||||||||||||||||||
|
A-/BBB+
|
0.2
|
0.6
|
1.0
|
1.3
|
1.6
|
1.9
|
2.1
|
2.3
|
2.5
|
2.7
|
|||||||||||||||||||||
With
respect to Xxxxx’x:
“Xxxxx’x
First Trigger Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
(I) (A) for
any
Valuation Date on which (I) a Xxxxx’x First Trigger Failure Condition has
occurred and has been continuing (x) for at least 30 Local Business Days or
(y)
since this Annex was executed and (II) it is not the case that a Xxxxx’x Second
Trigger Event has occurred and been continuing for at least 30 Local Business
Days, an amount equal to the greater of (a) zero and (b) the sum of the Secured
Party’s aggregate Exposure for all Transactions and the aggregate of Xxxxx’x
Additional Collateralized Amounts for each Transaction.
|
For
the purposes of this definition, the “Xxxxx’x
Additional Collateralized Amount”
with respect to any Transaction shall mean:
|
|
[the
lesser of (x) the product of the Xxxxx’x First Trigger DV01 Multiplier and
DV01 for such Transaction and such Valuation Date and (y) the product
of
Xxxxx’x First Trigger Notional Amount Multiplier and the Notional Amount
for such Transaction for the Calculation Period which includes such
Valuation Date;]7
|
|
[the
product of the applicable Xxxxx’x First Trigger Factor set forth in Table
1 and the Notional Amount for such Transaction for the Calculation
Period
which includes such Valuation Date;]8
or
|
(B) for
any
other Valuation Date, zero, over
(II) the
Threshold for Party A such Valuation Date.
“Xxxxx’x
First Trigger Failure Condition”
means
that no Relevant Entity has credit ratings from Xxxxx’x at least equal to the
Xxxxx’x First Trigger Required Ratings.
“DV01”
means,
with respect to a Transaction and any date of determination, the sum of the
estimated change in the Secured Party’s Exposure with respect to such
Transaction that would result from a one basis point change in the relevant
swap
curve on such date, as determined by the Valuation Agent in good faith and
in a
commercially reasonable manner. The Valuation Agent shall, upon request of
Party
B, provide to Party B a statement showing in reasonable detail such
calculation.
7
If
Xxxxx’x First Trigger Credit Support Amount is calculated using
DV01.
8
If
Xxxxx’x First Trigger Credit Support Amount is calculated without using
DV01.
7
“Xxxxx’x
First Trigger DV01 Multiplier”
means
25.
“Xxxxx’x
First Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the Xxxxx’x First Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“Xxxxx’x
First Trigger Notional Amount Multiplier”
means
4%.
“Xxxxx’x
Second Trigger Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
(I) (A) for
any
Valuation Date on which it is the case that a Xxxxx’x Second Trigger Failure
Condition has occurred and been continuing for at least 30 Local Business Days,
an amount equal to the greatest of (a) zero, (b) the aggregate amount of the
Next Payments for all Next Payment Dates (c) the sum of the Secured Party’s
aggregate Exposure and the aggregate of Xxxxx’x Additional Collateralized
Amounts for each Transaction.
|
For
the purposes of this definition, the “Xxxxx’x
Additional Collateralized Amount”
with respect to any Transaction shall mean:
|
|
if
such Transaction is not a Transaction-Specific
Hedge,
|
|
[the
lesser of (i) the product of the Xxxxx’x Second Trigger DV01 Multiplier
and DV01 for such Transaction and such Valuation Date and (ii) the
product
of the Xxxxx’x Second Trigger Notional Amount Multiplier and the Notional
Amount for such Transaction for the Calculation Period which includes
such
Valuation Date;]9
|
|
[the
product of the applicable Xxxxx’x Second Trigger Factor set forth in Table
2 and the Notional Amount for such Transaction for the Calculation
Period
which includes such Valuation Date;]10
or
|
|
if
such Transaction is a Transaction-Specific Hedge,
|
|
[the
lesser of (i) the product of the Xxxxx’x Second Trigger
Transaction-Specific Hedge DV01 Multiplier and DV01 for such Transaction
and such Valuation Date and (ii) the product of the Xxxxx’x Second Trigger
Transaction-Specific Hedge Notional Amount Multiplier and the Notional
Amount for such Transaction for the Calculation Period which includes
such
Valuation Date;]11
|
9
If
Xxxxx’x Second Trigger Credit Support Amount for a fixed schedule swap is
calculated using DV01.
10
If
Xxxxx’x Second Trigger Credit Support Amount for a fixed schedule swap is
calculated without using DV01.
11
If
Xxxxx’x Second Trigger Credit Support Amount for a Transaction-Specific Hedge is
calculated using DV01.
8
|
[the
product of the applicable Xxxxx’x Second Trigger Factor set forth in Table
3 and the Notional Amount for such Transaction for the Calculation
Period
which includes such Valuation Date;]12
or
|
(B) for
any
other Valuation Date, zero, over
(II) the
Threshold for Party A for such Valuation Date.
“Next
Payment”
means,
in
respect of each Next Payment Date, the greater of (i) the amount of any payments
due to be made by Party A under Section 2(a) of the Master Agreement on such
Next Payment Date less any payments due to be made by Party B under Section
2(a)
of the Master Agreement on such Next Payment Date (in each case, after giving
effect to any applicable netting under Section 2(c) of the Master Agreement)
and
(ii) zero.
“Next
Payment Date”
means
each date on which the next scheduled payment under any Transaction is due
to be
paid.
“Transaction-Specific
Hedge” means
any
Transaction that is an interest rate cap, interest rate floor or interest rate
swaption, or an interest rate swap if (x) the notional amount of the interest
rate swap is “balance guaranteed” or (y) the notional amount of the interest
rate swap for any Calculation Period otherwise is not a specific dollar amount
that is fixed at the inception of the Transaction.
“Xxxxx’x
Second Trigger Failure Condition”
means
that no Relevant Entity has credit ratings from Xxxxx’x at least equal to the
Xxxxx’x Second Trigger Ratings Threshold.
“Xxxxx’x
Second Trigger DV01 Multiplier”
means
60.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge DV01
Multiplier”
means
75.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge Notional Amount
Multiplier”
means
11%.
“Xxxxx’x
Second Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the Xxxxx’x Second Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“Xxxxx’x
Second Trigger Notional Amount Multiplier”
means
9%.
With
respect to S&P:
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date on which (x) an S&P FI Relevant Entity’s senior,
unsecured (i) short-term debt obligations are rated “A-2” by S&P or
(ii) long-term debt obligations are rated “A,” “A-“ or “BBB+,”
|
12
If
Xxxxx’x Second Trigger Credit Support Amount for a Transaction-Specific Hedge is
calculated without using DV01.
9
|
if
such S&P FI Relevant Entity does not have a senior, unsecured
short-term rating from S&P, an amount equal to the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
or (y) the Relevant Entity is an Ineligible Counterparty, an amount
equal
to the product of 125% times the aggregate Secured Party’s Exposure for
such Valuation Date with respect to all Transactions,
or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“S&P
Valuation Percentage”
means,
with respect to a Valuation Date and each item of Eligible
Collateral:
| (A) |
if
the S&P Threshold for such Valuation Date is zero and it is not the
case that a S&P Trigger Failure Condition has occurred and been
continuing for at least 10 Local Business Days, the corresponding
percentage for such Eligible Collateral in the column headed “S&P
Valuation Percentage for Eligible Counterparties,” or
|
| (B) |
if
an S&P Trigger Failure Condition has occurred and been continuing for
at least 10 Local Business Days, the corresponding percentage for
such
Eligible Collateral in the column headed “S&P Valuation Percentage for
Ineligible Counterparties.”
|
(v) 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:
(A) shall
be
given to or made at the following addresses:
If
to
Party A:
As
set
forth in Part 4(a) of the Schedule.
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 subparagraph) to the other
party;
(B) shall
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.
Pursuant
to the Section 4.03 of the Trust Agreement, the monthly report to
Certificateholders shall be made available to Party A in the manner and form
specified therein.
(vi) Agreement
as to Single Secured Party and Pledgor
10
|
Party
A and Party B agree that, notwithstanding anything to the contrary
in the
first sentence of this Annex, Paragraph 1(b) or Paragraph 2 or the
definitions in Paragraph 12, except with respect to Party B’s obligations
under Paragraph 3(b), (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) only Party A will be required
to
make Transfers of Eligible Credit Support hereunder. Party A and
Party B
further agree that, notwithstanding anything to the contrary in the
recital to this Annex or Paragraph 7, this Annex will constitute
a Credit
Support Document only with respect to Party
A.
|
(vii) Trustee
Capacity.
|
It
is expressly understood and agreed by the parties hereto that (i)
this
Annex is executed and delivered by the Trustee not individually or
personally but solely as supplemental interest trustee of the Trust,
in
the exercise of the powers and authority conferred and vested in
it under
the Trust Agreement, (ii) 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 the Trustee
but is made and intended for the purpose of binding only the Trust,
(iii)
nothing herein contained shall be construed as creating any liability
on
the part of the Trustee, 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 (iv) under no
circumstances shall the Trustee 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 Annex or any other related documents
as
to all of which recourse shall be had solely to the assets of the
Trust in
accordance with the terms of the Trust
Agreement.
|
[Signature
page follows]
11
IN
WITNESS WHEREOF,
the
parties have executed this document by their duly authorized officers with
effect from the date specified on the first page hereof.
|
ABN
AMRO BANK N.V.
|
U.S.
BANK NATIONAL ASSOCIATION, NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY
AS
TRUSTEE ON BEHALF OF THE
SUPPLEMENTAL
INTEREST TRUST,
XXXXXX
XS TRUST MORTGAGE PASS-THROUGH CERTIFICATES, SERIES
2007-20N
|
|
|
(Name
of Party)
|
(Name
of Party)
|
|
|
Name:
|
Name:
|
|
|
Title:
|
Title:
|
|
|
Date:
|
Date:
|
|
|
Name:
|
||
|
Title:
|
||
|
Date:
|
12
Table
1
Xxxxx’x
First Trigger Factor
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|||
|
1
or less
|
0.25
|
%
|
||
|
More
than 1 but not more than 2
|
0.50
|
%
|
||
|
More
than 2 but not more than 3
|
0.70
|
%
|
||
|
More
than 3 but not more than 4
|
1.00
|
%
|
||
|
More
than 4 but not more than 5
|
1.20
|
%
|
||
|
More
than 5 but not more than 6
|
1.40
|
%
|
||
|
More
than 6 but not more than 7
|
1.60
|
%
|
||
|
More
than 7 but not more than 8
|
1.80
|
%
|
||
|
More
than 8 but not more than 9
|
2.00
|
%
|
||
|
More
than 9 but not more than 10
|
2.20
|
%
|
||
|
More
than 10 but not more than 11
|
2.30
|
%
|
||
|
More
than 11 but not more than 12
|
2.50
|
%
|
||
|
More
than 12 but not more than 13
|
2.70
|
%
|
||
|
More
than 13 but not more than 14
|
2.80
|
%
|
||
|
More
than 14 but not more than 15
|
3.00
|
%
|
||
|
More
than 15 but not more than 16
|
3.20
|
%
|
||
|
More
than 16 but not more than 17
|
3.30
|
%
|
||
|
More
than 17 but not more than 18
|
3.50
|
%
|
||
|
More
than 18 but not more than 19
|
3.60
|
%
|
||
|
More
than 19 but not more than 20
|
3.70
|
%
|
||
|
More
than 20 but not more than 21
|
3.90
|
%
|
||
|
More
than 21 but not more than 22
|
4.00
|
%
|
||
|
More
than 22 but not more than 23
|
4.00
|
%
|
||
|
More
than 23 but not more than 24
|
4.00
|
%
|
||
|
More
than 24 but not more than 25
|
4.00
|
%
|
||
|
More
than 25 but not more than 26
|
4.00
|
%
|
||
|
More
than 26 but not more than 27
|
4.00
|
%
|
||
|
More
than 27 but not more than 28
|
4.00
|
%
|
||
|
More
than 28 but not more than 29
|
4.00
|
%
|
||
|
More
than 29
|
4.00
|
%
|
||
13
Table
2
Xxxxx’x
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|||
|
1
or less
|
0.60
|
%
|
||
|
More
than 1 but not more than 2
|
1.20
|
%
|
||
|
More
than 2 but not more than 3
|
1.70
|
%
|
||
|
More
than 3 but not more than 4
|
2.30
|
%
|
||
|
More
than 4 but not more than 5
|
2.80
|
%
|
||
|
More
than 5 but not more than 6
|
3.30
|
%
|
||
|
More
than 6 but not more than 7
|
3.80
|
%
|
||
|
More
than 7 but not more than 8
|
4.30
|
%
|
||
|
More
than 8 but not more than 9
|
4.80
|
%
|
||
|
More
than 9 but not more than 10
|
5.30
|
%
|
||
|
More
than 10 but not more than 11
|
5.60
|
%
|
||
|
More
than 11 but not more than 12
|
6.00
|
%
|
||
|
More
than 12 but not more than 13
|
6.40
|
%
|
||
|
More
than 13 but not more than 14
|
6.80
|
%
|
||
|
More
than 14 but not more than 15
|
7.20
|
%
|
||
|
More
than 15 but not more than 16
|
7.60
|
%
|
||
|
More
than 16 but not more than 17
|
7.90
|
%
|
||
|
More
than 17 but not more than 18
|
8.30
|
%
|
||
|
More
than 18 but not more than 19
|
8.60
|
%
|
||
|
More
than 19 but not more than 20
|
9.00
|
%
|
||
|
More
than 20 but not more than 21
|
9.00
|
%
|
||
|
More
than 21 but not more than 22
|
9.00
|
%
|
||
|
More
than 22 but not more than 23
|
9.00
|
%
|
||
|
More
than 23 but not more than 24
|
9.00
|
%
|
||
|
More
than 24 but not more than 25
|
9.00
|
%
|
||
|
More
than 25 but not more than 26
|
9.00
|
%
|
||
|
More
than 26 but not more than 27
|
9.00
|
%
|
||
|
More
than 27 but not more than 28
|
9.00
|
%
|
||
|
More
than 28 but not more than 29
|
9.00
|
%
|
||
|
More
than 29
|
9.00
|
%
|
||
14
Table
3
|
Xxxxx’x
Second Trigger Factor for Transaction-Specific
Xxxxxx
[If
“Valuation Date” means each Local Business Day, the “Daily Collateral
Posting” column will
apply
and the Weekly Collateral Posting Column will be deleted.]
[If
“Valuation Date” means the first Local Business Day in each week, the
“Weekly Collateral
Posting”
column will apply and the Daily Collateral Posting Column will be
deleted.]
|
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
[Daily
Collateral
Posting
|
[Weekly
Collateral
Posting
|
|||||
|
1
or less
|
0.65
|
%
|
0.75
|
%
|
|||
|
More
than 1 but not more than 2
|
1.30
|
%
|
1.50
|
%
|
|||
|
More
than 2 but not more than 3
|
1.90
|
%
|
2.20
|
%
|
|||
|
More
than 3 but not more than 4
|
2.50
|
%
|
2.90
|
%
|
|||
|
More
than 4 but not more than 5
|
3.10
|
%
|
3.60
|
%
|
|||
|
More
than 5 but not more than 6
|
3.60
|
%
|
4.20
|
%
|
|||
|
More
than 6 but not more than 7
|
4.20
|
%
|
4.80
|
%
|
|||
|
More
than 7 but not more than 8
|
4.70
|
%
|
5.40
|
%
|
|||
|
More
than 8 but not more than 9
|
5.20
|
%
|
6.00
|
%
|
|||
|
More
than 9 but not more than 10
|
5.70
|
%
|
6.60
|
%
|
|||
|
More
than 10 but not more than 11
|
6.10
|
%
|
7.00
|
%
|
|||
|
More
than 11 but not more than 12
|
6.50
|
%
|
7.50
|
%
|
|||
|
More
than 12 but not more than 13
|
7.00
|
%
|
8.00
|
%
|
|||
|
More
than 13 but not more than 14
|
7.40
|
%
|
8.50
|
%
|
|||
|
More
than 14 but not more than 15
|
7.80
|
%
|
9.00
|
%
|
|||
|
More
than 15 but not more than 16
|
8.20
|
%
|
9.50
|
%
|
|||
|
More
than 16 but not more than 17
|
8.60
|
%
|
9.90
|
%
|
|||
|
More
than 17 but not more than 18
|
9.00
|
%
|
10.40
|
%
|
|||
|
More
than 18 but not more than 19
|
9.40
|
%
|
10.80
|
%
|
|||
|
More
than 19 but not more than 20
|
9.70
|
%
|
11.00
|
%
|
|||
|
More
than 20 but not more than 21
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 21 but not more than 22
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 22 but not more than 23
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 23 but not more than 24
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 24 but not more than 25
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 25 but not more than 26
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 26 but not more than 27
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 27 but not more than 28
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 28 but not more than 29
|
10.00
|
%
|
11.00
|
%
|
|||
|
More
than 29
|
10.00
|
%]
|
11.00
|
%]
|
|||
15
