RE: Confirmation of Primary Basis Swap Relating to the 2007-RN1 Revolving Note
Exhibit 99.6
February 13, 2007
Bank of America, N.A.
000 X. Xxxxx Xx., XX0-007-13-01
Charlotte, North Carolina 28255
000 X. Xxxxx Xx., XX0-007-13-01
Charlotte, North Carolina 28255
RE: Confirmation of Primary Basis Swap Relating to the 2007-RN1 Revolving Note
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and conditions of the Swap
Transaction (the “Primary Basis Swap”) entered into between Bank of America, N.A. (the
“Counterparty”) and Superior Wholesale Inventory Financing Trust 2007-AE-1 (the “Trust”) as of the
Trade Date listed below (the “Transaction”). This letter constitutes a “Confirmation” as referred
to in the Primary ISDA Agreement specified below.
| 1. | The definitions and provisions contained in the 2000 ISDA Definitions (the “Definitions”), as published by the International Swaps and Derivatives Association, Inc. (“ISDA”), are incorporated into this Confirmation. In the event of any inconsistency between those definitions and provisions and this Confirmation, this Confirmation will govern. The parties agree that this transaction is a Transaction under the ISDA Master Agreement of the parties dated as of February 13, 2007. The agreement is comprised of the printed form of such agreement as published by ISDA, as supplemented and modified by a Schedule (the “Primary ISDA Agreement”). | |
| This Confirmation constitutes a binding agreement between you and us and will supplement, form a part of, and be subject to the Primary ISDA Agreement described above as amended and supplemented from time to time. | ||
| The Counterparty and the Trust acknowledge that this Transaction relates to the 2007-RN1 Revolving Note (the “Reference Note”) issued by the Trust for value pursuant to and subject to the Indenture. | ||
| Capitalized terms used and not otherwise defined herein, in the Primary ISDA Agreement or in the Definitions shall have the meanings assigned to them in Exhibit A or Exhibit B hereto, as applicable. | ||
| All references to “dollars” or to “$” shall be references to amounts in United States Dollars. | ||
| 2. | The terms of the particular Transaction to which this Confirmation relates are as follows: | |
| Type of Transaction: Rate Swap Transaction. | ||
| Notional Amount: The Notional Amount with respect to each Calculation Period shall be equal to the Reference Note Balance for such Calculation Period (as set forth in the Calculation Statement (defined below) delivered by GMAC to the Counterparty on or prior to the Determination Date relating to such Calculation Period pursuant to Section 3 below). | ||
| Trade Date: February 7, 2007. | ||
| Effective Date: February 13, 2007. | ||
| Termination Date: The earlier of the close of business on (i) the Stated Final Payment Date for the Reference Note, and (ii) the Payment Date immediately following the date on which the Reference Note is no longer outstanding. | ||
| Initial Distribution Date: March 15, 2007. |
| Floating Amounts: |
| Counterparty Floating Amount: With respect to any Payment Date, the amount equal to the product of (a) the Notional Amount for the related Calculation Period, (b) the Funding Rate (as defined in and calculated pursuant to the Note Purchase Agreement, dated as of the date hereof, among the Trust, as Issuing Entity, GMAC, as Servicer, the certain Conduit Purchasers named therein, the certain Conduit Managing Agents named therein and Barclays Bank PLC as Administrative Agent) plus the applicable Spread, and (c) the actual number of days in such Calculation Period, divided by 360. | |||
| Trust Floating Amount: With respect to any Payment Date, the amount equal to the product of (a) the Notional Amount for the related Calculation Period, (b) the Prime Rate for such Calculation Period, and (c) the actual number of days in such Calculation Period, divided by 360. | |||
| Reset Date: Each Payment Date. | |||
| Spread: 2.91% | |||
| Compounding: Inapplicable. |
| Payment Dates: Each Distribution Date. | ||
| Business Days for Payment: New York (New York), Detroit (Michigan) and Chicago (Illinois). | ||
| Calculation Agent: The Trust, or GMAC LLC, as agent for and on behalf of the Trust. | ||
| Default Rate: For any United States Dollar payments, the rate determined under the option entitled “USD Federal Funds H.15” plus 1% using daily Reset Dates. The Default Rate will be applied on the basis of Compounding as if the overdue amount were a Notional Amount and using daily Compounding Dates, and interest will accrue and be payable before as well as after judgment. |
| 3. | Calculations and Notifications: On or before each Determination Date, the Calculation Agent shall determine the Counterparty Floating Amount and the Trust Floating Amount due on the immediately following Payment Date and the Calculation Agent shall notify the Counterparty and the Trust in writing of such amounts. | |
| In addition, on each Determination Date the Trust shall deliver to the Counterparty (by facsimile with hard copy to follow) a statement (the “Calculation Statement”) setting forth with respect to the close of business on the immediately preceding Distribution Date the Reference Note Balance as of such Distribution Date. | ||
| The Trust will give the Counterparty prompt written notice of any Default under the Indenture. | ||
| 4. | Credit Downgrade: In the event that the Joint Probability is reduced below AA- in the case of S&P, or Aa3, in the case of Moody’s, the Counterparty shall promptly notify the Trust (and any permitted assignee or transferee of the Trust) and GMAC of such event and (unless, within thirty (30) days after such reduction, the applicable Rating Agency has reconfirmed in writing the ratings of the Reference Note and the Other Securities that were in effect immediately prior to such reduction) the Counterparty shall at its own cost within thirty (30) days of such reduction, with the prior written confirmation of the applicable Rating Agency that such arrangement will not result in the reduction of the rating of any of the Reference Note or the Other Securities existing immediately prior to the reduction of the applicable Joint Probability, either: |
| (1) (x) obtain a substitute swap provider (the “Substitute Swap Provider”) acceptable to the Trust, such acceptance to be deemed to exist unless the Indenture Trustee provides a reasonable basis for objection to such Substitute Swap Provider within two (2) Business Days of receipt of notice from the Counterparty, and replace this Transaction with a swap transaction on substantially similar terms or with such other amendments as consented to in writing by the Trust (which consent shall not be unreasonably withheld), provided such replacement would result in an S&P Joint Probability of at least AA- and a Moody’s Joint |
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| Probability of at least Aa3, except that such Substitute Swap Provider shall thenceforth be the “Counterparty” hereunder; or (y) replace, with the consent of the then-current Offsetting Counterparty, the swap transaction with the then-current Offsetting Counterparty with a swap transaction with a replacement Offsetting Counterparty or enter into a swap transaction with another party such that such party shall be acting as an intermediary between the Counterparty and the then-current Offsetting Counterparty (such replacement or intermediary being the “Replacement Offsetting Counterparty”), in either case on terms approved by S&P and Moody’s; or | |||
| (2) enter into an ISDA Credit Support Annex with the Trust mutually acceptable to the Trust and the Counterparty and, if the Counterparty is required to post collateral pursuant to such ISDA Credit Support Annex, at the time such ISDA Credit Support Annex is entered into, the Counterparty shall request its legal counsel to deliver to each applicable Rating Agency an opinion as to the enforceability thereof; or | |||
| (3) enter into such other credit support arrangements to assure performance by the Counterparty of its obligations under this Transaction. |
| Notwithstanding the foregoing, in the event that the Joint Probability is reduced below A- in the case of S&P, or A3, in the case of Moody’s, then the Counterparty shall promptly notify the Trust (and any permitted assignee or transferee of the Trust) and the Offsetting Counterparty of such event and (unless, within thirty (30) days after such reduction the applicable Rating Agency has reconfirmed in writing the ratings of the Reference Note and the Other Securities that were in effect immediately prior to such reduction) the Counterparty shall at its own cost within thirty (30) days of such reduction, with the prior written confirmation of the applicable Rating Agency that such arrangement will not result in the reduction of the rating of any of the Reference Note or the Other Securities existing immediately prior to the reduction of the applicable Joint Probability as a direct result of the reduction of such Joint Probability, obtain a Substitute Swap Provider acceptable to the Trust, such acceptance to be deemed to exist unless the Indenture Trustee provides a basis for objection to such Substitute Swap Provider within two (2) Business Days of receipt of notice from the Counterparty, and replace this Transaction with a swap transaction on substantially similar terms or with such other amendments as consented to in writing by the Trust (which consent shall not be unreasonably withheld) provided such replacement would result in an S&P Joint Probability of at least AA- or a Moody’s Joint Probability of Aa3, except that such Substitute Swap Provider shall thenceforth be the “Counterparty” hereunder. | ||
| Upon any replacement of this Transaction with a swap transaction with a Substitute Swap Provider, this Transaction shall terminate without any payment by either party hereto and any and all collateral posted by the Counterparty shall be returned to it within three (3) Business Days and any other form of collateral arrangement (including letters of credit, surety bond or other guarantee) provided by or on behalf of the Counterparty shall terminate. | ||
| In the event that the Counterparty fails to satisfy its obligations set forth above in this Section 4, and such failure is not waived by the holders of not less than a majority of the Outstanding Amount of the Notes, the Trust or any permitted assignee or transferee of the Trust shall have the option, exercisable in its discretion and with regard to the interests of the Noteholders, within ten (10) Business Days following the date of expiry of the thirty (30) day period after the date of receipt of notice of the reduction (unless, within thirty (30) days of receipt of notice of such reduction, the applicable Rating Agency has reconfirmed the rating of the Reference Note that was in effect immediately prior to such reduction), to designate (in writing) an Early Termination Date on the basis that such failure shall be treated as a Termination Event with the Counterparty as the Affected Party. For the avoidance of doubt, the Counterparty and the Trust acknowledge and agree that any such failure shall not constitute an Event of Default. |
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| 5. | Account Details: |
| Payments to the Counterparty: |
| BofA USD Rate Derivative Wire Instructions | ||||
| Name: | Bank of America, N.A. | |||
| City: | New York | |||
| Account Name: | Rate Derivative Settlements | |||
| Account #: | 6550-219386 | |||
| CHIPS #: | 0959 | |||
| FedWire/ABA#: | 000000000 | |||
| SWIFT Address: | XXXXXX0X | |||
| Payments to the Trust: |
| JPMorgan Chase Bank, N.A.-New York, NY | ||
| ABA #000000000 | ||
| Account #507199782 | ||
| Account: Chicago Structured Finance | ||
| F/F/C: SWIFT 2007-AE-1 #00000000.1 | ||
| Attn: Xxxxx Xxxxxxxxxx |
| 6. | Limited Recourse: Notwithstanding anything to the contrary contained herein but without limiting the Counterparty’s rights under Section 5(a)(i) of the Primary ISDA Agreement to declare an Event of Default for nonpayment, all of the obligations of the Trust shall be payable by the Trust only at the times and to the extent of funds available therefor under the Trust Sale and Servicing Agreement and, to the extent such funds are not available or are insufficient for the payment thereof, shall not constitute a claim against the Trust to the extent of such unavailability or insufficiency until such time as, and then to the extent that, the Trust has assets sufficient to pay such prior deficiency. This paragraph shall survive the termination of this Agreement but in all cases shall expire one year and one day after the final payment with respect to all notes and certificates issued by the Trust. |
| 7. | Limitation of Liability: It is expressly understood and agreed by the parties hereto that (a) this Agreement is executed and delivered by HSBC Bank USA, National Association, not individually or personally but solely as Owner Trustee of the Trust in the exercise of the powers and authority conferred and vested in it, (b) each of the representations, undertakings and agreements herein made on the part of the Trust is made and intended not as personal representations, undertakings and agreements by HSBC Bank USA, National Association but is made and intended for the purpose of binding only the Trust, (c) nothing herein contained shall be construed as creating any liability on HSBC Bank USA, National Association, 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 (d) under no circumstances shall HSBC Bank USA, National Association be personally liable for the payment of any indebtedness or expenses of the Trust or be liable for the breach or failure of any obligation, representation, warranty or covenant made or undertaken by the Trust under this Agreement or any other related documents. |
| 8. | To the extent that a capitalized term in this Transaction is defined by reference to a related definition contained in any Trust Document, for purposes of this Transaction only, such capitalized term shall be deemed to be amended only if the amendment of the term in a Trust Document relating to such capitalized term occurs with the prior written consent of the Counterparty. |
* * * *
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Please confirm that the foregoing correctly sets forth the terms of our agreement by executing
the copy of this Confirmation enclosed for that purpose and returning it to us.
| SUPERIOR WHOLESALE INVENTORY FINANCING TRUST 2007-AE-1 | ||||
| By: | /s/ Xxxxx Xxxxx | |||
| Name: Xxxxx Xxxxx | ||||
| Title: Assistant Vice President | ||||
Accepted and confirmed as
of the date first written above:
of the date first written above:
| BANK OF AMERICA, N.A. |
||||
| By: | /s/ Xxxxx Xxxxxxxxxxx | |||
| Name: Xxxxx Xxxxxxxxxxx | ||||
| Title: Senior Vice President | ||||
Acknowledged and agreed as
of the date first written above:
of the date first written above:
| GMAC LLC, solely as Calculation Agent |
||||
| By: | /s/ Xxxxx X. Xxxx | |||
| Name: Xxxxx X. Xxxx | ||||
| Title: Director – U.S. Securitization | ||||
SWIFT 2007-AE-1 Primary Basis Swap Confirmation
for 2007-RN1 Note
for 2007-RN1 Note
EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
“Calculation Period”: means, with respect to each party hereunder, each period from, and
including one Payment Date of that party to, but excluding, the next following Payment Date of that
party during the Term of the Swap Transaction, except that the initial Calculation Period for that
party will commence on, and include, the Effective Date.
“Collection Period”: means, with respect to any Distribution Date or Payment Date, the
calendar month preceding the month in which such Distribution Date or Payment Date occurs;
provided, however, that for the Initial Distribution Date, the related Collection Period shall
include only that portion of the preceding calendar month occurring on and after the Effective
Date.
“Depositor”: Wholesale Auto Receivables LLC, which has executed the Trust Sale and Servicing
Agreement as the Depositor, or its successor in interest pursuant to Section 3.3 of the
Trust Sale and Servicing Agreement.
“Determination Date”: the tenth (10th) day of each calendar month, or if such tenth (10th) day
is not a Business Day, the next succeeding Business Day.
“Distribution Date”: the fifteenth (15th) day of each succeeding calendar month following the
Effective Date or, if such fifteenth (15th) day is not a Business Day, the next such succeeding
Business Day, commencing on the Initial Distribution Date. A Distribution Date is related to the
Collection Period prior to the Collection Period in which such Distribution Date occurs.
“Indenture”: the Indenture, dated as of the date hereof between the Trust and the Indenture
Trustee, as amended and supplemented from time to time in accordance with its terms.
“Indenture Trustee”: The Bank of New York Trust Company, N.A., not in its individual capacity
but solely as trustee under the Indenture, or any successor trustee under the Indenture.
“Other Securities”: Class A Term Notes, Class B Term Notes and Class C Term Notes.
“Preceding Semi-Monthly Period”: with respect to a Calculation Period, means the Semi-Monthly
Period in the preceding calendar month corresponding to the Semi-Monthly Period in which such
Calculation Period occurs (so that, e.g., the Preceding Semi-Monthly Period for the May 31
Calculation Period is the Semi-Monthly Period from April 16 through April 30).
“Prime Rate”: with respect to a Calculation Period, means the interest rate designated by GMAC
LLC to Dealers as the effective “prime rate” during the Preceding Semi-Monthly Period, which rate
is based on the “prime rate” or “corporate base rate” announced by certain financial institutions
selected by GMAC LLC immediately prior to such Preceding Semi-Monthly Period.
“Reference Note Balance”: means, with respect to any Calculation Period, the quotient
of (a) the sum of the outstanding principal balances of the Reference Note as of the
close of business for each day in the Calculation Period, divided by (b) the actual number
of days in such Calculation Period.
“Semi-Monthly Period”: means either the period from the first day of a calendar month through
the fifteenth day of such calendar month or the period from the sixteenth day of a calendar month
through the final day of such calendar month.
“Trust Sale and Servicing Agreement”: the Trust Sale and Servicing Agreement, dated as of the
date hereof among the Depositor, GMAC LLC, as Servicer, and the Trust, as amended, modified and
supplemented from time to time in accordance with its terms.
Exh. A-1
EXHIBIT B
“Contingent Party”: the Offsetting Counterparty or the Replacement Offsetting Counterparty, as
applicable.
“Fallback Swap Transaction”: the swap transaction entered into by the Trust and Offsetting
Counterparty relating to the 2007-RN1 Note.
“Joint Probability”: the Moody’s Joint Probability or the S&P Joint Probability, as
applicable.
“Moody’s”: Xxxxx’x Investors Service, Inc. and its successors.
“Moody’s Joint Probability” means the joint probability determined by Moody’s of the long term
likelihood of payment under this rate swap transaction determined by locating the intersection of
the long term unsecured debt ratings of the Primary Party and the Contingent Party on the table
below headed “Implied Joint Support Rating for Medium Correlation Case” (except that, for any
pairing other than the initial Primary Party with the initial Contingent Party, the table below to
be used shall be the table headed “Implied Joint Support Rating for Low Correlation Case” or the
table headed “Implied Joint Support Rating for High Correlation Case” if so specified by Moody’s
within five days after Moody’s has received notice of a potential pairing of a Primary Party with a
Contingent Party).
IMPLIED JOINT SUPPORT RATING FOR HIGH CORRELATION CASE
| Rating of the | ||||||||||||||||||||||||||||||||||
| Lower Rated | ||||||||||||||||||||||||||||||||||
| Party | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | Caa | |||||||||||||||||
Aaa
|
Aaa | |||||||||||||||||||||||||||||||||
Aa1
|
Aaa | Aaa | ||||||||||||||||||||||||||||||||
Aa2
|
Aaa | Aaa | Aa1 | |||||||||||||||||||||||||||||||
Aa3
|
Aaa | Aaa | Aa1 | Aa2 | ||||||||||||||||||||||||||||||
A1
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | |||||||||||||||||||||||||||||
A2
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | A1 | ||||||||||||||||||||||||||||
A3
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | |||||||||||||||||||||||||||
Baa1
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | ||||||||||||||||||||||||||
Baa2
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | |||||||||||||||||||||||||
Baa3
|
Aaa | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | ||||||||||||||||||||||||
Ba1
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | |||||||||||||||||||||||
Ba2
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | ||||||||||||||||||||||
Ba3
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | |||||||||||||||||||||
B1
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | ||||||||||||||||||||
B2
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | |||||||||||||||||||
B3
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | ||||||||||||||||||
Caa
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | Caa |
Exh. B-1
IMPLIED JOINT SUPPORT RATING FOR MEDIUM CORRELATION CASE
| Rating of the | ||||||||||||||||||||||||||||||||||
| Lower Rated | Rating of the Higher Rated Party | |||||||||||||||||||||||||||||||||
| Party | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | Caa | |||||||||||||||||
Aaa
|
Aaa | |||||||||||||||||||||||||||||||||
Aa1
|
Aaa | Aaa | ||||||||||||||||||||||||||||||||
Aa2
|
Aaa | Aaa | Aa1 | |||||||||||||||||||||||||||||||
Aa3
|
Aaa | Aaa | Aa1 | Aa1 | ||||||||||||||||||||||||||||||
A1
|
Aaa | Aaa | Aa1 | Aa1 | Aa1 | |||||||||||||||||||||||||||||
A2
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa2 | ||||||||||||||||||||||||||||
A3
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa2 | Aa3 | |||||||||||||||||||||||||||
Baa1
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | ||||||||||||||||||||||||||
Baa2
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | |||||||||||||||||||||||||
Baa3
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa2 | ||||||||||||||||||||||||
Ba1
|
Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | |||||||||||||||||||||||
Ba2
|
Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Ba1 | Ba1 | ||||||||||||||||||||||
Ba3
|
Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa3 | Ba1 | Ba1 | Ba2 | |||||||||||||||||||||
IMPLIED JOINT SUPPORT RATING FOR LOW CORRELATION CASE
| Rating of the | ||||||||||||||||||||||||||||||||||
| Lower Rated | Rating of the Higher Rated Party | |||||||||||||||||||||||||||||||||
| Party | Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | Caa | |||||||||||||||||
Aaa
|
Aaa | |||||||||||||||||||||||||||||||||
Aa1
|
Aaa | Aaa | ||||||||||||||||||||||||||||||||
Aa2
|
Aaa | Aaa | Aaa | |||||||||||||||||||||||||||||||
Aa3
|
Aaa | Aaa | Aaa | Aaa | ||||||||||||||||||||||||||||||
A1
|
Aaa | Aaa | Aaa | Aaa | Aaa | |||||||||||||||||||||||||||||
A2
|
Aaa | Aaa | Aaa | Aaa | Aaa | Aa1 | ||||||||||||||||||||||||||||
A3
|
Aaa | Aaa | Aaa | Aaa | Aaa | Aa1 | Aa2 | |||||||||||||||||||||||||||
Baa1
|
Aaa | Aaa | Aaa | Aaa | Aaa | Aa1 | Aa3 | Aa3 | ||||||||||||||||||||||||||
Baa2
|
Aaa | Aaa | Aaa | Aaa | Aaa | Aa1 | Aa3 | A1 | A1 | |||||||||||||||||||||||||
Baa3
|
Aaa | Aaa | Aaa | Aaa | Aa1 | Aa1 | Aa3 | A1 | A1 | Baa1 | ||||||||||||||||||||||||
Ba1
|
Aaa | Aaa | Aaa | Aa1 | Aa1 | Aa2 | A1 | A1 | A2 | Baa1 | Baa3 | |||||||||||||||||||||||
Ba2
|
Aaa | Aaa | Aa1 | Aa1 | Aa1 | Aa2 | A1 | A1 | A2 | Baa2 | Baa3 | Ba1 | ||||||||||||||||||||||
Ba3
|
Aaa | Aaa | Aa1 | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa2 | Baa3 | Ba1 | Ba2 | |||||||||||||||||||||
B1
|
Aaa | Aa1 | Aa1 | Aa2 | Aa3 | Aa3 | A1 | A3 | Baa1 | Baa2 | Ba1 | Ba1 | Ba2 | Ba3 | ||||||||||||||||||||
B2
|
Aaa | Aa1 | Aa2 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa3 | Ba1 | Ba1 | Ba3 | Ba3 | B1 | |||||||||||||||||||
B3
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A1 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B1 | B3 | ||||||||||||||||||
Caa
|
Aaa | Aa1 | Aa2 | Aa3 | A1 | A2 | A3 | Baa1 | Baa2 | Baa3 | Ba1 | Ba2 | Ba3 | B1 | B2 | B3 | Caa | |||||||||||||||||
Notwithstanding the foregoing, in the event that under the Triparty Agreement the Offsetting
Counterparty has acceded to the rights of the Counterparty and no swap transaction has been
effected with an additional contingent counterparty or replacement swap counterparty under the
circumstances contemplated by Section 2.02 of the Triparty Agreement, then the term
“Xxxxx’x Joint Probability” shall refer to the Offsetting Counterparty’s long term senior unsecured
credit rating assigned by Xxxxx’x (and, for
Exh. B-2
avoidance of doubt, the obligations of the Counterparty specified in Section 4 of this Confirmation
shall constitute obligations of the Offsetting Counterparty).
“Offsetting Counterparty” means GMAC LLC or any successor thereto (“GMAC”) under the Fallback
Swap Transaction entered into between the Trust and GMAC.
“Primary Party”: the Counterparty, unless a Substitute Swap Provider has been obtained, in
which case it shall be the Substitute Swap Provider or, if applicable, a guarantor thereof.
“Rating Agency”: each of S&P and Xxxxx’x.
“S&P”: Standard & Poor’s Ratings Services and its successors.
“S&P Joint Probability” means the joint probability determined by S&P of the long term
likelihood of payment under the rate swap transaction determined by locating the intersection of
the Primary Party’s long term senior unsecured debt rating and the Contingent Party’s long term
senior unsecured debt rating in the table below headed “Medium Correlation Reference Table” (except
that, for any pairing other than the initial Primary Party with the initial Contingent Party, the
table below to be used shall be the table headed “Low Correlation Reference Table” or the table
headed “High Correlation Reference Table” if so specified by S&P within five days after S&P has
received notice of a potential pairing of a Primary Party with a Contingent Party).
IMPLIED JOINT SUPPORT RATING
High Correlation Reference Table
| AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D | |||||||||||||||||||||
AAA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | ||||||||||||||||||||
AA+
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | ||||||||||||||||||||
AA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA | AA | AA | AA | AA | AA | AA | AA | AA | ||||||||||||||||||||
AA-
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA- | AA- | AA- | AA- | AA- | AA- | AA- | AA- | AA- | AA- | ||||||||||||||||||||
A+
|
AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA- | AA- | A+ | A+ | A+ | A+ | A+ | A+ | A+ | A+ | A+ | ||||||||||||||||||||
A
|
AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA- | A+ | A+ | A | A | A | A | A | A | A | A | ||||||||||||||||||||
A-
|
AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA | AA- | A+ | A | A | A- | A- | A- | A- | A- | A- | A- | A- | ||||||||||||||||||||
BBB+
|
AAA | AAA | AA+ | AA+ | AA+ | AA | AA | AA- | A+ | A | A- | A- | A- | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | ||||||||||||||||||||
BBB
|
AAA | AA+ | AA+ | AA+ | AA | AA | AA- | A+ | A | A- | A- | BBB+ | BBB+ | BBB+ | BBB | BBB | BBB | BBB | BBB | BBB | ||||||||||||||||||||
BBB-
|
AAA | AA+ | AA | AA | AA- | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB | BBB- | BBB- | BBB- | BBB- | BBB- | ||||||||||||||||||||
BB+
|
AAA | AA+ | AA | AA- | AA- | A+ | A | A- | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BB+ | BB+ | BB+ | BB+ | ||||||||||||||||||||
BB
|
AAA | AA+ | AA | AA- | A+ | A+ | A | A- | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BBB- | BB+ | BB | BB | BB | BB | ||||||||||||||||||||
BB-
|
AAA | AA+ | AA | AA- | A+ | A | A- | A- | BBB+ | BBB | BBB | BBB- | BBB- | BB+ | BB+ | BB | BB | BB- | BB- | BB- | ||||||||||||||||||||
B+
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB- | BB+ | BB+ | BB | BB | BB- | B+ | B+ | B+ | ||||||||||||||||||||
B
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB | BBB- | BBB- | BB+ | BB | BB | BB- | B+ | B+ | B | B | ||||||||||||||||||||
B-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BBB- | BB+ | BB | BB | BB- | B+ | B | B | B- | B- | ||||||||||||||||||||
CCC+
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB | BB- | B+ | B | B- | B- | CCC+ | CCC+ | ||||||||||||||||||||
CCC
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B+ | B | B- | CCC+ | CCC+ | CCC | ||||||||||||||||||||
CCC-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC+ | CCC | CCC- | ||||||||||||||||||||
D
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D |
Exh. B-3
Medium Correlation Reference Table
| AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D | |||||||||||||||||||||
AAA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | ||||||||||||||||||||
AA+
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | ||||||||||||||||||||
AA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA | AA | AA | AA | AA | AA | AA | AA | ||||||||||||||||||||
AA-
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA- | AA- | AA- | AA- | AA- | AA- | AA- | AA- | AA- | ||||||||||||||||||||
A+
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA- | AA- | A+ | A+ | A+ | A+ | A+ | A+ | A+ | A+ | ||||||||||||||||||||
A
|
AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA- | AA- | A+ | A+ | A | A | A | A | A | A | A | ||||||||||||||||||||
A-
|
AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA | AA- | A+ | A | A | A- | A- | A- | A- | A- | A- | A- | ||||||||||||||||||||
BBB+
|
AAA | AAA | AAA | AA+ | AA+ | AA+ | AA+ | AA | AA- | A+ | A | A- | A- | A- | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | ||||||||||||||||||||
BBB
|
AAA | AAA | AA+ | AA+ | AA+ | AA | AA | AA- | A+ | A | A- | A- | BBB+ | BBB+ | BBB+ | BBB | BBB | BBB | BBB | BBB | ||||||||||||||||||||
BBB-
|
AAA | AA+ | AA+ | AA | AA | AA- | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB | BBB- | BBB- | BBB- | BBB- | ||||||||||||||||||||
BB+
|
AAA | AA+ | AA | AA | AA- | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BBB- | BB+ | BB+ | BB+ | ||||||||||||||||||||
BB
|
AAA | AA+ | AA | AA- | AA- | A+ | A | A- | A- | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BB+ | BB+ | BB | BB | BB | ||||||||||||||||||||
BB-
|
AAA | AA+ | AA | AA- | A+ | A+ | A | A- | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BB+ | BB | BB | BB- | BB- | BB- | ||||||||||||||||||||
B+
|
AAA | AA+ | AA | AA- | A+ | A | A- | A- | BBB+ | BBB | BBB | BBB- | BBB- | BB+ | BB | BB | BB- | BB- | B+ | B+ | ||||||||||||||||||||
B
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB- | BBB- | BB+ | BB | BB | BB- | B+ | B+ | B | B | ||||||||||||||||||||
B-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB | BBB- | BB+ | BB | BB | BB- | B+ | B | B | B- | B- | ||||||||||||||||||||
CCC+
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BBB- | BB+ | BB | BB- | B+ | B | B- | B- | CCC+ | CCC+ | ||||||||||||||||||||
CCC
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | BB- | B+ | B | B- | CCC+ | CCC+ | CCC | ||||||||||||||||||||
CCC-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC+ | CCC | CCC- | ||||||||||||||||||||
D
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D |
Low Correlation Reference Table
| AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D | |||||||||||||||||||||
AAA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | ||||||||||||||||||||
AA+
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | AA+ | ||||||||||||||||||||
AA
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA | AA | AA | AA | AA | AA | AA | AA | ||||||||||||||||||||
AA-
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA- | AA- | AA- | AA- | AA- | AA- | AA- | ||||||||||||||||||||
A+
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA | AA | AA | AA- | AA- | A+ | A+ | A+ | A+ | A+ | A+ | ||||||||||||||||||||
A
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA | AA- | AA- | A+ | A | A | A | A | A | A | ||||||||||||||||||||
A-
|
AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA | AA- | A+ | A+ | A | A | A- | A- | A- | A- | A- | ||||||||||||||||||||
BBB+
|
AAA | AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA | A+ | A+ | A | A- | A- | A- | BBB+ | BBB+ | BBB+ | BBB+ | BBB+ | ||||||||||||||||||||
BBB
|
AAA | AAA | AAA | AAA | AA+ | AA+ | AA+ | AA | AA- | A | A | A- | A- | BBB+ | BBB+ | BBB+ | BBB | BBB | BBB | BBB | ||||||||||||||||||||
BBB-
|
AAA | AAA | AA+ | AA+ | AA | AA | AA | A+ | A | A- | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BBB- | BBB- | ||||||||||||||||||||
BB+
|
AAA | AAA | AA+ | AA+ | AA | AA | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BB+ | BB+ | BB+ | ||||||||||||||||||||
BB
|
AAA | AA+ | AA+ | AA | AA | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB | BBB | BBB- | BBB- | BB+ | BB | BB | BB | ||||||||||||||||||||
BB-
|
AAA | AA+ | AA | AA | AA- | AA- | A+ | A- | A- | BBB+ | BBB | BBB | BBB- | BBB- | BB+ | BB+ | BB | BB | BB- | BB- | ||||||||||||||||||||
B+
|
AAA | AA+ | AA | AA- | AA- | A+ | A | A- | BBB+ | BBB | BBB | BBB | BBB- | BB+ | BB+ | BB | BB- | BB- | B+ | B+ | ||||||||||||||||||||
B
|
AAA | AA+ | AA | AA- | A+ | A | A | A- | BBB+ | BBB | BBB | BBB- | BB+ | BB+ | BB | BB- | B+ | B+ | B | B | ||||||||||||||||||||
B-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB+ | BBB | BBB- | BBB- | BB+ | BB | BB- | BB- | B | B | B- | B- | ||||||||||||||||||||
CCC+
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BBB- | BB+ | BB | BB- | B+ | B | B- | B- | CCC+ | CCC+ | ||||||||||||||||||||
CCC
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB | BB- | B+ | B | B- | CCC+ | CCC+ | CCC | ||||||||||||||||||||
CCC-
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC+ | CCC | CCC- | ||||||||||||||||||||
D
|
AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | D |
Exh. B-4
Notwithstanding the foregoing, (i) in the event that the long term senior unsecured debt
rating of either the Primary Party or the Contingent Party is rated below BBB- by S&P, then the S&P
Joint Probability shall be the higher of the then current long term senior unsecured debt rating of
the Primary Party and the Contingent Party and (ii) in the event that under the Triparty Agreement
the Offsetting Counterparty has acceded to the rights of the Counterparty and no swap transaction
has been effected with an additional contingent counterparty or replacement swap counterparty under
the circumstances contemplated by Section 2.02 of the Triparty Agreement, then the term
“S&P Joint Probability” shall refer to the Offsetting Counterparty’s long term senior unsecured
credit rating assigned by S&P (and, for the avoidance of doubt, the obligations of the Counterparty
specified in Section 4 of this Confirmation shall constitute obligations of the Offsetting
Counterparty).
“Triparty Agreement”: the Triparty Contingent Assignment Agreement dated as of the Effective
Date among the Trust, the Offsetting Counterparty and the Counterparty.
Exh. B-5
