EXHIBIT 99.5
June 20, 2007
Xxxxxx Brothers Special Financing Inc.
Transaction Management Group
000 Xxxxxxx Xxxxxx, 00xx Xxxxx
Xxx Xxxx, XX 00000
Attention: Confirmations Group
Lehman ref.: Global ID 3113968
RE: Confirmation of Primary Basis Swap Relating to the Series 2007-1 Class A
Notes
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and
conditions of the Swap Transaction (the "Primary Basis Swap") entered into
between Xxxxxx Brothers Special Financing Inc. (the "Counterparty") and SWIFT
Master Auto Receivables Trust (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 June 20, 2007. 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 Series 2007-1 Class A 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: Rate Swap Transaction.
Notional Amount: $1,786,000,000 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 Payment 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: June 13, 2007.
Effective Date: June 20, 2007.
Termination Date: The earlier of the close of business on (i) June 15, 2012
(or if such day is not a good Business Day, the next succeeding Business
Day) and (ii) the Payment Date on which the Notional Amount is reduced to
zero.
Initial Distribution Date: July 16, 2007.
Floating Amounts:
Counterparty Floating Amount: With respect to any Payment Date, the
amount equal to the product of (a) the Notional Amount for the related
Calculation Period, (b) USD One-Month LIBOR plus the Spread for such
Calculation Period, and (c) the actual number of days in such
Calculation Period, divided by 360.
Trust Floating Amount: With respect to any Payment Date, the amount
equal to the product of (a) the Notional Amount for the related
Calculation Period, (b) the Prime Rate for such Calculation Period,
and (c) the actual number of days in such Calculation Period, divided
by 360.
Reset Date: Each Payment Date, commencing on and including the
Effective Date to but excluding the Termination Date.
Spread: 2.88%
Compounding: Inapplicable.
Payment Dates: Each Distribution Date.
Business Days for Payment: New York (New York), Detroit (Michigan) and
Chicago (Illinois).
Calculation Agent: The Trust, or GMAC LLC, 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 Counterparty Floating Amount and the
Trust Floating Amount due on the immediately following Payment Date and the
Calculation Agent shall notify the Counterparty and the Trust in writing of
such amounts.
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 in
writing the ratings of the Reference Notes and the Other Securities that
were in effect immediately prior to such reduction) the Counterparty shall
at its own cost within thirty (30) days 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 acceptable to the Trust,
such acceptance to be deemed to exist unless the Indenture Trustee
provides a reasonable basis for objection to such Substitute Swap
Provider within two (2) Business Days of receipt of notice from the
Counterparty, 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
2
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) post collateral pursuant to the ISDA Credit Support Annex ("CSA")
hereto; 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 Counterparty shall promptly notify the Trust (and any permitted
assignee or transferee of the Trust) and the Offsetting Counterparty of
such event and (unless, within thirty (30) days after such reduction the
applicable Rating Agency has reconfirmed in writing the ratings of the
Reference Notes and the Other Securities that were in effect immediately
prior to such reduction) the Counterparty shall at its own cost within
thirty (30) days 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
Probability, obtain a Substitute Swap Provider acceptable to the Trust,
such acceptance to be deemed to exist unless the Indenture Trustee provides
a basis for objection to such Substitute Swap Provider within two (2)
Business Days of receipt of notice from the Counterparty, 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, and such failure is not waived by the
holders of not less than a majority of the Outstanding Amount of the Notes,
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 the Counterparty: [On File]
Payments to the Trust: [On File]
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 to declare an Event of Default for nonpayment, 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
3
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 Transaction 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 Confirmation is executed and delivered by HSBC
Bank USA, National Association, 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 HSBC Bank
USA, National Association but is made and intended for the purpose of
binding only the Trust, (c) nothing herein contained shall be construed as
creating any liability on HSBC Bank USA, National Association, 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 HSBC Bank USA, National
Association 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 Confirmation 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.
****
4
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.
XXXXX MASTER AUTO RECEIVABLES TRUST
By: HSBC BANK USA, NATIONAL ASSOCIATION,
not in its individual capacity but
solely as Owner Trustee
By: /s/ Xxxxx Xxxxx
------------------------------------
Name: Xxxxx Xxxxx
Title: Assistant Vice President
Accepted and confirmed as
of the date first written above:
Xxxxxx Brothers Special Financing Inc.
By: /s/ Xxxxxxx Xxxxxx
---------------------------------
Name: Xxxxxxx Xxxxxx
Title: Authorized Signatory
Acknowledged and agreed as
of the date first written above:
GMAC LLC, solely as Calculation Agent
By: /s/ Xxxxxx X. Xxxxxxx
---------------------------------
Name: Xxxxxx X. Xxxxxxx
Title: Director - US and Int'l
Funding Group
SWIFT Master Primary Basis Swap Confirmation
for Series 2007-1 Class A Notes
EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
"Calculation Period": means, with respect to each party hereunder,
each period from, and including one Payment Date of that party to, but
excluding, the next following Payment Date of that party during the Term of the
Swap Transaction, except that the initial Calculation Period for that party will
commence on, and include, the Effective Date.
"Collection Period": means, with respect to any Distribution Date or
Payment Date, the calendar month preceding the month in which such Distribution
Date or Payment Date occurs; provided, however, that for the Initial
Distribution Date, the related Collection Period shall include only that portion
of the preceding calendar month occurring on and after the Effective Date.
"Depositor": Wholesale Auto Receivables LLC, which has executed the
Trust Sale and Servicing Agreement as the Depositor, or its successor in
interest pursuant to Section 3.3 of the Trust Sale and Servicing Agreement.
"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 on the
Initial Distribution Date. A Distribution Date is related to the Collection
Period prior to the Collection Period in which such Distribution Date occurs.
"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": The Bank of New York Trust Company, N.A., not in
its individual capacity but solely as trustee under the Indenture, or any
successor trustee under the Indenture.
"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": Series 2007-1 Class B Notes, Series 2007-1 Class C
Notes, Series 2007-1 Class D Notes and Series 2007-1 Class E Notes issued by the
Trust.
"Preceding Semi-Monthly Period": with respect to a Calculation Period,
means the Semi-Monthly Period in the preceding calendar month corresponding to
the Semi-Monthly Period in which such Calculation Period occurs (so that, e.g.,
the Preceding Semi-Monthly Period for the May 31 Calculation Period is the
Semi-Monthly Period from April 16 through April 30).
"Prime Rate": with respect to a Calculation Period, means the interest
rate designated by GMAC LLC to its dealers as the effective "prime rate" during
the Preceding Semi-Monthly Period, which rate is based on the "prime rate" or
"corporate base rate" announced by certain financial institutions selected by
GMAC LLC immediately prior to such Preceding Semi-Monthly Period.
"Reference Bank Rate": means for any Calculation Period for any
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
related to such 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
Exh. A-1
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 USD One-Month LIBOR will be the rate for the prior Calculation
Period.
"Reference Note Balance": as of the Effective Date, $1,786,000,000
and, with respect to each Distribution Date thereafter, the aggregate principal
balance of any and all outstanding Reference Notes.
"Semi-Monthly Period": means either the period from the first day of a
calendar month through the fifteenth day of such calendar month or the period
from the sixteenth day of a calendar month through the final day of such
calendar month.
"Trust Sale and Servicing Agreement": the Trust Sale and Servicing
Agreement, dated as of the date hereof among the Depositor, GMAC LLC, as
Servicer, and the Trust, as amended, modified and supplemented from time to time
in accordance with its terms.
"USD One-Month LIBOR": means for any Calculation Period with respect
to each Payment Date, the rate for deposits in U.S. Dollars for a period of one
month which appears on the Reuters Telerate 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 Payment Date (or, in the case of the initial
Payment Date, two LIBOR Business Days prior to the Effective Date). If the rate
does not appear on that date on the Reuters Telerate 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 Depositor), then LIBOR will be the Reference Bank Rate.
Exh. 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 Series 2007-1 Class A 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 rate swap transaction
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
Lower Rated Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
----------------- --- --- --- --- --- -- -- ---- ---- ---- --- --- --- -- -- -- ---
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
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 Aaa Aaa 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
Exh. B-1
IMPLIED JOINT SUPPORT RATING FOR MEDIUM CORRELATION CASE
Rating of the Higher Rated Party
Rating of the ----------------------------------------------------------------------------------------------------
Lower Rated Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
----------------- --- --- --- --- --- --- --- ---- ---- ---- ---- --- --- -- -- -- ---
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
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
Rating of the -----------------------------------------------------------------------------------------------------
Lower Rated Party Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
----------------- --- --- --- --- --- --- --- ---- ---- ---- ---- --- --- --- -- -- ---
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aaa
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 Aaa Aaa Aaa Aaa Aa1 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
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
Exh. B-2
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 GMAC LLC or any successor thereto
("GMAC") under the Fallback Swap Transaction 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 rate swap transaction
determined by locating the intersection of the Primary Party's long term senior
unsecured debt rating and the Contingent Party's long term senior unsecured debt
rating in the table below headed "Medium Correlation Reference Table" (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 "Low
Correlation Reference Table" or the table headed "High Correlation Reference
Table" if so specified by S&P within five days after S&P has received notice of
a potential pairing of a Primary Party with a Contingent Party).
IMPLIED JOINT SUPPORT RATING
High Correlation Reference Table
AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
--- --- --- --- --- --- --- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+
AA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA AA AA AA AA AA AA AA AA AA
AA- AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA- AA- AA- AA- AA- AA- AA- AA- AA- AA-
A+ AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA- AA- A+ A+ A+ A+ A+ A+ A+ A+ A+
A AAA AAA AAA AAA AAA AA+ AA+ AA AA AA- A+ A+ A A A A A A A A
A- AAA AAA AAA AAA AA+ AA+ AA+ AA AA- A+ A A A- A- A- A- A- A- A- A-
BBB+ AAA AAA AA+ AA+ AA+ AA AA AA- A+ A A- A- A- BBB+ BBB+ BBB+ BBB+ BBB+ BBB+ BBB+
BBB AAA AA+ AA+ AA+ AA AA AA- A+ A A- A- BBB+ BBB+ BBB+ BBB BBB BBB BBB BBB BBB
BBB- AAA AA+ AA AA AA- AA- A+ A A- BBB+ BBB+ BBB BBB BBB BBB BBB- BBB- BBB- BBB- BBB-
BB+ AAA AA+ AA AA- AA- A+ A A- A- BBB+ BBB+ BBB BBB BBB BBB- BBB- BB+ BB+ BB+ BB+
BB AAA AA+ AA AA- A+ A+ A A- BBB+ BBB BBB BBB BBB- BBB- BBB- BB+ BB BB BB BB
BB- AAA AA+ AA AA- A+ A A- A- BBB+ BBB BBB BBB- BBB- BB+ BB+ BB BB BB- BB- BB-
B+ AAA AA+ AA AA- A+ A A- BBB+ BBB+ BBB BBB BBB- BB+ BB+ BB BB BB- B+ B+ B+
B AAA AA+ AA AA- A+ A A- BBB+ BBB BBB BBB- BBB- BB+ BB BB BB- B+ B+ B B
B- AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BBB- BB+ BB BB BB- B+ B B B- B-
CCC+ AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB BB- B+ B B- B- CCC+ CCC+
CCC AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B+ B B- CCC+ CCC+ CCC
CCC- AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC+ CCC CCC-
D AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
Exh. B-3
Medium Correlation Reference Table
AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
--- --- --- --- --- --- --- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+
AA AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA AA AA AA AA AA AA AA AA
AA- AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA AA- AA- AA- AA- AA- AA- AA- AA- AA-
A+ AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA- AA- A+ A+ A+ A+ A+ A+ A+ A+
A AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA- AA- A+ A+ A A A A A A A
A- AAA AAA AAA AAA AAA AA+ AA+ AA+ AA AA- A+ A A A- A- A- A- A- A- A-
BBB+ AAA AAA AAA AA+ AA+ AA+ AA+ AA AA- A+ A A- A- A- BBB+ BBB+ BBB+ BBB+ BBB+ BBB+
BBB AAA AAA AA+ AA+ AA+ AA AA AA- A+ A A- A- BBB+ BBB+ BBB+ BBB BBB BBB BBB BBB
BBB- AAA AA+ AA+ AA AA AA- AA- A+ A A- BBB+ BBB+ BBB BBB BBB BBB BBB- BBB- BBB- BBB-
BB+ AAA AA+ AA AA AA- AA- A+ A A- BBB+ BBB+ BBB BBB BBB BBB- BBB- BBB- BB+ BB+ BB+
BB AAA AA+ AA AA- AA- A+ A A- A- BBB+ BBB BBB BBB BBB- BBB- BB+ BB+ BB BB BB
BB- AAA AA+ AA AA- A+ A+ A A- BBB+ BBB BBB BBB BBB- BBB- BB+ BB BB BB- BB- BB-
B+ AAA AA+ AA AA- A+ A A- A- BBB+ BBB BBB BBB- BBB- BB+ BB BB BB- BB- B+ B+
B AAA AA+ AA AA- A+ A A- BBB+ BBB+ BBB BBB- BBB- BB+ BB BB BB- B+ B+ B B
B- AAA AA+ AA AA- A+ A A- BBB+ BBB BBB BBB- BB+ BB BB BB- B+ B B B- B-
CCC+ AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BBB- BB+ BB BB- B+ B B- B- CCC+ CCC+
CCC AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- BB- B+ B B- CCC+ CCC+ CCC
CCC- AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC+ CCC CCC-
D AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
Low Correlation Reference Table
AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
--- --- --- --- --- --- --- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+ AA+
AA AAA AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+ AA AA AA AA AA AA AA AA
AA- AAA AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA AA- AA- AA- AA- AA- AA- AA-
A+ AAA AAA AAA AAA AAA AAA AAA AAA AA+ AA AA AA AA- AA- A+ A+ A+ A+ A+ A+
A AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA AA- AA- A+ A A A A A A
A- AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA AA- A+ A+ A A A- A- A- A- A-
BBB+ AAA AAA AAA AAA AAA AA+ AA+ AA+ AA A+ A+ A A- A- A- BBB+ BBB+ BBB+ BBB+ BBB+
BBB AAA AAA AAA AAA AA+ AA+ AA+ AA AA- A A A- A- BBB+ BBB+ BBB+ BBB BBB BBB BBB
BBB- AAA AAA AA+ AA+ AA AA AA A+ A A- A- BBB+ BBB+ BBB BBB BBB BBB- BBB- BBB- BBB-
BB+ AAA AAA AA+ AA+ AA AA AA- A+ A A- BBB+ BBB+ BBB BBB BBB BBB- BBB- BB+ BB+ BB+
BB AAA AA+ AA+ AA AA AA- A+ A A- BBB+ BBB+ BBB BBB BBB BBB- BBB- BB+ BB BB BB
BB- AAA AA+ AA AA AA- AA- A+ A- A- BBB+ BBB BBB BBB- BBB- BB+ BB+ BB BB BB- BB-
B+ AAA AA+ AA AA- AA- A+ A A- BBB+ BBB BBB BBB BBB- BB+ BB+ BB BB- BB- B+ B+
B AAA AA+ AA AA- A+ A A A- BBB+ BBB BBB BBB- BB+ BB+ BB BB- B+ B+ B B
B- AAA AA+ AA AA- A+ A A- BBB+ BBB+ BBB BBB- BBB- BB+ BB BB- BB- B B B- B-
CCC+ AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BBB- BB+ BB BB- B+ B B- B- CCC+ CCC+
CCC AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB BB- B+ B B- CCC+ CCC+ CCC
CCC- AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC+ CCC CCC-
D AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- D
"Triparty Agreement": the Triparty Contingent Assignment Agreement
dated as of the Effective Date among the Trust, the Offsetting Counterparty and
the Counterparty.
Exh. B-4
