EXHIBIT 10
ISDA[R]
International Swaps and Derivatives Association, Inc.
NOVATION AGREEMENT
dated as of 26 July 2007 among:
Permanent Master Issuer PLC (the "REMAINING PARTY"),
The Bank of New York (the "SECURITY TRUSTEE"),
Credit Suisse (USA), Inc. (the "TRANSFEROR"),
and
Credit Suisse, London Branch (the "Transferee").
The Transferor and the Remaining Party have entered into five currency swap
transactions (each, an "OLD TRANSACTION"), each evidenced by a confirmation
dated March 1, 2007 between the Transferor, the remaining Party and the
Security Trustee (each, an "OLD CONFIRMATION") and subject to an ISDA Master
Agreement dated 21 February 2007 between the Transferor, the remaining Party
and the Security Trustee (each, an "OLD AGREEMENT").
With effect from and including 26 July 2007 (the "NOVATION DATE") the
Transferor wishes to transfer by novation to the Transferee, and the Transferee
wishes to accept the transfer by novation of, all the rights, liabilities,
duties and obligations of the Transferor under and in respect of each Old
Transaction, with the effect that the Remaining Party and the Transferee enter
into a new transaction for each Old Transaction (each, a "NEW TRANSACTION") and
a new ISDA Master Agreement (including a related ISDA Credit Support Annex) in
respect of each such New Transaction (each, a "NEW AGREEMENT"). The terms of
each New Transaction will be identical to those set out in the five
Confirmations attached in Annex I (each, a "NEW CONFIRMATION"), and the terms
of each New Agreement will be in the form of the printed form of the 1992 ISDA
Master Agreement (Multicurrency -- Cross Border), as supplemented by a schedule
in the form attached in Annex II (a), (b), (c), (d) or (e), as applicable, and
the printed form of the 1995 ISDA Credit Support Annex (English Law), as
supplemented by a Paragraph 11 in the form attached in Annex II (f), (g), (h),
(i) or (j), as applicable. Each New Confirmation and each New Agreement shall
be deemed to have been entered into between the Remaining Party, the Security
Trustee and the Transferee, and each New Confirmation shall be deemed to be
subject to the New Agreement identified as relating to the corresponding
Relevant Notes.
Accordingly, the parties agree as follows:
1. DEFINITIONS.
Terms defined in the ISDA Master Agreement (Multicurrency -- Cross Border)
as published in 1992 by the International Swaps and Derivatives
Association, Inc., (the "1992 ISDA MASTER AGREEMENT") are used herein as
so defined, unless otherwise provided herein.
1
2. TRANSFER, RELEASE, DISCHARGE AND UNDERTAKINGS.
With effect from and including the Novation Date and in consideration of
the mutual representations, warranties and covenants contained in this
Novation Agreement and other good and valuable consideration (the receipt
and sufficiency of which are hereby acknowledged by each of the parties):
(a) the Remaining Party, the Security Trustee and the Transferor are
each released and discharged from further obligations to each other
with respect to each Old Transaction and each Old Agreement and
their respective rights against each other thereunder are cancelled,
provided that such release and discharge shall not affect any
rights, liabilities or obligations of the Remaining Party, the
Security Trustee or the Transferor with respect to payments or other
obligations due and payable or due to be performed on or prior to
the Novation Date, and all such payments and obligations shall be
paid or performed by the Remaining Party, the Security Trustee or the
Transferor in accordance with the terms of each Old Transaction and
each Old Agreement; and
(b) in respect of each New Transaction and each New Agreement, the
Remaining Party, the Security Trustee and the Transferee each
undertakes liabilities and obligations towards the other and
acquires rights against each other identical in their terms to each
Old Transaction and each Old Agreement (and, for the avoidance of
doubt, as if the Transferee were the Transferor and with the
Remaining Party remaining the Remaining Party and the Security
Trustee remaining the Security Trustee, save for any rights,
liabilities or obligations of the Remaining Party, the Security
Trustee, or the Transferor with respect to payments or other
obligations due and payable or due to be performed on or prior to
the Novation Date.)
3. REPRESENTATIONS AND WARRANTIES.
(a) On the date of this Novation Agreement and on the Novation Date:
(i) Each of the parties (other than the Security Trustee) makes to
each of the other parties those representations and warranties
set forth in Section 3(a) of the 1992 ISDA Master Agreement
with references in such Section to "this Agreement" or "any
Credit Support Document" being deemed references to this
Novation Agreement alone.
(ii) The Remaining Party and the Transferor each makes to the other,
and the Remaining Party and the Transferee each makes to the
other, the representation set forth in Section 3(b) of the 1992
ISDA Master Agreement, in each case with respect to each Old
Agreement or each New Agreement, as the case may be, and taking
into account the parties entering into and performing their
obligations under this Novation Agreement.
(iii)The Transferor and the Remaining Party each represents and
warrants to each other and to the Transferee that, as of the
Novation Date, all obligations of the Transferor and the
Remaining Party under or in respect of each Old Transaction
that are required to be performed on or before the Novation
Date have been fulfilled.
(b) The Transferor makes no representation or warranty and does not
assume any responsibility with respect to the legality, validity,
effectiveness, adequacy or enforceability of any New Transaction or
any New Agreement or any documents relating thereto and assumes no
responsibility for the condition, financial or otherwise, of the
Remaining Party, the Security Trustee, the Transferee or any other
person or for the performance and observance by the Remaining
Party, the Security Trustee, the Transferee or any other person of
any obligation under any New Transaction or any New Agreement or
any document relating thereto and any and all such conditions and
warranties, whether express or implied by law or otherwise, are
hereby excluded
2
4. COUNTERPARTS.
This Novation Agreement (and each amendment, modification and waiver in
respect of it) may be executed and delivered in counterparts (including by
facsimile transmission), each of which will be deemed an original.
5. COSTS AND EXPENSES.
The Transferor will pay all the costs and expenses (including reasonable
legal fees) incurred by each of the Remaining Party, the Security Trustee,
the Transferor and the Transferee in connection with this Novation
Agreement and as a result of the negotiation, preparation and execution of
this Novation Agreement.
6. AMENDMENTS.
No amendment, modification or waiver in respect of this Novation Agreement
will be effective unless in writing (including writing evidenced by a
facsimile transmission) and executed by each of the parties or confirmed
by an exchange of telexes or electronic messages on an electronic
messaging system.
7. (a) GOVERNING LAW.
This Novation Agreement will be governed by and construed in
accordance with the laws of England.
(b) JURISDICTION.
The terms of Section 13(b) of the 1992 ISDA Master Agreement shall
apply to this Novation Agreement with references in such Section to
"this Agreement" being deemed references to this Novation Agreement
alone.
3
IN WITNESS WHEREOF the parties have executed this Novation Agreement on the
respective dates specified below with effect from and including the date
specified on the first page of this document.
............................ .........................
PERMANENT MASTER ISSUER PLC CREDIT SUISSE (USA), INC.
By:........................ By:......................
Name: Name:
Title: Title:
Date: Date:
............................ ............................
THE BANK OF NEW YORK CREDIT SUISSE, LONDON BRANCH
as Security Trustee
By:........................ By:.........................
Name: Name:
Title: Title:
Date: Date:
4
ANNEX I
(Forms of 5 Confirmations)
SERIES 1 CLASS A
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 1 CLASS A DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 1 Class A) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes:
Series 1 Class A Notes
Trade Date: 26 July 2007
5
Effective Date: 1 March 2007
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in January 2008 and
(ii) the date on which all of the Relevant
Notes are redeemed in full except
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95248 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: The 15th day of each month from and
including 15 April 2007 up to and
including the Termination Date, provided
that upon the occurrence of a Pass-Through
Trigger Event, the Party A Payment Date
shall occur on each Quarterly Interest
Payment Date from and including the first
Quarterly Interest Payment following the
occurrence of such Pass-Through Trigger
Event up to and including the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, One-Month USD-LIBOR determined in
respect of the first day of such Party A
Calculation Period.
Spread: -0.02 per cent.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
6
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
Spread: -0.025per cent.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 512,170,000
Party B Initial
Exchange Amount: USD 1,000,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management Agreement to pay
the Party B Final Exchange Amount in full
on the Final Exchange Date and accordingly
pays
7
only a part of the Party B Final Exchange
Amount to Party A on such date, Party A
will be obliged on such date to deliver
only the Dollar equivalent of such part of
the Party B Final Exchange Amount,
converted by reference to the Currency
Exchange Rate.
2. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX: 000000000
Favour: Credit Suisse, London Branch
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAH39
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAH39
8
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
3. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
4. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
9
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
10
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
11
SERIES 1 CLASS B
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 1 CLASS B DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 1 Class B) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 1 Class B Notes
Trade Date: 26 July 2007
12
Effective Date: 1 March 2007
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in July 2042 and (ii)
the date on which all of the Relevant
Notes are redeemed in full except (A)
pursuant to Condition 5(F) (Redemption or
Purchase for Implementation of EU Capital
Requirements Directive) of the terms and
conditions of the Relevant Notes and (B)
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95188 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, Three-Month USD-LIBOR determined
in respect of the first day of such Party
A Calculation Period.
Spread: 0.05 per cent. for Party A Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.10 per cent. thereafter.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
13
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
Spread: 0.0583 per cent. for Party B Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.3666 per cent. thereafter.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 22,030,000
Party B Initial
Exchange Amount: USD 43,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management
14
Agreement to pay the Party B Final
Exchange Amount in full on the Final
Exchange Date and accordingly pays only a
part of the Party B Final Exchange Amount
to Party A on such date, Party A will be
obliged on such date to deliver only the
Dollar equivalent of such part of the
Party B Final Exchange Amount, converted
by reference to the Currency Exchange
Rate.
2. Deferral of Floating Amounts:
If any payment of interest under the Relevant Notes is deferred in
accordance with the terms and conditions of the Relevant Notes, a
corresponding part as determined by the Calculation Agent of the Party A
Floating Amount and a pro rata part as determined by the Calculation
Agent of the Party B Floating Amount which, in each case, would otherwise
be due in respect of the relevant Quarterly Interest Payment Date will be
deferred.
The amount deferred of the Party A Floating Amount will be payable on the
next Party A Payment Date subject to further deferral (together with an
additional floating amount which shall be accrued thereon as determined
by the Calculation Agent at the applicable Party A Floating Rate
(excluding the Spread)) and the Party A Floating Amount due on such date
will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
will be deemed to include such amounts.
On any subsequent occasion if any payment of interest under the Relevant
Notes is deferred (including any payment of a previous shortfall of
interest or any payment of interest on such shortfall) in accordance with
the terms and conditions of the Relevant Notes, all or a corresponding
part as determined by the Calculation Agent of the Party A Floating
Amount and a pro rata part as determined by the Calculation Agent of the
Party B Floating Amount will be deferred.
The amount so deferred on the Party A Floating Amount will be payable on
the next Party A Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party A Floating
Rate (excluding the Spread)) and the Party A Floating Amount due on such
date will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
date will be deemed to include such amounts.
3. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX:000000000
Favour: Credit Suisse, London Branch
15
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAM24
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAM24
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
4. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
16
5. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention:
The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
17
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
18
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
19
SERIES 1 CLASS C
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 1 CLASS C DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 1 Class C) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 1 Class C Notes
Trade Date: 26 July 2007
Effective Date: 1 March 2007
20
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in July 2042 and (ii)
the date on which all of the Relevant
Notes are redeemed in full except (A)
pursuant to Condition 5(F) (Redemption or
Purchase for Implementation of EU Capital
Requirements Directive) of the terms and
conditions of the Relevant Notes and (B)
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95188 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, Three-Month USD-LIBOR determined
in respect of the first day of such Party
A Calculation Period.
Spread: 0.17 per cent. for Party A Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in Januart
2013 and 0.34 per cent. thereafter.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
21
Spread: 0.2001 per cent. for Party B Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.6502 per cent. thereafter.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 22,030,000
Party B Initial
Exchange Amount: USD 43,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management Agreement to pay
the Party B Final Exchange Amount in full
on the Final Exchange Date and accordingly
pays only a part of the Party B Final
Exchange Amount to
22
Party A on such date, Party A will be
obliged on such date to deliver only the
Dollar equivalent of such part of the
Party B Final Exchange Amount, converted
by reference to the Currency Exchange
Rate.
2. Deferral of Floating Amounts:
If any payment of interest under the Relevant Notes is deferred in
accordance with the terms and conditions of the Relevant Notes, a
corresponding part as determined by the Calculation Agent of the Party A
Floating Amount and a pro rata part as determined by the Calculation
Agent of the Party B Floating Amount which, in each case, would otherwise
be due in respect of the relevant Quarterly Interest Payment Date will be
deferred.
The amount deferred of the Party A Floating Amount will be payable on the
next Party A Payment Date subject to further deferral (together with an
additional floating amount which shall be accrued thereon as determined
by the Calculation Agent at the applicable Party A Floating Rate
(excluding the Spread)) and the Party A Floating Amount due on such date
will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
will be deemed to include such amounts.
On any subsequent occasion if any payment of interest under the Relevant
Notes is deferred (including any payment of a previous shortfall of
interest or any payment of interest on such shortfall) in accordance with
the terms and conditions of the Relevant Notes, all or a corresponding
part as determined by the Calculation Agent of the Party A Floating
Amount and a pro rata part as determined by the Calculation Agent of the
Party B Floating Amount will be deferred.
The amount so deferred on the Party A Floating Amount will be payable on
the next Party A Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party A Floating
Rate (excluding the Spread)) and the Party A Floating Amount due on such
date will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
date will be deemed to include such amounts.
3. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX: 000000000
Favour: Credit Suisse, London Branch
23
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAN07
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAN07
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
4. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
24
5. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention:
Global Structured Finance
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
25
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
26
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
27
SERIES 1 CLASS C
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 1 CLASS C DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 1 Class C) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 1 Class C Notes
Trade Date: 26 July 2007
Effective Date: 1 March 2007
28
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in July 2042 and (ii)
the date on which all of the Relevant
Notes are redeemed in full except (A)
pursuant to Condition 5(F) (Redemption or
Purchase for Implementation of EU Capital
Requirements Directive) of the terms and
conditions of the Relevant Notes and (B)
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95188 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, Three-Month USD-LIBOR determined
in respect of the first day of such Party
A Calculation Period.
Spread: 0.17 per cent. for Party A Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in Januart
2013 and 0.34 per cent. thereafter.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
29
Spread: 0.2001 per cent. for Party B Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.6502 per cent. thereafter.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 22,030,000
Party B Initial
Exchange Amount: USD 43,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management Agreement to pay
the Party B Final Exchange Amount in full
on the Final Exchange Date and accordingly
pays only a part of the Party B Final
Exchange Amount to
30
Party A on such date, Party A will be
obliged on such date to deliver only the
Dollar equivalent of such part of the
Party B Final Exchange Amount, converted
by reference to the Currency Exchange
Rate.
2. Deferral of Floating Amounts:
If any payment of interest under the Relevant Notes is deferred in
accordance with the terms and conditions of the Relevant Notes, a
corresponding part as determined by the Calculation Agent of the Party A
Floating Amount and a pro rata part as determined by the Calculation
Agent of the Party B Floating Amount which, in each case, would otherwise
be due in respect of the relevant Quarterly Interest Payment Date will be
deferred.
The amount deferred of the Party A Floating Amount will be payable on the
next Party A Payment Date subject to further deferral (together with an
additional floating amount which shall be accrued thereon as determined
by the Calculation Agent at the applicable Party A Floating Rate
(excluding the Spread)) and the Party A Floating Amount due on such date
will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
will be deemed to include such amounts.
On any subsequent occasion if any payment of interest under the Relevant
Notes is deferred (including any payment of a previous shortfall of
interest or any payment of interest on such shortfall) in accordance with
the terms and conditions of the Relevant Notes, all or a corresponding
part as determined by the Calculation Agent of the Party A Floating
Amount and a pro rata part as determined by the Calculation Agent of the
Party B Floating Amount will be deferred.
The amount so deferred on the Party A Floating Amount will be payable on
the next Party A Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party A Floating
Rate (excluding the Spread)) and the Party A Floating Amount due on such
date will be deemed to include such amounts.
The amount so deferred on the Party B Floating Amount will be payable on
the next Party B Payment Date subject to further deferral (together with
an additional floating amount which shall be accrued thereon as
determined by the Calculation Agent at the applicable Party B Floating
Rate (excluding the Spread)) and the Party B Floating Amount due on such
date will be deemed to include such amounts.
3. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX: 000000000
Favour: Credit Suisse, London Branch
31
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAN07
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAN07
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
4. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
32
5. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
33
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
34
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
35
SERIES 2 CLASS A1
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 2 CLASS A1 DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 2 Class A1) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 2 Class A1 Notes
Trade Date: 26 July 2007
Effective Date: 1 March 2007
36
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in January 2016 and
(ii) the date on which all of the Relevant
Notes are redeemed in full except
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95249 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, Three-Month USD-LIBOR determined
in respect of the first day of such Party
A Calculation Period.
Spread: 0.05 per cent. for Party A Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.10 per cent. thereafter.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
37
Spread: 0.0708 per cent. for Party B Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.3916 per cent. thereafter.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 768,250,000
Party B Initial
Exchange Amount: USD 1,500,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date:
Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management Agreement to pay
the Party B Final Exchange Amount in full
on the Final Exchange Date and accordingly
pays only a part of the Party B Final
Exchange Amount to Party A on such date,
Party A will be obliged on such
38
date to deliver only the Dollar equivalent
of such part of the Party B Final Exchange
Amount, converted by reference to the
Currency Exchange Rate.
2. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX: 000000000
Favour: Credit Suisse, London Branch
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAJ94
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAJ94
39
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
3. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
4. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
40
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
41
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
42
SERIES 2 CLASS A2
From: Credit Suisse, London Branch
To: Permanent Master Issuer PLC
00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
To: Xxx Xxxx xx Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
26 July 2007
Dear Sirs,
CONFIRMATION - SERIES 2 CLASS A2 DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 2 Class A2) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 26 July
2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction
Schedule (the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse, London Branch
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 2 Class A2 Notes
Trade Date: 26 July 2007
Effective Date: 1 March 2007
43
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in January 2016 and
(ii) the date on which all of the Relevant
Notes are redeemed in full except
following delivery of a Note Acceleration
Notice on Party B in relation to the
Relevant Notes.
Currency Exchange Rate: 1.95248 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the first day of such
Calculation Period (after taking into
account any redemption on such day).
Party A Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, Three-Month USD-LIBOR determined
in respect of the first day of such Party
A Calculation Period.
Spread: 0.05 per cent. for Party A Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.10 per cent. thereafter.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent
to the Party A Currency Amount for the
Party A Calculation Period commencing on
the first day of such Party B Calculation
Period converted by reference to the
Currency Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest
Payment Date falling in April 2007 up to
the Termination Date and the Termination
Date.
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in
respect of the first day of such Party B
Calculation Period.
44
Spread: 0.0708 per cent. for Party B Calculation
Periods commencing prior to the Quarterly
Interest Payment Date falling in January
2013 and 0.3916 per cent. thereafter.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 512,170,000
Party B Initial
Exchange Amount: USD 1,000,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date
(other than the Termination Date) on which
any of the Relevant Notes are redeemed in
whole or in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date,
an amount in Dollars equal to the
principal amount of the Relevant Notes
redeemed on such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to
the Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange Amount: An amount in Dollars equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange Amount: An amount in Sterling equal to the
principal amount outstanding of the
Relevant Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to
the Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the Master
Issuer Cash Management Agreement to pay
the Party B Final Exchange Amount in full
on the Final Exchange Date and accordingly
pays only a part of the Party B Final
Exchange Amount to
45
Party A on such date, Party A will be
obliged on such date to deliver only the
Dollar equivalent of such part of the
Party B Final Exchange Amount, converted
by reference to the Currency Exchange
Rate.
2. Account Details:
Payments to Party A Bank: The Bank of New York, New York
in Dollars:
Account Number: 000-0000-000
SWIFT: XXXXXX0X XXX: 000000000
Favour: Credit Suisse, London Branch
Payments to Party A Bank: HSBC Bank Plc, London
in Sterling:
SWIFT: XXXXXX00 CHAPS: 400515
Account Number: 00000000
Favour: Credit Suisse, London Branch
Payments to Party B Bank: Citibank, N.A., New York
in Dollars:
Credit Account: 00000000
New York Swift: XXXXXX00
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAK67
Payments to Party B Bank: The Governor and Company of the
in Sterling: Bank of Scotland
Account Number: 00000000
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAK67
46
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and conclusive discharge
of Party A's obligations to Party B in respect of such payment,
regardless of whether the Principal Paying Agent makes a payment in turn
to Party B. This will continue to be the case until Party B changes its
account in accordance with Section 2(b) of the Agreement.
3. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error,
incompleteness or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf,
will notify Party A of the amount of (a) any principal payments to be
made on the Relevant Notes on such Quarterly Interest Payment Date and
(b) any interest payments otherwise due to be made on such Quarterly
Interest Payment Date that will be deferred in accordance with the terms
and conditions of the Relevant Notes.
4. Notice Details:
Party A: Credit Suisse, London Branch
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: Head of OTC Operations - Operations
Department
Facsimile: x00 (00) 0000 0000
Party B: Permanent Master Issuer PLC
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
47
(ii) Halifax plc
Address: XX/0/0/XXX
Xxxxxxx Xxxx
Xxxxxxx
Xxxx Xxxxxxxxx
XX0 0XX
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
(iii) Credit Suisse, London Branch c/o
Address: Credit Suisse International
One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Attention: General Counsel Europe - Legal and
Compliance Department
Facsimile: x00 (00) 0000 0000
Attention: Head of Credit Risk Management
Facsimile: x00 (00) 0000 0000
Attention: Global Head of OTC Operations - Operations
Department.
Facsimile: x00 (00) 0000 0000
48
Yours faithfully,
CREDIT SUISSE, LONDON BRANCH
By:
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By:
Name:
Title:
THE BANK OF NEW YORK
By:
Name:
Title:
49
ANNEX II
(Forms of 5 Schedules, each deemed to be part of a 1992 ISDA Master Agreement
(Multicurrency -- Cross Border) and a 1995 ISDA Credit Support Annex (English
law))
(A)
SERIES 1 CLASS A
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 26 July 2007
between
(1) CREDIT SUISSE, LONDON BRANCH ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:--
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
and in relation to Party B for the purpose of:--
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
50
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of this
Schedule), proves to have been incorrect or misleading in any
material respect with respect to one or more Transactions (each an
"AFFECTED TRANSACTION" for the purpose of this Additional
Termination Event) when made or repeated or deemed to have been
made or repeated. For the purpose of the foregoing Termination
Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant to
Condition 5(F) (Optional Redemption or Purchase for Implementation
of EU Capital Requirements Directive) of the terms and conditions
thereof. For the purpose of the foregoing Termination Event: (A)
for the purpose of Section 6(b)(iv), both parties will be Affected
Parties; and (B) for the purpose of Section 6(e), the Affected
Party will be Party B only. The Additional Termination Event
specified in this paragraph will not apply in the ISDA Master
Agreements relating to Class A notes.
51
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this Agreement,
Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, of any Relevant Jurisdiction
to make any deduction or withholding for or on account of any Tax from
any payment (other than interest under Section 2(e), 6(d)(ii) or 6(e) of
this Agreement) to be made by it to the other party under this Agreement.
In making this representation, it may rely on (i) the accuracy of any
representations made by the other party pursuant to Section 3(f) of this
Agreement, (ii) the satisfaction of the agreement contained in Section
4(a)(i) or 4(a)(iii) of this Agreement and the accuracy and effectiveness
of any document provided by the other party pursuant to Section 4(a)(i)
or 4(a)(iii) of this Agreement and (iii) the satisfaction of the
agreement of the other party contained in Section 4(d) of this Agreement,
except that it will not be a breach of this representation where reliance
is placed on clause (ii) and the other party does not deliver a form or
document under Section 4(a)(iii) by reason of material prejudice to its
legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "Additional Tax
Representation"):
Party A either:
(i) will be resident for tax purposes in the United Kingdom; or
(ii) is entering into each Transaction solely for the purposes of a
trade (or part of a trade) carried on by it in the United Kingdom
through a permanent establishment; or
(iii) is resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement.
52
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and substance On signing of this No
satisfactory to Party B Agreement
Party B Legal opinions from Xxxxx & Xxxxx LLP On signing of this No
Agreement
Party A Credit Support Document in respect of On signing of this Yes
Party A specified in Part 4(f) of Agreement
this Schedule
53
PART 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as may
be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 00 Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
XXX
Attention: Xxx X. Xxxxx
Facsimile No.:x0 000 000 0000
Address for notices or communications to Party B:
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
Facsimile No.:020 7398 6325
With a copy to:(i) HBOS Treasury Services plc
Address: 00 Xxx Xxxxx Xxxxxx
Xxxxxx
XX0X 0XX
Attention: Senior Director, Securitisation
Facsimile No.:020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance -- Corporate Trust
Facsimile No.:020 7964 6061/6339
54
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent:
None.
Party B appoints as its Process Agent:
None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is a Multibranch Party and will act through the following
Offices: London.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A: The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B: None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement.
55
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and
will apply to Party A, provided that the application and interpretation of
Section 5(b)(ii) shall be restricted to a Change in Tax Law, as defined below,
as a result of which Party A has been or will be required to pay a Gross-Up
Amount (or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
56
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-1+" by
Standard & Poor's Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex, provided that such posting of
collateral shall be subject to (i) if required by S&P at the time
of such posting, Party A obtaining legal opinions satisfactory to
S&P in relation to such posting and (ii) if the short-term,
unsecured and unsubordinated debt obligations or the long-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-2" or
"BBB+", respectively, by S&P, the monthly valuation of Party B's
Exposure (as defined in the Credit Support Annex), by two
independent third parties that would be eligible and willing to be
transferees of Party A's benefits and obligations under this
Agreement, on the following basis: (x) the valuation may only be
obtained from the same entity up to four times in any twelve month
period; (y) Party B's Exposure, for the purposes of collateral
posting in accordance with the Credit Support Annex shall be deemed
to be equal to the highest of the higher of the two independent
third party valuations bids and the amount calculated in accordance
with the Credit Support Annex; and (z) Party A shall provide S&P
with the two monthly independent third party valuations and its
calculations pursuant to Paragraph 3(b) of the Credit Support Annex
in relation to the day on which the monthly independent third party
valuations are obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such Initial
S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Initial S&P Rating Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as
57
"A-3" by S&P (such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A
will, within 10 days of the occurrence of such Subsequent S&P Rating
Event, at its own cost either:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Subsequent S&P Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL XXXXX'X RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Xxxxx'x Rating Event provide
collateral in the form of cash or securities or both in support of
its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Xxxxx'x Rating
Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) a replacement third party as Party A
may agree with Moody's;
58
(3) procure another person to become co-obligor or guarantor in respect
of the obligations of Party A under this Agreement, which co-
obligor or guarantor may be either (x) a person with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "A3" (or
its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "Prime-
2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT XXXXX'X RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Xxxxx'x Rating Event, at
its own cost, either:
(aa)transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
(bb)procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co-obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(cc)take such other action as Party A may agree with Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance with
the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least as
high as "Prime-1" and its long-term, unsecured and unsubordinated debt
obligations are rated at least as high as "A1", or such other ratings as
may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the xxxx-to-market value of the outstanding
Transactions. In relation to paragraph (iv)(2) above, Party A will, at
its own cost, on
59
receipt of reasonable notice from Moody's (which, for the avoidance of
doubt, will be no less than 30 days) arrange a third party valuation of
the xxxx-to-market value of the outstanding Transactions.
(v) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A+" (or
its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect of
Party A cease to be rated at least as high as "F1" (or its equivalent) by
Fitch and, as a result of such cessation, the then current rating of the
Relevant Notes is downgraded or placed under review for possible
downgrade by Fitch (an "INITIAL FITCH RATING EVENT") then Party A will,
at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Initial Fitch
Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Initial Fitch Rating Event);
or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Initial Fitch Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB+"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
(A) within 10 days of the First Subsequent Fitch Rating Event provide
collateral in the form of cash or securities in support of its
obligations under this Agreement in accordance with the
60
provisions of the Credit Support Annex (provided that the xxxx-to-
market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party
(with the costs of such independent verification being borne by
Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence of
such First Subsequent Fitch Rating Event, at its own cost, attempt
either to:
(1) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such First
Subsequent Fitch Rating Event); or
(3) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level
it would have been at immediately prior to such First
Subsequent Fitch Rating Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB-"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
61
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event);
(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or both
in support of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the xxxx-to-market
calculations and the correct and timely posting of collateral thereunder
are verified by an independent third party (with the costs of such
independent verification being borne by Party A)). If any of paragraphs
(vii)(A), (B) or (C) above are satisfied at any time, all collateral (or
the equivalent thereof, as appropriate) transferred by Party A under the
Credit Support Annex will be transferred to Party A and Party A will not
be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in paragraph
(i) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial S&P Rating Event with Party A
as the sole Affected Party and all Transactions as Affected
Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above and fails to
continue to post collateral pending compliance with any of
paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the later of the tenth day following
such Subsequent S&P Rating Event and the thirtieth day following
the Initial S&P Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even if it is posting collateral as required by
paragraph (ii) above and notwithstanding Section 5(a)(ii), Party A
does not take any of the measures described in paragraphs (ii)(A),
(ii)(B) or (ii)(C) above. Such Additional Termination Event will be
deemed to have occurred on the tenth day following the Subsequent
S&P Rating Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in paragraph
(iii)(1), (2), (3) or (4) above, such failure will not be or give
rise to an Event of Default but will constitute an Additional
Termination Event with respect to Party A and will be deemed to
have occurred on the thirtieth day following the occurrence of such
Initial Xxxxx'x Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions.
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such
62
Subsequent Xxxxx'x Rating Event and provided that (i) at least one
Eligible Replacement has made a Firm Offer (which remains capable
of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(g) below and/or
(ii) at least one entity with the First Trigger Required Ratings
and/or the Second Trigger Required Ratings has made a Firm Offer
(which remains capable of becoming legally binding upon acceptance
by the offeree) to provide an Eligible Guarantee in respect of all
of Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the Initial Fitch Rating Event with Party A as the sole
Affected Party and all Transactions as Affected Transactions.
(F) If Party A does not take the measures described in paragraph (vi)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the First Subsequent Fitch Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have occurred
on the tenth day following such Second Subsequent Fitch Rating
Event with Party A as the Defaulting Party. Further, it will
constitute an Additional Termination Event with respect to Party A
if, even after satisfying the above requirements, Party A has
failed, within 30 days following such Second Subsequent Fitch
Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on the
thirtieth day following such Second Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may only
designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired the
Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party B
finding or attempting to find such a replacement counterparty will
be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their
reasonable endeavours to co-operate with Party A in entering into such
documents as may reasonably be requested by Party A in connection with the
provision of such collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity
(each such
63
Affiliate or entity a "TRANSFEREE") upon providing five Business Days' prior
written notice to the Note Trustee, provided that:
(i) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and unsubordinated
debt obligations are then rated not less than "A1" by Moody's and "A+" by
Fitch (or its equivalent by any substitute rating agency) or such
Transferee's obligations under this Agreement are guaranteed by an entity
whose short-term, unsecured and unsubordinated debt obligations are then
rated not less than "A-1+" by S&P, "Prime-1" by Moody's and "F1" by Fitch
and whose long-term, unsecured and unsubordinated debt obligations are
then rated not less than "A1" by Moody's and "A+" by Fitch (or its
equivalent by any substitute rating agency);
(ii) the Transferee will not, as a result of such transfer, be required on the
next succeeding Scheduled Payment Date to withhold or deduct on account
of any Tax (except in respect of default interest) amounts in excess of
that which Party A would, on the next succeeding Scheduled Payment Date
have been required to so withhold or deduct unless the Transferee would
be required to make additional payments pursuant to Section 2(d)(i)(4)
corresponding to such excess;
(iii) a Termination Event or Event of Default does not occur as a result of
such transfer;
(iv) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(v) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise)
this Agreement nor any interest or obligation in or under this Agreement
without the prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's
written request, take any reasonable steps required to be taken by it to effect
such transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or entity.
"(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations except
those obligations preferred by operation of law."
64
(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written
or oral) received from the other party will be deemed to be an assurance
or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or an
adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
(2) will pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any Gross Up Amount (as defined below)
paid by the Deducting Party to Y under this Section 2(d)) promptly
upon
65
the earlier of determining that such deduction or withholding is
required or receiving notice that such amount has been assessed
against Y;
(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment to
which Party B is otherwise entitled under this Agreement, such
additional amount (the "GROSS UP AMOUNT") as is necessary to ensure
that the net amount actually received by Party B will equal the
full amount which Party B would have received had no such deduction
or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction
or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt of
such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross Up
Amount to Party B, Party A will promptly pay to the relevant government
revenue authority the amount of such liability (including any related
liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4) above,
Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance, set-
off or repayment from the tax authorities of any jurisdiction
relating to any deduction or withholding giving rise to such
payment (a "TAX CREDIT"), it will pay to Party A as soon as
practical after receipt of the same so much of the cash benefit (as
calculated below) relating thereto which it has received as will
leave Party B in substantially the same (but in any event no worse)
position as Party B would have been in if no such deduction or
withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance or
set-off, be the additional amount of Tax which would have been
payable by Party B in the jurisdiction referred to in clause (1)
above but for the obtaining by it of the said Tax credit, allowance
or set-off and, in the case of a repayment, will be the amount of
the repayment together, in either case, with any related interest,
repayment supplement or similar payment obtained by Party B; and
(3) it will use all reasonable endeavours to obtain any Tax Credit as
soon as is reasonably practicable provided that it will be the sole
judge of the amount of such Tax Credit and of the date on which the
same is received and will not be obliged to disclose to Party A any
information relating to its tax affairs or tax computations save
that Party B will, upon request
66
by Party A, supply Party A with a reasonably detailed explanation
of its calculation of the amount of any such Tax Credit and of the
date on which the same is received."
(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the winding
up, dissolution or reorganisation or for the appointment of a receiver,
administrator, administrative receiver, trustee, liquidator, sequestrator
or similar officer of Party B or of any or all of its revenues and assets
nor participate in any ex parte proceedings nor seek to enforce any
judgment against Party B, subject to the provisions of the Master Issuer
Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master Issuer
Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a Potential
Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event
of Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions
and Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment
made to the Master Definitions Schedule will only be binding on Party A if
Party A has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1"
(in the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
67
(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event of
Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its entirety
and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for an
amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number) in
consideration of an agreement between Party B (taking into account
any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would have
the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was
absolute or contingent and assuming the satisfaction of each
applicable condition precedent) by the parties under Section
2(a)(i) in respect of such Terminated Transaction or group of
Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that
date, (3) made on the basis that Unpaid Amounts in respect of the
Terminated Transaction or group of Terminated Transactions are to
be excluded but, without limitation, any payment or delivery that
would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition
precedent) after that Early Termination Date is to be included. The
Replacement Transaction would be subject to such documentation as
such party and the Reference Market-maker may, in good faith,
agree. The party making the determination (or its agent) will
request each Reference Market-maker to provide its quotation to the
extent reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day and
time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a determination
under Section 6(e), and, if each party is so obliged, after
consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party B
fails to make such determination promptly, Party A shall have the
right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the day falling 30
Business Days after the day on which the Early Termination Date
is designated (or such later day as Party B may specify in
writing to Party A, which in any event will not be later than
the Early Termination Date) (such day, the "LATEST SETTLEMENT
AMOUNT DETERMINATION DAY"), the Termination Currency Equivalent
of the amount (whether positive or negative) of such Market
Quotation; or
(b) If no Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the Latest Settlement
Amount Determination Day or if a Market Quotation would not (in
the reasonable belief of Party B) produce a commercially
reasonable
68
result then Party B's Loss (whether positive or negative and
without reference to any Unpaid amounts) for the relevant
Terminated Transaction or group of Terminated Transactions.
(iii) Party B undertakes to use its reasonable efforts to obtain at least
one Market Quotation before the Latest Settlement Amount
Determination Day.
(iv) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market Quotations,
Party A shall use its reasonable efforts to do so before the Latest
Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations, without
prior request by Party B, before the Latest Settlement Amount
Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount equal
to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the
Termination Currency Equivalent of the Unpaid Amounts owing to
Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall be
subject to netting in accordance with Section 2(c) of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a failure
by Party A to make, when due, any payment under this Agreement, may
be set off against any collateral held by Party B pursuant to the
Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Xxx 0000 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 1 Class A Notes (the "RELEVANT NOTES") having a Trade
Date of 21 February 2007 and entered into between Party A and Party B.
69
(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is required to pay
such additional amount as is necessary to ensure that the net amount actually
received by Party B (free and clear of any withholding tax) will equal the full
amount Party B would have received had no such withholding been required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Moody's First Trigger
Required Ratings and/or the Moody's Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
70
(B)
SERIES 1 CLASS B
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 26 July 2007
between
(1) CREDIT SUISSE, LONDON BRANCH ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
and in relation to Party B for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
71
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:-
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of this
Schedule), proves to have been incorrect or misleading in any
material respect with respect to one or more Transactions (each an
"AFFECTED TRANSACTION" for the purpose of this Additional
Termination Event) when made or repeated or deemed to have been
made or repeated. For the purpose of the foregoing Termination
Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant to
Condition 5(F) (Optional Redemption or Purchase for Implementation
of EU Capital Requirements Directive) of the terms and conditions
thereof. For the purpose of the foregoing Termination Event: (A)
for the purpose of Section 6(b)(iv), both parties will be Affected
Parties; and (B) for the purpose of Section 6(e), the Affected
Party will be Party B only. The Additional Termination Event
specified in this paragraph will not apply in the ISDA Master
Agreements relating to Class A notes.
72
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this Agreement,
Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, of any Relevant Jurisdiction to make
any deduction or withholding for or on account of any Tax from any payment
(other than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made by it to the other party under this Agreement. In making this
representation, it may rely on (i) the accuracy of any representations made by
the other party pursuant to Section 3(f) of this Agreement, (ii) the
satisfaction of the agreement contained in Section 4(a)(i) or 4(a)(iii) of this
Agreement and the accuracy and effectiveness of any document provided by the
other party pursuant to Section 4(a)(i) or 4(a)(iii) of this Agreement and
(iii) the satisfaction of the agreement of the other party contained in Section
4(d) of this Agreement, except that it will not be a breach of this
representation where reliance is placed on clause (ii) and the other party does
not deliver a form or document under Section 4(a)(iii) by reason of material
prejudice to its legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "ADDITIONAL TAX
REPRESENTATION"):
Party A either:
(i) will be resident for tax purposes in the United Kingdom; or
(ii) is entering into each Transaction solely for the purposes of a
trade (or part of a trade) carried on by it in the United Kingdom
through a permanent establishment; or
(iii) is resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement.
73
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and On signing of this No
substance satisfactory to Agreement
Party B
Party B Legal opinions from On signing of this No
Xxxxx & Xxxxx LLP Agreement
Party A Credit Support Document in On signing of this Yes
respect of Party A specified Agreement
in Part 4(f) of this Schedule
74
Part 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as may
be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 00 Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
XXX
Attention: Xxx X. Xxxxx
Facsimile No.:x0 000 000 0000
Address for notices or communications to Party B:
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
Facsimile No.:020 7398 6325
With a copy to: (i) HBOS Treasury Services plc
Address: 00 Xxx Xxxxx Xxxxxx
Xxxxxx
XX0X 0XX
Attention: Senior Director, Securitisation
Facsimile No.:020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance -- Corporate Trust
Facsimile No.:020 7964 6061/6339
75
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent: None.
Party B appoints as its Process Agent: None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is a Multibranch Party and will act through the following
Offices: London.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A:The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B:None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement.
76
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and
will apply to Party A, provided that the application and interpretation of
Section 5(b)(ii) shall be restricted to a Change in Tax Law, as defined below,
as a result of which Party A has been or will be required to pay a Gross-Up
Amount (or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
77
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-1+" by
Standard & Poor's Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex, provided that such posting of
collateral shall be subject to (i) if required by S&P at the time
of such posting, Party A obtaining legal opinions satisfactory to
S&P in relation to such posting and (ii) if the short-term,
unsecured and unsubordinated debt obligations or the long-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-2" or
"BBB+", respectively, by S&P, the monthly valuation of Party B's
Exposure (as defined in the Credit Support Annex), by two
independent third parties that would be eligible and willing to be
transferees of Party A's benefits and obligations under this
Agreement, on the following basis: (x) the valuation may only be
obtained from the same entity up to four times in any twelve month
period; (y) Party B's Exposure, for the purposes of collateral
posting in accordance with the Credit Support Annex shall be deemed
to be equal to the highest of the higher of the two independent
third party valuations bids and the amount calculated in accordance
with the Credit Support Annex; and (z) Party A shall provide S&P
with the two monthly independent third party valuations and its
calculations pursuant to Paragraph 3(b) of the Credit Support Annex
in relation to the day on which the monthly independent third party
valuations are obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such Initial
S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Initial S&P Rating Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as
78
"A-3" by S&P (such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A
will, within 10 days of the occurrence of such Subsequent S&P Rating
Event, at its own cost either:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Subsequent S&P Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL XXXXX'X RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Xxxxx'x Rating Event provide
collateral in the form of cash or securities or both in support of
its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Xxxxx'x Rating Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) a replacement third party as Party A
may agree with Moody's;
79
(3) procure another person to become co-obligor or guarantor in respect
of the obligations of Party A under this Agreement, which co-
obligor or guarantor may be either (x) a person with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "A3" (or
its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "Prime-
2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT XXXXX'X RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Xxxxx'x Rating Event, at
its own cost, either:
(aa)transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
(bb)procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co-obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(cc)take such other action as Party A may agree with Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance with
the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least as
high as "Prime-1" and its long-term, unsecured and unsubordinated debt
obligations are rated at least as high as "A1", or such other ratings as
may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the xxxx-to-market value of the outstanding
Transactions. In relation to paragraph (iv)(2) above, Party A will, at
its own cost, on
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receipt of reasonable notice from Moody's (which, for the avoidance of
doubt, will be no less than 30 days) arrange a third party valuation of
the xxxx-to-market value of the outstanding Transactions.
(v) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A+" (or
its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect of
Party A cease to be rated at least as high as "F1" (or its equivalent) by
Fitch and, as a result of such cessation, the then current rating of the
Relevant Notes is downgraded or placed under review for possible
downgrade by Fitch (an "INITIAL FITCH RATING EVENT") then Party A will,
at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Initial Fitch
Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Initial Fitch Rating Event);
or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Initial Fitch Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB+"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
(A) within 10 days of the First Subsequent Fitch Rating Event provide
collateral in the form of cash or securities in support of its
obligations under this Agreement in accordance with the
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provisions of the Credit Support Annex (provided that the xxxx-to-
market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party
(with the costs of such independent verification being borne by
Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence of
such First Subsequent Fitch Rating Event, at its own cost, attempt
either to:
(1) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such First
Subsequent Fitch Rating Event); or
(3) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level
it would have been at immediately prior to such First
Subsequent Fitch Rating Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB-"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event);
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(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or both
in support of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the xxxx-to-market
calculations and the correct and timely posting of collateral thereunder
are verified by an independent third party (with the costs of such
independent verification being borne by Party A)). If any of paragraphs
(vii)(A), (B) or (C) above are satisfied at any time, all collateral (or
the equivalent thereof, as appropriate) transferred by Party A under the
Credit Support Annex will be transferred to Party A and Party A will not
be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in paragraph
(i) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial S&P Rating Event with Party A
as the sole Affected Party and all Transactions as Affected
Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above and fails to
continue to post collateral pending compliance with any of
paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the later of the tenth day following
such Subsequent S&P Rating Event and the thirtieth day following
the Initial S&P Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even if it is posting collateral as required by
paragraph (ii) above and notwithstanding Section 5(a)(ii), Party A
does not take any of the measures described in paragraphs (ii)(A),
(ii)(B) or (ii)(C) above. Such Additional Termination Event will be
deemed to have occurred on the tenth day following the Subsequent
S&P Rating Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in paragraph
(iii)(1), (2), (3) or (4) above, such failure will not be or give
rise to an Event of Default but will constitute an Additional
Termination Event with respect to Party A and will be deemed to
have occurred on the thirtieth day following the occurrence of such
Initial Xxxxx'x Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions.
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such
83
Subsequent Xxxxx'x Rating Event and provided that (i) at least one
Eligible Replacement has made a Firm Offer (which remains capable
of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(g) below and/or
(ii) at least one entity with the First Trigger Required Ratings
and/or the Second Trigger Required Ratings has made a Firm Offer
(which remains capable of becoming legally binding upon acceptance
by the offeree) to provide an Eligible Guarantee in respect of all
of Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the Initial Fitch Rating Event with Party A as the sole
Affected Party and all Transactions as Affected Transactions.
(F) If Party A does not take the measures described in paragraph (vi)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the First Subsequent Fitch Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have occurred
on the tenth day following such Second Subsequent Fitch Rating
Event with Party A as the Defaulting Party. Further, it will
constitute an Additional Termination Event with respect to Party A
if, even after satisfying the above requirements, Party A has
failed, within 30 days following such Second Subsequent Fitch
Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on the
thirtieth day following such Second Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may only
designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired the
Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party B
finding or attempting to find such a replacement counterparty will
be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their
reasonable endeavours to co-operate with Party A in entering into such
documents as may reasonably be requested by Party A in connection with the
provision of such collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity
(each such Affiliate or entity a "TRANSFEREE") upon providing five Business
Days' prior written notice to the Note Trustee, provided that:
84
(vi) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and unsubordinated
debt obligations are then rated not less than "A1" by Moody's and "A+" by
Fitch (or its equivalent by any substitute rating agency) or such
Transferee's obligations under this Agreement are guaranteed by an entity
whose short-term, unsecured and unsubordinated debt obligations are then
rated not less than "A-1+" by S&P, "Prime-1" by Moody's and "F1" by Fitch
and whose long-term, unsecured and unsubordinated debt obligations are
then rated not less than "A1" by Moody's and "A+" by Fitch (or its
equivalent by any substitute rating agency);
(vii) the Transferee will not, as a result of such transfer, be required on the
next succeeding Scheduled Payment Date to withhold or deduct on account
of any Tax (except in respect of default interest) amounts in excess of
that which Party A would, on the next succeeding Scheduled Payment Date
have been required to so withhold or deduct unless the Transferee would
be required to make additional payments pursuant to Section 2(d)(i)(4)
corresponding to such excess;
(viii) a Termination Event or Event of Default does not occur as a result of
such transfer;
(ix) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(x) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise)
this Agreement nor any interest or obligation in or under this Agreement
without the prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's
written request, take any reasonable steps required to be taken by it to effect
such transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or entity.
(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations except
those obligations preferred by operation of law."
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(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written
or oral) received from the other party will be deemed to be an assurance
or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or an
adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
(2) will pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any Gross Up Amount (as defined below)
paid by the Deducting Party to Y under this Section 2(d)) promptly
upon the earlier of determining that such deduction or withholding
is required or receiving notice that such amount has been assessed
against Y;
86
(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment to
which Party B is otherwise entitled under this Agreement, such
additional amount (the "GROSS UP AMOUNT") as is necessary to ensure
that the net amount actually received by Party B will equal the
full amount which Party B would have received had no such deduction
or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction
or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt of
such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross Up
Amount to Party B, Party A will promptly pay to the relevant government
revenue authority the amount of such liability (including any related
liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4) above,
Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance, set-
off or repayment from the tax authorities of any jurisdiction
relating to any deduction or withholding giving rise to such
payment (a "TAX CREDIT"), it will pay to Party A as soon as
practical after receipt of the same so much of the cash benefit (as
calculated below) relating thereto which it has received as will
leave Party B in substantially the same (but in any event no worse)
position as Party B would have been in if no such deduction or
withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance or
set-off, be the additional amount of Tax which would have been
payable by Party B in the jurisdiction referred to in clause (1)
above but for the obtaining by it of the said Tax credit, allowance
or set-off and, in the case of a repayment, will be the amount of
the repayment together, in either case, with any related interest,
repayment supplement or similar payment obtained by Party B; and
(3) it will use all reasonable endeavours to obtain any Tax Credit as
soon as is reasonably practicable provided that it will be the sole
judge of the amount of such Tax Credit and of the date on which the
same is received and will not be obliged to disclose to Party A any
information relating to its tax affairs or tax computations save
that Party B will, upon request by Party A, supply Party A with a
reasonably detailed explanation of its calculation of the amount of
any such Tax Credit and of the date on which the same is received."
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(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the winding
up, dissolution or reorganisation or for the appointment of a receiver,
administrator, administrative receiver, trustee, liquidator, sequestrator
or similar officer of Party B or of any or all of its revenues and assets
nor participate in any ex parte proceedings nor seek to enforce any
judgment against Party B, subject to the provisions of the Master Issuer
Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master Issuer
Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a Potential
Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event
of Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions
and Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment
made to the Master Definitions Schedule will only be binding on Party A if
Party A has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1"
(in the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
88
(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event of
Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its entirety
and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for an
amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number) in
consideration of an agreement between Party B (taking into account
any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would have
the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was
absolute or contingent and assuming the satisfaction of each
applicable condition precedent) by the parties under Section
2(a)(i) in respect of such Terminated Transaction or group of
Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that
date, (3) made on the basis that Unpaid Amounts in respect of the
Terminated Transaction or group of Terminated Transactions are to
be excluded but, without limitation, any payment or delivery that
would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition
precedent) after that Early Termination Date is to be included. The
Replacement Transaction would be subject to such documentation as
such party and the Reference Market-maker may, in good faith,
agree. The party making the determination (or its agent) will
request each Reference Market-maker to provide its quotation to the
extent reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day and
time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a determination
under Section 6(e), and, if each party is so obliged, after
consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party B
fails to make such determination promptly, Party A shall have the
right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the day falling 30
Business Days after the day on which the Early Termination Date
is designated (or such later day as Party B may specify in
writing to Party A, which in any event will not be later than
the Early Termination Date) (such day, the "LATEST SETTLEMENT
AMOUNT DETERMINATION DAY"), the Termination Currency Equivalent
of the amount (whether positive or negative) of such Market
Quotation; or
(b) If no Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the Latest Settlement
Amount Determination Day or if a Market Quotation would not (in
the reasonable belief of Party B) produce a commercially
reasonable result then Party B's Loss (whether positive or
negative and without reference to any Unpaid amounts) for the
relevant Terminated Transaction or group of Terminated
Transactions.
89
(iii) Party B undertakes to use its reasonable efforts to obtain at least
one Market Quotation before the Latest Settlement Amount
Determination Day.
(iv) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market Quotations,
Party A shall use its reasonable efforts to do so before the Latest
Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations, without
prior request by Party B, before the Latest Settlement Amount
Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount equal
to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the
Termination Currency Equivalent of the Unpaid Amounts owing to
Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall be
subject to netting in accordance with Section 2[C] of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a failure
by Party A to make, when due, any payment under this Agreement, may
be set off against any collateral held by Party B pursuant to the
Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Xxx 0000 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 1 Class B Notes (the "RELEVANT NOTES") having a Trade
Date of 21 February 2007 and entered into between Party A and Party B.
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(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is required to pay
such additional amount as is necessary to ensure that the net amount actually
received by Party B (free and clear of any withholding tax) will equal the full
amount Party B would have received had no such withholding been required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Moody's First Trigger
Required Ratings and/or the Moody's Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
91
(C)
SERIES 1 CLASS C
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 26 July 2007
between
(1) CREDIT SUISSE, LONDON BRANCH ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
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and in relation to Party B for the purpose of:
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of this
Schedule), proves to have been incorrect or misleading in any
material respect with respect to one or more Transactions (each an
"AFFECTED TRANSACTION" for the purpose of this Additional
Termination Event) when made or repeated or deemed to have been
made or repeated. For the purpose of the foregoing Termination
Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant to
Condition 5(F) (Optional Redemption or Purchase for Implementation
of EU Capital Requirements Directive) of the terms and conditions
thereof. For the purpose of the foregoing Termination Event: (A)
for the purpose of Section 6(b)(iv), both parties will be Affected
Parties; and (B) for the purpose of Section 6(e), the Affected
Party will be Party B only. The Additional Termination Event
specified in this paragraph will not apply in the ISDA Master
Agreements relating to Class A notes.
93
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this Agreement,
Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, of any Relevant Jurisdiction to make
any deduction or withholding for or on account of any Tax from any payment
(other than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made by it to the other party under this Agreement. In making this
representation, it may rely on (i) the accuracy of any representations made by
the other party pursuant to Section 3(f) of this Agreement, (ii) the
satisfaction of the agreement contained in Section 4(a)(i) or 4(a)(iii) of this
Agreement and the accuracy and effectiveness of any document provided by the
other party pursuant to Section 4(a)(i) or 4(a)(iii) of this Agreement and
(iii) the satisfaction of the agreement of the other party contained in Section
4(d) of this Agreement, except that it will not be a breach of this
representation where reliance is placed on clause (ii) and the other party does
not deliver a form or document under Section 4(a)(iii) by reason of material
prejudice to its legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "ADDITIONAL TAX
REPRESENTATION"):
Party A either:
(i) will be resident for tax purposes in the United Kingdom; or
(ii) is entering into each Transaction solely for the purposes of a
trade (or part of a trade) carried on by it in the United Kingdom
through a permanent establishment; or
(iii) is resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement.
94
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and substance On signing of this No
satisfactory to Party B Agreement
Party B Legal opinions from On signing of this No
Xxxxx & Xxxxx LLP Agreement
Party A Credit Support Document in respect On signing of this Yes
of Party A specified in Part 4(f) Agreement
of this Schedule
95
Part 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as may
be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 00 Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
XXX
Attention: Xxx X. Xxxxx
Facsimile No.: x0 000 000 0000
Address for notices or communications to Party B:
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
Facsimile No.: 020 7398 6325
With a copy to: (i) HBOS Treasury Services plc
Address: 00 Xxx Xxxxx Xxxxxx
Xxxxxx
XX0X 0XX
Attention: Senior Director, Securitisation
Facsimile No.: 020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance -- Corporate Trust
Facsimile No.: 020 7964 6061/6339
96
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent:
None.
Party B appoints as its Process Agent:
None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is a Multibranch Party and will act through the following
Offices: London.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A:The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B:None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement.
97
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and
will apply to Party A, provided that the application and interpretation of
Section 5(b)(ii) shall be restricted to a Change in Tax Law, as defined below,
as a result of which Party A has been or will be required to pay a Gross-Up
Amount (or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
98
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-1+" by
Standard & Poor's Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex, provided that such posting of
collateral shall be subject to (i) if required by S&P at the time
of such posting, Party A obtaining legal opinions satisfactory to
S&P in relation to such posting and (ii) if the short-term,
unsecured and unsubordinated debt obligations or the long-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-2" or
"BBB+", respectively, by S&P, the monthly valuation of Party B's
Exposure (as defined in the Credit Support Annex), by two
independent third parties that would be eligible and willing to be
transferees of Party A's benefits and obligations under this
Agreement, on the following basis: (x) the valuation may only be
obtained from the same entity up to four times in any twelve month
period; (y) Party B's Exposure, for the purposes of collateral
posting in accordance with the Credit Support Annex shall be deemed
to be equal to the highest of the higher of the two independent
third party valuations bids and the amount calculated in accordance
with the Credit Support Annex; and (z) Party A shall provide S&P
with the two monthly independent third party valuations and its
calculations pursuant to Paragraph 3(b) of the Credit Support Annex
in relation to the day on which the monthly independent third party
valuations are obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such Initial
S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Initial S&P Rating Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-3" by S&P
(such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A will, within
10 days of the occurrence of such Subsequent S&P Rating Event, at its own
cost either:
99
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Subsequent S&P Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL XXXXX'X RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Xxxxx'x Rating Event provide
collateral in the form of cash or securities or both in support of
its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Xxxxx'x Rating Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) a replacement third party as Party A
may agree with Moody's;
100
(3) procure another person to become co-obligor or guarantor in respect
of the obligations of Party A under this Agreement, which co-
obligor or guarantor may be either (x) a person with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "A3" (or
its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "Prime-
2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT XXXXX'X RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Xxxxx'x Rating Event, at
its own cost, either:
(aa)transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
(bb)procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co-obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(cc)take such other action as Party A may agree with Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance with
the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least as
high as "Prime-1" and its long-term, unsecured and unsubordinated debt
obligations are rated at least as high as "A1", or such other ratings as
may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the xxxx-to-market value of the outstanding
Transactions. In relation to paragraph (iv)(2) above, Party A will, at
its own cost, on receipt of reasonable notice from Moody's (which, for
the avoidance of doubt, will be no less than 30 days) arrange a third
party valuation of the xxxx-to-market value of the outstanding
Transactions.
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(v) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A+" (or
its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect of
Party A cease to be rated at least as high as "F1" (or its equivalent) by
Fitch and, as a result of such cessation, the then current rating of the
Relevant Notes is downgraded or placed under review for possible
downgrade by Fitch (an "INITIAL FITCH RATING EVENT") then Party A will,
at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Initial Fitch
Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Initial Fitch Rating Event);
or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Initial Fitch Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB+"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
(A) within 10 days of the First Subsequent Fitch Rating Event provide
collateral in the form of cash or securities in support of its
obligations under this Agreement in accordance with the
102
provisions of the Credit Support Annex (provided that the xxxx-to-
market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party
(with the costs of such independent verification being borne by
Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence of
such First Subsequent Fitch Rating Event, at its own cost, attempt
either to:
(1) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such First
Subsequent Fitch Rating Event); or
(3) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level
it would have been at immediately prior to such First
Subsequent Fitch Rating Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB-"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event);
103
(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or both
in support of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the xxxx-to-market
calculations and the correct and timely posting of collateral thereunder
are verified by an independent third party (with the costs of such
independent verification being borne by Party A)). If any of paragraphs
(vii)(A), (B) or (C) above are satisfied at any time, all collateral (or
the equivalent thereof, as appropriate) transferred by Party A under the
Credit Support Annex will be transferred to Party A and Party A will not
be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in paragraph
(i) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial S&P Rating Event with Party A
as the sole Affected Party and all Transactions as Affected
Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above and fails to
continue to post collateral pending compliance with any of
paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the later of the tenth day following
such Subsequent S&P Rating Event and the thirtieth day following
the Initial S&P Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even if it is posting collateral as required by
paragraph (ii) above and notwithstanding Section 5(a)(ii), Party A
does not take any of the measures described in paragraphs (ii)(A),
(ii)(B) or (ii)(C) above. Such Additional Termination Event will be
deemed to have occurred on the tenth day following the Subsequent
S&P Rating Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in paragraph
(iii)(1), (2), (3) or (4) above, such failure will not be or give
rise to an Event of Default but will constitute an Additional
Termination Event with respect to Party A and will be deemed to
have occurred on the thirtieth day following the occurrence of such
Initial Xxxxx'x Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions.
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such
104
Subsequent Xxxxx'x Rating Event and provided that (i) at least one
Eligible Replacement has made a Firm Offer (which remains capable
of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(g) below and/or
(ii) at least one entity with the First Trigger Required Ratings
and/or the Second Trigger Required Ratings has made a Firm Offer
(which remains capable of becoming legally binding upon acceptance
by the offeree) to provide an Eligible Guarantee in respect of all
of Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the Initial Fitch Rating Event with Party A as the sole
Affected Party and all Transactions as Affected Transactions.
(F) If Party A does not take the measures described in paragraph (vi)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the First Subsequent Fitch Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have occurred
on the tenth day following such Second Subsequent Fitch Rating
Event with Party A as the Defaulting Party. Further, it will
constitute an Additional Termination Event with respect to Party A
if, even after satisfying the above requirements, Party A has
failed, within 30 days following such Second Subsequent Fitch
Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on the
thirtieth day following such Second Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may only
designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired the
Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party B
finding or attempting to find such a replacement counterparty will
be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their
reasonable endeavours to co-operate with Party A in entering into such
documents as may reasonably be requested by Party A in connection with the
provision of such collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity
(each such
105
Affiliate or entity a "TRANSFEREE") upon providing five Business Days' prior
written notice to the Note Trustee, provided that:
(xi) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and unsubordinated
debt obligations are then rated not less than "A1" by Moody's and "A+" by
Fitch (or its equivalent by any substitute rating agency) or such
Transferee's obligations under this Agreement are guaranteed by an entity
whose short-term, unsecured and unsubordinated debt obligations are then
rated not less than "A-1+" by S&P, "Prime-1" by Moody's and "F1" by Fitch
and whose long-term, unsecured and unsubordinated debt obligations are
then rated not less than "A1" by Moody's and "A+" by Fitch (or its
equivalent by any substitute rating agency);
(xii) the Transferee will not, as a result of such transfer, be required on the
next succeeding Scheduled Payment Date to withhold or deduct on account
of any Tax (except in respect of default interest) amounts in excess of
that which Party A would, on the next succeeding Scheduled Payment Date
have been required to so withhold or deduct unless the Transferee would
be required to make additional payments pursuant to Section 2(d)(i)(4)
corresponding to such excess;
(xiii) a Termination Event or Event of Default does not occur as a result of
such transfer;
(xiv) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(xv) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise)
this Agreement nor any interest or obligation in or under this Agreement
without the prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's
written request, take any reasonable steps required to be taken by it to effect
such transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or entity.
(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations except
those obligations preferred by operation of law."
106
(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written
or oral) received from the other party will be deemed to be an assurance
or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or an
adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
(2) will pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any Gross Up Amount (as defined below)
paid by the Deducting Party to Y under this Section 2(d)) promptly
upon the earlier of determining that such deduction or withholding
is required or receiving notice that such amount has been assessed
against Y;
107
(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment to
which Party B is otherwise entitled under this Agreement, such
additional amount (the "GROSS UP AMOUNT") as is necessary to ensure
that the net amount actually received by Party B will equal the
full amount which Party B would have received had no such deduction
or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction
or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt of
such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross Up
Amount to Party B, Party A will promptly pay to the relevant government
revenue authority the amount of such liability (including any related
liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4) above,
Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance, set-
off or repayment from the tax authorities of any jurisdiction
relating to any deduction or withholding giving rise to such
payment (a "TAX CREDIT"), it will pay to Party A as soon as
practical after receipt of the same so much of the cash benefit (as
calculated below) relating thereto which it has received as will
leave Party B in substantially the same (but in any event no worse)
position as Party B would have been in if no such deduction or
withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance or
set-off, be the additional amount of Tax which would have been
payable by Party B in the jurisdiction referred to in clause (1)
above but for the obtaining by it of the said Tax credit, allowance
or set-off and, in the case of a repayment, will be the amount of
the repayment together, in either case, with any related interest,
repayment supplement or similar payment obtained by Party B; and
(3) it will use all reasonable endeavours to obtain any Tax Credit as
soon as is reasonably practicable provided that it will be the sole
judge of the amount of such Tax Credit and of the date on which the
same is received and will not be obliged to disclose to Party A any
information relating to its tax affairs or tax computations save
that Party B will, upon request by Party A, supply Party A with a
reasonably detailed explanation of its calculation of the amount of
any such Tax Credit and of the date on which the same is received."
108
(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the winding
up, dissolution or reorganisation or for the appointment of a receiver,
administrator, administrative receiver, trustee, liquidator, sequestrator
or similar officer of Party B or of any or all of its revenues and assets
nor participate in any ex parte proceedings nor seek to enforce any
judgment against Party B, subject to the provisions of the Master Issuer
Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master Issuer
Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a Potential
Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event
of Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions
and Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment
made to the Master Definitions Schedule will only be binding on Party A if
Party A has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1"
(in the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
109
(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event of
Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its entirety
and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for an
amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number) in
consideration of an agreement between Party B (taking into account
any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would have
the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was
absolute or contingent and assuming the satisfaction of each
applicable condition precedent) by the parties under Section
2(a)(i) in respect of such Terminated Transaction or group of
Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that
date, (3) made on the basis that Unpaid Amounts in respect of the
Terminated Transaction or group of Terminated Transactions are to
be excluded but, without limitation, any payment or delivery that
would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition
precedent) after that Early Termination Date is to be included. The
Replacement Transaction would be subject to such documentation as
such party and the Reference Market-maker may, in good faith,
agree. The party making the determination (or its agent) will
request each Reference Market-maker to provide its quotation to the
extent reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day and
time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a determination
under Section 6(e), and, if each party is so obliged, after
consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party B
fails to make such determination promptly, Party A shall have the
right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the day falling 30
Business Days after the day on which the Early Termination Date
is designated (or such later day as Party B may specify in
writing to Party A, which in any event will not be later than
the Early Termination Date) (such day, the "LATEST SETTLEMENT
AMOUNT DETERMINATION DAY"), the Termination Currency Equivalent
of the amount (whether positive or negative) of such Market
Quotation; or
(b) If no Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the Latest Settlement
Amount Determination Day or if a Market Quotation would not (in
the reasonable belief of Party B) produce a commercially
reasonable result then Party B's Loss (whether positive or
negative and without reference to any Unpaid amounts) for the
relevant Terminated Transaction or group of Terminated
Transactions.
110
(iii) Party B undertakes to use its reasonable efforts to obtain at least
one Market Quotation before the Latest Settlement Amount
Determination Day.
(iv) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market Quotations,
Party A shall use its reasonable efforts to do so before the Latest
Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations, without
prior request by Party B, before the Latest Settlement Amount
Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount equal
to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the
Termination Currency Equivalent of the Unpaid Amounts owing to
Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall be
subject to netting in accordance with Section 2(c) of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a failure
by Party A to make, when due, any payment under this Agreement, may
be set off against any collateral held by Party B pursuant to the
Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Xxx 0000 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 1 Class C Notes (the "RELEVANT NOTES") having a Trade
Date of 21 February 2007 and entered into between Party A and Party B.
111
(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is required to pay
such additional amount as is necessary to ensure that the net amount actually
received by Party B (free and clear of any withholding tax) will equal the full
amount Party B would have received had no such withholding been required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Moody's First Trigger
Required Ratings and/or the Moody's Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
112
(D)
SERIES 2 CLASS A1
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 26 July 2007
between
(1) CREDIT SUISSE, LONDON BRANCH ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
and in relation to Party B for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
113
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:-
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of this
Schedule), proves to have been incorrect or misleading in any
material respect with respect to one or more Transactions (each an
"AFFECTED TRANSACTION" for the purpose of this Additional
Termination Event) when made or repeated or deemed to have been
made or repeated. For the purpose of the foregoing Termination
Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant to
Condition 5(F) (Optional Redemption or Purchase for Implementation
of EU Capital Requirements Directive) of the terms and conditions
thereof. For the purpose of the foregoing Termination Event: (A)
for the purpose of Section 6(b)(iv), both parties will be Affected
Parties; and (B) for the purpose of Section 6(e), the Affected
Party will be Party B only. The Additional Termination Event
specified in this paragraph will not apply in the ISDA Master
Agreements relating to Class A notes.
114
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this Agreement,
Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, of any Relevant Jurisdiction to make
any deduction or withholding for or on account of any Tax from any payment
(other than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made by it to the other party under this Agreement. In making this
representation, it may rely on (i) the accuracy of any representations made by
the other party pursuant to Section 3(f) of this Agreement, (ii) the
satisfaction of the agreement contained in Section 4(a)(i) or 4(a)(iii) of this
Agreement and the accuracy and effectiveness of any document provided by the
other party pursuant to Section 4(a)(i) or 4(a)(iii) of this Agreement and
(iii) the satisfaction of the agreement of the other party contained in Section
4(d) of this Agreement, except that it will not be a breach of this
representation where reliance is placed on clause (ii) and the other party does
not deliver a form or document under Section 4(a)(iii) by reason of material
prejudice to its legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "ADDITIONAL TAX
REPRESENTATION"):
Party A either:
(i) will be resident for tax purposes in the United Kingdom; or
(ii) is entering into each Transaction solely for the purposes of a
trade (or part of a trade) carried on by it in the United Kingdom
through a permanent establishment; or
(iii) is resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement.
115
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and On signing of this No
substance satisfactory to Agreement
Party B
Party B Legal opinions from On signing of this No
Xxxxx & Xxxxx LLP Agreement
Party A Credit Support Document in On signing of this Yes
respect of Party A specified Agreement
in Part 4(f) of this Schedule
116
Part 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as may
be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 00 Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
XXX
Attention: Xxx X. Xxxxx
Facsimile No.: x0 000 000 0000
Address for notices or communications to Party B:
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
Facsimile No.: 020 7398 6325
With a copy to: (i) HBOS Treasury Services plc
Address: 00 Xxx Xxxxx Xxxxxx
Xxxxxx
XX0X 0XX
Attention: Senior Director, Securitisation
Facsimile No.: 020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of Xxx Xxxx
Xxx Xxxxxx Xxxxxx
Xxxxxx
X00 0XX
Attention: Global Structured Finance - Corporate Trust
Facsimile No.: 020 7964 6061/6339
117
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent: None.
Party B appoints as its Process Agent: None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is a Multibranch Party and will act through the following
Offices: London.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A: The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B: None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement.
118
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and
will apply to Party A, provided that the application and interpretation of
Section 5(b)(ii) shall be restricted to a Change in Tax Law, as defined below,
as a result of which Party A has been or will be required to pay a Gross-Up
Amount (or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
119
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-1+" by
Standard & Poor's Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex, provided that such posting of
collateral shall be subject to (i) if required by S&P at the time
of such posting, Party A obtaining legal opinions satisfactory to
S&P in relation to such posting and (ii) if the short-term,
unsecured and unsubordinated debt obligations or the long-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-2" or
"BBB+", respectively, by S&P, the monthly valuation of Party B's
Exposure (as defined in the Credit Support Annex), by two
independent third parties that would be eligible and willing to be
transferees of Party A's benefits and obligations under this
Agreement, on the following basis: (x) the valuation may only be
obtained from the same entity up to four times in any twelve month
period; (y) Party B's Exposure, for the purposes of collateral
posting in accordance with the Credit Support Annex shall be deemed
to be equal to the highest of the higher of the two independent
third party valuations bids and the amount calculated in accordance
with the Credit Support Annex; and (z) Party A shall provide S&P
with the two monthly independent third party valuations and its
calculations pursuant to Paragraph 3(b) of the Credit Support Annex
in relation to the day on which the monthly independent third party
valuations are obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such Initial
S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Initial S&P Rating Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as
120
"A-3" by S&P (such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A
will, within 10 days of the occurrence of such Subsequent S&P Rating
Event, at its own cost either:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Subsequent S&P Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL XXXXX'X RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Xxxxx'x Rating Event provide
collateral in the form of cash or securities or both in support of
its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Xxxxx'x Rating Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) a replacement third party as Party A
may agree with Moody's;
121
(3) procure another person to become co-obligor or guarantor in respect
of the obligations of Party A under this Agreement, which co-
obligor or guarantor may be either (x) a person with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "A3" (or
its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "Prime-
2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT XXXXX'X RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Xxxxx'x Rating Event, at
its own cost, either:
(aa)transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
(bb)procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co-obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(cc)take such other action as Party A may agree with Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance with
the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least as
high as "Prime-1" and its long-term, unsecured and unsubordinated debt
obligations are rated at least as high as "A1", or such other ratings as
may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the xxxx-to-market value of the outstanding
Transactions. In relation to paragraph (iv)(2) above, Party A will, at
its own cost, on
122
receipt of reasonable notice from Moody's (which, for the avoidance of
doubt, will be no less than 30 days) arrange a third party valuation of
the xxxx-to-market value of the outstanding Transactions.
(v) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A+" (or
its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect of
Party A cease to be rated at least as high as "F1" (or its equivalent) by
Fitch and, as a result of such cessation, the then current rating of the
Relevant Notes is downgraded or placed under review for possible
downgrade by Fitch (an "INITIAL FITCH RATING EVENT") then Party A will,
at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Initial Fitch
Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Initial Fitch Rating Event);
or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Initial Fitch Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB+"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
(A) within 10 days of the First Subsequent Fitch Rating Event provide
collateral in the form of cash or securities in support of its
obligations under this Agreement in accordance with the
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provisions of the Credit Support Annex (provided that the xxxx-to-
market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party
(with the costs of such independent verification being borne by
Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence of
such First Subsequent Fitch Rating Event, at its own cost, attempt
either to:
(1) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such First
Subsequent Fitch Rating Event); or
(3) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level
it would have been at immediately prior to such First
Subsequent Fitch Rating Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB-"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event);
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(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or both
in support of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the xxxx-to-market
calculations and the correct and timely posting of collateral thereunder
are verified by an independent third party (with the costs of such
independent verification being borne by Party A)). If any of paragraphs
(vii)(A), (B) or (C) above are satisfied at any time, all collateral (or
the equivalent thereof, as appropriate) transferred by Party A under the
Credit Support Annex will be transferred to Party A and Party A will not
be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in paragraph
(i) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial S&P Rating Event with Party A
as the sole Affected Party and all Transactions as Affected
Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above and fails to
continue to post collateral pending compliance with any of
paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the later of the tenth day following
such Subsequent S&P Rating Event and the thirtieth day following
the Initial S&P Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even if it is posting collateral as required by
paragraph (ii) above and notwithstanding Section 5(a)(ii), Party A
does not take any of the measures described in paragraphs (ii)(A),
(ii)(B) or (ii)(C) above. Such Additional Termination Event will be
deemed to have occurred on the tenth day following the Subsequent
S&P Rating Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in paragraph
(iii)(1), (2), (3) or (4) above, such failure will not be or give
rise to an Event of Default but will constitute an Additional
Termination Event with respect to Party A and will be deemed to
have occurred on the thirtieth day following the occurrence of such
Initial Xxxxx'x Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions.
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such
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Subsequent Xxxxx'x Rating Event and provided that (i) at least one
Eligible Replacement has made a Firm Offer (which remains capable
of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(g) below and/or
(ii) at least one entity with the First Trigger Required Ratings
and/or the Second Trigger Required Ratings has made a Firm Offer
(which remains capable of becoming legally binding upon acceptance
by the offeree) to provide an Eligible Guarantee in respect of all
of Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the Initial Fitch Rating Event with Party A as the sole
Affected Party and all Transactions as Affected Transactions.
(F) If Party A does not take the measures described in paragraph (vi)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the First Subsequent Fitch Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have occurred
on the tenth day following such Second Subsequent Fitch Rating
Event with Party A as the Defaulting Party. Further, it will
constitute an Additional Termination Event with respect to Party A
if, even after satisfying the above requirements, Party A has
failed, within 30 days following such Second Subsequent Fitch
Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on the
thirtieth day following such Second Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may only
designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired the
Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party B
finding or attempting to find such a replacement counterparty will
be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their
reasonable endeavours to co-operate with Party A in entering into such
documents as may reasonably be requested by Party A in connection with the
provision of such collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity
(each such
126
Affiliate or entity a "TRANSFEREE") upon providing five Business Days' prior
written notice to the Note Trustee, provided that:
(xvi) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and unsubordinated
debt obligations are then rated not less than "A1" by Moody's and "A+" by
Fitch (or its equivalent by any substitute rating agency) or such
Transferee's obligations under this Agreement are guaranteed by an entity
whose short-term, unsecured and unsubordinated debt obligations are then
rated not less than "A-1+" by S&P, "Prime-1" by Moody's and "F1" by Fitch
and whose long-term, unsecured and unsubordinated debt obligations are
then rated not less than "A1" by Moody's and "A+" by Fitch (or its
equivalent by any substitute rating agency);
(xvii) the Transferee will not, as a result of such transfer, be required on the
next succeeding Scheduled Payment Date to withhold or deduct on account
of any Tax (except in respect of default interest) amounts in excess of
that which Party A would, on the next succeeding Scheduled Payment Date
have been required to so withhold or deduct unless the Transferee would
be required to make additional payments pursuant to Section 2(d)(i)(4)
corresponding to such excess;
(xviii) a Termination Event or Event of Default does not occur as a result
of such transfer;
(xix) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(xx) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise)
this Agreement nor any interest or obligation in or under this Agreement
without the prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's
written request, take any reasonable steps required to be taken by it to effect
such transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or entity.
(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations except
those obligations preferred by operation of law."
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(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written
or oral) received from the other party will be deemed to be an assurance
or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or an
adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
(2) will pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any Gross Up Amount (as defined below)
paid by the Deducting Party to Y under this Section 2(d)) promptly
upon the earlier of determining that such deduction or withholding
is required or receiving notice that such amount has been assessed
against Y;
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(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment to
which Party B is otherwise entitled under this Agreement, such
additional amount (the "GROSS UP AMOUNT") as is necessary to ensure
that the net amount actually received by Party B will equal the
full amount which Party B would have received had no such deduction
or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction
or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt of
such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross Up
Amount to Party B, Party A will promptly pay to the relevant government
revenue authority the amount of such liability (including any related
liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4) above,
Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance, set-
off or repayment from the tax authorities of any jurisdiction
relating to any deduction or withholding giving rise to such
payment (a "TAX CREDIT"), it will pay to Party A as soon as
practical after receipt of the same so much of the cash benefit (as
calculated below) relating thereto which it has received as will
leave Party B in substantially the same (but in any event no worse)
position as Party B would have been in if no such deduction or
withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance or
set-off, be the additional amount of Tax which would have been
payable by Party B in the jurisdiction referred to in clause (1)
above but for the obtaining by it of the said Tax credit, allowance
or set-off and, in the case of a repayment, will be the amount of
the repayment together, in either case, with any related interest,
repayment supplement or similar payment obtained by Party B; and
(3) it will use all reasonable endeavours to obtain any Tax Credit as
soon as is reasonably practicable provided that it will be the sole
judge of the amount of such Tax Credit and of the date on which the
same is received and will not be obliged to disclose to Party A any
information relating to its tax affairs or tax computations save
that Party B will, upon request by Party A, supply Party A with a
reasonably detailed explanation of its calculation of the amount of
any such Tax Credit and of the date on which the same is received."
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(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the winding
up, dissolution or reorganisation or for the appointment of a receiver,
administrator, administrative receiver, trustee, liquidator, sequestrator
or similar officer of Party B or of any or all of its revenues and assets
nor participate in any ex parte proceedings nor seek to enforce any
judgment against Party B, subject to the provisions of the Master Issuer
Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master Issuer
Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a Potential
Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event
of Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions
and Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment
made to the Master Definitions Schedule will only be binding on Party A if
Party A has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1"
(in the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
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(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event of
Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its entirety
and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for an
amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number) in
consideration of an agreement between Party B (taking into account
any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would have
the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was
absolute or contingent and assuming the satisfaction of each
applicable condition precedent) by the parties under Section
2(a)(i) in respect of such Terminated Transaction or group of
Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that
date, (3) made on the basis that Unpaid Amounts in respect of the
Terminated Transaction or group of Terminated Transactions are to
be excluded but, without limitation, any payment or delivery that
would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition
precedent) after that Early Termination Date is to be included. The
Replacement Transaction would be subject to such documentation as
such party and the Reference Market-maker may, in good faith,
agree. The party making the determination (or its agent) will
request each Reference Market-maker to provide its quotation to the
extent reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day and
time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a determination
under Section 6(e), and, if each party is so obliged, after
consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party B
fails to make such determination promptly, Party A shall have the
right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the day falling 30
Business Days after the day on which the Early Termination Date
is designated (or such later day as Party B may specify in
writing to Party A, which in any event will not be later than
the Early Termination Date) (such day, the "LATEST SETTLEMENT
AMOUNT DETERMINATION DAY"), the Termination Currency Equivalent
of the amount (whether positive or negative) of such Market
Quotation; or
(b) If no Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the Latest Settlement
Amount Determination Day or if a Market Quotation would not (in
the reasonable belief of Party B) produce a commercially
reasonable
131
result then Party B's Loss (whether positive or negative and
without reference to any Unpaid amounts) for the relevant
Terminated Transaction or group of Terminated Transactions.
(iii) Party B undertakes to use its reasonable efforts to obtain at least
one Market Quotation before the Latest Settlement Amount
Determination Day.
(iv) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market Quotations,
Party A shall use its reasonable efforts to do so before the Latest
Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations, without
prior request by Party B, before the Latest Settlement Amount
Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount equal
to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the
Termination Currency Equivalent of the Unpaid Amounts owing to
Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall be
subject to netting in accordance with Section 2[C] of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a failure
by Party A to make, when due, any payment under this Agreement, may
be set off against any collateral held by Party B pursuant to the
Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Xxx 0000 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 2 Class A1 Notes (the "RELEVANT NOTES") having a Trade
Date of 21 February 2007 and entered into between Party A and Party B.
132
(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is required to pay
such additional amount as is necessary to ensure that the net amount actually
received by Party B (free and clear of any withholding tax) will equal the full
amount Party B would have received had no such withholding been required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Moody's First Trigger
Required Ratings and/or the Moody's Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
133
(E)
SERIES 2 CLASS A2
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 26 July 2007
between
(1) CREDIT SUISSE, LONDON BRANCH ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
and in relation to Party B for the purpose of:
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
134
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of this
Schedule), proves to have been incorrect or misleading in any
material respect with respect to one or more Transactions (each an
"AFFECTED TRANSACTION" for the purpose of this Additional
Termination Event) when made or repeated or deemed to have been
made or repeated. For the purpose of the foregoing Termination
Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant to
Condition 5(F) (Optional Redemption or Purchase for Implementation
of EU Capital Requirements Directive) of the terms and conditions
thereof. For the purpose of the foregoing Termination Event: (A)
for the purpose of Section 6(b)(iv), both parties will be Affected
Parties; and (B) for the purpose of Section 6(e), the Affected
Party will be Party B only. The Additional Termination Event
specified in this paragraph will not apply in the ISDA Master
Agreements relating to Class A notes.
135
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this Agreement,
Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, of any Relevant Jurisdiction to make
any deduction or withholding for or on account of any Tax from any payment
(other than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made by it to the other party under this Agreement. In making this
representation, it may rely on (i) the accuracy of any representations made by
the other party pursuant to Section 3(f) of this Agreement, (ii) the
satisfaction of the agreement contained in Section 4(a)(i) or 4(a)(iii) of this
Agreement and the accuracy and effectiveness of any document provided by the
other party pursuant to Section 4(a)(i) or 4(a)(iii) of this Agreement and
(iii) the satisfaction of the agreement of the other party contained in Section
4(d) of this Agreement, except that it will not be a breach of this
representation where reliance is placed on clause (ii) and the other party does
not deliver a form or document under Section 4(a)(iii) by reason of material
prejudice to its legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "ADDITIONAL TAX
REPRESENTATION"):
Party A either:
(i) will be resident for tax purposes in the United Kingdom; or
(ii) is entering into each Transaction solely for the purposes of a
trade (or part of a trade) carried on by it in the United Kingdom
through a permanent establishment; or
(iii) is resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement.
136
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and On signing of this No
substance satisfactory to Party B Agreement
Party B Legal opinions from On signing of this No
Xxxxx & Xxxxx LLP Agreement
Party A Credit Support Document in respect On signing of this Yes
of Party A specified in Part 4(f) Agreement
of this Schedule
137
Part 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as may
be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 00 Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
XXX
Attention: Xxx X. Xxxxx
Facsimile No.: x0 000 000 0000
Address for notices or communications to Party B:
Address: 00 Xxxxx Xx. Xxxxx'x
Xxxxxx
XX0X 0XX
Attention: The Secretary
Facsimile No.: 020 7398 6325
With a copy to: (i) HBOS Treasury Services plc
Address: 00 Xxx Xxxxx Xxxxxx
Xxxxxx
XX0X 0XX
Attention: Senior Director, Securitisation
Facsimile No.: 020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance -- Corporate Trust
Facsimile No.: 020 7964 6061/6339
138
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent:
None.
Party B appoints as its Process Agent:
None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is a Multibranch Party and will act through the following
Offices: London.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A: The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B: None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement.
139
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and
will apply to Party A, provided that the application and interpretation of
Section 5(b)(ii) shall be restricted to a Change in Tax Law, as defined below,
as a result of which Party A has been or will be required to pay a Gross-Up
Amount (or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
140
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-1+" by
Standard & Poor's Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex, provided that such posting of
collateral shall be subject to (i) if required by S&P at the time
of such posting, Party A obtaining legal opinions satisfactory to
S&P in relation to such posting and (ii) if the short-term,
unsecured and unsubordinated debt obligations or the long-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as "A-2" or
"BBB+", respectively, by S&P, the monthly valuation of Party B's
Exposure (as defined in the Credit Support Annex), by two
independent third parties that would be eligible and willing to be
transferees of Party A's benefits and obligations under this
Agreement, on the following basis: (x) the valuation may only be
obtained from the same entity up to four times in any twelve month
period; (y) Party B's Exposure, for the purposes of collateral
posting in accordance with the Credit Support Annex shall be deemed
to be equal to the highest of the higher of the two independent
third party valuations bids and the amount calculated in accordance
with the Credit Support Annex; and (z) Party A shall provide S&P
with the two monthly independent third party valuations and its
calculations pursuant to Paragraph 3(b) of the Credit Support Annex
in relation to the day on which the monthly independent third party
valuations are obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such Initial
S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Initial S&P Rating Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of Party
A (or its successor) or any Credit Support Provider from time to time in
respect of Party A cease to be rated at least as high as
141
"A-3" by S&P (such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A
will, within 10 days of the occurrence of such Subsequent S&P Rating
Event, at its own cost either:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the short-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such transfer would maintain the rating of the
Relevant Notes by S&P at, or restore the rating of the Relevant
Notes by S&P to, the level it would have been at immediately prior
to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will result
in the rating of the Relevant Notes following the taking of such
action being maintained at, or restored to, the level it would have
been at immediately prior to such Subsequent S&P Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes to,
the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL XXXXX'X RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Xxxxx'x Rating Event provide
collateral in the form of cash or securities or both in support of
its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Xxxxx'x Rating
Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) a replacement third party as Party A
may agree with Moody's;
142
(3) procure another person to become co-obligor or guarantor in respect
of the obligations of Party A under this Agreement, which co-
obligor or guarantor may be either (x) a person with the Required
Ratings (as defined below) domiciled in the same legal jurisdiction
as Party A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "A3" (or
its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated as high as "Prime-
2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT XXXXX'X RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Xxxxx'x Rating Event, at
its own cost, either:
(aa)transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
(bb)procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co-obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(cc)take such other action as Party A may agree with Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance with
the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least as
high as "Prime-1" and its long-term, unsecured and unsubordinated debt
obligations are rated at least as high as "A1", or such other ratings as
may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the xxxx-to-market value of the outstanding
Transactions. In relation to paragraph (iv)(2) above, Party A will, at
its own cost, on receipt of reasonable notice from Moody's (which, for
the avoidance of doubt, will be no less than 30 days) arrange a third
party valuation of the xxxx-to-market value of the outstanding
Transactions.
143
(v) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A+" (or
its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect of
Party A cease to be rated at least as high as "F1" (or its equivalent) by
Fitch and, as a result of such cessation, the then current rating of the
Relevant Notes is downgraded or placed under review for possible
downgrade by Fitch (an "INITIAL FITCH RATING EVENT") then Party A will,
at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide collateral
in the form of cash or securities or both in support of its
obligations under this Agreement in accordance with the provisions
of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Initial Fitch
Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Initial Fitch Rating Event);
or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Initial Fitch Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB+"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
(A) within 10 days of the First Subsequent Fitch Rating Event provide
collateral in the form of cash or securities in support of its
obligations under this Agreement in accordance with the
144
provisions of the Credit Support Annex (provided that the xxxx-to-
market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party
(with the costs of such independent verification being borne by
Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence of
such First Subsequent Fitch Rating Event, at its own cost, attempt
either to:
(1) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such First
Subsequent Fitch Rating Event); or
(3) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level
it would have been at immediately prior to such First
Subsequent Fitch Rating Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "BBB-"
(or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch to, the
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event);
145
(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch and
the short-term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "F1" (or its
equivalent) by Fitch or Fitch otherwise confirms that such
guarantee would maintain the rating of the Relevant Notes at, or
restore the rating of the Relevant Notes to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking of
such action being maintained at, or restored to, the level it would
have been at immediately prior to such Second Subsequent Fitch
Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or both
in support of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the xxxx-to-market
calculations and the correct and timely posting of collateral thereunder
are verified by an independent third party (with the costs of such
independent verification being borne by Party A)). If any of paragraphs
(vii)(A), (B) or (C) above are satisfied at any time, all collateral (or
the equivalent thereof, as appropriate) transferred by Party A under the
Credit Support Annex will be transferred to Party A and Party A will not
be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in paragraph
(i) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial S&P Rating Event with Party A
as the sole Affected Party and all Transactions as Affected
Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above and fails to
continue to post collateral pending compliance with any of
paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the later of the tenth day following
such Subsequent S&P Rating Event and the thirtieth day following
the Initial S&P Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even if it is posting collateral as required by
paragraph (ii) above and notwithstanding Section 5(a)(ii), Party A
does not take any of the measures described in paragraphs (ii)(A),
(ii)(B) or (ii)(C) above. Such Additional Termination Event will be
deemed to have occurred on the tenth day following the Subsequent
S&P Rating Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in paragraph
(iii)(1), (2), (3) or (4) above, such failure will not be or give
rise to an Event of Default but will constitute an Additional
Termination Event with respect to Party A and will be deemed to
have occurred on the thirtieth day following the occurrence of such
Initial Xxxxx'x Rating Event with Party A as the sole Affected
Party and all Transactions as Affected Transactions.
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such
146
Subsequent Xxxxx'x Rating Event and provided that (i) at least one
Eligible Replacement has made a Firm Offer (which remains capable
of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(g) below and/or
(ii) at least one entity with the First Trigger Required Ratings
and/or the Second Trigger Required Ratings has made a Firm Offer
(which remains capable of becoming legally binding upon acceptance
by the offeree) to provide an Eligible Guarantee in respect of all
of Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the Initial Fitch Rating Event with Party A as the sole
Affected Party and all Transactions as Affected Transactions.
(F) If Party A does not take the measures described in paragraph (vi)
above, such failure will not be or give rise to an Event of Default
but will constitute an Additional Termination Event with respect to
Party A which will be deemed to have occurred on the thirtieth day
following the First Subsequent Fitch Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have occurred
on the tenth day following such Second Subsequent Fitch Rating
Event with Party A as the Defaulting Party. Further, it will
constitute an Additional Termination Event with respect to Party A
if, even after satisfying the above requirements, Party A has
failed, within 30 days following such Second Subsequent Fitch
Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on the
thirtieth day following such Second Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may only
designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired the
Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party B
finding or attempting to find such a replacement counterparty will
be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their
reasonable endeavours to co-operate with Party A in entering into such
documents as may reasonably be requested by Party A in connection with the
provision of such collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity
(each such
147
Affiliate or entity a "TRANSFEREE") upon providing five Business Days' prior
written notice to the Note Trustee, provided that:
(xxi) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and unsubordinated
debt obligations are then rated not less than "A1" by Moody's and "A+" by
Fitch (or its equivalent by any substitute rating agency) or such
Transferee's obligations under this Agreement are guaranteed by an entity
whose short-term, unsecured and unsubordinated debt obligations are then
rated not less than "A-1+" by S&P, "Prime-1" by Moody's and "F1" by Fitch
and whose long-term, unsecured and unsubordinated debt obligations are
then rated not less than "A1" by Moody's and "A+" by Fitch (or its
equivalent by any substitute rating agency);
(xxii) the Transferee will not, as a result of such transfer, be required on the
next succeeding Scheduled Payment Date to withhold or deduct on account
of any Tax (except in respect of default interest) amounts in excess of
that which Party A would, on the next succeeding Scheduled Payment Date
have been required to so withhold or deduct unless the Transferee would
be required to make additional payments pursuant to Section 2(d)(i)(4)
corresponding to such excess;
(xxiii)a Termination Event or Event of Default does not occur as a result
of such transfer;
(xxiv) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(xxv) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise)
this Agreement nor any interest or obligation in or under this Agreement
without the prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's
written request, take any reasonable steps required to be taken by it to effect
such transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or entity.
(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations except
those obligations preferred by operation of law."
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(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written
or oral) received from the other party will be deemed to be an assurance
or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or an
adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
(2) will pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any Gross Up Amount (as defined below)
paid by the Deducting Party to Y under this Section 2(d)) promptly
upon the earlier of determining that such deduction or withholding
is required or receiving notice that such amount has been assessed
against Y;
149
(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment to
which Party B is otherwise entitled under this Agreement, such
additional amount (the "GROSS UP AMOUNT") as is necessary to ensure
that the net amount actually received by Party B will equal the
full amount which Party B would have received had no such deduction
or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction
or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt of
such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross Up
Amount to Party B, Party A will promptly pay to the relevant government
revenue authority the amount of such liability (including any related
liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4) above,
Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance, set-
off or repayment from the tax authorities of any jurisdiction
relating to any deduction or withholding giving rise to such
payment (a "TAX CREDIT"), it will pay to Party A as soon as
practical after receipt of the same so much of the cash benefit (as
calculated below) relating thereto which it has received as will
leave Party B in substantially the same (but in any event no worse)
position as Party B would have been in if no such deduction or
withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance or
set-off, be the additional amount of Tax which would have been
payable by Party B in the jurisdiction referred to in clause (1)
above but for the obtaining by it of the said Tax credit, allowance
or set-off and, in the case of a repayment, will be the amount of
the repayment together, in either case, with any related interest,
repayment supplement or similar payment obtained by Party B; and
(3) it will use all reasonable endeavours to obtain any Tax Credit as
soon as is reasonably practicable provided that it will be the sole
judge of the amount of such Tax Credit and of the date on which the
same is received and will not be obliged to disclose to Party A any
information relating to its tax affairs or tax computations save
that Party B will, upon request by Party A, supply Party A with a
reasonably detailed explanation of its calculation of the amount of
any such Tax Credit and of the date on which the same is received."
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(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the winding
up, dissolution or reorganisation or for the appointment of a receiver,
administrator, administrative receiver, trustee, liquidator, sequestrator
or similar officer of Party B or of any or all of its revenues and assets
nor participate in any ex parte proceedings nor seek to enforce any
judgment against Party B, subject to the provisions of the Master Issuer
Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master Issuer
Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a Potential
Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event
of Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions
and Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment
made to the Master Definitions Schedule will only be binding on Party A if
Party A has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1"
(in the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
151
(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event of
Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its entirety
and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for an
amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number) in
consideration of an agreement between Party B (taking into account
any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would have
the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was
absolute or contingent and assuming the satisfaction of each
applicable condition precedent) by the parties under Section
2(a)(i) in respect of such Terminated Transaction or group of
Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that
date, (3) made on the basis that Unpaid Amounts in respect of the
Terminated Transaction or group of Terminated Transactions are to
be excluded but, without limitation, any payment or delivery that
would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition
precedent) after that Early Termination Date is to be included. The
Replacement Transaction would be subject to such documentation as
such party and the Reference Market-maker may, in good faith,
agree. The party making the determination (or its agent) will
request each Reference Market-maker to provide its quotation to the
extent reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day and
time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a determination
under Section 6(e), and, if each party is so obliged, after
consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party B
fails to make such determination promptly, Party A shall have the
right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the day falling 30
Business Days after the day on which the Early Termination Date
is designated (or such later day as Party B may specify in
writing to Party A, which in any event will not be later than
the Early Termination Date) (such day, the "LATEST SETTLEMENT
AMOUNT DETERMINATION DAY"), the Termination Currency Equivalent
of the amount (whether positive or negative) of such Market
Quotation; or
(b) If no Market Quotation for the relevant Terminated Transaction
or group of Terminated Transactions is accepted by Party B so
as to become legally binding on or before the Latest Settlement
Amount Determination Day or if a Market Quotation would not (in
the reasonable belief of Party B) produce a commercially
reasonable
152
result then Party B's Loss (whether positive or negative and
without reference to any Unpaid amounts) for the relevant
Terminated Transaction or group of Terminated Transactions.
(iii) Party B undertakes to use its reasonable efforts to obtain at least
one Market Quotation before the Latest Settlement Amount
Determination Day.
(iv) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market Quotations,
Party A shall use its reasonable efforts to do so before the Latest
Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations, without
prior request by Party B, before the Latest Settlement Amount
Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount equal
to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the
Termination Currency Equivalent of the Unpaid Amounts owing to
Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall be
subject to netting in accordance with Section 2(c) of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a failure
by Party A to make, when due, any payment under this Agreement, may
be set off against any collateral held by Party B pursuant to the
Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Xxx 0000 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 2 Class A2 Notes (the "RELEVANT NOTES") having a Trade
Date of 21 February 2007 and entered into between Party A and Party B.
153
(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is required to pay
such additional amount as is necessary to ensure that the net amount actually
received by Party B (free and clear of any withholding tax) will equal the full
amount Party B would have received had no such withholding been required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Xxxxx'x First Trigger
Required Ratings and/or the Xxxxx'x Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
154
(F)
SERIES 1 CLASS A
[Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) DELIVERY AMOUNT, RETURN AMOUNT AND CREDIT SUPPORT AMOUNT.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Xxxxx'x Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
(ii) ELIGIBLE CREDIT SUPPORT. The following items will qualify as
"ELIGIBLE CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(A) cash in an Eligible Currency 100 per cent.
(B) negotiable debt obligations issued by the for the purposes of S&P, 98.5 per cent.; for
Government of the United Kingdom or the purposes of Xxxxx'x, 98 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate for the relevant type of obligation
or greater than "AA-" by S&P, "AA-" by and time
155
Fitch and "Aa3" by Xxxxx'x) having to maturity as specified in the
a remaining time to maturity of not more Appendix hereto (as amended by Fitch
than one year; from time to time) (the "ADVANCE RATE").
(C) negotiable debt obligations issued by the for the purposes of S&P, 92 per cent.; for
Government of the United Kingdom or the purposes of Xxxxx'x, 94 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than
one year but not more than 5 years;
(D) negotiable debt obligations issued by the for the purposes of S&P, 85.4 per cent.; for
Government of the United Kingdom or the purposes of Xxxxx'x, 91 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than 5
years but not more than 10 years;
(E) negotiable debt obligations issued by the for the purposes of S&P, 77.5 per cent.; for
Government of the United Kingdom or the purposes of Xxxxx'x, 77.5 per cent.;
the United States of America (with local and for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than
10 years but not more than 15 years; or
(F) such other items as agreed between Party such Valuation Percentage as agreed
A and the Rating Agencies, from time to between Party A and the Rating Agencies
time, which Party B can lawfully receive from time to time in respect of such
from, and transfer back to, Party A as Eligible Credit Support.
required, that will qualify as Eligible
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant
Rating Agencies differ with respect to the same negotiable debt
obligation, for the purposes of B to E above the lower of the
ratings and/or the Valuation Percentages, as the case may be,
shall apply.
(iii) THRESHOLDS.
(A) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Xxxxx'x Rating
Event, a Subsequent Xxxxx'x Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken
156
alternative action as contemplated by Part 5(f) of the
Schedule to the Agreement, in which case the Threshold for
Party A shall be zero; and
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business 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.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that
gives rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance
or of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the
Base Currency Equivalent of the sum of:
(a) (x) the last bid price on such date for such
Securities on the principal national securities
exchange on which such Securities are listed,
multiplied by the applicable Valuation Percentage,
or (y) where any Securities are not listed on a
national securities exchange, the bid price for such
Securities quoted as at the close of business on
such date by any principal market maker (which shall
not be and shall be independent from the Valuation
Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation
Percentage, or (z) if no such bid price is able to
be obtained for such date under sub- paragraphs (x)
or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such
date on which such prices were available, multiplied
by the applicable Valuation Percentage; and
157
(b) the accrued interest where applicable on such
Securities (except to the extent that such interest
shall have been paid to the Transferor pursuant to
Paragraph 5(c)(ii) or included in the applicable
price referred to in Paragraph 11(e)(ii)(A)(a)
above) as of such date,
provided that it is understood that in no circumstances
shall the Transferee be required to transfer a Return
Amount in excess of the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of
the amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent
Credit Support other than Securities and Cash, the Base
Currency Equivalent of the fair market value thereof on
such date, as determined in any reasonable manner chosen by
the Valuation Agent, multiplied by the applicable Valuation
Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency Interest Rate
USD For the relevant determination date, the effective federal
funds rate in U.S. Dollars published on Telerate Page 118
or any successor page for the relevant day at the close
of business in New York on such day.
EUR For the relevant determination date, "EONIA", which means
the overnight rate as calculated by the European Central
Bank for such day, as set forth on Telerate Page 247 or
any successor page.
GBP For the relevant determination date, "XXXXX", which means
the reference rate equal to the overnight rate as
calculated by the Wholesale Markets Brokers' Association
which appears on Telerate Page 3937 or any successor page
under the heading "Sterling Overnight Index" as of
9.00 a.m., London time, on the first London Banking Day
following that day.
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount
will be made on the first Local Business Day following the end of
each calendar month, provided that: (1) Party B has earned and
received such amount of interest, and (2) a Delivery Amount would
not arise as a result of, or if already existing, would not be
increased by, such transfer on such date or on any other Local
Business Day on which Equivalent Credit Support is to be
transferred to the Transferor pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph
5(c)(ii) will apply. For the purposes of calculating the Interest
Amount the amount of interest calculated for each day of the
Interest Period shall, with respect to any Eligible Currency, be
compounded daily.
158
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph
10 shall be deleted and replaced with the following:
"INTEREST AMOUNT" means, with respect to an Interest Period and
each portion of the Credit Support Balance comprised of cash in an
Eligible Currency, the sum of the amounts of interest determined
for each day in that Interest Period by the Valuation Agent as
follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in
the relevant currency on such day (or, if such day is not a
Local Business Day, on the immediately preceding Local
Business Day); multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities,
all principal, interest and other payments and distributions of
cash or other property to which a holder of securities of the same
type, nominal value, description and amount as such Eligible
Credit Support would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit
Support comprised in the Credit Support Balance other than cash,
each date on which a holder of such Eligible Credit Support would
have received Distributions or, if that date is not a Local
Business Day, the next following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(h) OTHER PROVISIONS.
(i) TRANSFER TIMING
(A) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
"Subject to Paragraph 4, and unless otherwise specified,
any transfer of Eligible Credit Support or Equivalent
Credit Support (whether by the Transferor pursuant to
Paragraph 2(a) or by the Transferee pursuant to Paragraph
2(b)) shall be made not later than the close of business on
the Settlement Day."
(B) The definition of Settlement Day shall be deleted and
replaced with the following:
"SETTLEMENT DAY" means: in respect of a transfer of
securities the first Local Business Day after the Demand
Date on which settlement of a trade in the relevant
securities, if effected on the Demand Date, would have
occurred in accordance with customary practice when
settling through the clearance system agreed between the
159
parties for delivery of such securities or, otherwise, on
the market on which such securities are principally traded
(or, in either case, if there is not such customary
practice, on the first Local Business Day after the Demand
Date on which it is reasonably practicable to deliver such
securities); and in respect of any other transfer the next
Local Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Xxxxxxxxx 0,
Xxxxxxxxx 3 or Paragraph 4(a)(2), the relevant
Valuation Date (assuming that, in the case of any
transfer to be made by the Transferee, the
Transferee has received a demand on such date from
the Transferor). For the purposes of Paragraph 2 and
Paragraph 4(a)(2), the Transferor will be deemed to
receive notice of the demand by the Transferee to
make a transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph
3(c)(ii)(A), the date on which the Transferee has
given its consent to the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph
5(c)(i), the Distributions Date.
On each Demand Date the Transferor shall deliver to the
Transferee and the Note Trustee a statement showing the
amount of Eligible Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with
"Early Termination", the words "or a Termination Event where all
Transactions are Affected Transactions" shall be added after the
word "party" in the second line of Paragraph 6, and the words "or
an Affected Party" shall be added after the words "Defaulting
Party" in the fourth line of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible
for, and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this
Annex) in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or
from the Transferee to the Transferor hereto.
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the
amount of Eligible Credit Support that Party A is required to
transfer hereunder following a credit ratings downgrade where
Party A has opted to or is required to transfer Eligible Credit
Support in support of its obligations under the Agreement, the
criteria used by S&P (as set out in S&P's Structured
160
Finance reports entitled "Standard & Poor's Global Interest Rate
and Currency Swap Counterparty Rating Criteria Expanded" dated 17
December 2003 and "Global Interest Rate and Currency Swaps:
Calculating the Collateral Required Amount" dated 26 February
2004) ("S&P CRITERIA"), the criteria used by Xxxxx'x as at the
date of the Agreement ("XXXXX'X CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions:
Swap Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in
respect of each of which the definition of "Credit Support Amount"
is set out below.
XXXXX'X CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the
words "plus the Xxxxx'x Collateral Amount" shall be added after
the words "Transferee's Exposure" in the second line thereof.
For such purposes "XXXXX'X COLLATERAL AMOUNT" shall mean with
respect to a Valuation Date, an amount calculated in accordance
with Appendix B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in
accordance with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party
B shall be amended to mean the following:
the sum of (A) the greater of zero and the aggregate of the
Unadjusted Exposures calculated with respect to each Transaction
plus (B) the aggregate Volatility Buffer Amount calculated with
respect to all such Transactions;
where, for purposes of the foregoing:
(A) "UNADJUSTED EXPOSURE" means the Exposure of Party B as of any
date of determination calculated in accordance with the definition
of "Exposure" prior to amendment in accordance with the provisions
of this Paragraph 11(h)(v);
(B) "VOLATILITY BUFFER" means, with respect to any Transaction at
any time, the applicable percentage as specified in the applicable
table (taking into account the rating of the most senior class of
Notes, the rating of the short term senior unsecured debt
obligations of Party A and the remaining period to the Termination
Date of each Transaction at the time such Volatility Buffer falls
to be determined) set out in the publication by S&P dated 17
December 2003 entitled "Global Interest Rate and Currency Swaps:
Counterparty Rating Criteria expanded" and the publication by S&P
dated 26 February 2004 entitled "Global Interest Rate and Currency
Swaps: Calculating the Collateral Required Amount"1:
(C) "VOLATILITY BUFFER AMOUNT" means, with respect to any
Transaction at any time, the applicable Volatility Buffer
multiplied by the Notional Amount, in each case with respect to
such Transaction at such time.
(D) "SPECIFIED DEBT OBLIGATIONS" means unsecured and
unsubordinated debt obligations.
161
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of
the Fitch Criteria with respect to a Transferor on a Valuation
Date the result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time
determined by reference to the table headed "Volatility Cushion
(%)" appearing at the end of Appendix 2 to the Fitch Ratings
Criteria (and for such purpose calculating the relevant Weighted
Average Life assuming a zero prepayment rate and zero default rate
in relation to the mortgages beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the
words "and shall provide each party (or the other party, if the
Valuation Agent is a party) with a description in reasonable
detail of how such calculations were made, upon reasonable
request" after the word "calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be
made pursuant to Section 12 of this Agreement.
(viii) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning
set out in Paragraph 10 of the Annex, the Valuation Agent shall,
unless otherwise agreed in writing by the Rating Agencies, seek
two quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation,
then fewer than two Reference Market-makers may be used for such
purpose, and if no Reference Market-maker is available, then the
Valuation Agent's estimate at mid-market will be used. Where more
than one quotation is obtained, the quotation representing the
greatest amount of the Transferee's Exposure shall be used by the
Valuation Agent.
(ix) PARAGRAPH 6
For the purposes of determining the Credit Support Balance
pursuant to Paragraph 6, the definition of Value in Paragraph 10
shall be amended by deleting the words "multiplied by the
applicable Valuation Percentage, if any" from sub-paragraphs
(i)(A) and (i)(B).
162
(x) DISTRIBUTIONS
"Distributions" has the meaning specified in Paragraph 10, except
that the words "to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit
Support would be entitled from time to time" shall be deleted and
replaced by the words "received by the Transferee in respect of
such Eligible Credit Support".
"Distribution Date" has the meaning specified in Paragraph 10,
except that the words "a holder of such Eligible Credit Support is
entitled to receive Distributions" shall be deleted and replaced
by the words "Distributions are received by the Transferee".
(xi) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors
thereto;
"MOODY'S" means Xxxxx'x Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Xxxxx'x, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
XxXxxx-Xxxx Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 1 Class A cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation
Date, the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
163
IN WITNESS WHEREOF the parties have signed this Annex as of the date first
above written.
CREDIT SUISSE, LONDON BRANCH PERMANENT MASTER ISSUER PLC
BY:......................... BY:........................
TITLE:...................... TITLE:.....................
DATE:....................... DATE:......................
THE BANK OF NEW YORK
BY:.........................
TITLE:......................
DATE:.......................
164
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT
NEGOTIABLE DEBT OBLIGATIONS OBLIGATIONS ISSUED BY THE
ISSUED BY THE GOVERNMENT GOVERNMENT OF THE UNITED
OF THE UNITED KINGDOM (%) STATES OF AMERICA (%)
REMAINING MATURITY
(YEARS)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
1
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case
the provisions for determining the Moody's Collateral Amount in such
circumstances are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post
collateral pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's
Collateral Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain
extant as at such Valuation Date (as determined by Party A in good faith
on such Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date and (y) 10 multiplied by
DV01 the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date, and (II) 2.5% multiplied by the
current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of
(x) the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date and (y) the percentage specified
in Table 1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
2
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
3
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii)
of the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means,
with respect to a Valuation Date and any Transactions which are Interest Rate
Swap Transactions which remain extant as at such Valuation Date, an amount
equal to either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A
in good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (b) 30 multiplied by DV01, and (II) 11%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as
at such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
4
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
5
(G)
SERIES 1 CLASS B
[Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) DELIVERY AMOUNT, RETURN AMOUNT AND CREDIT SUPPORT AMOUNT.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Moody's Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
(iii) Eligible Credit Support. The following items will qualify
as "ELIGIBLE CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(G) cash in an Eligible Currency 100 per cent.
(H) negotiable debt obligations issued by the for the purposes of S&P, 98.5 per cent.;
Government of the United Kingdom or for the purposes of Moody's, 98 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate for the relevant type of
to or greater than "AA-" by S&P, "AA" obligation and time to maturity as
by Fitch and "Aa3" by Moody's) having specified in the Appendix hereto (as
a remaining time to maturity of not amended by Fitch from time to time) (the
more than one year; "ADVANCE RATE").
6
(I) negotiable debt obligations issued by the for the purposes of S&P, 92 per cent.; for
Government of the United Kingdom or the purposes of Moody's, 94 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P, "AA"
by Fitch and "Aa3" by Moody's) having
a remaining time to maturity of more
than one year but not more than 5 years;
(J) negotiable debt obligations issued by the for the purposes of S&P, 85.4 per cent.;
Government of the United Kingdom or for the purposes of Moody's, 91 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P,
"AA-" by Fitch and "Aa3" by Moody's)
having a remaining time to maturity of
more than 5 years but not more than 10
years;
(K) negotiable debt obligations issued by the for the purposes of S&P, 77.5 per cent.;
Government of the United Kingdom or for the purposes of Moody's, 77.5 per
the United States of America (with local cent.; and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P,
"AA-" by Fitch and "Aa3" by Moody's)
having a remaining time to maturity of
more than 10 years but not more than
15 years; or
(L) such other items as agreed between Party such Valuation Percentage as agreed
A and the Rating Agencies, from time to between Party A and the Rating Agencies
time, which Party B can lawfully receive from time to time in respect of such
from, and transfer back to, Party A as Eligible Credit Support.
required, that will qualify as Eligible
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant
Rating Agencies differ with respect to the same negotiable debt
obligation, for the purposes of B to E above the lower of the
ratings and/or the Valuation Percentages, as the case may be,
shall apply.
(iii) THRESHOLDS.
(B) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Xxxxx'x Rating
Event, a Subsequent Xxxxx'x Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken
7
alternative action as contemplated by Part 5(f) of the
Schedule to the Agreement, in which case the Threshold for
Party A shall be zero; and
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business 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.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that
gives rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance
or of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the
Base Currency Equivalent of the sum of:
(a) (x) the last bid price on such date for such
Securities on the principal national securities
exchange on which such Securities are listed,
multiplied by the applicable Valuation Percentage,
or (y) where any Securities are not listed on a
national securities exchange, the bid price for such
Securities quoted as at the close of business on
such date by any principal market maker (which shall
not be and shall be independent from the Valuation
Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation
Percentage, or (z) if no such bid price is able to
be obtained for such date under sub- paragraphs (x)
or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such
date on which such prices were available, multiplied
by the applicable Valuation Percentage; and
8
(b) the accrued interest where applicable on such Securities
(except to the extent that such interest shall have been
paid to the Transferor pursuant to Paragraph 5(c)(ii) or
included in the applicable price referred to in Paragraph
11(e)(ii)(A)(a) above) as of such date,
provided that it is understood that in no circumstances
shall the Transferee be required to transfer a Return
Amount in excess of the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of the
amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent
Credit Support other than Securities and Cash, the Base
Currency Equivalent of the fair market value thereof on such
date, as determined in any reasonable manner chosen by the
Valuation Agent, multiplied by the applicable Valuation
Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency Interest Rate
USD For the relevant determination date, the effective
federal funds rate in U.S. Dollars published on
Telerate Page 118 or any successor page for the
relevant day at the close of business in New York on
such day.
EUR For the relevant determination date, "EONIA", which
means the overnight rate as calculated by the
European Central Bank for such day, as set forth
on Telerate Page 247 or any successor page.
GBP For the relevant determination date, "XXXXX", which
means the reference rate equal to the overnight
rate as calculated by the Wholesale Markets
Brokers' Association which appears on Telerate
Page 3937 or any successor page under the heading
"Sterling Overnight Index" as of 9.00 a.m., London
time, on the first London Banking Day following
that day.
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount
will be made on the first Local Business Day following the end of
each calendar month, provided that: (1) Party B has earned and
received such amount of interest, and (2) a Delivery Amount would
not arise as a result of, or if already existing, would not be
increased by, such transfer on such date or on any other Local
Business Day on which Equivalent Credit Support is to be
transferred to the Transferor pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph
5(c)(ii) will apply. For the purposes of calculating the Interest
Amount the amount of interest calculated for each day of the
Interest Period shall, with respect to any Eligible Currency, be
compounded daily.
9
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph
10 shall be deleted and replaced with the following:
"INTEREST AMOUNT" means, with respect to an Interest Period and
each portion of the Credit Support Balance comprised of cash in an
Eligible Currency, the sum of the amounts of interest determined
for each day in that Interest Period by the Valuation Agent as
follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in
the relevant currency on such day (or, if such day is not a
Local Business Day, on the immediately preceding Local
Business Day); multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities,
all principal, interest and other payments and distributions of
cash or other property to which a holder of securities of the same
type, nominal value, description and amount as such Eligible
Credit Support would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit
Support comprised in the Credit Support Balance other than cash,
each date on which a holder of such Eligible Credit Support would
have received Distributions or, if that date is not a Local
Business Day, the next following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(i) OTHER PROVISIONS.
(i) TRANSFER TIMING
(A) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
"Subject to Paragraph 4, and unless otherwise specified,
any transfer of Eligible Credit Support or Equivalent
Credit Support (whether by the Transferor pursuant to
Paragraph 2(a) or by the Transferee pursuant to Paragraph
2(b)) shall be made not later than the close of business on
the Settlement Day."
(B) The definition of Settlement Day shall be deleted and
replaced with the following:
"SETTLEMENT DAY" means: in respect of a transfer of
securities the first Local Business Day after the Demand
Date on which settlement of a trade in the relevant
securities, if effected on the Demand Date, would have
occurred in accordance with customary practice when
settling through the clearance system agreed between the
10
parties for delivery of such securities or, otherwise, on
the market on which such securities are principally traded
(or, in either case, if there is not such customary
practice, on the first Local Business Day after the Demand
Date on which it is reasonably practicable to deliver such
securities); and in respect of any other transfer the next
Local Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Xxxxxxxxx 0,
Xxxxxxxxx 3 or Paragraph 4(a)(2), the relevant
Valuation Date (assuming that, in the case of any
transfer to be made by the Transferee, the
Transferee has received a demand on such date from
the Transferor). For the purposes of Paragraph 2 and
Paragraph 4(a)(2), the Transferor will be deemed to
receive notice of the demand by the Transferee to
make a transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph
3(c)(ii)(A), the date on which the Transferee has
given its consent to the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph
5(c)(i), the Distributions Date.
On each Demand Date the Transferor shall deliver to the
Transferee and the Note Trustee a statement showing the
amount of Eligible Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with
"Early Termination", the words "or a Termination Event where all
Transactions are Affected Transactions" shall be added after the
word "party" in the second line of Paragraph 6, and the words "or
an Affected Party" shall be added after the words "Defaulting
Party" in the fourth line of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible
for, and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this
Annex) in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or
from the Transferee to the Transferor hereto.
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the
amount of Eligible Credit Support that Party A is required to
transfer hereunder following a credit ratings downgrade where
Party A has opted to or is required to transfer Eligible Credit
Support in support of its obligations under the Agreement, the
criteria used by S&P (as set out in S&P's Structured
11
Finance reports entitled "Standard & Poor's Global Interest Rate
and Currency Swap Counterparty Rating Criteria Expanded" dated 17
December 2003 and "Global Interest Rate and Currency Swaps:
Calculating the Collateral Required Amount" dated 26 February
2004) ("S&P CRITERIA"), the criteria used by Xxxxx'x as at the
date of the Agreement ("XXXXX'X CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions:
Swap Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in
respect of each of which the definition of "Credit Support Amount"
is set out below.
XXXXX'X CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the
words "plus the Xxxxx'x Collateral Amount" shall be added after
the words "Transferee's Exposure" in the second line thereof.
For such purposes "XXXXX'X COLLATERAL AMOUNT" shall mean with
respect to a Valuation Date, an amount calculated in accordance
with Appendix B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in
accordance with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party
B shall be amended to mean the following:
the sum of (A) the greater of zero and the aggregate of the
Unadjusted Exposures calculated with respect to each Transaction
plus (B) the aggregate Volatility Buffer Amount calculated with
respect to all such Transactions;
where, for purposes of the foregoing:
(A)"UNADJUSTED EXPOSURE" means the Exposure of Party B as of any
date of determination calculated in accordance with the definition
of "Exposure" prior to amendment in accordance with the provisions
of this Paragraph 11(h)(v);
(B)"VOLATILITY BUFFER" means, with respect to any Transaction at
any time, the applicable percentage as specified in the applicable
table (taking into account the rating of the most senior class of
Notes, the rating of the short term senior unsecured debt
obligations of Party A and the remaining period to the Termination
Date of each Transaction at the time such Volatility Buffer falls
to be determined) set out in the publication by S&P dated 17
December 2003 entitled "Global Interest Rate and Currency Swaps:
Counterparty Rating Criteria expanded" and the publication by S&P
dated 26 February 2004 entitled "Global Interest Rate and Currency
Swaps: Calculating the Collateral Required Amount"2:
(C)"VOLATILITY BUFFER AMOUNT" means, with respect to any
Transaction at any time, the applicable Volatility Buffer
multiplied by the Notional Amount, in each case with respect to
such Transaction at such time.
(D)"SPECIFIED DEBT OBLIGATIONS" means unsecured and unsubordinated
debt obligations.
12
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of
the Fitch Criteria with respect to a Transferor on a Valuation
Date the result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time
determined by reference to the table headed "Volatility Cushion
(%)" appearing at the end of Appendix 2 to the Fitch Ratings
Criteria (and for such purpose calculating the relevant Weighted
Average Life assuming a zero prepayment rate and zero default rate
in relation to the mortgages beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the
words "and shall provide each party (or the other party, if the
Valuation Agent is a party) with a description in reasonable
detail of how such calculations were made, upon reasonable
request" after the word "calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be
made pursuant to Section 12 of this Agreement.
(xii) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning
set out in Paragraph 10 of the Annex, the Valuation Agent shall,
unless otherwise agreed in writing by the Rating Agencies, seek
two quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation,
then fewer than two Reference Market-makers may be used for such
purpose, and if no Reference Market-maker is available, then the
Valuation Agent's estimate at mid-market will be used. Where more
than one quotation is obtained, the quotation representing the
greatest amount of the Transferee's Exposure shall be used by the
Valuation Agent.
(xiii) PARAGRAPH 6
For the purposes of determining the Credit Support Balance
pursuant to Paragraph 6, the definition of Value in Paragraph 10
shall be amended by deleting the words "multiplied by the
applicable Valuation Percentage, if any" from sub-paragraphs
(i)(A) and (i)(B).
13
(xiv) DISTRIBUTIONS
"Distributions" has the meaning specified in Paragraph 10, except
that the words "to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit
Support would be entitled from time to time" shall be deleted and
replaced by the words "received by the Transferee in respect of
such Eligible Credit Support".
"Distribution Date" has the meaning specified in Paragraph 10,
except that the words "a holder of such Eligible Credit Support is
entitled to receive Distributions" shall be deleted and replaced
by the words "Distributions are received by the Transferee".
(xv) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors
thereto;
"MOODY'S" means Xxxxx'x Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Xxxxx'x, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
XxXxxx-Xxxx Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 1 Class B cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation
Date, the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
14
IN WITNESS WHEREOF the parties have signed this Annex as of the date first
above written.
CREDIT SUISSE, LONDON BRANCH PERMANENT MASTER ISSUER PLC
BY:......................... BY:........................
TITLE:...................... TITLE:.....................
DATE:....................... DATE:......................
THE BANK OF NEW YORK
BY:.........................
TITLE:......................
DATE:.......................
15
SERIES 1 CLASS C
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT OBLIGATIONS NEGOTIABLE DEBT OBLIGATIONS
REMAINING MATURITY ISSUED BY THE GOVERNMENT ISSUED BY THE GOVERNMENT OF
(YEARS) OF THE UNITED KINGDOM (%) THE UNITED STATES OF AMERICA (%)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
1
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case
the provisions for determining the Moody's Collateral Amount in such
circumstances are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post
collateral pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's
Collateral Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain
extant as at such Valuation Date (as determined by Party A in good faith
on such Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date and (y) 10 multiplied by
DV01 the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date, and (II) 2.5% multiplied by the
current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of
(x) the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date and (y) the percentage specified
in Table 1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
2
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
3
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii)
of the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means,
with respect to a Valuation Date and any Transactions which are Interest Rate
Swap Transactions which remain extant as at such Valuation Date, an amount
equal to either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A
in good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (b) 30 multiplied by DV01, and (II) 11%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as
at such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
4
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
5
(H)
SERIES 1 CLASS C
[Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) Delivery Amount, Return Amount and Credit Support Amount.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Moody's Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
(iv) ELIGIBLE CREDIT SUPPORT. The following items will qualify as
"ELIGIBLE CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(M) cash in an Eligible Currency 100 per cent.
(N) negotiable debt obligations issued by the for the purposes of S&P, 98.5 per cent.; for
Government of the United Kingdom or the purposes of Moody's, 98 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate for the relevant type of obligation
or greater than "AA-" by S&P, "AA-" by and time to maturity as specified in the
Fitch and "Aa3" by Moody's) having a Appendix hereto (as amended by Fitch
remaining time to maturity of not more from time to time) (the "ADVANCE RATE").
than one year;
6
(O) negotiable debt obligations issued by the for the purposes of S&P, 92 per cent.; for
Government of the United Kingdom or the purposes of Moody's, 94 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Moody's) having a
remaining time to maturity of more than
one year but not more than 5 years;
(P) negotiable debt obligations issued by the for the purposes of S&P, 85.4 per cent.; for
Government of the United Kingdom or the purposes of Moody's, 91 per cent.; and
the United States of America (with local for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Moody's) having a
remaining time to maturity of more than 5
years but not more than 10 years;
(Q) negotiable debt obligations issued by the for the purposes of S&P, 77.5 per cent.; for
Government of the United Kingdom or the purposes of Moody's, 77.5 per cent.;
the United States of America (with local and for the purposes of Fitch, the Advance
and foreign currency issuer ratings equal to Rate.
or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Moody's) having a
remaining time to maturity of more than
10 years but not more than 15 years; or
(R) such other items as agreed between Party such Valuation Percentage as agreed
A and the Rating Agencies, from time to between Party A and the Rating Agencies
time, which Party B can lawfully receive from time to time in respect of such
from, and transfer back to, Party A as Eligible Credit Support.
required, that will qualify as Eligible
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant
Rating Agencies differ with respect to the same negotiable debt
obligation, for the purposes of B to E above the lower of the
ratings and/or the Valuation Percentages, as the case may be,
shall apply.
(iii) THRESHOLDS.
(C) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Xxxxx'x Rating
Event, a Subsequent Xxxxx'x Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken alternative action as
contemplated by Part 5(f) of the Schedule to the Agreement,
in which case the Threshold for Party A shall be zero; and
7
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business 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.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that
gives rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance
or of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the
Base Currency Equivalent of the sum of:
(a) (x) the last bid price on such date for such
Securities on the principal national securities
exchange on which such Securities are listed,
multiplied by the applicable Valuation Percentage,
or (y) where any Securities are not listed on a
national securities exchange, the bid price for such
Securities quoted as at the close of business on
such date by any principal market maker (which shall
not be and shall be independent from the Valuation
Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation
Percentage, or (z) if no such bid price is able to
be obtained for such date under sub- paragraphs (x)
or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such
date on which such prices were available, multiplied
by the applicable Valuation Percentage; and
8
(b) the accrued interest where applicable on such
Securities (except to the extent that such interest
shall have been paid to the Transferor pursuant to
Paragraph 5(c)(ii) or included in the applicable
price referred to in Paragraph 11(e)(ii)(A)(a)
above) as of such date,
provided that it is understood that in no circumstances
shall the Transferee be required to transfer a Return
Amount in excess of the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of
the amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent
Credit Support other than Securities and Cash, the Base
Currency Equivalent of the fair market value thereof on
such date, as determined in any reasonable manner chosen by
the Valuation Agent, multiplied by the applicable Valuation
Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency Interest Rate
USD For the relevant determination date, the effective federal funds
rate in U.S. Dollars published on Telerate Page 118 or any
successor page for the relevant day at the close of business in
New York on such day.
EUR For the relevant determination date, "EONIA", which means
the overnight rate as calculated by the European Central Bank
for such day, as set forth on Telerate Page 247 or any successor
page.
GBP For the relevant determination date, "XXXXX", which means the
reference rate equal to the overnight rate as calculated by the
Wholesale Markets Brokers' Association which appears on
Telerate Page 3937 or any successor page under the heading
"Sterling Overnight Index" as of 9.00 a.m., London time, on the
first London Banking Day following that day.
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount
will be made on the first Local Business Day following the end of
each calendar month, provided that: (1) Party B has earned and
received such amount of interest, and (2) a Delivery Amount would
not arise as a result of, or if already existing, would not be
increased by, such transfer on such date or on any other Local
Business Day on which Equivalent Credit Support is to be
transferred to the Transferor pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph
5(c)(ii) will apply. For the purposes of calculating the Interest
Amount the amount of interest calculated for each day of the
Interest Period shall, with respect to any Eligible Currency, be
compounded daily.
9
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph
10 shall be deleted and replaced with the following:
"INTEREST AMOUNT" means, with respect to an Interest Period and
each portion of the Credit Support Balance comprised of cash in an
Eligible Currency, the sum of the amounts of interest determined
for each day in that Interest Period by the Valuation Agent as
follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in
the relevant currency on such day (or, if such day is not a
Local Business Day, on the immediately preceding Local
Business Day); multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities,
all principal, interest and other payments and distributions of
cash or other property to which a holder of securities of the same
type, nominal value, description and amount as such Eligible
Credit Support would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit
Support comprised in the Credit Support Balance other than cash,
each date on which a holder of such Eligible Credit Support would
have received Distributions or, if that date is not a Local
Business Day, the next following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(J) OTHER PROVISIONS.
(i) TRANSFER TIMING
(C) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
"Subject to Paragraph 4, and unless otherwise specified,
any transfer of Eligible Credit Support or Equivalent
Credit Support (whether by the Transferor pursuant to
Paragraph 2(a) or by the Transferee pursuant to Paragraph
2(b)) shall be made not later than the close of business on
the Settlement Day."
(B) The definition of Settlement Day shall be deleted and
replaced with the following:
"SETTLEMENT DAY" means: in respect of a transfer of
securities the first Local Business Day after the Demand
Date on which settlement of a trade in the relevant
securities, if effected on the Demand Date, would have
occurred in accordance with customary practice when
settling through the clearance system agreed between the
10
parties for delivery of such securities or, otherwise, on
the market on which such securities are principally traded
(or, in either case, if there is not such customary
practice, on the first Local Business Day after the Demand
Date on which it is reasonably practicable to deliver such
securities); and in respect of any other transfer the next
Local Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Xxxxxxxxx 0,
Xxxxxxxxx 3 or Paragraph 4(a)(2), the relevant
Valuation Date (assuming that, in the case of any
transfer to be made by the Transferee, the
Transferee has received a demand on such date from
the Transferor). For the purposes of Paragraph 2 and
Paragraph 4(a)(2), the Transferor will be deemed to
receive notice of the demand by the Transferee to
make a transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph
3(c)(ii)(A), the date on which the Transferee has
given its consent to the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph
5(c)(i), the Distributions Date.
On each Demand Date the Transferor shall deliver to the
Transferee and the Note Trustee a statement showing the
amount of Eligible Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with
"Early Termination", the words "or a Termination Event where all
Transactions are Affected Transactions" shall be added after the
word "party" in the second line of Paragraph 6, and the words "or
an Affected Party" shall be added after the words "Defaulting
Party" in the fourth line of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible
for, and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this
Annex) in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or
from the Transferee to the Transferor hereto.
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the
amount of Eligible Credit Support that Party A is required to
transfer hereunder following a credit ratings downgrade where
Party A has opted to or is required to transfer Eligible Credit
Support in support of its obligations under the Agreement, the
criteria used by S&P (as set out in S&P's Structured
11
Finance reports entitled "Standard & Poor's Global Interest Rate
and Currency Swap Counterparty Rating Criteria Expanded" dated 17
December 2003 and "Global Interest Rate and Currency Swaps:
Calculating the Collateral Required Amount" dated 26 February
2004) ("S&P CRITERIA"), the criteria used by Moody's as at the
date of the Agreement ("MOODY'S CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions:
Swap Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in
respect of each of which the definition of "Credit Support Amount"
is set out below.
MOODY'S CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the
words "plus the Moody's Collateral Amount" shall be added after
the words "Transferee's Exposure" in the second line thereof.
For such purposes "MOODY'S COLLATERAL AMOUNT" shall mean with
respect to a Valuation Date, an amount calculated in accordance
with Appendix B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in
accordance with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party
B shall be amended to mean the following:
the sum of (A) the greater of zero and the aggregate of the
Unadjusted Exposures calculated with respect to each Transaction
plus (B) the aggregate Volatility Buffer Amount calculated with
respect to all such Transactions;
where, for purposes of the foregoing:
(A) "UNADJUSTED EXPOSURE" means the Exposure of Party B as of any
date of determination calculated in accordance with the definition
of "Exposure" prior to amendment in accordance with the provisions
of this Paragraph 11(h)(v);
(B) "VOLATILITY BUFFER" means, with respect to any Transaction at
any time, the applicable percentage as specified in the applicable
table (taking into account the rating of the most senior class of
Notes, the rating of the short term senior unsecured debt
obligations of Party A and the remaining period to the Termination
Date of each Transaction at the time such Volatility Buffer falls
to be determined) set out in the publication by S&P dated 17
December 2003 entitled "Global Interest Rate and Currency Swaps:
Counterparty Rating Criteria expanded" and the publication by S&P
dated 26 February 2004 entitled "Global Interest Rate and Currency
Swaps: Calculating the Collateral Required Amount"3:
(C) "VOLATILITY BUFFER AMOUNT" means, with respect to any
Transaction at any time, the applicable Volatility Buffer
multiplied by the Notional Amount, in each case with respect to
such Transaction at such time.
(D) "SPECIFIED DEBT OBLIGATIONS" means unsecured and
unsubordinated debt obligations.
12
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of
the Fitch Criteria with respect to a Transferor on a Valuation
Date the result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time
determined by reference to the table headed "Volatility Cushion
(%)" appearing at the end of Appendix 2 to the Fitch Ratings
Criteria (and for such purpose calculating the relevant Weighted
Average Life assuming a zero prepayment rate and zero default rate
in relation to the mortgages beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the
words "and shall provide each party (or the other party, if the
Valuation Agent is a party) with a description in reasonable
detail of how such calculations were made, upon reasonable
request" after the word "calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be
made pursuant to Section 12 of this Agreement.
(xvi) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning
set out in Paragraph 10 of the Annex, the Valuation Agent shall,
unless otherwise agreed in writing by the Rating Agencies, seek
two quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation,
then fewer than two Reference Market-makers may be used for such
purpose, and if no Reference Market-maker is available, then the
Valuation Agent's estimate at mid-market will be used. Where more
than one quotation is obtained, the quotation representing the
greatest amount of the Transferee's Exposure shall be used by the
Valuation Agent.
(xvii) PARAGRAPH 6
For the purposes of determining the Credit Support Balance
pursuant to Paragraph 6, the definition of Value in Paragraph 10
shall be amended by deleting the words "multiplied by the
applicable Valuation Percentage, if any" from sub-paragraphs
(i)(A) and (i)(B).
13
(xviii) DISTRIBUTIONS
"DISTRIBUTIONS" has the meaning specified in Paragraph 10, except
that the words "to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit
Support would be entitled from time to time" shall be deleted and
replaced by the words "received by the Transferee in respect of
such Eligible Credit Support".
"DISTRIBUTION DATE" has the meaning specified in Paragraph 10,
except that the words "a holder of such Eligible Credit Support is
entitled to receive Distributions" shall be deleted and replaced
by the words "Distributions are received by the Transferee".
(xix) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors
thereto;
"MOODY'S" means Xxxxx'x Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Xxxxx'x, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
XxXxxx-Xxxx Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 1 Class C cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation
Date, the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
14
IN WITNESS WHEREOF the parties have signed this Annex as of the date first
above written.
CREDIT SUISSE, LONDON BRANCH PERMANENT MASTER ISSUER PLC
BY:......................... BY:........................
TITLE:...................... TITLE:.....................
DATE:....................... DATE:......................
THE BANK OF NEW YORK
BY:.................
TITLE:..............
DATE:...............
15
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT
NEGOTIABLE DEBT OBLIGATIONS OBLIGATIONS ISSUED BY THE
ISSUED BY THE GOVERNMENT GOVERNMENT OF THE UNITED
OF THE UNITED KINGDOM (%) STATES OF AMERICA (%)
REMAINING MATURITY
(YEARS)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
1
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case
the provisions for determining the Moody's Collateral Amount in such
circumstances are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post
collateral pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's
Collateral Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain
extant as at such Valuation Date (as determined by Party A in good faith
on such Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date and (y) 10 multiplied by
DV01 the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date, and (II) 2.5% multiplied by the
current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of
(x) the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date and (y) the percentage specified
in Table 1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
2
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
3
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii)
of the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means,
with respect to a Valuation Date and any Transactions which are Interest Rate
Swap Transactions which remain extant as at such Valuation Date, an amount
equal to either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A
in good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (b) 30 multiplied by DV01, and (II) 11%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as
at such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
4
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
5
(I)
SERIES 2 CLASS A1
[Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) DELIVERY AMOUNT, RETURN AMOUNT AND CREDIT SUPPORT AMOUNT.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Moody's Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
(v) ELIGIBLE CREDIT SUPPORT. The following items will qualify as
"ELIGIBLE CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(S) cash in an Eligible Currency 100 per cent.
(T) negotiable debt obligations issued by for the purposes of S&P, 98.5 per cent.; for the
the Government of the United purposes of Moody's, 98 per cent.; and for the
Kingdom or the United States of purposes of Fitch, the Advance Rate for the
America (with local and foreign relevant type of obligation and time to maturity
currency issuer ratings equal to or as specified in the Appendix hereto (as amended
greater than "AA-" by S&P, "AA-" by Fitch from time to time) (the "ADVANCE
by Fitch and "Aa3" by Moody's) RATE").
having a remaining time to maturity
of not more than one year;
(U) negotiable debt obligations issued by for the purposes of S&P, 92 per cent.; for the
the Government of the United purposes of Moody's, 94 per cent.; and for the
Kingdom or the United States of purposes of Fitch, the Advance Rate.
America (with local and foreign
currency issuer ratings equal to or
greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Moody's)
having a remaining time to maturity
of more than one year but not more
than 5 years;
(V) negotiable debt obligations issued by for the purposes of S&P, 85.4 per cent.; for the
the Government of the United purposes of Moody's, 91 per cent.; and for the
Kingdom or the United States of purposes of Fitch, the Advance Rate.
America (with local and foreign
currency issuer ratings equal to or
greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Moody's)
having a remaining time to maturity
of more than 5 years but not more
than 10 years;
(W) negotiable debt obligations issued by for the purposes of S&P, 77.5 per cent.; for the
the Government of the United purposes of Moody's, 77.5 per cent.; and for the
Kingdom or the United States of purposes of Fitch, the Advance Rate.
America (with local and foreign
currency issuer ratings equal to or
greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Moody's)
having a remaining time to maturity
of more than 10 years but not more
than 15 years; or
(X) such other items as agreed between such Valuation Percentage as agreed between
Party A and the Rating Agencies, Party A and the Rating Agencies from time to
from time to time, which Party B time in respect of such Eligible Credit Support.
can lawfully receive from, and
transfer back to, Party A as
required, that will qualify as Eligible
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant
Rating Agencies differ with respect to the same negotiable debt
obligation, for the purposes of B to E above the lower of the
ratings and/or the Valuation Percentages, as the case may be, shall
apply.
(iii) THRESHOLDS.
(A) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Xxxxx'x Rating
Event, a Subsequent Xxxxx'x Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken
7
alternative action as contemplated by Part 5(f) of the
Schedule to the Agreement, in which case the Threshold for
Party A shall be zero; and
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business 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.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that
gives rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance
or of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the
Base Currency Equivalent of the sum of:
(a) (x) the last bid price on such date for such
Securities on the principal national securities
exchange on which such Securities are listed,
multiplied by the applicable Valuation Percentage,
or (y) where any Securities are not listed on a
national securities exchange, the bid price for such
Securities quoted as at the close of business on
such date by any principal market maker (which shall
not be and shall be independent from the Valuation
Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation
Percentage, or (z) if no such bid price is able to
be obtained for such date under sub- paragraphs (x)
or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such
date on which such prices were available, multiplied
by the applicable Valuation Percentage; and
8
(b) the accrued interest where applicable on such
Securities (except to the extent that such interest
shall have been paid to the Transferor pursuant to
Paragraph 5(c)(ii) or included in the applicable
price referred to in Paragraph 11(e)(ii)(A)(a)
above) as of such date,
provided that it is understood that in no circumstances
shall the Transferee be required to transfer a Return
Amount in excess of the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of
the amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent
Credit Support other than Securities and Cash, the Base
Currency Equivalent of the fair market value thereof on
such date, as determined in any reasonable manner chosen by
the Valuation Agent, multiplied by the applicable Valuation
Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency
Interest Rate
USD For the relevant determination date, the
effective federal funds rate in U.S.
Dollars published on Telerate Page 118
or any successor page for the relevant day
at the close of business in New York on
such day.
EUR For the relevant determination date,
"EONIA", which means the overnight rate
as calculated by the European Central Bank
for such day, as set forth on Telerate
Page 247 or any successor page.
GBP For the relevant determination date,
"XXXXX", which means the reference rate
equal to the overnight rate as calculated
by the Wholesale Markets Brokers'
Association which appears on Telerate
Page 3937 or any successor page under the
heading "Sterling Overnight Index" as of
9.00 a.m., London time, on the first
London Banking Day following that day.
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount
will be made on the first Local Business Day following the end of
each calendar month, provided that: (1) Party B has earned and
received such amount of interest, and (2) a Delivery Amount would
not arise as a result of, or if already existing, would not be
increased by, such transfer on such date or on any other Local
Business Day on which Equivalent Credit Support is to be
transferred to the Transferor pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph
5(c)(ii) will apply. For the purposes of calculating the Interest
Amount the amount of interest calculated for each day of the
Interest Period shall, with respect to any Eligible Currency, be
compounded daily.
9
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph
10 shall be deleted and replaced with the following:
"INTEREST AMOUNT" means, with respect to an Interest Period and
each portion of the Credit Support Balance comprised of cash in an
Eligible Currency, the sum of the amounts of interest determined
for each day in that Interest Period by the Valuation Agent as
follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in
the relevant currency on such day (or, if such day is not a
Local Business Day, on the immediately preceding Local
Business Day); multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities,
all principal, interest and other payments and distributions of
cash or other property to which a holder of securities of the same
type, nominal value, description and amount as such Eligible
Credit Support would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit
Support comprised in the Credit Support Balance other than cash,
each date on which a holder of such Eligible Credit Support would
have received Distributions or, if that date is not a Local
Business Day, the next following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(k) OTHER PROVISIONS.
(i) TRANSFER TIMING
(D) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
"Subject to Paragraph 4, and unless otherwise specified, any
transfer of Eligible Credit Support or Equivalent Credit Support
(whether by the Transferor pursuant to Paragraph 2(a) or by the
Transferee pursuant to Paragraph 2(b)) shall be made not later
than the close of business on the Settlement Day."
(B) The definition of Settlement Day shall be deleted and replaced
with the following:
"SETTLEMENT DAY" means: in respect of a transfer of securities the
first Local Business Day after the Demand Date on which settlement
of a trade in the relevant securities, if effected on the Demand
Date, would have occurred in accordance with customary practice
when settling through the clearance system agreed between the
10
parties for delivery of such securities or, otherwise, on the
market on which such securities are principally traded (or, in
either case, if there is not such customary practice, on the first
Local Business Day after the Demand Date on which it is reasonably
practicable to deliver such securities); and in respect of any
other transfer the next Local Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Xxxxxxxxx 0,
Xxxxxxxxx 3 or Paragraph 4(a)(2), the relevant Valuation
Date (assuming that, in the case of any transfer to be made
by the Transferee, the Transferee has received a demand on
such date from the Transferor). For the purposes of
Paragraph 2 and Paragraph 4(a)(2), the Transferor will be
deemed to receive notice of the demand by the Transferee to
make a transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph
3(c)(ii)(A), the date on which the Transferee has given its
consent to the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph 5(c)(i),
the Distributions Date.
On each Demand Date the Transferor shall deliver to the Transferee
and the Note Trustee a statement showing the amount of Eligible
Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with
"Early Termination", the words "or a Termination Event where all
Transactions are Affected Transactions" shall be added after the
word "party" in the second line of Paragraph 6, and the words "or
an Affected Party" shall be added after the words "Defaulting
Party" in the fourth line of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible
for, and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this
Annex) in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or
from the Transferee to the Transferor hereto.
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the
amount of Eligible Credit Support that Party A is required to
transfer hereunder following a credit ratings downgrade where
Party A has opted to or is required to transfer Eligible Credit
Support in support of its obligations under the Agreement, the
criteria used by S&P (as set out in S&P's Structured
11
Finance reports entitled "Standard & Poor's Global Interest Rate
and Currency Swap Counterparty Rating Criteria Expanded" dated 17
December 2003 and "Global Interest Rate and Currency Swaps:
Calculating the Collateral Required Amount" dated 26 February
2004) ("S&P CRITERIA"), the criteria used by Moody's as at the
date of the Agreement ("MOODY'S CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions:
Swap Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in
respect of each of which the definition of "Credit Support Amount"
is set out below.
MOODY'S CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the
words "plus the Moody's Collateral Amount" shall be added after
the words "Transferee's Exposure" in the second line thereof.
For such purposes "MOODY'S COLLATERAL AMOUNT" shall mean with
respect to a Valuation Date, an amount calculated in accordance
with Appendix B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in
accordance with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party
B shall be amended to mean the following:
the sum of (A) the greater of zero and the aggregate of the
Unadjusted Exposures calculated with respect to each Transaction
plus (B) the aggregate Volatility Buffer Amount calculated with
respect to all such Transactions;
where, for purposes of the foregoing:
(A) "UNADJUSTED EXPOSURE" means the Exposure of Party B as of any
date of determination calculated in accordance with the definition
of "Exposure" prior to amendment in accordance with the provisions
of this Paragraph 11(h)(v);
(B) "VOLATILITY BUFFER" means, with respect to any Transaction at
any time, the applicable percentage as specified in the applicable
table (taking into account the rating of the most senior class of
Notes, the rating of the short term senior unsecured debt
obligations of Party A and the remaining period to the Termination
Date of each Transaction at the time such Volatility Buffer falls
to be determined) set out in the publication by S&P dated 17
December 2003 entitled "Global Interest Rate and Currency Swaps:
Counterparty Rating Criteria expanded" and the publication by S&P
dated 26 February 2004 entitled "Global Interest Rate and Currency
Swaps: Calculating the Collateral Required Amount"4:
(C) "VOLATILITY BUFFER AMOUNT" means, with respect to any
Transaction at any time, the applicable Volatility Buffer
multiplied by the Notional Amount, in each case with respect to
such Transaction at such time.
(D) "SPECIFIED DEBT OBLIGATIONS" means unsecured and
unsubordinated debt obligations.
12
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of
the Fitch Criteria with respect to a Transferor on a Valuation
Date the result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time
determined by reference to the table headed "Volatility Cushion
(%)" appearing at the end of Appendix 2 to the Fitch Ratings
Criteria (and for such purpose calculating the relevant Weighted
Average Life assuming a zero prepayment rate and zero default rate
in relation to the mortgages beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the
words "and shall provide each party (or the other party, if the
Valuation Agent is a party) with a description in reasonable
detail of how such calculations were made, upon reasonable
request" after the word "calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be
made pursuant to Section 12 of this Agreement.
(xx) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning
set out in Paragraph 10 of the Annex, the Valuation Agent shall,
unless otherwise agreed in writing by the Rating Agencies, seek
two quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation,
then fewer than two Reference Market-makers may be used for such
purpose, and if no Reference Market-maker is available, then the
Valuation Agent's estimate at mid-market will be used. Where more
than one quotation is obtained, the quotation representing the
greatest amount of the Transferee's Exposure shall be used by the
Valuation Agent.
(xxi) PARAGRAPH 6
For the purposes of determining the Credit Support Balance
pursuant to Paragraph 6, the definition of Value in Paragraph 10
shall be amended by deleting the words "multiplied by the
applicable Valuation Percentage, if any" from sub-paragraphs
(i)(A) and (i)(B).
13
(xxii) DISTRIBUTIONS
"Distributions" has the meaning specified in Paragraph 10, except
that the words "to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit
Support would be entitled from time to time" shall be deleted and
replaced by the words "received by the Transferee in respect of
such Eligible Credit Support".
"Distribution Date" has the meaning specified in Paragraph 10,
except that the words "a holder of such Eligible Credit Support is
entitled to receive Distributions" shall be deleted and replaced
by the words "Distributions are received by the Transferee".
(xxiii) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors
thereto;
"MOODY'S" means Xxxxx'x Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Xxxxx'x, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
XxXxxx-Xxxx Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 2 Class A1 cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation
Date, the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
14
IN WITNESS WHEREOF the parties have signed this Annex as of the date first
above written.
CREDIT SUISSE, LONDON BRANCH PERMANENT MASTER ISSUER PLC
BY:......................... BY:........................
TITLE:...................... TITLE:.....................
DATE:....................... DATE:......................
THE BANK OF NEW YORK
BY:.........................
TITLE:......................
DATE:.......................
15
SERIES 2 CLASS A2
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT OBLIGATIONS ISSUED NEGOTIABLE DEBT OBLIGATIONS ISSUED
BY THE GOVERNMENT OF THE UNITED BY THE GOVERNMENT OF THE UNITED
KINGDOM (%) STATES OF AMERICA (%)
REMAINING MATURITY (YEARS)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
1
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case
the provisions for determining the Moody's Collateral Amount in such
circumstances are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post
collateral pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's
Collateral Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain
extant as at such Valuation Date (as determined by Party A in good faith
on such Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date and (y) 10 multiplied by
DV01 the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date, and (II) 2.5% multiplied by the
current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of
(x) the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date and (y) the percentage specified
in Table 1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
2
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
3
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii)
of the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means,
with respect to a Valuation Date and any Transactions which are Interest Rate
Swap Transactions which remain extant as at such Valuation Date, an amount
equal to either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A
in good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (b) 30 multiplied by DV01, and (II) 11%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as
at such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Xxxxx'x
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
4
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
5
(J)
SERIES 2 CLASS A2
[Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) DELIVERY AMOUNT, RETURN AMOUNT AND CREDIT SUPPORT AMOUNT.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Xxxxx'x Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
(vi) ELIGIBLE CREDIT SUPPORT. The following items will qualify as
"ELIGIBLE CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(Y) cash in an Eligible Currency 100 per cent.
(Z) negotiable debt obligations issued by the for the purposes of S&P, 98.5 per cent.;
Government of the United Kingdom or for the purposes of Xxxxx'x, 98 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate for the relevant type of
to or greater than "AA-" by S&P, "AA-" obligation and time to maturity as
by Fitch and "Aa3" by Xxxxx'x) having a specified in the Appendix hereto (as
remaining time to maturity of not more amended by Fitch from time to time)
than one year; (the "ADVANCE RATE").
6
(AA) negotiable debt obligations issued by the for the purposes of S&P, 92 per cent.; for
Government of the United Kingdom or the purposes of Xxxxx'x, 94 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than
one year but not more than 5 years;
(BB) negotiable debt obligations issued by the for the purposes of S&P, 85.4 per cent.;
Government of the United Kingdom or for the purposes of Xxxxx'x, 91 per cent.;
the United States of America (with local and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than 5
years but not more than 10 years;
(CC) negotiable debt obligations issued by the for the purposes of S&P, 77.5 per cent.;
Government of the United Kingdom or for the purposes of Xxxxx'x, 77.5 per
the United States of America (with local cent.; and for the purposes of Fitch, the
and foreign currency issuer ratings equal Advance Rate.
to or greater than "AA-" by S&P, "AA-"
by Fitch and "Aa3" by Xxxxx'x) having a
remaining time to maturity of more than
10 years but not more than 15 years; or
(DD) such other items as agreed between Party such Valuation Percentage as agreed
A and the Rating Agencies, from time to between Party A and the Rating Agencies
time, which Party B can lawfully receive from time to time in respect of such
from, and transfer back to, Party A Eligible Credit Support.
as required, that will qualify as Eligible
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant
Rating Agencies differ with respect to the same negotiable debt
obligation, for the purposes of B to E above the lower of the
ratings and/or the Valuation Percentages, as the case may be,
shall apply.
(iii) THRESHOLDS.
(E) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Xxxxx'x Rating
Event, a Subsequent Xxxxx'x Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken
7
alternative action as contemplated by Part 5(f) of the
Schedule to the Agreement, in which case the Threshold for
Party A shall be zero; and
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business 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.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that
gives rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance
or of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the
Base Currency Equivalent of the sum of:
(a) (x) the last bid price on such date for such
Securities on the principal national securities
exchange on which such Securities are listed,
multiplied by the applicable Valuation Percentage,
or (y) where any Securities are not listed on a
national securities exchange, the bid price for such
Securities quoted as at the close of business on
such date by any principal market maker (which shall
not be and shall be independent from the Valuation
Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation
Percentage, or (z) if no such bid price is able to
be obtained for such date under sub- paragraphs (x)
or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such
date on which such prices were available, multiplied
by the applicable Valuation Percentage; and
8
(b) the accrued interest where applicable on such
Securities (except to the extent that such interest
shall have been paid to the Transferor pursuant to
Paragraph 5(c)(ii) or included in the applicable
price referred to in Paragraph 11(e)(ii)(A)(a)
above) as of such date,
provided that it is understood that in no circumstances
shall the Transferee be required to transfer a Return
Amount in excess of the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of
the amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent
Credit Support other than Securities and Cash, the Base
Currency Equivalent of the fair market value thereof on
such date, as determined in any reasonable manner chosen by
the Valuation Agent, multiplied by the applicable Valuation
Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency Interest Rate
USD For the relevant determination date, the
effective federal funds rate in U.S. Dollars
published on Telerate Page 118 or any
successor page for the relevant day at the
close of business in New York on such day.
EUR For the relevant determination date, "EONIA",
which means the overnight rate as calculated
by the European Central Bank for such day,
as set forth on Telerate Page 247 or any
successor page.
GBP For the relevant determination date,
"XXXXX", which means the reference rate
equal to the overnight rate as calculated by
the Wholesale Markets Brokers' Association
which appears on Telerate Page 3937 or any
successor page under the heading "Sterling
Overnight Index" as of 9.00 a.m., London
time, on the first London Banking Day
following that day.
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount
will be made on the first Local Business Day following the end of
each calendar month, provided that: (1) Party B has earned and
received such amount of interest, and (2) a Delivery Amount would
not arise as a result of, or if already existing, would not be
increased by, such transfer on such date or on any other Local
Business Day on which Equivalent Credit Support is to be
transferred to the Transferor pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph
5(c)(ii) will apply. For the purposes of calculating the Interest
Amount the amount of interest calculated for each day of the
Interest Period shall, with respect to any Eligible Currency, be
compounded daily.
9
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph
10 shall be deleted and replaced with the following:
"INTEREST AMOUNT" means, with respect to an Interest Period and
each portion of the Credit Support Balance comprised of cash in an
Eligible Currency, the sum of the amounts of interest determined
for each day in that Interest Period by the Valuation Agent as
follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in
the relevant currency on such day (or, if such day is not a
Local Business Day, on the immediately preceding Local
Business Day); multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities,
all principal, interest and other payments and distributions of
cash or other property to which a holder of securities of the same
type, nominal value, description and amount as such Eligible
Credit Support would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit
Support comprised in the Credit Support Balance other than cash,
each date on which a holder of such Eligible Credit Support would
have received Distributions or, if that date is not a Local
Business Day, the next following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(l) OTHER PROVISIONS.
(i) TRANSFER TIMING
(A) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
"Subject to Paragraph 4, and unless otherwise specified,
any transfer of Eligible Credit Support or Equivalent
Credit Support (whether by the Transferor pursuant to
Paragraph 2(a) or by the Transferee pursuant to Paragraph
2(b)) shall be made not later than the close of business on
the Settlement Day."
(B) The definition of Settlement Day shall be deleted and
replaced with the following:
"SETTLEMENT DAY" means: in respect of a transfer of
securities the first Local Business Day after the Demand
Date on which settlement of a trade in the relevant
securities, if effected on the Demand Date, would have
occurred in accordance with customary practice when
settling through the clearance system agreed between the
10
parties for delivery of such securities or, otherwise, on
the market on which such securities are principally traded
(or, in either case, if there is not such customary
practice, on the first Local Business Day after the Demand
Date on which it is reasonably practicable to deliver such
securities); and in respect of any other transfer the next
Local Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Xxxxxxxxx 0,
Xxxxxxxxx 3 or Paragraph 4(a)(2), the relevant
Valuation Date (assuming that, in the case of any
transfer to be made by the Transferee, the
Transferee has received a demand on such date from
the Transferor). For the purposes of Paragraph 2 and
Paragraph 4(a)(2), the Transferor will be deemed to
receive notice of the demand by the Transferee to
make a transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph
3(c)(ii)(A), the date on which the Transferee has
given its consent to the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph
5(c)(i), the Distributions Date.
On each Demand Date the Transferor shall deliver to the
Transferee and the Note Trustee a statement showing the
amount of Eligible Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with
"Early Termination", the words "or a Termination Event where all
Transactions are Affected Transactions" shall be added after the
word "party" in the second line of Paragraph 6, and the words "or
an Affected Party" shall be added after the words "Defaulting
Party" in the fourth line of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible
for, and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this
Annex) in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or
from the Transferee to the Transferor hereto.
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the
amount of Eligible Credit Support that Party A is required to
transfer hereunder following a credit ratings downgrade where
Party A has opted to or is required to transfer Eligible Credit
Support in support of its obligations under the Agreement, the
criteria used by S&P (as set out in S&P's Structured
11
Finance reports entitled "Standard & Poor's Global Interest Rate
and Currency Swap Counterparty Rating Criteria Expanded" dated 17
December 2003 and "Global Interest Rate and Currency Swaps:
Calculating the Collateral Required Amount" dated 26 February
2004) ("S&P CRITERIA"), the criteria used by Xxxxx'x as at the
date of the Agreement ("XXXXX'X CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions:
Swap Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in
respect of each of which the definition of "Credit Support Amount"
is set out below.
XXXXX'X CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the
words "plus the Xxxxx'x Collateral Amount" shall be added after
the words "Transferee's Exposure" in the second line thereof.
For such purposes "XXXXX'X COLLATERAL AMOUNT" shall mean with
respect to a Valuation Date, an amount calculated in accordance
with Appendix B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in
accordance with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party
B shall be amended to mean the following:
the sum of (A) the greater of zero and the aggregate of the
Unadjusted Exposures calculated with respect to each Transaction
plus (B) the aggregate Volatility Buffer Amount calculated with
respect to all such Transactions;
where, for purposes of the foregoing:
(A) "UNADJUSTED EXPOSURE" means the Exposure of Party B as of any
date of determination calculated in accordance with the definition
of "Exposure" prior to amendment in accordance with the provisions
of this Paragraph 11(h)(v);
(B) "VOLATILITY BUFFER" means, with respect to any Transaction at
any time, the applicable percentage as specified in the applicable
table (taking into account the rating of the most senior class of
Notes, the rating of the short term senior unsecured debt
obligations of Party A and the remaining period to the Termination
Date of each Transaction at the time such Volatility Buffer falls
to be determined) set out in the publication by S&P dated 17
December 2003 entitled "Global Interest Rate and Currency Swaps:
Counterparty Rating Criteria expanded" and the publication by S&P
dated 26 February 2004 entitled "Global Interest Rate and Currency
Swaps: Calculating the Collateral Required Amount"5:
(C) "VOLATILITY BUFFER AMOUNT" means, with respect to any
Transaction at any time, the applicable Volatility Buffer
multiplied by the Notional Amount, in each case with respect to
such Transaction at such time.
(D) "SPECIFIED DEBT OBLIGATIONS" means unsecured and
unsubordinated debt obligations.
12
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of
the Fitch Criteria with respect to a Transferor on a Valuation
Date the result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time
determined by reference to the table headed "Volatility Cushion
(%)" appearing at the end of Appendix 2 to the Fitch Ratings
Criteria (and for such purpose calculating the relevant Weighted
Average Life assuming a zero prepayment rate and zero default rate
in relation to the mortgages beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the
words "and shall provide each party (or the other party, if the
Valuation Agent is a party) with a description in reasonable
detail of how such calculations were made, upon reasonable
request" after the word "calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be
made pursuant to Section 12 of this Agreement.
(xxiv) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning
set out in Paragraph 10 of the Annex, the Valuation Agent shall,
unless otherwise agreed in writing by the Rating Agencies, seek
two quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation,
then fewer than two Reference Market-makers may be used for such
purpose, and if no Reference Market-maker is available, then the
Valuation Agent's estimate at mid-market will be used. Where more
than one quotation is obtained, the quotation representing the
greatest amount of the Transferee's Exposure shall be used by the
Valuation Agent.
(xxv) PARAGRAPH 6
For the purposes of determining the Credit Support Balance
pursuant to Paragraph 6, the definition of Value in Paragraph 10
shall be amended by deleting the words "multiplied by the
applicable Valuation Percentage, if any" from sub-paragraphs
(i)(A) and (i)(B).
13
(xxvi) DISTRIBUTIONS
"Distributions" has the meaning specified in Paragraph 10, except
that the words "to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit
Support would be entitled from time to time" shall be deleted and
replaced by the words "received by the Transferee in respect of
such Eligible Credit Support".
"Distribution Date" has the meaning specified in Paragraph 10,
except that the words "a holder of such Eligible Credit Support is
entitled to receive Distributions" shall be deleted and replaced
by the words "Distributions are received by the Transferee".
(xxvii) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors
thereto;
"MOODY'S" means Xxxxx'x Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Xxxxx'x, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
XxXxxx-Xxxx Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 2 Class A2 cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation
Date, the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
14
IN WITNESS WHEREOF the parties have signed this Annex as of the date first
above written.
CREDIT SUISSE, LONDON BRANCH PERMANENT MASTER ISSUER PLC
BY:......................... BY:........................
TITLE:...................... TITLE:.....................
DATE:....................... DATE:......................
THE BANK OF NEW YORK
BY:.................
TITLE:..............
DATE:...............
15
EXECUTION COPY
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT
NEGOTIABLE DEBT OBLIGATIONS OBLIGATIONS ISSUED BY THE
ISSUED BY THE GOVERNMENT GOVERNMENT OF THE UNITED
OF THE UNITED KINGDOM (%) STATES OF AMERICA (%)
REMAINING MATURITY
(YEARS)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case
the provisions for determining the Moody's Collateral Amount in such
circumstances are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post
collateral pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's
Collateral Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain
extant as at such Valuation Date (as determined by Party A in good faith
on such Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date and (y) 10 multiplied by
DV01 the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date, and (II) 2.5% multiplied by the
current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of
(x) the current aggregate notional balance of all Transactions which
remain extant as at such Valuation Date and (y) the percentage specified
in Table 1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii)
of the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means,
with respect to a Valuation Date and any Transactions which are Interest Rate
Swap Transactions which remain extant as at such Valuation Date, an amount
equal to either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A
in good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (b) 30 multiplied by DV01, and (II) 11%
multiplied by the current aggregate notional balance of all Transactions
which remain extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the
Secured Party's Exposure resulting from a one basis point change in the swap
curve, as determined by the Valuation Agent in good faith and in a commercially
reasonable manner in accordance with the relevant customary methodology used by
the Valuation Agent.
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
