SWISS RE FINANCIAL PRODUCTS CORPORATION
00
Xxxx
00xx
Xxxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Fax:
(000) 000-0000/Phone: (000) 000-0000
|
DATE:
|
June
29, 2007
|
|
TO:
|
Supplemental
Interest Trust,
|
|
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
|
|
|
c/o
U.S. Bank, National Association
|
|
|
Xxx
Xxxxxxx Xxxxxx, 0xx Xxxxx
|
|
|
Xxxxxx,
XX 00000
|
|
|
|
("Party B")
|
|
FROM:
|
Swiss
Re Financial Products Corporation (“Party A”)
|
|
RE:
|
Swap
Transaction
|
Dear
Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the transaction entered into between us on the Trade Date
specified below (the “Transaction”).
The
definitions and provisions contained in the 2000 ISDA Definitions as published
by the International Swaps and Derivatives Association, Inc. are incorporated
into this Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation will
govern.
This
Confirmation constitutes a “Confirmation” as referred to in, and supplements,
forms part of and is subject to, the ISDA Master Agreement dated as of June
29,
2007, as amended and supplemented from time to time (the “Agreement”) between
Party A and Party B. All provisions contained in the Agreement govern this
Confirmation except as expressly modified below.
|
1.
|
The
Swap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as
follow:
|
|
General
Terms
|
|||
|
Trade
Date:
|
June
27, 2007
|
||
|
Effective
Date:
|
July
25, 2007
|
||
|
Termination
Date:
|
June
25, 2011, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Notional
Amount:
|
See
Amortization Schedule, Schedule A
|
|
Fixed
Amounts:
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer
Period End Dates:
|
The
25th
day of each month of each year, commencing on August 25, 2007 to
and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Fixed
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Fixed Rate Payer Period
End
Date.
|
||
|
Fixed
Rate:
|
See
Amortization Schedule, Schedule A
|
||
|
Fixed
Rate Day Count Fraction:
|
Actual/360
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
Floating
Rate Payer Period End Dates:
|
The
25th
day of each month of each year, commencing on August 25, 2007 to
and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Floating
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Floating Rate Payer
Period
End Date.
|
||
|
Floating
Rate Option:
|
USD-LIBOR-BBA
|
||
|
Designated
Maturity:
|
One
month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count Fraction:
|
Actual/360
|
||
|
Reset
Dates:
|
The
first day of each Calculation Period.
|
||
|
Compounding:
|
Inapplicable
|
||
|
Business
Day:
|
Any
day other than (i) a Saturday or a Sunday, or (ii) a day on which
banking
institutions in (1) the city in which the Corporate Trust Office
of Party
B is located or (2) the States of New York, Colorado or Illinois
are
closed.
|
||
|
Floating
Rate Payer Upfront Payment:
|
USD
1,388,000; Party A shall pay Xxxxxx Brothers Holdings Inc (for the
benefit
of Party B) the Floating Rate Payer Upfront Payment on or prior to
June
29, 2007. This Floating Rate Payer Upfront Payment and the payment
due on
the same date under confirmation Ref No.1618505 (each between Party
A and
Party B) is reflected in the net amount of USD 1,258,000 payable
to Xxxxxx
Brothers Holdings Inc. (for the benefit of Party B) on the same date
as
reflected herein.
|
2
|
2.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for the Swap Transaction is New York
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
JPMorgan
Chase Bank
SWIFT:
XXXXXX00
Account
of: Swiss Re Financial Products
Account
No.: 066-911184
ABA#
000000000
|
||
|
Payments
to Party B:
|
U.S.
Bank Corporate Trust Services
ABA#
000-000-000
DDA#
000-000-000-000
Ref:
LXS 2007-12N, Group 2
Attn:
X. Xxxxxx
|
||
|
Payments
to Xxxxxx Brothers Holdings Inc:
|
Citibank
ABA:
000000000
Acct:
4061-5624
Acct
Name: Xxxxxx Brothers Inc.
Ref:
LXS 2007-12N, Group 2
Attn:
Xxxxx Xxxxxxxx
|
||
3
Please
confirm that the foregoing correctly sets forth the terms and conditions of
our
agreement by executing this Confirmation and returning it to us by facsimile
to:
Swiss
Re Financial Products Corporation
Attention:
Derivatives Documentation
Fax:
(000) 000-0000 Phone: (000) 000-0000
SWISS
RE FINANCIAL PRODUCTS CORPORATION
By:
________________________________________
Authorized
Signatory
Accepted
and confirmed as of the Trade Date written above:
SUPPLEMENTAL
INTEREST TRUST,
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
By:
U.S.
Bank, National Association, not in its individual capacity, but solely as
Trustee
By:________________________________
Name:
Title:
4
SCHEDULE
A to
the
Confirmation dated as of June 29, 2007,
Re:
Reference Number 1618405
Amortization
Schedule, subject
to adjustment in accordance with the Following Business Day
Convention
|
From
and including
|
To
but excluding
|
Notional
Amount (USD)
|
Fixed
Rate
|
|
7/25/2007
|
8/25/2007
|
344,421,881.00
|
5.43%
|
|
8/25/2007
|
9/25/2007
|
335,216,109.00
|
5.45%
|
|
9/25/2007
|
10/25/2007
|
326,259,374.00
|
5.43%
|
|
10/25/2007
|
11/25/2007
|
317,544,861.00
|
5.42%
|
|
11/25/2007
|
12/25/2007
|
309,065,947.00
|
5.41%
|
|
12/25/2007
|
1/25/2008
|
300,816,189.00
|
5.42%
|
|
1/25/2008
|
2/25/2008
|
292,789,323.00
|
5.41%
|
|
2/25/2008
|
3/25/2008
|
284,979,259.00
|
5.40%
|
|
3/25/2008
|
4/25/2008
|
277,380,074.00
|
5.39%
|
|
4/25/2008
|
5/25/2008
|
269,986,008.00
|
5.38%
|
|
5/25/2008
|
6/25/2008
|
262,791,462.00
|
5.37%
|
|
6/25/2008
|
7/25/2008
|
255,790,989.00
|
5.36%
|
|
7/25/2008
|
8/25/2008
|
247,446,421.00
|
5.36%
|
|
8/25/2008
|
9/25/2008
|
239,376,280.00
|
5.36%
|
|
9/25/2008
|
10/25/2008
|
231,571,471.00
|
5.37%
|
|
10/25/2008
|
11/25/2008
|
224,023,204.00
|
5.38%
|
|
11/25/2008
|
12/25/2008
|
216,722,981.00
|
5.39%
|
|
12/25/2008
|
1/25/2009
|
209,662,586.00
|
5.40%
|
|
1/25/2009
|
2/25/2009
|
202,834,079.00
|
5.41%
|
|
2/25/2009
|
3/25/2009
|
196,229,785.00
|
5.42%
|
|
3/25/2009
|
4/25/2009
|
189,842,285.00
|
5.43%
|
|
4/25/2009
|
5/25/2009
|
183,664,405.00
|
5.44%
|
|
5/25/2009
|
6/25/2009
|
177,689,212.00
|
5.45%
|
|
6/25/2009
|
7/25/2009
|
171,910,005.00
|
5.47%
|
|
7/25/2009
|
8/25/2009
|
166,320,305.00
|
5.48%
|
|
8/25/2009
|
9/25/2009
|
160,913,847.00
|
5.49%
|
|
9/25/2009
|
10/25/2009
|
155,684,578.00
|
5.51%
|
|
10/25/2009
|
11/25/2009
|
150,626,644.00
|
5.52%
|
|
11/25/2009
|
12/25/2009
|
145,734,388.00
|
5.53%
|
|
12/25/2009
|
1/25/2010
|
141,002,338.00
|
5.54%
|
|
1/25/2010
|
2/25/2010
|
136,425,208.00
|
5.55%
|
|
2/25/2010
|
3/25/2010
|
131,997,885.00
|
5.57%
|
|
3/25/2010
|
4/25/2010
|
127,715,426.00
|
5.58%
|
|
4/25/2010
|
5/25/2010
|
123,573,054.00
|
5.59%
|
|
5/25/2010
|
6/25/2010
|
119,566,150.00
|
5.60%
|
|
6/25/2010
|
7/25/2010
|
115,690,248.00
|
5.61%
|
|
7/25/2010
|
8/25/2010
|
111,941,030.00
|
5.63%
|
|
8/25/2010
|
9/25/2010
|
108,313,584.00
|
5.64%
|
|
9/25/2010
|
10/25/2010
|
104,804,662.00
|
5.66%
|
|
10/25/2010
|
11/25/2010
|
101,409,519.00
|
5.67%
|
|
11/25/2010
|
12/25/2010
|
98,124,380.00
|
5.68%
|
|
12/25/2010
|
1/25/2011
|
94,946,546.00
|
5.69%
|
|
1/25/2011
|
2/25/2011
|
91,869,742.00
|
5.70%
|
|
2/25/2011
|
3/25/2011
|
88,893,472.00
|
5.71%
|
|
3/25/2011
|
4/25/2011
|
86,012,234.00
|
5.71%
|
|
4/25/2011
|
5/25/2011
|
83,223,188.00
|
5.72%
|
|
5/25/2011
|
6/25/2011
|
80,523,220.00
|
5.72%
|
5
00
Xxxx
00xx
Xxxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Fax:
(000) 000-0000/Phone: (000) 000-0000
|
DATE:
|
June
29, 2007
|
|
TO:
|
Supplemental
Interest Trust,
|
|
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
|
|
|
c/o
U.S. Bank, National Association
|
|
|
Xxx
Xxxxxxx Xxxxxx, 0xx Xxxxx
|
|
|
Xxxxxx,
XX 00000
|
|
|
|
("Party B")
|
|
FROM:
|
Swiss
Re Financial Products Corporation (“Party A”)
|
|
RE:
|
Swap
Transaction
|
Dear
Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the transaction entered into between us on the Trade Date
specified below (the “Transaction”).
The
definitions and provisions contained in the 2000 ISDA Definitions as published
by the International Swaps and Derivatives Association, Inc. are incorporated
into this Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation will
govern.
This
Confirmation constitutes a “Confirmation” as referred to in, and supplements,
forms part of and is subject to, the ISDA Master Agreement dated as of June
29,
2007, as amended and supplemented from time to time (the “Agreement”) between
Party A and Party B. All provisions contained in the Agreement govern this
Confirmation except as expressly modified below.
|
2.
|
The
Swap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as
follow:
|
|
General
Terms
|
|||
|
Trade
Date:
|
June
27, 2007
|
||
|
Effective
Date:
|
July
25, 2007
|
||
|
Termination
Date:
|
October
25, 2011, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Notional
Amount:
|
See
Amortization Schedule, Schedule A
|
6
|
Fixed
Amounts:
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer
Period End Dates:
|
The
25th
day of each month of each year, commencing on August 25, 2007 to
and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Fixed
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Fixed Rate Payer Period
End
Date.
|
||
|
Fixed
Rate:
|
See
Amortization Schedule, Schedule A
|
||
|
Fixed
Rate Day Count Fraction:
|
Actual/360
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
Floating
Rate Payer Period End Dates:
|
The
25th
day of each month of each year, commencing on August 25, 2007 to
and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Floating
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Floating Rate Payer
Period
End Date.
|
||
|
Floating
Rate Option:
|
USD-LIBOR-BBA
|
||
|
Designated
Maturity:
|
One
month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count Fraction:
|
Actual/360
|
||
|
Reset
Dates:
|
The
first day of each Calculation Period.
|
||
|
Compounding:
|
Inapplicable
|
||
|
Business
Day:
|
Any
day other than (i) a Saturday or a Sunday, or (ii) a day on which
banking
institutions in (1) the city in which the Corporate Trust Office
of Party
B is located or (2) the States of New York, Colorado or Illinois
are
closed.
|
||
|
Floating
Rate Payer Upfront Payment:
|
USD
730,000; Party A shall pay Xxxxxx Brothers Holdings Inc (for the
benefit
of Party B) the Floating Rate Payer Upfront Payment on or prior to
June
29, 2007. This Floating Rate Payer Upfront Payment and the payment
due on
the same date under confirmation Ref No.1618506 (each between Party
A and
Party B) is reflected in the net amount of USD 617,000 payable to
Xxxxxx
Brothers Holdings Inc. (for the benefit of Party B) on the same date
as
reflected herein.
|
7
|
2.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for the Swap Transaction is New York
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
JPMorgan
Chase Bank
SWIFT:
XXXXXX00
Account
of: Swiss Re Financial Products
Account
No.: 066-911184
ABA#
000000000
|
||
|
Payments
to Party B:
|
U.S.
Bank Corporate Trust Services
ABA#
000-000-000
DDA#
000-000-000-000
Ref:
LXS 2007-12N, Group 3
Attn:
X. Xxxxxx
|
||
|
Payments
to Xxxxxx Brothers Holdings Inc:
|
Citibank
ABA:
000000000
Acct:
4061-5624
Acct
Name: Xxxxxx Brothers Inc.
Ref:
LXS 2007-12N, Group 3
Attn:
Xxxxx Xxxxxxxx
|
||
8
Please
confirm that the foregoing correctly sets forth the terms and conditions of
our
agreement by executing this Confirmation and returning it to us by facsimile
to:
Swiss
Re Financial Products Corporation
Attention:
Derivatives Documentation
Fax:
(000) 000-0000 Phone: (000) 000-0000
SWISS
RE FINANCIAL PRODUCTS CORPORATION
By:
________________________________________
Authorized
Signatory
Accepted
and confirmed as of the Trade Date written above:
SUPPLEMENTAL
INTEREST TRUST,
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
By:
U.S.
Bank, National Association, not in its individual capacity, but solely as
Trustee
By:________________________________
Name:
Title:
9
SCHEDULE
A to
the
Confirmation dated as of June 29, 2007,
Re:
Reference Number 1618458
Amortization
Schedule, subject
to adjustment in accordance with the Following Business Day
Convention
|
From
and including
|
To
but excluding
|
Notional
Amount (USD)
|
Fixed
Rate
|
|
7/25/2007
|
8/25/2007
|
199,827,326.00
|
5.43%
|
|
8/25/2007
|
9/25/2007
|
194,463,511.00
|
5.45%
|
|
9/25/2007
|
10/25/2007
|
189,245,261.00
|
5.43%
|
|
10/25/2007
|
11/25/2007
|
184,168,584.00
|
5.42%
|
|
11/25/2007
|
12/25/2007
|
179,229,599.00
|
5.42%
|
|
12/25/2007
|
1/25/2008
|
174,424,533.00
|
5.43%
|
|
1/25/2008
|
2/25/2008
|
169,749,717.00
|
5.42%
|
|
2/25/2008
|
3/25/2008
|
165,201,584.00
|
5.41%
|
|
3/25/2008
|
4/25/2008
|
160,776,664.00
|
5.40%
|
|
4/25/2008
|
5/25/2008
|
156,471,586.00
|
5.39%
|
|
5/25/2008
|
6/25/2008
|
152,283,068.00
|
5.37%
|
|
6/25/2008
|
7/25/2008
|
148,207,923.00
|
5.36%
|
|
7/25/2008
|
8/25/2008
|
144,243,049.00
|
5.36%
|
|
8/25/2008
|
9/25/2008
|
140,385,430.00
|
5.36%
|
|
9/25/2008
|
10/25/2008
|
136,632,136.00
|
5.36%
|
|
10/25/2008
|
11/25/2008
|
132,980,313.00
|
5.36%
|
|
11/25/2008
|
12/25/2008
|
129,427,191.00
|
5.36%
|
|
12/25/2008
|
1/25/2009
|
125,970,074.00
|
5.38%
|
|
1/25/2009
|
2/25/2009
|
122,606,338.00
|
5.38%
|
|
2/25/2009
|
3/25/2009
|
119,333,436.00
|
5.39%
|
|
3/25/2009
|
4/25/2009
|
116,148,888.00
|
5.39%
|
|
4/25/2009
|
5/25/2009
|
113,050,284.00
|
5.40%
|
|
5/25/2009
|
6/25/2009
|
110,035,279.00
|
5.41%
|
|
6/25/2009
|
7/25/2009
|
107,101,594.00
|
5.43%
|
|
7/25/2009
|
8/25/2009
|
104,247,011.00
|
5.44%
|
|
8/25/2009
|
9/25/2009
|
101,469,375.00
|
5.46%
|
|
9/25/2009
|
10/25/2009
|
98,766,590.00
|
5.48%
|
|
10/25/2009
|
11/25/2009
|
96,136,615.00
|
5.49%
|
|
11/25/2009
|
12/25/2009
|
93,577,470.00
|
5.50%
|
|
12/25/2009
|
1/25/2010
|
91,087,225.00
|
5.51%
|
|
1/25/2010
|
2/25/2010
|
88,664,006.00
|
5.52%
|
|
2/25/2010
|
3/25/2010
|
86,304,122.00
|
5.53%
|
|
3/25/2010
|
4/25/2010
|
84,006,389.00
|
5.53%
|
|
4/25/2010
|
5/25/2010
|
81,768,850.00
|
5.54%
|
|
5/25/2010
|
6/25/2010
|
45,157,115.00
|
5.55%
|
|
6/25/2010
|
7/25/2010
|
43,957,362.00
|
5.56%
|
|
7/25/2010
|
8/25/2010
|
42,789,842.00
|
5.57%
|
|
8/25/2010
|
9/25/2010
|
41,653,679.00
|
5.58%
|
|
9/25/2010
|
10/25/2010
|
40,548,023.00
|
5.59%
|
|
10/25/2010
|
11/25/2010
|
39,472,045.00
|
5.60%
|
|
11/25/2010
|
12/25/2010
|
38,424,939.00
|
5.61%
|
|
12/25/2010
|
1/25/2011
|
37,405,924.00
|
5.62%
|
|
1/25/2011
|
2/25/2011
|
36,414,237.00
|
5.63%
|
|
2/25/2011
|
3/25/2011
|
35,449,137.00
|
5.63%
|
|
3/25/2011
|
4/25/2011
|
34,509,904.00
|
5.64%
|
|
4/25/2011
|
5/25/2011
|
33,595,837.00
|
5.65%
|
|
5/25/2011
|
6/25/2011
|
32,706,254.00
|
5.66%
|
|
6/25/2011
|
7/25/2011
|
31,838,810.00
|
5.67%
|
|
7/25/2011
|
8/25/2011
|
30,994,631.00
|
5.68%
|
|
8/25/2011
|
9/25/2011
|
30,171,175.00
|
5.69%
|
|
9/25/2011
|
10/25/2011
|
29,288,712.00
|
5.70%
|
10
