ISDA® International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the ISDA MASTER AGREEMENT dated as of September 28, 2007 between HSBC Bank USA, National Association (“Party A”) and Hyundai Auto Receivables Trust...
Exhibit
10.5
ISDA®
International
Swaps and Derivatives Association, Inc.
to
the
Schedule to the
ISDA
MASTER AGREEMENT
dated
as
of September 28, 2007
between
HSBC
Bank
USA, National Association (“Party A”)
and
Hyundai
Auto Receivables Trust 2007-A (“Party B”)
This
Annex supplements, forms part of, and is subject to, the ISDA Master Agreement
referred to above (this “Agreement”), is part of its Schedule and is a Credit
Support Document under this Agreement with respect to Party A.
Accordingly,
the parties agree as follows:
Paragraphs
1 - 12. Incorporation
Paragraphs
1 through 12 inclusive of the ISDA Credit Support Annex (Bilateral Form) (ISDA
Agreements Subject to New York Law Only) published in 1994 by the International
Swaps and Derivatives Association, Inc. are incorporated herein by reference
and
made a part hereof:
Paragraph
13. Elections and Variables
|
(a)
|
Security
Interest for “Obligations”.
The term “Obligations”
as
used in this Annex includes no additional obligations of Secured
Party
and, for purposes of the definition of Obligations in Paragraph 12,
includes no additional obligations of
Pledgor.
|
| (b) |
Credit
Support Obligations.
|
(A) “Delivery
Amount”
will
apply except that the words “upon a demand made by the Secured Party on or
promptly following a Valuation Date” shall be deleted and replaced by the words
“on each Valuation Date” and the sentence beginning “Unless otherwise specified
in Paragraph 13” shall be deleted in its entirety and replaced with the
following:
“The
“Delivery
Amount”
applicable to the Pledgor for any Valuation Date will equal the greatest
of:
|
(1)
|
the
amount by which the Moody's Credit Support Amount exceeds the Value
(determined using the Moody's Valuation Percentages) as of that Valuation
Date of the Posted Credit Support held by the Secured
Party;
|
1
| (2) |
the
amount by which the S&P Credit Support Amount exceeds the S&P
Value (determined using the S&P Valuation Percentages) as of that
Valuation Date of the Posted Credit Support held by the Secured Party;
and
|
|
(3)
|
the
amount by which the Fitch Credit Support Amount exceeds the Value
(determined using the Fitch Valuation Percentages) as of that Valuation
Date of the Posted Credit Support held by the Secured Party;
and
|
if,
on
any Valuation Date, the Delivery Amount equals or exceeds the Pledgor’s Minimum
Transfer Amount, the Pledgor will transfer to the Secured Party sufficient
Eligible Credit Support to ensure that, immediately following such transfer,
the
Delivery Amount shall be zero.
|
(A)
|
Paragraph
3(b) (Return Amount) shall apply, except that:
|
| (i) |
the
sentence beginning “Unless otherwise specified in Paragraph 13” shall be
deleted in its entirety and replaced by the
following:
|
“The
“Return
Amount”
applicable to the Secured Party for any Valuation Date will equal the least
of:
|
(1)
|
the
amount by which the Value (determined using the Moody's Valuation
Percentages) as of that Valuation Date of the Posted Credit Support
held
by the Secured Party exceeds the ▇▇▇▇▇'▇ Credit Support Amount for
such
Valuation Date;
|
|
(2)
|
the
amount by which (a) the S&P Value (determined using the S&P
Valuation Percentages) as of that Valuation Date of the Posted Credit
Support held by the Secured Party exceeds the S&P Credit Support
Amount for such Valuation Date; and
|
|
(3)
|
the
amount by which (a) the Value (determined using the Fitch Valuation
Percentages) as of that Valuation Date of the Posted Credit Support
held
by the Secured Party exceeds the Fitch Credit Support Amount for
such
Valuation Date; and
|
|
(ii)
|
in
no event shall the Secured Party be required to transfer any Posted
Credit
Support under Paragraph 3(b) if, immediately following such transfer,
the
Delivery Amount would be greater than
zero.
|
2
|
(ii)
|
“Credit
Support Amount”
(x) means, the greater of, the S&P Credit Support Amount, the Fitch
Credit Support Amount or the Moody’s Credit Support Amount, in
each case as calculated on a daily basis by the Valuation
Agent.
The Credit Support Amount shall be calculated by reference to the
provisions set forth in this Annex which would result in Party A
transferring the greatest amount of Eligible Credit Support to Party
B or,
if applicable, which would result in Party B returning the least
amount of
Posted Credit Support. In circumstances where more than one of the
Ratings
Criteria or S&P Accepted Ratings Downgrade, S&P Required Ratings
Downgrade, Fitch Accepted Ratings Downgrade or Fitch Required Ratings
Downgrade apply, the Credit Support Amount shall be calculated to
result
in Party A transferring the greatest amount of Eligible Credit Support
or,
if applicable, which would result in Party B returning the least
amount of Posted Credit Support.
|
3
|
(iii)
|
Eligible
Collateral.
The following items will qualify as “Eligible
Collateral”:
|
|
Valuation
Percentage:*
|
|||||||||||
|
Moody’s
First Trigger Event
|
|
Moody’s
Second Trigger Event
|
|
S&P
Approved
Ratings
Downgrade
|
|
S&P
Required
Ratings
Downgrade
|
|
Fitch
|
|||
|
(A)
|
Cash:
US
Dollars in depository account form.
|
100%
|
100%
|
100%
|
80%
|
100%
|
|||||
|
(B)
|
U.S.
Treasury Securities:
negotiable debt obligations issued by the U.S. Treasury Department
(“Treasuries”) having a remaining maturity of up to and not more than 1
year.
|
100%
|
100%
|
98.9%
|
79.1%
|
97.5%
|
|||||
|
(C)
|
Treasuries
having a remaining maturity of greater than 1 year but not more than
10
years.
|
100%
|
99%
(1-2yr)
98%
(2-3yr)
97%(3-5yr)
96%
(5-7yr)
94%
(7-10yr)
|
98.04%
(1-5yr)
92.59%
(5-10yr)
|
78.43%
(1-5yr)
74.07%
(5-10yr)
|
86.3%
|
|||||
|
(D)
|
Treasuries
having a remaining maturity of greater than 10 years
|
100%
|
89%
(10-20yr)
87%
(>20yr)
|
91.1%(10-20yr)
88.6%(>20yr)
|
72.9%
(10-20yr)
70.9%(>20yr)
|
79%
|
|||||
|
(E)
|
Agency
Securities:
negotiable debt obligations of the Federal National Mortgage Association
(FNMA), Federal Home Loan Mortgage Corporation (FHLMC), Federal Home
Loan
Banks (FHLB), Federal Farm Credit Banks (FFCB), Student Loan Marketing
Association (SLMA), Tennessee Valley Authority (TVA) (collectively,
“Agency Securities”) having a remaining maturity of not more than 1
year.
|
100%
|
99%
|
98.5%
|
78.8%
|
95%
|
|||||
|
(F)
|
Agency
Securities having a remaining maturity of greater than 1 year but
not more
than 5 years.
|
100%
|
98%
(1-2yr)
97%
(2-3yr)
96%
(3-5yr)
|
98.04%
|
78.43%
|
92%
|
|||||
|
(G)
|
Agency
Securities having a remaining maturity of greater than 5 years but
not
more than 10 years.
|
100%
|
94%
(5-7yr)
93%
(7-10yr)
|
92.59%
|
74.07%
|
88%
|
|||||
|
(H)
|
Agency
Securities having a remaining maturity of greater than 10 years but
not
more than 20 years.
|
100%
|
89%
|
87.7%
|
70.2%
|
82%
|
|||||
|
(I)
|
Agency
Securities having a remaining maturity of greater than 20 years but
not
more than 30 years.
|
100%
|
87%
|
84.4%
|
67.5%
|
82%
|
|||||
|
(J)
|
FHLMC
Certificates.
Mortgage participation certificates issued by FHLMC evidencing undivided
interests or participations in pools of first lien conventional or
FHA/VA
residential mortgages or deeds of trust, guaranteed by FHLMC, and
having a
remaining maturity of not more than 30 years.
|
81.9%
|
81.9%
|
%
to be determined
|
%
to be determined
|
82%
|
|||||
4
|
Valuation
Percentage:*
|
|||||||||||
|
Moody’s
First Trigger Event
|
|
Moody’s
Second Trigger Event
|
|
S&P
Approved
Ratings
Downgrade
|
|
S&P
Required
Ratings
Downgrade
|
|
Fitch
|
|||
|
(K)
|
FNMA
Certificates. Mortgage-backed
pass-through certificates issued by FNMA evidencing undivided interests
in
pools of first lien mortgages or deeds of trust on residential properties,
guaranteed by FNMA, having a remaining maturity of not more than
30
years.
|
81.9%
|
81.9%
|
%
to be
determined
|
%
to be
determined
|
82%
|
|||||
|
(L)
|
GNMA
Certificates.
Mortgage-backed pass-through certificates issued by private entities,
evidencing undivided interests in pools of first lien mortgages or
deeds
of trust on single family residences, guaranteed by the Government
National Mortgage Association (GNMA) with the full faith and credit
of the
United States, and having a remaining maturity of not more than 30
years.
|
81.9%
|
81.9%
|
%
to be
determined
|
%
to be
determined
|
82%
|
|||||
|
(M)
|
Commercial
Paper.
Commercial Paper with a rating of at least P-1 by Moody’s, at least F-1 by
Fitch and at least A-1+ by S&P and having a remaining maturity of not
more than 30 days.
|
80%
|
80%
|
%
to be
determined
|
%
to be
determined
|
99%
|
|||||
|
(N)
|
Other.
Other
items of Credit Support approved by each applicable rating agency
with
such valuation percentages as determined by each applicable rating
agency.
|
%
to be determined
|
%
to be
determined
|
%
to be
determined
|
%
to be
determined
|
%
to be determined
|
|||||
*
The
Valuation Percentage shall equal the percentage specified under such Rating
Agency’s name above. If Party A is rated by more than one Rating Agency
specified above, the Valuation Percentage shall equal the lowest of the
applicable percentages specified above.
**
A
parenthetical in the form of (a-b
yr)
means a security having a remaining maturity greater than or equal to
a
years
and less than b
years.
***
For
Cash,
the amount thereof: multiplied, in the case of the S&P Value, if an S&P
Required Ratings Downgrade has occurred and been continuing for at least 10
Local Business Days, by the S&P Required Ratings Downgrade Valuation
Percentage set forth in paragraph 13(b)(iii) above.
| (iv) |
There
shall be no “Other Eligible Support” for Party A for purposes of this
Annex.
|
| (v) |
Thresholds.
|
5
|
(A)
|
“Independent
Amount” means with respect to Party A: Not
Applicable.
|
“Independent
Amount” means with respect to Party B: Not Applicable.
| (B) |
“Threshold”
means with respect to Party A: Infinity; provided
that for (a) so long as the Moody’s First Rating Trigger Requirements
apply and either (i) the Moody’s First Rating Trigger Requirements have
applied since this Annex was executed or (ii) at least 30 Local Business
Days have elapsed since the last time the Moody’s First Rating Trigger
Requirements did not apply, the Threshold shall be zero; (b) so long
as
(i) an S&P Approved Ratings Downgrade has occurred and has been
continuing for at least 10 Local Business Days or since this Credit
Support Annex was executed or (ii) an S&P Required ratings Downgrade
has occurred and is continuing, the Threshold shall be zero; (c)
so long
as a Fitch Approved Ratings Downgrade has occurred and has been continuing
for at least 30 calendar days or since this Credit Support Annex
was
executed, the Threshold shall be zero.
|
“Threshold”
means with respect to Party B: Not Applicable.
|
(C)
|
“Minimum
Transfer Amount” means with respect to Party A
$50,000.
|
|
“Minimum
Transfer Amount” means with respect to Party B
$50,000.
|
|
(D)
|
Rounding.
The Delivery Amount will be rounded up and the Return Amount will
be
rounded down to the nearest integral multiple of $10,000.00,
respectively.
|
|
(c)
|
Valuation
and Timing.
|
|
(i)
|
“Valuation
Agent” means Party A; provided, however, that if an Event of Default shall
have occurred with respect to which Party A is the Defaulting Party,
Party B shall have the right to designate as Valuation Agent an
independent party, reasonably acceptable to Party A, the cost for
which shall be borne by Party A. All calculations by the Valuation
Agent must be made in accordance with standard market practice, including,
in the event of a dispute as to the Value of any Eligible Credit
Support
or Posted Credit Support, by making reference to quotations received
by
the Valuaton Agent from one or more pricing
sources.
|
|
(ii)
|
“Valuation
Date” means: each Local Business Day on which the Credit Support Amount
would be greater than zero.
|
| (iii) |
“Valuation
Time” means:
|
| o |
the
close of business in the city of the Valuation Agent on the Valuation
Date
or date of calculation, as
applicable;
|
| x |
the
close of business on the Local Business Day before the Valuation
Date or
date of calculation, as applicable;
|
6
provided
that the calculations of Value and Exposure will be made as of approximately
the
same time on the same date.
| (iv) |
“Notification
Time” means 1:00 p.m., New York time, on a Local Business Day.
|
|
(d)
|
Conditions
Precedent. No event shall constitute a “Specified
Condition”.
|
|
(e)
|
Substitution.
|
|
(i)
|
“Substitution
Date” means the Local Business Day in New York on which the Secured Party
is able to confirm irrevocable receipt of the Substitute Credit Support,
provided that (x) such receipt is confirmed before 3:00 p.m. (New
York
time) on such Local Business Day in New York and (y) the Secured
Party has
received, before 1:00 p.m. (New York time) on the immediately preceding
Local Business Day in New York, the notice of substitution described
in
Paragraph 4(d)(i).
|
|
(ii)
|
Consent.
The Pledgor is not required to obtain the Secured Party’s consent for any
substitution pursuant to Paragraph
4(d).
|
| (f) |
Dispute
Resolution.
|
|
(i)
|
“Resolution
Time” means 1:00 p.m., New York time, on the Local Business Day following
the date on which a notice is given that gives rise to a dispute
under
Paragraph 5.
|
| (ii) |
Value.
For the purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Posted
Credit Support will be calculated as follows: for Cash, the U.S.
dollar
value thereof (except as modified below), and for each item of Eligible
Collateral (except for Cash), an amount in U.S. dollars equal to
the
product of (i) either (A) the bid price for such security quoted
on such
day by a principal market-maker for such security selected in good
faith
by the Secured Party or (B) the most recent publicly available bid
price
for such security as reported by a quotation service or in a medium
selected in good faith and in a commercially reasonable manner by
Secured
Party, multiplied by (ii) the percentage figure listed in Paragraph
13(b)(ii) hereof with respect to such
security.
|
For
Cash,
the amount thereof: multiplied, in the case of the S&P Value, if an S&P
Required Ratings Downgrade has occurred and been continuing for at least 10
Local Business Days, by the S&P Required Ratings Downgrade Valuation
Percentage set forth in paragraph 13(b)(iii) above.
| (iii) |
Alternative.
The provisions of Paragraph 5 will
apply.
|
| (g) |
Holding
and Using Posted Collateral.
|
| (i) |
Eligibility
to Hold Posted Collateral; Custodians.
Secured Party will not be entitled to hold Posted Collateral itself,
and
instead the Secured Party will be entitled to hold Posted Collateral
through the Indenture Trustee (the “Custodian“)
which Posted Collateral (i) shall not be commingled or used with
any other
asset held by the Indenture Trustee but shall be held in a separate
trust
account for this purpose only and (ii) shall not be transferred to
any
other person or entity but Party A pursuant to the provisions herein
except (x) in any case contemplated by Paragraph 8(a) of this Annex
with respect to Party A or (y) as directed by Party A; provided,
however, that if the Custodian does not have a short-term debt rating
of
at least “A-1” by S&P, then, within 60 days, a third party custodian
organized under the laws of the United States maintaining the account
with
a domestic office with a short-term debt rating of at least “A-1” by
S&P must hold such Posted
Collateral.
|
7
| (ii) |
Use
of Posted Collateral.
The provisions of Paragraph 6(c) will not apply to Secured Party
and
without prejudice to Secured Party’s rights under Paragraph 8 of the
Credit Support Annex, Secured Party will not take any action specified
in
such Section 6(c).
|
| (h) |
Distributions
and Interest Amount.
|
|
(i)
|
The
“Interest Rate”, with respect to Eligible Collateral in the form of Cash,
for any day, will be the lesser of (x) the rate opposite the caption
“Federal funds (effective)” for such day as published by the Federal
Reserve Publication H.15 (519) or any successor publication as published
by the Board of Governors of the Federal Reserve System and (y) the
rate
of interest actually received on such
Cash.
|
|
(ii)
|
The
“Transfer of Interest Amount” will be made within 3 Local Business Days
after the last Local Business Day of each calendar month in an amount
not
to exceed the interest actually
received.
|
| (iii) |
Alternative
Interest Amount. The provisions of Paragraph 6(d)(ii) will
apply.
|
| (i) |
Additional
Representations. None.
|
| (j) |
Other
Eligible Support and Other Posted Support. Not
Applicable.
|
|
(k)
|
Demands
and Notices. All demands, specifications and notices made by a party
to
this Annex will be made to the
following:
|
|
Party
A:
|
HSBC
Bank USA, National Association
▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇
▇▇▇▇, ▇▇ ▇▇▇▇▇
Attn:
Collateral Control
Tel:
▇▇▇-▇▇▇-▇▇▇▇
Fax:
▇▇▇-▇▇▇-▇▇▇▇
Email:
▇▇▇▇▇▇▇▇▇▇▇▇▇@▇▇.▇▇▇▇.▇▇▇
|
|
|
Party
B:
|
As
set forth in the Schedule.
|
|
| (l) |
Addresses
for Transfers.
|
|
Party
A:
|
Cash/Interest
Payments: (USD Only)
|
|
USD
Cash Collateral Instructions:
|
|
|
Eligible
Collateral
(other than cash):
|
|
|
Party
B:
|
Contact
Indenture Trustee in the event Transfers are
required.
|
8
| (m) |
Other
Provisions.
|
| (i) |
This
Credit Support Annex is a Security Agreement under the New York
UCC.
|
| (ii) |
Paragraph
1(b) of this Annex is amended by deleting it and restating it in
full as
follows:
“(b)
Secured Party and Pledgor. All references in this Annex to the
“Secured
Party” mean Party B, and all references in this Annex to the “Pledgor”
mean Party A; provided, however, that if Other Posted Support is
held by
Party B, all references herein to the Secured Party with respect
to that
Other Posted Support will be to Party B as the beneficiary thereof
and
will not subject that support or Party B as the beneficiary thereof
to
provisions of law generally relating to security interests and
secured
parties.”
|
|
(iii)
|
Paragraph
2 of this Annex is amended by deleting the first sentence thereof
and
restating that sentence in full as
follows:
|
“Party
A,
as the Pledgor, hereby pledges to Party B, as the Secured Party, as security
for
the Pledgor's Obligations, and grants to the Secured Party a first priority
continuing security interest in, lien on and right of Set-off against all Posted
Collateral Transferred to or received by the Secured Party
hereunder.”
|
(iv)
|
Only
Party A makes the representations contained in Paragraph 9 of this
Annex.
|
|
(v)
|
Paragraph
12 of this Annex is amended by deleting the definitions of “Pledgor” and
“Secured Party” and replacing them with the
following:
|
“‘Secured
Party’ means Party B.
‘Pledgor’
means Party A.”
| (vi) |
Paragraph
12 is hereby amended by adding, in alphabetical order, the
following:
|
“Fitch”
means Fitch, Inc., or any successor to the rating business of such
entity.”
“Moody’s”
means ▇▇▇▇▇’▇ Investor Services, Inc., or any successor to the rating business
of such entity.”
“S&P”
means Standard and Poor’s Ratings Services, a division of The ▇▇▇▇▇▇-▇▇▇▇
Companies, Inc., or any successor to the rating business of such
entity.”
|
(vii)
|
Notwithstanding
anything to the contrary in Paragraph 10, the Pledgor will be responsible
for, and will reimburse the Secured Party for all transfer and other
taxes
and other costs and maintenance involved in any Transfer of Eligible
Collateral.
|
| (n) |
S&P
Criteria
|
“S&P
Credit Support Amount”
means,
if the Threshold is zero for any Valuation Date, (a) if an S&P Approved
Ratings Downgrade has occurred and has continued for 10 Local Business Days
or
since this Annex was executed, the Exposure; (b) if an S&P Required Ratings
Downgrade has occurred and has continued for 10 Local Business Days, an amount
equal to 125% of the Exposure or (c) if the Threshold is Infinity,
zero.
9
“S&P
Value”
means,
on any date and with respect to any Eligible Collateral, the product of
(A) the bid price (or face value with respect to Cash) obtained by the
Valuation Agent for such Eligible Collateral and (B)(i) if the S&P Approved
Ratings Downgrade has occurred and been continuing for at least 10 Local
Business Days or since this Annex was executed, the S&P Approved Ratings
Downgrade Valuation Percentage or (ii) if a S&P Required Ratings Downgrade
has occurred and been continuing for at least 10 Local Business Days, S&P
Required Ratings Downgrade Valuation Percentage, as applicable, for such
Eligible Collateral set forth in Paragraph 13(b)(iii). For purposes here,
for Cash: the amount thereof: multiplied, in the case of the S&P Value, if
an S&P Required Ratings Downgrade has occurred and been continuing for at
least 10 Local Business Days, by the S&P Required Ratings Downgrade
Valuation Percentage set forth in paragraph 13(b)(iii) above
| (o) |
Fitch
Criteria
|
|
“Fitch
Credit Support Amount“
means with respect to a Party A Rating Downgrade relating to an action
taken by Fitch that has been continuing for at least thirty (30)
days,
the "Fitch
Credit Support Amount" shall mean an amount in USD equal to the sum
of (a)
Party B's Exposure and (b) the Notional Volatility Buffer. Notional
Volatility Buffer,
as determined by the Valuation Agent for any date, means the Notional
Amount of the Transaction on such date multiplied by the Volatility
Buffer
Percentage for such date as set out in the table below on such
date.
|
Fitch
Volatility Buffer:
|
Remaining
Weighted Average Maturity
(years)
|
|||||||||||||||||||||||||
|
The
higher of the Fitch credit rating of (i) Party A and (ii) the Credit
Support Provider of Party A, if applicable
|
1
|
2
|
3
|
4
|
5
|
6
|
7
|
8
|
|||||||||||||||||
|
At
least “AA-”
|
0.8
|
%
|
1.7
|
%
|
2.5
|
%
|
3.3
|
%
|
4.0
|
%
|
4.7
|
%
|
5.3
|
%
|
5.9
|
%
|
|||||||||
|
“A+/A”
|
0.6
|
%
|
1.2
|
%
|
1.8
|
%
|
2.3
|
%
|
2.8
|
%
|
3.3
|
%
|
3.8
|
%
|
4.2
|
%
|
|||||||||
|
“A-/BBB+”
or lower
|
0.5
|
%
|
1.0
|
%
|
1.6
|
%
|
2.0
|
%
|
2.5
|
%
|
2.9
|
%
|
3.3
|
%
|
3.6
|
%
|
|||||||||
|
Remaining
Weighted Average Maturity
(years)
|
||||||||||||||||||||||
|
The
higher of the Fitch credit rating of (i) Party A and (ii) the
Credit Support Provider of Party A, if applicable
|
9
|
10
|
11
|
12
|
13
|
14
|
Greater
than or equal to 15
|
|||||||||||||||
|
At
least “AA-”
|
6.5
|
%
|
7.0
|
%
|
7.5
|
%
|
8.0
|
%
|
8.5
|
%
|
9.0
|
%
|
9.5
|
%
|
||||||||
|
“A+/A”
|
4.6
|
%
|
5.0
|
%
|
5.3
|
%
|
5.7
|
%
|
6.0
|
%
|
6.4
|
%
|
6.7
|
%
|
||||||||
|
“A-/BBB+”
or lower
|
4.0
|
%
|
4.3
|
%
|
4.7
|
%
|
5.0
|
%
|
5.3
|
%
|
5.6
|
%
|
5.9
|
%
|
||||||||
10
| (p) |
Moody’s
Ratings
Criteria.
|
“Moody’s
First Trigger Event”
means
that no Relevant Entity has credit ratings from Moody’s at least equal to the
Moody’s First Trigger Ratings Threshold.
“Moody’s
First Trigger Ratings Threshold”
means,
with respect to Party A, the guarantor under an Eligible Guarantee or an
Eligible Replacement, (i) if such entity has a short-term unsecured and
unsubordinated debt rating from Moody’s, a long-term unsecured and
unsubordinated debt rating or counterparty rating from Moody’s of “A2” and a
short-term unsecured and unsubordinated debt rating from Moody’s of “Prime-1”,
or (ii) if such entity does not have a short-term unsecured and unsubordinated
debt rating or counterparty rating from Moody’s, a long-term unsecured and
unsubordinated debt rating or counterparty rating from Moody’s of
“A1”.
“Moody’s
Second Trigger Event”
means
that no Relevant Entity has credit ratings from Moody’s at least equal to the
Moody’s Second Trigger Ratings Threshold.
“Moody’s
Second Trigger Ratings Threshold”
means,
with respect to Party A, the guarantor under an Eligible Guarantee or an
Eligible Replacement, (i) if such entity has a short-term unsecured and
unsubordinated debt rating from Moody’s, a long-term unsecured and
unsubordinated debt rating or counterparty rating from Moody’s of “A3” and a
short-term unsecured and unsubordinated debt rating from Moody’s of “Prime-2”,
or (ii) if such entity does not have a short-term unsecured and unsubordinated
debt rating from Moody’s, a long-term unsecured and unsubordinated debt rating
or counterparty rating from Moody’s of “A3”.
Moody’s
Credit Support Amount.*
With
respect to a Moody’s First Trigger Event or a Moody’s Second Trigger Event
relating to an action taken by Moody’s, the “Credit Support Amount” shall mean
with respect to a Pledgor on a Valuation Date the sum of:
|
(i)
|
With
respect to a Moody’s First Trigger
Event:
|
| (A) |
the
greater of the Secured Party’s Exposure and $0, plus
|
| (B) |
Notional
Amount times the relevant percentage set out in Table B
below.
|
(ii) With
respect to a Moody’s Second Trigger Event:
|
(A)
|
the
greater of the Secured Party’s Exposure, $0 or the amount owed by Party A
on the next Payment Date (as such term is defined in the Confirmation
for
each outstanding Transaction under this Agreement),
plus
|
| (B) |
Notional
Amount times the relevant percentage set out in Table B
below.
|
*
To the
extent that both the Moody’s Credit Support Amount and the S&P Credit
Support Amount apply, the greater of the two amounts shall be the Credit Support
Amount.
11
TABLE
B
|
Weighted
Average Life of
Hedge
in Years
|
Moody’s
First Trigger Event has Occurred
|
|
Moody’s
Second Trigger Event has Occurred
|
||||
|
1
|
0.15
|
%
|
0.50
|
%
|
|||
|
2
|
0.30
|
%
|
1.00
|
%
|
|||
|
3
|
0.40
|
%
|
1.50
|
%
|
|||
|
4
|
0.60
|
%
|
1.90
|
%
|
|||
|
5
|
0.70
|
%
|
2.40
|
%
|
|||
|
6
|
0.80
|
%
|
2.80
|
%
|
|||
|
7
|
1.00
|
%
|
3.20
|
%
|
|||
|
8
|
1.10
|
%
|
3.60
|
%
|
|||
|
9
|
1.20
|
%
|
4.00
|
%
|
|||
|
10
|
1.30
|
%
|
4.40
|
%
|
|||
|
11
|
1.40
|
%
|
4.70
|
%
|
|||
|
12
|
1.50
|
%
|
5.00
|
%
|
|||
|
13
|
1.60
|
%
|
5.40
|
%
|
|||
|
14
|
1.70
|
%
|
5.70
|
%
|
|||
|
15
|
1.80
|
%
|
6.00
|
%
|
|||
|
16
|
1.90
|
%
|
6.30
|
%
|
|||
|
17
|
2.00
|
%
|
6.60
|
%
|
|||
|
18
|
2.00
|
%
|
6.90
|
%
|
|||
|
19
|
2.00
|
%
|
7.20
|
%
|
|||
|
20
|
2.00
|
%
|
7.50
|
%
|
|||
|
21
|
2.00
|
%
|
7.80
|
%
|
|||
|
22
|
2.00
|
%
|
8.00
|
%
|
|||
|
23
|
2.00
|
%
|
8.00
|
%
|
|||
|
24
|
2.00
|
%
|
8.00
|
%
|
|||
|
25
|
2.00
|
%
|
8.00
|
%
|
|||
|
26
|
2.00
|
%
|
8.00
|
%
|
|||
|
27
|
2.00
|
%
|
8.00
|
%
|
|||
|
28
|
2.00
|
%
|
8.00
|
%
|
|||
|
29
|
2.00
|
%
|
8.00
|
%
|
|||
|
30
|
2.00
|
%
|
8.00
|
%
|
|||
12
|
Accepted
and agreed:
|
||||
|
HSBC
BANK USA, NATIONAL
ASSOCIATION
|
HYUNDAI
AUTO RECEIVABLES TRUST
2007-A
|
|||
| By: | Wilmington Trust Company,
not
in its individual capacity
but
solely in its capacity as Owner Trustee
|
|||
| By: | /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇ | By: | /s/ W. ▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇ | |
|
Name: ▇▇▇▇▇ ▇▇▇▇▇▇▇ |
Name:
W. ▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇
|
|||
| Title: Vice President | Title: Vice President | |||
|
Date:
September 28, 2007
|
Date:
September 28, 2007
|
|||
S-1