SWISS RE FINANCIAL PRODUCTS CORPORATION
00
Xxxx
00xx
Xxxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Fax:
(000) 000-0000/Phone: (000) 000-0000
|
DATE:
|
June
29, 2007
|
|
TO:
|
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
|
|
c/o
U.S. Bank, National Association
|
|
|
Xxx
Xxxxxxx Xxxxxx, 0xx Xxxxx
|
|
|
Xxxxxx,
XX 00000
|
|
|
|
("Party B")
|
|
FROM:
|
Swiss
Re Financial Products Corporation (“Party A”)
|
|
RE:
|
Interest
Rate Cap Transaction
|
Dear
Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the transaction entered into between us on the Trade Date
specified below (the “Transaction”).
The
definitions and provisions contained in the 2000 ISDA Definitions as published
by the International Swaps and Derivatives Association, Inc. are incorporated
into this Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation will
govern.
This
Confirmation constitutes a “Confirmation” as referred to in, and supplements,
forms part of and is subject to, the ISDA Master Agreement dated as of June
29,
2007, as amended and supplemented from time to time (the “Agreement”) between
Party A and Party B. All provisions contained in the Agreement govern this
Confirmation except as expressly modified below.
| 1. |
The
Cap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as
follow:
|
|
General
Terms
|
|||
|
Trade
Date:
|
June
27, 2007
|
||
|
Effective
Date:
|
June
25, 2011
|
||
|
Termination
Date:
|
May
25, 2012, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Notional
Amount:
|
See
Amortization Schedule, Schedule A
|
||
|
Fixed
Amounts:
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer Payment Dates:
|
June
29, 2007, subject to adjustment in accordance with the Following
Business
Day Convention.
|
||
|
Fixed
Amount:
|
USD
130,000; Xxxxxx Brothers Holdings Inc. (on behalf of Party B) shall
pay to
Party A the Fixed Amount on or prior to June 29, 2007. This Upfront
Payment is included in the net amount of USD 1,258,000 payable to
Xxxxxx
Brothers Holdings Inc. (for the benefit of Party B) by Party A under
confirmation Ref. No. 1618405 between Party A and Party B of even
date
herewith.
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
Floating
Rate Payer Period End Dates:
|
The
25th
day of each month of each year, commencing on July 25, 2011 to and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Floating
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Floating Rate Payer
Period
End Date.
|
||
|
Cap
Rate:
|
With
respect to each Calculation Period, as set out in Schedule A attached
hereto.
|
||
|
Floating
Rate Option:
|
USD-LIBOR-BBA
|
||
|
Designated
Maturity:
|
One
month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count Fraction:
|
Actual/360
|
2
|
Reset
Dates:
|
The
first day of each Calculation Period.
|
||
|
Compounding:
|
Inapplicable
|
||
|
Business
Day:
|
Any
day other than (i) a Saturday or a Sunday, or (ii) a day on which
banking
institutions in (1) the city in which the Corporate Trust Office
of Party
B is located or (2) the States of New York, Colorado or Illinois
are
closed.
|
||
|
2.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for the Swap Transaction is New York
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
JPMorgan
Chase Bank
SWIFT:
XXXXXX00
Account
of: Swiss Re Financial Products
Account
No.: 066-911184
ABA#
000000000
|
||
|
Payments
to Party B:
|
U.S.
Bank Corporate Trust Services
ABA#
000-000-000
DDA#
000-000-000-000
Ref:
LXS 2007-12N, Group 2 Interest Rate Cap Account
Attn:
X. Xxxxxx
|
3
Please
confirm that the foregoing correctly sets forth the terms and conditions of
our
agreement by executing this Confirmation and returning it to us by facsimile
to:
Swiss
Re Financial Products Corporation
Attention:
Derivatives Documentation
Fax:
(000) 000-0000 Phone: (000) 000-0000
SWISS
RE FINANCIAL PRODUCTS CORPORATION
By:
________________________________________
Authorized
Signatory
Accepted
and confirmed as of the Trade Date written above:
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
By:
U.S.
Bank, National Association, not in its individual capacity, but solely as
Trustee
By:________________________________
Name:
Title:
4
SCHEDULE
A to
the
Confirmation dated as of June 29, 2007,
Re:
Reference Number 1618505
Amortization
Schedule, subject
to adjustment in accordance with the Following Business Day
Convention
|
From
and including
|
To
but excluding
|
Notional
Amount (USD)
|
Cap
Rate
|
|
6/25/2011
|
7/25/2011
|
77,854,213.00
|
6.75%
|
|
7/25/2011
|
8/25/2011
|
75,247,015.00
|
6.75%
|
|
8/25/2011
|
9/25/2011
|
72,673,417.00
|
6.75%
|
|
9/25/2011
|
10/25/2011
|
70,127,266.00
|
6.75%
|
|
10/25/2011
|
11/25/2011
|
67,655,347.00
|
6.75%
|
|
11/25/2011
|
12/25/2011
|
65,269,854.00
|
6.75%
|
|
12/25/2011
|
1/25/2012
|
62,968,318.00
|
6.75%
|
|
1/25/2012
|
2/25/2012
|
60,747,937.00
|
6.75%
|
|
2/25/2012
|
3/25/2012
|
58,605,852.00
|
6.75%
|
|
3/25/2012
|
4/25/2012
|
56,539,300.00
|
6.75%
|
|
4/25/2012
|
5/25/2012
|
54,545,619.00
|
6.75%
|
5
00
Xxxx
00xx
Xxxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Fax:
(000) 000-0000/Phone: (000) 000-0000
|
DATE:
|
June
29, 2007
|
|
TO:
|
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
|
|
c/o
U.S. Bank, National Association
|
|
|
Xxx
Xxxxxxx Xxxxxx, 0xx Xxxxx
|
|
|
Xxxxxx,
XX 00000
|
|
|
|
("Party B")
|
|
FROM:
|
Swiss
Re Financial Products Corporation (“Party A”)
|
|
RE:
|
Interest
Rate Cap Transaction
|
Dear
Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the transaction entered into between us on the Trade Date
specified below (the “Transaction”).
The
definitions and provisions contained in the 2000 ISDA Definitions as published
by the International Swaps and Derivatives Association, Inc. are incorporated
into this Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation will
govern.
This
Confirmation constitutes a “Confirmation” as referred to in, and supplements,
forms part of and is subject to, the ISDA Master Agreement dated as of June
29,
2007, as amended and supplemented from time to time (the “Agreement”) between
Party A and Party B. All provisions contained in the Agreement govern this
Confirmation except as expressly modified below.
6
2.The
Cap
Transaction to which this Confirmation relates is a Rate Swap Transaction,
the
terms of which are as follow:
|
General
Terms
|
|||
|
Trade
Date:
|
June
27, 2007
|
||
|
Effective
Date:
|
May
25, 2010
|
||
|
Termination
Date:
|
April
25, 2012, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Notional
Amount:
|
See
Amortization Schedule, Schedule A
|
||
|
Fixed
Amounts:
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer Payment Dates:
|
June
29, 2007, subject to adjustment in accordance with the Following
Business
Day Convention.
|
||
|
Fixed
Amount:
|
USD
113,000; Xxxxxx Brothers Holdings Inc. (on behalf of Party B) shall
pay to
Party A the Fixed Amount on or prior to June 29, 2007. This Upfront
Payment is included in the net amount of USD 617,000 payable to Xxxxxx
Brothers Holdings Inc. (for the benefit of Party B) by Party A under
confirmation Ref. No. 1618458 between Party A and Party B of even
date
herewith.
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
Floating
Rate Payer Period End Dates:
|
The
25th
day of each month of each year, commencing on June 25, 2010 to and
including the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
|
||
|
Floating
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Floating Rate Payer
Period
End Date.
|
||
|
Cap
Rate:
|
With
respect to each Calculation Period, as set out in Schedule A attached
hereto.
|
||
|
Floating
Rate Option:
|
USD-LIBOR-BBA
|
||
|
Designated
Maturity:
|
One
month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count Fraction:
|
Actual/360
|
7
|
Reset
Dates:
|
The
first day of each Calculation Period.
|
||
|
Compounding:
|
Inapplicable
|
||
|
Business
Day:
|
Any
day other than (i) a Saturday or a Sunday, or (ii) a day on which
banking
institutions in (1) the city in which the Corporate Trust Office
of Party
B is located or (2) the States of New York, Colorado or Illinois
are
closed.
|
||
|
2.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for the Swap Transaction is New York
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
JPMorgan
Chase Bank
SWIFT:
XXXXXX00
Account
of: Swiss Re Financial Products
Account
No.: 066-911184
ABA#
000000000
|
||
|
Payments
to Party B:
|
U.S.
Bank Corporate Trust Services
ABA#
000-000-000
DDA#
000-000-000-000
Ref:
LXS 2007-12N, Group 3 Interest Rate Cap Account
Attn:
X. Xxxxxx
|
8
Please
confirm that the foregoing correctly sets forth the terms and conditions of
our
agreement by executing this Confirmation and returning it to us by facsimile
to:
Swiss
Re Financial Products Corporation
Attention:
Derivatives Documentation
Fax:
(000) 000-0000 Phone: (000) 000-0000
SWISS
RE FINANCIAL PRODUCTS CORPORATION
By:
________________________________________
Authorized
Signatory
Accepted
and confirmed as of the Trade Date written above:
Xxxxxx
XS Trust Mortgage Pass-Through Certificates, Series
2007-12N
By:
U.S.
Bank, National Association, not in its individual capacity, but solely as
Trustee
By:________________________________
Name:
Title:
9
SCHEDULE
A to
the
Confirmation dated as of June 29, 2007,
Re:
Reference Number 1618506
Amortization
Schedule, subject
to adjustment in accordance with the Following Business Day
Convention
|
From
and including
|
To
but excluding
|
Notional
Amount (USD)
|
Cap
Rate
|
|
5/25/2010
|
6/25/2010
|
34,394,767.00
|
6.75%
|
|
6/25/2010
|
7/25/2010
|
33,388,039.00
|
6.75%
|
|
7/25/2010
|
8/25/2010
|
32,410,252.00
|
6.75%
|
|
8/25/2010
|
9/25/2010
|
31,461,101.00
|
6.75%
|
|
9/25/2010
|
10/25/2010
|
30,539,746.00
|
6.75%
|
|
10/25/2010
|
11/25/2010
|
29,645,373.00
|
6.75%
|
|
11/25/2010
|
12/25/2010
|
28,777,193.00
|
6.75%
|
|
12/25/2010
|
1/25/2011
|
27,934,438.00
|
6.75%
|
|
1/25/2011
|
2/25/2011
|
27,116,363.00
|
6.75%
|
|
2/25/2011
|
3/25/2011
|
26,322,246.00
|
6.75%
|
|
3/25/2011
|
4/25/2011
|
25,551,385.00
|
6.75%
|
|
4/25/2011
|
5/25/2011
|
24,803,099.00
|
6.75%
|
|
5/25/2011
|
6/25/2011
|
24,076,727.00
|
6.75%
|
|
6/25/2011
|
7/25/2011
|
23,371,627.00
|
6.75%
|
|
7/25/2011
|
8/25/2011
|
22,687,177.00
|
6.75%
|
|
8/25/2011
|
9/25/2011
|
22,022,771.00
|
6.75%
|
|
9/25/2011
|
10/25/2011
|
21,377,822.00
|
6.75%
|
|
10/25/2011
|
11/25/2011
|
49,182,826.00
|
6.75%
|
|
11/25/2011
|
12/25/2011
|
47,742,481.00
|
6.75%
|
|
12/25/2011
|
1/25/2012
|
46,344,317.00
|
6.75%
|
|
1/25/2012
|
2/25/2012
|
44,987,099.00
|
6.75%
|
|
2/25/2012
|
3/25/2012
|
43,669,628.00
|
6.75%
|
|
3/25/2012
|
4/25/2012
|
42,390,740.00
|
6.75%
|
10
