EXHIBIT 99.5
March 2, 2004
Credit Suisse First Boston International
Xxx Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
RE: Form of Confirmation of Primary Swap Relating to the Class A-1 Notes
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and
conditions of the Swap Transaction (the "Primary Swap") entered into between
Credit Suisse First Boston International (the "Counterparty") and Capital Auto
Receivables Asset Trust 2004-1 (the "Trust") as of the Trade Date listed below
(the "Transaction"). This letter constitutes a "Confirmation" as referred to in
the Primary ISDA Agreement specified below.
1. The definitions and provisions contained in the 2000 ISDA Definitions
(the "Definitions"), as published by the International Swaps and
Derivatives Association, Inc. ("ISDA"), are incorporated into this
Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation
will govern. The parties agree that this transaction is a Transaction
under the ISDA Master Agreement of the parties dated as of March 2,
2004. The agreement is comprised of the printed form of such agreement
as published by ISDA, as supplemented and modified by a Schedule (the
"Primary ISDA Agreement").
This Confirmation constitutes a binding agreement between you and us
and will supplement, form a part of, and be subject to the Primary ISDA
Agreement described above as amended and supplemented from time to
time.
The Counterparty and the Trust acknowledge that this Transaction
relates to the Class A-1 Floating Rate Asset Backed Notes (the
"Reference Notes") issued by the Trust for value pursuant to and
subject to the Indenture.
Capitalized terms used and not otherwise defined herein, in the Primary
ISDA Agreement or in the Definitions shall have the meanings assigned
to them in Exhibit A or Exhibit B hereto, as applicable.
All references to "dollars" or to "$" shall be references to amounts in
United States Dollars.
2. The terms of the particular Transaction to which this Confirmation
relates are as follows:
Type of Transaction: Interest Rate Swap.
Notional Amount: $553,000,000 with respect to the initial Calculation
Period. The Notional Amount with respect to each Calculation Period
thereafter shall be equal to the Reference Note Balance as of the close
of business on the Distribution Date at the beginning of the relevant
Calculation Period (as set forth in the Calculation Statement (defined
below) delivered by GMAC to the Counterparty on or prior to the
Determination Date relating to such Calculation Period pursuant to
Section 3 below).
Trade Date: February 19, 2004.
Effective Date: March 2, 2004.
Termination Date: The earlier of the close of business on (i) March 15,
2005, and (ii) the Fixed Rate Payer Payment Date on which the Notional
Amount is reduced to zero.
Fixed Amounts:
Fixed Rate Payer: The Trust.
Fixed Rate Payer Period End Dates: The 15th calendar day of
each month, commencing April 15, 2004 to and including the
Termination Date, in each case, subject to adjustment in
accordance with the Following Business Day Convention.
Fixed Rate Payer Payment Date: With respect to each
Calculation Period, the day that is one Business Day prior to
the first Distribution Date to occur following the last day of
such Calculation Period.
Fixed Rate: 1.245%.
Fixed Rate Day Count Fraction: 30/360.
Floating Amounts:
Floating Rate Payer: The Counterparty.
Floating Rate Payer Period End Dates: Each Fixed Rate Payer
Period End Date.
Floating Rate Payer Payment Dates: Each Fixed Rate Payer
Payment Date.
Reset Dates: With respect to each Calculation Period, the
first day of such Calculation Period.
Floating Rate Option: LIBOR (as defined in Exhibit A hereto).
Spread: 6 Basis Points.
Floating Rate Day Count Fraction: Actual/360.
Compounding: Inapplicable.
Business Days for Payment: New York (New York), Detroit (Michigan) and
Chicago (Illinois).
Calculation Agent: The Trust, or General Motors Acceptance Corporation,
as agent for and on behalf of the Trust.
Default Rate: For any United States Dollar payments, the rate
determined under the option entitled "USD Federal Funds - H.15" plus 1%
using daily Reset Dates. The Default Rate will be applied on the basis
of Compounding as if the overdue amount were a Notional Amount and
using daily Compounding Dates, and interest will accrue and be payable
before as well as after judgment.
3. Calculations and Notifications: On or before each Determination Date,
the Calculation Agent shall determine the Fixed Amount due to the
Counterparty on the next succeeding Fixed Rate Payer Payment Date and
the Floating Amount due to the Trust on the next succeeding Floating
Rate Payer Payment Date and the Calculation Agent shall notify the
Counterparty in writing of both (i) the Floating Rate and (ii) the
amount of such payment.
2
In addition, on each Determination Date the Trust shall deliver to the
Counterparty (by facsimile with hard copy to follow) a statement (the
"Calculation Statement") setting forth with respect to the close of
business on the immediately preceding Distribution Date the Reference
Note Balance as of such Distribution Date.
The Trust will give the Counterparty prompt written notice of any
Default under the Indenture.
4. Credit Downgrade: In the event that the Joint Probability is reduced
below AA- in the case of S&P or Aa3, in the case of Moody's, the
Counterparty shall promptly notify the Trust (and any permitted
assignee or transferee of the Trust) and GMAC of such event and
(unless, within thirty (30) days after such reduction, the applicable
Rating Agency has reconfirmed the ratings of the Reference Notes and
the Other Securities that were in effect immediately prior to such
reduction) the Counterparty shall within thirty (30) days of receipt of
notice of such reduction, with the prior written confirmation of the
applicable Rating Agency that such arrangement will not result in the
reduction of the rating of any of the Reference Notes or the Other
Securities existing immediately prior to the reduction of the
applicable Joint Probability, either:
(1) (x) obtain a substitute swap provider (the "Substitute
Swap Provider") acceptable to the Trust (such acceptance not
to be unreasonably withheld) and replace this Transaction with
a swap transaction on substantially similar terms or with such
other amendments as consented to in writing by the Trust
(which consent shall not be unreasonably withheld), provided
such replacement would result in an S&P Joint Probability of
at least AA- and a Moody's Joint Probability of at least Aa3,
except that such Substitute Swap Provider shall thenceforth be
the "Counterparty" hereunder; or (y) replace, with the consent
of the then current Offsetting Counterparty, the swap
transaction with the then current Offsetting Counterparty with
a swap transaction with a replacement Offsetting Counterparty
or enter into a swap transaction with another party such that
such party shall be acting as an intermediary between the
Counterparty and the then current Offsetting Counterparty
(such replacement or intermediary being the "Replacement
Offsetting Counterparty"), in either case on terms approved by
S&P and Moody's; or
(2) enter into an ISDA Credit Support Annex with the Trust
mutually acceptable to the Trust and the Counterparty and, if
the Counterparty is required to post collateral pursuant to
such ISDA Credit Support Annex, at the time such ISDA Credit
Support Annex is entered into, the Counterparty shall request
its legal counsel to deliver to each applicable Rating Agency
an opinion as to the enforceability thereof; or
(3) enter into such other credit support arrangements to
assure performance by the Counterparty of its obligations
under this Transaction.
Notwithstanding the foregoing, in the event that the Joint Probability
is reduced below A- in the case of S&P, or A3, in the case of Moody's,
then the Offsetting Counterparty shall promptly notify the Trust (and
any permitted assignee or transferee of the Trust) and the Counterparty
of such event and (unless, within thirty (30) days after such reduction
the applicable Rating Agency has reconfirmed the ratings of the
Reference Notes and the Other Securities that were in effect
immediately prior to such reduction) the Counterparty shall within
thirty (30) days of receipt of notice of such reduction, with the prior
written confirmation of the applicable Rating Agency that such
arrangement will not result in the reduction of the rating of any of
the Reference Notes or the Other Securities existing immediately prior
to the reduction of the applicable Joint Probability as a direct result
of the reduction of such Joint
3
Probability, obtain a Substitute Swap Provider acceptable to the Trust
(such acceptance not to be unreasonably withheld) and replace this
Transaction with a swap transaction on substantially similar terms or
with such other amendments as consented to in writing by the Trust
(which consent shall not be unreasonably withheld) provided such
replacement would result in an S&P Joint Probability of at least AA- or
a Moody's Joint Probability of Aa3 except that such Substitute Swap
Provider shall thenceforth be the "Counterparty" hereunder.
Upon any replacement of this Transaction with a swap transaction with a
Substitute Swap Provider, this Transaction shall terminate without any
payment by either party hereto and any and all collateral posted by the
Counterparty shall be returned to it within three (3) Business Days and
any other form of collateral arrangement (including letters of credit,
surety bond or other guarantee) provided by or on behalf of the
Counterparty shall terminate.
In the event that the Counterparty fails to satisfy its obligations set
forth above in this Section 4, the Trust or any permitted assignee or
transferee of the Trust shall have the option, exercisable in its
discretion and with regard to the interests of the Noteholders, within
ten (10) Business Days following the date of expiry of the thirty (30)
day period after the date of receipt of notice of the reduction
(unless, within thirty (30) days of receipt of notice of such
reduction, the applicable Rating Agency has reconfirmed the rating of
the Reference Notes that was in effect immediately prior to such
reduction), to designate (in writing) an Early Termination Date on the
basis that such failure shall be treated as a Termination Event with
the Counterparty as the Affected Party. For the avoidance of doubt, the
Counterparty and the Trust acknowledge and agree that any such failure
shall not constitute an Event of Default.
5. Account Details:
Payments to Fixed Rate Payer:
JPMorgan Chase Bank - New York, NY
ABA No.: 02100021
A/C: No.: 507199782 further credit to
CARAT 2004-1 Collection Account No. 2600155500
Attn: Xxxxx Xxxxxxxxxx (000) 000-0000
Payments to Floating Rate Payer:
BANK OF NEW YORK,
SWIFT: XXXXXX0X
for favour Credit Suisse First Boston International,
London
Account Number: 8900360968
6. Limited Recourse: Notwithstanding anything to the contrary contained
herein but without limiting the Counterparty's rights under Section
5(a)(i) of the Primary ISDA Agreement, all of the obligations of the
Trust shall be payable by the Trust only at the times and to the extent
of funds available therefor under the Trust Sale and Servicing
Agreement and, to the extent such funds are not available or are
insufficient for the payment thereof, shall not constitute a claim
against the Trust to the extent of such unavailability or insufficiency
until such time as, and then to the extent that, the Trust has assets
sufficient to pay such prior deficiency. This paragraph shall survive
the termination of this Agreement
4
but in all cases shall expire one year and one day after the final
payment with respect to all notes and certificates issued by the Trust.
7. Limitation of Liability: It is expressly understood and agreed by the
parties hereto that (a) this Agreement is executed and delivered by
Deutsche Bank Trust Company Delaware, 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, (b) 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 Deutsche Bank Trust Company Delaware but
is made and intended for the purpose for binding only the Trust, (c)
nothing herein contained shall be construed as creating any liability
on Deutsche Bank Trust Company Delaware, 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
(d) under no circumstances shall Deutsche Bank Trust Company Delaware
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 Agreement or any other related documents.
8. To the extent that a capitalized term in this Transaction is defined by
reference to a related definition contained in any Trust Document, for
purposes of this Transaction only, such capitalized term shall be
deemed to be amended only if the amendment of the term in a Trust
Document relating to such capitalized term occurs with the prior
written consent of the Counterparty.
* * * *
5
Please confirm that the foregoing correctly sets forth the terms of our
agreement by executing the copy of this Confirmation enclosed for that purpose
and returning it to us.
CAPITAL AUTO RECEIVABLES ASSET
TRUST 2004-1
By: DEUTSCHE BANK TRUST COMPANY
DELAWARE, not in its individual capacity
but solely as Owner Trustee
By: /s/ Xxxxxxx X.X. Xxxx
----------------------------------------
Name: Xxxxxxx X.X. Xxxx
Title: Attorney-In-Fact
Accepted and confirmed as of the date first written above:
CREDIT SUISSE FIRST BOSTON INTERNATIONAL
By: /s/ Xxxxx Xxxxxxxxxxx
---------------------------------------
Name: Xxxxx Xxxxxxxxxxx
Title: Vice President
Acknowledged and agreed as of the date first written above:
GENERAL MOTORS ACCEPTANCE CORPORATION,
solely as Calculation Agent
By: /s/ Xxxxx X. Xxxxxxxxxx
---------------------------------------
Name: Xxxxx X. Xxxxxxxxxx
Title: Director - Securitization and Cash Management
EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
"Determination Date": the tenth (10th) day of each calendar month, or
if such tenth (10th) day is not a Business Day, the next succeeding Business
Day.
"Distribution Date": the fifteenth (15th) day of each succeeding
calendar month following the Effective Date or, if such fifteenth (15th) day is
not a Business Day, the next such succeeding Business Day, commencing April 15,
2004.
"Indenture": the Indenture, dated as of the date hereof between the
Trust and the Indenture Trustee, as amended and supplemented from time to time
in accordance with its terms.
"Indenture Trustee": JPMorgan Chase Bank, not in its individual
capacity but solely as trustee under the Indenture, or any successor trustee
under the Indenture.
"LIBOR": means for any Calculation Period with respect to each Floating
Rate Payer Payment Date, the rate for deposits in U.S. Dollars for a period of
one month which appears on the Telerate Service Page 3750 as of 11:00 a.m.,
London time, on the day that is two LIBOR Business Days prior to the first day
of the Calculation Period preceding such Floating Rate Payer Payment Date (or,
in the case of the initial Floating Rate Payer Payment Date, two LIBOR Business
Days prior to Closing Date) preceding such Floating Rate Payer Payment Date. If
the rate does not appear on that date on the Telerate Service Page 3750 (or any
other page as may replace that page on that service, or if that service is no
longer offered, any other service commonly used in the interbank market for
displaying LIBOR or comparable rates as may be selected by the Indenture Trustee
after consultation with the Seller), then LIBOR will be the Reference Bank Rate.
"LIBOR Business Day": any day other than a Saturday, Sunday or any
other day on which banks in London are required or authorized to be closed.
"Other Securities": Class A-2 Notes, Class A-3 Notes, Class A-4 Notes
and Certificates issued by the Trust.
"Reference Bank Rate": means for any Calculation Period for any
Floating Rate Payer Payment Date, the per annum rate determined on the basis of
the rates at which deposits in U.S. Dollars are offered by the reference banks
(which will be four major banks that are engaged in transactions in the London
interbank market, selected by the Calculation Agent) as of 11:00 a.m., London
time, on the day that is two LIBOR Business Days prior to the first day of the
Calculation Period preceding such Floating Rate Payer Payment Date to prime
banks in the London interbank market for a period of one month, in amounts
approximately equal to the principal amount of the Reference Notes then
outstanding. The Calculation Agent will request the principal London office of
each of the reference banks to provide a quotation of its rate. If at least two
quotations are provided, the rate will be the arithmetic mean of the quotations,
rounded upwards to the nearest one-sixteenth of one percent. If on that date
fewer than two quotations are provided as requested, the rate will be the
arithmetic mean, rounded upwards to the nearest one-sixteenth of one percent, of
the rates quoted by one or more major banks in New York City, selected by the
Calculation Agent, as of 11:00 a.m., New York City time, on that date to leading
European banks for United States dollar deposits for a period of one month in
amounts approximately equal to the principal amount of the Reference Notes then
outstanding. If no quotation can be obtained, then LIBOR will be the rate for
the prior Floating Rate Payer Payment Date.
"Reference Note Balance": as of the Effective Date, $553,000,000 and,
with respect to each Distribution Date thereafter, the aggregate principal
balance of any and all outstanding Reference Notes.
A - 1
"Seller": Capital Auto Receivables, Inc., which has executed the Trust
Sale and Servicing Agreement as the Seller, or its successor in interest
pursuant to Section 3.03 of the Trust Sale and Servicing Agreement.
"Trust Sale and Servicing Agreement": the Trust Sale and Servicing
Agreement, dated as of the date hereof between the Seller, General Motors
Acceptance Corporation, as Servicer, and the Trust, as amended, modified and
supplemented from time to time in accordance with its terms.
A - 2
EXHIBIT B
"Contingent Party": the Offsetting Counterparty or the Replacement
Offsetting Counterparty, as applicable.
"Fallback Swap Transaction": the swap transaction entered into by the
Trust and Offsetting Counterparty relating to the Class A-1 Notes.
"Joint Probability": the Moody's Joint Probability or the S&P Joint
Probability, as applicable.
"Moody's": Xxxxx'x Investors Service, Inc. and its successors.
"Moody's Joint Probability" means the joint probability determined by
Moody's of the long-term likelihood of payment under this interest rate swap
determined by locating the intersection of the long-term unsecured debt ratings
of the Primary Party and the Contingent Party on the table below headed "Implied
Joint Support Rating for Medium Correlation Case" (except that, for any pairing
other than the initial Primary Party with the initial Contingent Party, the
table below to be used shall be the table headed "Implied Joint Support Rating
for Low Correlation Case" or the table headed "Implied Joint Support Rating for
High Correlation Case" if so specified by Moody's within five days after Moody's
has received notice of a potential pairing of a Primary Party with a Contingent
Party).
IMPLIED JOINT SUPPORT RATING FOR HIGH CORRELATION CASE
Rating of the Higher Rated Party
--------------------------------------------------------------------------------------------------------
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
--------------------------------------------------------------------------------------------------------
Rating Xxx Xxx
of --------------------------------------------------------------------------------------------------------
the Aa1 Xxx Xxx
Xxxxx --------------------------------------------------------------------------------------------------------
Rated Aa2 Xxx Xxx Aa1
Party --------------------------------------------------------------------------------------------------------
Aa3 Aaa Aaa Aa1 Aa2
--------------------------------------------------------------------------------------------------------
A1 Aaa Aaa Aa1 Aa2 Aa3
--------------------------------------------------------------------------------------------------------
A2 Aaa Aaa Aa1 Aa2 Aa3 A1
--------------------------------------------------------------------------------------------------------
A3 Aaa Aaa Aa1 Aa2 Aa3 A1 A2
--------------------------------------------------------------------------------------------------------
Baa1 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3
--------------------------------------------------------------------------------------------------------
Baa2 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1
--------------------------------------------------------------------------------------------------------
Baa3 Xxx Xxx Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2
--------------------------------------------------------------------------------------------------------
Ba1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1
--------------------------------------------------------------------------------------------------------
Ba2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2
--------------------------------------------------------------------------------------------------------
Ba3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3
--------------------------------------------------------------------------------------------------------
B1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1
--------------------------------------------------------------------------------------------------------
B2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2
--------------------------------------------------------------------------------------------------------
B3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3
--------------------------------------------------------------------------------------------------------
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
--------------------------------------------------------------------------------------------------------
B - 1
IMPLIED JOINT SUPPORT RATING FOR MEDIUM CORRELATION CASE
Rating of the Higher Rated Party
--------------------------------------------------------------------------------------------------------
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
--------------------------------------------------------------------------------------------------------
Rating Xxx Xxx
of --------------------------------------------------------------------------------------------------------
the Aa1 Aaa Aaa
Lower --------------------------------------------------------------------------------------------------------
Rated Aa2 Aaa Aaa Aa1
Partyg --------------------------------------------------------------------------------------------------------
Aa3 Aaa Aaa Aa1 Aa1
--------------------------------------------------------------------------------------------------------
A1 Aaa Aaa Aa1 Aa1 Aa1
--------------------------------------------------------------------------------------------------------
A2 Aaa Aaa Aa1 Aa1 Aa2 Aa2
--------------------------------------------------------------------------------------------------------
A3 Aaa Aaa Aa1 Aa1 Aa2 Aa2 Aa3
--------------------------------------------------------------------------------------------------------
Baa1 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2
--------------------------------------------------------------------------------------------------------
Baa2 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3
--------------------------------------------------------------------------------------------------------
Baa3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2
--------------------------------------------------------------------------------------------------------
Ba1 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3
--------------------------------------------------------------------------------------------------------
Ba2 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Ba1 Ba1
--------------------------------------------------------------------------------------------------------
Ba3 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba2
--------------------------------------------------------------------------------------------------------
IMPLIED JOINT SUPPORT RATING FOR LOW CORRELATION CASE
Rating of the Higher Rated Party
-------------------------------------------------------------------------------------------------------
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
-------------------------------------------------------------------------------------------------------
Rating Aaa Aaa
of -------------------------------------------------------------------------------------------------------
the Aa1 Aaa Aaa
Lower -------------------------------------------------------------------------------------------------------
Rated Aa2 Aaa Aaa Aaa
Party -------------------------------------------------------------------------------------------------------
Aa3 Aaa Aaa Aaa Aaa
-------------------------------------------------------------------------------------------------------
A1 Aaa Aaa Aaa Aaa Aaa
-------------------------------------------------------------------------------------------------------
A2 Aaa Aaa Aaa Aaa Aaa Aa1
-------------------------------------------------------------------------------------------------------
A3 Aaa Aaa Aaa Aaa Aaa Aa1 Aa2
-------------------------------------------------------------------------------------------------------
Baa1 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 Aa3
-------------------------------------------------------------------------------------------------------
Baa2 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 A1 A1
-------------------------------------------------------------------------------------------------------
Baa3 Xxx Xxx Xxx Xxx Xx0 Aa1 Aa3 A1 A1 Baa1
-------------------------------------------------------------------------------------------------------
Ba1 Aaa Aaa Aaa Aa1 Aa1 Aa2 A1 A1 A2 Baa1 Baa3
-------------------------------------------------------------------------------------------------------
Ba2 Aaa Aaa Aa1 Aa1 Aa1 Aa2 A1 A1 A2 Baa2 Baa3 Ba1
-------------------------------------------------------------------------------------------------------
Ba3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2 Baa3 Ba1 Ba2
-------------------------------------------------------------------------------------------------------
B1 Aaa Aa1 Aa1 Aa2 Aa3 Aa3 A1 A3 Baa1 Baa2 Ba1 Ba1 Ba2 Ba3
-------------------------------------------------------------------------------------------------------
B2 Aaa Aa1 Aa2 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba3 Ba3 B1
-------------------------------------------------------------------------------------------------------
B3 Aaa Aa1 Aa2 Aa3 A1 A1 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B1 B3
-------------------------------------------------------------------------------------------------------
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
-------------------------------------------------------------------------------------------------------
Notwithstanding the foregoing, in the event that under the Triparty Agreement
the Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
B - 2
2.02 of the Triparty Agreement, then the term "Xxxxx'x Joint Probability" shall
refer to the Offsetting Counterparty's long term senior unsecured credit rating
assigned by Xxxxx'x (and, for avoidance of doubt, the obligations of the
Counterparty specified in Section 4 of this Confirmation shall constitute
obligations of the Offsetting Counterparty).
"Offsetting Counterparty" means General Motors Acceptance Corporation
or any successor thereto ("GMAC") under the Fallback Swap Transactions entered
into between the Trust and GMAC.
"Primary Party": the Counterparty, unless a Substitute Swap Provider
has been obtained, in which case it shall be the Substitute Swap Provider or, if
applicable, a guarantor thereof.
"Rating Agency": each of S&P and Xxxxx'x.
"S&P": Standard & Poor's Ratings Services and its successors.
"S&P Joint Probability" means the joint probability determined by S&P
of the long-term likelihood of payment under the interest rate swap determined
by locating the intersection of the Counterparty's long term senior unsecured
debt rating and the Contingent Party's long-term senior unsecured debt rating in
the following table:
IMPLIED JOINT SUPPORT RATING
PRIMARY PARTY
-------------------------------------------------------------------------------------------------------------------
AAA AA+ AA AA- A+ A A- BBB+ BBB BBB-
-----------------------------------------------------------------------------------------------------
CONTINGENT AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
PARTY -----------------------------------------------------------------------------------------------------
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
-----------------------------------------------------------------------------------------------------
AA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+
-----------------------------------------------------------------------------------------------------
AA- AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA
-----------------------------------------------------------------------------------------------------
A+ AAA AAA AAA AA+ AA+ AA+ AA+ AA AA AA-
-----------------------------------------------------------------------------------------------------
A AAA AAA AAA AA+ AA+ AA AA AA- AA- A+
-----------------------------------------------------------------------------------------------------
A- AAA AAA AAA AA+ AA+ AA AA- A+ A+ A
-----------------------------------------------------------------------------------------------------
BBB+ AAA AAA AA+ AA+ AA AA- A+ A A A-
-----------------------------------------------------------------------------------------------------
BBB AAA AAA AA+ AA+ AA AA- A+ A A- BBB+
-----------------------------------------------------------------------------------------------------
BBB- AAA AAA AA+ AA AA- A+ A A- BBB+ BBB
-----------------------------------------------------------------------------------------------------
Notwithstanding the foregoing, (i) in the event that the long-term senior
unsecured debt rating of either the Primary Party or the Contingent Party is
rated below BBB- by S&P, then the S&P Joint Probability shall be the higher of
the then current long-term senior unsecured debt rating of the Primary Party and
the Contingent Party and (ii) in the event that under the Triparty Agreement the
Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
2.02 of the Triparty Agreement, then the term "S&P Joint Probability" shall
refer to the Offsetting Counterparty's long-term senior unsecured credit rating
assigned by S&P (and, for the avoidance of doubt, the obligations of the
Counterparty specified in Section 4 of this Confirmation shall constitute
obligations of the Offsetting Counterparty).
"Triparty Agreement": the Triparty Contingent Assignment Agreement
dated as of the Effective Date among the Trust, the Offsetting Counterparty and
the Counterparty.
B - 3
