Exhibit 99.2
SWISS RE FINANCIAL PRODUCTS CORPORATION
00 Xxxx 00xx Xxxxxx
Xxx Xxxx, Xxx Xxxx 00000
Fax: (000) 000-0000/Phone: (000) 000-0000
DATE: February 27, 2006
TO: Countrywide Home Loans, Inc.
ATTENTION: Documentation Unit
FROM: Swiss Re Financial Products Corporation
RE: Swap Transaction
REFERENCE NO: 793994
Dear Sir or Madam:
The purpose of this letter agreement is to set forth the terms and
conditions of the Swap Transactions traded between Swiss Re Financial Products
Corporation ("Party A") and Countrywide Home Loans, Inc. ("Party B") on the
trade date specified below (the "Transactions"). This letter agreement
constitutes a "Confirmation" as referred to in the Agreement specified below.
Notwithstanding anything to the contrary in the Agreement, the
definitions and provisions contained in the 2000 ISDA Definitions, as
published by the International Swaps and Derivatives Association, Inc. (the
"Definitions") are incorporated into this Confirmation. To the extent that
there is any inconsistency between those Definitions and Provisions and this
Confirmation, this Confirmation will govern. For the purposes of the
Definitions, all references to a "Transaction" in this Confirmation shall also
be deemed to be references to a "Swap Transaction".
This Confirmation evidences a complete binding agreement between you and
us as to the terms of the Transactions to which this Confirmation relates.
This Confirmation supplements, forms part of, and is subject to, the ISDA
Master Agreement (Multicurrency - Cross Border) dated as of December 15, 2005,
as amended and supplemented from time to time (the "Agreement"), between Party
A and Party B. All provisions contained or incorporated by reference in that
agreement upon its execution will govern this Confirmation except as expressly
modified below.
Capitalized terms used in this Confirmation and not defined in the
Agreement, this Confirmation or the Definitions shall have the respective
meaning assigned in the Pooling and Servicing Agreement for CWABS, Inc.
Asset-Backed Certificates Series 2006-2 dated as of February 1, 2006 among
CWABS, Inc. as depositor, Park Monaco Inc., as a Seller, Park Sienna LLC, as a
Seller, Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans
Servicing LP, as master servicer, and The Bank of New York, as trustee (the
"Pooling and Servicing Agreement").
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
-------------
Trade Date: February 3, 2006
Effective Date: February 27, 2006
Termination Date: February 25, 2011, subject to adjustment in
accordance with the Following Business Day
Convention.
Notional Amount: With respect to any Calculation Period, the
lesser of (i) the amount set forth for such
period in Annex A attached hereto and (ii)
the aggregate Class Certificate Balance of
the Class 1-A-1 Certificates, Class 2-A-1
Certificates, Class 2-A-2 Certificates, Class
2-A-3 Certificates, Class 2-A-4 Certificates,
Class M-1 Certificates, Class M-2
Certificates, Class M-3 Certificates, Class
M-4 Certificates, Class M-5 Certificates,
Class M-6 Certificates, Class M-7
Certificates, Class M-8 Certificates and
Class B Certificates (as defined in the
Pooling and Servicing Agreement) immediately
prior to the Distribution Date (as defined in
the Pooling and Servicing Agreement)
occurring in the calendar month in which such
Calculation Period ends.
Upfront Amount:
--------------
Upfront Amount: Party B will pay $4,390,000 to Party A on
February 27, 2006.
Floating Amounts:
----------------
Floating Rate Payer: Party A
Floating Rate Payer Early Payment shall be applicable. For each
Payment Dates: Calculation Period, the Floating Rate Payer
Payment Date shall be the first Business Day
prior to the related Floating Rate Payer
Period End Date.
Floating Rate Payer The 25th of each month in each year from (and
Period End Dates: including) March 25, 2006 to (and including)
the Termination Date, subject to adjustment
in accordance with the Following Business
Day Convention.
Floating Rate Option: USD-LIBOR-BBA.
Designated Maturity: One Month
Spread: None
Floating Rate Actual/360
Day Count Fraction:
Reset Dates: The first day of each Calculation Period.
Compounding: Inapplicable
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Business Days for London
Reset:
Fixed Amounts:
-------------
Fixed Rate Payer: Party B
Fixed Rate Payer The 25th of each month in each year from (and
Payment Dates: including) March 25, 2006 to (and including)
the Termination Date, subject to adjustment
in accordance with the Following Business
Day Convention.
Fixed Rate Payer The 25th of each month in each year from (and
Period End Dates: including) March 25, 2006 to (and including)
February 25, 2011, with No Adjustment.
Fixed Rate: 4.79%
Fixed Rate Day Count 30/360
Fraction:
Business Days for Payments New York.
by Both Parties:
Amendment to Section 2(c) Notwithstanding anything to the contrary in
of the Agreement: Section 2(c) of the Agreement, amounts that
are payable with respect to Calculation
Periods which end in the same calendar month
(prior to any adjustment of period end
dates) shall be netted, as provided in
Section 2(c) of the Agreement, even if such
amounts are not due on the same payment
date. For avoidance of doubt any payments
pursuant to Section 6(e) of the Agreement
shall not be subject to netting.
Procedural Terms:
----------------
Account Details:
Payments to Party A: JPMorgan Chase Bank
SWIFT: XXXXXX00
For the Account of Swiss Re Financial
Products Corporation
Account No.: 066-91118
Payments to Party B: As per Party B's standard settlement
instructions; provided, however
that upon any assignment of this
Transaction, account details shall be
provided in the assignment agreement.
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Assignment: Party A will not unreasonably withhold or
delay its consent to an assignment of this
Transaction to any other third party.
4
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:
Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax: (000) 000-0000 Phone: (000) 000-0000
SWISS RE FINANCIAL PRODUCTS CORPORATION
By: /s/ Xxxxx Xxxxx
---------------------------------------------------------
Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
COUNTRYWIDE HOME LOANS INC.
By: /s/ Xxxxxxxx Xxxxxx Xxxxxxxx
---------------------------------------------------------
Name: Xxxxxxxx Xxxxxx Xxxxxxxx
Title: Senior Managing Director and Treasurer
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Annex A
Period Start Date Period End Date Notional Amount
27-Feb-06 25-Mar-06 657,900,000
25-Mar-06 25-Apr-06 652,024,659
25-Apr-06 25-May-06 645,338,788
25-May-06 25-Jun-06 637,849,962
25-Jun-06 25-Jul-06 629,568,842
25-Jul-06 25-Aug-06 620,509,194
25-Aug-06 25-Sep-06 610,682,509
25-Sep-06 25-Oct-06 600,388,427
25-Oct-06 25-Nov-06 589,376,902
25-Nov-06 25-Dec-06 577,673,969
25-Dec-06 25-Jan-07 565,308,693
25-Jan-07 25-Feb-07 552,312,825
25-Feb-07 25-Mar-07 539,313,868
25-Mar-07 25-Apr-07 525,811,482
25-Apr-07 25-May-07 511,741,013
25-May-07 25-Jun-07 497,144,804
25-Jun-07 25-Jul-07 482,118,746
25-Jul-07 25-Aug-07 466,728,799
25-Aug-07 25-Sep-07 451,016,709
25-Sep-07 25-Oct-07 435,707,485
25-Oct-07 25-Nov-07 420,957,558
25-Nov-07 25-Dec-07 406,747,688
25-Dec-07 25-Jan-08 393,059,323
25-Jan-08 25-Feb-08 379,874,561
25-Feb-08 25-Mar-08 364,445,341
25-Mar-08 25-Apr-08 347,674,775
25-Apr-08 25-May-08 331,822,972
25-May-08 25-Jun-08 316,838,978
25-Jun-08 25-Jul-08 302,674,878
25-Jul-08 25-Aug-08 289,285,617
25-Aug-08 25-Sep-08 278,194,997
25-Sep-08 25-Oct-08 269,035,069
25-Oct-08 25-Nov-08 260,238,423
25-Nov-08 25-Dec-08 251,792,704
25-Dec-08 25-Jan-09 243,686,006
25-Jan-09 25-Feb-09 235,906,854
25-Feb-09 25-Mar-09 225,426,696
25-Mar-09 25-Apr-09 215,535,535
25-Apr-09 25-May-09 206,191,020
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25-May-09 25-Jun-09 197,364,129
25-Jun-09 25-Jul-09 189,027,526
25-Jul-09 25-Aug-09 181,155,461
25-Aug-09 25-Sep-09 175,391,459
25-Sep-09 25-Oct-09 169,835,796
25-Oct-09 25-Nov-09 164,516,878
25-Nov-09 25-Dec-09 159,426,885
25-Dec-09 25-Jan-10 154,558,278
25-Jan-10 25-Feb-10 149,889,672
25-Feb-10 25-Mar-10 145,325,703
25-Mar-10 25-Apr-10 140,754,244
25-Apr-10 25-May-10 136,369,796
25-May-10 25-Jun-10 132,165,826
25-Jun-10 25-Jul-10 128,137,125
25-Jul-10 25-Aug-10 124,272,731
25-Aug-10 25-Sep-10 120,504,346
25-Sep-10 25-Oct-10 116,872,359
25-Oct-10 25-Nov-10 113,372,321
25-Nov-10 25-Dec-10 109,998,970
25-Dec-10 25-Jan-11 106,748,812
25-Jan-11 25-Feb-11 103,617,566
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