Elections and Variables to the 1994 ISDA Credit Support Annex To the Schedule to the ISDA Master Agreement dated as of January 24, 2008 between Party A and Party B dated as of January 24, 2008 between
Exhibit
10.3
EXECUTION
VERSION
Elections
and Variables
to
the 1994 ISDA Credit Support Annex
To
the Schedule to the ISDA Master Agreement dated as of January 24,
2008
between
Party A and Party B
dated
as of
January
24, 2008
between
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WACHOVIA
BANK, NATIONAL
ASSOCIATION
(“Party A”)
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and
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WACHOVIA
AUTO LOAN OWNER
TRUST
2008-1 (“Party B”)
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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.
(a) Security Interest
for “Obligations”.
The term
“Obligations”
as used in this Annex includes the following additional obligations:
None.
(b) Credit Support
Obligations.
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(i)
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Delivery
Amount, Return Amount and Credit Support
Amount.
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(A)
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“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
“not later than the close of business 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
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Agency’s
Valuation Percentages as listed in Annex A, Annex B and Annex C hereto 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.
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(B)
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“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 listed in Annex A, Annex B and Annex C hereto 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.
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(C)
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“Credit
Support Amount” has the meaning specified in Paragraph
13(j)(iii).
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(ii)
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Eligible
Collateral The instruments with the Valuation Percentages listed in
(a) Annex A shall be applicable with respect to calculating Xxxxx’x First
Trigger Credit Support Amount and Xxxxx’x Second Trigger Credit Support
Amount, (b) Annex B shall be applicable with respect to calculating
S&P Credit Support Amount and (c) Annex C shall be applicable with
respect to calculating Fitch Credit Support
Amount.
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(iii)
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Thresholds.
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(A)
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“Independent
Amount”
means with respect to Party
A: Zero
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(B)
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“Independent
Amount” means with respect to Party
B: Zero
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(C)
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“Threshold” means with respect to
Party A: infinity; provided that
the Threshold with respect to Party A shall be zero for so long as no
Relevant Entity has the First Trigger Required Ratings or a
Collateralization Event is occurring and (i) no Relevant Entity has had
the 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 First Trigger Required Ratings, or (iii) a
Collateralization Event occurred when this Annex was executed, or (iv) at
least 10 Local Business Days have elapsed since the last time a
Collateralization Event occurred (unless such Collateralization Event only
relates to Fitch, in which case, at least 30 calendar days have elapsed),
or (v) a Ratings Event is
occurring.
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“Threshold” means with respect to Party
B: infinity.
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(D)
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“Minimum
Transfer Amount”
means with respect to Party A: USD $100,000; provided, however, that
if S&P is rating the Notes and
the
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2
aggregate
Note Balance of the rated Notes falls below $50,000,000, then the Minimum
Transfer Amount shall mean USD $50,000.
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(E)
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“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 Notes and the aggregate Note Balance of the rated
Notes 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).
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(F)
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Rounding. The
Delivery Amount will be rounded up to the nearest integral multiple of USD
$10,000. The Return Amount will be rounded down to the nearest
integral multiple of USD $10,000.
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(iv)
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“Exposure”
has the meaning specified in Paragraph 12, except that (1) after the word
“Agreement” the words “(assuming, for this purpose only, that Part 1(k) of the
Schedule is deleted)” shall be inserted and (2) at the end of such
definition, the words “with terms that are, in all material respects, no
less beneficial for Party B than those of this
Agreement.”
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(c) Valuation and
Timing.
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(i)
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“Valuation
Agent” means Party A in all
circumstances.
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(ii)
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“Valuation
Date” means
either (a) each Local Business Day or (b) the first Local Business Day in
each week, selected at the option of Party A with notice to Party B, in
each case, when the Threshold is
zero.
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(iii)
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“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.
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(iv)
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“Notification
Time” means
11:00 a.m., New York time, on a Local Business
Day.
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(v)
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“Value” means for any
Valuation Date or other date for which Value is calculated and subject to
Paragraph 5 in the case of a dispute, with respect to: (i) Eligible
Collateral or Posted Collateral that is: (A) Cash, the amount thereof
multiplied by the applicable Valuation Percentage; (B) a security, the bid
price obtained by the Valuation Agent multiplied by the applicable
Valuation Percentage; (ii) Posted Collateral that consists of items that
are not specified as Eligible Collateral, zero; and (iii) Other Eligible
Support and Other Posted Support, as specified in Paragraph
13.
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3
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(d)
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Conditions
Precedent and Secured Party’s Rights and
Remedies. None.
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(e)
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Substitution.
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(i)
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“Substitution
Date” has the meaning specified in Paragraph
4(d)(ii).
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(ii)
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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.
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(f) Dispute
Resolution.
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(i)
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“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.
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(ii)
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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:
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(A)
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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 6(d)(ii) or included in the
applicable price) as of such date;
and
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(B)
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with
respect to any Cash, the face amount thereof, multiplied by the applicable
Valuation Percentage.
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(iii)
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Alternative. The
provisions of Paragraph 5 will
apply.
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4
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(g)
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Holding and
Using Posted
Collateral.
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(i)
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Eligibility
to Hold Posted Collateral;
Custodians:
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A
Custodian will be entitled to hold Posted Collateral on behalf of Party B
pursuant to Paragraph 6(b); provided
that:
(1) Posted
Collateral may be held only in the following jurisdiction: United
States.
(2) The
Custodian for Party B shall (A) be 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 (x) a long term debt
or a deposit rating of at least Baa2 from Xxxxx’x and (y) a short term rating of
at least A-1 from S&P (or if it does not have a short term rating from
S&P, a long term debt or a deposit rating of at least A+ from S&P), and
(z) a short term rating from Fitch of at least “F1”, and (B) hold all Eligible
Credit Support in a segregated Eligible Deposit Account, as defined in the Sale
and Servicing Agreement.
(3) Initially,
the Custodian for Cash and Securities for Party B shall be: The Indenture
Trustee under the Indenture, or any successor trustee thereto. If at
any time the Custodian does not have a short term rating of at least A-1 from
S&P (or if it does not have a short term rating from S&P, a long term
debt or a deposit rating of at least A+ from S&P), Party B must within 60
days obtain a replacement Custodian with at least such rating from
S&P.
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(ii)
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Use of
Posted Collateral. The provisions of Paragraph 6(c) will
not apply to Party B. The Indenture Trustee shall invest
Cash Posted Credit Support in such overnight (or redeemable within two
Local Business Days of demand) investments rated at least (1) AAAm or
AAAm-G by S&P and (2) Aaa or Prime -1 by Xxxxx’x (or such other
investments as may be affirmed in writing by S&P and Xxxxx’x) as
directed by Party A (unless (x) an Event of Default or an Additional
Termination Event has occurred with respect to which Party A is the
defaulting or sole Affected Party and (y) an Early Termination Date
has been designated by Party B, in which case such investment shall be at
the direction of Party B) with gains and losses incurred in respect
of such investments to be for the account of Party
A.
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(iii)
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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.
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5
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(h)
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Distributions
and Interest
Amount.
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(i)
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Interest
Rate. The “Interest Rate”
will be the actual rate of interest earned by Party B or the Custodian if
the Cash is invested at the direction of Party A in accordance with
Paragraph 13(g)(ii) above, otherwise 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.
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(ii)
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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.
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(iii)
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Alternative
to Interest Amount. The provisions of Paragraph 6(d)(ii)
will apply.
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(i) Address for
Transfers.
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Party
A: To be notified to Party B by Party A at the time of the
request for the transfer.
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Party
B: To be notified to Party A by Party B upon request by Party
A.
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(j) Other
Provisions.
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(i)
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Costs of
Transfer on Exchange.
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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 and maintenance of Eligible Credit Support either from the Pledgor to
the Secured Party or from the Secured Party to the Pledgor.
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(ii)
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Cumulative
Rights.
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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.
6
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(iii)
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Ratings
Criteria.
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“Credit Support
Amount” shall be (a) in respect of S&P, the S&P Credit Support
Amount, (b) in respect of Xxxxx’x, the Xxxxx’x First Trigger Credit Support
Amount, or the Xxxxx’x Second Trigger Credit Support Amount, and (c) in respect
of Fitch, the Fitch Credit Support Amount, as applicable.
With
respect to Xxxxx’x:
“Xxxxx’x First
Trigger Credit Support Amount” means, for any Valuation Date, the excess,
if any, of
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(I)
(A)
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for
any Valuation Date on which (I) a 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 Second Trigger Failure Condition 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 all
Transactions.
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For the
purposes of this definition, the “Xxxxx’x
Additional Collateralized Amount” with respect to any Transaction shall
mean:
if
Xxxxx’x First Trigger Credit Support Amount is calculated using DV01, 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; and
if
Xxxxx’x First Trigger Credit Support Amount is calculated without using DV01,
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; or
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(B)
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for
any other Valuation Date, zero,
over
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(II) the
Threshold for Party A on such Valuation Date.
“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
7
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.
“Xxxxx’x First
Trigger DV01 Multiplier” means (A) if each Local Business Day is a
Valuation Date, 15, or (B) otherwise, 25.
“Xxxxx’x First
Trigger Notional Amount Multiplier” means (A) if each Local Business Day
is a Valuation Date, 2%, or (B) otherwise, 4%.
“Xxxxx’x Second
Trigger Credit Support Amount” means, for any Valuation Date, the excess,
if any, of
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(I)
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(A)
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for
any Valuation Date on which it is the case that a 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 and (c) the
sum of the Secured Party’s aggregate Exposure and the aggregate of Xxxxx’x
Additional Collateralized Amounts for all
Transactions.
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For the
purposes of this definition:
“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)
on such Next Payment Date less any payments due to be made by Party B under
Section 2(a) on such Next Payment Date (in each case, after giving effect to any
applicable netting under Section 2(c)) and (ii) zero.
“Next Payment
Date” means each date on which the next scheduled payment under any
Transaction is due to be paid.
“Xxxxx’x
Additional Collateralized Amount” with respect to any
Transaction shall mean:
if such
Transaction is not a Transaction-Specific Hedge,
if
Xxxxx’x Second Trigger Credit Support Amount for a fixed schedule swap is
calculated using DV01the 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; and
8
if
Xxxxx’x Second Trigger Credit Support Amount for a fixed schedule swap is
calculated without using DV01the 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; or
if such
Transaction is a Transaction-Specific Hedge,
if
Xxxxx’x Second Trigger Credit Support Amount for a fixed schedule swap is
calculated using DV01, 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; and
if
Xxxxx’x Second Trigger Credit Support Amount for a Transaction-Specific Hedge is
calculated without using DV01the 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; or
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(B)
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for
any other Valuation Date, zero,
over
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(II) the
Threshold for Party A for such Valuation Date.
“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 DV01 Multiplier” means (A) if each Local Business Day is a
Valuation Date, 50, or (B) otherwise, 60.
“Xxxxx’x Second
Trigger Transaction-Specific Hedge DV01 Multiplier” means (A) if each
Local Business Day is a Valuation Date, 65, or (B) otherwise, 75.
“Xxxxx’x Second
Trigger Transaction-Specific Hedge Notional Amount Multiplier” means (A)
if each Local Business Day is a Valuation Date, 10%, or (B) otherwise,
11%.
“Xxxxx’x Second
Trigger Notional Amount Multiplier” means (A) if each Local Business Day
is a Valuation Date, 8% or (B) otherwise, 9%.
9
With
respect to S&P:
“S&P Credit
Support Amount” means, for any Valuation Date, the excess, if any,
of:
(I) for
any Valuation Date on which (a) a Collateralization Event with respect to
S&P has occurred and been continuing (i) for at least 10 Local Business Days
or (ii) when this Annex was executed and (b) a Ratings Event with respect to
S&P has not occurred and been continuing for at least 10 Local Business
Days, the excess, if any, of (A) an amount equal to the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions, over
(B) the Threshold for Party A for such Valuation Date, or
(II) for
any Valuation Date on which a Ratings Event with respect to S&P has occurred
and been continuing for at least 10 Local Business Days, the excess, if any of
(A) an amount equal to the product of (x) the aggregate Secured Party’s Exposure
for such Valuation Date with respect to all Transactions, and (y) 125%, over (B)
the Threshold for Party A for such Valuation Date, or
(III) for
any other Valuation Date, zero.
With
respect to Fitch:
“Fitch Credit
Support Amount” means, for any Valuation Date, the excess, if any,
of:
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(I)
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(A)
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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
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(B)
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for
any other Valuation Date, zero,
over
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(II) the
Threshold for Party A for such Valuation Date.
10
“Volatility
Buffer” shall mean the percentage set forth in the following table with
respect to any Transaction:
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Weighted
Average Life (Years)
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Notes
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1
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2
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3
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4
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5
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6
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7
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8
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9
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10
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Rating
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USD
Interest Rate Swaps
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AA-
or
Better
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0.6
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1.6
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2.6
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3.4
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4.2
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4.8
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5.5
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5.9
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6.4
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7.0
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A+/A
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0.3
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0.8
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1.3
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1.7
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2.1
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2.4
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2.8
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3.0
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3.3
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3.6
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A-/BBB+
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0.2
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0.6
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1.0
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1.3
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1.6
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1.9
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2.1
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2.3
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2.5
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2.7
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(iv)
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Demands and
Notices.
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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:
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(A)
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shall
be given to or made at the following
addresses:
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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;
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(B)
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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.
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(v)
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Agreement
as to Single Secured Party and
Pledgor
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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.
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(vi)
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Trustee
Capacity.
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It is
expressly understood and agreed by the parties hereto that (i) this Annex is
executed and delivered by the Owner Trustee not individually or personally but
solely as Owner 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 Owner 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 Owner 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 Owner 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; unless the Owner Trustee was
grossly negligent or acted with willful misconduct.
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(vii)
|
Event of
Default
|
Subclause
(iii) of Paragraph 7 shall not apply to Party B.
[Signature
page follows]
12
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.
|
WACHOVIA
BANK, NATIONAL ASSOCIATION
|
WACHOVIA
AUTO LOAN OWNER TRUST 2008-1
By:
WILMINGTON TRUST COMPANY, not in its individual capacity but solely in its
capacity as Owner Trustee
|
|
By:
/s/ Xxxxx
Xxxxx
Name: Xxxxx
Xxxxx
Title: Senior
Vice President
|
By: /s/
Xxxx
X.
Xxxxxxxx
Name: Xxxx
X. Xxxxxxxx
Title: Financial
Services Officer
|
13
Table 1
|
Moody’s First Trigger
Factor
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
|
0.15%
|
0.25%
|
|
More
than 1 but not more than 2
|
0.30%
|
0.50%
|
|
More
than 2 but not more than 3
|
0.40%
|
0.70%
|
|
More
than 3 but not more than 4
|
0.60%
|
1.00%
|
|
More
than 4 but not more than 5
|
0.70%
|
1.20%
|
|
More
than 5 but not more than 6
|
0.80%
|
1.40%
|
|
More
than 6 but not more than 7
|
1.00%
|
1.60%
|
|
More
than 7 but not more than 8
|
1.10%
|
1.80%
|
|
More
than 8 but not more than 9
|
1.20%
|
2.00%
|
|
More
than 9 but not more than 10
|
1.30%
|
2.20%
|
|
More
than 10 but not more than 11
|
1.40%
|
2.30%
|
|
More
than 11 but not more than 12
|
1.50%
|
2.50%
|
|
More
than 12 but not more than 13
|
1.60%
|
2.70%
|
|
More
than 13 but not more than 14
|
1.70%
|
2.80%
|
|
More
than 14 but not more than 15
|
1.80%
|
3.00%
|
|
More
than 15 but not more than 16
|
1.90%
|
3.20%
|
|
More
than 16 but not more than 17
|
2.00%
|
3.30%
|
|
More
than 17 but not more than 18
|
2.00%
|
3.50%
|
14
|
More
than 18 but not more than 19
|
2.00%
|
3.60%
|
|
More
than 19 but not more than 20
|
2.00%
|
3.70%
|
|
More
than 20 but not more than 21
|
2.00%
|
3.90%
|
|
More
than 21 but not more than 22
|
2.00%
|
4.00%
|
|
More
than 22 but not more than 23
|
2.00%
|
4.00%
|
|
More
than 23 but not more than 24
|
2.00%
|
4.00%
|
|
More
than 24 but not more than 25
|
2.00%
|
4.00%
|
|
More
than 25 but not more than 26
|
2.00%
|
4.00%
|
|
More
than 26 but not more than 27
|
2.00%
|
4.00%
|
|
More
than 27 but not more than 28
|
2.00%
|
4.00%
|
|
More
than 28 but not more than 29
|
2.00%
|
4.00%
|
|
More
than 29
|
2.00%
|
4.00%
|
15
Table 2
|
Moody’s Second Trigger
Factor for Interest Rate Swaps with Fixed Notional
Amounts
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
|
0.50%
|
0.60%
|
|
More
than 1 but not more than 2
|
1.00%
|
1.20%
|
|
More
than 2 but not more than 3
|
1.50%
|
1.70%
|
|
More
than 3 but not more than 4
|
1.90%
|
2.30%
|
|
More
than 4 but not more than 5
|
2.40%
|
2.80%
|
|
More
than 5 but not more than 6
|
2.80%
|
3.30%
|
|
More
than 6 but not more than 7
|
3.20%
|
3.80%
|
|
More
than 7 but not more than 8
|
3.60%
|
4.30%
|
|
More
than 8 but not more than 9
|
4.00%
|
4.80%
|
|
More
than 9 but not more than 10
|
4.40%
|
5.30%
|
|
More
than 10 but not more than 11
|
4.70%
|
5.60%
|
|
More
than 11 but not more than 12
|
5.00%
|
6.00%
|
|
More
than 12 but not more than 13
|
5.40%
|
6.40%
|
|
More
than 13 but not more than 14
|
5.70%
|
6.80%
|
|
More
than 14 but not more than 15
|
6.00%
|
7.20%
|
|
More
than 15 but not more than 16
|
6.30%
|
7.60%
|
|
More
than 16 but not more than 17
|
6.60%
|
7.90%
|
|
More
than 17 but not more than 18
|
6.90%
|
8.30%
|
|
More
than 18 but not more than 19
|
7.20%
|
8.60%
|
|
More
than 19 but not more than 20
|
7.50%
|
9.00%
|
|
More
than 20 but not more than 21
|
7.80%
|
9.00%
|
|
More
than 21 but not more than 22
|
8.00%
|
9.00%
|
|
More
than 22 but not more than 23
|
8.00%
|
9.00%
|
|
More
than 23 but not more than 24
|
8.00%
|
9.00%
|
|
More
than 24 but not more than 25
|
8.00%
|
9.00%
|
|
More
than 25 but not more than 26
|
8.00%
|
9.00%
|
|
More
than 26 but not more than 27
|
8.00%
|
9.00%
|
|
More
than 27 but not more than 28
|
8.00%
|
9.00%
|
|
More
than 28 but not more than 29
|
8.00%
|
9.00%
|
|
More
than 29
|
8.00%
|
9.00%
|
16
Table 3
|
Moody’s 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%
|
17
|
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%
|
18
Annex A
|
Instrument*
|
Valuation
Percentages applicable with respect to calculating Moody’s First Trigger
Credit Support Amount
|
Valuation
Percentages applicable with respect to calculating Moody’s Second Trigger
Credit Support Amount
|
|
U.S.
Dollar Cash
|
100%
|
100%
|
|
Euro
Cash
|
97%
|
93%
|
|
Sterling
Cash
|
97%
|
94%
|
|
Fixed
Rate Negotiable Treasury Debt issued by U.S. Treasury Department with
Remaining Maturity:
|
||
|
<1
Year
|
100%
|
100%
|
|
1
to 2 years
|
100%
|
99%
|
|
2
to 3 years
|
100%
|
98%
|
|
3
to 5 years
|
100%
|
97%
|
|
5
to 7 years
|
100%
|
95%
|
|
7
to 10 years
|
100%
|
94%
|
|
10
to 20 years
|
100%
|
89%
|
|
>
20 years
|
100%
|
87%
|
|
Floating-Rate
Negotiable U.S. Dollar Denominated Treasury Debt Issued by The U.S.
Treasury Department
|
||
|
All
Maturities
|
100%
|
99%
|
|
Fixed-Rate
U.S. Dollar Denominated U.S. Agency Debentures with Remaining
Maturity:
|
||
|
<
1 Year
|
100%
|
99%
|
|
1
to 2 years
|
100%
|
98%
|
|
2
to 3 years
|
100%
|
97%
|
|
3
to 5 years
|
100%
|
96%
|
|
5
to 7 years
|
100%
|
94%
|
|
7
to 10 years
|
100%
|
93%
|
|
10
to 20 years
|
100%
|
88%
|
|
>
20 years
|
100%
|
86%
|
|
Floating-Rate
U.S. Dollar Denominated U.S. Agency Debentures
|
||
|
All
maturities
|
100%
|
98%
|
|
Fixed-Rate
Euro Denominated Euro-Zone Government Bonds Rated Aa3 or Above by Moody’s
with Remaining Maturity:
|
||
|
<
1 Year
|
97%
|
93%
|
|
1
to 2 years
|
97%
|
92%
|
|
2
to 3 years
|
97%
|
91%
|
19
|
3
to 5 years
|
97%
|
89%
|
|
5
to 7 years
|
97%
|
87%
|
|
7
to 10 years
|
97%
|
86%
|
|
10
to 20 years
|
97%
|
82%
|
|
>
20 years
|
97%
|
80%
|
|
Floating-Rate
Euro Denominated Euro-Zone Government Bonds Rated Aa3 or Above by
Xxxxx’x
|
||
|
All
maturities:
|
97%
|
92%
|
|
Commercial
Paper Rated P1 or
above by Moody’s
|
||
|
0%
|
0%
|
|
*with
respect to collateral types not listed below, such assets will be subject to
review by Moody’s
20
Annex B
|
Instrument*
|
Valuation
Percentages applicable with respect to calculating in S&P Credit
Support Amount in connection with a Collateralization
Event
|
Valuation
Percentages applicable with respect to calculating in S&P Credit
Support Amount in connection with a Ratings Event
|
||
|
Daily
|
Weekly
|
Daily
|
Weekly
|
|
|
U.S.
Dollar Cash
|
100%
|
100%
|
80%
|
80%
|
|
Euro
Cash
|
95.1%
|
92.6%
|
76.1%
|
74.1%
|
|
Sterling
Cash
|
96.1%
|
94.1%
|
76.9%
|
75.3%
|
|
Fixed-Rate
Negotiable Treasury Debt Issued by The U.S. Treasury Department with
Remaining Maturity of:
|
||||
|
<1
Year
|
98.9%
|
98.0%
|
79.1%
|
78.4%
|
|
1
to 2 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
2
to 3 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
3
to 5 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
5
to 7 years
|
93.7%
|
92.6%
|
75.0%
|
74.1%
|
|
7
to 10 years
|
92.6%
|
92.6%
|
74.1%
|
74.1%
|
|
10
to 20 years
|
91.1%
|
87.9%
|
72.9%
|
70.3%
|
|
>
20 years
|
88.6%
|
84.6%
|
70.9%
|
67.7%
|
|
Fixed-Rate
U.S. Agency Debentures with Remaining Maturity:
|
||||
|
<
1 Year
|
98.5%
|
98.0%
|
78.8%
|
78.4%
|
|
1
to 2 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
2
to 3 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
3
to 5 years
|
98.0%
|
98.0%
|
78.4%
|
78.4%
|
|
5
to 7 years
|
92.6%
|
92.6%
|
74.1%
|
74.1%
|
|
7
to 10 years
|
92.6%
|
92.6%
|
74.1%
|
74.1%
|
|
10
to 20 years
|
87.7%
|
82.6%
|
70.2%
|
66.1%
|
|
>
20 years
|
84.4%
|
77.9%
|
67.5%
|
62.3%
|
|
Fixed-Rate
Euro-Zone Government Bonds Rated ‘AAA’ by S&P with Remaining
Maturity
|
||||
|
<
1 Year
|
98.8%
|
95.2%
|
79.0%
|
76.2%
|
|
1
to 2 years
|
97.9%
|
95.2%
|
78.3%
|
76.2%
|
|
2
to 3 years
|
96.9%
|
95.2%
|
77.5%
|
76.2%
|
|
3
to 5 years
|
95.2%
|
95.2%
|
76.2%
|
76.2%
|
|
5
to 7 years
|
88.7%
|
87.0%
|
71.0%
|
69.6%
|
|
7
to 10 years
|
87.0%
|
87.0%
|
69.6%
|
69.6%
|
|
10
to 20 years
|
75.5%
|
72.5%
|
60.4%
|
58.0%
|
*with
respect to collateral types not listed below, such assets will be subject to
review by S&P
21
Annex C
|
Instrument*
|
Valuation
Percentages applicable with respect to calculating Fitch Credit Support
Amount
|
|
U.S.
Dollar Cash
|
100%
|
|
Euro
Cash
|
*
|
|
Sterling
Cash
|
*
|
|
Fixed
Rate Negotiable Treasury Debt issued by U.S. Treasury Department with
Remaining Maturity:
|
|
|
<
1 Year
|
99.5%
|
|
1
to 3 years
|
98.2%
|
|
3
to 5 years
|
96.6%
|
|
5
to 7 years
|
95.3%
|
|
7
to 10 years
|
93.9%
|
|
10
to 15 years
|
92.7%
|
|
Fixed-Rate
U.S. Dollar Denominated U.S. Agency Debentures with Remaining
Maturity:
|
|
|
<
1 Year
|
*
|
|
1
to 2 years
|
*
|
|
2
to 3 years
|
*
|
|
3
to 5 years
|
*
|
|
5
to 7 years
|
*
|
|
7
to 10 years
|
*
|
|
10
to 20 years
|
*
|
|
>
20 years
|
*
|
|
Commercial
Paper Rated F1 or above by Fitch
|
99.5%
|
*with
respect to collateral types or percentages not listed below, such assets will be
subject to review by Fitch
22
