ISDA® CREDIT SUPPORT ANNEX to the Schedule to the ISDA Master Agreement dated as of December 29, 2006 between Barclays Bank PLC (hereinafter referred to as “Party A” or “Pledgor”) and Wells Fargo Bank, N.A., not individually, but solely as securities...
ANNEX
A
ISDA®
to
the
Schedule to the
ISDA
Master Agreement
dated
as
of December 29, 2006 between
Barclays
Bank PLC (hereinafter referred to as “Party
A”
or
“Pledgor”)
and
▇▇▇▇▇
Fargo Bank, N.A., not individually, but solely as securities administrator
(the
“Securities Administrator”) on behalf of the supplemental interest trust with
respect to the GreenPoint Mortgage Funding Trust 2006-OH1 (the “Supplemental
Interest Trust”)
(hereinafter
referred to as “Party
B”
or
“Secured
Party”).
This
Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule and is a Credit Support Document under this
Agreement with respect to each party.
Paragraph
13. Elections and Variables.
|
(a)
|
Security
Interest for “Obligations”.
The term “Obligations”
as
used in this Annex includes the following additional
obligations:
|
With
respect to Party A: not applicable.
With
respect to Party B: not applicable.
|
(b)
|
Credit
Support Obligations.
|
|
(i)
|
Delivery
Amount, Return Amount and Credit Support
Amount.
|
|
(A)
|
“Delivery
Amount”
has the meaning specified in Paragraph 3(a) as amended (I) by deleting
the
words “upon a demand made by the Secured Party on or promptly following
a
Valuation Date” and inserting in lieu thereof the words “not later than
the close of business on the next Local Business Day following a
Valuation
Date” and (II) by deleting in its entirety the sentence beginning “Unless
otherwise specified in Paragraph 13” and ending “(ii) the Value as of that
Valuation Date of all Posted Credit Support held by the Secured Party.”
and inserting in lieu thereof the
following:
|
The
“Delivery
Amount”
applicable to the Pledgor for any Valuation Date will equal the greatest of
|
(1)
|
the
amount by which (a) the S&P Credit Support Amount for such Valuation
Date exceeds (b) the S&P Value as of such Valuation Date of all Posted
Credit Support held by the Secured Party,
|
|
(2)
|
the
amount by which (a) the Fitch Credit Support Amount for such Valuation
Date exceeds (b) the Fitch Value as of such Valuation Date of all
Posted
Credit Support held by the Secured
Party,
|
|
(3)
|
the
amount by which (a) the ▇▇▇▇▇’▇ First Trigger Credit Support Amount for
such Valuation Date exceeds (b) the ▇▇▇▇▇’▇ First Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party,
and
|
11
|
(4)
|
the
amount by which (a) the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount for
such Valuation Date exceeds (b) the ▇▇▇▇▇’▇ Second Trigger Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party.
|
|
(B)
|
“Return
Amount”
has the meaning specified in Paragraph 3(b) as amended by deleting
in its
entirety the sentence beginning “Unless otherwise specified in Paragraph
13” and ending “(ii) the Credit Support Amount.” and inserting in lieu
thereof the following:
|
The
“Return
Amount”
applicable to the Secured Party for any Valuation Date will equal the least
of
|
(1)
|
the
amount by which (a) the S&P Value as of such Valuation Date of all
Posted Credit Support held by the Secured Party exceeds (b) the S&P
Credit Support Amount for such Valuation
Date,
|
|
(2)
|
the
amount by which (a) the Fitch Value as of such Valuation Date of
all
Posted Credit Support held by the Secured Party exceeds (b) the Fitch
Credit Support Amount for such Valuation
Date,
|
|
(3)
|
the
amount by which (a) the ▇▇▇▇▇’▇ First Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the ▇▇▇▇▇’▇ First Trigger Credit Support Amount for such Valuation Date,
and
|
|
(4)
|
the
amount by which (a) the ▇▇▇▇▇’▇ Second Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount for such Valuation
Date.
|
|
(C)
|
“Credit
Support Amount”
shall not apply. For purposes of calculating any Delivery Amount
or Return
Amount for any Valuation Date, reference shall be made to the S&P
Credit Support Amount, the Fitch Credit Support Amount, the ▇▇▇▇▇’▇ First
Trigger Credit Support Amount, or the ▇▇▇▇▇’▇ Second Trigger Credit
Support Amount, in each case for such Valuation Date, as provided
in
Paragraphs 13(b)(i)(A) and 13(b)(i)(B),
above.
|
|
(ii)
|
Eligible
Collateral.
|
On
any
date, the following items will qualify as “Eligible
Collateral”
(for
the avoidance of doubt, all Eligible Collateral to be denominated in
USD):
12
|
Collateral
|
S&P
Valuation
Percentage
|
Fitch
Valuation Percentage
|
▇▇▇▇▇’▇
First
Trigger Valuation
Percentage
|
▇▇▇▇▇’▇
Second
Trigger Valuation
Percentage
|
|||||
|
(A)
Cash
|
100%
|
100%
|
100%
|
100%
|
|||||
|
(B)
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of not more than one
year
|
98.5%
|
97.5%
|
100%
|
100%
|
|||||
|
(C)
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than one year but not more
than
ten years
|
91.0%
|
86.3%
|
100%
|
94%
|
|||||
|
(D)
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than ten years
|
88.0%
|
79.0%
|
100%
|
88%
|
Notwithstanding
the Valuation Percentages set forth in the preceding table, upon the first
Transfer of Eligible Collateral under this Annex, the Pledgor may, at the
Pledgor’s expense, agree the Valuation Percentages in relation to (B) through
(D) above with the relevant rating agency (to the extent such rating agency
is
providing a rating for the Certificates), and upon such agreement (as evidenced
in writing), such Valuation Percentages shall supersede those set forth in
the
preceding table.
|
(iii)
|
Other
Eligible Support.
|
The
following items will qualify as “Other
Eligible Support”
for the
party specified:
Such
Other Eligible Support as the Pledgor may designate; provided, at the expense
of
the Pledgor, the prior written consent of the relevant rating agency (to the
extent such rating agency is providing a rating for the Certificates) shall
have
been obtained. For the avoidance of doubt, there are no items that qualify
as
Other Eligible Support as of the date of this Annex.
|
(iv)
|
Threshold.
|
|
(A)
|
“Independent
Amount”
means zero with respect to Party A and Party
B.
|
|
(B)
|
“Threshold”
means, with respect to Party A and any Valuation Date, zero if (i)
no
Relevant Entity has credit ratings from S&P at least equal to the
S&P Required Ratings Threshold or (ii) a Collateral Event has occurred
and has been continuing (x) for at least 30 days or (y) since this
Annex
was executed; otherwise, infinity.
|
13
“Threshold”
means,
with respect to Party B and any Valuation Date, infinity.
|
(C)
|
“Minimum
Transfer Amount” means
USD 100,000; provided, however, that if the aggregate Certificate
Principal Balance of Certificates rated by S&P ceases to be more than
USD 50,000,000, “Minimum
Transfer Amount”
means USD 50,000; provided further, with respect to the Secured Party
at
any time when the Secured Party is a Defaulting Party, “Minimum
Transfer Amount”
means zero.
|
|
(D)
|
Rounding:
The
Delivery Amount will be rounded up and the Return Amount will be
rounded
down to the nearest integral multiple of USD
1000.
|
|
(c)
|
Valuation
and Timing.
|
|
(i)
|
“Valuation
Agent”
means Party A. The Valuation Agent’s calculations shall be made in
accordance with standard market practices using commonly accepted
third
party sources such as Bloomberg or
Reuters.
|
|
(ii)
|
“Valuation
Date” means
each Local Business Day.
|
|
(iii)
|
“Valuation
Time” means
the close of business in the city of the Valuation Agent on the Local
Business Day immediately preceding the Valuation Date or date of
calculation, as applicable; 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
11:00 a.m., New York time, on a Local Business Day.
|
|
(v)
|
External
Verification.
Notwithstanding anything to the contrary in the definitions of Valuation
Agent or Valuation Date, at any time at which neither Party A nor,
to the
extent applicable, its Credit Support Provider has a long-term
unsubordinated and unsecured debt rating of at least “BBB+” from S&P,
the Valuation Agent shall (A) calculate the Secured Party’s Exposure and
the S&P Value of Posted Credit Suppport on each Valuation Date based
on internal marks and (B) verify such calculations with external
marks
monthly by obtaining on the last Local Business Day of each calendar
month
two external marks for each Transaction to which this Annex relates
and
for all Posted Credit Suport; such verification of the Secured Party’s
Exposure shall be based on the higher of the two external marks.
Each
external ▇▇▇▇ in respect of a Transaction shall be obtained from
an
independent Reference Market-maker that would be eligible and willing
to
enter into such Transaction in the absence of the current derivative
provider, provided that an external ▇▇▇▇ ▇▇▇ not be obtained from
the same
Reference Market-maker more than four times in any 12-month period.
The
Valuation Agent shall obtain these external marks directly or through
an
independent third party, in either case at no cost to Party B. The
Valuation Agent shall calculate on each Valuation Date (for purposes
of
this paragraph, the last Local Business Day in each calendar month
referred to above shall be considered a Valuation Date) the Secured
Party’s Exposure based on the greater of the Valuation Agent’s internal
marks and the external marks received. If the S&P Value on any such
Valuation Date of all Posted Credit Support then held by the Secured
Party
is less than the S&P Credit Support Amount on such Valuation Date (in
each case as determined pursuant to this paragraph), Party A shall,
within
three Local Business Days of such Valuation Date, Transfer to the
Secured
Party Eligible Credit Support having an S&P Value as of the date of
Transfer at least equal to such
deficiency.
|
14
|
(vi)
|
Notice
to S&P.
At any time at which neither Party A nor, to the extent applicable,
its
Credit Support Provider has a long-term unsubordinated and unsecured
debt
rating of at least “BBB+” from S&P, the Valuation Agent shall provide
to S&P not later than the Notification Time on the Local Business Day
following each Valuation Date its calculations of the Secured Party’s
Exposure and the S&P Value of any Eligible Credit Support or Posted
Credit Support for that Valuation Date. The Valuation Agent shall
also
provide to S&P any external marks received pursuant to the preceding
paragraph.
|
|
(d)
|
Conditions
Precedent and Secured Party’s Rights and
Remedies.
The following Termination Events will be a “Specified
Condition”
for the party specified (that party being the Affected Party if the
Termination Event occurs with respect to that party):
None.
|
|
(e)
|
Substitution.
|
|
(i)
|
“Substitution
Date”
has the meaning specified in Paragraph
4(d)(ii).
|
|
(ii)
|
Consent.
If
specified here as applicable, then the Pledgor must obtain the Secured
Party’s consent for any substitution pursuant to Paragraph 4(d):
Inapplicable.
|
|
(f)
|
Dispute
Resolution.
|
|
(i)
|
“Resolution
Time”
means 1:00 p.m. New York time on the Local Business Day following
the date
on which the notice of the dispute is given under Paragraph
5.
|
|
(ii)
|
Value.
Notwithstanding anything to the contrary in Paragraph 12, for the
purpose
of Paragraphs 5(i)(C) and 5(ii), the S&P Value, Fitch Value, ▇▇▇▇▇’▇
First Trigger Value, and ▇▇▇▇▇’▇ Second Trigger Value, on any date, of
Eligible Collateral will be calculated as follows:
|
For
Eligible Collateral comprised of Cash, the amount of such Cash.
For
Eligible Collateral comprising securities, the sum of (A) the product of (1)(x)
the bid price at the Valuation Time for such securities on the principal
national securities exchange on which such securities are listed, or (y) if
such
securities are not listed on a national securities exchange, the bid price
for
such securities quoted at the Valuation Time by any principal market maker
for
such securities selected by the Valuation Agent, or (z) if no such bid price
is
listed or quoted for such date, the bid price listed or quoted (as the case
may
be) at the Valuation Time for the day next preceding such date on which such
prices were available and (2) the applicable Valuation Percentage for such
Eligible Collateral, and (B) the accrued interest on such securities (except
to
the extent Transferred to the Pledgor pursuant to Paragraph 6(d)(ii) or included
in the applicable price referred to in the immediately preceding clause (A))
as
of such date.
|
(iii)
|
Alternative.
The provisions of Paragraph 5 will apply; provided, that the obligation
of
the appropriate party to deliver the undisputed amount to the other
party
will not arise prior to the time that would otherwise have applied
to the
Transfer pursuant to, or deemed made, under Paragraph 3 if no dispute
had
arisen.
|
|
(g)
|
Holding
and Using Posted
Collateral.
|
|
(i)
|
Eligibility
to Hold Posted Collateral;
Custodians.
|
Party
B
is not and will not be entitled to hold Posted Collateral. Party B's Custodian
will be entitled to hold Posted Collateral pursuant to Paragraph 6(b); provided
that the Custodian for Party B shall be the same banking institution that acts
as Securities Administrator for the Certificates. The Custodian shall have
a
short-term unsecured and unsubordinated debt rating from S&P of at least
“A-1.”
15
Initially,
the Custodian
for
Party B is: to be advised in writing by Party B to Party A.
|
(ii)
|
Use
of Posted Collateral.
The provisions of Paragraph 6(c) will not apply to Party B; therefore,
Party B will not have any of the rights specified in Paragraph 6(c)(i)
or
6(c)(ii); provided, however, that the Securities Administrator shall
invest Cash Posted Credit Support in such investments as designated
by
Party A, with losses (net of gains) incurred in respect of such
investments to be for the account of Party A; provided further, that
such
investments designated by Party A shall be limited to money market
funds
rated “AAAm” or “AAAm-G” by S&P and from which such invested Cash
Posted Credit Support may be withdrawn upon no more than 2 Local
Business
Day’s notice of a request for
withdrawal.
|
|
(h)
|
Distributions
and Interest Amount.
|
|
(i)
|
Interest
Rate.
The “Interest
Rate”
will be the actual interest rate earned on Posted Collateral in the
form
of Cash pursuant to Paragraph
13(g)(ii).
|
|
(ii)
|
Transfer
of Interest Amount.
The Transfer of the Interest Amount will be made on the second Local
Business Day following the end of each calendar month and on any
other
Local Business Day on which Posted Collateral in the form of Cash
is
Transferred to the Pledgor pursuant to Paragraph 3(b); provided,
however,
that the obligation of Party B to Transfer any Interest Amount to
Party A
shall be limited to the extent that Party B has earned and received
such
funds and such funds are available to Party B.
|
|
(iii)
|
Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will
apply.
|
|
(i)
|
Additional
Representation(s).
There are no additional representations by either
party.
|
|
(j)
|
Other
Eligible Support and Other Posted Support.
|
|
(i)
|
“Value”
with respect to Other Eligible Support and Other Posted Support shall
have
such meaning as the parties shall agree in writing from time to time
pursuant to Paragraph 13(b)(iii).
|
|
(ii)
|
“Transfer”
with respect to Other Eligible Support and Other Posted Support shall
have
such meaning as the parties shall agree in writing from time to time
pursuant to Paragraph 13(b)(iii).
|
|
(k)
|
Demands
and Notices.All
demands, specifications and notices under this Annex will be made
pursuant
to the Notices Section of this Agreement, except that any demand,
specification or notice shall be given to or made at the following
addresses, or at such other address as the relevant party may from
time to
time designate by giving notice (in accordance with the terms of
this
paragraph) to the other party:
|
If
to
Party A:
▇
▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇
▇▇▇▇▇▇
▇▇▇▇▇
▇▇▇▇▇▇
▇▇▇ ▇▇▇, England
Attention: Swaps
Documentation
Facsimile
No.: ▇▇▇▇-▇▇▇-▇▇▇▇/6858
Telephone
No.: ▇▇▇▇-▇▇▇-▇▇▇▇/6904
16
with
a
copy to:
General
Counsel’s Office
▇▇▇
▇▇▇▇
▇▇▇▇▇▇
▇▇▇
▇▇▇▇,
▇▇ ▇▇▇▇▇
Notices
to Party A shall not be deemed effective unless delivered to the London address
set forth above.
If
to
Party B, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B’s Custodian: To be provided in writing by Party B to Party
A.
|
(l)
|
Address
for Transfers.
Each Transfer hereunder shall be made to the address specified in
writing
from time to time by the party to which such Transfer will be
made.
|
|
(m)
|
Other
Provisions.
|
|
(i)
|
Collateral
Account.
The Secured Party shall cause any Custodian appointed hereunder to
open
and maintain a segregated trust account and to hold, record and identify
all the Posted Collateral in such segregated trust account and, subject
to
Paragraph 8(a), such Posted Collateral shall at all times be and
remain
the property of the Pledgor and shall at no time constitute the property
of, or be commingled with the property of, the Secured Party or the
Custodian.
|
|
(ii)
|
Agreement
as to Single Secured Party and Single Pledgor.
Party A and Party B hereby agree that, notwithstanding anything to
the
contrary in this Annex, (a) the term “Secured Party” as used in this Annex
means only Party B, (b) the term “Pledgor” as used in this Annex means
only Party A, (c) only Party A makes the pledge and grant in Paragraph
2,
the acknowledgement in the final sentence of Paragraph 8(a) and the
representations in Paragraph 9.
|
|
(iii)
|
Calculation
of Value.
Paragraph 4(c) is hereby amended by deleting the word “Value” and
inserting in lieu thereof “S&P Value, Fitch Value, ▇▇▇▇▇’▇ First
Trigger Value, ▇▇▇▇▇’▇ Second Trigger Value”. Paragraph 4(d)(ii) is hereby
amended by (A) deleting the words “a Value” and inserting in lieu thereof
“an S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇
Second Trigger Value” and (B) deleting the words “the Value” and inserting
in lieu thereof “S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger Value,
and ▇▇▇▇▇’▇ Second Trigger Value”. Paragraph 5 (flush language) is hereby
amended by deleting the word “Value” and inserting in lieu thereof
“S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger Value, or ▇▇▇▇▇’▇
Second Trigger Value”. Paragraph 5(i) (flush language) is hereby amended
by deleting the word “Value” and inserting in lieu thereof “S&P Value,
Fitch Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇ Second Trigger
Value”. Paragraph 5(i)(C) is hereby amended by deleting the word “the
Value, if” and inserting in lieu thereof “any one or more of the S&P
Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger Value, or ▇▇▇▇▇’▇ Second Trigger
Value, as may be”. Paragraph 5(ii) is hereby amended by (1) deleting the
first instance of the words “the Value” and inserting in lieu thereof “any
one or more of the S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger
Value, or ▇▇▇▇▇’▇ Second Trigger Value” and (2) deleting the second
instance of the words “the Value” and inserting in lieu thereof “such
disputed S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger Value, or
▇▇▇▇▇’▇ Second Trigger Value”. Each of Paragraph 8(b)(iv)(B) and Paragraph
11(a) is hereby amended by deleting the word “Value” and inserting in lieu
thereof “least of the S&P Value, Fitch Value, ▇▇▇▇▇’▇ First Trigger
Value, and ▇▇▇▇▇’▇ Second Trigger
Value”.
|
|
(iv)
|
Form
of Annex. Party
A and Party B hereby agree that the text of Paragraphs 1 through
12,
inclusive, of this Annex is intended to be the printed form of ISDA
Credit
Support Annex (Bilateral Form - ISDA Agreements Subject to New York
Law
Only version) as published and copyrighted in 1994 by the International
Swaps and Derivatives Association,
Inc.
|
17
|
(v)
|
Events
of Default.
Paragraph 7 will not apply to cause any Event of Default to exist
with
respect to Party B except that Paragraph 7(i) will apply to Party
B solely
in respect of Party B’s obligations under Paragraph 3(b) of the Credit
Support Annex. Notwithstanding anything to the contrary in Paragraph
7,
any failure by Party A to comply with or perform any obligation to
be
complied with or performed by Party A under the Credit Support Annex
shall
only be an Event of Default if (A) a Required Ratings Downgrade Event
has
occurred and been continuing for 30 or more Local Business Days and
(B)
such failure is not remedied on or before the third Local Business
Day
after notice of such failure is given to Party
A.
|
|
(vi)
|
Expenses.
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 involved in any Transfer of Eligible
Collateral.
|
|
(vii)
|
Withholding.
Paragraph 6(d)(ii) is hereby amended by inserting immediately after
“the
Interest Amount”
in the fourth line thereof the words “less any applicable withholding
taxes.”
|
|
(viii)
|
Additional
Definitions.
As used in this Annex:
|
“Collateral
Event” means
that no Relevant Entity has credit ratings at least equal to the Approved
Ratings Threshold.
“Exposure”
has the meaning specified in Paragraph 12, except that after the word
“Agreement” the words “(assuming, for this purpose only, that Part 1(f) of the
Schedule is deleted)” shall be inserted.
“Fitch
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which a Fitch Rating Threshold Event has occurred
and been continuing for at least 30 days, an amount equal to the
sum of
(1) 100.0% of the Secured Party’s Exposure for such Valuation Date and (2)
the product of the Fitch Volatility Cushion for each Transaction
to which
this Annex relates and the Notional Amount of each such Transaction
for
the Calculation Period which includes such Valuation Date, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“Fitch
Rating Threshold Event” means,
on
any date, no Relevant Entity has credit ratings from Fitch at least equal to
the
Fitch First Trigger Ratings Threshold.
“Fitch
Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
product of (A) the bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the Fitch Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
18
“Fitch
Volatility Cushion”
means,
for any Transaction, the related percentage set forth in the following table.
|
The
higher of the Fitch credit rating of (i) Party A and (ii) the
Credit
Support Provider of Party A, if applicable
|
Remaining
Weighted Average Maturity
(years)
|
|||||||
|
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%
|
|
The
higher of the Fitch credit rating of (i) Party A and (ii) the
Credit
Support Provider of Party A, if applicable
|
Remaining
Weighted Average Maturity
(years)
|
|||||||
|
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%
|
|
“Local
Business Day”
means:
any day on which (A) commercial banks are open for business (including dealings
in foreign exchange and foreign currency deposits) in London, New York and
the
location of the Custodian, and (B) in relation to a Transfer of Eligible
Collateral, any day on which the clearance system agreed between the parties
for
the delivery of Eligible Collateral is open for acceptance and execution of
settlement instructions (or in the case of a Transfer of Cash or other Eligible
Collateral for which delivery is contemplated by other means a day on which
commercial banks are open for business (including dealings in foreign exchange
and foreign deposits) in New York and such other places as the parties shall
agree.
“▇▇▇▇▇’▇
First Trigger Additional Collateralized Amount”
means,
with respect to any Transaction and any Valuation Date, the product of the
applicable ▇▇▇▇▇’▇ First Trigger Factor set forth in Table 1 and the Notional
Amount for such Transaction for the Calculation Period which includes such
Valuation Date.
“▇▇▇▇▇’▇
First Trigger Event” means
that no Relevant Entity has credit ratings from ▇▇▇▇▇’▇ at least equal to the
▇▇▇▇▇’▇ First Trigger Ratings Threshold.
“▇▇▇▇▇’▇
First Trigger Credit Support Amount” means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which (I) a ▇▇▇▇▇’▇ First Trigger Event has occurred
and has been continuing (x) for at least 30 Local Business Days or
(y)
since this Annex was executed and (II) it is not the case that a
▇▇▇▇▇’▇
Second Trigger Ratings Event has occurred and been continuing for
at least
30 Local Business Days, an amount equal to the greater of (a) zero
and (b)
the sum of (i) the Secured Party’s Exposure for such Valuation Date and
(ii) the aggregate of ▇▇▇▇▇’▇ First Trigger Additional Collateralized
Amounts for all Transactions; or
|
19
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“▇▇▇▇▇’▇
First Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the ▇▇▇▇▇’▇ First Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“▇▇▇▇▇’▇
Second Trigger Additional Collateralized Amount”
means,
with respect to any Transaction and any Valuation Date, (A) if such Transaction
is not a Transaction-Specific Hedge, the product of the applicable ▇▇▇▇▇’▇
Second Trigger Factor set forth in Table 2 and the Notional Amount for such
Transaction for the Calculation Period which includes such Valuation Date and
(B) if such Transaction is a Transaction-Specific Hedge, the product of the
applicable ▇▇▇▇▇’▇ Second Trigger Factor set forth in Table 3 and the Notional
Amount for such Transaction for the Calculation Period which includes such
Valuation Date.
“▇▇▇▇▇’▇
Second Trigger Ratings Event” means
that no Relevant Entity has credit ratings from ▇▇▇▇▇’▇ at least equal to the
▇▇▇▇▇’▇ Second Trigger Ratings Threshold.
“▇▇▇▇▇’▇
Second Trigger Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which it is the case that a ▇▇▇▇▇’▇ Second Trigger
Ratings Event has occurred and been continuing for at least 30 Local
Business Days, an amount equal to the greatest of (a) zero, (b) the
aggregate amount of the Next Payments for all Next Payment Dates,
and (c)
the sum of (x) the Secured Party’s Exposure for such Valuation Date and
(y) the aggregate of ▇▇▇▇▇’▇ Second Trigger Additional Collateralized
Amounts for all Transactions; or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“▇▇▇▇▇’▇
Second Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the ▇▇▇▇▇’▇ Second Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“Next
Payment”
means,
in respect of the Next Payment Date, the greater of (i) the amount of any
payments due to be made by Party A under Section 2(a) on such Next Payment
Date
less any payments due to be made by Party B under Section 2(a) on such Next
Payment Date (in each case, after giving effect to any applicable netting under
Section 2(c)) and (ii) zero.
“Next
Payment Date”
means
the date on which the next scheduled payment under any Transaction is due to
be
paid.
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which (i) no Relevant Entity has credit ratings
from
S&P at least equal to the S&P Required Ratings Threshold or (ii)
an S&P Rating Threshold Event has occurred and been continuing for at
least 30 days, an amount equal to the sum of (1) 100.0% of the Secured
Party’s Exposure for such Valuation Date and (2) the product of the
S&P Volatility Buffer for each Transaction to which this Annex relates
and the Notional Amount of each such Transaction for the Calculation
Period which includes such Valuation Date, or
|
20
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II) the
Threshold for Party A for such Valuation Date.
“S&P
Rating Threshold Event”
means,
on any date, no Relevant Entity has credit ratings from S&P at least equal
to the S&P Approved Ratings Threshold.
“S&P
Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
product of (A) the bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the S&P Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
“S&P
Volatility Buffer”
means,
for any Transaction, the related percentage set forth in the following table.
|
The
higher of the S&P credit rating of (i) Party A and (ii) the Credit
Support Provider of Party A, if applicable
|
Remaining
Weighted Average Maturity
up
to 3 years
|
Remaining
Weighted Average Maturity
up
to 5 years
|
Remaining
Weighted Average Maturity
up
to 10 years
|
Remaining
Weighted Average Maturity
up
to 30 years
|
|
At
least “A-2”
|
2.75%
|
3.25%
|
4.00%
|
4.75%
|
|
“A-3”
|
3.25%
|
4.00%
|
5.00%
|
6.25%
|
|
“BB+”
or
lower
|
3.50%
|
4.50%
|
6.75%
|
7.50%
|
“Transaction-Specific
Hedge” means
any
Transaction that is a cap, floor or swaption, or a Transaction in respect of
which (x) the notional amount is “balance guaranteed” or (y) the notional amount
for any Calculation Period otherwise is not a specific dollar amount that is
fixed at the inception of the Transaction.
“Valuation
Percentage”
shall
mean, for purposes of determining the S&P Value, Fitch Value, ▇▇▇▇▇’▇ First
Trigger Value, or ▇▇▇▇▇’▇ Second Trigger Value with respect to any Eligible
Collateral or Posted Collateral, the applicable S&P Valuation Percentage,
Fitch Valuation Percentage, ▇▇▇▇▇’▇ First Trigger Valuation Percentage, or
▇▇▇▇▇’▇ Second Trigger Valuation Percentage for such Eligible Collateral or
Posted Collateral, respectively, in each case as set forth in Paragraph
13(b)(ii).
“Value”
shall
mean, in respect of any date, the related S&P Value, Fitch Value, the
related ▇▇▇▇▇’▇ First Trigger Value, and the related ▇▇▇▇▇’▇ Second Trigger
Value.
21
[Remainder
of this page intentionally left blank]
22
Table
1
|
RemainingWeighted
Average Life of Hedge in Years
|
▇▇▇▇▇’▇
First Trigger Factor—Single Currency Interest Rate
▇▇▇▇▇▇
|
▇▇▇▇▇’▇
First Trigger Factor—Currency ▇▇▇▇▇▇
|
|
Equal
to or less than 1
|
0.15%
|
1.10%
|
|
Greater
than 1 but less than or equal to 2
|
0.30%
|
1.20%
|
|
Greater
than 2 but less than or equal to 3
|
0.40%
|
1.30%
|
|
Greater
than 3 but less than or equal to 4
|
0.60%
|
1.40%
|
|
Greater
than 4 but less than or equal to 5
|
0.70%
|
1.50%
|
|
Greater
than 5 but less than or equal to 6
|
0.80%
|
1.60%
|
|
Greater
than 6 but less than or equal to 7
|
1.00%
|
1.60%
|
|
Greater
than 7 but less than or equal to 8
|
1.10%
|
1.70%
|
|
Greater
than 8 but less than or equal to 9
|
1.20%
|
1.80%
|
|
Greater
than 9 but less than or equal to 10
|
1.30%
|
1.90%
|
|
Greater
than 10 but less than or equal to 11
|
1.40%
|
1.90%
|
|
Greater
than 11 but less than or equal to 12
|
1.50%
|
2.00%
|
|
Greater
than 12 but less than or equal to 13
|
1.60%
|
2.10%
|
|
Greater
than 13 but less than or equal to 14
|
1.70%
|
2.10%
|
|
Greater
than 14 but less than or equal to 15
|
1.80%
|
2.20%
|
|
Greater
than 15 but less than or equal to 16
|
1.90%
|
2.30%
|
|
Greater
than 16 but less than or equal to 17
|
2.00%
|
2.30%
|
|
Greater
than 17 but less than or equal to 18
|
2.00%
|
2.40%
|
|
Greater
than 18 but less than or equal to 19
|
2.00%
|
2.40%
|
|
Greater
than 19 but less than or equal to 20
|
2.00%
|
2.50%
|
|
Greater
than 20 but less than or equal to 21
|
2.00%
|
2.50%
|
|
Greater
than 21 but less than or equal to 22
|
2.00%
|
2.50%
|
|
Greater
than 22 but less than or equal to 23
|
2.00%
|
2.50%
|
23
|
Greater
than 23 but less than or equal to 24
|
2.00%
|
2.50%
|
|
Greater
than 24 but less than or equal to 25
|
2.00%
|
2.50%
|
|
Greater
than 25 but less than or equal to 26
|
2.00%
|
2.50%
|
|
Greater
than 26 but less than or equal to 27
|
2.00%
|
2.50%
|
|
Greater
than 27 but less than or equal to 28
|
2.00%
|
2.50%
|
|
Greater
than 28 but less than or equal to 29
|
2.00%
|
2.50%
|
|
Greater
than 29
|
2.00%
|
2.50%
|
24
Table
2
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Moody’s
Second Trigger Factor—Single Currency Interest Rate Swaps
|
Moody’s
Second Trigger Factor—Currency Swaps
|
|
Equal
to or less than 1
|
0.50%
|
6.10%
|
|
Greater
than 1 but less than or equal to 2
|
1.00%
|
6.30%
|
|
Greater
than 2 but less than or equal to 3
|
1.50%
|
6.40%
|
|
Greater
than 3 but less than or equal to 4
|
1.90%
|
6.60%
|
|
Greater
than 4 but less than or equal to 5
|
2.40%
|
6.70%
|
|
Greater
than 5 but less than or equal to 6
|
2.80%
|
6.80%
|
|
Greater
than 6 but less than or equal to 7
|
3.20%
|
7.00%
|
|
Greater
than 7 but less than or equal to 8
|
3.60%
|
7.10%
|
|
Greater
than 8 but less than or equal to 9
|
4.00%
|
7.20%
|
|
Greater
than 9 but less than or equal to 10
|
4.40%
|
7.30%
|
|
Greater
than 10 but less than or equal to 11
|
4.70%
|
7.40%
|
|
Greater
than 11 but less than or equal to 12
|
5.00%
|
7.50%
|
|
Greater
than 12 but less than or equal to 13
|
5.40%
|
7.60%
|
|
Greater
than 13 but less than or equal to 14
|
5.70%
|
7.70%
|
|
Greater
than 14 but less than or equal to 15
|
6.00%
|
7.80%
|
|
Greater
than 15 but less than or equal to 16
|
6.30%
|
7.90%
|
|
Greater
than 16 but less than or equal to 17
|
6.60%
|
8.00%
|
|
Greater
than 17 but less than or equal to 18
|
6.90%
|
8.10%
|
|
Greater
than 18 but less than or equal to 19
|
7.20%
|
8.20%
|
|
Greater
than 19 but less than or equal to 20
|
7.50%
|
8.20%
|
|
Greater
than 20 but less than or equal to 21
|
7.80%
|
8.30%
|
|
Greater
than 21 but less than or equal to 22
|
8.00%
|
8.40%
|
|
Greater
than 22 but less than or equal to 23
|
8.00%
|
8.50%
|
25
|
Greater
than 23 but less than or equal to 24
|
8.00%
|
8.60%
|
|
Greater
than 24 but less than or equal to 25
|
8.00%
|
8.60%
|
|
Greater
than 25 but less than or equal to 26
|
8.00%
|
8.70%
|
|
Greater
than 26 but less than or equal to 27
|
8.00%
|
8.80%
|
|
Greater
than 27 but less than or equal to 28
|
8.00%
|
8.80%
|
|
Greater
than 28 but less than or equal to 29
|
8.00%
|
8.90%
|
|
Greater
than 29
|
8.00%
|
9.00%
|
26
Table
3
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Moody’s
Second Trigger Factor—Single Currency Interest Rate
▇▇▇▇▇▇
|
Moody’s
Second Trigger Factor—Currency ▇▇▇▇▇▇
|
|
Equal
to or less than 1
|
0.65%
|
6.30%
|
|
Greater
than 1 but less than or equal to 2
|
1.30%
|
6.60%
|
|
Greater
than 2 but less than or equal to 3
|
1.90%
|
6.90%
|
|
Greater
than 3 but less than or equal to 4
|
2.50%
|
7.10%
|
|
Greater
than 4 but less than or equal to 5
|
3.10%
|
7.40%
|
|
Greater
than 5 but less than or equal to 6
|
3.60%
|
7.70%
|
|
Greater
than 6 but less than or equal to 7
|
4.20%
|
7.90%
|
|
Greater
than 7 but less than or equal to 8
|
4.70%
|
8.20%
|
|
Greater
than 8 but less than or equal to 9
|
5.20%
|
8.40%
|
|
Greater
than 9 but less than or equal to 10
|
5.70%
|
8.60%
|
|
Greater
than 10 but less than or equal to 11
|
6.10%
|
8.80%
|
|
Greater
than 11 but less than or equal to 12
|
6.50%
|
9.00%
|
|
Greater
than 12 but less than or equal to 13
|
7.00%
|
9.20%
|
|
Greater
than 13 but less than or equal to 14
|
7.40%
|
9.40%
|
|
Greater
than 14 but less than or equal to 15
|
7.80%
|
9.60%
|
|
Greater
than 15 but less than or equal to 16
|
8.20%
|
9.80%
|
|
Greater
than 16 but less than or equal to 17
|
8.60%
|
10.00%
|
|
Greater
than 17 but less than or equal to 18
|
9.00%
|
10.10%
|
|
Greater
than 18 but less than or equal to 19
|
9.40%
|
10.30%
|
|
Greater
than 19 but less than or equal to 20
|
9.70%
|
10.50%
|
|
Greater
than 20 but less than or equal to 21
|
10.00%
|
10.70%
|
|
Greater
than 21 but less than or equal to 22
|
10.00%
|
10.80%
|
|
Greater
than 22 but less than or equal to 23
|
10.00%
|
11.00%
|
27
|
Greater
than 23 but less than or equal to 24
|
10.00%
|
11.00%
|
|
Greater
than 24 but less than or equal to 25
|
10.00%
|
11.00%
|
|
Greater
than 25 but less than or equal to 26
|
10.00%
|
11.00%
|
|
Greater
than 26 but less than or equal to 27
|
10.00%
|
11.00%
|
|
Greater
than 27 but less than or equal to 28
|
10.00%
|
11.00%
|
|
Greater
than 28 but less than or equal to 29
|
10.00%
|
11.00%
|
|
Greater
than 29
|
10.00%
|
11.00%
|
28