ISDAâ International Swaps and Derivatives Association, Inc. MASTER AGREEMENT dated as of August 30, 2006
(Multicurrency
- Cross Border)
ISDAâ
International
Swaps
and
Derivatives
Association, Inc.
dated
as
of August
30, 2006
|
WACHOVIA
BANK, N.A.
|
and
|
SUPPLEMENTAL
INTEREST TRUST,
STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST 2006-S3 |
have
entered and/or anticipate entering into one or more transactions
(each a “Transaction”) that are or will be governed
by this Master Agreement, which includes the schedule (the
“Schedule”), and the documents and other confirming evidence (each a
“Confirmation”) exchanged between the parties confirming those
Transactions.
Accordingly,
the parties agree as follows:
1. Interpretation
(a) Definitions.
The
terms
defined in Section 14 and in the Schedule will have the meanings therein
specified for
the
purpose of this Master Agreement.
(b) Inconsistency.
In
the
event of any inconsistency between the provisions of the Schedule and the
other
provisions of this Master Agreement, the Schedule will prevail. In the event
of
any inconsistency between the provisions of any Confirmation and this Master
Agreement (including the Schedule), such Confirmation will prevail for the
purpose of the relevant Transaction.
(c) Single
Agreement.
All
Transactions are entered into in reliance on the fact that this Master Agreement
and
all
Confirmations form a single agreement between the parties (collectively referred
to as this “Agreement”), and the parties would not otherwise enter into any
Transactions.
2. Obligations
(a) General
Conditions.
(i) Each
party will make each payment or delivery specified
in each Confirmation to be made by it, subject
to the other provisions of this Agreement.
(ii) Payments
under this Agreement will be made on the due date for value on that date
in the
place of the account specified in the relevant Confirmation or otherwise
pursuant to this Agreement, in
freely
transferable
funds and in the manner customary for payments in the required
currency. Where settlement is by
delivery (that is, other than by payment), such delivery will be made for
receipt on the due date in the manner
customary for the relevant obligation unless otherwise specified
in the relevant Confirmation or elsewhere
in this Agreement.
Each
obligation of each party under Section 2(a)(i) is subject to (1) the condition
precedent that no Event of Default or Potential Event of Default with respect
to
the other party has occurred and is continuing, (2) the condition precedent
that
no Early Termination Date in respect of the relevant Transaction has occurred
or
been effectively designated and (3) each other applicable condition precedent
specified in this Agreement.
(b) Change
of
Account. Either party may change its account for receiving a payment or delivery
by giving notice to the other party at least five Local Business Days prior
to
the scheduled date for the payment or delivery to which such change applies
unless such other party gives timely notice of a reasonable objection to
such
change.
(c) Netting.
If on any date amounts would otherwise be payable:—
(i) in
the
same currency; and
(ii) in
respect of the same Transaction,
by
each
party to the other, then, on such date, each party’s obligation to make payment
of any such amount will be automatically satisfied and discharged and, if
the
aggregate amount that would otherwise have been payable by one party exceeds
the
aggregate amount that would otherwise have been payable by the other party,
replaced by an obligation upon the party by whom the larger aggregate amount
would have been payable to pay to the other party the excess of the larger
aggregate amount over the smaller aggregate amount.
The
parties may elect in respect of two or more Transactions that a net amount
will
be determined in respect of all amounts payable on the same date in the same
currency in respect of such Transactions, regardless of whether such amounts
are
payable in respect of the same Transaction. The election may be made in the
Schedule or a Confirmation by specifying that subparagraph (ii) above will
not
apply to the Transactions identified as being subject to the election, together
with the starting date (in which case subparagraph (ii) above will not, or
will
cease to, apply to such Transactions from such date). This election may be
made
separately for different groups of Transactions and will apply separately
to
each pairing of Offices through which the parties make and receive payments
or
deliveries.
(d) Deduction
or Withholding for Tax.
(i) Gross-Up.
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or withholding
is
required by any applicable law, as modified by the practice of any relevant
governmental revenue authority, then in effect. If a party is so required
to
deduct or withhold, then that party (“X”) will:—
(1) promptly
notify the other party (“Y”) of such requirement;
(2) pay
to
the relevant authorities the full amount required to be deducted or withheld
(including the full amount required to be deducted or withheld from any
additional amount paid by X to Y under this Section 2(d)) promptly upon the
earlier of determining that such deduction or withholding is required or
receiving notice that such amount has been assessed against Y;
(3) promptly
forward to Y an official receipt (or a certified copy), or other documentation
reasonably acceptable to Y, evidencing such payment to such authorities;
and if
such Tax is an Indemnifiable Tax, pay to Y, in addition to the payment to
which
Y is otherwise entitled under this Agreement, such additional amount as is
necessary to ensure that the net amount actually received by Y (free and
clear
of Indemnifiable Taxes, whether assessed against X or Y) will equal the full
amount Y would have received had no such deduction or withholding been required.
However, X will not be required to pay any additional amount to Y to the
extent
that it would not be required to be paid but for:—
(A) the
failure by Y to comply with or perform any agreement contained in Section
4(a)(i), 4(a)(iii) or 4(d); or
(B) the
failure of a representation made by Y pursuant to Section 3(f) to be accurate
and true unless such failure would not have occurred but for (I) any action
taken by a taxing authority, or brought in a court of competent jurisdiction,
on
or after the date on which a Transaction is entered into (regardless of whether
such action is taken or brought with respect to a party to this Agreement)
or
(II) a Change in Tax Law.
(ii) Liability.
If: —
(1) X
is
required by any applicable law, as modified by the practice of any relevant
governmental revenue authority, to make any deduction or withholding in respect
of which X would not be required to pay an additional amount to Y under Section
2(d)(i)(4);
(2) X
does
not so deduct or withhold; and
(3) a
liability resulting from such Tax is assessed directly against
X,
then,
except to the extent Y has satisfied or then satisfies the liability resulting
from such Tax, Y will promptly pay to X the amount of such liability (including
any related liability for interest, but including any related liability for
penalties only if Y has failed to comply with or perform any agreement contained
in Section 4(a)(i), 4(a)(iii) or 4(d)).
(e) Default
Interest; Other Amounts. Prior to the occurrence or effective designation
of an
Early Termination Date in respect of the relevant Transaction, a party that
defaults in the performance of any payment obligation will, to the extent
permitted by law and subject to Section 6(c), be required to pay interest
(before as well as after judgment) on the overdue amount to the other party
on
demand in the same currency as such overdue amount, for the period from (and
including) the original due date for payment to (but excluding) the date
of
actual payment, at the Default Rate. Such interest will be calculated on
the
basis of daily compounding and the actual number of days elapsed. If, prior
to
the occurrence or effective designation of an Early Termination Date in respect
of the relevant Transaction, a party defaults in the performance of any
obligation required to be settled by delivery, it will compensate the other
party on demand if and to the extent provided for in the relevant Confirmation
or elsewhere in this Agreement.
3. Representations
Each
party represents to the other party (which representations will be deemed
to be
repeated by each party on each date on which a Transaction is entered into
and,
in the case of the representations in Section 3(f), at all times until the
termination of this Agreement) that:—
(a) Basic
Representations.
(i) Status.
It is duly organised and validly existing under the laws of the jurisdiction
of
its organisation or incorporation and, if relevant under such laws, in good
standing;
(ii) Powers.
It has the power to execute this Agreement and any other documentation relating
to this Agreement to which it is a party, to deliver this Agreement and any
other documentation relating to this Agreement that it is required by this
Agreement to deliver and to perform its obligations under this Agreement
and any
obligations it has under any Credit Support Document to which it is a party
and
has taken all necessary action to authorise such execution, delivery and
performance;
(iii) No
Violation or Conflict. Such execution, delivery and performance do not violate
or conflict with any law applicable to it, any provision of its constitutional
documents, any order or judgment of any court or other agency of government
applicable to it or any of its assets or any contractual restriction binding
on
or affecting it or any of its assets;
(iv) Consents.
All governmental and other consents that are required to have been obtained
by
it with respect to this Agreement or any Credit Support Document to which
it is
a party have been obtained and are in full force and effect and all conditions
of any such consents have been complied with; and
(v) Obligations
Binding. Its obligations under this Agreement and any Credit Support Document
to
which it is a party constitute its legal, valid and binding obligations,
enforceable in accordance with their respective terms (subject to applicable
bankruptcy, reorganisation, insolvency, moratorium or similar laws affecting
creditors’ rights generally and subject, as to enforceability, to equitable
principles of general application (regardless of whether enforcement is sought
in a proceeding in equity or at law)).
(b) Absence
of Certain Events. No Event of Default or Potential Event of Default or,
to its
knowledge, Termination Event with respect to it has occurred and is continuing
and no such event or circumstance would occur as a result of its entering
into
or performing its obligations under this Agreement or any Credit Support
Document to which it is a party.
(c) Absence
of Litigation. There is not pending or, to its knowledge, threatened against
it
or any of its Affiliates any action, suit or proceeding at law or in equity
or
before any court, tribunal, governmental body, agency or official or any
arbitrator that is likely to affect the legality, validity or enforceability
against it of this Agreement or any Credit Support Document to which it is
a
party or its ability to perform its obligations under this Agreement or such
Credit Support Document.
(d) Accuracy
of Specified Information. All applicable information that is furnished in
writing by or on behalf of it to the other party and is identified for the
purpose of this Section 3(d) in the Schedule is, as of the date of the
information, true, accurate and complete in every material respect.
(e) Payer
Tax
Representation. Each representation specified in the Schedule as being made
by
it for the purpose of this Section 3(e) is accurate and true.
(f) Payee
Tax
Representations. Each representation specified in the Schedule as being made
by
it for the purpose of this Section 3(f) is accurate and true.
4. Agreements
Each
party agrees with the other that, so long as either party has or may have
any
obligation under this Agreement or under any Credit Support Document to which
it
is a party:—
(a) Furnish
Specified Information. It will deliver to the other party or, in certain
cases
under subparagraph (iii) below, to such government or taxing authority as
the
other party reasonably directs:—
(i) any
forms, documents or certificates relating to taxation specified in the Schedule
or any Confirmation;
(ii) any
other
documents specified in the Schedule or any Confirmation; and
(iii) upon
reasonable demand by such other party, any form or document that may be required
or reasonably requested in writing in order to allow such other party or
its
Credit Support Provider to make a payment under this Agreement or any applicable
Credit Support Document without any deduction or withholding for or on account
of any Tax or with such deduction or withholding at a reduced rate (so long
as
the completion, execution or submission of such form or document would not
materially prejudice the legal or commercial position of the party in receipt
of
such demand), with any such form or document to be accurate and completed
in a
manner reasonably satisfactory to such other party and to be executed and
to be
delivered with any reasonably required certification,
in
each
case by the date specified in the Schedule or such Confirmation or, if none
is
specified, as soon as reasonably practicable.
(b) Maintain
Authorisations. It will use all reasonable efforts to maintain in full force
and
effect all consents of any governmental or other authority that are required
to
be obtained by it with respect to this Agreement or any Credit Support Document
to which it is a party and will use all reasonable efforts to obtain any
that
may become necessary in the future.
(c) Comply
with Laws. It will comply in all material respects with all applicable laws
and
orders to which it may be subject if failure so to comply would materially
impair its ability to perform its obligations under this Agreement or any
Credit
Support Document to which it is a party.
(d) Tax
Agreement. It will give notice of any failure of a representation made by
it
under Section 3(f) to be accurate and true promptly upon learning of such
failure.
(e) Payment
of Stamp Tax. Subject to Section 11, it will pay any Stamp Tax levied or
imposed
upon it or in respect of its execution or performance of this Agreement by
a
jurisdiction in which it is incorporated, organised, managed and controlled,
or
considered to have its seat, or in which a branch or office through which
it is
acting for the purpose of this Agreement is located (“Stamp Tax Jurisdiction”)
and will indemnify the other party against any Stamp Tax levied or imposed
upon
the other party or in respect of the other party’s execution or performance of
this Agreement by any such Stamp Tax Jurisdiction which is not also a Stamp
Tax
Jurisdiction with respect to the other party.
5. Events
of
Default and Termination Events
(a) Events
of
Default. The occurrence at any time with respect to a party or, if applicable,
any Credit Support Provider of such party or any Specified Entity of such
party
of any of the following events constitutes an event of default (an “Event of
Default”) with respect to such party:—
(i) Failure
to Pay or Deliver. Failure by the party to make, when due, any payment under
this Agreement or delivery under Section 2(a)(i) or 2(e) required to be made
by
it if such failure is not remedied on or before the third Local Business
Day
after notice of such failure is given to the party;
(ii) Breach
of
Agreement. Failure by the party to comply with or perform any agreement or
obligation (other than an obligation to make any payment under this Agreement
or
delivery under Section 2(a)(i) or 2(e) or to give notice of a Termination
Event
or any agreement or obligation under Section 4(a)(i), 4(a)(iii) or 4(d))
to be
complied with or performed by the party in accordance with this Agreement
if
such failure is not remedied on or before the thirtieth day after notice
of such
failure is given to the party;
(iii) Credit
Support Default.
(1) Failure
by the party or any Credit Support Provider of such party to comply with
or
perform any agreement or obligation to be complied with or performed by it
in
accordance with any Credit Support Document if such failure is continuing
after
any applicable grace period has elapsed;
the
expiration or termination of such Credit Support Document or the failing
or
ceasing of such Credit Support Document to be in full force and effect for
the
purpose of this Agreement (in either case other than in accordance with its
terms) prior to the satisfaction of all obligations of such party under each
Transaction to which such Credit Support Document relates without the written
consent of the other party; or
(2) the
party
or such Credit Support Provider disaffirms, disclaims, repudiates or rejects,
in
whole or in part, or challenges the validity of, such Credit Support
Document;
(iv) Misrepresentation.
A representation (other than a representation under Section 3(e) or (f))
made or
repeated or deemed to have been made or repeated by the party or any Credit
Support Provider of such party in this Agreement or any Credit Support Document
proves to have been incorrect or misleading in any material respect when
made or
repeated or deemed to have been made or repeated;
(v) Default
under Specified Transaction. The party, any Credit Support Provider of such
party or any applicable Specified Entity of such party (1) defaults under
a
Specified Transaction and, after giving effect to any applicable notice
requirement or grace period, there occurs a liquidation of, an acceleration
of
obligations under, or an early termination of, that Specified Transaction,
(2)
defaults, after giving effect to any applicable notice requirement or grace
period, in making any payment or delivery due on the last payment, delivery
or
exchange date of, or any payment on early termination of, a Specified
Transaction (or such default continues for at least three Local Business
Days if
there is no applicable notice requirement or grace period) or (3) disaffirms,
disclaims, repudiates or rejects, in whole or in part, a Specified Transaction
(or such action is taken by any person or entity appointed or empowered to
operate it or act on its behalf);
(vi) Cross
Default. If “Cross Default” is specified in the Schedule as applying to the
party, the occurrence or existence of (1) a default, event of default or
other
similar condition or event (however described) in respect of such party,
any
Credit Support Provider of such party or any applicable Specified Entity
of such
party under one or more agreements or instruments relating to Specified
Indebtedness of any of them (individually or collectively) in an aggregate
amount of not less than the applicable Threshold Amount (as specified in
the
Schedule) which has resulted in such Specified Indebtedness becoming, or
becoming capable at such time of being declared, due and payable under such
agreements or instruments, before it would otherwise have been due and payable
or (2) a default by such party, such Credit Support Provider or such Specified
Entity (individually or collectively) in making one or more payments on the
due
date thereof in an aggregate amount of not less than the applicable Threshold
Amount under such agreements or instruments (after giving effect to any
applicable notice requirement or grace period);
(vii) Bankruptcy.
The party, any Credit Support Provider of such party or any applicable Specified
Entity of such party: —
(1) is
dissolved (other than pursuant to a consolidation, amalgamation or merger);
(2)
becomes insolvent or is unable to pay its debts or fails or admits in writing
its inability generally to pay its debts as they become due; (3) makes a
general
assignment, arrangement or composition with or for the benefit of its creditors;
(4) institutes or has instituted against it a proceeding seeking a judgment
of
insolvency or bankruptcy or any other relief under any bankruptcy or insolvency
law or other similar law affecting creditors’ rights, or a petition is presented
for its winding-up or liquidation, and, in the case of any such proceeding
or
petition instituted or presented against it, such proceeding or petition
(A)
results in a judgment of insolvency or bankruptcy or the entry of an order
for
relief or the making of an order for its winding-up or liquidation or (B)
is not
dismissed, discharged, stayed or restrained in each case within 30 days of
the
institution or presentation thereof; (5) has a resolution passed for its
winding-up, official management or liquidation (other than pursuant to a
consolidation, amalgamation or merger); (6) seeks or becomes subject to the
appointment of an administrator, provisional liquidator, conservator, receiver,
trustee, custodian or other similar official for it or for all or substantially
all its assets; (7) has a secured party take possession of all or substantially
all its assets or has a distress, execution, attachment, sequestration or
other
legal process levied, enforced or sued on or against all or substantially
all
its assets and such secured party maintains possession, or any such process
is
not dismissed, discharged, stayed or restrained, in each case within 30 days
thereafter; (8) causes or is subject to any event with respect to it which,
under the applicable laws of any jurisdiction, has an analogous effect to
any of
the events specified in clauses (1) to (7) (inclusive); or (9) takes any
action
in furtherance of, or indicating its consent to, approval of, or acquiescence
in, any of the foregoing acts; or
(viii) Merger
Without Assumption. The party or any Credit Support Provider of such party
consolidates or amalgamates with, or merges with or into, or transfers all
or
substantially all its assets to, another entity and, at the time of such
consolidation, amalgamation, merger or transfer: —
(1) the
resulting, surviving or transferee entity fails to assume all the obligations
of
such party or such Credit Support Provider under this Agreement or any Credit
Support Document to which it or its predecessor was a party by operation
of law
or pursuant to an agreement reasonably satisfactory to the other party to
this
Agreement; or
(2) the
benefits of any Credit Support Document fail to extend (without the consent of
the other party) to the performance by such resulting, surviving or transferee
entity of its obligations under this Agreement.
(b) Termination
Events. The occurrence at any time with respect to a party or, if applicable,
any Credit Support Provider of such party or any Specified Entity of such
party
of any event specified below constitutes an Illegality if the event is specified
in (i) below, a Tax Event if the event is specified in (ii) below or a Tax
Event
Upon Merger if the event is specified in (iii) below, and, if specified to
be
applicable, a Credit Event
Upon
Merger if the event is specified pursuant to (iv) below or an Additional
Termination Event if the event is specified pursuant to (v) below:—
(i) Illegality.
Due to the adoption of, or any change in, any applicable law after the date
on
which a Transaction is entered into, or due to the promulgation of, or any
change in, the interpretation by any court, tribunal or regulatory authority
with competent jurisdiction of any applicable law after such date, it becomes
unlawful (other than as a result of a breach by the party of Section 4(b))
for
such party (which will be the Affected Party): —
(1) to
perform any absolute or contingent obligation to make a payment or delivery
or
to receive a payment or delivery in respect of such Transaction or to comply
with any other material provision of this Agreement relating to such
Transaction; or
(2) to
perform, or for any Credit Support Provider of such party to perform, any
contingent or other obligation which the party (or such Credit Support Provider)
has under any Credit Support Document relating to such Transaction;
(ii) Tax
Event. Due to (x) any action taken by a taxing authority, or brought in a
court
of competent jurisdiction, on or after the date on which a Transaction is
entered into (regardless of whether such action is taken or brought with
respect
to a party to this Agreement) or (y) a Change in Tax Law, the party (which
will
be the Affected Party) will, or there is a substantial likelihood that it
will,
on the next succeeding Scheduled Payment Date (1) be required to pay to the
other party an additional amount in respect of an Indemnifiable Tax under
Section 2(d)(i)(4) (except in respect of interest under Section 2(e), 6(d)(ii)
or 6(e)) or (2) receive a payment from which an amount is required to be
deducted or withheld for or on account of a Tax (except in respect of interest
under Section 2(e), 6(d)(ii) or 6(e)) and no additional amount is required
to be
paid in respect of such Tax under Section 2(d)(i)(4) (other than by reason
of
Section 2(d)(i)(4)(A) or (B));
(iii) Tax
Event
Upon Merger. The party (the “Burdened Party”) on the next succeeding Scheduled
Payment Date will either (1) be required to pay an additional amount in respect
of an Indemnifiable Tax under Section 2(d)(i)(4) (except in respect of interest
under Section 2(e), 6(d)(ii) or 6(e)) or (2) receive a payment from which
an
amount has been deducted or withheld for or on account of any Indemnifiable
Tax
in respect of which the other party is not required to pay an additional
amount
(other than by reason of Section 2(d)(i)(4)(A) or (B)), in either case as
a
result of a party consolidating or amalgamating with, or merging with or
into,
or transferring all or substantially all its assets to, another entity (which
will be the Affected Party) where such action does not constitute an event
described in Section 5(a)(viii);
(iv) Credit
Event Upon Merger. If “Credit Event Upon Merger” is specified in the Schedule as
applying to the party, such party (“X”), any Credit Support Provider of X or any
applicable Specified Entity of X consolidates or amalgamates with, or merges
with or into, or transfers all or substantially all its assets to, another
entity and such action does not constitute an event described in Section
5(a)(viii) but the creditworthiness of the resulting, surviving or transferee
entity is materially weaker than that of X, such Credit Support Provider
or such
Specified Entity, as the case may be, immediately prior to such action (and,
in
such event, X or its successor or transferee, as appropriate, will be the
Affected Party); or
(v) Additional
Termination Event. If any “Additional Termination Event” is specified in the
Schedule or any Confirmation as applying, the occurrence of such event (and,
in
such event, the Affected Party or Affected Parties shall be as specified
for
such Additional Termination Event in the Schedule or such
Confirmation).
(c) Event
of
Default and Illegality. If an event or circumstance which would otherwise
constitute or give rise to an Event of Default also constitutes an Illegality,
it will be treated as an Illegality and will not constitute an Event of
Default.
6. Early
Termination
(a) Right
to
Terminate Following Event of Default. If at any time an Event of Default
with
respect to a party (the “Defaulting Party”) has occurred and is then continuing,
the other party (the “Non-defaulting Party”) may, by not more than 20 days
notice to the Defaulting Party specifying the relevant Event of Default,
designate a day not earlier than the day such notice is effective as an Early
Termination Date in respect of all outstanding Transactions. If, however,
“Automatic Early Termination” is specified in the Schedule as applying to a
party, then an Early Termination Date in respect of all outstanding Transactions
will occur immediately upon the occurrence with respect to such party of
an
Event of Default specified in Section 5(a)(vii)(1), (3), (5), (6) or, to
the
extent analogous thereto, (8), and as of the time immediately preceding the
institution of the relevant proceeding or the presentation of the relevant
petition upon the occurrence with respect to such party of an Event of Default
specified in Section 5(a)(vii)(4) or, to the extent analogous thereto,
(8).
(b) Right
to
Terminate Following Termination Event.
(i) Notice.
If a Termination Event occurs, an Affected Party will, promptly upon becoming
aware of it, notify the other party, specifying the nature of that Termination
Event and each Affected Transaction and will also give such other information
about that Termination Event as the other party may reasonably
require.
(ii) Transfer
to Avoid Termination Event. If either an Illegality under Section 5(b)(i)(1)
or
a Tax Event occurs and there is only one Affected Party, or if a Tax Event
Upon
Merger occurs and the Burdened Party is the Affected Party, the Affected
Party
will, as a condition to its right to designate an Early Termination Date
under
Section 6(b)(iv), use all reasonable efforts (which will not require such
party
to incur a loss, excluding immaterial, incidental expenses) to transfer within
20 days after it gives notice under Section 6(b)(i) all its rights and
obligations under this Agreement in respect of the Affected Transactions
to
another of its Offices or Affiliates so that such Termination Event ceases
to
exist.
If
the
Affected Party is not able to make such a transfer it will give notice to
the
other party to that effect within such 20 day period, whereupon the other
party
may effect such a transfer within 30 days after the notice is given under
Section 6(b)(i).
Any
such
transfer by a party under this Section 6(b)(ii) will be subject to and
conditional upon the prior written consent of the other party, which consent
will not be withheld if such other party’s policies in effect at such time would
permit it to enter into transactions with the transferee on the terms
proposed.
(iii) Two
Affected Parties. If an Illegality under Section 5(b)(i)(1) or a Tax Event
occurs and there are two Affected Parties, each party will use all reasonable
efforts to reach agreement within 30 days after notice thereof is given under
Section 6(b)(i) on action to avoid that Termination Event.
(iv) Right
to
Terminate. If: —
(1) a
transfer under Section 6(b)(ii) or an agreement under Section 6(b)(iii),
as the
case may be, has not been effected with respect to all Affected Transactions
within 30 days after an Affected Party gives notice under Section 6(b)(i);
or
(2) an
Illegality under Section 5(b)(i)(2), a Credit Event Upon Merger or an Additional
Termination Event occurs, or a Tax Event Upon Merger occurs and the Burdened
Party is not the Affected Party,
either
party in the case of an Illegality, the Burdened Party in the case of a Tax
Event Upon Merger, any Affected Party in the case of a Tax Event or an
Additional Termination Event if there is more than one Affected Party, or
the
party which is not the Affected Party in the case of a Credit Event Upon
Merger
or an Additional Termination Event if there is only one Affected Party may,
by
not more than 20 days notice to the other party and provided that the relevant
Termination Event is then continuing, designate a day not earlier than the
day
such notice is effective as an Early Termination Date in respect of all Affected
Transactions.
(c) Effect
of
Designation.
(i) If
notice
designating an Early Termination Date is given under Section 6(a) or (b),
the
Early Termination Date will occur on the date so designated, whether or not
the
relevant Event of Default or Termination Event is then continuing.
(ii) Upon
the
occurrence or effective designation of an Early Termination Date, no further
payments or deliveries under Section 2(a)(i) or 2(e) in respect of the
Terminated Transactions will be required to be made, but without prejudice
to
the other provisions of this Agreement. The amount, if any, payable in respect
of an Early Termination Date shall be determined pursuant to Section
6(e).
(d) Calculations.
(i) Statement.
On or as soon as reasonably practicable following the occurrence of an Early
Termination Date, each party will make the calculations on its part, if any,
contemplated by Section 6(e) and will provide to the other party a statement
(1)
showing, in reasonable detail, such calculations (including all relevant
quotations and specifying any amount payable under Section 6(e)) and (2)
giving
details of the relevant account to which any amount payable to it is to be
paid.
In the absence of written confirmation from the source of a quotation obtained
in determining a Market Quotation, the records of the party obtaining such
quotation will be conclusive evidence of the existence and accuracy of such
quotation.
(ii) Payment
Date. An amount calculated as being due in respect of any Early Termination
Date
under Section 6(e) will be payable on the day that notice of the amount payable
is effective (in the case of an Early Termination Date which is designated
or
occurs as a result of an Event of Default) and on the day which is two Local
Business Days after the day on which notice of the amount payable is effective
(in the case of an Early Termination Date which is designated as a result
of a
Termination Event). Such amount will be paid together with (to the extent
permitted under applicable law) interest thereon (before as well as after
judgment) in the Termination Currency, from (and including) the relevant
Early
Termination Date to (but excluding) the date such amount is paid, at the
Applicable Rate. Such interest will be calculated on the basis of daily
compounding and the actual number of days elapsed.
(e) Payments
on Early Termination. If an Early Termination Date occurs, the following
provisions shall apply based on the parties’ election in the Schedule of a
payment measure, either “Market Quotation” or “Loss”, and a payment method,
either the “First Method” or the “Second Method”. If the parties fail to
designate a payment measure or payment method in the Schedule, it will be
deemed
that “Market Quotation” or the “Second Method”, as the case may be, shall apply.
The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off.
(i) Events
of
Default. If the Early Termination Date results from an Event of Default:
—
(1) First
Method and Market Quotation. If the First Method and Market Quotation apply,
the
Defaulting Party will pay to the Non-defaulting Party the excess, if a positive
number, of (A) the sum of the Settlement Amount (determined by the
Non-defaulting Party) in respect of the Terminated Transactions and the
Termination Currency Equivalent of the Unpaid Amounts owing to the
Non-defaulting Party over (B) the Termination Currency Equivalent of the
Unpaid
Amounts owing to the Defaulting Party.
(2) First
Method and Loss. If the First Method and Loss apply, the Defaulting Party
will
pay to the Non-defaulting Party, if a positive number, the Non-defaulting
Party’s Loss in respect of this Agreement.
(3) Second
Method and Market Quotation. If the Second Method and Market Quotation apply,
an
amount will be payable equal to (A) the sum of the Settlement Amount (determined
by the Non-defaulting Party) in respect of the Terminated Transactions and
the
Termination Currency Equivalent of the Unpaid Amounts owing to the
Non-defaulting Party less (B) the Termination Currency Equivalent of the
Unpaid
Amounts owing to the Defaulting Party. If that amount is a positive number,
the
Defaulting Party will pay it to the Non-defaulting Party; if it is a negative
number, the Non-defaulting Party will pay the absolute value of that amount
to
the Defaulting Party.
(4) Second
Method and Loss. If the Second Method and Loss apply, an amount will be payable
equal to the Non-defaulting Party’s Loss in respect of this Agreement. If that
amount is a positive number, the Defaulting Party will pay it to the
Non-defaulting Party; if it is a negative number, the Non-defaulting Party
will
pay the absolute value of that amount to the Defaulting Party.
(ii) Termination
Events. If the Early Termination Date results from a Termination Event:
—
(1) One
Affected Party. If there is one Affected Party, the amount payable will be
determined in accordance with Section 6(e)(i)(3), if Market Quotation applies,
or Section 6(e)(i)(4), if Loss applies, except that, in either case, references
to the Defaulting Party and to the Non-defaulting Party will be deemed to
be
references to the Affected Party and the party which is not the Affected
Party,
respectively, and, if Loss applies and fewer than all the Transactions are
being
terminated, Loss shall be calculated in respect of all Terminated
Transactions.
(2) Two
Affected Parties. If there are two Affected Parties: —
(A) if
Market
Quotation applies, each party will determine a Settlement Amount in respect
of
the Terminated Transactions, and an amount will be payable equal to (I) the
sum
of (a) one-half of the difference between the Settlement Amount of the party
with the higher Settlement Amount (“X”) and the Settlement Amount of the party
with the lower Settlement Amount (“Y”) and (b) the Termination Currency
Equivalent of the Unpaid Amounts owing to X less (II) the Termination Currency
Equivalent of the Unpaid Amounts owing to Y; and
(B) if
Loss
applies, each party will determine its Loss in respect of this Agreement
(or, if
fewer than all the Transactions are being terminated, in respect of all
Terminated Transactions) and an amount will be payable equal to one-half
of the
difference between the Loss of the party with the higher Loss (“X”) and the Loss
of the party with the lower Loss (“Y”).
If
the
amount payable is a positive number, Y will pay it to X; if it is a negative
number, X will pay the absolute value of that amount to Y.
(iii) Adjustment
for Bankruptcy. In circumstances where an Early Termination Date occurs because
“Automatic Early Termination” applies in respect of a party, the amount
determined under this Section 6(e) will be subject to such adjustments as
are
appropriate and permitted by law to reflect any payments or deliveries made
by
one party to the other under this Agreement (and retained by such other party)
during the period from the relevant Early Termination Date to the date for
payment determined under Section 6(d)(ii).
(iv) Pre-Estimate.
The parties agree that if Market Quotation applies an amount recoverable
under
this Section 6(e) is a reasonable pre-estimate of loss and not a penalty.
Such
amount is payable for the loss of bargain and the loss of protection against
future risks and except as otherwise provided in this Agreement neither party
will be entitled to recover any additional damages as a consequence of such
losses.
7. Transfer
Subject
to Section 6(b)(ii), neither this Agreement nor any interest or obligation
in or
under this Agreement may be transferred (whether by way of security or
otherwise) by either party without the prior written consent of the other
party,
except that: —
(a) a
party
may make such a transfer of this Agreement pursuant to a consolidation or
amalgamation with, or merger with or into, or transfer of all or substantially
all its assets to, another entity (but without prejudice to any other right
or
remedy under this Agreement); and
(b) a
party
may make such a transfer of all or any part of its interest in any amount
payable to it from a Defaulting Party under Section 6(e). Any purported transfer
that is not in compliance with this Section will be void.
8. Contractual
Currency
(a) Payment
in the Contractual Currency. Each payment under this Agreement will be made
in
the relevant currency specified in this Agreement for that payment (the
“Contractual Currency”). To the extent permitted by applicable law, any
obligation to make payments under this Agreement in the Contractual Currency
will not be discharged or satisfied by any tender in any currency other than
the
Contractual Currency, except to the extent such tender results in the actual
receipt by the party to which payment is owed, acting in a reasonable manner
and
in good faith in converting the currency so tendered into the Contractual
Currency, of the full amount in the Contractual Currency of all amounts payable
in respect of this Agreement. If for any reason the amount in the Contractual
Currency so received falls short of the amount in the Contractual Currency
payable in respect of this Agreement, the party required to make the payment
will, to the extent permitted by applicable law, immediately pay such additional
amount in the Contractual Currency as may be necessary to compensate for
the
shortfall. If for any reason the amount in the Contractual Currency so received
exceeds the amount in the Contractual Currency payable in respect of this
Agreement, the party receiving the payment will refund promptly the amount
of
such excess.
(b) Judgments.
To the extent permitted by applicable law, if any judgment or order expressed
in
a currency other than the Contractual Currency is rendered (i) for the payment
of any amount owing in respect of this Agreement, (ii) for the payment of
any
amount relating to any early termination in respect of this Agreement or
(iii)
in respect of a judgment or order of another court for the payment of any
amount
described in (i) or (ii) above, the party seeking recovery, after recovery
in
full of the aggregate amount to which such party is entitled pursuant to
the
judgment or order, will be entitled to receive immediately from the other
party
the amount of any shortfall of the Contractual Currency received by such
party
as a consequence of sums paid in such other currency and will refund promptly
to
the other party any excess of the Contractual Currency received by such party
as
a consequence of sums paid in such other currency if such shortfall or such
excess arises or results from any variation between the rate of exchange
at
which the Contractual Currency is converted into the currency of the judgment
or
order for the purposes of such judgment or order and the rate of exchange
at
which such party is able, acting in a reasonable manner and in good faith
in
converting the currency received into the Contractual Currency, to purchase
the
Contractual Currency with the amount of the currency of the judgment or order
actually received by such party. The term “rate of exchange” includes, without
limitation, any premiums and costs of exchange payable in connection with
the
purchase of or conversion into the Contractual Currency.
(c) Separate
Indemnities. To the extent permitted by applicable law, these indemnities
constitute separate and independent obligations from the other obligations
in
this Agreement, will be enforceable as separate and independent causes of
action, will apply notwithstanding any indulgence granted by the party to
which
any payment is owed and will not be affected by judgment being obtained or
claim
or proof being made for any other sums payable in respect of this
Agreement.
(d) Evidence
of Loss. For tbe purpose of this Section 8, it will be sufficient for a party
to
demonstrate that it would have suffered a loss had an actual exchange or
purchase been made.
9. Miscellaneous
(a) Entire
Agreement. This Agreement constitutes the entire agreement and understanding
of
the parties with respect to its subject matter and supersedes all oral
communication and prior writings with respect thereto.
(b) Amendments.
No amendment, modification or waiver in respect of this Agreement will be
effective unless in writing (including a writing evidenced by a facsimile
transmission) and executed by each of the parties or confirmed by an exchange
of
telexes or electronic messages on an electronic messaging system.
(c) Survival
of Obligations. Without prejudice to Sections 2(a)(iii) and 6(c)(ii), the
obligations of the parties under this Agreement will survive the termination
of
any Transaction.
(d) Remedies
Cumulative. Except as provided in this Agreement, the rights, powers, remedies
and privileges provided in this Agreement are cumulative and not exclusive
of
any rights, powers, remedies and privileges provided by law.
(e) Counterparts
and Confirmations.
(i) This
Agreement (and each amendment, modification and waiver in respect of it)
may be
executed and delivered in counterparts (including by facsimile transmission),
each of which will be deemed an original.
(ii) The
parties intend that they are legally bound by the terms of each Transaction
from
the moment they agree to those terms (whether orally or otherwise). A
Confirmation shall he entered into as soon as practicable and may he executed
and delivered in counterparts (including by facsimile transmission) or be
created by an exchange of telexes or by an exchange of electronic messages
on an
electronic messaging system, which in each case will be sufficient for all
purposes to evidence a binding supplement to this Agreement. The parties
will
specify therein or through another effective means that any such counterpart,
telex or electronic message constitutes a Confirmation.
(f) No
Waiver
of Rights. A failure or delay in exercising any right, power or privilege
in
respect of this Agreement will not be presumed to operate as a waiver, and
a
single or partial exercise of any right, power or privilege will not be presumed
to preclude any subsequent or further exercise, of that right, power or
privilege or the exercise of any other right, power or privilege.
(g) Headings.
The headings used in this Agreement are for convenience of reference only
and
are not to affect the construction of or to be taken into consideration in
interpreting this Agreement.
10. Offices;
Multibranch Parties
(a) If
Section 10(a) is specified in the Schedule as applying, each party that enters
into a Transaction through an Office other than its head or home office
represents to the other party that, notwithstanding the place of booking
office
or jurisdiction of incorporation or organisation of such party, the obligations
of such party are the same as if it had entered into the Transaction through
its
head or home office. This representation will be deemed to be repeated by
such
party on each date on which a Transaction is entered into.
(b) Neither
party may change the Office through which it makes and receives payments
or
deliveries for the purpose of a Transaction without the prior written consent
of
the other party.
(c) If
a
party is specified as a Multibranch Party in the Schedule, such Multibranch
Party may make and receive payments or deliveries under any Transaction through
any Office listed in the Schedule, and the Office through which it makes
and
receives payments or deliveries with respect to a Transaction will be specified
in the relevant Confirmation.
11. Expenses
A
Defaulting Party will, on demand, indemnify and hold harmless the other party
for and against all reasonable out-of-pocket expenses, including legal fees
and
Stamp Tax, incurred by such other party by reason of the enforcement and
protection of its rights under this Agreement or any Credit Support Document
to
which the Defaulting Party is a party or by reason of the early termination
of
any Transaction, including, but not limited to, costs of
collection.
12. Notices
(a) Effectiveness.
Any notice or other communication in respect of this Agreement may be given
in
any manner set forth below (except that a notice or other communication under
Section 5 or 6 may not be given by facsimile transmission or electronic
messaging system) to the address or number or in accordance with the electronic
messaging system details provided (see the Schedule) and will be deemed
effective as indicated:—
(i) if
in
writing and delivered in person or by courier, on the date it is
delivered;
(ii) if
sent
by telex, on the date the recipient’s answerback is received;
(iii) if
sent
by facsimile transmission, on the date that transmission is received by a
responsible employee of the recipient in legible form (it being agreed that
the
burden of proving receipt will be on the sender and will not be met by a
transmission report generated by the sender’s facsimile machine);
(iv) if
sent
by certified or registered mail (airmail, if overseas) or the equivalent
(return
receipt requested), on the date that mail is delivered or its delivery is
attempted; or
(v) if
sent
by electronic messaging system, on the date that electronic message is
received,
unless
the date of that delivery (or attempted delivery) or that receipt, as
applicable, is not a Local Business Day or that communication is delivered
(or
attempted) or received, as applicable, after the close of business on a Local
Business Day, in which case that communication shall be deemed given and
effective on the first following day that is a Local Business Day.
(b) Change
of
Addresses. Either party may by notice to the other change the address, telex
or
facsimile number or electronic messaging system details at which notices
or
other communications are to be given to it.
13. Governing
Law and Jurisdiction
(a) Governing
Law. This Agreement will be governed by and construed in accordance with
the law
specified in the Schedule.
(b) Jurisdiction.
With respect to any suit, action or proceedings relating to this Agreement
(“Proceedings”), each party irrevocably:—
(i) submits
to the jurisdiction of the English courts, if this Agreement is expressed
to be
governed by English law, or to the non-exclusive jurisdiction of the courts
of
the State of New York and the United States District Court located in the
Borough of Manhattan in New York City, if this Agreement is expressed to
be
governed by the laws of the State of New York; and
(ii) waives
any objection which it may have at any time to the laying of venue of any
Proceedings brought in any such court, waives any claim that such Proceedings
have been brought in an inconvenient forum and further waives the right to
object, with respect to such Proceedings, that such court does not have any
jurisdiction over such party.
Nothing
in this Agreement precludes either party from bringing Proceedings in any
other
jurisdiction (outside, if this Agreement is expressed to be governed by English
law, the Contracting States, as defined in Section 1(3) of the Civil
Jurisdiction and Judgments Xxx 0000 or any modification, extension or
re-enactment thereof for the time being in force) nor will the bringing of
Proceedings in any one or more jurisdictions preclude the bringing of
Proceedings in any other jurisdiction.
(c) Service
of Process. Each party irrevocably appoints the Process Agent (if any) specified
opposite its name in the Schedule to receive, for it and on its behalf, service
of process in any Proceedings. If for any reason any party’s Process Agent is
unable to act as such, such party will promptly notify the other party and
within 30 days appoint a substitute process agent acceptable to the other
party.
The parties irrevocably consent to service of process given in the manner
provided for notices in Section 12. Nothing in this Agreement will affect
the
right of either party to serve process in any other manner permitted by
law.
(d) Waiver
of
Immunities. Each party irrevocably waives, to the fullest extent permitted
by
applicable law, with respect to itself and its revenues and assets (irrespective
of their use or intended use), all immunity on the grounds of sovereignty
or
other similar grounds from (i) suit, (ii) jurisdiction of any court, (iii)
relief by way of injunction, order for specific performance or for recovery
of
property, (iv) attachment of its assets (whether before or after judgment)
and
(v) execution or enforcement of any judgment to which it or its revenues
or
assets might otherwise be entitled in any Proceedings in the courts of any
jurisdiction and irrevocably agrees, to the extent permitted by applicable
law,
that it will not claim any such immunity in any Proceedings.
14. Definitions
As
used
in this Agreement:—
“Additional
Termination Event” has the meaning specified in Section 5(b).
“Affected
Party” has the meaning specified in Section 5(b).
“Affected
Transactions” means (a) with respect to any Termination Event consisting of an
Illegality, Tax Event or Tax Event Upon Merger, all Transactions affected
by the
occurrence of such Termination Event and (b) with respect to any other
Termination Event, all Transactions.
“Affiliate”
means, subject to the Schedule, in relation to any person, any entity
controlled, directly or indirectly, by the person, any entity that controls,
directly or indirectly, the person or any entity directly or indirectly under
common control with the person. For this purpose, “control” of any entity or
person means ownership of a majority of the voting power of the entity or
person.
“Applicable
Rate” means:—
(a) in
respect of obligations payable or deliverable (or which would have been but
for
Section 2(a)(iii)) by a Defaulting Party, the Default Rate;
(b) in
respect of an obligation to pay an amount under Section 6(e) of either party
from and after the date (determined in accordance with Section 6(d)(ii))
on
which that amount is payable, the Default Rate;
(c) in
respect of all other obligations payable or deliverable (or which would have
been but for Section 2(a)(iii)) by a Non-defaulting Party, the Non-default
Rate;
and
(d) in
all
other cases, the Termination Rate.
“Burdened
Party” has the meaning specified in Section 5(b).
“Change
in Tax Law” means the enactment, promulgation, execution or ratification of, or
any change in or amendment to, any law (or in the application or official
interpretation of any law) that occurs on or after the date on which the
relevant Transaction is entered into.
“consent”
includes a consent, approval, action, authorisation, exemption, notice, filing,
registration or exchange control consent.
“Credit
Event Upon Merger” has the meaning specified in Section 5(b).
“Credit
Support Document” means any agreement or instrument that is specified as such in
this Agreement.
“Credit
Support Provider” has the meaning specified in the Schedule.
“Default
Rate” means a rate per annum equal to the cost (without proof or evidence of any
actual cost) to the relevant payee (as certified by it) if it were to fund
or of
funding the relevant amount plus 1% per annum.
“Defaulting
Party” has the meaning specified in Section 6(a).
“Early
Termination Date” means the date determined in accordance with Section 6(a) or
6(b)(iv).
“Event
of
Default” has the meaning specified in Section 5(a) and, if applicable, in the
Schedule.
“Illegality”
has the meaning specified in Section 5(b).
“Indemnifiable
Tax” means any Tax other than a Tax that would not be imposed in respect of a
payment under this Agreement but for a present or former connection between
the
jurisdiction of the government or taxation authority imposing such Tax and
the
recipient of such payment or a person related to such recipient (including,
without limitation, a connection arising from such recipient or related person
being or having been a citizen or resident of such jurisdiction, or being
or
having been organised, present or engaged in a trade or business in such
jurisdiction, or having or having had a permanent establishment or fixed
place
of business in such jurisdiction, but excluding a connection arising solely
from
such recipient or related person having executed, delivered, performed its
obligations or received a payment under, or enforced, this Agreement or a
Credit
Support Document).
“law”
includes any treaty, law, rule or regulation (as modified, in the case of
tax
matters, by the practice of any relevant governmental revenue authority)
and
“lawful” and “unlawful” will be construed accordingly.
“Local
Business Day” means, subject to the Schedule, a day on which commercial banks
are open for business (including dealings in foreign exchange and foreign
currency deposits) (a) in relation to any obligation under Section 2(a)(i),
in
the place(s) specified in the relevant Confirmation or, if not so specified,
as
otherwise agreed by the parties in writing or determined pursuant to provisions
contained, or incorporated by reference, in this Agreement, (b) in relation
to
any other payment, in the place where the relevant account is located and,
if
different, in the principal financial centre, if any, of the currency of
such
payment, (c) in relation to any notice or other communication, including
notice
contemplated under Section 5(a)(i), in the city specified in the address
for
notice provided by the recipient and, in the case of a notice contemplated
by
Section 2(b), in the place where the relevant new account is to be located
and
(d) in relation to Section 5(a)(v)(2), in the relevant locations for performance
with respect to such Specified Transaction.
“Loss”
means, with respect to this Agreement or one or more Terminated Transactions,
as
the case may be, and a party, the Termination Currency Equivalent of an amount
that party reasonably determines in good faith to be its total losses and
costs
(or gain, in which case expressed as a negative number) in connection with
this
Agreement or that Terminated Transaction or group of Terminated Transactions,
as
the case may be, including any loss of bargain, cost of funding or, at the
election of such party but without duplication, loss or cost incurred as
a
result of its terminating, liquidating, obtaining or reestablishing any hedge
or
related trading position (or any gain resulting from any of them). Loss includes
losses and costs (or gains) in respect of any payment or delivery required
to
have been made (assuming satisfaction of each applicable condition precedent)
on
or before the relevant Early Termination Date and not made, except, so as
to
avoid duplication, if Section 6(e)(i)(1) or (3) or 6(e)(ii)(2)(A) applies.
Loss
does not include a party’s legal fees and out-of-pocket expenses referred to
under Section 11. A party will determine its Loss as of the relevant Early
Termination Date, or, if that is not reasonably practicable, as of the earliest
date thereafter as is reasonably practicable. A party may (but need not)
determine its Loss by reference to quotations of relevant rates or prices
from
one or more leading dealers in the relevant markets.
“Market
Quotation” means, with respect to one or more Terminated Transactions and a
party making the determination, an amount determined on the basis of quotations
from Reference Market-makers. Each quotation will be for an amount, if any,
that
would be paid to such party (expressed as a negative number) or by such party
(expressed as a positive number) in consideration of an agreement between
such
party (taking into account any existing Credit Support Document with respect
to
the obligations of such party) and the quoting Reference Market-maker to
enter
into a transaction (the “Replacement Transaction”) that would have the effect of
preserving for such party the economic equivalent of any payment or delivery
(whether the underlying obligation was absolute or contingent and assuming
the
satisfaction of each applicable condition precedent) by the parties under
Section 2(a)(i) in respect of such Terminated Transaction or group of Terminated
Transactions that would, but for the occurrence of the relevant Early
Termination Date, have 15 ISDAÒ 1992 been required after that date. For this
purpose, Unpaid Amounts in respect of the Terminated Transaction or group
of
Terminated Transactions are to be excluded but, without limitation, any payment
or delivery that would, but for the relevant Early Termination Date, have
been
required (assuming satisfaction of each applicable condition precedent) after
that Early Termination Date is to be included. The Replacement Transaction
would
be subject to such documentation as such party and the Reference Market-maker
may, in good faith, agree. The party making the determination (or its agent)
will request each Reference Market-maker to provide its quotation to the
extent
reasonably practicable as of the same day and time (without regard to different
time zones) on or as soon as reasonably practicable after the relevant Early
Termination Date. The day and time as of which those quotations are to be
obtained will be selected in good faith by the party obliged to make a
determination under Section 6(e), and, if each party is so obliged, after
consultation with the other. If more than three quotations are provided,
the
Market Quotation will be the arithmetic mean of the quotations, without regard
to the quotations having the highest and lowest values. If exactly three
such
quotations are provided, the Market Quotation will be the quotation remaining
after disregarding the highest and lowest quotations. For this purpose, if
more
than one quotation has the same highest value or lowest value, then one of
such
quotations shall be disregarded. If fewer than three quotations are provided,
it
will be deemed that the Market Quotation in respect of such Terminated
Transaction or group of Terminated Transactions cannot be
determined.
“Non-default
Rate” means a rate per annum equal to the cost (without proof or evidence of any
actual cost) to the Non-defaulting Party (as certified by it) if it were
to fund
the relevant amount.
“Non-defaulting
Party” has the meaning specified in Section 6(a).
“Office”
means a branch or office of a party, which may be such party’s head or home
office.
“Potential
Event of Default” means any event which, with the giving of notice or the lapse
of time or both, would constitute an Event of Default.
“Reference
Market-makers” means four leading dealers in the relevant market selected by the
party determining a Market Quotation in good faith (a) from among dealers
of the
highest credit standing which satisfy all the criteria that such party applies
generally at the time in deciding whether to offer or to make an extension
of
credit and (b) to the extent practicable, from among such dealers having
an
office in the same city.
“Relevant
Jurisdiction” means, with respect to a party, the jurisdictions (a) in which the
party is incorporated, organised, managed and controlled or considered to
have
its seat, (b) where an Office through which the party is acting for purposes
of
this Agreement is located, (c) in which the party executes this Agreement
and
(d) in relation to any payment, from or through which such payment is
made.
“Scheduled
Payment Date” means a date on which a payment or delivery is to be made under
Section 2(a)(i) with respect to a Transaction.
“Set-off”
means set-off, offset, combination of accounts, right of retention or
withholding or similar right or requirement to which the payer of an amount
under Section 6 is entitled or subject (whether arising under this Agreement,
another contract, applicable law or otherwise) that is exercised by, or imposed
on, such payer.
“Settlement
Amount” means, with respect to a party and any Early Termination Date, the sum
of: —
(a) the
Termination Currency Equivalent of the Market Quotations (whether positive
or
negative) for each Terminated Transaction or group of Terminated Transactions
for which a Market Quotation is determined; and
(b)
such
party’s Loss (whether positive or negative and without reference to any Unpaid
Amounts) for each Terminated Transaction or group of Terminated Transactions
for
which a Market Quotation cannot be determined or would not (in the reasonable
belief of the party making the determination) produce a commercially reasonable
result.
“Specified
Entity” has the meanings specified in the Schedule.
“Specified
Indebtedness” means, subject to the Schedule, any obligation (whether present or
future, contingent or otherwise, as principal or surety or otherwise) in
respect
of borrowed money.
“Specified
Transaction” means, subject to the Schedule, (a) any transaction (including an
agreement with respect thereto) now existing or hereafter entered into between
one party to this Agreement (or any Credit Support Provider of such party
or any
applicable Specified Entity of such party) and the other party to this Agreement
(or any Credit Support Provider of such other party or any applicable Specified
Entity of such other party) which is a rate swap transaction, basis swap,
forward rate transaction, commodity swap, commodity option, equity or equity
index swap, equity or equity index option, bond option, interest rate option,
foreign exchange transaction, cap transaction, floor transaction, collar
transaction, currency swap transaction, cross-currency rate swap transaction,
currency option or any other similar transaction (including any option with
respect to any of these transactions), (b) any combination of these transactions
and (c) any other transaction identified as a Specified Transaction in this
Agreement or the relevant confirmation.
“Stamp
Tax” means any stamp, registration, documentation or similar tax.
“Tax”
means any present or future tax, levy, impost, duty, charge, assessment or
fee
of any nature (including interest, penalties and additions thereto) that
is
imposed by any government or other taxing authority in respect of any payment
under this Agreement other than a stamp, registration, documentation or similar
tax.
“Tax
Event” has the meaning specified in Section 5(b).
“Tax
Event Upon Merger” has the meaning specified in Section 5(b).
“Terminated
Transactions” means with respect to any Early Termination Date (a) if resulting
from a Termination Event, all Affected Transactions and (b) if resulting
from an
Event of Default, all Transactions (in either case) in effect immediately
before
the effectiveness of the notice designating that Early Termination Date (or,
if
“Automatic Early Termination” applies, immediately before that Early Termination
Date).
“Termination
Currency” has the meaning specified in the Schedule.
“Termination
Currency Equivalent” means, in respect of any amount denominated in the
Termination Currency, such Termination Currency amount and, in respect of
any
amount denominated in a currency other than the Termination Currency (the
“Other
Currency”), the amount in the Termination Currency determined by the party
making the relevant determination as being required to purchase such amount
of
such Other Currency as at the relevant Early Termination Date, or, if the
relevant Market Quotation or Loss (as the case may be), is determined as
of a
later date, that later date, with the Termination Currency at the rate equal
to
the spot exchange rate of the foreign exchange agent (selected as provided
below) for the purchase of such Other Currency with the Termination Currency
at
or about 11:00 a.m. (in the city in which such foreign exchange agent is
located) on such date as would be customary for the determination of such
a rate
for the purchase of such Other Currency for value on the relevant Early
Termination Date or that later date. The foreign exchange agent will, if
only
one party is obliged to make a determination under Section 6(e), be selected
in
good faith by that party and otherwise will be agreed by the
parties.
“Termination
Event” means an Illegality, a Tax Event or a Tax Event Upon Merger or, if
specified to be applicable, a Credit Event Upon Merger or an Additional
Termination Event.
“Termination
Rate” means a rate per annum equal to the arithmetic mean of the cost (without
proof or evidence of any actual cost) to each party (as certified by such
party)
if it were to fund or of funding such amounts.
“Unpaid
Amounts” owing to any party means, with respect to an Early Termination Date,
the aggregate of (a) in respect of all Terminated Transactions, the amounts
that
became payable (or that would have become payable but for Section 2(a)(iii))
to
such party under Section 2(a)(i) on or prior to such Early Termination Date
and
which remain unpaid as at such Early Termination Date and (b) in respect
of each
Terminated Transaction, for each obligation under Section 2(a)(i) which was
(or
would have been but for Section 2(a)(iii)) required to be settled by delivery
to
such party on or prior to such Early Termination Date and which has not been
so
settled as at such Early Termination Date, an amount equal to the fair market
value of that which was (or would have been) required to be delivered as
of the
originally scheduled date for delivery, in each case together with (to the
extent permitted under applicable law) interest, in the currency of such
amounts, from (and including) the date such amounts or obligations were or
would
have been required to have been paid or performed to (but excluding) such
Early
Termination Date, at the Applicable Rate. Such amounts of interest will be
calculated on the basis of daily compounding and the actual number of days
elapsed. The fair market value of any obligation referred to in clause (b)
above
shall be reasonably determined by the party obliged to make the determination
under Section 6(e) or, if each party is so obliged, it shall be the average
of
the Termination Currency Equivalents of the fair market values reasonably
determined by both parties.
IN
WITNESS WHEREOF the parties have executed this document on the respective
dates
specified below with effect from the date specified on the first page of
this
document.
|
WACHOVIA
BANK, N.A.
|
SUPPLEMENTAL
INTEREST TRUST, STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE
LOAN
TRUST 2006-S3
|
|
|
(Name
of Party)
|
(Name
of Party)
|
|
|
By:
CITIBANK, N.A., not in its individual capacity, but solely as
Trustee
|
||
|
/s/
Xxx X. Xxxx
|
/s/
Xxxxx Xxxxxxxx
|
|
|
Name:
Xxx X. Xxxx
|
Name:
Xxxxx Xxxxxxxx
|
|
|
Title:
Director
|
Title:
Vice President
|
|
|
Date:
August 30, 2006
|
Date:
August 30, 2006
|
(Multicurrency
- Cross Border)
ISDAâ
International
Swaps
and
Derivatives
Association, Inc.
SCHEDULE
to
the
dated
as
of August
30, 2006
between
|
WACHOVIA
BANK, N.A.
|
and
|
SUPPLEMENTAL
INTEREST TRUST,
STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST 2006-S3 |
|
(“Party
A”)
|
(“Party
B”)
|
Part
1. Termination Provisions.
|
(a)
|
“Specified
Entity”
means in relation to Party A for the purpose
of:
|
Section
5(a)(v), not applicable
Section
5(a)(vi), not applicable
Section
5(a)(vii), not applicable
Section
5(b)(iv), not applicable
and
in
relation to Party B for the purpose of:
Section
5(a)(v), not applicable
Section
5(a)(vi), not applicable
Section
5(a)(vii), not applicable
Section
5(b)(iv), not applicable
|
(b)
|
“Specified
Transaction”
will have the meaning specified in Section 14 of this
Agreement.
|
|
(c)
|
Certain
Events of Default.
The following Events of Default will apply to the parties as specified
below, and the definition of “Event of Default” in Section 14 is deemed to
be modified accordingly:
|
Section
5(a)(i) (Failure
to Pay or Deliver)
will
apply to Party A and Party B.
Section
5(a)(ii) (Breach
of Agreement)
will
not apply to Party A or Party B.
Section
5(a)(iii) (Credit
Support Default)
will
not apply to Party A or Party B.
Section
5(a)(iv) (Misrepresentation)
will
not apply to Party A or Party B.
Section
5(a)(v) (Default
under Specified Transaction)
will
not apply to Party A or Party B.
Section
5(a)(vi) (Cross
Default)
will
not apply to Party A or Party B.
Section
5(a)(vii) (Bankruptcy)
will
apply to Party A and Party B; provided
that
clause (2) thereof shall not apply to Party B.
Section
5(a)(viii) (Merger
without Assumption)
will
apply to Party A and Party B.
|
(d)
|
Termination
Events.
The following Termination Events will apply to the parties as specified
below:
|
Section
5(b)(i) (Illegality)
will
apply to Party A and Party B.
Section
5(b)(ii) (Tax
Event)
will
apply to Party A and Party B.
Section
5(b)(iii) (Tax
Event upon Merger)
will
apply to Party A and Party B.
Section
5(b)(iv) (Credit
Event upon Merger)
will
not apply to Party A or Party B.
|
(e)
|
The
“Automatic
Early Termination”
provision of Section 6(a) of this Agreement will not apply to Party
A and
will not apply to Party B.
|
|
(f)
|
Payments
on Early Termination.
For the purpose of Section 6(e) of this
Agreement:
|
| (i) |
Market
Quotation will apply.
|
| (ii) |
The
Second Method will apply.
|
|
(g)
|
“Termination
Currency”
means United States Dollars.
|
|
(h)
|
Additional
Termination Events.
The following Additional Termination Events will apply, in each
case with
respect to Party B as the sole Affected Party (unless otherwise
provided
below):
|
|
(i)
|
Party
A fails to comply with the Downgrade Provisions as set forth in
Part 5(b),
after giving effect to all grace or cure periods therein. For all
purposes
of this Agreement, Party A shall be the sole Affected Party with
respect
to the occurrence of a Termination Event described in this Part
1(h)(i).
|
|
(ii)
|
Party
B or the Trust Fund (as defined in the Trust Agreement, dated as
of August
1, 2006, among Citibank, N.A. (the Trustee),
Xxxxxxx Fixed Income Services Inc., Structured Asset Securities
Corporation and Aurora Loan Services LLC (the Trust
Agreement))
is terminated.
|
|
(iii)
|
The
Trust Agreement is amended or modified without the prior written
consent
of Party A, where such consent is required under the terms of the
Trust
Agreement.
|
|
(iv)
|
The
Class Principal Amounts of the Offered Certificates and the Class
B
Certificates are reduced to zero.
|
|
(v)
|
Notice
of the Master Servicer’s or, the NIMS Insurer’s intention to exercise its
option to purchase the Mortgage Loans pursuant to Section 7.01
of the
Trust Agreement is given by the Trustee to Certificateholders pursuant
to
Section 7.02 of the Trust Agreement, provided
that the Early Termination Date may not be earlier than the date
on which
the Certificates are redeemed pursuant to Section 7.02 of the Trust
Agreement.
|
Notwithstanding
anything in Section 6 of the Agreement to the contrary, any amounts due as
result of the occurrence of an Additional Termination Event described in
Part
1(h)(ii), Part 1(h)(iv) and Part 1(h)(v) of this Schedule may be calculated
prior to the Early Termination Date and shall be payable on the Early
Termination Date.
2
Part
2. Tax Representations.
|
(a)
|
Payer
Representations.
For the purpose of Section 3(e) of this Agreement, Party A will
make the
following representation and Party B will make the following
representation:
|
It
is not
required by any applicable law, as modified by the practice of any relevant
governmental revenue authority, of any Relevant Jurisdiction to make any
deduction or withholding for or on account of any Tax from any payment (other
than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made
by it to the other party under this Agreement. In making this representation,
it
may rely on (i) the accuracy of any representations made by the other party
pursuant to Section 3(f) of this Agreement, (ii) the satisfaction of the
agreement contained in Section 4(a)(i) or 4(a)(iii) of this Agreement and
the
accuracy and effectiveness of any document provided by the other party pursuant
to Section 4(a)(i) or 4(a)(iii) of this Agreement and (iii) the satisfaction
of
the agreement of the other party contained in Section 4(d) of this Agreement,
provided
that it
shall not be a breach of this representation where reliance is placed on
clause
(ii) and the other party does not deliver a form or document under Section
4(a)(iii) of this Agreement by reason of material prejudice to its legal
or
commercial position.
|
(b)
|
Payee
Representations.
For the purpose of Section 3(f) of this Agreement, Party A and
Party B
make the representations specified below, if
any:
|
(i) Party
A
represents that it is a national banking association formed under the laws
of
the United States.
(ii) Party
B
represents that it is a trust created under an agreement governed by New
York
law.
3
Part
3. Agreement to Deliver Documents.
For
the
purpose of Sections 4(a)(i) and (ii) of this Agreement, each party agrees
to
deliver the following documents, as applicable:
|
(a)
|
Tax
forms, documents or certificates to be delivered
are:—
|
|
Party
required to deliver document
|
Form/Document/Certificate
|
Date
by which to be delivered
|
||
|
Party
A and Party B
|
Subject
to Section 4(a)(iii), any document required or reasonably requested
to
allow the other party to make payments under this Agreement without
any
deduction or withholding on account of any Tax.
|
(i)
promptly upon reasonable demand by Party B, and (ii) promptly upon
learning that any such Form previously provided by Party A has
become
obsolete or incorrect.
|
|
(b)
|
Other
documents to be delivered are:—
|
|
Party
required to deliver document
|
Form/Document/Certificate
|
Date
by which to be delivered
|
Covered
by §3(d) Representation
|
|||
|
Party
B
|
Certified
copy of the Board of Directors resolution (or equivalent authorizing
documentation) which sets forth the authority of each signatory
to this
Agreement and each Credit Support Document (if any) signing on
its behalf
and the authority of such party to enter into Transactions contemplated
and performance of its obligations hereunder.
|
Concurrently
with the execution and delivery of this Agreement.
|
Yes
|
|||
|
Party
A and Party B
|
Incumbency
Certificate (or, if available the current authorized signature
book or
equivalent authorizing documentation) specifying the names, titles,
authority and specimen signatures of the persons authorized to
execute
this Agreement which sets forth the specimen signatures of each
signatory
to this Agreement, each Confirmation and each Credit Support Document
(if
any) signing on its behalf.
|
Concurrently
with the execution and delivery of this Agreement unless previously
delivered and still in full force and effect.
|
Yes
|
|||
|
Party
A and Party B
|
An
executed copy of the Disclosure Agreement relating to the Preliminary
Prospectus Supplement or Free Writing Prospectus, as applicable
(each as
defined in the Trust Agreement)
|
On
the date of such Preliminary Prospectus Supplement or Free Writing
Prospectus, as applicable.
|
Yes
|
4
|
Party
required to deliver document
|
Form/Document/Certificate
|
Date
by which to be delivered
|
Covered
by §3(d) Representation
|
|||
|
Party
A and Party B
|
An
executed copy of the Disclosure Agreement relating to the Prospectus
Supplement (as defined in the Trust Agreement)
|
Concurrently
with the execution and delivery of this Agreement unless previously
delivered and still in full force and effect.
|
Yes
|
|||
|
Party
A and Party B
|
An
opinion of counsel to such party reasonably satisfactory in form
and
substance to the other party, and, in the case of Party B, opinions
of
counsel relating to the Trust Agreement and other deal documents
reasonably satisfactory in form and substance to the Party
A.
|
Concurrently
with the execution and delivery of the Confirmation unless previously
delivered and still in full force and effect.
|
No
|
|||
|
Party
B
|
An
executed copy of the Trust Agreement.
|
Within
30 days after the date of this Agreement.
|
No
|
|||
|
Party
B
|
Each
material amendment, supplement or waiver of the Trust Agreement,
as
proposed from time to time, or any other amendment or modification
of the
Trust Agreement that requires the written consent of Party A under
the
terms of the Trust Agreement.
|
Promptly
upon learning of any proposed amendment, supplement or
waiver.
|
No
|
Part
4. Miscellaneous.
|
(a)
|
Addresses
for Notices.
For the purposes of Section 12(a) of this Agreement:
|
|
(i)
|
Addresses
for notices or communications to Party A:
-
|
Wachovia
Bank, N.A.
000
Xxxxx
Xxxxxxx Xxxxxx
Xxxxxxxxx,
XX 00000
Attn:
Fixed Income Documentation
Facsimile
No.: (000) 000-0000
|
(ii)
|
Addresses
for notices or communications to Party
B:
|
Citibank,
N.A.
000
Xxxxxxxxx Xxxxxx, 00xx
Xxxxx
Xxx
Xxxx,
XX 00000
Attention:
Agency & Trust - SASCO 2006-S3
Telephone
No.: (000)
000-0000
5
With
a
copy to:
Aurora
Loan Services LLC, as Master Servicer
000
Xxxxxxxxx Xxxxx Xxxxx, 0xx Xxxxx
Xxxxxxxxx,
XX 00000
Attention:
Xxxx
Xxxxxxxxxx
Facsimile
No.: (000)
000-0000
Telephone
No.: (000)
000-0000
|
(b)
|
Process
Agent. For
the purposes of Section 13(c) of this
Agreement:
|
Party
A
appoints as its Process Agent, not applicable.
Party
B
appoints as its Process Agent, not applicable.
|
(c)
|
Offices.
The provisions of Section 10(a) will not apply to this
Agreement.
|
|
(d)
|
Multibranch
Party.
For the purpose of Section 10(c) of this
Agreement:
|
Party
A
is not a Multibranch Party.
Party
B
is not a Multibranch Party.
|
(e)
|
Calculation
Agent.
The Calculation Agent is Party A.
|
|
(f)
|
Credit
Support Document.
Credit Support Document means
|
With
respect to Party A, not applicable.
With
respect to Party B, not applicable.
|
(g)
|
Credit
Support Provider.
|
Credit
Support Provider means in relation to Party A, not applicable.
Credit
Support Provider means in relation to Party B, not applicable.
|
(h)
|
|
(i)
|
Netting
of Payments.
Subparagraph (ii) of Section 2(c) of this Agreement will apply
to all
Transactions (in each case starting from the date of this
Agreement).
|
|
(j)
|
“Affiliate”
will have the meaning specified in Section 14 of this Agreement,
provided
that Party A and Party B shall be deemed to have no
Affiliates.
|
|
(k)
|
Jurisdiction.
Section 13(b) is hereby amended by: (i) deleting in the second
line of
subparagraph (i) thereof the word “non-”: and (ii) deleting the final
paragraph thereof.
|
|
(l)
|
Waiver
of Jury Trial.
Each party waives, to the fullest extent permitted by applicable
law, any
right it may have to a trial by jury in respect of any suit, action
or
proceeding relating to this Agreement or any Credit Support Document.
Each
party certifies (i) that no representative, agent or attorney of
the other
party or any Credit Support Provider has represented, expressly
or
otherwise, that such other party would not, in the event of such
a suit,
action or proceeding, seek to enforce the foregoing waiver and
(ii)
acknowledges that it and the other party have been induced to enter
into
this Agreement and provide for any Credit Support Document, as
applicable,
by, among other things, the mutual waivers and certifications in
this
Section.
|
6
|
(m)
|
Consent
to Recording.
Each party consents to the recording of the telephone conversations
of
trading and marketing personnel of the parties and their Affiliates
in
connection with this Agreement or any potential transaction.
|
|
(n)
|
Severability.
If
any term, provision, covenant, or condition of this Agreement,
or the
application thereof to any party or circumstance, shall be held
to be
illegal, invalid or unenforceable (in whole or in part) for any
reason,
the remaining terms, provisions, covenants and conditions hereof
shall
continue in full force and effect as if this Agreement had been
executed
with the illegal, invalid or unenforceable portion eliminated,
so long as
this Agreement as so modified continues to express, without material
change, the original intentions of the parties as to the subject
matter of
this Agreement and the deletion of such portion of this Agreement
will not
substantially impair the respective benefits or expectations of
the
parties to this Agreement.
|
Part
5. Other Provisions.
|
(a)
|
Definitions.
This Agreement, including each Confirmation and each Cap Transaction,
is
subject to the 2000 ISDA Definitions, as amended, supplemented,
updated,
and superseded from time to time (the “Definitions”), as published by the
International Swaps and Derivatives Association, Inc. (“ISDA”) and will be
governed in all respects by the Definitions (except that references
to
“Cap Transactions” shall be deemed to be references to “Transactions”).
The Definitions are incorporated by reference in, and made part
of, this
Agreement and each Confirmation as if set forth in full in this
Agreement
and such Confirmations. In the event of any inconsistency between
the
provisions of this Agreement and the Definitions, this Agreement
will
prevail (and, in the event of any inconsistency between any Confirmation
and the Definitions, the Confirmation will control). Any reference
in a
Confirmation to any Definitions which are amended or supplemented
in this
Schedule shall be deemed to be a reference to such Definitions
as so
amended or supplemented, unless the Confirmation states, by specific
reference to any such amendment or supplement, that such amendment
or
supplement will not apply in respect of the Transaction to which
such
Confirmation relates.
|
|
(b)
|
Downgrade
Provisions.
|
|
(1)
|
It
shall be a collateralization event (“Collateralization
Event”)
if (A) either (i) the unsecured, long-term senior debt obligations of
Party A are rated below “A1” by Xxxxx’x Investors Service, Inc.
(“Moody’s”)
or are rated “A1” by Moody’s and such rating is on watch for possible
downgrade to below “A1” (but only for so long as it is on watch for
possible downgrade) or (ii) the unsecured, short-term debt
obligations of Party A are rated below “P-1” by Moody’s or are rated
“P-1” by Moody’s and such rating is on watch for possible downgrade to
below “P-1” (but only for so long as it is on watch for possible
downgrade), (B) no short-term rating is available from Moody’s and the
unsecured, long-term senior debt obligations of Party A are rated
below “Aa3” by Moody’s or are rated “Aa3” by Moody’s and such rating is on
watch for possible downgrade to below “Aa3” (but only for so long as it is
on watch for possible downgrade), (C) or either (i) the unsecured,
short-term debt obligations of Party A are rated below “A-1” by
Standard & Poor’s Rating Services, a division of The XxXxxx-Xxxx
Companies, Inc. (“S&P”)
or (ii) if Party A does not have a short-term rating from S&P,
the unsecured, long-term senior debt obligations of Party A are rated
below “A+” by S&P, or (D) the unsecured, long-term senior debt
obligations or financial strength ratings of Party A are rated
below “A”
by Fitch, Inc. (“Fitch”).
For the avoidance of doubt, the parties hereby acknowledge and
agree that
notwithstanding the occurrence of a Collateralization Event, this
Agreement and each Transaction hereunder shall continue to be as
a Cap
Agreement (as applicable) for purposes of the Trust Agreement.
Within 30
days from the date a Collateralization Event has occurred and
so long as such Collateralization Event is continuing, Party A shall,
at its sole expense, either (i) post collateral according to the
terms of
an ISDA 1994 New York Law Credit Support Annex, which shall receive
prior
written confirmation from each of the Rating Agencies (as defined
in the
Trust Agreement) that their then-current ratings of the Offered
Certificates and the Class B Certificates will not be downgraded
or
withdrawn by such Rating Agency (the “Rating
Agency Condition”),
or (ii) obtain a substitute counterparty that (a) is reasonably
acceptable
to Party B and satisfies the Rating Agency Condition, (b) satisfies
the Hedge Counterparty Ratings Requirement (as defined herein)
and (c)
assumes the obligations of Party A under this Agreement (through an
assignment and assumption agreement in form and substance reasonably
satisfactory to Party B) or replaces the outstanding Transactions
hereunder with transactions on identical terms, except that Party A
shall be replaced as counterparty, and
that such substitute counterparty, as of the date of such assumption
or
replacement, will not, as a result thereof, be required to withhold
or
deduct on account of tax under the Agreement or the new transactions,
as
applicable, and such assumption or replacement will not lead to
a
termination event or event of default occurring under the Agreement
or new
transactions, as applicable.
|
7
|
(2)
|
It
shall be a ratings event (“Ratings
Event”)
if at any time after the date hereof Party A shall fail to satisfy
the Hedge Counterparty Ratings Threshold or Party A is no longer
rated by
S&P. Hedge
Counterparty Ratings Threshold
shall mean (A) the unsecured, long-term senior debt obligations
of
Party A are rated at least “BBB-” by S&P, (B) either (i) the
unsecured, long-term senior debt obligations of Party A are rated at
least “A2” by Moody’s (and such rating is not on watch for possible
downgrade to below “A2”) and the unsecured, short-term debt obligations of
Party A are rated at least “P-1” by Moody’s
(and such rating is not on watch for possible downgrade to below
“P-1”) or
(ii) if Party A does not have a short-term rating from Moody’s, the
unsecured, long-term senior debt obligations of Party A are rated at
least “A1” by Moody’s (and such rating is not on watch for possible
downgrade to below “A1”),
and (C)
either (i) the unsecured, senior debt obligations or financial
strength
ratings of Party A , are rated at least “A” by Fitch or (ii) the
unsecured, short-term debt obligations (if any) of Party A , are
rated at least “F1” by Fitch. For the avoidance of all doubts, the parties
hereby acknowledge and agree that notwithstanding the occurrence
of a
Ratings Event, this Agreement and each Transaction hereunder shall
continue to be a Cap Agreement for purposes of the Trust Agreement.
Within
30 days (or, in the case of a failure to meet the requirements
of
subparagraph (A) of the definition of “Hedge Counterparty Ratings
Threshold” or Party A is no longer rated by S&P, within 10 business
days) from the date a Ratings Event has occurred and
so long as such Ratings Event is continuing, Party A shall, at its
sole expense, (i) obtain a substitute counterparty that (A) satisfies
the
Rating Agency Condition, (B) satisfies the Hedge Counterparty Ratings
Requirement (as defined below) and (C) assumes the obligations
of
Party A under this Agreement (through an assignment and assumption
agreement in form and substance reasonably satisfactory to Party B)
or replaces the outstanding Transactions hereunder with transactions
on
identical terms, except that Party A shall be replaced as
counterparty, and
that
such substitute counterparty, as of the date of such assumption
or
replacement, will not, as a result thereof, be required to withhold
or
deduct on account of tax under the Agreement or the new transactions,
as
applicable, and such assumption or replacement will not lead to
a
termination event or event of default occurring under the Agreement
or new
transactions, as applicable, and (ii) on or prior to the expiration
of
such period, be required to post collateral according to the terms
of an
ISDA 1994 New York Law Credit Support Annex, which shall satisfy
the
Rating Agency Condition.
|
Notwithstanding
anything contained herein to the contrary, if Party A is required to transfer
its rights and obligations under this Agreement pursuant to this Part 5(b)(2)
as
a result of a rating issued by S&P, Party A shall, prior to such transfer,
be required to post collateral in accordance with (i) the terms of an ISDA
1994
New York Law Credit Support Annex, which shall satisfy the Rating Agency
Condition or (ii) an agreement with Party B providing for the posting of
collateral, which agreement shall satisfy the Rating Agency Condition and
require Party A to post the required collateral.
8
Hedge
Counterparty Ratings Requirement
shall
mean (a) either (i) the unsecured, short-term debt obligations of the substitute
counterparty (or its Credit Support Provider) are rated at least “A-1” by
S&P or (ii) if the substitute counterparty does not have a short-term rating
from S&P, the unsecured, long-term senior debt obligations of the substitute
counterparty (or its Credit Support Provider) are rated at least “A+” by
S&P, (b) either (i) the unsecured, long-term senior debt obligations of such
substitute counterparty (or its Credit Support Provider) are rated at least
“A1”
by Moody’s (and if rated “A1” by Moody’s, such rating is not on watch for
possible downgrade to below “A1”) and the unsecured, short-term debt obligations
of such substitute counterparty (or its Credit Support Provider) are rated
at
least “P-1” by Moody’s (and if rated “P-1” by Moody’s, such rating is not on
watch for possible downgrade and remaining on watch for possible downgrade),
or
(ii) if such substitute counterparty (or its Credit Support Provider) does
not
have a short-term debt rating from Moody’s, the unsecured, long-term senior debt
obligations of such substitute counterparty (or its Credit Support Provider)
are
rated at least “Aa3” by Moody’s (and if rated “Aa3” by Moody’s, such rating is
not on watch for possible downgrade to below “Aa3”), and (c) either (i) the
unsecured, long-term senior debt obligations of such substitute counterparty
(or
its Credit Support Provider) are rated at least “A” by Fitch or (ii) the
unsecured, short-term debt obligations of such substitute counterparty (or
its
Credit Support Provider) are rated at least “F1” by Fitch. For the purpose of
this definition, no direct or indirect recourse against one or more shareholders
of the substitute counterparty (or against any Person in control of, or
controlled by, or under common control with, any such shareholder) shall
be
deemed to constitute a guarantee, security or support of the obligations
of the
substitute counterparty.
|
(c)
|
Section
3(a) of this Agreement is hereby amended to include the following
additional representations after paragraph
3(a)(v):
|
|
(vi)
|
Eligible
Contract Participant.
It
is an “eligible contract participant” as defined in the U.S. Commodity
Exchange Act.
|
|
(vii)
|
Individual
Negotiation.
This Agreement and each Transaction hereunder is subject to individual
negotiation by the parties.
|
|
(viii)
|
Relationship
between Party A and Party B.
Each of Party A and Party B will be deemed to represent to the
other on
the date on which it enters into a Transaction or an amendment
thereof
that (absent a written agreement between Party A and Party B that
expressly imposes affirmative obligations to the contrary for that
Transaction):
|
|
(1)
|
Principal.
It
is acting as principal and not as agent when entering into this
Agreement
and each Transaction.
|
|
(2)
|
Non-Reliance.
It
is acting for its own account and it has made its own independent
decisions to enter into that Transaction and as to whether that
Transaction is appropriate or proper for it based upon its own
judgment
and upon advice from such advisors as it has deemed necessary.
It is not
relying on any communication (written or oral) of the other party
as
investment advice or as a recommendation to enter into that Transaction;
it being understood that information and explanations related to
the terms
and conditions of a Transaction shall not be considered investment
advice
or a recommendation to enter into that Transaction. No communication
(written or oral) received from the other party shall be deemed
to be an
assurance or guarantee as to the expected results of that
Transaction.
|
|
(3)
|
Evaluation
and Understanding. It
is capable of evaluating and understanding (on its own behalf or
through
independent professional advice), and understands and accepts,
the terms,
conditions and risks of this Agreement and each Transaction hereunder.
It
is also capable of assuming, and assumes, all financial and other
risks of
this Agreement and each Transaction hereunder.
|
9
|
(4)
|
Status
of Parties. The
other party is not acting as a fiduciary or an advisor for it in
respect
of that Transaction.
|
|
(d)
|
Section
4 is hereby amended by adding the following new agreement:
|
(f)
Actions
Affecting Representations. Party
B
agrees not to take any action during the term of this Agreement or any
Transaction hereunder that renders or could render any of the representations
and warranties in this Agreement untrue, incorrect, or incomplete, and if
any
event or condition occurs that renders or could render any such representation
untrue, incorrect, or incomplete, Party B will immediately give written notice
thereof to Party A.
|
(e)
|
Section
1(c). For
purposes of Section 1(c) of the Agreement, the Transaction evidenced
by
the Confirmation with Reference ID: 1537589, dated August 30, 2006,
between Party A and Party B, as amended from time to time, shall
be the
sole Transaction under the
Agreement.
|
|
(f)
|
Transfer.
Section
7 is hereby amended to read in its entirety as
follows:
|
Except
as
stated under Section 6(b)(ii), in this Section 7, and Part 5(b) of the Schedule,
neither Party A nor Party B is permitted to assign, novate or transfer (whether
by way of security or otherwise) as a whole or in part any of its rights,
obligations or interests under this Agreement or any Transaction without
the
prior written consent of the other party; provided,
however,
that
(i) Party A may make such a transfer of this Agreement pursuant to a
consolidation or amalgamation with, or merger with or into, or transfer of
substantially all of its assets to, another entity, or an incorporation,
reincorporation or reconstitution, and (ii) Party A may transfer this Agreement
to any Person, including, without limitation, another of Party A’s offices,
branches or affiliates (any such Person, office, branch or affiliate, a
“Transferee”) on at least five Business Days’ prior written notice to Party B
and the Trustee; provided that, with respect to clause (ii), (A) as of the
date
of such transfer the Transferee will not be required to withhold or deduct
on
account of a Tax from any payments under this Agreement unless the Transferee
will be required to make payments of additional amounts pursuant to Section
2(d)(i)(4) of this Agreement in respect of such Tax (B) a Termination Event
or
Event of Default does not occur under this Agreement as a result of such
transfer; (C) such notice is accompanied by a written instrument pursuant
to
which the Transferee acquires and assumes the rights and obligations of Party
A
so transferred; and (D) Party A will be responsible for any costs or expenses
incurred in connection with such transfer. Party B will execute such
documentation as is reasonably deemed necessary by Party A for the effectuation
of any such transfer. Notwithstanding the foregoing, no such transfer or
assignment (including a transfer or assignment made pursuant to Section
6(b)(ii)) shall be made unless the transferring party obtains a written
acknowledgment from each of the Rating Agencies that, notwithstanding such
transfer or assignment, the then-current ratings of the Offered Certificates
and
the Class B Certificates will not be reduced or withdrawn.
Except
as
specified otherwise in the documentation evidencing a transfer, a transfer
of
all the obligations of Party A made in compliance with this Section 7 will
constitute an acceptance and assumption of such obligations (and any related
interests so transferred) (including an acceptance and assumption of the
Disclosure Agreements by the transferor) by the Transferee, a novation of
the
transferee in place of Party A with respect to such obligations (and any
related
interests so transferred), and a release and discharge by Party B of Party
A
from, and an agreement by Party B not to make any claim for payment, liability,
or otherwise against Party A with respect to, such obligations from and after
the effective date of the transfer.
|
(g)
|
Trustee
Capacity. It
is expressly understood and agreed by the parties hereto that (i)
this
Agreement is executed and delivered by the Trustee not individually
or
personally but solely as trustee of Supplemental Interest Trust,
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S3,
in
the exercise of the powers and authority conferred and vested in
it under
the Trust Agreement, (ii) each of the representations, undertakings
and
agreements herein made on the part of Supplemental Interest Trust,
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S3
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 Supplemental Interest Trust, Structured Asset Securities
Corporation Mortgage Loan Trust 2006-S3, (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
the Trust or be liable for the breach or failure of any obligation,
representation, warranty or covenant made or undertaken by Supplemental
Interest Trust, Structured Asset Securities Corporation Mortgage
Loan
Trust 2006-S3 under this Agreement or any other related
documents.
|
10
|
(h)
|
Proceedings.
Party A shall not institute against or cause any other person to
institute
against, or join any other person in instituting against Structured
Asset
Securities Corporation Mortgage Loan Trust 2006-S3 (the “Issuer”) any
bankruptcy, reorganization, arrangement, insolvency or liquidation
proceedings, or other proceedings under any federal or state bankruptcy,
dissolution or similar law, for a period of one year and one day
following
indefeasible payment in full of the Certificates.
Nothing shall preclude, or be deemed to stop, Party A (i) from
taking any
action prior to the expiration of the aforementioned one year and
one day
period, or if longer the applicable preference period then in effect,
in
any case or proceeding voluntarily filed or commenced by the Issuer
or
Party B, or filed or commenced against the Issuer or Party B by
a person
other than Party A, or (ii) from commencing against the Issuer
or Party B
or any of the Collateral any legal action which is not a bankruptcy,
reorganization, arrangement, insolvency, moratorium, liquidation
or
similar proceeding.
|
|
(i)
|
Amendment
to Events of Default. The
“Failure to Pay or Deliver” provision in Section 5(a)(i) of the Agreement
is hereby amended by deleting the word “third” in the third line thereof
and inserting the word “first” in place
thereof.
|
|
(j)
|
Change
of Account.
Section 2(b) of this Agreement is hereby amended by the addition
of the
following after the word “delivery” in the first line
thereof:-
|
“to
another account in the same legal and tax jurisdiction as the original
account”
|
(k)
|
Trust
Agreement.
|
|
(1)
|
Capitalized
terms used in this Agreement that are not defined herein and are
defined
in the Trust Agreement shall have the respective meanings assigned
to them
in the Trust Agreement.
|
|
(2)
|
Party
B will provide at least ten days’ prior written notice to Party A of any
proposed amendment or modification to the Trust
Agreement.
|
|
(l)
|
Set-off.
Notwithstanding
any provision of this Agreement or any other existing or future
agreements, each of Party A and Party B irrevocably waives as to
itself
any and all contractual rights it may have to set off, net, recoup
or
otherwise withhold or suspend or condition its payment or performance
of
any obligation to the other party under this Agreement against
any
obligation of one party hereto to the other party hereto arising
outside
of this Agreement (which Agreement includes without limitation,
the Master
Agreement to which this Schedule is attached, this Schedule and
the
Confirmation, and if applicable, any Credit Support Annex hereto),
provided that nothing herein shall be construed to waive or otherwise
limit the netting provisions contained in Sections 2(c)(ii) and
6(e) of
this Agreement or, if applicable, the setoff rights contained in
the
Credit Support Annex hereto.
|
|
(m)
|
Notice
of Certain Events or Circumstances.
Each party agrees, upon learning of the occurrence or existence
of any
event or condition that constitutes (or that with the giving of
notice or
passage of time or both would constitute) an Event of Default or
Termination Event with respect to such party, promptly to give
the other
party notice of such event or condition (or, in lieu of giving
notice of
such event or condition in the case of an event or condition that
with the
giving of notice or passage of time or both would constitute an
Event of
Default or Termination Event with respect to the party, to cause
such
event or condition to cease to exist before becoming an Event of
Default
or Termination Event); provided
that failure to provide notice of such event or condition pursuant
to this
Part 5(n) shall not constitute an Event of Default or a Termination
Event.
|
11
|
(n)
|
Regarding
Party A.
Party
B acknowledges and agrees that Party A has had and will have no
involvement in and, accordingly Party A accepts no responsibility
for: (i)
the establishment, structure, or choice of assets of Party B; (ii)
the
selection of any person
performing services for or acting on behalf of Party B; (iii) the
selection of Party A as the Counterparty;
(iv) the terms of the Certificates; (v) other than as provided
in the
Disclosure Agreements, the preparation of or passing on the disclosure
and
other information contained in any offering circular or offering
document
for the Certificates, the Trust Agreement, or any other agreements
or
documents used by Party B or any other party in connection with
the
marketing and sale of the Certificates; (vi) the ongoing operations
and
administration of Party B, including the furnishing of any information
to
Party B which is not specifically required under this Agreement
or the
Disclosure Agreements; or (vii) any other aspect of Party B’s
existence.
|
|
(o)
|
Regarding
Party B.
The liability of Party B under this Agreement is limited in recourse
to
the assets of the Trust Fund and the Supplemental Interest Trust
(each
term, as defined in the Trust Agreement), and to distributions
of interest
proceeds and principal proceeds thereon applied in accordance with
the
terms of the Trust Agreement. Upon application of and exhaustion
of all of
the assets of the Trust Fund and the Supplemental Interest Trust
(and
proceeds thereof) in accordance with the Trust Agreement, Party
A shall
not be entitled to take any further steps against Party
B or any other person or
recover any sums due but still unpaid hereunder or thereunder,
all claims
in respect of which shall be extinguished. Notwithstanding the
foregoing
or anything herein to the contrary, Party A shall not be precluded
from
declaring an Event of Default or from exercising any other right
or remedy
as set forth in this Agreement or the Trust
Agreement.
|
|
(p)
|
Rating
Agency Condition.
This Agreement will not be amended unless the Rating Agency Condition
is
satisfied.
|
[Signature
page follows]
12
IN
WITNESS WHEREOF,
the
parties have executed this document by their duly authorized officers with
effect from the date so specified on the first page hereof.
|
WACHOVIA
BANK, N.A.
|
SUPPLEMENTAL
INTEREST TRUST,
STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST 2 006-S3 |
|
|
By:
Citibank, N.A., not in its individual capacity, but solely as
Trustee
|
||
|
/s/
Xxx X. Xxxx
|
/s/
Xxxxx Xxxxxxxx
|
|
|
Name:
Xxx X. Xxxx
|
Name:
Xxxxx Xxxxxxxx
|
|
|
Title:
Director
|
Title:
Vice President
|
|
|
Date:
August 30, 2006
|
Date:
August 30, 2006
|
13
Wachovia
Bank, N.A.
000
Xxxxx
Xxxxxxx Xxxxxx
Xxxxxxxxx,
XX 00000
|
DATE:
|
August
30, 2006
|
|
TO:
|
Supplemental
Interest Trust
Structured
Asset Securities Corporation Mortgage Loan Trust 2006-S3 (“Party
B”)
c/o
Citibank, N.A.
000
Xxxxxxxxx Xxxxxx, 00xx
Xxxxx
Xxx
Xxxx, XX 00000
Attention:
Structured Finance - SASCO 2006-S3
|
|
FROM:
|
Wachovia
Bank, N.A. (“Party A”)
000
Xxxxx Xxxxxxx Xxxxxx
Xxxxxxxxx,
XX 00000
|
|
RE:
|
Interest
Rate Cap 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
August
30, 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
| 1. |
The
Cap Transaction to which this Confirmation relates is a Rate Cap
Transaction, the terms of which are as
follow:
|
|
General
Terms
|
|||
|
Trade
Date:
|
August
10, 2006
|
||
|
Effective
Date:
|
September
25, 2006, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Termination
Date:
|
August
25, 2011, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Notional
Amount:
|
For
a Calculation Period, the amount set forth opposite the Period
End Date on
Schedule A hereto
|
||
|
Fixed
Amounts (Premium):
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer Payment Date:
|
August
30, 2006, subject to adjustment in accordance with the Following
Business
Day Convention.
|
||
|
Fixed
Amounts
|
USD
[[ ]]. Xxxxxx Brothers Holdings Inc., on behalf of Party B,
shall pay to
Party A, the Fixed Amount on or prior to August 30,
2006.
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
Cap
Rate:
|
5.60%
|
||
|
Floating
Rate Payer Period End Dates:
|
For
a Calculation Period, the Period End Date set forth on Schedule
A
hereto
|
||
|
Floating
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Floating Rate
Payer Period
End Date.
|
||
|
Floating
Rate Option:
|
USD-LIBOR-BBA
|
||
|
Designated
Maturity:
|
One
(1) month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count
Fraction:
|
Actual/360
|
||
|
Reset
Dates:
|
The
first day of each Calculation Period.
|
||
|
Compounding:
|
Inapplicable
|
||
|
Business
Days:
|
Any
day other than (i) a Saturday or a Sunday, or (ii) a day on
which banking
institutions in (1) the city in which the Corporate Trust Office
of Party
B is located or (2) the States of New York or Colorado are
closed.
|
2
|
2.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for this Cap Transaction is Charlotte,
NC.
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
Wachovia
Bank, N.A.
CIB
Group, ABA 000000000
Ref:
Derivative Desk (Trade No: 0000000)
Account
#: 04659360006116
|
||
|
Payments
to Party B:
|
Citibank
NA
ABA#
000-000-000
Acct
Name: Structured Finance Incoming Wire
Acct
#: 3617-2242
Ref:
SASCO 2006-S3/ 105978
|
3
Please
confirm that the foregoing correctly sets forth the terms and conditions
of our
agreement by executing this Confirmation and returning to us by fax/telex
to
(000) 000-0000 to the attention of Fixed Income Documentation:
|
Fax
Number :
|
(000)
000-0000
|
|
Telephone
Number :
|
(000)
000-0000
|
| WACHOVIA BANK, NATIONAL ASSOCIATION | |||
| By: /s/ Xxx X. Xxxx | |||
|
Name:
Xxx X. Xxxx
Title:
Director
|
Accepted
and confirmed as of the Trade Date written above:
|
SUPPLEMENTAL
INTEREST TRUST,
STRUCTURED
ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST
2006-S3
|
|||
|
By:
Citibank,
N.A.,
not in its individual capacity, but solely as Trustee
|
|||
| By: /s/ Xxxxx Xxxxxxxx | |||
|
Name:
Xxxxx Xxxxxxxx
Title:
Vice President
|
|||
4
SCHEDULE
A
to the
Confirmation dated as of August 30, 2006
Re:
Reference Number 1537589
Amortization
Schedule, *subject
to adjustment in accordance with the Following Business Day
Convention
|
Period
End Date:
|
Notional
Amount
(USD)
|
|
October
25, 2006
|
153,000.00
|
|
November
25, 2006
|
298,000.00
|
|
December
25, 2006
|
432,000.00
|
|
January
25, 2007
|
559,000.00
|
|
February
25, 2007
|
677,000.00
|
|
March
25, 2007
|
787,000.00
|
|
April
25, 2007
|
891,000.00
|
|
May
25, 2007
|
987,000.00
|
|
June
25, 2007
|
1,076,000.00
|
|
July
25, 2007
|
3,193,000.00
|
|
August
25, 2007
|
5,147,000.00
|
|
September
25, 2007
|
8,065,000.00
|
|
October
25, 2007
|
13,684,000.00
|
|
November
25, 2007
|
18,773,000.00
|
|
December
25, 2007
|
23,367,000.00
|
|
January
25, 2008
|
27,504,000.00
|
|
February
25, 2008
|
31,215,000.00
|
|
March
25, 2008
|
34,532,000.00
|
|
April
25, 2008
|
37,483,000.00
|
|
May
25, 2008
|
40,141,000.00
|
|
June
25, 2008
|
41,906,000.00
|
|
July
25, 2008
|
62,943,000.00
|
|
August
25, 2008
|
75,345,000.00
|
|
September
25, 2008
|
82,686,000.00
|
|
October
25, 2008
|
86,779,000.00
|
|
November
25, 2008
|
88,671,000.00
|
|
December
25, 2008
|
92,428,000.00
|
|
January
25, 2009
|
91,824,000.00
|
|
February
25, 2009
|
90,631,000.00
|
|
March
25, 2009
|
89,347,000.00
|
|
April
25, 2009
|
87,985,000.00
|
|
May
25, 2009
|
86,554,000.00
|
|
June
25, 2009
|
85,067,000.00
|
|
July
25, 2009
|
83,531,000.00
|
|
August
25, 2009
|
81,954,000.00
|
|
September
25, 2009
|
80,344,000.00
|
|
October
25, 2009
|
78,709,000.00
|
|
November
25, 2009
|
77,053,000.00
|
|
December
25, 2009
|
75,383,000.00
|
|
January
25, 2010
|
73,705,000.00
|
|
February
25, 2010
|
72,021,000.00
|
5
|
Period
End Date:
|
Notional
Amount
(USD)
|
|
March
25, 2010
|
70,339,000.00
|
|
April
25, 2010
|
68,660,000.00
|
|
May
25, 2010
|
66,988,000.00
|
|
June
25, 2010
|
65,327,000.00
|
|
July
25, 2010
|
63,680,000.00
|
|
August
25, 2010
|
62,047,000.00
|
|
September
25, 2010
|
60,432,000.00
|
|
October
25, 2010
|
58,838,000.00
|
|
November
25, 2010
|
57,265,000.00
|
|
December
25, 2010
|
55,715,000.00
|
|
January
25, 2011
|
54,189,000.00
|
|
February
25, 2011
|
52,689,000.00
|
|
March
25, 2011
|
51,214,000.00
|
|
April
25, 2011
|
49,768,000.00
|
|
May
25, 2011
|
48,348,000.00
|
|
June
25, 2011
|
46,957,000.00
|
|
July
25, 2011
|
45,595,000.00
|
|
August
25, 2011
|
44,262,000.00
|
6
