Multicurrency—Cross Border) ISDA® International Swap Dealers Association, Inc. MASTER AGREEMENT dated as of February 28, 2007
(Multicurrency—Cross Border)
ISDA®
International Swap Dealers Association, Inc.
MASTER AGREEMENT
dated as of February 28, 2007
CREDIT SUISSE INTERNATIONAL And XXXXX FARGO BANK, N.A., not in its
("Party A") individual or corporate capacity
but solely as Trust Administrator
on behalf of the Adjustable Rate
Mortgage Trust 2007-1
("Party B")
have entered and/or anticipate entering into one or more transactions (each a "Transaction") that are or
will be governed by this Master Agreement, which includes the schedule (the "Schedule"), and the documents
and other confirming evidence (each a "Confirmation") exchanged between the parties confirming those
Transactions.
Accordingly, the parties agree as follows:$#151;
1. Interpretation
(a) Definitions. The terms defined in Section 14 and in the Schedule will have the meanings therein
specified for the purpose of this Master Agreement.
(b) Inconsistency. In the event of any inconsistency between the provisions of the Schedule and the
other provisions of this Master Agreement, the Schedule will prevail. In the event of any inconsistency
between the provisions of any Confirmation and this Master Agreement (including the Schedule), such
Confirmation will prevail for the purpose of the relevant Transaction.
(c) Single Agreement. All Transactions are entered into in reliance on the fact that this Master
Agreement and all Confirmations form a single agreement between the parties (collectively referred to as
this "Agreement"), and the parties would not otherwise enter into any Transactions.
2. Obligations
(a) General Conditions.
(i) Each party will make each payment or delivery specified in each Confirmation to be made by
it, subject to the other provisions of this Agreement.
(ii) Payments under this Agreement will be made on the due date for value on that date in the
place of the account specified in the relevant Confirmation or otherwise pursuant to this
Agreement, in freely transferable funds and in the manner customary for payments in the required
currency. Where settlement is by delivery (that is, other than by payment), such delivery will
be made for receipt on the due date in the manner customary for the relevant obligation unless
otherwise specified in the relevant Confirmation or elsewhere in this Agreement.
(iii) Each obligation of each party under Section 2(a)(i) is subject to (1) the condition
precedent that no Event of Default or Potential Event of Default with respect to the other
party has occurred and is continuing, (2) the condition precedent that no Early Termination Date
in respect of the relevant Transaction has occurred or been effectively designated and (3) each
other applicable condition precedent specified in this Agreement.
value of that which was (or would have been) required to be delivered as of the originally scheduled date
for delivery, in each case together with (to the extent permitted under applicable law) interest, in the
currency, of such amounts, from (and including) the date such amounts or obligations were or would
have been required to have been paid or performed to (but excluding) such Early Termination Date, at the
Applicable Rate. Such amounts of interest will be calculated on the basis of daily compounding and the
actual number of days elapsed. The fair market value of any obligation referred to in clause (b) above
shall be reasonably determined by the party obliged to make the determination under Section 6(e) or,
if each party is so obliged, it shall be the average of the Termination Currency Equivalents of the fair
market values reasonably determined by both parties.
IN WITNESS WHEREOF the parties have executed this document on the respective dates specified below
with effect from the date specified on the first page of this document.
CREDIT SUISSE INTERNATIONAL XXXXX FARGO BANK, N.A., not in its individual or
corporate capacity but solely as Trust Administrator
on behalf of the Adjustable Rate Mortgage Trust 2007-1
("Party A") ("Party B")
By: __________________________________________ By: __________________________________________________
Name: Name:
Title: Title:
By: __________________________________________
Name:
Title:
Swap Schedule
SCHEDULE
to the
Master Agreement
dated as of February 28, 2007
between
Xxxxx Fargo Bank, N.A., not in its individual or corporate
Credit Suisse International capacity but solely as Trust Administrator on behalf of the
and Adjustable Rate Mortgage Trust 2007-1
_______________________________________ _________________________________________
("Party A") ("Party B")
Part 1
Termination Provisions.
(a) "Specified Entity" means in relation to Party A for the purpose of:
Section 5(a)(v), Not Applicable
Section 5(a)(vi), Not Applicable
Section 5(a)(vii), Not Applicable
Section 5(b)(iv), Not Applicable
and in relation to Party B for the purpose of:
Section 5(a)(v), Not Applicable
Section 5(a)(vi), Not Applicable
Section 5(a)(vii), Not Applicable
Section 5(b)(iv), Not Applicable
(b) "Specified Transaction" will have the meaning specified in Section 14 of this Agreement.
(c) Certain Events of Default. Subject to Part 1(h) below, the following Events of Default will apply
to the parties as specified below, and the definition of "Event of Default" in Section 14 is
deemed to be modified accordingly:
Section 5(a)(i) (Failure to Pay or Deliver) will apply to Party A and Party B.
Section 5(a)(ii) (Breach of Agreement) will apply to Party A and will not apply to Party B,
except that Section 5(a)(ii) will not apply to Party A with respect to Party A's failure to
comply with Part 5(b) herein.
Section 5(a)(iii) (Credit Support Default) will apply to Party A and will not apply to Party
B, unless Party A has posted collateral under the Credit Support Annex, in which case Section
5(a)(iii)(1) will apply to Party B solely in respect of Party B's obligations under Paragraph
3(b) of the Credit Support Annex.
Section 5(a)(iv) (Misrepresentation) will apply to Party A and will not apply to Party B.
Section 5(a)(v) (Default under Specified Transaction) will not apply to Party A or Party B.
Section 5(a)(vi) (Cross Default) will apply to Party A and will not apply to Party B.
"Specified Indebtedness" shall have the meaning specified in Section 14 of this Agreement and
"Threshold Amount" means 3% of Shareholder's Equity of the Relevant Entity. "Shareholder's
Equity" means with respect to an entity, at any time, the sum (as shown in the most recent
annual audited financial statements of such entity) of (i) its capital stock (including
preferred stock) outstanding, taken at par value, (ii) its capital surplus and (iii) its
retained earnings, minus (iv) treasury stock, each to be determined in accordance with
generally accepted accounting principles.
Section 5(a)(vii) (Bankruptcy) will apply to Party A and Party B; provided that in respect of
Party B, (i) clause (2) thereof shall not apply, (ii) clause (4) thereof shall not apply to
Party B to the extent that the relevant proceeding is instituted by a Relevant Entity in
breach of its agreement in Part 5(h) of this Schedule, (iii) the words "seeks or" shall be
deleted from clause (6) thereof and any appointment that is effected by or pursuant to the
transaction documents shall not constitute an Event of Default under such clause (6), (iv)
clause (7) thereof shall not apply, (v) clause (8) thereof shall apply only to the extent not
inconsistent with clauses (i) to (iv) of this sentence and (vi) clause (9) thereof shall not
apply.
Section 5(a)(viii) (Merger without Assumption) will apply to Party A and will not apply to
Party B.
Notwithstanding anything to the contrary in Sections 5(a)(i) and 5(a)(iii) of this Agreement,
any failure by Party A to comply with or perform any obligation to be complied with or
performed by Party A under any Credit Support Document shall not be an Event of Default unless
(A) a Ratings Event has occurred and at least 30 Local Business Days (10 Local Business Days
when the Ratings Event relates only to S&P's ratings and 30 calendar days when the Rating
Events relate only to Moody's ratings) have elapsed since the last time the Ratings Event had
not occurred or was not continuing and (B) such failure is not remedied on or before the third
Local Business Day after notice of such Ratings Event is given to Party A.
(d) Termination Events. The following Termination Events will apply to the parties as specified below:
Section 5(b)(i) (Illegality) will apply to Party A and Party B.
Section 5(b)(ii) (Tax Event) will apply to Party A and Party B; provided that the words "(x)
any action taken by a taxing authority, or brought in a court of competent jurisdiction, on or
after the date on which a Transaction is entered into (regardless of whether such action is
taken or brought with respect to a party to this Agreement) or (y)" shall be deleted.
Section 5(b)(iii) (Tax Event upon Merger) will apply to Party A and Party B; provided that in
the event that Party A is the Affected Party in respect of an event described in Section
5(b)(iii), Party A shall not be entitled to designate an Early Termination Date pursuant to
such Section 5(b)(iii).
Section 5(b)(iv) (Credit Event upon Merger) will not apply to Party A or Party B.
(e) The "Automatic Early Termination" provision of Section 6(a) of this Agreement will not apply to
Party A or Party B.
(f) Payments on Early Termination. For the purpose of Section 6(e) of this Agreement:
(i) Loss will apply, subject to Part 5(z).
(ii)The Second Method will apply.
(g) "Termination Currency" means United States Dollars.
(h) Additional Termination Events. The following Additional Termination Events will apply:
(i) Each of the following shall constitute an Additional Termination Event with Party A as sole
Affected Party:
(a) An S&P Collateralization Event has occurred and is continuing and Party A has
failed to comply with or perform any obligation to be complied with or performed
by Party A in accordance with the "Downgrade Provisions" as set forth in Part
5(b)(2) and a Ratings Event has neither occurred nor is continuing. Any event
which constitutes an Additional Termination Event pursuant to this Section
1(h)(i)(a) shall not constitute an Event of Default.
(b) A Moody's Collateralization Event has occurred and is continuing, and Party A has
failed to comply with or perform any obligation to deliver collateral under the
Credit Support Annex and 30 Local Business Days or more have elapsed since the
last time that no Moody's Collateralization Event had occurred and was
continuing. Any event which constitutes an Additional Termination Event pursuant
to this Section 1(h)(i)(b) shall not constitute an Event of Default (unless such
event constitutes a failure to post collateral pursuant to the terms of the
Credit Support Annex in breach of Part 5(b)(4)).
(c) Reserved.
(d) A Ratings Event has occurred and is continuing and Party A has failed to comply
with or perform any obligation to be complied with or performed by Party A in
accordance with the "Downgrade Provisions" as set forth in Part 5(b)(4) and in
the case of a Moody's Ratings Event (i) at least one Eligible Replacement has
made a Live Bid to be the transferee of a transfer to be made in accordance with
the terms hereof and/or (ii) at least one entity that satisfies the Hedge
Counterparty Ratings Requirements is able to provide an Eligible Guarantee in
respect of all of Party A's present and future obligations under this Agreement
subject to the satisfaction of the S&P Ratings Condition. The failure by Party A
to comply with or perform any obligation (other than the obligation to post
collateral pursuant to the terms of the Credit Support Annex) to be complied with
or performed by Party A in accordance with the "Downgrade Provisions" as set
forth in Part 5(b)(4) will constitute an Additional Termination Event and not an
Event of Default.
(ii) The Pooling and Servicing Agreement, dated as of February 1, 2007, by and among Credit Suisse
First Boston Mortgage Securities Corp. as Depositor, DLJ Mortgage Capital, Inc. as Seller,
Xxxxx Fargo Bank, N.A. as Servicer, Master Servicer and Trust Administrator, Select Portfolio
Servicing, Inc. as Servicer, Special Servicer and Modification Oversight Agent, Washington
Mutual Mortgage Securities Corp., as Servicer, and U.S. Bank National Association as Trustee
for Adjustable Rate Mortgage Trust 2007-1 (the PSA or the Pooling and Servicing Agreement) or
other transaction document is amended or modified without the prior written consent of Party
A, where such consent is required under the terms of the PSA. For all purposes under this
Agreement, Party B shall be the sole Affected Party with respect to the occurrence of an
Additional Termination Event described in this Part 1(h)(ii).
(iii) The termination of the Trust pursuant to Article 11.01 of the PSA, provided, however,
that notwithstanding Section 6(b)(iv) of this Agreement, either party may designate an Early
Termination Date in respect of this Additional Termination Event. For all purposes under this
Agreement, Party B shall be the sole Affected Party with respect to the occurrence of an
Additional Termination Event described in this Part 1(h)(iii).
(iv) Upon the occurrence of a Swap Disclosure Event (as defined in Part 5(v) below) Party A has
not, within 10 days after such Swap Disclosure Event, complied with any of the provisions set
forth in Part 5(v)(iii) below. For all purposes of this Agreement, Party A shall be the sole
Affected Party with respect to the occurrence of an Additional Termination Event described in
this Part 1(h)(iv).
Part 2
Tax Representations.
(a) Payer Representations. For the purpose of Section 3(e) of this Agreement, neither Party A nor
Party B will make any representations.
(b) Payee Representations. For the purpose of Section 3(f) of this Agreement, neither Party A nor
Party B will make any representations.
Part 3
Agreement to Deliver Documents.
For the purpose of Sections 4(a)(i) and (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 Form/Document/Certificate Date by which to be Covered by
to deliver delivered Section 3(d)
document Representation
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A and Certified copy of the board of directors resolution (or Concurrently with the Yes
Party B equivalent authorizing documentation) which sets forth the execution and
authority of each signatory to this Agreement and each delivery of this
Credit Support Document (if any) signing on its behalf and Agreement.
the authority of such party to enter into Transactions
contemplated and performance of its obligations hereunder.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A and Incumbency certificate (or, if available the current Concurrently with the Yes
Party B authorized signature book or equivalent authorizing execution and
documentation) specifying the names, titles, authority and delivery of this
specimen signatures of the persons authorized to execute Agreement unless
this Agreement which sets forth the specimen signatures of previously delivered
each signatory to this Agreement, each Confirmation and each and still in full
Credit Support Document (if any) signing on its behalf. force and effect.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A An opinion of counsel to such party as to the enforceability Concurrently with the No
of this Agreement that is reasonably satisfactory in form execution and
and substance to the other party. delivery of the
Confirmation unless
previously delivered
and still in full
force and effect.
---------------- -------------------------------------------------------------- ----------------------- -------------------
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B All opinions of counsel to Party B and counsel to the Upon execution of No
Servicer, delivered as of the Closing Date this Agreement
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B Such other information in connection with the Certificates Upon request No
or the PSA in the possession of Party B as Party A may
reasonably request.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B An executed copy of the PSA . Within 30 days after Yes
the date of this
Agreement.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Part 4.
Miscellaneous.
(a) Addresses for Notices. For the purposes of Section 12(a) of this Agreement:
Party A:
(1) Address for notices or communications to Party A (other than by facsimile):-
Address: One Cabot Square Attention: (1) Head of Credit Risk Management;
Xxxxxx X00 0XX (2) Managing Director -
England Operations Department;
(3) Managing Director - Legal Department
Telex No.: 264521 Answerback: CSI G
(For all purposes.)
(2) For the purpose of facsimile notices or communications under this Agreement (other than a
notice or communication under Section 5 or 6):-
Facsimile No.: 44 20 7888 2686
Attention: Managing Director - Legal Department
Telephone number for oral confirmation of receipt of facsimile in legible form: 44 20 7888 2028
Designated responsible employee for the purposes of Section 12(a)(iii): Senior Legal Secretary
Party B:
Address for notices or communications to Party B:
Address: Xxxxx Fargo Bank, N.A., as Trust Attention: Client Manager, CSFB ARMT 07-1
Administrator for Adjustable
Rate Mortgage Trust 2007-1
0000 Xxx Xxxxxxxxx Xxxx
Xxxxxxxx, Xxxxxxxx 00000
Telephone No.: (000) 000-0000 Facsimile No.: (000) 000-0000
(For all purposes.)
(b) Process Agent. For the purposes of Section 13(c) of this Agreement:
Party A appoints as its Process Agent:
Credit Suisse Securities (USA) LLC
Eleven Xxxxxxx Xxxxxx
Xxx Xxxx, XX 00000
Attention: General Counsel
Legal and Compliance Department
Party B appoints as its Process Agent: Not applicable.
(c) Offices. With respect to Party A, 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 not a Multibranch Party.
Party B is not a Multibranch Party.
(e) Calculation Agent. The Calculation Agent is Party A.
(f) Credit Support Document. Credit Support Document means:-
With respect to Party A: The Credit Support Annex and any guarantee that is provided to Party B
pursuant to Part 5 (b) below.
With respect to Party B: The Credit Support Annex.
(g) Credit Support Provider.
Credit Support Provider means in relation to Party A: Not applicable or, if a guarantee is
provided to Party B pursuant to Part 5 (b) below, the guarantor providing such guarantee.
Credit Support Provider means in relation to Party B: Not applicable.
(h) Governing Law. This Agreement and, to the fullest extent permitted by applicable law, all matters
arising out of or relating in any way to this Agreement will be governed by and construed in
accordance with the laws of the State of New York (without reference to choice of law doctrine
other than New York General Obligation Law Sections 5-1401 and 5-1402).
(i) Netting of Payments. Subparagraph (ii) of Section 2(c) of this Agreement will apply to each
Transaction hereunder.
(j) "Affiliate." "Affiliate" shall have the meaning specified in Section 14 of this Agreement,
provided however, that Party B shall be deemed to have no Affiliates and, for purposes of Section
3(c) of this Agreement, Party A shall be deemed to have no Affiliates.
Part 5.
Other Provisions.
(a) Definitions.
Any capitalized terms used but not otherwise defined in this Agreement shall have the meanings
assigned to them (or incorporated by reference) in the PSA. In the event of any inconsistency
between the terms of this Agreement and the terms of the PSA, this Agreement will govern.
(b) Downgrade Provisions.
(1) It shall be a collateralization event (Collateralization Event) if:
(A) with respect to each Relevant Entity, so long as Xxxxx'x Investors Service, Inc.
(Xxxxx'x) is currently rating the Certificates and either (i) such Relevant Entity has
both a long-term and short-term rating by Moody's and (x) the unsecured, unguaranteed and
otherwise unsupported long-term senior debt obligations of such Relevant Entity are rated
"A3" or below by Moody's or (y) the unsecured, unguaranteed and otherwise unsupported
short-term debt obligations of such Relevant Entity are rated "P-2" or below by Moody's,
or (ii) no short-term rating is available from Moody's and the unsecured, unguaranteed and
otherwise unsupported long-term senior debt obligations of such Relevant Entity are rated
"A2" or below by Moody's (such event, a Moody's Collateralization Event), or
(B) Reserved.
(C) with respect to each Relevant Entity, so long as Standard & Poor's Rating Services, a
division of The XxXxxx-Xxxx Companies, Inc. (S&P) is currently rating the Certificates and
either (i) the unsecured, unguaranteed and otherwise unsupported short-term debt
obligations of such Relevant Entity are rated "A-2" or below by S&P or (ii) if such
Relevant Entity does not have a short-term rating from S&P, the unsecured, unguaranteed
and otherwise unsupported long-term senior debt obligations of Party A are rated "A" or
below by S&P (such event, an S&P Collateralization Event).
Relevant Entity means Party A and any guarantor under an Eligible Guarantee in respect of
all of Party A's present and future obligations under this Agreement.
(2) Without prejudice to Party A's obligations under the Credit Support Annex, during any period
in which a Collateralization Event is occurring, Party A shall, at its own expense and within
thirty (30) Business Days of such Collateralization Event (or 30 calendar days, in the case of
an S&P Collateralization Event), either (i) post collateral according to the terms of the 1994
ISDA Credit Support Annex to this Schedule, including Paragraph 13 thereof (the Credit Support
Annex), (ii) furnish an Eligible Guarantee (as defined below) of Party A's obligations under
this Agreement that is (in the case of an S&P Collateralization Event) subject to the
satisfaction of the S&P Ratings Condition from a guarantor that satisfies the Hedge
Counterparty Ratings Requirement (as defined herein), or (iii) obtain a substitute
counterparty (and provide prior written notice to each Rating Agency with respect thereto)
that (a) is reasonably acceptable to Party B and the Depositor, (b) satisfies the Hedge
Counterparty Ratings Requirement and (c) assumes the obligations of Party A under this
Agreement (through an assignment and assumption agreement in form and substance reasonably
satisfactory to Party B and the Depositor) or replaces the outstanding Transactions hereunder
with transactions on identical terms, except that Party A shall be replaced as counterparty,
provided that such substitute counterparty, as of the date of such assumption or replacement,
must not, as a result thereof, be required to withhold or deduct on account of tax under the
Agreement or the new transactions, as applicable, and such assumption or replacement must not
lead to a termination event or event of default occurring in respect of the new transactions,
as applicable, provided further, that (in the case of an S&P Collateralization Event)
satisfaction of the S&P Ratings Condition shall be required for any transfer of any
Transactions under this Part 5(b)(2)(iii) unless such transfer is in connection with the
assignment and assumption of this Agreement by such substitute counterparty without
modification of its terms, other than the following terms: party name, dates relevant to the
effective date of such transfer, tax representations (provided that the representations in
Part 2(a) are not modified) and any other representations regarding the status of the
substitute counterparty of the type included in Section (c) of this Part 5 and notice
information (in which case, Party A shall provide written notice to S&P with respect
thereto). To the extent that Party A elects or is required to post collateral pursuant to
this Part 5(b)(1) following an S&P Collateralization Event, Party A shall deliver to each
Rating Agency (with a copy to the Trust Administrator) within thirty (30) calendar days of the
occurrence of such Collateralization Event an opinion acceptable to S&P as to the
enforceability of the Credit Support Annex and which confirms that, notwithstanding the
commencement of a case under the Bankruptcy Code with respect to Party A, the collateral will
(a) be available to meet swap obligations notwithstanding the automatic stay and (b) if
delivered pre-bankruptcy, will not be subject to recovery as preferences or constructive
fraudulent conveyances, in each case subject to standard qualifications and assumptions.
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 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.
An entity shall satisfy the Hedge Counterparty Ratings Requirement if (a) either (i) the
unsecured, unguaranteed and otherwise unsupported short-term debt obligations of the entity
are rated at least "A-1" by S&P or (ii) if the entity does not have a short-term rating from
S&P, the unsecured, unguaranteed and otherwise unsupported long-term senior debt obligations
of the entity are rated at least "A+" by S&P, and (b) either (i) the unsecured, unguaranteed
and otherwise unsupported long-term senior debt obligations of such entity are rated at least
"A3" by Moody's and the unsecured, unguaranteed and otherwise unsupported short-term debt
obligations of such entity are rated at least "P-2" by Moody's (if such entity has both a
long-term and short-term rating from Moody's) or (ii) if such entity does not have a
short-term debt rating from Moody's, the unsecured, unguaranteed and otherwise unsupported
long-term senior debt obligations of such entity are rated at least "A3" by Moody's. For the
purpose of this definition, no direct or indirect recourse against one or more shareholders of
the entity (or against any Person in control of, or controlled by, or under common control
with, any such shareholder) shall be deemed to constitute a guarantee, security or support of
the obligations of the entity.
S&P Ratings Condition shall mean prior written confirmation from S&P that a proposed action
will not cause the downgrade or withdrawal of the then current ratings of any outstanding
Certificates.
Rating Agency shall mean each of S&P and Moody's.
(3) It shall be a ratings event (Ratings Event) if at any time after the date hereof (A) so long
as S&P is currently rating the Certificates and either (i) the unsecured, unguaranteed and
otherwise unsupported long-term senior debt obligations of each Relevant Entity are rated
"BB+" or below by S&P, (ii) the unsecured, unguaranteed and otherwise unsupported short-term
debt obligations of each Relevant Entity are rated "B" or below by S&P or (iii) if at any time
after the date hereof S&P withdraws all of each Relevant Entity's ratings and no longer rates
any Relevant Entity (such event, an S&P Ratings Event), or (B) so long as Xxxxx'x is currently
rating the Certificates and either (i) the unsecured, unguaranteed and otherwise unsupported
long-term senior debt obligations of each Relevant Entity are unrated or rated "Baa1" or below
by Moody's (or such rating is withdrawn) or (ii) the unsecured, unguaranteed and otherwise
unsupported short-term debt obligations of each Relevant Entity are unrated or rated "P-3" or
below by Moody's (or such rating is withdrawn) (such event, a Moody's Ratings Event).
(4) Following a Ratings Event, Party A shall take the following actions:
(a) in the case of an S&P Ratings Event, Party A, at its sole expense, shall (i) within
10 Business Days, subject to extension upon satisfaction of the S&P Ratings Condition, of
the Ratings Event, obtain a substitute counterparty (and provide written notice to each
Rating Agency with respect thereto), that (A) satisfies the Hedge Counterparty Ratings
Requirement and (B) assumes the obligations of Party A under this Agreement (through an
assignment and assumption agreement in form and substance reasonably satisfactory to
Party B and the Depositor) or replaces the outstanding Transactions hereunder with
transactions on identical terms, except that Party A shall be replaced as counterparty,
provided that such substitute counterparty, as of the date of such assumption or
replacement, must not, as a result thereof, be required to withhold or deduct on account
of tax under the Agreement or the new transactions, as applicable, and such assumption or
replacement must not lead to a termination event or event of default occurring in respect
of the new transactions, as applicable; provided further that satisfaction of the S&P
Ratings Condition shall be required within such 10 Business Days or longer period, as
applicable, for any transfer of any Transaction under this clause (a)(i) unless such
transfer is in connection with the assignment and assumption of this Agreement without
modification of its terms by such counterparty, other than the following terms: party
name, dates relevant to the effective date of such transfer, tax representations (provided
that the representations in Part 2(a) are not modified) and any other representations
regarding the status of the substitute counterparty of the type included in Section (c) of
this Part 5 and notice information (in which case, Party A shall provide prior written
notice to S&P and the Trust Administrator with respect thereto) and (ii) upon the
occurrence of an S&P Ratings Event post collateral according to the terms of the Credit
Support Annex; and
(b) in the case of a Moody's Ratings Event, Party A, at its sole expense, shall (i) use
commercially reasonable efforts to, as soon as reasonably practicable, (A) furnish an
Eligible Guarantee of Party A's obligations under this Agreement from a guarantor that
satisfies paragraph (b) of the definition of Hedge Counterparty Ratings Requirement or (B)
obtain a substitute counterparty (and provide prior written notice to each Rating Agency
with respect thereto) that (1) is reasonably acceptable to Party B, (2) satisfies the
paragraph (b) of the definition of Hedge Counterparty Ratings Requirement and (3) assumes
the obligations of Party A under this Agreement (through an assignment and assumption
agreement in form and substance reasonably satisfactory to Party B) or replaces the
outstanding Transactions hereunder with transactions on substantially the same terms,
including rating triggers, credit support documentation and other provisions of this
Agreement, except that Party A shall be replaced as counterparty, provided that such
substitute counterparty, as of the date of such assumption or replacement, must not, as a
result thereof, be required to withhold or deduct on account of tax under the Agreement or
the new transactions, as applicable, and such assumption or replacement must not lead to a
termination event or event of default occurring in respect of the new transactions, as
applicable and (ii) post collateral according to the terms of the Credit Support Annex.
Rating Agency Approval shall mean prior written confirmation from S&P and Moody's that
such action will not cause them to downgrade or withdraw its then-current ratings of any
outstanding Certificates.
(c) Section 3(a) of this Agreement is hereby amended to include the following additional
representations after paragraph 3(a)(v):
(vi) Eligible Contract Participant. It is an "eligible contract participant" as such term is
defined in Section 35.1 (b) (2) of the regulations (17 C.F.R. 35) promulgated under and as defined
in section 1a(12) of the U.S. Commodity Exchange Act, as amended.
(vii) Individual Negotiation. This Agreement and each Transaction hereunder is subject to
individual negotiation by the parties.
(viii) Relationship between Party A and Party B. Subject as provided in Part 5(f), each of Party A
and Party B represent to the other:
(1) Capacity. Party A represents to Party B on the date on which Party A enters into
this Agreement that it is entering into the Agreement and the Transaction as principal and not
as agent of any person. Party B represents to Party A on the date on which Party B enters
into this Agreement it is entering into the Agreement and the Transaction in its capacity as
Trust Administrator on behalf of the Trust created under the Pooling and Servicing Agreement
in respect of the Adjustable Rate Mortgage Trust 2007-1.
(2) Non-Reliance. Party A is acting for its own account and with respect to Party B, the
Trust Administrator has been directed under the Pooling and Servicing Agreement to execute
this Agreement solely as Trust Administrator on behalf of the Trust created under the Pooling
and Servicing Agreement in respect of the Adjustable Rate Mortgage Trust 2007-1. Each of
Party A and the Trust 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 its own judgment
and upon advice from such advisors 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 shall not be considered investment advice or a
recommendation to enter into that Transaction. No communication (written or oral) received
from the other party shall be deemed to be an assurance or guarantee as to the expected
results of that Transaction.
(3) Evaluation and Understanding. It is capable of evaluating and understanding (on its
own behalf or through independent professional advice), and understands and accepts, the
terms, conditions and risks of this Agreement and each Transaction hereunder. It is also
capable of assuming, and assumes, all financial and other risks of this Agreement and each
Transaction hereunder.
(4) Status of Parties. The other party is not acting as a fiduciary or an advisor for it
in respect of that Transaction.
(d) Section 4 is hereby amended by adding the following new agreement:
Actions Affecting Representations. Party B agrees not to take any action during the term of this
Agreement or any Transaction hereunder that renders or could render any of the representations and
warranties in this Agreement untrue, incorrect, or incomplete, and, if any event or condition
occurs that renders or could render any such representation untrue, incorrect, or incomplete,
Party B will immediately give written notice thereof to Party A.
(e) Transfer.
(i) Section 7 is hereby amended to read in its entirety as follows:
Except as stated under Section 6(b)(ii), provided that to the extent Party A makes a transfer
pursuant to Section 6(b)(ii) it will provide a prior written notice to the Rating Agencies of
such transfer, neither Party A nor Party B is permitted to assign, novate or transfer (whether
by way of security or otherwise) as a whole or in part any of its rights, obligations or
interests under this Agreement or any Transaction without the prior written consent of the
other party; provided, however, that (i) Party A may make such a transfer of this Agreement
pursuant to a consolidation or amalgamation with, or merger with or into, or transfer of
substantially all of its assets to, another entity, or an incorporation, reincorporation or
reconstitution, and (ii) Party A may transfer this Agreement to any Person that is an office,
branch or affiliate of Party A (any such Person, office, branch or affiliate, a Transferee) on
at least five Business Days' prior written notice to Party B; provided that, with respect to
clause (ii), (A) as of the date of such transfer the Transferee will not be required to
withhold or deduct on account of a Tax from any payments under this Agreement unless the
Transferee will be required to make payments of additional amounts pursuant to Section
2(d)(i)(4) of this Agreement in respect of such Tax; (B) a Termination Event or Event of
Default does not occur under this Agreement as a result of such transfer; (C) such notice is
accompanied by a written instrument pursuant to which the Transferee acquires and assumes the
rights and obligations of Party A so transferred; and (D) Party A will be responsible for any
costs or expenses incurred in connection with such transfer. Party B will execute such
documentation as is reasonably deemed necessary by Party A for the effectuation of any such
transfer. Notwithstanding the foregoing, no transfer shall be made unless the transferring
party obtains a written acknowledgment from each of the Rating Agencies that, notwithstanding
such transfer, the then-current ratings of the Certificates will not be reduced or withdrawn,
provided, however, that this provision shall not apply to any transfer that is made pursuant
to the provisions of Part 5(b) of this Agreement.
Except as specified otherwise in the documentation evidencing a transfer, a transfer of all
the obligations of Party A made in compliance with this Section 7 will constitute an
acceptance and assumption of such obligations (and any related interests so transferred) by
the Transferee, a novation of the transferee in place of Party A with respect to such
obligations (and any related interests so transferred), and a release and discharge by Party B
of Party A from, and an agreement by Party B not to make any claim for payment, liability, or
otherwise against Party A with respect to, such obligations from and after the effective date
of the transfer.
In addition, Party A may transfer this Agreement without the prior written consent of the
Trust Administrator on behalf of Party B but with prior written notice to S&P and the Trust
Administrator, to an Affiliate of Party A that (i) satisfies the Hedge Counterparty Rating
Requirements or that has furnished a guarantee, subject to S&P Ratings Condition, of the
obligations under this Agreement from a guarantor that satisfies the Hedge Counterparty Rating
Requirements and (ii) as of the date of such transfer such Affiliate will not be required to
withhold or deduct on account of a Tax from any payments under this Agreement unless such
Affiliate will be required to make payments of additional amounts pursuant to Section
2(d)(i)(4) of this Agreement in respect of such Tax; provided that satisfaction of the S&P
Ratings Condition will be required unless such transfer is in connection with the assignment
and assumption of this Agreement by such an Affiliate without modification of its terms, other
than the following terms: party name, dates relevant to the effective date of such transfer,
tax representations (provided that the representations in Part 2(a) are not modified) and any
other representations regarding the status of such an Affiliate the substitute counterparty of
the type included in Section (c) of this Part 5 and notice information (in which case, Party A
shall provide written notice to S&P with respect thereto).
(ii) If an Eligible Replacement has made a Firm Offer (which means an offer that will become
legally binding upon acceptance by Party B) to be the transferee pursuant to a Permitted
Transfer, Party B shall, at Party A's written request and at Party A's expense, take any
reasonable steps required to be taken by Party B to effect such transfer.
(f) Trust Administrator Capacity. It is expressly understood and agreed by the parties hereto that
(i) this Agreement is executed and delivered by Xxxxx Fargo Bank, N.A. (the Trust Administrator)
not individually or personally but solely as Trust Administrator on behalf of the Trust created
under the Pooling and Servicing Agreement in respect of the Adjustable Rate Mortgage Trust 2007-1
(the Trust), in the exercise of the powers and authority conferred and vested in it under the PSA,
(ii) each of the representations, undertakings and agreements herein made on the part of the Trust
is made and intended not as personal representations, undertakings and agreements by the Trust
Administrator but is made and intended for the purpose of binding only the Trust, (iii) nothing
herein contained shall be construed as creating any liability on the part of the Trust
Administrator, individually or personally, to perform any covenant either expressed or implied
contained herein, all such liability, if any, being expressly waived by the parties hereto and by
any Person claiming by, through or under the parties hereto and (iv) under no circumstances shall
the Trust Administrator be personally liable for the payment of any indebtedness or expenses of
the Trust or be liable for the breach or failure of any obligation, representation, warranty or
covenant made or undertaken by the Trust under this Agreement or any other related documents as to
all of which recourse shall be had solely to the assets of the Trust in accordance with the terms
of the PSA.
(g) Reserved.
(h) Proceedings. No Relevant Entity shall institute against or cause any other person to institute
against, or join any other person in instituting against Party B or the trust created pursuant to
the Pooling and Servicing Agreement, any bankruptcy, reorganization, arrangement, insolvency or
liquidation proceedings, or other proceedings under any federal or state bankruptcy, dissolution
or similar law, for a period of one year and one day, or if longer the applicable preference
period then in effect, following indefeasible payment in full of the Certificates. Nothing shall
preclude, or be deemed to stop, a Relevant Entity (i) from taking any action prior to the
expiration of the aforementioned one year and one day period, or if longer the applicable
preference period then in effect, in (A) any case or proceeding voluntarily filed or commenced by
Party B or (B) any involuntary insolvency proceeding filed or commenced by a Person other than a
Relevant Entity, or (ii) from commencing against Party B or any of the Mortgage Loans any legal
action which is not a bankruptcy, reorganization, arrangement, insolvency, moratorium, liquidation
or similar proceeding. This provision shall survive termination of this Agreement.
(i) Change of Account. Section 2(b) of this Agreement is hereby amended by the addition of the
following after the word "delivery" in the first line thereof:-
"to another account in the same legal and tax jurisdiction as the original account"
(j) Reserved.
(k) No Set-off. Except as expressly provided for in Section 2(c), Section 6 hereof, Part 5(y)(vi)
below or paragraphs 8(a) or 8(b) of the Credit Support Annex, and notwithstanding any other
provision of this Agreement or any other existing or future agreement, each party irrevocably
waives any and all rights it may have to set off, net, recoup or otherwise withhold or suspend or
condition payment or performance of any obligation between it and the other party hereunder
against any obligation between it and the other party under any other agreements. Section 6(e)
shall be amended by deleting 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.".
(l) Notice of Certain Events or Circumstances. Each party agrees, upon learning of the occurrence or
existence of any event or condition that constitutes (or that with the giving of notice or passage
of time or both would constitute) an Event of Default or Termination Event with respect to such
party, promptly to give the other party notice of such event or condition (or, in lieu of giving
notice of such event or condition in the case of an event or condition that with the giving of
notice or passage of time or both would constitute an Event of Default or Termination Event with
respect to the party, to cause such event or condition to cease to exist before becoming an Event
of Default or Termination Event); provided that failure to provide notice of such event or
condition pursuant to this Part 5(j) shall not constitute an Event of Default or a Termination
Event.
(m) Regarding Party A. Party B acknowledges and agrees that Party A has had and will have no
involvement in and, accordingly Party A accepts no responsibility for: (i) the establishment,
structure, or choice of assets of Party B; (ii) the selection of any person performing services
for or acting on behalf of Party B; (iii) the selection of Party A as the Counterparty; (iv) the
terms of the Certificates; (v) the preparation of or passing on the disclosure and other
information contained in any offering circular for the Certificates, the PSA, or any other
agreements or documents used by Party B or any other party in connection with the marketing and
sale of the Certificates (other than information provided by Party A for purposes of the
disclosure document relating to the Certificates); (vi) the ongoing operations and administration
of Party B, including the furnishing of any information to Party B which is not specifically
required under this Agreement; or (vii) any other aspect of Party B's existence.
(n) Rating Agency Approval on Amendment. In addition to the requirements of Section 9, this Agreement
will not be amended unless Party B shall have received Rating Agency Approval.
(o) Jurisdiction. Section 13(b) is hereby amended by: (i) deleting in the second line of subparagraph
(i) thereof the word "non-": and (ii) deleting the final paragraph thereof.
(p) Limited Recourse Non-petition. The liability of Party B in relation to this Agreement and any
Confirmation hereunder is limited in recourse to assets in the Trust and payments of interest
proceeds and principal proceeds thereon applied in accordance with the terms of the PSA. Upon
application of all of the assets in the Trust (and proceeds thereon) in accordance with the PSA,
Party A shall not be entitled to take any further steps against Party B to recover any sums due
but still unpaid hereunder or thereunder, all claims in respect of which shall be extinguished.
(q) Reserved.
(r) Waiver of Jury Trial. Each party waives, to the fullest extent permitted by applicable law, any
right it may have to a trial by jury in respect of any suit, action or proceeding relating to this
Agreement or any Credit Support Document. Each party certifies (i) that no representative, agent
or attorney of the other party or any Credit Support Provider has represented, expressly or
otherwise, that such other party would not, in the event of such a suit, action or proceeding,
seek to enforce the foregoing waiver and (ii) acknowledges that it and the other party have been
induced to enter into this Agreement and provide for any Credit Support Document, as applicable,
by, among other things, the mutual waivers and certifications in this Section.
(s) Consent to Recording. Each party (i) consents to the recording of the telephone conversations of
trading and marketing personnel of the parties and their Affiliates in connection with this
Agreement or any potential transaction and (ii) if applicable, agrees to obtain any necessary
consent of, and give notice of such recording to, such personnel of it and its Affiliates.
(t) Severability. If any term, provision, covenant, or condition of this Agreement, or the
application thereof to any party or circumstance, shall be held to be illegal, invalid or
unenforceable (in whole or in part) for any reason, the remaining terms, provisions, covenants and
conditions hereof shall continue in full force and effect as if this Agreement had been executed
with the illegal, invalid or unenforceable portion eliminated, so long as this Agreement as so
modified continues to express, without material change, the original intentions of the parties as
to the subject matter of this Agreement and the deletion of such portion of this Agreement will
not substantially impair the respective benefits or expectations of the parties to this Agreement.
(u) Escrow Payments. If (whether by reason of the time difference between the cities in which
payments or deliveries are to be made or otherwise) it is not possible for simultaneous payments
or deliveries to be made on any date on which both parties are required to make payments or
deliveries hereunder, either party may at its option and in its sole discretion notify the other
party (Section 2(b) of this Agreement notwithstanding) that payments or deliveries on that date
are to be made in escrow (such notifying party being the Appointing Party). In this case, deposit
of the payment or delivery due earlier on that date shall be made by 2:00 pm (local time at the
place for the earlier payment or delivery) on that date with an escrow agent selected by the
Appointing Party, accompanied by irrevocable payment or delivery instructions (i) to release the
deposited payment or delivery to the intended recipient upon receipt by the escrow agent of the
required deposit of the corresponding payment or delivery from the other party on the same date
accompanied by irrevocable payment or delivery instructions to the same effect or (ii) if the
required deposit of the corresponding payment or delivery is not made on that same date, to return
the payment or delivery deposited to the party that paid or delivered it into escrow. The
Appointing Party will pay all costs of the escrow arrangements. The Appointing Party will bear
the risk of any failure of its nominated escrow agent to fully and promptly perform the
obligations of such escrow agent as contemplated in this Part 5(t). Any amounts payable or
deliveries to be made under this Agreement by the Appointing Party which are not received by the
other party hereto on the due date will remain due and payable or to be made by the Appointing
Party as of such date (assuming timely payment or delivery on the due date of amounts payable or
deliveries to be made by the other party hereto). Any amounts or deliveries due from the other
party, which have been paid or delivered to the escrow agent in accordance with this Part 5(u)
(and any instructions in connection therewith given to the other party by the Appointing Party)
shall be treated as having been paid or delivered by such other party and received by the
Appointing Party as of the date on which they were paid or delivered to the Appointing Party's
escrow agent. The Appointing Party shall cause the escrow arrangements to provide that the other
party shall be entitled to interest on any payment due to be deposited first for each day in the
period of its deposit at the rate offered by the escrow agent for that day for overnight deposits
in the relevant currency in the office where it holds that deposited payment (at 11.00 a.m. local
time on that day) if that payment is not released by to the other party 5.00 p.m. local time on
the date it is deposited for any reason other than the intended recipient's failure to make the
escrow deposit it is required to make under this paragraph in a timely fashion.
(v) Compliance with Regulation AB.
(i) Party A agrees and acknowledges that Depositor (Depositor) is required under Regulation AB
under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended
(the Exchange Act) (Regulation AB), to disclose certain financial information regarding Party A or
its group of affiliated entities, if applicable, depending on the aggregate "significance
percentage" of this Agreement and any other derivative contracts between Party A or its group of
affiliated entities, if applicable, and Party B, as calculated from time to time in accordance
with Item 1115 of Regulation AB.
(ii)It shall be a swap disclosure event (Swap Disclosure Event) if, on any Business Day during the
term of the Transaction, Depositor requests from Party A the applicable financial information
described in Item 1115 of Regulation AB (such request to be based on a reasonable determination by
Depositor, in good faith, that such information is required under Regulation AB as a result of the
aggregate "significance percentage" exceeding 10%) (the Swap Financial Disclosure).
(iii) Upon the occurrence of a Swap Disclosure Event, Party A, at its own expense, shall
(a) provide to Depositor the Swap Financial Disclosure, (b) secure another entity to replace Party
A as party to this Agreement on terms substantially similar to this Agreement and subject to prior
notification to the Rating Agencies, provided, that satisfaction of the S&P Ratings Condition
shall be required for any transfer of any Transactions under this clause (iii) unless such
transfer is in connection with the assignment and assumption of this Agreement by such substitute
counterparty without modification of its terms, other than the following terms: party name, dates
relevant to the effective date of such transfer, tax representations (provided that the
representations in Part 2(a) are not modified) and any other representations regarding the status
of the substitute counterparty of the type included in Section (c) of this Part 5 and notice
information (in which case, Party A shall provide written notice to S&P with respect thereto),
which entity (or a guarantor therefor) meets or exceeds the Hedge Counterparty Ratings Requirement
and which entity is able to comply with the financial information disclosure requirements of Item
1115 of Regulation AB or (c) obtain a guaranty of the Party A's obligations under this Agreement
from an affiliate of the Party A that is able to comply with the financial information disclosure
requirements of Item 1115 of Regulation AB, such that disclosure provided in respect of the
affiliate will satisfy any disclosure requirements applicable with respect to the Counterparty,
and cause such affiliate to provide Swap Financial Disclosure. If permitted by Regulation AB, any
required Swap Financial Disclosure may be provided by incorporation by reference from reports
filed pursuant to the Exchange Act.
(w) Third Party Beneficiary.
Depositor shall be an express third party beneficiary of this Agreement as if a party hereto to
the extent of the Depositor 's rights explicitly specified herein
(x) Credit Support Default. Section 5(a)(iii)(1) of this Agreement is hereby deleted and replaced
with the following:
"(1) The occurrence of an Event of Default under any Credit Support Document if such Event of
Default is continuing after any applicable grace period has elapsed;"
(y) Tax. Notwithstanding the definition of "Indemnifiable Tax" in Section 14 of this Agreement, in
relation to payments by Party A, any Tax shall be an Indemnifiable Tax and, in relation to
payments by Party B, no Tax shall be an Indemnifiable Tax.
(z) Calculations. Notwithstanding Section 6 of this Agreement, so long as Party A is (A) the sole
Affected Party (other than pursuant to an Illegality or a Tax Event) or (B) the Defaulting Party in
respect of any Event of Default, paragraphs (i) to (vii) below shall apply:
(i) Notwithstanding Part 1(f) hereof, "Market Quotation" shall apply, and the definition of
"Market Quotation" shall be deleted in its entirety and replaced with the following:
""Market Quotation" means, with respect to one or more Terminated Transactions, a Live Bid which
is (1) made by a Reference Market-maker that is an Eligible Replacement, (2) for an amount 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 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 Transactions 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 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 and (4) made in respect of a Replacement Transaction with
terms substantially the same as those of this Agreement (save for the exclusion of provisions
relating to Transactions that are not Terminated Transactions)."
(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 the Depositor based on information provided by the Reference Market-Maker) equal to the
Termination Currency Equivalent of the amount (whether positive or negative) of any Market
Quotation for the relevant Terminated Transaction or group of Terminated Transactions that is
accepted by the Depositor so as to become legally binding, provided that:
(1) If, on the day falling ten Local Business Days after the day on which the Early
Termination Date is designated or such later day as the Depositor may specify in writing
to Party A (but in either case no later than the Early Termination Date) (such day the
"Latest Settlement Amount Determination Day"), no Market Quotation for the relevant
Terminated Transaction or group of Terminated Transactions has been accepted by the
Depositor so as to become legally binding and one or more Market Quotations have been made
and remain capable of becoming legally binding upon acceptance, the Settlement Amount
shall equal the Termination Currency Equivalent of the amount (whether positive or
negative) of the lowest of such Market Quotations (for the avoidance of doubt, the lowest
of such Market Quotations shall be the lowest Market Quotation of such Market Quotations
expressed as a positive number or, if any of such Market Quotations is expressed as a
negative number, the Market Quotation expressed as a negative number with the largest
absolute value); and
(2) If, on the Latest Settlement Amount Determination Day, no Market Quotation for the
relevant Terminated Transaction or group of Terminated Transactions is accepted by Party B
so as to become legally binding and no Market Quotations have been made and remain capable
of becoming legally binding upon acceptance, the Settlement Amount shall equal 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) For the purpose of clause (4) of the definition of Market Quotation, the Depositor shall
determine, based on information provided by the Reference Market-Maker, whether a Live Bid is made
in respect of a Replacement Transaction with commercial terms substantially the same as those of
this Agreement (save for the exclusion of provisions relating to Transactions that are not
Terminated Transactions): provided, however, that notwithstanding the provisions of this Part
5(z), nothing in this Agreement shall preclude Party A from obtaining Market Quotations.
(iv) At any time on or before the Latest Settlement Amount Determination Day at which two or
more Market Quotations remain capable of becoming legally binding upon acceptance, the Depositor
shall be entitled to accept only the lowest of such Market Quotations (for the avoidance of doubt,
the lowest of such Market Quotations shall be the lowest Market Quotation of such Market
Quotations expressed as a positive number or, if any of such Market Quotations is expressed as a
negative number, the Market Quotation expressed as a negative number with the largest absolute
value).
(v) If the Depositor 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) If the Settlement Amount is a negative number, 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) shall not be netted-off against any amount payable by Party B under (1)."
(vii) For purposes of this Part 5(z),
"Eligible Replacement" means an entity either (A) satisfying the Hedge Counterparty Ratings
Requirement or (B) whose present and future obligations owing to Party B are guaranteed pursuant
to a guarantee provided by a guarantor satisfying the Hedge Counterparty Ratings Requirements,
and in each case which enters into an indemnification agreement in connection with Part 5(v) of
this Agreement with the Depositor that is reasonably satisfactory to the Depositor.
"Live Bid" means a firm quotation from a Reference Market-maker that is an Eligible Replacement
which, when made, was capable of becoming legally binding upon acceptance.
(aa) Rating Agency Notifications. Notwithstanding any other provision of this Agreement, this
Agreement shall not be amended, no Early Termination Date shall be effectively designated by Party
B, and no transfer of any rights or obligations under this Agreement shall be made (other than a
transfer of all of Party A's rights and obligations with respect to this Agreement in accordance
with Part 5(e) above) unless each Rating Agency has been given prior written notice of such
amendment, designation or transfer.
(bb) Applicable Rating Agency. Rating triggers and other Rating Agency-related provisions herein apply
only for so long as that particular Rating Agency is rating the certificates.
IN WITNESS WHEREOF, the parties have executed this document by their duly authorized officers with
effect from the date so specified on the first page hereof.
Xxxxx Fargo Bank, N.A., not in its individual or
corporate capacity but solely as Trust
Credit Suisse International Administrator on behalf of the Adjustable Rate
Mortgage Trust 2007-1
By: __________________________________________ By: __________________________________________________
Name: Name:
Title: Title:
By: __________________________________________
Name:
Title:
CREDIT SUISSE INTERNATIONAL
One Cabot Square, Telephone 000 0000 0000
Xxxxxx X00 0XX xxx.xxxxxx-xxxxxx.xxx
Facsimile Cover Sheet
To: Xxxxx Fargo Bank, N.A., not in its individual or corporate capacity but solely as Trust
Administrator on behalf of the Adjustable Rate Mortgage Trust 2007-1
Attention: Xxxxxxxx Xxxxx, CSIN Marketer
Fax number: To be hand delivered by Xxxxxxxx Xxxxx
Date: 28 February 2007
Pages (including cover page): 4
Our Reference No: External ID: 53195585NOV / Risk ID: 447692463, 447692477
Credit Suisse International has entered into a transaction with you as attached. Please find attached
a letter agreement (the "Confirmation") which confirms the terms and conditions of the above
transaction.
If you agree with the terms specified therein, please arrange for the Confirmation to be signed by your
authorised signatories and return a signed copy to this office to the facsimile listed below.
For Interest Rate Products: For Equity Derivatives:
Telephone Numbers: (000) 000-0000 Telephone numbers: (000) 000-0000 / (000) 000-0000 /
Facsimile number: (000) 000-0000 (000) 000-0000
Email: xxxx.xxx-xxx-xxxxxx-xx@xxxxxx-xxxxxx.xxx Facsimile number: (000) 000-0000
For Credit Derivatives:
Telephone Numbers: (000) 000-0000
Facsimile number: (000) 000-0000
Email: xxxx.xxx-xxx-xxxxxx-xx@xxxxxx-xxxxxx.xxx
We are delighted to have entered into this transaction with you.
CONFIDENTIALITY NOTICE: This facsimile is intended only for the use of the individual or entity to
which it is addressed and may contain information which is privileged and confidential. If the reader
of this message is not the intended recipient or an employee or agent responsible for delivering the
message to the intended recipient, you are hereby notified that any dissemination, distribution or
copying of this communication is strictly prohibited. If you have received this communication in error,
please notify us immediately by telephone and return the original message to us by mail. Thank you.
Registered Office as above
Registered with unlimited liability in England under No. 2500199
Authorised and Regulated by the Financial Services Authority
VAT No: GB 447 0737 41
Novation Confirmation
Date: 28 February 2007
To: Xxxxx Fargo Bank, N.A., not in its individual or corporate capacity but solely
as Trust Administrator on behalf of the Adjustable Rate Mortgage Trust 2007-1
To: Credit Suisse Management LLC
From: Credit Suisse International ("CSIN")
Re: Novation Transaction
External ID: 53195585NOV
__________________________________________________________________________________________________________
Dear Sirs,
The purpose of this letter agreement (this "Confirmation") is to confirm the terms and conditions of
the Swap Transaction entered into between us on the Trade Date specified below (the "Swap
Transaction"). This Confirmation constitutes a "Confirmation" as referred to in the Agreement
specified below.
1. The definitions and provisions contained in the 2004 ISDA Novation Definitions (the
"Definitions") and the terms and provisions of the 2000 ISDA definitions (the "Product
Definitions"), each as published by the International Swaps and Derivatives Association, Inc.
and amended from time to time, are incorporated in this Novation Confirmation. In the event
of any inconsistency between (i) the Definitions, (ii) the Product Definitions and/or (iii)
the Novation Agreement and this Novation Confirmation, this Novation Confirmation will
govern. In the event of any inconsistency between the Novation Confirmation and the New
Confirmation, the New Confirmation will govern for the purpose of the New Transaction.
2. The terms of the Novation Transaction to which this Novation Confirmation relates are
as follows:
Novation Date: 28 February 2007
Novated Amount: USD 808,700,000 subject to adjustment as set out in
the Additional Terms of the New Confirmation
Transferor: Credit Suisse Management LLC
Transferee: Xxxxx Fargo Bank, N.A., not in its individual or corporate
capacity but solely as Trust Administrator on behalf of the
Adjustable Rate Mortgage Trust 2007-1
Remaining Party: Credit Suisse International
New Agreement (between Transferee and 1992 ISDA Master Agreement dated as of
Remaining Party): 28 February 2007
3. The terms of the Old Transaction to which this Novation Confirmation relates, for
identification purposes, are as follows:
Trade Date of Old Transaction: 22 February 2007
Effective Date of Old Transaction: 28 February 2007
Termination Date of Old Transaction: 25 January 2012
4. The terms of the New Transaction to which this Novation Confirmation relates shall be
as specified in the New Confirmation attached hereto as Exhibit A.
Full First Calculation Period: Applicable
5. Miscellaneous Provisions:
Non-Reliance: Applicable
For the purpose of facilitating this Transaction, an Affiliate of CSIN, which is organized in the
United States of America (the "Agent"), has acted as agent for CSIN. The Agent is not a principal with
respect to this Transaction and shall have no responsibility or liability to the parties as a principal
with respect to this Transaction.
Credit Suisse International is authorized and regulated by the Financial Services Authority and has
entered into this transaction as principal. The time at which the above transaction was executed will
be notified to the parties on request.
The parties confirm their acceptance to be bound by this Novation Confirmation as of the Novation Date
by executing a copy of this Novation Confirmation and returning it to us. The Transferor, by its
execution of a copy of this Novation Confirmation, agrees to the terms of the Novation Confirmation as
it relates to the Old Transaction. The Transferee, by its execution of a copy of this Novation
Confirmation, agrees to the terms of the Novation Confirmation as it relates to the New Transaction.
3
Credit Suisse International
By:..............................
Name:
Title:
Credit Suisse Management LLC
By:..............................
Name:
Title:
Xxxxx Fargo Bank, N.A., not in its individual or corporate capacity but solely as Trust Administrator on
behalf of the Adjustable Rate Mortgage Trust 2007-1
By:..............................
Name:
Title:
Our Reference No: External ID: 53195585NOV / Risk ID: 447692463, 447692477
4
CREDIT SUISSE INTERNATIONAL
One Cabot Square, Telephone 000 0000 0000
Xxxxxx X00 0XX xxx.xxxxxx-xxxxxx.xxx
Facsimile Cover Sheet
To: Xxxxx Fargo Bank, N.A., not in its individual or corporate capacity but solely as
Trust Administrator on behalf of the Adjustable Rate Mortgage Trust 2007-1
Attention: Xxxxxxxx Xxxxx, CSIN Marketer
Fax number: To be hand delivered by Xxxxxxxx Xxxxx
Date: 28 February 2007
Pages (including cover page): 8
Our Reference No: External ID: 53195585N3 / Risk ID: 447692463, 447692477
Credit Suisse International has entered into a transaction with you as attached. Please find attached a letter
agreement (the "Confirmation") which confirms the terms and conditions of the above transaction.
If you agree with the terms specified therein, please arrange for the Confirmation to be signed by your
authorised signatories and return a signed copy to this office to the facsimile listed below.
For Interest Rate Products: For Equity Derivatives:
Telephone Numbers: (000) 000-0000 Telephone numbers: (000) 000-0000 / (000) 000-0000 /
Facsimile number: (000) 000-0000 (000) 000-0000
Email: xxxx.xxx-xxx-xxxxxx-xx@xxxxxx-xxxxxx.xxx Facsimile number: (000) 000-0000
For Credit Derivatives:
Telephone Numbers: (000) 000-0000
Facsimile number: (000) 000-0000
Email: xxxx.xxx-xxx-xxxxxx-xx@xxxxxx-xxxxxx.xxx
We are delighted to have entered into this transaction with you.
CONFIDENTIALITY NOTICE: This facsimile is intended only for the use of the individual or entity to which it is
addressed and may contain information which is privileged and confidential. If the reader of this message is not
the intended recipient or an employee or agent responsible for delivering the message to the intended recipient,
you are hereby notified that any dissemination, distribution or copying of this communication is strictly
prohibited. If you have received this communication in error, please notify us immediately by telephone and
return the original message to us by mail. Thank you.
Registered Office as above
Registered with unlimited liability in England under No. 2500199
Authorised and Regulated by the Financial Services Authority
VAT No: GB 447 0737 41
28 February 2007
Xxxxx Fargo Bank, NA
0000 Xxx Xxxxxxxxx Xxxx
Xxxxxxxx, Xxxxxxxx 00000
Attn: Client Manager - CSFB ARMT 2007-1
Fax: 000-000-0000
External ID: 53195585N3
____________________________________________________________________________________________________________________
Dear Sirs,
The purpose of this letter agreement (this "Confirmation") is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below (the "Swap Transaction"). This
Confirmation constitutes a "Confirmation" as referred to in the Agreement specified below.
In this Confirmation "CSIN" means Credit Suisse International and "Counterparty" means Xxxxx Fargo Bank, N.A.,
not in its individual or corporate capacity but solely as Trust Administrator on behalf of the Adjustable Rate
Mortgage Trust 2007-1.
1. 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 supplements, forms part of, and is subject to, the 1992 ISDA Master Agreement dated as
of 28 February 2007 as amended and supplemented from time to time (the "Agreement"), between you and us,
identified therein as the "Cap Agreement." All provisions contained in the Agreement govern this
Confirmation except as expressly modified below.
CSIN and Counterparty each represents to the other that it has entered into this Swap Transaction in
reliance upon such tax, accounting, regulatory, legal, and financial advice as it deems necessary and
not upon any view expressed by the other.
2. The terms of the particular Swap Transaction to which this Confirmation relates are as follows:
Transaction Type: Rate Cap Transaction
Notional Amount: USD 808,700,000 subject to amortization as set out in the
Additional Terms provision of this Confirmation
Trade Date: 22 February 2007
Effective Date: 28 February 2007
Termination Date: 25 January 2012, subject to adjustment in accordance with
the Following Business Day Convention
Fixed Amounts:
Fixed Rate Payer: Counterparty
Fixed Rate Payer
Payment Date: 28 February 2007, subject to adjustment in accordance with
the Following Business Day Convention
Fixed Amount: USD 560,000
Floating Amounts:
Floating Rate Payer: CSIN
Floating Rate
Period End Dates: The 25th of each month, commencing on 25 March 2007, and
ending on the Termination Date, inclusive, subject to
adjustment in accordance with the Following Business Day
Convention
Initial Floating Rate Payer
Calculation Period: From and including 28 February 2007 to but excluding 25
March 2007, subject to adjustment in accordance with the
Following Business Day Convention
Floating Rate
Payment Dates: One Business Day prior to each Floating Rate Period End
Date
Cap Rate: See the Additional Terms provision of this Confirmation
Floating Rate Option: USD-LIBOR-BBA, subject to a maximum rate of
10.803%, provided that the Floating Rate for the Initial
Floating Rate Payer Calculation Period shall be 5.32%
Designated Maturity: 1 month
Spread: None
Floating Rate
Day Count Fraction: Actual/360
Reset Dates: The first day of each Calculation Period, commencing on 25
March 2007
Compounding: Inapplicable
Business Days: New York
Calculation Agent: CSIN
Account Details:
Payments to CSIN: As advised separately in writing
Payments to Counterparty: Xxxxx Fargo Bank, N.A.
ABA: 000000000
Account Name: SAS Clearing
Account Number: 0000000000
FFC: 50978401, CSFB ARMT 07-1 Group 5 Cap Account
For the purpose of facilitating this Transaction, an Affiliate of CSIN, which is organized in the United States
of America (the "Agent"), has acted as agent for CSIN. The Agent is not a principal with respect to this
Transaction and shall have no responsibility or liability to the parties as a principal with respect to this
Transaction.
Credit Suisse International is authorized and regulated by the Financial Services Authority and has entered into
this transaction as principal. The time at which the above transaction was executed will be notified to
Counterparty on request.
ADDITIONAL TERMS
-------------------------------------------------------------------------------------
Calculation Period up to Notional Amount (USD): Cap Rate:
but excluding the Period
End Date* scheduled to
occur on:
-------------------------------------------------------------------------------------
25-March-2007 808,700,000 8.475%
-------------------------------------------------------------------------------------
25-April-2007 792,331,328 6.797%
-------------------------------------------------------------------------------------
25-May-2007 777,343,948 7.030%
-------------------------------------------------------------------------------------
25-June-2007 760,540,379 6.798%
-------------------------------------------------------------------------------------
25-July-2007 745,670,034 7.032%
-------------------------------------------------------------------------------------
25-August-2007 713,683,234 6.849%
-------------------------------------------------------------------------------------
25-September-2007 698,202,505 6.851%
-------------------------------------------------------------------------------------
25-October-2007 685,067,572 7.086%
-------------------------------------------------------------------------------------
25-November-2007 672,031,482 6.851%
-------------------------------------------------------------------------------------
25-December-2007 659,303,803 7.087%
-------------------------------------------------------------------------------------
25-January-2008 646,890,504 6.852%
-------------------------------------------------------------------------------------
25-February-2008 633,305,112 6.855%
-------------------------------------------------------------------------------------
25-March-2008 621,375,752 7.342%
-------------------------------------------------------------------------------------
25-April-2008 609,667,609 6.855%
-------------------------------------------------------------------------------------
25-May-2008 597,853,917 7.090%
-------------------------------------------------------------------------------------
25-June-2008 586,582,219 6.855%
-------------------------------------------------------------------------------------
25-July-2008 574,860,862 7.090%
-------------------------------------------------------------------------------------
25-August-2008 563,822,818 6.855%
-------------------------------------------------------------------------------------
25-September-2008 553,182,485 6.855%
-------------------------------------------------------------------------------------
25-October-2008 540,575,566 7.088%
-------------------------------------------------------------------------------------
25-November-2008 524,758,667 6.850%
-------------------------------------------------------------------------------------
25-December-2008 513,472,356 7.087%
-------------------------------------------------------------------------------------
25-January-2009 492,899,632 6.855%
-------------------------------------------------------------------------------------
25-February-2009 483,164,677 6.854%
-------------------------------------------------------------------------------------
___________________________
* Subject to adjustment in accordance with the Following Business Day Convention.
-------------------------------------------------------------------------------------
25-March-2009 474,022,345 7.610%
-------------------------------------------------------------------------------------
25-April-2009 465,049,631 6.854%
-------------------------------------------------------------------------------------
25-May-2009 456,243,397 7.089%
-------------------------------------------------------------------------------------
25-June-2009 447,454,664 6.854%
-------------------------------------------------------------------------------------
25-July-2009 433,708,658 7.089%
-------------------------------------------------------------------------------------
25-August-2009 417,619,835 6.858%
-------------------------------------------------------------------------------------
25-September-2009 407,951,500 6.858%
-------------------------------------------------------------------------------------
25-October-2009 397,308,139 7.094%
-------------------------------------------------------------------------------------
25-November-2009 371,969,295 6.878%
-------------------------------------------------------------------------------------
25-December-2009 356,129,512 7.131%
-------------------------------------------------------------------------------------
25-January-2010 348,843,446 6.895%
-------------------------------------------------------------------------------------
25-February-2010 341,648,658 6.896%
-------------------------------------------------------------------------------------
25-March-2010 335,134,583 7.656%
-------------------------------------------------------------------------------------
25-April-2010 330,104,340 6.896%
-------------------------------------------------------------------------------------
25-May-2010 323,949,123 7.133%
-------------------------------------------------------------------------------------
25-June-2010 317,908,195 6.896%
-------------------------------------------------------------------------------------
25-July-2010 311,979,442 7.133%
-------------------------------------------------------------------------------------
25-August-2010 306,160,785 6.896%
-------------------------------------------------------------------------------------
25-September-2010 300,450,186 6.896%
-------------------------------------------------------------------------------------
25-October-2010 294,845,643 7.133%
-------------------------------------------------------------------------------------
25-November-2010 289,345,192 6.896%
-------------------------------------------------------------------------------------
25-December-2010 283,946,906 7.132%
-------------------------------------------------------------------------------------
25-January-2011 278,574,405 6.896%
-------------------------------------------------------------------------------------
25-February-2011 273,376,270 6.896%
-------------------------------------------------------------------------------------
25-March-2011 268,274,699 7.656%
-------------------------------------------------------------------------------------
25-April-2011 261,617,915 6.897%
-------------------------------------------------------------------------------------
25-May-2011 255,627,054 7.135%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-June-2011 250,808,080 6.898%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-July-2011 241,979,803 7.138%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-August-2011 231,565,418 6.901%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-September-2011 224,620,975 6.900%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-October-2011 198,862,736 7.159%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-November-2011 181,525,701 6.924%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-December-2011 7,531,332 7.150%
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
25-January-2012 343,814 6.948%
-------------------------------------------------------------------------------------
Please confirm that the foregoing correctly sets forth the terms of our agreement by executing the copy of this
Confirmation enclosed for that purpose and returning it to us.
Yours faithfully,
Credit Suisse International
By:_____________________________
Name:
Title:
Confirmed as of the date first written above:
Xxxxx Fargo Bank, N.A., not in its individual or corporate capacity but
solely as Trust Administrator on behalf of the Adjustable Rate Mortgage
Trust 2007-1
By:________________________________
Name:
Title:
Our Reference No: External ID: 53195585N3 / Risk ID: 447692463, 447692477
CSA
Elections and Variables
to the ISDA Credit Support Annex
dated as of February 28, 2007
between
Credit Suisse International
Xxxxx Fargo Bank, N.A., not in its individual or corporate
and capacity but solely as Trust Administrator on behalf of
the Adjustable Rate Mortgage Trust 2007-1
______________________________________ _________________________________________
("Party A") ("Party B")
Paragraph 13.
(a) Security Interest for "Obligations".
The term "Obligations" as used in this Annex includes the following additional obligations:
With respect to Party A: None.
With respect to Party B: None.
(b) Credit Support Obligations.
(i) Delivery Amount, Return Amount and Credit Support Amount.
(A) "Delivery Amount" has the meaning specified in Paragraph 3(a), except that the words
"upon a demand made by the Secured Party" shall be deleted and the word "that" on the second
line of Paragraph 3(a) shall be replaced with the word "a".
(B) Paragraph 4(b) is hereby amended by the insertion of the words "(i) in respect of a
Transfer pursuant to Paragraph 3(b)," immediately prior to the words "if a demand for" and the
insertion of the words "; and (ii) in respect of a Transfer pursuant to Paragraph 3(a), the
relevant Transfer will be made not later than the close of business on the Local Business Day
following the Valuation Date" immediately prior to the period.
(C) "Return Amount" has the meaning specified in Paragraph 3(b).
(D) "Credit Support Amount" for a Valuation Date shall mean zero; provided that,
if the Threshold in respect of Party A is zero on such Valuation Date, "Credit Support Amount"
shall mean one of the following if one of the following specified events have occurred on such
Valuation Date:
(i) if a Moody's Collateralization Event has occurred and is continuing but (a) no
Xxxxx'x Rating Event has occurred and is continuing or (b) less than 30 Local
Business Day have elapsed since the last time that no Xxxxx'x Rating Event had
occurred and was continuing, "Credit Support Amount" shall mean an amount in
USD equal to the greater of (1) the sum of (a) the Secured Party's Exposure
and (b) the First Trigger Collateral Amount (as defined below) for each
Transaction hereunder and (2) zero;
(ii) so long as a Moody's Ratings Event has occurred and is continuing and 30 or
more Local Business Days have elapsed since the last time that no Xxxxx'x
Rating Event had occurred and was continuing, "Credit Support Amount" shall
mean an amount in USD equal to the greatest of (1) the sum of (a) the Secured
Party's Exposure and (b) the Second Trigger Collateral Amount (as defined
below) for each Transaction hereunder, (2) an amount equal to the Floating
Amount payable by Party A pursuant to each Transaction hereunder in respect of
the first Floating Rate Payer Payment Date scheduled to occur on or after such
Valuation Date and (3) zero; and
(iii) if an S&P Collateralization Event or an S&P Ratings Event has
occurred and is continuing, "Credit Support Amount" shall mean an amount in
USD equal to the greater of (1) the sum of (a) the Secured Party's Exposure
and (b) the Notional Volatility Buffer and (2) zero. "Notional Volatility
Buffer", as determined by the Valuation Agent for any date, means the product
of (i) the Notional Amount of the Transaction on such date, (ii) the Payment
Factor, and (iii) the Volatility Buffer Percentage for such date as set out in
the table below on such date,
------------------- --------------- ---------------- ------------- --------------
Party A S&P Remaining Remaining Remaining Remaining
Rating on such Weighted Weighted Weighted Weighted
date Average Life Average Life Average Average Life
Maturity up Maturity up to Life Maturity up
to 3 years 5 years Maturity up to 30 years
to 10 years
------------------- --------------- ---------------- ------------- --------------
S&P S-T Rating of 0.00% 0.00% 0.00% 0.00%
"A-1" or above
------------------- --------------- ---------------- ------------- --------------
S&P S-T Rating of 2.75% 3.25% 4.0% 4.75%
"A-2"
------------------- --------------- ---------------- ------------- --------------
S&P S-T Rating of 3.25% 4.00% 5.0% 6.25%
"A-3"
------------------- --------------- ---------------- ------------- --------------
S&P L-T Rating of 3.50% 4.50% 6.75% 7.50%
"BB+" or lower
------------------- --------------- ---------------- ------------- --------------
L-T Rating means with respect to any Person, the unsecured, unguaranteed and
otherwise unsupported long-term senior debt obligations of such Person.
S-T Rating means with respect to any Person, the unsecured, unguaranteed and
otherwise unsupported short-term debt obligations of such Person.
Payment Factor means 1.
In circumstances where more than one of Paragraph 13(b)(i)(C)(i), (ii) and (iii) apply, the
Credit Support Amount shall be calculated by reference to the paragraph 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 one of Paragraph 13(b)(i)(C)(i), (ii) or (iii).
First Trigger Collateral Amount means, in respect of each Transaction hereunder on any date, an
amount in USD equal to the Notional Amount of such Transaction on such date multiplied by the
Applicable Percentage set forth in the table in Exhibit A hereto.
Second Trigger Collateral Amount means, in respect of each Transaction hereunder on any date,
an amount in USD equal to the Notional Amount of such Transaction on such date multiplied by
the Applicable Percentage set forth in the applicable table in Exhibit B hereto.
(ii) Eligible Collateral. On any date, the following items will qualify as "Eligible Collateral"
for Party A:
(A) Valuation Percentage S&P
--------------------------------------------------------------------- -------------
(i) Cash 100%
--------------------------------------------------------------------- -------------
--------------------------------------------------------------------- -------------
(ii) Negotiable debt obligations issued after 18 July 1984 by 98.0%
the U.S. Treasury Department having a residual maturity on
such date of less than 1 year
--------------------------------------------------------------------- -------------
--------------------------------------------------------------------- -------------
(iii) Coupon-bearing negotiable debt obligations issued after 18 93.8%
July 1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater than 1
year but less than 5 years
--------------------------------------------------------------------- -------------
--------------------------------------------------------------------- -------------
(iv) Coupon-bearing negotiable debt obligations issued after 18 90.3%
July 1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater than 5
years but less than 10 years
--------------------------------------------------------------------- -------------
(B) Valuation Percentage Moody's
-------------------- -------------------------------- -----------------------------
INTRUMENT Daily Weekly
-------------------- -------------------------------- -----------------------------
U.S. Dollar Cash 100% 100%
-----------------------------------------------------------------------------------
Fixed-Rate Negotiable treasury Debt Issued by the U.S. Treasury Department with
Remaining Maturity
-------------------- -------------------------------- -----------------------------
<1 Year 100% 100%
-------------------- -------------------------------- -----------------------------
1 to 2 years 100% 99%
-------------------- -------------------------------- -----------------------------
2 to 3 years 100% 98%
-------------------- -------------------------------- -----------------------------
3 to 5 years 100% 97%
-------------------- -------------------------------- -----------------------------
5 to 7 years 100% 95%
-------------------- -------------------------------- -----------------------------
7 to 10 years 100% 94%
-----------------------------------------------------------------------------------
Floating-Rate Negotiable treasury Debt Issued by the U.S. Treasury Department
-------------------- -------------------------------- -----------------------------
All Maturities 100% 99%
-------------------- -------------------------------- -----------------------------
In circumstances where both Paragraph 13(b)(ii)(A) and (B) apply, the Valuation Percentage for
an item of Eligible Collateral shall be calculated by reference to the paragraph which would
result in the lower Valuation Percentage for such item of Eligible Collateral.
(iii) Other Eligible Support. None.
(iv) Thresholds.
(A) "Independent Amount" means with respect to Party A: Not applicable.
"Independent Amount" means with respect to Party B: Not applicable.
(B) "Threshold" means with respect to Party A: infinity, provided that if an S&P Ratings
Event or a Collateralization Event has occurred and is continuing, the Threshold with
respect to Party A shall be zero, unless with respect to a Collateralization Event,
(i) Party A has remedied such Collateralization Event in accordance with the terms of,
and within the relevant timeframe specified in, the Agreement by means other than
posting collateral pursuant to this Annex and a Ratings Event has not occurred and is
continuing or (ii) (a) no S&P Collateralization Event has occurred and is continuing,
and (b) (1) if a Moody's Collateralization Event has occurred and is continuing, less
than 30 Local Business Days have elapsed since the last time no Moody's
Collateralization Event has occurred and was continuing and (2) no Moody's
Collateralization Event had occurred when this Annex was executed, in which case the
Threshold with respect to Party A shall remain infinity.
"Threshold" means with respect to Party B: infinity.
(C) "Minimum Transfer Amount" means USD 100,000 with respect to Party A and Party B;
provided, however, that if the aggregate Certificate Principal Balance of Certificates
rated by S&P ceases to be more than USD 50,000,000, the "Minimum Transfer Amount shall
be USD 50,000.
(D) Rounding. The Delivery Amount will be rounded up to the nearest integral multiple of
USD 10,000. The Return Amount will be rounded down to the nearest integral multiple
of USD 1,000.
(c) Valuation and Timing.
(i) "Valuation Agent" means Party A. Calculations by Party A will be made by reference to commonly
accepted market sources.
(ii) "Valuation Date" means,
(A) in the event that a Collateralization Event other an S&P Collateralization Event has
occurred and is continuing, each Local Business Day which, if treated as a Valuation
Date, would result in a Delivery Amount or a Return Amount; and
(B) in the event that only an S&P Collateralization Event has occurred and is continuing,
or a Ratings Event has occurred and is continuing, the last Local Business Day of each
calendar week.
(iii) "Valuation Time" means the close of business in the city of the Valuation Agent on the Local
Business Day before 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 4:00 p.m., London time, on a Local Business Day.
(d) Conditions Precedent and Secured Party's Rights and Remedies.
No events shall constitute a "Specified Condition."
(e) Substitution.
(i) "Substitution Date" has the meaning specified in Paragraph 4(d)(ii).
(ii) Consent. The Pledgor must obtain the Secured Party's prior consent to any substitution
pursuant to Paragraph 4(d) and shall give to the Secured Party not less than two (2) Local
Business Days' notice thereof specifying the items of Posted Credit Support intended for
substitution.
(f) Dispute Resolution.
(i) "Resolution Time" means 4:00 p.m. London time on the Local Business Day following the date on
which the notice of the dispute is given under Paragraph 5.
(ii) Value. For the purpose of Paragraphs 5(i)(C) and 5(ii), on any date, the Value of Eligible
Collateral and Posted Collateral will be calculated as follows:
(A) with respect to any Cash; the amount thereof; and
(B) with respect to any Eligible Collateral comprising securities; 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 such 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 for such securities chosen by the Valuation Agent,
multiplied by the applicable Valuation Percentage or (z) if no such bid price is
listed or quoted for such date, the last bid price listed or quoted (as the case may
be), as of the day next preceding such date on which such prices were available;
multiplied by the applicable Valuation Percentage; plus (b) the accrued interest on
such securities (except to the extent that such interest shall have been paid to the
Pledgor pursuant to Paragraph 6(d)(ii) or included in the applicable price referred to
in subparagraph (a) above) as of such date.
(iii) Alternative. The provisions of Paragraph 5 will apply provided the obligation of the
appropriate party to deliver the undisputed amount to the other party will not arise prior to
the time that would otherwise have applied to the Transfer pursuant to, or deemed made, under
Paragraph 3 if no dispute had arisen.
(g) Holding and Using Posted Collateral.
(i) Eligibility to Hold Posted Collateral; Custodians:
The Trust Administrator (as defined in the PSA) will be entitled to hold Posted Collateral
pursuant to Paragraph 6(b).
(ii) Use of Posted Collateral. The provisions of Paragraph 6(c) will not apply to Party B.
Therefore, Party B will not have any of the rights specified in Paragraph 6(c)(i) or 6(c)(ii)
unless book-entry securities are delivered, in which event Party B shall have the rights
specified in Paragraph 6(c)(i) and 6(c)(ii).
(h) Distributions and Interest Amount.
(i) Interest Rate. The "Interest Rate" will be the annualized rate of return actually achieved on
Posted Collateral in the form of Cash during the relevant Interest Period.
(ii) Transfer of Interest Amount. The Transfer of the Interest Amount will be made on any Local
Business Day on which Posted Collateral in the form of Cash is Transferred to the Pledgor
pursuant to Paragraph 3(b), provided that such Interest Amount has been received prior thereto.
(iii) Alternative to Interest Amount. The provisions of Paragraph 6(d)(ii) will apply.
(i) Additional Representation(s).
There are no additional representations by either party.
(j) Demands and Notices.
All demands, specifications and notices under this Annex will be made pursuant to the Notices Section of
this Agreement, save that any demand, specification or notice:
(i) shall be given to or made at the following addresses:
If to Party A:
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Telephone: 00 00 0000 0000
Facsimile: 44 20 7883 7987
Attention: Collateral Management Unit
If to Party B:
Xxxxx Fargo Bank, N.A.
Address: 0000 Xxx Xxxxxxxxx Xxxx
Xxxxxxxx, Xxxxxxxx 00000
Attention: Client Manager, CSFB ARMT 07-1
Telephone: 000 000 0000
Fax: 000 000 0000
or at such other address as the relevant party may from time to time designate by giving notice (in
accordance with the terms of this paragraph) to the other party;
(ii) shall (unless otherwise stated in this Annex) be deemed to be effective at the time such notice
is actually received unless such notice is received on a day which is not a Local Business Day
or after the Notification Time on any Local Business Day in which event such notice shall be
deemed to be effective on the next succeeding Local Business Day.
(k) Address for Transfers.
Party A: To be notified to Party B by Party A at the time of the request for the Transfer.
Party B: To be notified to Party A by Party B at the time of the request for the Transfer.
(l) Other Provisions.
(i) Additional Definitions
As used in this Annex:
"Equivalent Collateral" means, with respect to any security constituting Posted
Collateral, a security of the same issuer and, as applicable, representing or having the same
class, series, maturity, interest rate, principal amount or liquidation value and such other
provisions as are necessary for that security and the security constituting Posted Collateral
to be treated as equivalent in the market for such securities;
"Local Business Day" means: (i) any day on which commercial banks are open for business
(including dealings in foreign exchange and foreign currency deposits) in London, and (ii) in
relation to a Transfer of Eligible Collateral, a day on which the clearance system agreed
between the parties for the delivery of Eligible Collateral is open for acceptance and
execution of settlement instructions (or in the case of a Transfer of Cash or other Eligible
Collateral for which delivery is contemplated by other means, a day on which commercial banks
are open for business (including dealings for foreign exchange and foreign currency deposits)
in New York and such other places as the parties shall agree); and
"transaction-specific xxxxxx" has the meaning given to such term in "Framework for De-linking
Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions Moody's
Methodology" published by Xxxxx'x Investors Service and dated May 25, 2006.
(ii) Events of Default
Paragraph 7 shall be deleted and replaced in its entirety by the following paragraph:
"For the purposes of Section 5(a)(iii)(i) of this Agreement, an Event of Default will exist
with respect to a party if that party fails (or fails to cause its Custodian) to make, when
due, any Transfer of Posted Credit Support or the Interest Amount, as applicable, required to
be made by it and that failure continues for two Local Business Days after the notice of that
failure is given to that party, except that (A) if such failure would constitute an Additional
Termination Event under another provision of this Agreement and (B) no more than 30 Local
Business Days have elapsed since the last time that no Xxxxx'x Rating Event has occurred and
was continuing, then such failure shall be an Additional Termination Event and not an Event of
Default".
..
(iii) Return of Fungible Securities
In lieu of returning to the Pledgor pursuant to Paragraphs 3(b), 4(d), 5 and 8(d) any Posted
Collateral comprising securities the Secured Party may return Equivalent Collateral.
(iv) Covenants of the Pledgor
So long as the Agreement is in effect, the Pledgor covenants that it will keep the Posted
Collateral free from all security interests or other encumbrances created by the Pledgor,
except the security interest created hereunder and any security interests or other encumbrances
created by the Secured Party; and will not sell, transfer, assign, deliver or otherwise dispose
of, or grant any option with respect to any Posted Collateral or any interest therein, or
create, incur or permit to exist any pledge, lien, mortgage, hypothecation, security interest,
charge, option or any other encumbrance with respect to any Posted Collateral or any interest
therein, without the prior written consent of the Secured Party.
(v) No Counterclaim
A party's rights to demand and receive the Transfer of Eligible Collateral as provided
hereunder and its rights as Secured Party against the Posted Collateral or otherwise shall be
absolute and subject to no counterclaim, set-off, deduction or defense in favor of the Pledgor
except as contemplated in Sections 2 and 6 of the Agreement and Paragraph 8 of this Annex.
(vi) Holding Collateral
The Secured Party shall cause any Custodian appointed hereunder to open and maintain a
segregated account (which shall be an Eligible Account, as defined in the PSA) and to hold,
record and identify all the Posted Collateral in such segregated account and, subject to
Paragraph 8(a), such Posted Collateral shall at all times be and remain the property of the
Pledgor and shall at no time constitute the property of, or be commingled with the property of,
the Secured Party or the Custodian.
(vii) Security and Performance
Eligible Collateral Transferred to the Secured Party constitutes security and performance
assurance without which the Secured Party would not otherwise enter into and continue any and
all Transactions.
(viii) Agreement as to Single Secured Party and Pledgor
Party A and Party B agree that, notwithstanding anything to the contrary in the recital to this
Annex, Paragraph 1(b), Paragraph 2 or the definitions in Paragraph 12, (a) the term "Secured
Party" as used in this Annex means only Party B, (b) the term "Pledgor" as used in this Annex
means only Party A, (c) only Party A makes the pledge and grant in Paragraph 2, the
acknowledgment in the final sentence of Paragraph 8(a) and the representations in Paragraph 9
and (d) only Party A will be required to make Transfers of Eligible Credit Support hereunder.
(ix) External Verification of Xxxx-to-Market Valuations.
On each Valuation Date occurring while an S&P Collateralization Event is continuing, Party A
shall provide to S&P not later than the Notification Time on the Local Business Day following
such Valuation Date its calculations of Exposure and the S&P Value of any Eligible Credit
Support or Posted Credit Support for that Valuation Date. Every month after the unsecured,
unguaranteed and otherwise unsupported long-term debt obligations of each Relevant Entity are
rated below BBB+ by S&P, unless otherwise agreed in writing with S&P, Party A will verify its
determination of Exposure of the Transaction and any Posted Credit Support on the next
Valuation Date by seeking quotations from two (2) Reference Market-makers for their
determination of Exposure of the Transaction on such Valuation Date and the Valuation Agent
will use the greater of either (a) its own determination or (b) the highest quotation for a
Reference Market-maker, if applicable, for the next Valuation Date; provided, that this
Paragraph 13(l)(ix) shall only apply to the extent that the Certificates outstanding at such
time (as defined in the PSA) are rated higher by S&P than the S&P L-T Rating of Party A; and
provided further, that Party A shall not seek verification of its determination of Exposure as
described above from the same Reference Market-maker more than four times in any twelve-month
period. Party A shall provide to S&P copies of such verification details.
(x) Expenses.
Notwithstanding Paragraph 10(a), the Pledgor will be responsible for, and will reimburse the
Secured Party for, all transfer costs involved in the Transfer of Eligible Collateral from the
Pledgor to the Secured Party (or any agent or custodian for safekeeping of the Secured Party)
or from the Secured Party (or any agent or custodian for safekeeping of the Secured Party ) to
the Pledgor pursuant to paragraph 4(d).
(xi) Trust Administrator Capacity.
It is expressly understood and agreed by the parties hereto that (i) this Agreement is executed
and delivered by Xxxxx Fargo Bank, N.A. (the Trust Administrator) not individually or
personally but solely as Trust Administrator on behalf of the Trust created under the Pooling
and Servicing Agreement in respect of the Adjustable Rate Mortgage Trust 2007-1 (the Trust), in
the exercise of the powers and authority conferred and vested in it under the PSA, (ii) each of
the representations, undertakings and agreements herein made on the part of the Trust is made
and intended not as personal representations, undertakings and agreements by the Trust
Administrator but is made and intended for the purpose of binding only the Trust, (iii)
nothing herein contained shall be construed as creating any liability on the part of the Trust
Administrator, individually or personally, to perform any covenant either expressed or implied
contained herein, all such liability, if any, being expressly waived by the parties hereto and
by any Person claiming by, through or under the parties hereto and (iv) under no circumstances
shall the Trust Administrator be personally liable for the payment of any indebtedness or
expenses of the Trust or be liable for the breach or failure of any obligation, representation,
warranty or covenant made or undertaken by the Trust under this Agreement or any other related
documents as to all of which recourse shall be had solely to the assets of the Trust in
accordance with the terms of the PSA.
Credit Suisse International Xxxxx Fargo Bank, N.A., not in its individual or corporate
capacity but solely as Trust Administrator on behalf of
the Adjustable Rate Mortgage Trust 2007-1
By: __________________________________________ By: __________________________________________________
Name: Name:
Title: Title:
By: __________________________________________
Name:
Title:
EXHIBIT A
FIRST TRIGGER COLLATERAL AMOUNT APPLICABLE PERCENTAGES
For Transactions that are swaps, caps, floors and transaction-specific xxxxxx:
------------------------- ---------------------------------------------- ---------------------------------------------
Weighted Average Life Interest Rate Xxxxxx Currency Xxxxxx
of Hedge in Years
------------------------- --------------------------------------------------------------------------------------------
Valuation Dates:
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Daily Weekly Daily Weekly
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Less than 1 year 0.15% 0.25% 1.10% 2.20%
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 0.30% 0.50% 1.20% 2.40%
than 1 year but less
than 2 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 0.40% 0.70% 1.30% 2.60%
than 2 years but less
than 3 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 0.60% 1.00% 1.40% 2.80%
than 3 years but less
than 4 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 0.70% 1.20% 1.50% 2.90%
than 4 years but less
than 5 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 0.80% 1.40% 1.60% 3.10%
than 5 years but less
than 6 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.00% 1.60% 1.60% 3.30%
than 6 years but less
than 7 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.10% 1.80% 1.70% 3.40%
than 7 years but less
than 8 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.20% 2.00% 1.80% 3.60%
than 8 years but less
than 9 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.30% 2.20% 1.90% 3.80%
than 9 years but less
than 10 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.40% 2.30% 1.90% 3.90%
than 10 years but less
than 11 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.50% 2.50% 2.00% 4.00%
than 11 years but less
than 12 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.60% 2.70% 2.10% 4.10%
than 12 years but less
than 13 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.70% 2.80% 2.10% 4.30%
than 13 years but less
than 14 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 1.80% 3.00% 2.20% 4.40% than 14 years but less than 15 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 1.90% 3.20% 2.30% 4.50% than 15 years but less than 16 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 3.30% 2.30% 4.60% than 16 years but less than 17 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 3.50% 2.40% 4.80% than 17 years but less than 18 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 3.60% 2.40% 4.90% than 18 years but less than 19 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 3.70% 2.50% 5.00% than 19 years but less than 20 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 3.90% 2.50% 5.00% than 20 years but less than 21 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 21 years but less than 22 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 22 years but less than 23 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 23 years but less than 24 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 24 years but less than 25 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 25 years but less than 26 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 26 years but less than 27 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 27 years but less than 28 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 28 years but less than 29 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 2.00% 4.00% 2.50% 5.00% than 29 years but less than 30 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to 30 years 2.00% 4.00% 2.50% 5.00% ------------------------- ---------------------- ----------------------- ---------------------- ----------------------
EXHIBIT B
SECOND TRIGGER COLLATERAL AMOUNT APPLICABLE PERCENTAGES
For Transactions that are swaps (excludes caps, floors and transaction-specific xxxxxx):
------------------------- ---------------------------------------------- ---------------------------------------------
Weighted Average Life Interest Rate Swaps Currency Swaps
of Hedge in Years
------------------------- --------------------------------------------------------------------------------------------
Valuation Dates:
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Daily Weekly Daily Weekly
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Less than 1 year 0.50% 0.60% 6.10% 7.25%
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.00% 1.20% 6.30% 7.50%
than 1 year but less
than 2 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.50% 1.70% 6.40% 7.70%
than 2 years but less
than 3 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.90% 2.30% 6.60% 8.00%
than 3 years but less
than 4 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 2.40% 2.80% 6.70% 8.20%
than 4 years but less
than 5 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 2.80% 3.30% 6.80% 8.40%
than 5 years but less
than 6 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 3.20% 3.80% 7.00% 8.60%
than 6 years but less
than 7 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 3.60% 4.30% 7.10% 8.80%
than 7 years but less
than 8 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 4.00% 4.80% 7.20% 9.00%
than 8 years but less
than 9 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 4.40% 5.30% 7.30% 9.20%
than 9 years but less
than 10 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 4.70% 5.60% 7.40% 9.30%
than 10 years but less
than 11 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 5.00% 6.00% 7.50% 9.50%
than 11 years but less
than 12 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 5.40% 6.40% 7.60% 9.70%
than 12 years but less
than 13 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 5.70% 6.80% 7.70% 9.80%
than 13 years but less
than 14 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 6.00% 7.20% 7.80% 10.00% than 14 years but less than 15 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 6.30% 7.60% 7.90% 10.00% than 15 years but less than 16 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 6.60% 7.90% 8.00% 10.00% than 16 years but less than 17 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 6.90% 8.30% 8.10% 10.00% than 17 years but less than 18 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 7.20% 8.60% 8.20% 10.00% than 18 years but less than 19 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 7.50% 9.00% 8.20% 10.00% than 19 years but less than 20 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 7.80% 9.00% 8.30% 10.00% than 20 years but less than 21 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.40% 10.00% than 21 years but less than 22 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.50% 10.00% than 22 years but less than 23 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.60% 10.00% than 23 years but less than 24 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.60% 10.00% than 24 years but less than 25 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.70% 10.00% than 25 years but less than 26 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.80% 10.00% than 26 years but less than 27 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.80% 10.00% than 27 years but less than 28 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.90% 10.00% than 28 years but less than 29 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.00% 9.00% 8.90% 10.00% than 29 years but less than 30 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to 30 years 8.00% 9.00% 9.00% 10.00% ------------------------- ---------------------- ----------------------- ---------------------- ----------------------
For Transactions that are caps, floors, swaptions and transaction-specific xxxxxx:
------------------------- ---------------------------------------------- ---------------------------------------------
Weighted Average Life Interest Rate Xxxxxx Currency Xxxxxx
of Hedge in Years
------------------------- --------------------------------------------------------------------------------------------
Valuation Dates:
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Daily Weekly Daily Weekly
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Less than 1 year 0.65% 0.75% 6.30% 7.40%
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.30% 1.50% 6.60% 7.80%
than 1 year but less
than 2 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 1.90% 2.20% 6.90% 8.20%
than 2 years but less
than 3 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 2.50% 2.90% 7.10% 8.50%
than 3 years but less
than 4 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 3.10% 3.60% 7.40% 8.90%
than 4 years but less
than 5 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 3.60% 4.20% 7.70% 9.20%
than 5 years but less
than 6 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 4.20% 4.80% 7.90% 9.60%
than 6 years but less
than 7 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 4.70% 5.40% 8.20% 9.90%
than 7 years but less
than 8 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 5.20% 6.00% 8.40% 10.20%
than 8 years but less
than 9 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 5.70% 6.60% 8.60% 10.50%
than 9 years but less
than 10 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 6.10% 7.00% 8.80% 10.70%
than 10 years but less
than 11 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 6.50% 7.50% 9.00% 11.00%
than 11 years but less
than 12 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 7.00% 8.00% 9.20% 11.30%
than 12 years but less
than 13 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 7.40% 8.50% 9.40% 11.50%
than 13 years but less
than 14 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
Equal to or greater 7.80% 9.00% 9.60% 11.80%
than 14 years but less
than 15 years
------------------------- ---------------------- ----------------------- ---------------------- ----------------------
------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.20% 9.50% 9.80% 11.80% than 15 years but less than 16 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 8.60% 9.90% 10.00% 12.00% than 16 years but less than 17 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 9.00% 10.40% 10.10% 12.00% than 17 years but less than 18 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 9.40% 10.80% 10.30% 12.00% than 18 years but less than 19 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 9.70% 11.00% 10.50% 12.00% than 19 years but less than 20 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 10.70% 12.00% than 20 years but less than 21 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 10.80% 12.00% than 21 years but less than 22 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 22 years but less than 23 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 23 years but less than 24 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 24 years but less than 25 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 25 years but less than 26 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 26 years but less than 27 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 27 years but less than 28 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 28 years but less than 29 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to or greater 10.00% 11.00% 11.00% 12.00% than 29 years but less than 30 years ------------------------- ---------------------- ----------------------- ---------------------- ---------------------- Equal to 30 years 10.00% 11.00% 11.00% 12.00% ------------------------- ---------------------- ----------------------- ---------------------- ----------------------
