Exhibit 10.24.b
TERMS ANNEX
This TERMS ANNEX, dated as of March 1, 2005, forms a part of the Master
Repurchase Agreement, dated as of February 19, 2002 (the "Repurchase Agreement")
between LIQUID FUNDING, LTD. (the "Buyer") and CT LF FUNDING CORP. (the
"Seller"). This Terms Annex shall apply to Transactions in which Liquid Funding,
Ltd. is the Buyer of certain subordinated commercial mortgage-backed securities
("CMBS") issued by securitization trusts (each a "Trust") with respect to pools
of commercial mortgage loans, which pools qualify under sections 860A through
860G of the Internal Revenue Code as real estate mortgage investment conduits
("REMIC"), from Seller in accordance with the terms described below (each, a
"CMBS Transaction"). For the avoidance of doubt, all CMBS Transactions between
Seller and Buyer will be subject to the Repurchase Agreement, Annex I, Annex II,
Annex I-A, and this Terms Annex (collectively, the "Agreement") and each
purchased CMBS shall constitute a Purchased Security under this Agreement. Each
CMBS Transaction shall constitute a sale by Seller to Buyer of the related CMBS.
Capitalized terms used but not defined in this Terms Annex shall have the
meanings ascribed to them in the Repurchase Agreement, Annex I or Annex I-A, as
applicable.
1. Initial Purchased Securities and Purchase Date
(a) The initial Purchased Securities subject to CMBS Transactions
hereunder shall be those securities listed on Exhibit A hereto
(the "Exhibit A Securities"), which Buyer shall purchase from
Seller on March 1, 2005 (with respect to such Exhibit A
Securities, the "Purchase Date"). The transfer of each Purchased
Security by Seller to Buyer under the Agreement shall constitute
a separate Transaction and shall be subject to the terms and
conditions set forth in the Agreement.
(b) Buyer hereby acknowledges and agrees that the Exhibit A
Securities qualify as eligible Purchased Securities for CMBS
Transactions hereunder.
(c) The Purchase Price and Buyer's Margin Ratio specified on
Exhibit A hereto for each Exhibit A Security shall remain in
effect for the term of the applicable Transaction if Seller does
not alter or dispose of any of such Exhibit A Securities;
provided, however, that Seller may elect to terminate those
Transactions with respect to the Purchased Securities identified
on Exhibit A hereto as Purchased Securities No. 6, 8 and 9 prior
to the Termination Date in accordance with Section 7 hereof, and
such an early termination of a Transaction with respect to
Purchased Security No. 6, 8 or 9 shall not affect the Purchase
Price and Buyer's Margin Ratio for the remaining Exhibit A
Securities subject to Transactions hereunder.
2. Determination of Pricing Rate and Payment of Price Differential
(a) The Pricing Rate for each Transaction will be LIBOR plus the
Relevant Spread and will be reset on each Reset Date.
(b) All accrued Price Differential incurred in connection with
each Transaction through the last day of the previous calendar
month will be due and payable to Buyer on the Reset Date
following the applicable month end.
3. Determination of Purchase Price, Margin Ratio, Margin Excess
Amount and Margin Deficit Amount
(a) The Purchase Price shall be determined separately for all
Purchased Securities within a Ratings Category based on the
Purchase Price set forth in the Applicable Table which
corresponds to the Ratings Category for such Purchased
Securities.
(b) The Buyer's Margin Ratio shall be determined separately for
each Ratings Category based on the "Buyer's Margin Ratio" set
forth in the Applicable Table corresponding to such Ratings
Category.
(c) If there is no Applicable Table, either because the Purchased
Securities have been issued by fewer than five Trusts or because
the Diversity Percentage exceeds a) 15% during any time period in
which the Purchased Securities have been issued by eight or more
Trusts or b) 25% during any time period in which the Purchased
Securities have been issued by at least five Trusts but less than
eight Trusts , then the Purchase Price and Buyer's Margin Ratio
will be determined by Buyer in its sole discretion.
(d) Margin Excess Amounts and Margin Deficit Amounts shall each
be determined separately for each Ratings Category and then
aggregated. If on a Reset Date there is determined to be a Margin
Excess Amount with respect to a CMBS Transaction, then Seller may
at its option, in lieu of sending notice to Buyer pursuant to
Paragraph 4(b) of the Repurchase Agreement, instead elect to
reprice such CMBS Transaction pursuant to Section 6 hereof.
4. Change in Ratings Category of Purchased Securities
(a) If the rating on a particular Purchased Security is upgraded
and such upgrade results in a change in the Ratings Category of
such Purchased Security, then, at Seller's request, the resulting
change in the Purchase Price and the Buyer's Margin Ratio of such
Purchased Security shall be effected on the following Reset Date.
(b) If the rating on a particular Purchased Security is
downgraded and such downgrade results in a change in the Ratings
Category of such Purchased Security, then the resulting change in
the Purchase Price and the Buyer's Margin
-2-
Ratio of such Purchased Security shall be effected automatically
on the first business day after the date on which Buyer becomes
aware of such downgrade.
(c) If the rating on a particular Purchased Security is upgraded
or downgraded and such upgrade or downgrade results in a change
in the Ratings Category of such Purchased Security, then the
resulting change in the Pricing Rate of such Purchased Security
shall be effected automatically on the first Reset Date after the
date of such upgrade or downgrade.
5. Change of Applicable Tables
If a change in the number of Trusts included in the Purchased
Securities or an increase or decrease of the Diversity Percentage
rating causes a different Applicable Table to apply, then the
resulting change in the Purchase Price and the Buyer's Margin
Ratio of the applicable Purchased Securities shall be effected
automatically on the first business day after the date on which
Buyer becomes aware of such change.
6. Repricing
If the Purchase Price of a Purchased Security is to be changed
pursuant to the terms hereof, then as of the date on which such
Purchase Price is to be changed (each, a "Repricing Date"), (i)
the Repurchase Date with respect to the applicable Purchased
Security will be accelerated automatically to the Repricing Date,
(ii) the Repurchase Price and any other amounts owed by Seller
with respect to such Transaction (excluding accrued Price
Differential not yet due) shall be due and payable, (iii) Buyer
shall be obligated to purchase such Purchased Security as a new
Transaction at the new Purchase Price, and (iv) the amounts owing
pursuant to subparagraphs (ii) and (iii) of this Section 6 shall
be offset and any net amount shall be due and payable by Buyer or
Seller, as applicable.
7. Early Termination of Transactions
Seller may elect to terminate any Transaction and repurchase
Purchased Securities from Buyer on five Business Days' notice. If
Seller terminates any Transaction pursuant to the preceding
sentence, including, without limitation, those Transactions
referred to in Section 1(c) hereof, then Seller shall pay a
termination fee (the "Exit Fee") on such early termination date.
The Exit Fee shall be calculated as follows: the sum of (a) the
product of (i) the Repurchase Price, multiplied by (ii) 0%,
multiplied by (iii) an amount equal to the number of days
remaining until the Repurchase Date divided by 365; plus (b) any
costs, losses, damages or fees incurred in connection with any
hedge entered into or unwound by Buyer in contemplation of such
termination.
The Seller shall pay the Exit Fee with respect to all Purchased
Securities transferred to Seller on any such Repurchase Date that
precedes the Termination
-3-
Date with respect to such Purchased Securities. The acceleration
of such Repurchase Date for any reason shall not excuse Seller
from paying the Exit Fee, except if such acceleration results
from (i) an Event of Default where the Buyer is the defaulting
party or (ii) the occurrence of an Enforcement Event. No Exit Fee
shall be paid for (i) a repricing pursuant to Section 6 of this
Terms Annex, or (ii) a substitution of securities as permitted
under the Agreement, provided that the Exit Fee shall be payable
to Buyer upon any termination resulting from Buyer's election to
not accept a substitution of securities.
Notwithstanding anything to the contrary in this Section 7, if
the rating on a particular Purchased Security is upgraded (the
"Upgraded Security"), then Seller may within 90 days of such
upgrade, repurchase such Upgraded Security without paying an Exit
Fee, provided that Seller substitutes such Upgraded Security with
one or more Purchased Securities which (i) have an aggregate
Market Value equal to or in excess of the Market Value of the
Upgraded Security at the time of such substitution and (ii) have
the same rating that the Upgraded Security had immediately prior
to its upgrade.
8. Control
(a) Seller acknowledges that Buyer will not enter into a
Transaction with respect to a Purchased Security in a Ratings
Category lower than Ba3/BB-/BB- unless Seller has Affirmative
Control with respect to such Purchased Security. Seller shall
deliver to Buyer no later than the Purchase Date for the relevant
Purchased Security such documentation as Buyer may reasonably
request to effect or confirm Buyer's right to exercise
Affirmative Control with respect to such Purchased Security.
Notwithstanding anything to the contrary herein, for so long as
no Event of Default has occurred and is continuing with respect
to Seller under the Agreement and any other agreement between
Seller and Buyer, Buyer grants Seller a license to exercise
Affirmative Control with respect to the Purchased Securities and
pursuant to such license Seller shall have the sole and exclusive
right to exercise Affirmative Control. Immediately upon notice by
the Buyer to Seller of the occurrence of an Event of Default with
respect to Seller, the foregoing license shall terminate
automatically, and all rights of Affirmative Control shall
automatically re-vest in Buyer until such time, if any, as such
Event of Default is waived by Buyer in its sole discretion by
written notice to Seller. Buyer and Seller shall enter into such
agreements, give such notices and obtain such acknowledgements as
may be necessary or desirable for Seller to have the right to
exercise Affirmative Control prior to the occurrence of any Event
of Default and for Buyer to have the right to exercise
Affirmative Control upon the occurrence of such Event of Default
on a Trust by Trust basis. This Paragraph 8(a) shall survive any
transfer by Buyer of an interest in (including by way of pledge,
sale, hypothecation, repurchase agreement or other means) the
Purchased Securities and shall be binding on any transferee of
the Purchased Securities and Buyer shall notify any purchaser of
the Purchased Securities of this provision to the extent such
transferee would otherwise have such rights. Seller shall
indemnify and hold Buyer harmless from and against any and all
losses, damages,
-4-
liabilities, obligations, penalties, judgments and awards arising
from or related to claims, and to pay, on demand, all direct and
indirect costs, liabilities and damages incurred by Buyer
(including, without limitation, costs of collection, reasonable
third-party attorneys' fees, court costs and other expenses
arising from or related to the foregoing, but excluding any
actual or alleged diminution in the Market Value of any of the
Purchased Securities, and any consequential or punitive damages)
in connection with any action or failure to take action by Seller
with respect to the foregoing license of Affirmative Control
("Control Costs"). In each case, whether or not demand has been
made therefor, Buyer may, in its sole discretion, treat the
Control Costs as a Margin Deficit. This indemnity shall survive
the termination of this Agreement.
(b) If Seller does not provide Buyer with Affirmative Control
with respect to any Transaction relating to a Purchased Security
in a Ratings Category lower than Ba3/BB-/BB-, then (i) Buyer
shall have the right to cancel such Transaction and (ii) Seller
agrees to pay to Buyer within five Business Days of notice (which
date shall constitute a Repurchase Date) any Purchase Price paid
by Buyer plus any accrued Price Differential plus any costs,
losses, damages or fees incurred in connection with any hedge
entered into or unwound by Buyer as a result of such
cancellation.
(c) Seller may not exercise its right to terminate any
Transaction and repurchase Purchased Securities pursuant to
Section 7 of this Terms Annex with respect to Purchased
Securities that are required by Seller for it to exercise
Affirmative Control with respect to a Trust unless Seller also so
accelerates with respect to all Purchased Securities issued by
such Trust.
9. Certain Definitions
"Affirmative Control" shall mean, with respect to any Purchased
Security, the ability to exercise the rights of the Controlling
Class (by whatever name denominated in the documents governing
the applicable Trust) with respect to the Trust which issued such
Purchased Securities or otherwise to direct, approve or consent
to or vote on specified actions to be taken with respect to the
underlying commercial mortgage loans or the applicable Trusts,
or, if such Trust does not provide for a Controlling Class, to
appoint, retain or remove the Trust's special servicer, such
ability to be exercisable without interruption, regardless of any
change in the Controlling Class or future reductions in the
principal balance of the securities issued by the Trust.
"Applicable Table" shall mean (i) on the date of this Terms Annex
and until but not including such date as the portfolio of
Purchased Securities under this Terms Annex ceases to be
identical to that listed on Exhibit A hereto (except for changes
to the portfolio of Purchased Securities listed on Exhibit A
hereto due to the early termination of a Transaction as described
in Section 1(c) hereof), the
-5-
table in Exhibit A hereto; and (ii) thereafter shall mean "Table
II" during any time period in which the Purchased Securities have
been issued by more than eight Trusts and the Diversity
Percentage does not exceed 15% or, if Table II is not applicable,
then "Table I" during any time period in which the Purchased
Securities have been issued by five or more Trusts and the
Diversity Percentage does not exceed 25%.
"Contiguous Affirmative Control" shall mean, with respect to any
Purchased Securities, the ability of the holder of Related
Purchased Securities to exercise Affirmative Control, without
interruption, regardless of any change in the Controlling Class
or future reductions in the principal balance of the Related
Purchased Securities, unless and until (i) only one Related
Purchased Security remains outstanding and (ii) such Related
Purchased Security no longer qualifies as the Controlling Class.
"Controlling Class" shall mean, with respect to each Trust, the
class of certificates issued by it that vests the holders in the
aggregate of such certificates with the right to appoint, retain
or remove the transaction's special servicer (and to otherwise
exercise the rights of the controlling class, however denominated
in the issuing Trust's governing documentation).
"Diversity Percentage" shall mean (a) the Repurchase Price of all
Purchased Security issued by the single Trust whose Purchased
Securities have the highest aggregate Repurchase Price divided by
(b) the Repurchase Price of all Purchased Securities.
"LIBOR" shall mean the rate for deposits in U.S. Dollars for a
period of one month (or such other period as mutually agreed upon
by the Buyer and Seller) as such rate appears on Telerate Page
3750 as of 11:00 a.m., London Time, on the day that is two
"London Business Day" (meaning a day on which commercial banks
are open for business in London) preceding a given Reset Date. If
such rate does not appear on the Telerate Page 3750, the rate for
that Reset Date shall be determined by reference to
"USD-LIBOR-Reference Banks." "USD-LIBOR-Reference Banks" means,
for purposes of this definition, the rates at which deposits in
U.S. Dollars are offered by four reference banks selected by
Buyer at approximately 11:00 a.m., London time, on the day that
is two London Business Days preceding a given Reset Date to prime
banks in the London interbank market for a period equal to one
month commencing on that Reset Date and in a representative
amount. Buyer shall request the principal London office of each
of the reference banks to provide a quotation of its LIBOR rate.
If at least two such quotations are received, the rate for the
Reset Date will be the arithmetic mean of such quotations. If
fewer than two quotations are received, the rate for that Reset
Date will be the arithmetic mean of the rates quoted by major
banks in New York City (selected by Buyer), at approximately
11:00 a.m. New York City time on that Reset Date, for loans in
U.S. Dollars to leading European banks for a period of one month
commencing on that Reset Date and in a representative amount.
-6-
"Maximum Amount" shall equal $200,000,000.
"Ratings Category" means the following groupings of ratings, each
of which shall be a separate Ratings Category:
(i) BBB-/Baa3/BBB- or above
(ii) Ba1/BB+/BB+
(iii) Ba2/BB/BB
(iv) Ba3/BB-/BB-
(v) B1/B+/B+
(vi) B2/B/B
(vii) B3/B-/B-
(viii) Below B3/B-/B- or Not Rated
The foregoing ratings are as published by Xxxxx'x Investors
Service, Inc., Standard & Poor's Ratings Services, a division of
The XxXxxx-Xxxx Companies, Inc. or Fitch Ratings (in that order)
on Purchased Securities. If more than one rating agency rates the
Purchased Securities, the lowest of the ratings shall set the
Ratings Category. If either (i) no rating agency rates the
Purchased Securities or (ii) any rating agency withdraws its
rating of the Purchased Securities for reasons specified by such
rating agency that relate to the credit or structure of such
Purchased Securities, the Ratings Category "Not Rated" shall
apply unless otherwise agreed upon by Buyer in its sole
discretion.
"Relevant Spread" means, to the extent that the LIBOR maturity is
one month, for each Purchased Security the applicable amount set
forth below corresponding to the Ratings Category for such
Purchased Security as of the Purchase Date and on each subsequent
Reset Date:
Ratings
-------
Category
--------
BBB-/Baa3/BBB- 0.50%
or above
Ba1/BB+/BB+ 0.85%
Ba2/BB/BB 0.85%
Ba3/BB-/BB- 0.85%
B1/B+/B+ 1.25%
B2/B/B 1.25%
B3/B-/B- 1.25%
Below B3/B-/B- or
Not Rated 1.70%
-7-
If the Buyer and Seller agree to use a LIBOR maturity other than
one month, the Buyer and Seller shall use such other Relevant
Spreads as are mutually agreed upon by the Buyer and Seller.
"Related Purchased Securities" shall mean any CMBS issued by the
issuing trust that issued the Purchased Securities.
"Reset Date" shall mean the date on which LIBOR is reset with
respect to a Transaction, which date shall be the first (1st) day
(or, if such day is not a Business Day, the next following
Business Day unless that day falls in the next calendar month, in
which case that date will be the first preceding day that is a
Business Day) of each calendar month or on such other date as
Buyer may specify in the Confirmation in connection with such
Transaction.
"Termination Date" shall mean March 1, 2006.
IN WITNESS WHEREOF, the parties hereto have executed and delivered this
Terms Annex as of this 1st day of March, 2005.
LIQUID FUNDING, LTD. CT LF FUNDING CORP.
By:/s/ Xxxxx Xxxxx By: /s/ Xxxxx X. Xxxxxx
--------------- -------------------
Name: Xxxxx Xxxxx Name: Xxxxx X. Xxxxxx
----------- ---------------
Title: Joint Chief Executive Officer Title: Chief Financial Officer
----------------------------- -----------------------
-8-
Table I
-------
(5 to 7 Trusts)
(Maximum Diversity Percentage: 25%)
--------------------------------------------------------------------------------
Ratings Category Purchase Price Buyer's Margin Ratio
--------------------------------------------------------------------------------
BBB/Baa2/BBB or above 80% 82%
--------------------------------------------------------------------------------
BBB-/Baa3/BBB- 77.5% 79.5%
--------------------------------------------------------------------------------
Ba1/BB+/BB+ or above 55% 65%
--------------------------------------------------------------------------------
Ba2/BB/BB 50% 60%
--------------------------------------------------------------------------------
Ba3/BB-/BB- 50% 60%
--------------------------------------------------------------------------------
B1/B+/B+ 35% 45%
--------------------------------------------------------------------------------
B2/B/B 35% 45%
--------------------------------------------------------------------------------
B3/B-/B- 35% 45%
--------------------------------------------------------------------------------
Below B2/B-/B- or Not Rated 20% 30%
--------------------------------------------------------------------------------
Table II
--------
(8 or More Trusts)
(Maximum Diversity Percentage: 15%)
--------------------------------------------------------------------------------
Ratings Category Purchase Price Buyer's Margin Ratio
--------------------------------------------------------------------------------
BBB/Baa2/BBB or above 85% 87%
--------------------------------------------------------------------------------
BBB-/Baa3/BBB- 82.5% 84.5%
--------------------------------------------------------------------------------
Ba1/BB+/BB+ 67% 72%
--------------------------------------------------------------------------------
Ba2/BB/BB 67% 72%
--------------------------------------------------------------------------------
Ba3/BB-/BB- 67% 72%
--------------------------------------------------------------------------------
B1/B+/B+ 40% 50%
--------------------------------------------------------------------------------
B2/B/B 40% 50%
--------------------------------------------------------------------------------
B3/B-/B- 40% 50%
--------------------------------------------------------------------------------
Below B3/B-/B- or Not Rated 25% 35%
--------------------------------------------------------------------------------
-9-
