EXHIBIT 99.2
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The Swap Contract
IXIS FINANCIAL PRODUCTS INC.
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Fax: (▇▇▇) ▇▇▇-▇▇▇▇ / Phone: (▇▇▇) ▇▇▇-▇▇▇▇ / 6194
DATE: February 28, 2006
TO: Swap Trust,
IndyMac INDX Mortgage Loan Trust ▇▇▇▇-▇▇▇
▇/▇ ▇▇▇▇▇▇▇▇ Bank National Trust Company
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▇▇▇▇▇ ▇▇▇, ▇▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇-▇▇▇▇,
Attention: Trust Administration; IN06A2
FAX: (▇▇▇) ▇▇▇-▇▇▇▇
("Party B")
FROM: IXIS Financial Products Inc.
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Fax: (▇▇▇) ▇▇▇-▇▇▇▇ / Phone: (▇▇▇) ▇▇▇-▇▇▇▇ / 6194
("Party A")
RE: Interest Rate Swap Transaction
Dear Sir or Madam:
The purpose of this letter agreement (this "Confirmation") is to confirm
the terms and conditions of the Transaction entered into between us on the
Trade Date specified below (the "Transaction").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. are
incorporated into this Confirmation. In the event of any inconsistency between
those definitions and provisions and this Confirmation, this Confirmation will
govern.
This Confirmation constitutes a "Confirmation" as referred to in, and
supplements, forms part of and is subject to, the ISDA Master Agreement dated
as of February 28, 2006, as amended and supplemented from time to time (the
"Agreement") between Party A and Party B. All provisions contained in the
Agreement govern this Confirmation except as expressly modified below.
1. The Swap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as follow:
General Terms
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Trade Date: 23 February, 2006
Termination Date: 25 February, 2009, subject to adjustment in
accordance with the Following Business Day
Convention.
Notional Amount: See Schedule A attached hereto.
Floating Amounts I:
Floating Rate Payer I: Party B
Effective Date for 25 March, 2006
Floating Amounts I:
Floating Rate Payer I USD 159,000. Party B shall cause ▇▇▇▇▇▇
Upfront Payment: Brothers Holdings Inc. to pay, to Party A the
Floating Rate Payer I Upfront Payment on or
prior to February 28, 2006.
Floating Rate Payer I The 25th day of each month of each year,
Period End Dates: commencing on April 25, 2006 to and including
the Termination Date, with no adjustment to
Period End Dates.
Floating Rate Payer Early Payment, one (1) Business Day
I Payment Dates: immediately preceding each Floating Rate
Payer I Period End Date, commencing on April
24, 2006.
Floating Rate Option: The Repricing Index, which shall be defined
as the 12-MTA Index as published by Bloomberg
Financial Services Inc. ("Bloomberg"). (The
relevant Repricing Index can be found by
typing "12MTA", {Index}, {GO}). The
Repricing Index applicable to a Reset Date
shall be the rate Bloomberg publishes for the
12-MTA as of the calendar month immediately
preceding that Reset Date, or, if the rate
for the 12-MTA is not published within 5
Business Days after the Reset Date, then the
Calculation Agent shall determine the 12-MTA
rate in accordance with the following
fallback provisions:
A. General Procedure:
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If on any Reset Date the rate for the
Repricing Index applicable to that Reset
Date as specified in this Confirmation has
not been posted by Bloomberg, then the
Calculation Agent may calculate an alternate
index for the Repricing Index based on the
12 Month Treasury Average ("12-MTA") as set
forth in this section. The 12-MTA is the 12
month average of the monthly average yields
of U.S. Treasury securities adjusted to a
constant maturity of one year ("1-Year
CMT"). The 12-MTA will be calculated as the
alternate for
the Repricing Index applicable
to a Reset Date by summing the monthly
average rates for 1-Year CMT observations
for the appropriate 12 calendar months,
dividing by 12, and rounding the resulting
numbers to the 3rd decimal place.
For any designated Reset Date, the
appropriate 12 months for the calculation
specified in this subsection shall be the 12
preceding consecutive months ending on, and
including, the calendar month that is
immediately preceding that Reset Date.
For the purposes of the calculation
specified in this subsection, the monthly
average 1-Year CMT rate for each of the 12
consecutive calendar months will be obtained
from the H.15 Federal Reserve Statistical
Release data (or any successor thereto).
B. Absence of a Monthly Rate:
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If on any Reset Date, the conditions
specified in subsection A exist, and the
monthly average 1-Year CMT rate for any
month in the applicable 12 calendar month
period necessary to make the calculation
specified in subsection A is no longer
available from the H.15 Federal Reserve
Statistical Release data (or any successor
thereto), the Calculation Agent will
calculate the monthly average 1-Year CMT
rate for any such missing month(s) from the
daily rate of the 1-Year CMT obtained from
the H.15 Federal Reserve Statistical Release
data (or any successor thereto) as follows:
1. adding together the daily 1-year CMT
rates (one for each New York Fed Business
Day) for that calendar month posted under
each New York Fed Business Day heading
for the following row "Treasury Constant
Maturities," Nominal 10", "1-year", or
any successor designation, row or source;
2. dividing the resulting sum by the total
number of daily 1-Year CMT rates
published for that calendar month; and
3. rounding the resulting number to the 2nd
decimal place.
C. Absence of a Daily Rate:
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If on any Reset Date, the conditions
specified in subsection B exist, and the
1-Year CMT daily rate necessary to make the
calculation specified in subsection B for
the missing rate(s) for such months(s) is
not available from the H.15 Federal Reserve
Statistical Release data (or any successor
thereto) for any one or more New York Fed
Business Days in such month(s) ("Unposted
Day(s)") for any reason, then the
Calculation Agent may within its sole
discretion elect to either (i) wait for the
Board of Governors of the Federal Reserve
System, or the United States Department of
Treasury, to publish a daily 1-Year CMT rate
for the Unposted Day(s), or (ii) determine a
substitute 1-Year CMT daily rate for the
Unposted Day(s), using the mechanism
described in the definition of
"USD-CMT-T7051" contained in the
Definitions, provided however, that all
references to "Designated Maturity" shall be
deemed references to 1-Year CMT;
"Representative Amount" shall mean the
Notional Amount, and in the event United
States government securities dealers in New
York City are not available, the Calculation
Agent may select other United States
government securities dealers. If the
Calculation Agent elects to wait for the
Board of Governors of the Federal Reserve
System, or the United States Department of
Treasury, to post a 1-Year CMT daily rate
for the Unposted Day(s) and neither has done
so by the day that is five Business Days
preceding the Payment Date, then the
Calculation Agent shall determine a
substitute 1-Year CMT daily rate for the
Unposted Day(s). The Calculation Agent shall
then calculate the monthly 1-Year CMT rate
as described in subsection B, using either
the 1-Year CMT daily rate(s) that Board of
Governors of the Federal Reserve System, or
the United States Department of Treasury,
posts late or such substitute 1-Year CMT
daily rate(s), as applicable, for the
Unposted Day(s).
D. Changes to the 12-MTA Index:
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If on or prior to any Reset Date, either the
Calculation Agent or Party B determines in
good faith that a material change in the
formula for or the method of calculating the
Repricing Index has occurred (so that such
index no longer fairly represents the value
of the Repricing Index as contemplated by
the parties hereto), such party shall give
written notice thereof to the other party no
later than two (2) Business Days prior to
the Floating Rate Payer I Payment Date. If
the other party agrees, then the Repricing
Index applicable to the Reset Date shall be
recalculated by the Calculation Agent
pursuant to the procedures set forth in this
Confirmation for the calculation of an
alternate index to the Repricing Index. If
the parties cannot come to an agreement with
respect to the appropriate index value
within one (1) Business Day, then the index
value will be determined based on quotations
obtained from five leading Reference Banks
pursuant to the procedures set forth under
"Calculation Agent" below.
Spread: 60.95 basis points
Floating Rate Day Count 30/360
Fraction:
Reset Date: In respect of each Floating Rate Payer
I Payment Date, the first calendar day of
the calendar month of such Floating Rate
Payer I Payment Date, commencing with April
01, 2006.
Floating Amounts II:
Floating Rate Payer II: Party A
Effective Date for 27 March, 2006
Floating Amounts II:
Floating Rate Payer II The 25th day of each month of each year,
Period End Dates: commencing on April 25, 2006 to and including
the Termination Date, subject to adjustment
in accordance with the Following Business
Day Convention.
Floating Rate Payer Same as Floating Rate Payer I Payment Dates.
II Payment Dates:
Floating Rate Option: USD-LIBOR-BBA
Designated Maturity: One (1) month
Spread: Inapplicable
Floating Rate Day Count Actual/360
Fraction:
Reset Date: The first day of each Calculation Period
Compounding: Inapplicable
Business Day: Any day other than (i) a Saturday or a
Sunday, or (ii) a day on which banking
institutions in the States of New York or
California are closed.
2. Procedural Terms:
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Calculation Agent: Party A
If Party B objects to any calculation by the
Calculation Agent hereunder, Party B shall
inform the Calculation Agent of its
objection within two (2) Business Days,
provided, however such objection may be
raised no later than three (3) Business Days
prior to the relevant Payment Date,
following delivery of notice ("payment
notice") from the Calculation Agent
specifying the amounts of payments then due.
The Calculation Agent shall use its best
efforts to deliver the payment notice by no
later than five (5) Business Days prior
to the relevant Payment Date or as soon as
reasonably practicable thereafter. Upon the
receipt of such notice of objection by the
Calculation Agent, the Parties shall confer
in good faith to resolve the dispute. If the
Parties cannot come to an agreement with
respect to the disputed calculation within
one (1) Business Day, any disputed interest
rates, index values or dollar amounts (each,
"Disputed Amount"), as the case may be,
shall be determined by the Calculation Agent
by obtaining quotations for such Disputed
Amounts from five leading Reference Banks
using "mid" as the relevant quotations,
discarding the highest and lowest quotations
and taking the average of the three
remaining quotations if five quotations are
provided. If at least three, but fewer than
five quotations are provided for a Disputed
Amount, such amount shall be the arithmetic
mean of the quotations. If fewer than three
quotations are provided, the Disputed Amount
shall be determined by the Calculation Agent
in good faith and in a commercially
reasonable manner.
Offices: The Office of Party A for the Swap
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Transaction is New York
Account Details:
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Payments to Party A: CITIBANK N.A.
ABA# ▇▇▇-▇▇▇-▇▇▇
Account No.: ▇▇▇▇▇▇▇▇
A/C IXISFP
Payments to Party B: Deutsche Bank Trust Company Americas
ABA# ▇▇▇▇▇▇▇▇▇
Account# ▇▇▇▇▇▇▇▇
Account Name: NYLTD Funds Control/Stars West
Ref: IndyMac INDX 2006-AR2 (All Offered
Certificates)
Please confirm that the foregoing correctly sets forth the terms and
conditions of our agreement by executing this Confirmation and returning it to
us by facsimile to:
IXIS Financial Products Inc.
(▇▇▇) ▇▇▇-▇▇▇▇ (fax)
Attn: Swap Operations
IXIS Financial Products Inc.
By: /s/ ▇▇▇▇▇▇▇ ▇. ▇▇▇▇▇▇
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Authorized Signatory
By: /s/ ▇▇▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇
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Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
Swap Trust,
IndyMac INDX Mortgage Loan Trust 2006-AR2
By: Deustche Bank National Trust Company, not in its individual capacity, but
solely as Swap Trustee
By: /s/ ▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇
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Name: ▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇
Title: Associate
SCHEDULE A to the Confirmation dated as of February 28, 2006, Amortization
Schedule:
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Calculation Calculation
Period from and Period up to but Notional Amount
including* excluding* (USD)
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25-Mar-06 25-Apr-06 $ 1,695,142,238.17
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25-Apr-06 25-May-06 $ 1,658,694,160.08
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25-May-06 25-Jun-06 $ 1,623,120,803.35
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25-Jun-06 25-Jul-06 $ 1,588,317,154.78
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25-Jul-06 25-Aug-06 $ 1,554,265,887.42
-------------------------------------------------------------
25-Aug-06 25-Sep-06 $ 1,520,950,718.28
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25-Sep-06 25-Oct-06 $ 1,488,354,623.15
-------------------------------------------------------------
25-Oct-06 25-Nov-06 $ 1,456,461,247.57
-------------------------------------------------------------
25-Nov-06 25-Dec-06 $ 1,425,251,821.09
-------------------------------------------------------------
25-Dec-06 25-Jan-07 $ 1,394,705,061.34
-------------------------------------------------------------
25-Jan-07 25-Feb-07 $ 1,364,911,073.01
-------------------------------------------------------------
25-Feb-07 25-Mar-07 $ 1,335,782,019.65
-------------------------------------------------------------
25-Mar-07 25-Apr-07 $ 1,307,191,218.20
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25-Apr-07 25-May-07 $ 1,279,215,426.07
-------------------------------------------------------------
25-May-07 25-Jun-07 $ 1,251,842,420.24
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25-Jun-07 25-Jul-07 $ 1,225,058,995.91
-------------------------------------------------------------
25-Jul-07 25-Aug-07 $ 1,198,354,219.03
-------------------------------------------------------------
25-Aug-07 25-Sep-07 $ 1,172,133,381.03
-------------------------------------------------------------
25-Sep-07 25-Oct-07 $ 1,146,494,599.68
-------------------------------------------------------------
25-Oct-07 25-Nov-07 $ 1,109,524,268.17
-------------------------------------------------------------
25-Nov-07 25-Dec-07 $ 1,066,566,985.21
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25-Dec-07 25-Jan-08 $ 1,023,617,859.24
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25-Jan-08 25-Feb-08 $ 980,944,899.00
-------------------------------------------------------------
25-Feb-08 25-Mar-08 $ 939,266,363.93
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25-Mar-08 25-Apr-08 $ 899,256,811.51
-------------------------------------------------------------
25-Apr-08 25-May-08 $ 860,758,732.79
-------------------------------------------------------------
25-May-08 25-Jun-08 $ 823,091,303.02
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25-Jun-08 25-Jul-08 $ 786,042,703.69
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25-Jul-08 25-Aug-08 $ 749,526,712.51
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25-Aug-08 25-Sep-08 $ 714,586,110.71
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25-Sep-08 25-Oct-08 $ 681,165,549.41
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25-Oct-08 25-Nov-08 $ 649,264,908.53
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25-Nov-08 25-Dec-08 $ 618,830,442.83
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25-Dec-08 25-Jan-09 $ 589,787,403.07
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25-Jan-09 25-Feb-09 $ 562,051,542.33
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*subject to adjustment in accordance with the Following Business Day
Convention, with respect to Floating Amounts II only.
