to the Schedule to the ISDA Master Agreement dated as of August 13, 2007 between LEHMAN BROTHERS SPECIAL FINANCING INC. (hereinafter referred to as “Party A” or “Pledgor”), and THE BANK OF NEW YORK, not in its individual or corporate capacity but...
EXHIBIT
99.4
ISDA®
CREDIT
SUPPORT ANNEX
to
the
Schedule to the
ISDA
Master Agreement
dated
as
of August 13, 2007 between
XXXXXX
BROTHERS SPECIAL FINANCING INC. (hereinafter referred to as
“Party A” or
“Pledgor”),
and
THE
BANK OF NEW YORK, not in its individual or corporate capacity but solely as
Swap
Contract Administrator for CWABS Asset-Backed Certificates Trust
2007-12
(hereinafter
referred to as “Party B” or “Secured
Party”)
This
Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule and is a Credit Support Document under
this
Agreement with respect to each party.
Accordingly,
the parties agree as follows:
Paragraph
1.
|
Interpretation
|
(a) Definitions
and Inconsistency. Capitalized terms not otherwise
defined herein or elsewhere in this Agreement have the meanings specified
pursuant to Paragraph 12, and all references in this Annex to Paragraphs
are to
Paragraphs of this Annex. In the event of any inconsistency between
this Annex and the other provisions of this Schedule, this Annex will prevail
and in the event of any inconsistency between Paragraph 13 and the other
provisions of this Annex, Paragraph 13 will prevail.
(b) Secured
Party and Pledgor. All references in this Annex to the
“Secured Party” will be to either party when acting in that capacity and all
corresponding references to the “Pledgor” will be to the other party when acting
in that capacity; provided, however, that if Other Posted Support is held
by a
party to this Annex, all references herein to that party as the Secured Party
with respect to that Other Posted Support will be to that party as the
beneficiary thereof and will not subject that support or that party as the
beneficiary thereof to provisions of law generally relating to security
interests and secured parties.
Paragraph
2.
|
Security
Interest
|
Each
party, as the Pledgor, hereby pledges to the other party, as the Secured
Party,
as security for its Obligations, and grants to the Secured Party a first
priority continuing security interest in, lien on and right of Set-off against
all Posted Collateral Transferred to or received by the Secured Party
hereunder. Upon the Transfer by the Secured Party to the Pledgor of
Posted Collateral, the security interest and lien granted hereunder on that
Posted Collateral will be released immediately and, to the extent possible,
without further action by either party.
Paragraph
3.
|
Credit
Support Obligations
|
(a) Delivery
Amount. Subject to Paragraphs 4 and 5, upon a demand
made by the Secured Party on or promptly following a Valuation Date, if the
Delivery Amount for that Valuation Date equals or exceeds the Pledgor’s Minimum
Transfer Amount, then the Pledgor will Transfer to the Secured Party Eligible
Credit Support having a Value as of the date of Transfer at least equal to
the
applicable Delivery Amount (rounded pursuant to Paragraph 13). Unless
otherwise specified in Paragraph 13, the “Delivery Amount” applicable to the
Pledgor for any Valuation Date will equal the amount by which:
(i) the
Credit Support Amount
exceeds
(ii) the
Value as of that Valuation Date of all Posted Credit Support held by the
Secured
Party.
(b) Return
Amount. Subject to Paragraphs 4 and 5, upon a demand
made by the Pledgor on or promptly following a Valuation Date, if the Return
Amount for that Valuation Date equals or exceeds the Secured Party’s Minimum
Transfer Amount, then the Secured Party will Transfer to the Pledgor Posted
Credit Support specified by the Pledgor in that demand having a Value as
of the
date of Transfer as close as practicable to the applicable Return Amount
(rounded pursuant to Paragraph 13). Unless otherwise specified in
Paragraph 13, the “Return Amount” applicable to the Secured Party for any
Valuation Date will equal the amount by which:
(i) the
Value as of that Valuation Date of all Posted Credit Support held by the
Secured
Party
exceeds
(ii) the
Credit Support Amount.
“Credit
Support Amount” means, unless otherwise specified in Paragraph 13,
for any Valuation Date (i) the Secured Party’s Exposure for that Valuation Date
plus (ii) the aggregate of all Independent Amounts applicable to the Pledgor,
if
any, minus (iii) all Independent Amounts applicable to the Secured Party,
if
any, minus (iv) the Pledgor’s Threshold; provided, however, that the Credit
Support Amount will be deemed to be zero whenever the calculation of Credit
Support Amount yields a number less than zero.
Paragraph
4.
|
Conditions
Precedent, Transfer Timing, Calculations and
Substitutions
|
(a) Conditions
Precedent. Each Transfer obligation of the Pledgor
under Paragraphs 3 and 5 and of the Secured Party under Paragraphs 3, 4(d)(ii),
5 and 6(d) is subject to the conditions precedent that:
(i) no
Event of Default, Potential Event of Default or Specified Condition has occurred
and is continuing with respect to the other party; and
(ii) no
Early Termination Date for which any unsatisfied payment obligations exist
has
occurred or been designated as the result of an Event of Default or Specified
Condition with respect to the other party.
(b) Transfer
Timing. Subject to Paragraphs 4(a) and 5 and unless
otherwise specified, if a demand for the Transfer of Eligible Credit Support
or
Posted Credit Support is made by the Notification Time, then the relevant
Transfer will be made not later than the close of business on the next Local
Business Day; if a demand is made after the Notification Time, then the relevant
Transfer will be made not later than the close of business on the second
Local
Business Day thereafter.
(c) Calculations. All
calculations of Value and Exposure for purposes of Paragraphs 3 and 6(d)
will be
made by the Valuation Agent as of the Valuation Time. The Valuation
Agent will notify each party (or the other party, if the Valuation Agent
is a
party) of its calculations not later than the Notification Time on the Local
Business Day following the applicable Valuation Date (or in the case of
Paragraph 6(d), following the date of calculation).
2
(d) Substitutions.
(i) Unless
otherwise specified in Paragraph 13, upon notice to the Secured Party specifying
the items of Posted Credit Support to be exchanged, the Pledgor may, on any
Local Business Day, Transfer to the Secured Party substitute Eligible Credit
Support (the “Substitute Credit Support”); and
(ii) subject
to Paragraph 4(a), the Secured Party will Transfer to the Pledgor the items
of
Posted Credit Support specified by the Pledgor in its notice not later than
the
Local Business Day following the date on which the Secured Party receives
the
Substitute Credit Support, unless otherwise specified in Paragraph 13 (the
“Substitution Date”); provided that the Secured Party will only be obligated to
Transfer Posted Credit Support with a Value as of the date of Transfer of
that
Posted Credit Support equal to the Value as of that date of the Substitute
Credit Support.
Paragraph
5.
|
Dispute
Resolution
|
If
a
party (a “Disputing Party”) disputes (I) the Valuation Agent’s calculation of a
Delivery Amount or a Return Amount or (II) the Value of any Transfer of Eligible
Credit Support or Posted Credit Support, then (I) the Disputing Party will
notify the other party and the Valuation Agent (if the Valuation Agent is
not
the other party) not later than the close of business on the Local Business
Day
following (X) the date that the demand is made under Paragraph 3 in the case
of
(I) above or (Y) the date of Transfer in the case of (II) above, (2) subject
to
Paragraph 4(a), the appropriate party will Transfer the undisputed amount
to the
other party not later than the close of business on the Local Business Day
following (X) the date that the demand is made under Paragraph 3 in the case
of
(I) above or (Y) the date of Transfer in the case of (II) above, (3) the
parties
will consult with each other in an attempt to resolve the dispute and (4)
if
they fail to resolve the dispute by the Resolution Time, then:
(i) In
the case of a dispute involving a Delivery Amount or Return Amount, unless
otherwise specified in Paragraph 13, the Valuation Agent will recalculate
the
Exposure and the Value as of the Recalculation Date by:
(A) utilizing
any calculations of Exposure for the Transactions (or Swap Transactions)
that
the parties have agreed are not in dispute;
(B) calculating
the Exposure for the Transactions (or Swap Transactions) in dispute by seeking
four actual quotations at mid-market from Reference Market-makers for purposes
of calculating Market Quotation, and taking the arithmetic average of those
obtained; provided that if four quotations are not available for a particular
Transaction (or Swap Transaction), then fewer than four quotations may be
used
for that Transaction (or Swap Transaction); and if no quotations are available
for a particular Transaction (or Swap Transaction), then the Valuation Agent’s
original calculations will be used for that Transaction (or Swap Transaction);
and
(C) utilizing
the procedures specified in Paragraph 13 for calculating the Value, if disputed,
of Posted Credit Support.
(ii) In
the case of a dispute involving the Value of any Transfer of Eligible Credit
Support or Posted Credit Support, the Valuation Agent will recalculate the
Value
as of the date of Transfer pursuant to Paragraph 13.
Following
a recalculation pursuant to this Paragraph, the Valuation Agent will notify
each
party (or the other party, if the Valuation Agent is a party) not later than
the
Notification Time on the Local Business Day following the Resolution
Time. The appropriate party will, upon demand following that notice
by the Valuation Agent or a resolution pursuant to (3) above and subject
to
Paragraphs 4(a) and 4(b), make the appropriate Transfer.
3
Paragraph
6.
|
Holding
and Using Posted
Collateral
|
(a) Care
of Posted Collateral. Without limiting the Secured
Party’s rights under Paragraph 6(c), the Secured Party will exercise reasonable
care to assure the safe custody of all Posted Collateral to the extent required
by applicable law, and in any event the Secured Party will be deemed to have
exercised reasonable care if it exercises at least the same degree of care
as it
would exercise with respect to its own property. Except as specified
in the preceding sentence, the Secured Party will have no duty with respect
to
Posted Collateral, including, without limitation, any duty to collect any
Distributions, or enforce or preserve any rights pertaining
thereto.
(b) Eligibility
to Hold Posted Collateral; Custodians.
(i) General. Subject
to the satisfaction of any conditions specified in Paragraph 13 for holding
Posted Collateral, the Secured Party will be entitled to hold Posted Collateral
or to appoint an agent (a “Custodian”) to hold Posted Collateral for the Secured
Party. Upon notice by the Secured Party to the Pledgor of the
appointment of a Custodian, the Pledgor’s obligations to make any Transfer will
be discharged by making the Transfer to that Custodian. The holding
of Posted Collateral by a Custodian will be deemed to be the holding of that
Posted Collateral by the Secured Party for which the Custodian is
acting.
(ii) Failure
to Satisfy Conditions. If the Secured Parry or its
Custodian fails to satisfy any conditions for holding Posted Collateral,
then
upon a demand made by the Pledgor, the Secured Party will, not later than
five
Local Business Days after the demand, Transfer or cause its Custodian to
Transfer all Posted Collateral held by it to a Custodian that satisfies those
conditions or to the Secured Party if it satisfies those
conditions.
(iii) Liability. The
Secured Party will be liable for the acts or omissions of its Custodian to
the
same extent that the Secured Party would be liable hereunder for its own
acts or
omissions.
(c) Use
of Posted Collateral Unless otherwise specified in Paragraph 13 and without
limiting the rights and obligations of the parties under Paragraphs 3, 4(d)
(ii), 5, 6(d) and 8, if the Secured Party is not a Defaulting Party or an
Affected Party with respect to a Specified Condition and no Early Termination
Date has occurred or been designated as the result of an Event of Default
or
Specified Condition with respect to the Secured Xxxxx, then the Secured Party
will, notwithstanding Section 9-207 of the New York Uniform Commercial Code,
have the right to:
(i) sell,
pledge, rehypothecate, assign, invest, use, commingle or otherwise dispose
of,
or otherwise use in its business any Posted Collateral it holds, free from
any
claim or right of any nature whatsoever of the Pledgor, including any equity
or
right of redemption by the Pledgor; and
(ii) register
any Posted Collateral in the name of the Secured Party, its Custodian or
a
nominee for either.
For
purposes of the obligation to Transfer Eligible Credit Support or Posted
Credit
Support pursuant to Paragraphs 3 and 5 and any rights or remedies authorized
under this Agreement, the Secured Party will be deemed to continue to hold
all
Posted Collateral and to receive Distributions made thereon, regardless of
whether the Secured Party has exercised any rights with respect to any Posted
Collateral pursuant to (i) or (ii) above.
(d) Distributions
and Interest Amount
(i) Distributions. Subject
to Paragraph 4(a), if the Secured Party receives or is deemed to receive
Distributions on a Local Business Day, it will Transfer to the Pledgor not
later
than the following Local Business Day any Distributions it receives or is
deemed
to receive to the extent that a Delivery Amount would not be created or
increased by that Transfer, as calculated by the Valuation Agent (and the
date
of calculation will be deemed to be a Valuation Date for this
purpose).
4
(ii) Interest
Amount Unless otherwise specified in Paragraph 13 and
subject to Paragraph 4(a), in lieu of any interest, dividends or other amounts
paid or deemed to have been paid with respect to Posted Collateral in the
form
of Cash (all of which may be retained by the Secured Party), the Secured
Party
will Transfer to the Pledgor at the times specified in Paragraph 13 the Interest
Amount to the extent that a Delivery Amount would not be created or increased
by
that Transfer, as calculated by the Valuation Agent (and the date of calculation
will be deemed to be a Valuation Date for this purpose). The Interest Amount
or
portion thereof not Transferred pursuant to this Paragraph will constitute
Posted Collateral in the form of Cash and will be subject to the security
interest granted under Paragraph 2.
Paragraph
7.
|
Events
of Default
|
For
purposes of Section 5(a) (iii) (1) of this Agreement, an Event of Default
will
exist with respect to a party if:
(i) that
party fails (or fails to cause its Custodian) to make, when due, any Transfer
of
Eligible Collateral. Posted Collateral or the Interest Amount, as
applicable, required to be made by it and that failure continues for two
Local
Business Days after notice of that failure is given to that party;
(ii) that
party fails to comply with any restriction or prohibition specified in this
Annex with respect to any of the rights specified in Paragraph 6(c) and that
failure continues for five Local Business Days after notice of that failure
is
given to that party; or
(iii) that
party fails to comply with or perform any agreement or obligation other than
those specified in Paragraphs 7(i) and 7(ii) and that failure continues for
30
days after notice of that failure is given to that party.
Paragraph
8.
|
Certain
Rights and Remedies
|
(a) Secured
Party’s Rights and Remedies. If at any time (1) an
Event of Default or Specified Condition with respect to the Pledgor has occurred
and is continuing or (2) an Early Termination Date has occurred or been
designated as the result of an Event of Default or Specified Condition with
respect to the Pledgor, then, unless the Pledgor has paid in full all of
its
Obligations that are then due, the Secured Party may exercise one or more
of the
following rights and remedies:
(i) all
rights and remedies available to a secured party under applicable law with
respect to Posted Collateral held by the Secured Party;
(ii) any
other rights and remedies available to the Secured Party under the terms
of
Other Posted Support, if any;
(iii) the
right to Set-off any amounts payable by the Pledgor with respect to any
Obligations against any Posted Collateral or the Cash equivalent of any Posted
Collateral held by the Secured Party (or any obligation of the Secured Party
to
Transfer that Posted Collateral); and
(iv) the
right to liquidate any Posted Collateral held by the Secured Party through
one
or more public or private sales or other dispositions with such notice, if
any,
as may be required under applicable law, free from any claim or right of
any
nature whatsoever of the Pledgor, including any equity or right of redemption
by
the Pledgor (with the Secured Party having the right to purchase any or all
of
the Posted Collateral to be sold) and to apply the proceeds (or the Cash
equivalent thereof) from the liquidation of the Posted Collateral to any
amounts
payable by the Pledgor with respect to any Obligations in that order as the
Secured Party may elect.
Each
party acknowledges and agrees that Posted Collateral in the form of securities
may decline speedily in value and is of a type customarily sold on a recognized
market, and, accordingly, the Pledgor is not entitled to prior notice of
any
sale of that Posted Collateral by the Secured Party, except any notice that
is
required under applicable law and cannot be waived.
5
(b) Pledgor’s
Rights and Remedies. If at any time an Early
Termination Date has occurred or been designated as the result of an Event
of
Default or Specified Condition with respect to the Secured Party, then (except
in the case of an Early Termination Date relating to less than all Transactions
(or Swap Transactions) where the Secured Party has paid in full all of its
obligations that are then due under Section 6(e) of this
Agreement):
(i) the
Pledgor may exercise all rights and remedies available to a pledgor under
applicable law with respect to Posted Collateral held by the Secured
Party;
(ii) the
Pledgor may exercise any other rights and remedies available to the Pledgor
under the terms of Other Posted Support, if any;
(iii) the
Secured Party will be obligated immediately to Transfer all Posted Collateral
and the Interest Amount to the Pledgor; and
(iv) to
the extent that Posted Collateral or the Interest Amount is not so Transferred
pursuant to (iii) above, the Pledgor may:
(A) Set-off
any amounts payable by the Pledgor with respect to any Obligations against
any
Posted Collateral or the Cash equivalent of any Posted Collateral held by
the
Secured Party (or any obligation of the Secured Party to Transfer that Posted
Collateral); and
(B) to
the extent that the Pledgor does not Set-off under (iv)(A) above, withhold
payment of any remaining amounts payable by the Pledgor with respect to any
Obligations, up to the Value of any remaining Posted Collateral held by the
Secured Party, until that Posted Collateral is Transferred to the
Pledgor.
(c) Deficiencies
and Excess Proceeds. The Secured Party will Transfer to
the Pledgor any proceeds and Posted Credit Support remaining after liquidation,
Set-off and/or application under Paragraphs 8(a) and 8(b) after satisfaction
in
full of all amounts payable by the Pledgor with respect to any Obligations;
the
Pledgor in all events will remain liable for any amounts remaining unpaid
after
any liquidation, Set-off and/or application under Paragraphs 8(a) and
8(b).
(d) Final
Returns. When no amounts are or thereafter may become
payable by the Pledgor with respect to any Obligations (except for any potential
liability under Section 2(d) of this Agreement), the Secured Party will Transfer
to the Pledgor all Posted Credit Support and the Interest Amount, if
any.
Paragraph
9.
|
Representations
|
Each
party represents to the other party (which representations will be deemed
to be
repeated as of each date on which it, as the Pledgor, Transfers Eligible
Collateral) that:
(i) it
has the power to grant a security interest in and lien on any Eligible
Collateral it Transfers as the Pledgor and has taken all necessary actions
to
authorize the granting of that security interest and lien;
(ii) it
is the sole owner of or otherwise has the right to Transfer all Eligible
Collateral it Transfers to the Secured Party hereunder, free and clear of
any
security interest, lien, encumbrance or other restrictions other than the
security interest and lien granted under Paragraph 2;
(iii) upon
the Transfer of any Eligible Collateral to the Secured Party under the terms
of
this Annex, the Secured Party will have a valid and perfected first priority
security interest therein (assuming that any central clearing corporation
or any
third-party financial intermediary or other entity not within the control
of the
Pledgor involved in the Transfer of that Eligible Collateral gives the notices
and takes the action required of it under applicable law for perfection of
that
interest); and
(iv) the
performance by it of its obligations under this Annex will not result in
the
creation of any security interest, lien or other encumbrance on any Posted
Collateral other than the security interest and lien granted under Paragraph
2.
6
Paragraph
10.
|
Expenses
|
(a) General. Except
as otherwise provided in Paragraphs 10(b) and 10(c), each party will pay
its own
costs and expenses in connection with performing its obligations under this
Annex and neither party will be liable at any costs and expenses incurred
by the
other party in connection herewith.
(b) Posted
Credit Support. The Pledgor will promptly pay when due
all taxes, assessments or charges of any nature that are imposed with respect
to
Posted Credit Support held by the Secured Party upon becoming aware of the
same,
regardless of whether any portion of that Posted Credit Support is subsequently
disposed of under Paragraph 6(c), except for those taxes, assessments and
charges that result from the exercise of the Secured Party’s rights under
Paragraph 6(c).
(c) Liquidation/Application
of Posted Credit Support. All reasonable costs and
expenses incurred by or on behalf of the Secured Party or the Pledgor in
connection with the liquidation and/or application of any Posted Credit Support
under Paragraph 8 will be payable, on demand and pursuant to the Expenses
Section of this Agreement, by the Defaulting Party or, if there is no Defaulting
Party, equally by the parties.
Paragraph
11.
|
Miscellaneous
|
(a) Default
Interest. A Secured Party that fails to make, when due,
any Transfer of Posted Collateral or the Interest Amount will be obligated
to
pay the Pledgor (to the extent permitted under applicable law) an amount
equal
to interest at the Default Rate multiplied by the Value of the items of property
that were required to be Transferred, from (and including) the date that
Posted
Collateral or Interest Amount was required to be Transferred to (but excluding)
the date of Transfer of that Posted Collateral or Interest
Amount. This interest will be calculated on the basis of daily
compounding and the actual number of days elapsed.
(b) Further
Assurances. Promptly following a demand made by a
party, the other party will execute, deliver, file and record any financing
statement, specific assignment or other document and take any other action
that
may be necessary or desirable and reasonably requested by that party to create,
preserve, perfect or validate any security interest or lien granted under
Paragraph 2, to enable that party to exercise or enforce its rights under
this
Annex with respect to Posted Credit Support or an Interest Amount or to effect
or document a release of a security interest on Posted Collateral or an Interest
Amount.
(c) Further
Protection. The Pledgor will promptly give notice to
the Secured Party of, and defend against, any suit, action, proceeding or
lien
that involves Posted Credit Support Transferred by the Pledgor or that could
adversely affect the security interest and lien granted by it under Paragraph
2,
unless that suit, action, proceeding or lien results from the exercise of
the
Secured Party’s rights under Paragraph 6(c).
(d) Good
Faith and Commercially Reasonable Manner. Performance
of all obligations under this Annex, including, but not limited to, all
calculations, valuations and determinations made by either party, will be
made
in good faith and in a commercially reasonable manner.
(e) Demands
and Notices. All demands and notices made by a party
under this Annex will be made as specified in the Notices Section of this
Agreement, except as otherwise provided in Paragraph 13.
(f) Specifications
of Certain Matters. Anything referred to in this Annex
as being specified in Paragraph 13 also may be specified in one or more
Confirmations or other documents and this Annex will be construed
accordingly.
7
Paragraph
12.
|
Definitions
|
As
used
in this Annex:
“Cash”
means the lawful currency of the United States of America.
“Credit
Support Amount” has the meaning specified in Paragraph
3.
“Custodian”
has the meaning specified in Paragraphs 6(b) (i) and 13.
“Delivery
Amount” has the meaning specified in Paragraph 3(a).
“Disputing
Party” has the meaning specified in Paragraph 5.
“Distributions”
means with respect to Posted Collateral other than Cash, all principal, interest
and other payments and distributions of cash or other property with respect
thereto, regardless of whether the Secured Party has disposed of that Posted
Collateral under Paragraph 6(c). Distributions will not include any
item of property acquired by the Secured Party upon any disposition or
liquidation of Posted Collateral or, with respect to any Posted Collateral
in
the form of Cash, any distributions on that collateral, unless otherwise
specified herein.
“Eligible
Collateral” means, with respect to a party, the items, if any,
specified as such for that party in Paragraph 13.
“Eligible
Credit Support” means Eligible Collateral and Other Eligible
Support.
“Exposure”
means for any Valuation Date or other date for which Exposure is calculated
and
subject to Paragraph 5 in the case of a dispute, the amount, if any, that
would
be payable to a party that is the Secured Party by the other party (expressed
as
a positive number) or by a party that is the Secured Party to the other party
(expressed as a negative number) pursuant to Section 6(e)(ii)(2)(A) of this
Agreement as if all Transactions (or Swap Transactions) were being terminated
as
of the relevant Valuation Time; provided that Market Quotation will be
determined by the Valuation Agent using its estimates at mid-market of the
amounts that would be paid for Replacement Transactions (as that term is
defined
in the definition of “Market Quotation”).
“Independent
Amount” means, with respect to a party, the amount specified as
such for that party in Paragraph 13; if no amount is specified,
zero.
“Interest
Amount” means, with respect to an Interest Period, the aggregate
sum of the amounts of interest calculated for each day in that Interest Period
on the principal amount of Posted Collateral in the form of Cash held by
the
Secured Party on that day, determined by the Secured Party for each such
day as
follows:
(x) the
amount of that Cash on that day; multiplied by
(y) the
Interest Rate in effect for that day; divided by
(z) 360.
“Interest
Period” means the period from (and including) the last Local
Business Day on which an Interest Amount was Transferred (or, if no Interest
Amount has yet been Transferred, the Local Business Day on which Posted
Collateral in the form of Cash was Transferred to or received by the Secured
Party) to (but excluding) the Local Business Day on which the current Interest
Amount is to be Transferred.
“Interest
Rate” means the rate specified in Paragraph 13.
“Local
Business Day,” unless otherwise specified in Paragraph 13, has the
meaning specified in the Definitions Section of this Agreement, except that
references to a payment in clause (b) thereof will be deemed to include a
Transfer under this Annex.
8
“Minimum
Transfer Amount” means, with respect to a party, the amount
specified as such for that party in Paragraph 13; if no amount is specified,
zero.
“Notification
Time” has the meaning specified in Paragraph 13.
“Obligations”
means, with respect to a party, all present and future obligations of that
party
under this Agreement and any additional obligations specified for that party
in
Paragraph 13.
“Other
Eligible Support” means, with respect to a party, the items, if
any, specified as such for that party in Paragraph 13.
“Other
Posted Support” means all Other Eligible Support Transferred to
the Secured Party that remains in effect for the benefit of that Secured
Party.
“Pledgor”
means either party, when that party (i) receives a demand for or is required
to
Transfer Eligible Credit Support under Paragraph 3(a) or (ii) has Transferred
Eligible Credit Support under Paragraph 3(a).
“Posted
Collateral” means all Eligible Collateral, other property,
Distributions, and all proceeds thereof that have been Transferred to or
received by the Secured Party under this Annex and not Transferred to the
Pledgor pursuant to Paragraph 3(b), 4(d)(ii) or 6(d)(i) or released by the
Secured Party under Paragraph 8. Any Interest Amount or portion
thereof not Transferred pursuant to Paragraph 6(d) (ii) will constitute Posted
Collateral in the form of Cash.
“Posted
Credit Support” means Posted Collateral and Other Posted
Support.
“Recalculation
Date” means the Valuation Date that gives rise to the dispute
under Paragraph 5: provided, however, that if a subsequent Valuation Date
occurs
under Paragraph 3 prior to the resolution of the dispute, then the
“Recalculation Date” means the most recent Valuation Date under Paragraph
3.
“Resolution
Time” has the meaning specified in Paragraph 13.
“Return
Amount” has the meaning specified in Paragraph 3(b).
“Secured
Party” means either party, when that party (i) makes a demand for
or is entitled to receive Eligible Credit Support under Paragraph 3(a) or
(ii)
holds or is deemed to hold Posted Credit Support.
“Specified
Condition” means, with respect to a party, any event specified as
such for that party in Paragraph 13.
“Substitute
Credit Support” has the meaning specified in Paragraph 4(d)
(i).
“Substitution
Date” has the meaning specified in Paragraph 4(d)
(ii).
“Threshold”
means, with respect to a party, the amount specified as such for that party
in
Paragraph 13; if no amount is specified, zero.
“Transfer”
means, with respect to any Eligible Credit Support, Posted Credit Support
or
Interest Amount, and in accordance with the instructions of the Secured Party,
Pledgor or Custodian, as applicable:
(i) in
the case of Cash, payment or delivery by wire transfer into one or more bank
accounts specified by the recipient;
(ii) in
the case of certificated securities that cannot be paid or delivered by
book-entry, payment or delivery in appropriate physical form to the recipient
or
its account accompanied by any duly executed instruments of transfer,
assignments in blank, transfer tax stamps and any other documents necessary
to
constitute a legally valid transfer to the recipient;
(iii) in
the case of securities that can be paid or delivered by book-entry, the giving
of written instructions to the relevant depository institution or other entity
specified by the recipient, together with a written copy thereof to the
recipient, sufficient if complied with to result in a legally effective transfer
of the relevant interest to the recipient; and
(iv) in
the case of Other Eligible Support or Other Posted Support, as specified
in
Paragraph 13.
9
“Valuation
Agent” has the meaning specified in Paragraph 13.
“Valuation
Date” means each date specified in or otherwise determined
pursuant to Paragraph 13.
“Valuation
Percentage” means, for any item of Eligible Collateral, the
percentage specified in Paragraph 13.
“Valuation
Time” has the meaning specified in Paragraph 13.
“Value”
means for any Valuation Date or other date for which Value is calculated
and
subject to Paragraph 5 in the case of a dispute, with respect to:
(i) Eligible
Collateral or Posted Collateral that is:
(A) Cash,
the amount thereof; and
(B) a
security, the bid price obtained by the Valuation Agent multiplied by the
applicable Valuation Percentage, if any;
(i) Posted
Collateral that consists of items that are not specified as Eligible Collateral,
zero; and
(ii) Other
Eligible Support and Other Posted Support, as specified in Paragraph
13.
10
Paragraph
13. Elections and Variables.
(a)
|
Security
Interest for “Obligations”. The term
“Obligations” as used in this Annex includes the
following additional obligations:
|
With
respect to Party A: not applicable.
With
respect to Party B: not applicable.
(b)
|
Credit
Support Obligations.
|
|
(i)
|
Delivery
Amount, Return Amount and Credit Support
Amount.
|
|
(A)
|
“Delivery
Amount” has the meaning specified in Paragraph 3(a) as
amended (I) by deleting the words “upon a demand made by the Secured Party
on or promptly following a Valuation Date” and inserting in lieu thereof
the words “not later than the close of business on each Valuation Date”
and (II) by deleting in its entirety the sentence beginning “Unless
otherwise specified in Paragraph 13” and ending “(ii) the Value as of that
Valuation Date of all Posted Credit Support held by the Secured Party.”
and inserting in lieu thereof the
following:
|
The
“Delivery Amount” applicable to the
Pledgor for any Valuation Date will equal the greatest of:
|
(1)
|
the
amount by which (a) the S&P Approved Ratings Credit Support Amount for
such Valuation Date exceeds (b) the S&P Approved Ratings Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party,
|
|
(2)
|
the
amount by which (a) the S&P Required Ratings Credit Support Amount for
such Valuation Date exceeds (b) the S&P Required Ratings Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party,
|
|
(3)
|
the
amount by which (a) the Xxxxx’x First Trigger Credit Support Amount for
such Valuation Date exceeds (b) the Xxxxx’x First Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party,
and
|
11
|
(4)
|
the
amount by which (a) the Xxxxx’x Second Trigger Credit Support Amount for
such Valuation Date exceeds (b) the Xxxxx’x Second Trigger Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party.
|
|
(B)
|
“Return
Amount” has the meaning specified in Paragraph 3(b) as
amended by deleting in its entirety the sentence beginning “Unless
otherwise specified in Paragraph 13” and ending “(ii) the Credit Support
Amount.” and inserting in lieu thereof the
following:
|
The
“Return Amount” applicable to the Secured Party for
any Valuation Date will equal the least of:
|
(1)
|
the
amount by which (a) the S&P Approved Ratings Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party
exceeds (b) the S&P Approved Ratings Credit Support Amount for such
Valuation Date,
|
|
(2)
|
the
amount by which (a) the S&P Required Ratings Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party
exceeds (b) the S&P Required Ratings Credit Support Amount for such
Valuation Date,
|
|
(3)
|
the
amount by which (a) the Xxxxx’x First Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the Xxxxx’x First Trigger Credit Support Amount for such Valuation Date,
and
|
|
(4)
|
the
amount by which (a) the Xxxxx’x Second Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the Xxxxx’x Second Trigger Credit Support Amount for such Valuation
Date.
|
|
(C)
|
“Credit
Support Amount” shall not apply. For purposes of
calculating any Delivery Amount or Return Amount for any Valuation
Date,
reference shall be made to the S&P Approved Ratings Credit Support
Amount, the S&P Required Ratings Credit Support Amount, the Xxxxx’x
First Trigger Credit Support Amount or the Xxxxx’x Second Trigger Credit
Support Amount, in each case for such Valuation Date, as provided
in
Paragraphs 13(b)(i)(A) and 13(b)(i)(B),
above.
|
|
(ii)
|
Eligible
Collateral.
|
On
any
date, the following items will qualify as “Eligible
Collateral”:
12
Collateral
|
S&P
Approved
Ratings
Valuation
Percentage
|
S&P
Required
Ratings
Valuation
Percentage
|
Xxxxx’x
First
Trigger
Valuation
Percentage
|
Xxxxx’x
Second
Trigger
Valuation
Percentage
|
||||||||||||
(A) Cash
|
100%
|
80%
|
100%
|
100%
|
||||||||||||
(B) Fixed-rate
negotiable USD denominated debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of less than
one
year
|
98.04%
|
78.43%
|
100%
|
100%
|
||||||||||||
(C) Fixed-rate
negotiable USD denominated debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of one year or
more
but less than five years
|
98.04%
|
78.43%
|
100%
|
97%
|
||||||||||||
(D) Fixed-rate
negotiable USD denominated debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of five years
or more
but less than ten years
|
92.59%
|
74.07%
|
100%
|
94%
|
|
(iii)
|
Other
Eligible Support.
|
The
following items will qualify as “Other Eligible
Support” for the party specified:
Not
applicable.
|
(iv)
|
Threshold.
|
|
(A)
|
“Independent
Amount” means zero with respect to Party A and Party
B.
|
|
(B)
|
“Threshold”
means, with respect to Party A and any Valuation Date, zero if a
Collateral Event has occurred and has been continuing (i) for at
least 30
Local Business Days if such Collateral Event is attributable to credit
ratings of Xxxxx’x, (ii) for at least 10 Local Business Days if such
Collateral Event is attributable to credit ratings of S&P or (iii)
since this Annex was executed; otherwise,
infinity.
|
|
“Threshold”
means, with respect to Party B and any Valuation Date,
infinity.
|
|
(C)
|
“Minimum
Transfer Amount” means USD 100,000 with respect to Party A
and Party B; provided, however, that if the aggregate Class Certificate
Balance of the 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.
|
13
(c)
|
Valuation
and Timing.
|
|
(i)
|
“Valuation
Agent” means Party A; provided, however, that if an Event
of
Default shall have occurred and is continuing with respect to which
Party
A is the Defaulting Party, Party B shall have the right to designate
a
financial institution which qualifies as Refrence Market-maker to
act as
Valuation Agent an independent party, reasonably acceptable to Party
A,
the cost for which shall be borne by Party A, until the discontinuance
of
the Event of Default with respect to Party A or the designation of
an
Early Termination Date under Section 6(c)(ii). All calculations
by the Valuation Agent must be made in accordance with standard market
practice, including, in the event of a dispute as to the Value of
any
Eligible Credit Support or Posted Credit Support, by making reference
to
quotations received by the Valuation Agent from one or more Pricing
Sources.
|
|
(ii)
|
“Valuation
Date” means for purposes of determining each time that Party
A is required to post collateral, each Local Business
Day.
|
|
(iii)
|
“Valuation
Time” means the close of business in New York on the Local
Business Day immediately preceding the Valuation Date or date of
calculation, as applicable; provided that the calculations of Value
and
Exposure will be made as of approximately the same time on the same
date.
|
|
(iv)
|
“Notification
Time” means 3:00 p.m., New York time, on a Local Business
Day.
|
|
(v)
|
[Reserved]
|
|
(vi)
|
[Reserved]
|
(d)
|
Conditions
Precedent and Secured Party’s Rights and
Remedies. The following Termination Events will
be a “Specified Condition” for the party
specified (that party being the Affected Party if the Termination
Event
occurs with respect to that party): With respect to Party A:
any Additional Termination Event with respect to which Party A is
the sole
Affected Party. With respect to Party B:
None.
|
(e)
|
Substitution.
|
|
(i)
|
“Substitution
Date” has the meaning specified in Paragraph
4(d)(ii).
|
|
(ii)
|
Consent. If
specified here as applicable, then the Pledgor must obtain the Secured
Party’s consent for any substitution pursuant to Paragraph
4(d): Inapplicable.
|
(f)
|
Dispute
Resolution.
|
|
(i)
|
“Resolution
Time” means 1:00 p.m. New York time on the Local Business
Day following the date on which the notice of the dispute is given
under
Paragraph 5.
|
|
(ii)
|
Value. Notwithstanding
anything to the contrary in Paragraph 12, for the purpose of Paragraphs
5(i)(C) and 5(ii), the S&P Approved Ratings Value, the S&P
Required Ratings Value, the Xxxxx’x First Trigger Value and the Xxxxx’x
Second Trigger Value, on any date, of Eligible Collateral will be
calculated as follows:
|
For
Eligible Collateral in the form of securities listed in Paragraph 13(b)(ii):
the
sum of (A) the product of (1)(x) the bid price at the Valuation Time for such
securities on the principal national securities exchange on which such
securities are listed or (y) if such securities are not listed on a national
securities exchange, the bid price for such securities quoted at the Valuation
Time by any principal market maker for such securities selected by the Valuation
Agent or (z) if no such bid
14
price
is
listed or quoted for such date, the bid price listed or quoted (as the case
may
be) at the Valuation Time for the day next preceding such date on which such
prices were available and (2) the applicable Valuation Percentage for such
Eligible Collateral and (B) the accrued interest on such securities (except
to
the extent Transferred to the Pledgor pursuant to Paragraph 6(d)(ii) or included
in the applicable price referred to in the immediately preceding clause (A))
as
of such date. For Eligible Collateral in the form of Cash, the
product of (1) the amount of such Cash and (2) the applicable Valuation
Percentage.
|
(iii)
|
Alternative. The
provisions of Paragraph 5 will
apply.
|
|
(iv)
|
Paragraph
5 is amended by deleting the words “(X) the date that the demand is made
under Paragraph 3 in the case of (I) above” in the fourth and seventh
lines of such paragraph and inserting in lieu thereof the words “(X) the
date that the delivery is made under Paragraph 3(a) or the date that
the
demand is made under Paragraph 3(b) in the case of (I)
above”.
|
|
(v)
|
For
purposes of Paragraph 5(i)(B), Market Quotation shall have the meaning
given to such term in Section 14 of the
Agreement.
|
(g)
|
Holding
and Using Posted
Collateral.
|
|
(i)
|
Eligibility
to Hold Posted Collateral; Custodians. Party B
(or any Custodian) will be entitled to hold Posted Collateral pursuant
to
Paragraph 6(b) so long as Party B (or any Custodian) is a financial
institution located in the United States having total assets of at
least
$250,000,000 and (i) a short term unsecured and unsubordinated debt
or
counterparty rating of “Prime-1” from Xxxxx’x and (ii) a short-term
unsecured and unsubordinated debt rating from S&P of “A-1” or, if such
entity does not have a short-term unsecured and unsubordinated debt
rating
from S&P, a long-term unsecured and unsubordinated debt rating from
S&P of “A+”.
|
In
the
event that Party B (or any Custodian) no longer satisfies the credit ratings
of
S&P set forth in clause (ii) above, Party B shall cause any Posted
Collateral to be moved to another financial institution satisfying such credit
ratings in clause (ii) above within 60 calendar days.
|
Initially,
the Custodian for Party B is: The Bank of New
York.
|
|
(ii)
|
Use
of Posted Collateral. The provisions of Paragraph
6(c)(i) will not apply to Party B, but the provisions of Paragraph
6(c)(ii) will apply to Party B.
|
(h)
|
Distributions
and Interest Amount.
|
|
(i)
|
Interest
Rate. The “Interest Rate” will be the actual
interest rate earned on Posted Collateral in the form of Cash that
is held
by Party B or its Custodian.
|
|
(ii)
|
Transfer
of Interest Amount. The Transfer of the Interest Amount will
be made on the second Local Business Day following the end of each
calendar month and on any other Local Business Day on which Posted
Collateral in the form of Cash is Transferred to the Pledgor pursuant
to
Paragraph 3(b); provided, however, that the obligation of Party B
to
Transfer any Interest Amount to Party A shall be limited to the extent
that Party B has earned and received such funds and such funds are
available to Party B.
|
|
(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.
|
15
(j)
|
Other
Eligible Support and Other Posted
Support.
|
|
(i)
|
“Value”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
|
(ii)
|
“Transfer”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
(k)
|
Demands
and Notices. All demands, specifications and
notices under this Annex will be made pursuant to the Notices Section
of
this Agreement, except that any demand, specification or notice shall
be
given to or made at the following addresses 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:
|
If
to
Party B’s Custodian, at the address specified for Party B pursuant to the
Notices Section of this Agreement
(l)
|
Address
for Transfers. Each Transfer hereunder shall be
made to an address specified in writing from time to time by the
party to
which such Transfer will be made.
|
(m)
|
Other
Provisions.
|
|
(i)
|
Collateral
Account. In the event that the Threshold
applicable to Party A has been reduced to zero, Party B shall open
and
maintain a segregated account, and hold, record and identify all
Posted
Collateral in such segregated
account.
|
|
(ii)
|
Agreement
as to Single Secured Party and Single Pledgor. Party A and
Party B hereby agree that, notwithstanding anything to the contrary
in
this Annex, (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
acknowledgement in the final sentence of Paragraph 8(a) and the
representations in Paragraph 9.
|
|
(iii)
|
Calculation
of Value. Paragraph 4(c) is hereby amended by
deleting the word “Value” and inserting in lieu thereof “S&P Approved
Ratings Value, S&P Required Ratings Value, Xxxxx’x First Trigger
Value, Xxxxx’x Second Trigger Value”. Paragraph 4(d)(ii) is
hereby amended by (A) deleting the words “a Value” and inserting in lieu
thereof “an S&P Approved Ratings Value, S&P Required Ratings
Value, Xxxxx’x First Trigger Value or Xxxxx’x Second Trigger Value, as
applicable” and (B) deleting the words “the Value” and inserting in lieu
thereof “the S&P Approved Ratings Value, S&P Required Ratings
Value, Xxxxx’x First Trigger Value or Xxxxx’x Second Trigger Value, as
applicable”. Paragraph 5 (flush language) is hereby amended by
deleting the word “Value” and inserting in lieu thereof “S&P Approved
Ratings Value, S&P Required Ratings Value, Xxxxx’x First Trigger Value
or Xxxxx’x Second Trigger Value, as applicable”. Paragraph 5(i)
(flush language) is hereby amended by deleting the word “Value” and
inserting in lieu thereof “S&P Approved Ratings Value, S&P
Required Ratings Value, Xxxxx’x First Trigger Value or Xxxxx’x Second
Trigger Value, as applicable”. Paragraph 5(i)(C) is hereby
amended by deleting the word “Value” and inserting in lieu thereof “the
S&P Approved Ratings Value, S&P Required Ratings Value, Xxxxx’x
First Trigger Value or Xxxxx’x Second Trigger Value, as
applicable”. Paragraph 5(ii) is hereby amended by (1) deleting
the first instance of the words “the Value” and inserting in lieu thereof
“any one or more of the S&P Approved Ratings Value, S&P Required
Ratings Value, Xxxxx’x First Trigger Value or Xxxxx’x Second Trigger
Value” and (2) deleting the second instance of the words “the Value” and
inserting in lieu thereof “such disputed S&P Approved Ratings Value,
S&P Required Ratings Value, Xxxxx’x First Trigger Value or Xxxxx’x
Second Trigger Value, as applicable”. Each of Paragraph
8(b)(iv)(B) and Paragraph 11(a) is hereby amended by deleting the
word
“Value” and inserting in lieu
thereof
|
16
“least
of
the S&P Approved Ratings Value, S&P Required Ratings Value, Xxxxx’x
First Trigger Value and Xxxxx’x Second Trigger Value”.
|
(iv)
|
[Reserved]
|
|
(v)
|
Events
of Default. Paragraph 7 will not apply to cause
any Event of Default to exist with respect to Party B except that
Paragraph 7(i) will apply to Party B solely in respect of Party B’s
obligations under Paragraph 3(b) of the Credit Support
Annex. Notwithstanding anything to the contrary in Paragraph 7,
any failure by Party A to comply with or perform any obligation to
be
complied with or performed by Party A under the Credit Support Annex
shall
only be an Event of Default if (i) a Xxxxx’x Second Trigger Ratings Event
has occurred and been continuing for 30 or more Local Business Days
or
(ii) an S&P Required Ratings Event has occurred and been continuing
for 10 or more Local Business Days.
|
|
(vi)
|
Expenses. Notwithstanding
anything to the contrary in Paragraph 10, the Pledgor will be responsible
for, and will reimburse the Secured Party for, all transfer and other
taxes and other costs involved in any Transfer of Eligible
Collateral.
|
|
(vii)
|
Withholding. Paragraph
6(d)(ii) is hereby amended by inserting immediately after “the Interest
Amount” in the fourth line thereof the words “less any applicable
withholding taxes.”
|
|
(viii)
|
Notice
of Failure to Post Collateral. Upon any failure
by Party A to post Eligible Collateral as required under this Agreement,
Party B shall, no later than the next Business Day after the date
such
Eligible Collateral was required to be posted, give a written notice
of
such failure to Party A and to the Depositor. For the avoidance
of doubt, notwithstanding anything in this Agreement to the contrary,
the
failure of Party B to comply with the requirements of this paragraph
shall
not constitute an Event of Default or Termination
Event.
|
|
(ix)
|
Additional
Definitions. As used in this
Annex:
|
“Collateral
Event” means that neither Party A nor any Eligible
Guarantor of Party A under an Eligible Guarantee has credit ratings at least
equal to the Xxxxx’x First Trigger Ratings Threshold or the S&P Approved
Ratings Threshold (or, in the case of an entity that is not a Financial
Institution, credit ratings from S&P at least equal to the credit ratings
set forth in clause (ii) of the definition of S&P Required Ratings
Threshold).
“Exposure”
has the meaning specified in Paragraph 12, except that (i) after the word
“Agreement” the words “(assuming, for this purpose only, that Part 1(f) of the
Schedule is deleted)” shall be inserted and (ii) Replacement Transactions shall
have the meaning given to such term in the definition of “Market Quotation” in
Section 14 of the Agreement.
“Local
Business Day” means: any day on which (A) commercial banks are
open for business (including dealings in foreign exchange and foreign currency
deposits) in New York and the location of Party A, Party B and any Custodian
and
(B) in relation to a Transfer of Eligible Collateral, any 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 in foreign exchange and foreign deposits)
in
New York and the location of Party A, Party B and any Custodian.
“Xxxxx’x
First Trigger Credit Support Amount” means, for any Valuation
Date, the excess, if any, of:
17
|
(I)
|
(A)
|
for
any Valuation Date on which (i) a Xxxxx’x First Trigger Failure Condition
has occurred and has been continuing (x) for at least 30 Local Business
Days or (y) since this Annex was executed and (ii) it is not the
case that
a Xxxxx’x Second Trigger Failure Condition has occurred and been
continuing for at least 30 Local Business Days, an amount equal to
the
greater of (a) zero and (b) the sum of the Secured Party’s Exposure and
the aggregate of Xxxxx’x Additional Collateralized Amounts for each
Transaction.
|
For
the
purposes of this definition, the “Xxxxx’x Additional Collateralized
Amount” with respect to any Transaction shall mean:
the
product of the applicable Xxxxx’x First Trigger Factor set forth in Table 1 and
the Notional Amount for such Transaction for the Calculation Period which
includes such Valuation Date; or
(B) | for any other Valuation Date, zero, over |
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“Xxxxx’x
First Trigger Failure Condition” means that neither Party A nor
any Eligible Guarantor of Party A under an Eligible Guarantee has credit ratings
from Xxxxx’x at least equal to the Xxxxx'x First Trigger Ratings
Threshold.
“Xxxxx’x
First Trigger Value” means, on any date and with respect to any
Eligible Collateral, the bid price obtained by the Valuation Agent multiplied
by
the Xxxxx’x First Trigger Valuation Percentage for such Eligible Collateral set
forth in Paragraph 13(b)(ii).
“Xxxxx’x
Second Trigger Credit Support Amount” means, for any Valuation
Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date on which a Xxxxx’x Second Trigger Failure Condition has
occurred and been continuing for at least 30 Local Business Days,
an
amount equal to the greatest of (a) zero, (b) the aggregate amount
of the
Next Payments and (c) the sum of the Secured Party’s Exposure and the
aggregate of Xxxxx’x Additional Collateralized Amounts for each
Transaction.
|
For
the
purposes of this definition, the “Xxxxx’x Additional Collateralized
Amount” with respect to any Transaction shall mean:
if
such
Transaction is not a Transaction-Specific Hedge,
the
product of the applicable Xxxxx’x Second Trigger Factor set forth in Table 2 and
the Notional Amount for such Transaction for the Calculation Period which
includes such Valuation Date; or
if
such
Transaction is a Transaction-Specific Hedge,
the
product of the applicable Xxxxx’x Second Trigger Factor set forth in Table 3 and
the Notional Amount for such Transaction for the Calculation Period which
includes such Valuation Date; or
18
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“Xxxxx’x
Second Trigger Failure Condition” means that neither Party A nor
any Eligible Guarantor of Party A under an Eligible Guarantee has credit ratings
from Xxxxx’x at least equal to the Xxxxx’x Second Trigger Ratings
Threshold.
“Xxxxx’x
Second Trigger Value” means, on any date and with respect to any
Eligible Collateral, the bid price obtained by the Valuation Agent multiplied
by
the Xxxxx’x Second Trigger Valuation Percentage for such Eligible Collateral set
forth in Paragraph 13(b)(ii).
“Next
Payment” means, in respect of each Transaction, the greater of (i)
any payments due to be made by Party A under Section 2(a) on the Next Payment
Date less any payments due to be made by Party B under Section 2(a) on the
Next
Payment Date (any such payments determined based on rates prevailing on such
Valuation Date) and (ii) zero.
“Next
Payment Date” means, in respect of each Transaction, the date on
which the next scheduled payment under such Transaction is due to be
paid.
“Pricing
Sources” means the sources of financial information commonly known
as Bloomberg, Bridge Information Services, Data Resources Inc., Interactive
Data
Services, International Securities Market Association, Xxxxxxx Xxxxx Securities
Pricing Service, Xxxxxx Data Corporation, Reuters, Wood Gundy, Trepp Pricing,
XX
Xxxxx, S&P and Telerate.
“S&P
Approved Ratings Credit Support Amount” means, only if Party A or
an Eligible Guarantor of Party A under an Eligible Guarantee is a Financial
Institution, for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date on which (i) an S&P Approved Ratings Threshold
Event has occurred and been continuing (x) for at least 10 Local
Business
Days or (y) since this Annex was executed and (ii) it is not the
case that
an S&P Required Ratings Threshold Event has occurred and been
continuing for at least 10 Local Business Days, an amount equal to
the
Secured Party’s Exposure, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“S&P
Approved Ratings Threshold Event” means, only if Party A or an
Eligible Guarantor of Party A under an Eligible Guarantee is a Financial
Institution, that neither Party A nor any Eligible Guarantor of Party A under
an
Eligible Guarantee has credit ratings from S&P at least equal to the S&P
Approved Ratings Threshold.
“S&P
Approved Ratings Value” means, on any date and with respect to any
Eligible Collateral, the bid price obtained by the Valuation Agent multiplied
by
the S&P Approved Ratings Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
“S&P
Required Ratings Credit Support Amount” means, for any Valuation
Date, the excess, if any, of:
19
|
(I)
|
(A)
|
for
any Valuation Date on which an S&P Required Ratings Threshold Event
has occurred and been continuing for at least 10 Local Business Days,
an
amount equal to 125% of the Secured Party’s Exposure,
or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“S&P
Required Ratings Threshold Event” means that neither Party A nor
any Eligible Guarantor of Party A under an Eligible Guarantee has credit ratings
from S&P at least equal to the S&P Required Ratings
Threshold.
“S&P
Required Ratings Value” means, on any date and with respect to any
Eligible Collateral, the bid price obtained by the Valuation Agent multiplied
by
the S&P Required Ratings Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
“Transaction
Exposure” means, for any Transaction, Exposure determined as if
such Transaction were the only Transaction between the Secured Party and the
Pledgor.
“Transaction-Specific
Hedge” means any Transaction that is (i) an interest rate cap,
interest rate floor or interest rate swaption or (ii) any other Transaction
in
respect of which either (x) the Notional Amount for each Calculation Period
of
such Transaction is “balance guaranteed” or (y) the Notional Amount for each
Calculation Period of such Transaction is not a specific dollar amount that
is
fixed at the inception of the Transaction.
“Valuation
Percentage” shall mean, for purposes of determining the S&P
Approved Ratings Value, the S&P Required Ratings Value, the Xxxxx’x First
Trigger Value or the Xxxxx’x Second Trigger Value with respect to any Eligible
Collateral or Posted Collateral, the applicable S&P Approved Ratings
Valuation Percentage, S&P Required Ratings Valuation Percentage, Xxxxx’x
First Trigger Valuation Percentage or Xxxxx’x Second Trigger Valuation
Percentage for such Eligible Collateral or Posted Collateral, respectively,
in
each case as set forth in Paragraph 13(b)(ii).
“Value”
shall mean, in respect of any date, the related S&P Approved Ratings Value,
the related S&P Required Ratings Value, the related Xxxxx’x First Trigger
Value and the related Xxxxx’x Second Trigger Value, as applicable.
[Remainder
of this page intentionally left blank]
20
Table
1
Xxxxx’x
First Trigger Factor
|
||||
Remaining
Weighted
Average Life
of
Hedge in Years
|
Daily
Collateral
Posting
|
|||
1
or less
|
0.15%
|
|||
More
than 1 but not more than 2
|
0.30%
|
|||
More
than 2 but not more than 3
|
0.40%
|
|||
More
than 3 but not more than 4
|
0.60%
|
|||
More
than 4 but not more than 5
|
0.70%
|
|||
More
than 5 but not more than 6
|
0.80%
|
|||
More
than 6 but not more than 7
|
1.00%
|
|||
More
than 7 but not more than 8
|
1.10%
|
|||
More
than 8 but not more than 9
|
1.20%
|
|||
More
than 9 but not more than 10
|
1.30%
|
|||
More
than 10 but not more than 11
|
1.40%
|
|||
More
than 11 but not more than 12
|
1.50%
|
|||
More
than 12 but not more than 13
|
1.60%
|
|||
More
than 13 but not more than 14
|
1.70%
|
|||
More
than 14 but not more than 15
|
1.80%
|
|||
More
than 15 but not more than 16
|
1.90%
|
|||
More
than 16 but not more than 17
|
2.00%
|
|||
More
than 17 but not more than 18
|
2.00%
|
|||
More
than 18 but not more than 19
|
2.00%
|
|||
More
than 19 but not more than 20
|
2.00%
|
|||
More
than 20 but not more than 21
|
2.00%
|
|||
More
than 21 but not more than 22
|
2.00%
|
|||
More
than 22 but not more than 23
|
2.00%
|
|||
More
than 23 but not more than 24
|
2.00%
|
|||
More
than 24 but not more than 25
|
2.00%
|
|||
More
than 25 but not more than 26
|
2.00%
|
|||
More
than 26 but not more than 27
|
2.00%
|
|||
More
than 27 but not more than 28
|
2.00%
|
|||
More
than 28 but not more than 29
|
2.00%
|
|||
More
than 29
|
2.00%
|
21
Table
2
Xxxxx’x
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
|
||||
Remaining
Weighted
Average Life
of
Hedge in Years
|
Daily
Collateral
Posting
|
|||
1
or less
|
0.50%
|
|||
More
than 1 but not more than 2
|
1.00%
|
|||
More
than 2 but not more than 3
|
1.50%
|
|||
More
than 3 but not more than 4
|
1.90%
|
|||
More
than 4 but not more than 5
|
2.40%
|
|||
More
than 5 but not more than 6
|
2.80%
|
|||
More
than 6 but not more than 7
|
3.20%
|
|||
More
than 7 but not more than 8
|
3.60%
|
|||
More
than 8 but not more than 9
|
4.00%
|
|||
More
than 9 but not more than 10
|
4.40%
|
|||
More
than 10 but not more than 11
|
4.70%
|
|||
More
than 11 but not more than 12
|
5.00%
|
|||
More
than 12 but not more than 13
|
5.40%
|
|||
More
than 13 but not more than 14
|
5.70%
|
|||
More
than 14 but not more than 15
|
6.00%
|
|||
More
than 15 but not more than 16
|
6.30%
|
|||
More
than 16 but not more than 17
|
6.60%
|
|||
More
than 17 but not more than 18
|
6.90%
|
|||
More
than 18 but not more than 19
|
7.20%
|
|||
More
than 19 but not more than 20
|
7.50%
|
|||
More
than 20 but not more than 21
|
7.80%
|
|||
More
than 21 but not more than 22
|
8.00%
|
|||
More
than 22 but not more than 23
|
8.00%
|
|||
More
than 23 but not more than 24
|
8.00%
|
|||
More
than 24 but not more than 25
|
8.00%
|
|||
More
than 25 but not more than 26
|
8.00%
|
|||
More
than 26 but not more than 27
|
8.00%
|
|||
More
than 27 but not more than 28
|
8.00%
|
|||
More
than 28 but not more than 29
|
8.00%
|
|||
More
than 29
|
8.00%
|
22
Table
3
Xxxxx’x
Second Trigger Factor for Transaction-Specific Xxxxxx
|
||||
Remaining
Weighted
Average Life
of
Hedge in Years
|
Daily
Collateral
Posting
|
|||
1
or less
|
0.65%
|
|||
More
than 1 but not more than 2
|
1.30%
|
|||
More
than 2 but not more than 3
|
1.90%
|
|||
More
than 3 but not more than 4
|
2.50%
|
|||
More
than 4 but not more than 5
|
3.10%
|
|||
More
than 5 but not more than 6
|
3.60%
|
|||
More
than 6 but not more than 7
|
4.20%
|
|||
More
than 7 but not more than 8
|
4.70%
|
|||
More
than 8 but not more than 9
|
5.20%
|
|||
More
than 9 but not more than 10
|
5.70%
|
|||
More
than 10 but not more than 11
|
6.10%
|
|||
More
than 11 but not more than 12
|
6.50%
|
|||
More
than 12 but not more than 13
|
7.00%
|
|||
More
than 13 but not more than 14
|
7.40%
|
|||
More
than 14 but not more than 15
|
7.80%
|
|||
More
than 15 but not more than 16
|
8.20%
|
|||
More
than 16 but not more than 17
|
8.60%
|
|||
More
than 17 but not more than 18
|
9.00%
|
|||
More
than 18 but not more than 19
|
9.40%
|
|||
More
than 19 but not more than 20
|
9.70%
|
|||
More
than 20 but not more than 21
|
10.00%
|
|||
More
than 21 but not more than 22
|
10.00%
|
|||
More
than 22 but not more than 23
|
10.00%
|
|||
More
than 23 but not more than 24
|
10.00%
|
|||
More
than 24 but not more than 25
|
10.00%
|
|||
More
than 25 but not more than 26
|
10.00%
|
|||
More
than 26 but not more than 27
|
10.00%
|
|||
More
than 27 but not more than 28
|
10.00%
|
|||
More
than 28 but not more than 29
|
10.00%
|
|||
More
than 29
|
10.00%
|
23
IN
WITNESS WHEREOF, the parties have
executed this Annex by their duly authorized representatives as of the date
of
the Agreement.
XXXXXX
BROTHERS
SPECIAL
FINANCING INC.
|
THE
BANK OF NEW YORK, not in its individual or
corporate capacity but solely as Swap Contract Administrator for CWABS Asset-Backed Certificates Trust 2007-12 |
By:
|
/s/Xxxxxxx X. Xxxxxx | By: | /s/ Xxxxxxx Xxxxxxxx | |||
Name:
Xxxxxxx X.
Xxxxxx
|
Name: Xxxxxxx Xxxxxxxx | |||||
Title:
Authorize Signatory
|
Title: Assistant Treasurer | |||||
Date: August 13, 2007 | Date: August 13, 2007 |
24