Exhibit 10.5
Executed Copy
CSA
(Bilateral Form) (ISDA Agreements Subject to New York Law Only)
ISDA(R)
International Swaps and Derivatives Association, Inc.
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA MASTER AGREEMENT
dated as of March 16, 2007
between
Credit Suisse International and XXXXX FARGO BANK, N.A., not in its
individual or corporate capacity but
solely as Trustee on behalf of CREDIT
SUISSE COMMERCIAL MORTGAGE TRUST 2007-C1
-------------------------------- ----------------------------------------
("Party A") ("Party B")
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 any 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).
(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 (1) 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.
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 Party 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 Party, 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).
(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.
(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.
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 for 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.
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.
"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.
"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;
(ii) Posted Collateral that consists of items that are not specified as
Eligible Collateral, zero; and
(iii) Other Eligible Support and Other Posted Support, as specified in
Paragraph 13.
Elections and Variables
to the ISDA Credit Support Annex
dated as of 16 March 2007
between
Credit Suisse International and XXXXX FARGO BANK, N.A., not in its
individual or corporate capacity but
solely as Trustee on behalf of CREDIT
SUISSE COMMERCIAL MORTGAGE TRUST 2007-C1
--------------------------------- ----------------------------------------
("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".
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.
(B) "Return Amount" has the meaning specified in Paragraph 3(b).
(C) "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 98.0%
after 18 July 1984 by the U.S. Treasury
Department having a residual maturity on
such date of less than 1 year
(iii) Coupon-bearing negotiable debt 93.8%
obligations issued after 18 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 90.3%
obligations issued after 18 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 Daily
-------------------- -------------------------------- --------------------------
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 a
Collateralization Event has occurred and is continuing, the
Threshold with respect to Party A shall be zero, unless (i)
Party A has remedied such Collateralization Event in
accordance with the terms of the Agreement by means other than
posting collateral pursuant to this Annex and a Ratings Event
has not occurred and is not continuing or (ii) (a) no S&P
Collateralization Event has occurred and is continuing and (b)
(A) if a Moody's Collateralization Event has occurred and is
continuing, no more than 30 Local Business Days have elapsed
since the last time a Moody's Collateralization Event has
occurred and was continuing and (B) no Moody's
Collateralization Event had occurred and was continuing when
this Annex was executed, in which case the Threshold with
respect to Party A shall remain infinity; and.
With respect to Party A: infinity, provided that if a
Collateralization Event has occurred and is continuing, the
Threshold with respect to Party A shall be zero, or (ii)(a)
neither a S&P Collateralization Event has occurred and is
continuing and
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 the Class A-MFL 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 $10,000. The Return Amount will
be rounded down to the nearest integral multiple of $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,
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 mid-market 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 mid-market 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 Trustee (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).
(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: x00 00 0000 0000
Facsimile: x00 00 0000 0000
Attention: Collateral Management Unit
If to Party B:
As set forth in Part 4(a) of the Schedule;
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: Wire transfers:
--------------
As set forth in Part 4 of the Confirmation
Book-entry transfers:
--------------------
Fed: WF SF/TRUST
ABA# 000000000
Xxxxx Fargo A/C # 50992900
Account name: CSMC 2007-C1
DTC: Participant # 2027
Xxxxx Fargo A/C # 50992900
Account name: CSMC 2007-C1
(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) Trustee Capacity.
It is expressly understood and agreed by the parties hereto that (i)
this Annex is executed and delivered by Xxxxx Fargo Bank, N.A. (the
Trustee) not individually or personally but solely as trustee of the
trust created pursuant to the PSA (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 Party B is made and intended not as personal
representations, undertakings and agreements by the Trustee 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 Trustee, 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 Trustee be
personally liable for the payment of any indebtedness or expenses of
Party B or be liable for the breach or failure of any obligation,
representation, warranty or covenant made or undertaken by Party B
under this Annex 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 and the Agreement.
Credit Suisse International XXXXX FARGO BANK, N.A., not in its
individual or corporate capacity but
solely as Trustee on behalf of CREDIT
SUISSE COMMERCIAL MORTGAGE TRUST 2007-C1
By: /s/ Xxxxxxx Xxxxxx By: /s/ Xxx Xxxxxxxxx
---------------------------- --------------------------------
Name: Xxxxxxx Xxxxxx Name: Xxx Xxxxxxxxx
Title: Authorized Signatory Title: Vice President
By: /s/ Xxxxxx X. Xxxx
----------------------------
Name: Xxxxxx X. Xxxx
Title: Authorized Signatory
CSMC 2007-C1 CSA
EXHIBIT A
FIRST TRIGGER COLLATERAL AMOUNT APPLICABLE PERCENTAGES
For Transactions that are swaps, caps, floors and transaction-specific
xxxxxx:
Interest Rate Xxxxxx Currency Xxxxxx
Weighted Average Life Valuation Dates:
of Hedge in Years 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):
Interest Rate Swaps Currency Swaps
Weighted Average Life Valuation Dates:
of Hedge in Years 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:
Interest Rate Xxxxxx Currency Xxxxxx
Weighted Average Life Valuation Dates:
of Hedge in Years 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%
