ISDA® CREDIT SUPPORT ANNEX to the Schedule to the ISDA Master Agreement dated as of April 27, 2007 between LEHMAN BROTHERS SPECIAL FINANCING INC. (hereinafter referred to as “Party A” or “Pledgor”) and THE BANK OF NEW YORK, NOT IN ITS INDIVIDUAL...
ISDA®
CREDIT
SUPPORT ANNEX
to
the
Schedule to the
dated
as
of April 27, 2007 between
XXXXXX
BROTHERS SPECIAL FINANCING INC.
(hereinafter
referred to as “Party
A”
or
“Pledgor”)
and
THE
BANK OF NEW YORK, NOT IN ITS INDIVIDUAL CAPACITY, BUT SOLELY AS SWAP CONTRACT
ADMINISTRATOR FOR CWABS ASSET-BACKED CERTIFICATES TRUST 2007-BC2, ASSET-BACKED
CERTIFICATES, SERIES 2007-BC2 PURSUANT TO A SWAP CONTRACT ADMINISTRATION
AGREEMENT
(hereinafter
referred to as “Party
B”
or
“Secured
Party”).
Paragraph
13. Elections and Variables.
| (a) |
Security
Interest for “Obligations”.
The term “Obligations”
as
used in this Annex includes the following additional
obligations:
|
With
respect to Party A: not applicable.
With
respect to Party B: not applicable.
| (b) |
Credit
Support Obligations.
|
| (i) |
Delivery
Amount, Return Amount and Credit Support
Amount.
|
| (A) |
“Delivery
Amount”
has the meaning specified in Paragraph 3(a) as amended (I) by deleting
the
words “upon a demand made by the Secured Party on or promptly following a
Valuation Date” and inserting in lieu thereof the words “not later than
the close of business on each Valuation Date” and (II) by deleting in its
entirety the sentence beginning “Unless otherwise specified in Paragraph
13” and ending “(ii) the Value as of that Valuation Date of all Posted
Credit Support held by the Secured Party.” and inserting in lieu thereof
the following:
|
| (B) |
The
“Delivery
Amount”
applicable to the Pledgor for any Valuation Date will equal the greatest
of
|
|
(1)
|
the
amount by which (a) the S&P Credit Support Amount for such Valuation
Date exceeds (b) the S&P Value as of such Valuation Date of all Posted
Credit Support held by the Secured Party,
|
|
(2)
|
the
amount by which (a) the Xxxxx’x First Trigger Credit Support Amount for
such Valuation Date exceeds (b) the Xxxxx’x First Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party,
and
|
|
(4)
|
the
amount by which (a) the Xxxxx’x Second Trigger Credit Support Amount for
such Valuation Date exceeds (b) the Xxxxx’x Second Trigger Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party.
|
| (C) |
“Return
Amount”
has the meaning specified in Paragraph 3(b) as amended by deleting
in its
entirety the sentence beginning “Unless otherwise specified in Paragraph
13” and ending “(ii) the Credit Support Amount.” and inserting in lieu
thereof the following:
|
The
“Return
Amount”
applicable to the Secured Party for any Valuation Date will equal the least
of
|
(1)
|
the
amount by which (a) the S&P Value as of such Valuation Date of all
Posted Credit Support held by the Secured Party exceeds (b) the S&P
Credit Support Amount for such Valuation Date,
|
|
(2)
|
the
amount by which (a) the Xxxxx’x First Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the Xxxxx’x First Trigger Credit Support Amount for such Valuation Date,
and
|
|
(4)
|
the
amount by which (a) the Xxxxx’x Second Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the Xxxxx’x Second Trigger Credit Support Amount for such Valuation
Date.
|
| (D) |
“Credit
Support Amount”
shall not apply. For purposes of calculating any Delivery Amount or
Return
Amount for any Valuation Date, reference shall be made to the S&P
Credit Support Amount, Xxxxx’x First Trigger Credit Support Amount, or the
Xxxxx’x Second Trigger Credit Support Amount, in each case for such
Valuation Date, as provided in Paragraphs 13(b)(i)(A) and 13(b)(i)(B),
above.
|
| (ii) |
Eligible
Collateral.
On any day, the following items will qualify as “Eligible
Collateral”(for
the avoidance of doubt, all Eligible Collateral to be denominated
in
USD):
|
|
Collateral
|
S&P
Valuation Percentage
|
Xxxxx’x
First
Trigger Valuation
Percentage
|
Xxxxx’x
Second
Trigger Valuation
Percentage
|
|
(A) Cash
|
100%
|
100%
|
100%
|
|
(B) 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
|
98.5%
|
100%
|
100%
|
|
(C) 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
|
89.9%
|
100%
|
94%
|
|
(D) Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than ten years
|
83.9%
|
100%
|
87%
|
| (ii) |
Other
Eligible Support.
|
The
following items will qualify as “Other
Eligible Support”
for the
party specified:
Not
applicable.
| (iii) |
Threshold.
|
| (A) |
“Independent
Amount”
means zero with respect to Party A and Party
B.
|
| (B) |
“Threshold”
means, with respect to Party A and any Valuation Date, zero if (i)
a
Collateral Event has occurred and has been continuing (x) for at least
30
days or (y) since this Annex was executed, or (ii) a Required Ratings
Downgrade Event has occurred and is continuing; otherwise,
infinity.
|
“Threshold”
means,
with respect to Party B and any Valuation Date, infinity.
| (C) |
“Minimum
Transfer Amount” means
USD 100,000 with respect to Party A and Party B; provided, however,
that
if the aggregate Certificate Principal Balance of the Certificates
and any
Notes rated by S&P is at the time of any transfer less than USD
50,000,000, the “Minimum
Transfer Amount”
shall be USD 50,000.
|
| (D) |
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.
|
| (c) |
Valuation
and Timing.
|
| (i) |
“Valuation
Agent”
means Party A. All calculations by the Valuation Agent must be made
in
accordance with standard market practice, including, in the event of
a
dispute as to the Value of any Eligible Credit Support or Posted Credit
Support, by making reference to quotations received by the Valuation
Agent
from one or more Pricing Sources.
|
| (ii) |
“Valuation
Date” means
each Local Business Day on which any of the S&P Credit Support Amount,
the Xxxxx’x First Trigger Credit Support Amount or the Xxxxx’x Second
Trigger Credit Support Amount is greater than
zero.
|
| (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 Exposure will be made as of
approximately the same time on the same date. The Valuation Agent will
notify each party (or the other party, if the Valuation Agent is a
party)
of its calculations not later than the Notification Time on the applicable
Valuation Date (or in the case of Paragraph 6(d), the Local Business
Day
following the day on which such relevant calculations are
performed).”
|
| (iv) |
“Notification
Time” means
1:00 p.m., New York time, on a Local Business Day.
|
| (v) |
External
Verification.
Notwithstanding anything to the contrary in the definitions of Valuation
Agent or Valuation Date, at any time at which Party A (or, to the extent
applicable, its Credit Support Provider) does not have a long-term
unsubordinated and unsecured debt rating of at least “BBB+” from S&P,
the Valuation Agent shall (A) calculate the Secured Party’s Exposure and
the S&P Value of Posted Credit Support on each Valuation Date based on
internal marks and (B) verify such calculations with external marks
monthly by obtaining on the last Local Business Day of each calendar
month
two external marks for each Transaction to which this Annex relates
and
for all Posted Credit Support; such verification of the Secured Party’s
Exposure shall be based on the higher of the two external marks. Each
external xxxx in respect of a Transaction shall be obtained from an
independent Reference Market-maker that would be eligible and willing
to
enter into such Transaction in the absence of the current derivative
provider, provided that an external xxxx xxx not be obtained from the
same
Reference Market-maker more than four times in any 12-month period.
The
Valuation Agent shall obtain these external marks directly or through
an
independent third party, in either case at no cost to Party B. The
Valuation Agent shall calculate on each Valuation Date (for purposes
of
this paragraph, the last Local Business Day in each calendar month
referred to above shall be considered a Valuation Date) the Secured
Party’s Exposure based on the greater of the Valuation Agent’s internal
marks and the external marks received. If the S&P Value on any such
Valuation Date of all Posted Credit Support then held by the Secured
Party
is less than the S&P Credit Support Amount on such Valuation Date (in
each case as determined pursuant to this paragraph), Party A shall,
within
three Local Business Days of such Valuation Date, Transfer to the Secured
Party Eligible Credit Support having an S&P Value as of the date of
Transfer at least equal to such deficiency.
|
| (vi) |
Notice
to S&P.
At
any time at which Party A (or, to the extent applicable, its Credit
Support Provider) does not have a long-term unsubordinated and unsecured
debt rating of at least “BBB+” from S&P, the Valuation Agent shall
provide to S&P not later than the Notification Time on the Local
Business Day following each Valuation Date its calculations of the
Secured
Party’s Exposure and the S&P Value of any Eligible Credit Support or
Posted Credit Support for that Valuation Date. The Valuation Agent
shall
also provide to S&P any external marks received pursuant to the
preceding paragraph.
|
| (d) |
Conditions
Precedent and Secured Party’s Rights and
Remedies.
The following Termination Events will be a “Specified
Condition”
for the party specified (that party being the Affected Party if the
Termination Event occurs with respect to that party):
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 of the dispute is given under Paragraph
5.
|
| (ii) |
Value.
Notwithstanding anything to the contrary in Paragraph 12, for the purpose
of Paragraphs 5(i)(C) and 5(ii), the S&P Value, Xxxxx’x First Trigger
Value, and Xxxxx’x Second Trigger Value, on any date, of Eligible
Collateral other than Cash will be calculated as follows:
|
For
Eligible Collateral in the form of securities listed in Paragraph 13(b)(ii):
the
sum of (A) the product of (1)(x) the bid price at the Valuation Time for such
securities on the principal national securities exchange on which such
securities are listed, or (y) if such securities are not listed on a national
securities exchange, the bid price for such securities quoted at the Valuation
Time by any principal market maker for such securities selected by the Valuation
Agent, or (z) if no such bid price is listed or quoted for such date, the bid
price listed or quoted (as the case may be) at the Valuation Time for the day
next preceding such date on which such prices were available and (2) the
applicable Valuation Percentage for such Eligible Collateral, and (B) the
accrued interest on such securities (except to the extent Transferred to the
Pledgor pursuant to Paragraph 6(d)(ii) or included in the applicable price
referred to in the immediately preceding clause (A)) as of such
date.
| (iii) |
Alternative.
The provisions of Paragraph 5 will apply.
|
| (g) |
Holding
and Using Posted
Collateral.
|
| (i) |
Eligibility
to Hold Posted Collateral; Custodians. Party
B (or any Custodian) will be entitled to hold Posted Collateral pursuant
to Paragraph 6(b), provided that the following conditions applicable
to it
are satisfied:
|
Party
B
may appoint as Custodian (A) the entity then serving as Swap Contract
Administrator or (B) any entity other than the entity then serving as Swap
Contract Administrator if such other entity (or, to the extent applicable,
its
parent company or credit support provider) is a bank or a trust company located
in the United States having and has a short-term unsecured and unsubordinated
debt rating from S&P of at least “A-1.”
Initially,
the Custodian
for
Party B is: The Swap Contract Administrator.
| (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.
|
| (h) |
Distributions
and Interest Amount.
|
| (i) |
Interest
Rate.
The “Interest
Rate”
will be the actual interest rate earned on Posted Collateral in the
form
of Cash that is held by Party B or its Custodian. Posted Collateral
in the
form of Cash shall be invested in such overnight (or redeemable within
two
Local Business Days of demand) Permitted Investments rated at least
(x)
AAAm or AAAm-G by S&P and (y) Prime-1 by Xxxxx’x or Aaa by 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 or (y) an Early Termination Date
has
been designated, in which case such Posted Collateral shall be held
uninvested). Gains and losses incurred in respect of any investment
of
Posted Collateral in the form of Cash in Permitted Investments as directed
by Party A shall be for the account of Party
A..
|
| (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, however, that the obligation of Party B to Transfer
any Interest Amount to Party A shall be limited to the extent that
Party B
has earned and received such funds and such funds are available to
Party
B.
|
| (iii) |
Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will
apply.
|
| (i) |
Additional
Representation(s).
There are no additional representations by either
party.
|
| (j) |
Other
Eligible Support and Other Posted Support.
|
| (i) |
“Value”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
| (ii) |
“Transfer”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
| (k) |
Demands
and Notices.
All demands, specifications and notices under this Annex will be made
pursuant to the Notices Section of this Agreement, except that any
demand,
specification or notice shall be given to or made at the following
addresses, 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
paragraph) to the other party:
|
If
to
Party A, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B or Party B’s Custodian, at the address specified for Party B pursuant to
the Notices Section of this Agreement.
| (l) |
Address
for Transfers.
Each Transfer hereunder shall be made to the address specified below
or to
an address specified in writing from time to time by the party to which
such Transfer will be made.
|
Party
A
account details for holding collateral - to be provided from time to
time.
Party
B’s
Custodian account details for holding collateral:
The
Bank
of New York
New
York,
NY
ABA
#
000-000-000
GLA
#
111-565
For
further Credit to Tas a/c # ( 200628 )
Attn:
Xxxxxxx Xxxxxx 000-000-0000
| (m) |
Other
Provisions.
|
| (i) |
Collateral
Account.
Party B shall open and maintain a segregated account, which shall be
an
Eligible Account segregated from the Swap Account, as defined in the
related Pooling and Servicing Agreement, and hold, record and identify
all
Posted Collateral in such segregated
account.
|
| (ii) |
Agreement
as to Single Secured Party and Single Pledgor.
Notwithstanding anything to the contrary in the recital of this Annex,
Paragraph 1(b), Paragraph 2 or the definitions in Paragraph 12, Party
A
and Party B hereby agree that, notwithstanding anything to the contrary
in
this Annex, (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.
|
| (iii) |
Calculation
of Value.
Paragraph 4(c) is hereby amended by deleting the word “Value” and
inserting in lieu thereof “S&P Value, Xxxxx’x First Trigger Value,
Xxxxx’x Second Trigger Value”. Paragraph 4(d)(ii) is hereby amended by (A)
deleting the words “a Value” and inserting in lieu thereof “an S&P
Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value” and
(B) deleting the words “the Value” and inserting in lieu thereof “S&P
Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value”.
Paragraph 5 (flush language) is hereby amended by deleting the word
“Value” and inserting in lieu thereof “S&P Value, Xxxxx’x First
Trigger Value, or Xxxxx’x Second Trigger Value”. Paragraph 5(i) (flush
language) is hereby amended by deleting the word “Value” and inserting in
lieu thereof “S&P Value, Xxxxx’x First Trigger Value, and Xxxxx’x
Second Trigger Value”. Paragraph 5(i)(C) is hereby amended by deleting the
word “the Value, if” and inserting in lieu thereof “any one or more of the
S&P Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger
Value, as the case may be”. Paragraph 5(ii) is hereby amended by (1)
deleting the first instance of the words “the Value” and inserting in lieu
thereof “any one or more of the S&P Value, Xxxxx’x First Trigger
Value, or Xxxxx’x Second Trigger Value” and (2) deleting the second
instance of the words “the Value” and inserting in lieu thereof “such
disputed S&P Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second
Trigger Value”. Each of Paragraph 8(b)(iv)(B) and Paragraph 11(a) is
hereby amended by deleting the word “Value” and inserting in lieu thereof
“least of the S&P Value, Xxxxx’x First Trigger Value, and Xxxxx’x
Second Trigger Value”.
|
| (iv) |
Form
of Annex. Party
A and Party B hereby agree that the text of Paragraphs 1 through 12,
inclusive, of this Annex is intended to be the printed form of ISDA
Credit
Support Annex (Bilateral Form - ISDA Agreements Subject to New York
Law
Only version) as published and copyrighted in 1994 by the International
Swaps and Derivatives Association, Inc.
|
| (v) |
Events
of Default.
Paragraph 7 will not apply to cause any Event of Default to exist with
respect to Party B except that Paragraph 7(i) will apply to Party B
solely
in respect of Party B’s obligations under Paragraph 3(b) of the Credit
Support Annex. Notwithstanding anything to the contrary in Paragraph
7,
any failure by Party A to comply with or perform any obligation to
be
complied with or performed by Party A under the Credit Support Annex
shall
only be an Event of Default if (A) a
Required Ratings Downgrade Event has occurred and been continuing for
30
or more Local Business Days, and (B) such failure is not remedied on
or
before the third Local Business Day after notice of such failure is
given
to Party A.
|
| (vi) |
Expenses.
Notwithstanding anything to the contrary in 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 any Transfer of Eligible
Collateral.
|
| (vii) |
Withholding.
Paragraph 6(d)(ii) is hereby amended by inserting immediately after
“the
Interest Amount” in the fourth line thereof the words “less any applicable
withholding taxes.”
|
| (viii) |
Additional
Definitions.
As used in this Annex:
|
“Collateral
Event” means
that no Relevant Entity has credit ratings at least equal to the Approved
Ratings Threshold.
“DV01”
means,
with respect to a Transaction and any date of determination, the estimated
change in the Secured Party’s Transaction 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.
“Exposure”
has the meaning specified in Paragraph 12, except that after the word
“Agreement” the words “(assuming, for this purpose only, that Part 1(f) of the
Schedule is deleted)” shall be inserted
and (2)
at the end of such definition, the words “with terms substantially the same as
those of this Agreement.” shall be inserted.
“Local
Business Day”
means,
for purposes of this Annex: any day on which (A) commercial banks are open
for
business (including dealings in foreign exchange and foreign currency deposits)
in New York and the location of Party A, Party B and any Custodian, and (B)
in
relation to a Transfer of Eligible Collateral, any day on which the clearance
system agreed between the parties for the delivery of Eligible Collateral is
open for acceptance and execution of settlement instructions (or in the case
of
a Transfer of Cash or other Eligible Collateral for which delivery is
contemplated by other means a day on which commercial banks are open for
business (including dealings in foreign exchange and foreign deposits) in New
York and the location of Party A, Party B and any Custodian.
“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 Ratings Event 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 Ratings 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 (i) the Secured Party’s Exposure for such
Valuation Date and (ii) the sum, for each Transaction to which this
Annex
relates, of
|
|
the
least of (x) the product of the Xxxxx’x First Trigger DV01 Multiplier and
DV01 for such Transaction and such Valuation Date, (y) the product
of (i)
Xxxxx’x First Trigger Notional Amount Multiplier and (ii) the Notional
Amount for such Transaction for the Calculation Period for such
Transaction (each as defined in the related Confirmation) which includes
such Valuation Date and (z) the product of (i) the applicable Xxxxx’x
First Trigger Factor set forth in Table 1 and (ii) the Notional Amount
for
such Transaction for the Calculation Period for such Transaction
(each as
defined in the related Confirmation) which includes such Valuation
Date;
or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“Xxxxx’x
First Trigger DV01 Multiplier”
means
15.
“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
2%.
“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
Ratings Event 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 payment due to be paid by Party A under
each
Transaction to which this Annex relates, and (c) the sum of (x) the
Secured Party’s Exposure for such Valuation Date and (y) the sum, for each
Transaction to which this Annex relates, of
|
(1)
if
such Transaction is not a Transaction-Specific Hedge,:
the
least
of (i) the product of the Xxxxx’x Second Trigger DV01 Multiplier and DV01 for
such Transaction and such Valuation Date, (ii) the product of (1) the Xxxxx’x
Second Trigger Notional Amount Multiplier and (2) the Notional Amount for such
Transaction for the Calculation Period of such Transaction (each as defined
in
the related Confirmation) which includes such Valuation Date; and (iii) the
product of (1) the applicable Xxxxx’x Second Trigger Factor set forth in Table 2
and (2) the Notional Amount for such Transaction for the Calculation Period
for
such Transaction (each as defined in the related Confirmation) which includes
such Valuation Date;
or
(2)
if
such Transaction is a Transaction-Specific Hedge,
the
least
of (i) the product of the Xxxxx’x Second Trigger Transaction-Specific Hedge DV01
Multiplier and DV01 for such Transaction and such Valuation Date, (ii) the
product of (1) the Xxxxx’x Second Trigger Transaction-Specific Hedge Notional
Amount Multiplier and (2) the Notional Amount for such Transaction for the
Calculation Period for such Transaction (each as defined in the related
Confirmation) which includes such Valuation Date; and (iii) the product of
(1)
the applicable Xxxxx’x Second Trigger Factor set forth in Table 3 and (2) the
Notional Amount for such Transaction for the Calculation Period for such
Transaction (each as defined in the related Confirmation) which includes such
Valuation Date; or
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“Xxxxx’x
Second Trigger DV01 Multiplier”
means
50.
“Xxxxx’x
Second Trigger Notional Amount Multiplier”
means
8%.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge DV01
Multiplier”
means
65.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge Notional Amount
Multiplier”
means
10%.
“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).
“Pricing
Sources”
means
the sources of financial information commonly known as Bloomberg, Bridge
Information Services, Data Resources Inc., Interactive Data Services,
International Securities Market Association, Xxxxxxx Xxxxx Securities Pricing
Service, Xxxxxx Data Corporation, Reuters, Wood Gundy, Trepp Pricing, XX Xxxxx,
and S&P.
“Remaining
Weighted Average Maturity” means,
with respect to a Transaction, the expected weighted average maturity for such
Transaction as determined by the Valuation Agent.
“S&P
Approved Ratings Downgrade Event”
means
that no Relevant Entity has credit ratings at least equal to the S&P
Approved Ratings Threshold.
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which (i) a S&P Approved Ratings Downgrade Event
has occurred and been continuing for at least 30 days, or (ii) a
S&P
Required Ratings Downgrade Event has occurred and is continuing,
an amount
equal to the sum of (1) 100.0% of the Secured Party’s Exposure for such
Valuation Date and (2) the sum, for each Transaction to which this
Annex
relates, of the product of (i) the S&P Volatility Buffer for such
Transaction and (ii) the Notional Amount of such Transaction for
the
Calculation Period of such Transaction (each as defined in the related
Confirmation) which includes such Valuation Date, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“S&P
Required Ratings Downgrade Event”
means
that no Relevant Entity has credit ratings at least equal to the S&P
Required Ratings Threshold.
“S&P
Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
product of (A) the bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the S&P Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
“S&P
Volatility Buffer”
means, for any Transaction, the related percentage set forth in the following
tables for S&P.
|
The
higher of the S&P credit rating of (i) Party A and (ii) the Credit
Support Provider of Party A, if applicable
|
Remaining
Weighted Average Maturity of such Transaction
up
to 3 years
|
Remaining
Weighted Average Maturity of such Transaction
up
to 5 years
|
Remaining
Weighted Average Maturity of such Transaction
Up
to 10 years
|
Remaining
Weighted Average Maturity of such Transaction
up
to 30 years
|
||||
|
“A-2”
or higher
|
2.75%
|
3.25%
|
4.00%
|
4.75%
|
||||
|
“A-3”
|
3.25%
|
4.00%
|
5.00%
|
6.25%
|
||||
|
“BB+”
or lower
|
3.50%
|
4.50%
|
6.75%
|
7.50%
|
“Transaction
Exposure”
means,
for any Transaction, Exposure determined as if such Transaction were the only
Transaction between the Secured Party and the Pledgor.
“Transaction-Specific
Hedge” means
any
Transaction that is (i) an interest rate swap in respect of which (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 (as defined
in the related Confirmation) otherwise is not a specific dollar amount that
is
fixed at the inception of the Transaction, (ii) an interest rate cap, (iii)
an
interest rate floor or (iv) an interest rate swaption.
“Valuation
Percentage”
shall
mean, for purposes of determining the S&P Value, Xxxxx’x First Trigger
Value, or Xxxxx’x Second Trigger Value with respect to any Eligible Collateral
or Posted Collateral, the applicable S&P Valuation Percentage, Xxxxx’x First
Trigger Valuation Percentage, or Xxxxx’x Second Trigger Valuation Percentage for
such Eligible Collateral or Posted Collateral, respectively, in each case as
set
forth in Paragraph 13(b)(ii).
“Value”
shall
mean, in respect of any date, the related S&P Value, the related Xxxxx’x
First Trigger Value, and the related Xxxxx’x Second Trigger Value.
“Volatility
Buffer”
means,
for any Transaction, the related percentage set forth in the following table
(other than a Transaction identified in the related Confirmation as a Timing
Hedge).
[Remainder
of this page intentionally left blank]
IN
WITNESS WHEREOF, the parties have executed this Annex by their duly authorized
representatives as of the date of the Agreement.
|
XXXXXX
BROTHERS
SPECIAL
FINANCING INC.
|
THE
BANK OF NEW YORK, NOT IN ITS INDIVIDUAL CAPACITY, BUT SOLELY AS SWAP
CONTRACT ADMINISTRATOR FOR CWABS ASSET-BACKED CERTIFICATES TRUST
2007-BC2,
ASSET-BACKED CERTIFICATES, SERIES 2007-BC2 PURSUANT TO A SWAP CONTRACT
ADMINISTRATION AGREEMENT (THE
“TRUST” AND “PARTY B”)
|
|
|
(Party
A)
|
(Party
B)
|
|
|
|
||
|
Name:
|
Name:
|
|
|
Title:
|
Title:
|
|
|
Date:
|
Date:
|
Table
1
Xxxxx’x
First Trigger Factor
|
Remaining
Weighted Average Life of Hedge in Years
|
Daily
Collateral Posting
|
|
1
or less
|
0.15%
|
|
More
than 1 but not more than 2
|
0.30%
|
|
More
than 2 but not more than 3
|
0.40%
|
|
More
than 3 but not more than 4
|
0.60%
|
|
More
than 4 but not more than 5
|
0.70%
|
|
More
than 5 but not more than 6
|
0.80%
|
|
More
than 6 but not more than 7
|
1.00%
|
|
More
than 7 but not more than 8
|
1.10%
|
|
More
than 8 but not more than 9
|
1.20%
|
|
More
than 9 but not more than 10
|
1.30%
|
|
More
than 10 but not more than 11
|
1.40%
|
|
More
than 11 but not more than 12
|
1.50%
|
|
More
than 12 but not more than 13
|
1.60%
|
|
More
than 13 but not more than 14
|
1.70%
|
|
More
than 14 but not more than 15
|
1.80%
|
|
More
than 15 but not more than 16
|
1.90%
|
|
More
than 16 but not more than 17
|
2.00%
|
|
More
than 17 but not more than 18
|
2.00%
|
|
More
than 18 but not more than 19
|
2.00%
|
|
More
than 19 but not more than 20
|
2.00%
|
|
More
than 20 but not more than 21
|
2.00%
|
|
More
than 21 but not more than 22
|
2.00%
|
|
More
than 22 but not more than 23
|
2.00%
|
|
More
than 23 but not more than 24
|
2.00%
|
|
More
than 24 but not more than 25
|
2.00%
|
|
More
than 25 but not more than 26
|
2.00%
|
|
More
than 26 but not more than 27
|
2.00%
|
|
More
than 27 but not more than 28
|
2.00%
|
|
More
than 28 but not more than 29
|
2.00%
|
|
More
than 29
|
2.00%
|
Table
2
Xxxxx’x
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
|
Remaining
Weighted Average Life of Hedge in Years
|
Daily
Collateral Posting
|
|
1
or less
|
0.50%
|
|
More
than 1 but not more than 2
|
1.00%
|
|
More
than 2 but not more than 3
|
1.50%
|
|
More
than 3 but not more than 4
|
1.90%
|
|
More
than 4 but not more than 5
|
2.40%
|
|
More
than 5 but not more than 6
|
2.80%
|
|
More
than 6 but not more than 7
|
3.20%
|
|
More
than 7 but not more than 8
|
3.60%
|
|
More
than 8 but not more than 9
|
4.00%
|
|
More
than 9 but not more than 10
|
4.40%
|
|
More
than 10 but not more than 11
|
4.70%
|
|
More
than 11 but not more than 12
|
5.00%
|
|
More
than 12 but not more than 13
|
5.40%
|
|
More
than 13 but not more than 14
|
5.70%
|
|
More
than 14 but not more than 15
|
6.00%
|
|
More
than 15 but not more than 16
|
6.30%
|
|
More
than 16 but not more than 17
|
6.60%
|
|
More
than 17 but not more than 18
|
6.90%
|
|
More
than 18 but not more than 19
|
7.20%
|
|
More
than 19 but not more than 20
|
7.50%
|
|
More
than 20 but not more than 21
|
7.80%
|
|
More
than 21 but not more than 22
|
8.00%
|
|
More
than 22 but not more than 23
|
8.00%
|
|
More
than 23 but not more than 24
|
8.00%
|
|
More
than 24 but not more than 25
|
8.00%
|
|
More
than 25 but not more than 26
|
8.00%
|
|
More
than 26 but not more than 27
|
8.00%
|
|
More
than 27 but not more than 28
|
8.00%
|
|
More
than 28 but not more than 29
|
8.00%
|
|
More
than 29
|
8.00%
|
Table
3
Xxxxx’x
Second Trigger Factor for Transaction-Specific Xxxxxx
|
Remaining
Weighted Average Life of Hedge in Years
|
Daily
Collateral Posting
|
|
1
or less
|
0.65%
|
|
More
than 1 but not more than 2
|
1.30%
|
|
More
than 2 but not more than 3
|
1.90%
|
|
More
than 3 but not more than 4
|
2.50%
|
|
More
than 4 but not more than 5
|
3.10%
|
|
More
than 5 but not more than 6
|
3.60%
|
|
More
than 6 but not more than 7
|
4.20%
|
|
More
than 7 but not more than 8
|
4.70%
|
|
More
than 8 but not more than 9
|
5.20%
|
|
More
than 9 but not more than 10
|
5.70%
|
|
More
than 10 but not more than 11
|
6.10%
|
|
More
than 11 but not more than 12
|
6.50%
|
|
More
than 12 but not more than 13
|
7.00%
|
|
More
than 13 but not more than 14
|
7.40%
|
|
More
than 14 but not more than 15
|
7.80%
|
|
More
than 15 but not more than 16
|
8.20%
|
|
More
than 16 but not more than 17
|
8.60%
|
|
More
than 17 but not more than 18
|
9.00%
|
|
More
than 18 but not more than 19
|
9.40%
|
|
More
than 19 but not more than 20
|
9.70%
|
|
More
than 20 but not more than 21
|
10.00%
|
|
More
than 21 but not more than 22
|
10.00%
|
|
More
than 22 but not more than 23
|
10.00%
|
|
More
than 23 but not more than 24
|
10.00%
|
|
More
than 24 but not more than 25
|
10.00%
|
|
More
than 25 but not more than 26
|
10.00%
|
|
More
than 26 but not more than 27
|
10.00%
|
|
More
than 27 but not more than 28
|
10.00%
|
|
More
than 28 but not more than 29
|
10.00%
|
|
More
than 29
|
10.00%
|
