ISDAÒ International Swap Dealers Association, Inc. MASTER AGREEMENT dated as of December 28, 2006
(Multicurrency—Cross
Border)
ISDAÒ
International
Swap Dealers Association, Inc.
MASTER
AGREEMENT
dated
as
of December
28, 2006
|
WACHOVIA
BANK, NATIONAL ASSOCIATION
(“Party
A”)
|
and
|
SUPPLEMENTAL
INTEREST TRUST, STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE
LOAN
TRUST 2006-S4
(“Party
B”)
|
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.
|
| (iii) |
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.
|
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, NATIONAL ASSOCIATION | SUPPLEMENTAL INTEREST TRUST, STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST 2006-S4 | ||||
|
|
By:
Citibank N.A., not in its individual
capacity,
but solely as Trustee
|
||||
| By: | /s/ ▇▇▇ ▇. ▇▇▇▇ | By: | /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ | ||
|
|
|
||||
| Name:
▇▇▇ ▇.
▇▇▇▇ Title: Director Date: 12/28/06 |
Name:
▇▇▇▇▇
▇▇▇▇▇▇▇▇ Title: Vice President Date: 12/28/06 |
||||
Rate
Swap Schedule
SCHEDULE
to
the
Master
Agreement
dated
as
of December
28, 2006
between
|
WACHOVIA
BANK, N.A.
|
and
|
CITIBANK,
N.A.,
not in its individual capacity but solely as Trustee on behalf of
the
Supplemental Interest Trust created pursuant to Trust Agreement (as
defined below) (the “Supplemental
Interest Trust”)
|
|
_______________________________________
(“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 not apply to Party A or to Party
B.
|
1
| (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; provided,
however,
that
Section 5(a)(i) is hereby amended by replacing the word “third” with the word
“first.”
Section
5(a)(ii) (Breach
of Agreement)
will
apply to Party A and will not apply to Party B; except that Section 5(a)(ii)
will not apply to Party A with respect to Party A’s failure to comply with Part
5(b)(ii) or Part 5(b)(iii) herein.
Section
5(a)(iii) (Credit
Support Default)
will
apply to Party A and will not apply to Party B; except that Section 5(a)(iii)(1)
will apply in respect of Party B’s obligations under Paragraph 3(b) of any
Credit Support Document.
Section
5(a)(iv) (Misrepresentation)
will
apply to Party A and will not apply to 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 B and will apply to Party A with a Threshold Amount equal
to
three percent of the applicable Relevant Entity’s Shareholders’
Equity.
“Relevant
Entity”
means
Party A and any guarantor under an Eligible Guarantee in respect of all of
Party
A’s present and future obligations under this Agreement.
“Shareholders’
Equity”
shall
mean Party
A’s
“Total Equity Capital” (as shown in its most recently filed Consolidated Report
of Condition and Income for a Bank with Domestic and Foreign Offices Only (“Call
Report”), or any report in replacement thereof.
Section
5(a)(vii) (Bankruptcy)
will
apply to Party A and Party B; provided
that
clauses (2), (7) and (9) thereof shall not apply to Party B; provided
further
that clause (4) thereof shall not apply to Party B with respect to proceedings
or petitions instituted or presented by Party A or any Affiliate of Party A;
provided
further
that clause (6) shall not apply to Party B to the extent that it refers to
(i)
any appointment that is contemplated or effected by the Trust Agreement (as
defined below) or (ii) any appointment to which Party B has not become subject;
and provided
further
that clause (8) shall not apply to Party B to the extent that clause (8) relates
to clauses (2), (4), (6) and (7) (except to the extent that such provisions
are
not disapplied to Party B).
Section
5(a)(viii) (Merger
without Assumption)
will
apply to Party A and Party B.
Notwithstanding
Sections 5(a)(i) and 5(a)(iii) of this Agreement, 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 Document shall not be an Event of Default unless
(A)
(i) the Second
Rating Trigger Requirements
apply
and at
least
30 Local Business Days have elapsed since the last time the Second Rating
Trigger Requirements did not apply and (ii) such
failure is not remedied on or before the third Local Business Day after notice
of such failure is given to Party A,
or (B)
(i) a Ratings Event has occurred and is continuing and at least 10 Local
Business Days (or 30 calendar days, in the case of Fitch) have elapsed since
the
date a Ratings Event occurred and (ii) such failure is not remedied on or before
the third Local Business Day after notice of such failure is given to Party
A.
2
| (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; provided
that
Section
5(b)(ii) shall be amended by deleting the
words
“(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).”
Section
5(b)(iii) (Tax
Event upon Merger)
will
apply to Party A and Party B; provided
that
Party A shall not be entitled to designate an Early Termination Date by reason
of a Tax Event upon Merger in respect of which it is the Affected
Party.
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 or
Party B.
|
| (f) |
The
“Transfer
to Avoid Termination Event”
provision of Section 6(b)(ii) shall be amended
by deleting the
words “or if a Tax Event upon Merger occurs and the Burdened Party is the
Affected Party.”
|
| (g) |
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.
|
| (h) |
“Termination
Currency”
means United States Dollars.
|
| (i) |
Timing
of Party B Termination Payment.
If an amount calculated as being due in respect of an Early Termination
Date under Section 6(e) of this Agreement is an amount to be paid
by Party
B to Party A then, notwithstanding the provisions of Section 6(d)(ii)
of
this Agreement, such amount will be payable on the Business Day
immediately preceding the first Distribution Date following the date
on
which the payment would have been payable as determined in accordance
with
Section 6(d)(ii); provided
that if the date on which the payment would have been payable as
determined in accordance with Section 6(d)(ii) is a Distribution
Date,
then the payment will be payable on the date determined in accordance
with
Section 6(d)(ii).
|
| (j) |
Additional
Termination Events.
The following Additional Termination Events will apply, in each case
with
respect to Party A as the sole Affected Party (unless otherwise provided
below):
|
| (i) |
First
Rating Trigger Collateral.
Party A has failed to comply with or perform any obligation to be
complied
with or performed by Party A in accordance with the Credit Support
Document and either (A) the Second Rating Trigger Requirements do
not
apply or (B) less than 30 Local Business Days have elapsed since
the last time the Second Rating Trigger Requirements (as defined
below)
did not
apply.
|
| (ii) |
Second
Rating Trigger Replacement.
(A) The Second Rating Trigger Requirements apply and 30 or more Local
Business Days have elapsed since the last time the Second Rating
Trigger
Requirements did not apply and (B) (i) at least one Eligible Replacement
has made a Firm Offer (which remains capable of becoming legally
binding
upon acceptance) to be the transferee of a transfer to be made in
accordance with Part 5(f)(ii) below and/or (ii) at least one entity
with
the First Trigger Required Ratings and/or the Second Trigger Required
Ratings has made a Firm Offer (which remains capable of becoming
legally
binding upon acceptance by the offeree) to provide an Eligible Guarantee
in respect of all of Party A’s present and future obligations under this
Agreement.
|
3
The
“Second
Rating Trigger Requirements”
applies
when no Relevant Entity has credit ratings at least equal to the Second Trigger
Required Ratings.
“Firm
Offer”
means an
offer which, when made, was capable of becoming legally binding upon
acceptance.
| (iii) |
Ratings
Event.
Party A fails to comply with the downgrade provisions as set forth
in Part
5(b)(iii), after giving effect to all grace or cure periods therein,
and
(i) at least one Eligible Replacement has made a Firm Offer (which
remains
capable of becoming legally binding upon acceptance) to be the transferee
of a transfer to be made in accordance with Part 5(f)(ii) below and/or
(ii) at least one entity with the Hedge Counterparty Ratings Requirement
has made a Firm Offer (which remains capable of becoming legally
binding
upon acceptance by the offeree) to provide an Eligible Guarantee
in
respect of all of Party A’s present and future obligations under this
Agreement.
|
| (k) |
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
B or the Trust Fund (as defined in the Trust Agreement, dated as
of
December
1, 2006, among Structured Asset Securities Corporation, as depositor
,
Aurora Loan Services LLC, as master servicer, Citibank, N.A., as
trustee
(the “Trustee”),
and ▇▇▇▇▇▇▇ Fixed Income Services Inc., as credit risk manager (the
“Trust
Agreement”))
is terminated.
|
| (ii) |
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, or such amendment or modification has a materially adverse
effect on Party A; provided,
however,
that it shall not be an Additional Termination Event where such amendment
or modification involves the appointment of any successor trustee,
master
servicer or servicer pursuant to the terms of the Trust Agreement.
|
| (iii) |
The
Class Principal Amounts of the rated Certificates are reduced to
zero.
|
| (iv) |
Notice
of the Master Servicer’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 this
Agreement to the contrary, any amounts due as result of the occurrence of an
Additional Termination Event described in Part 1(k)(i) and Part 1(k)(iv) of
this Schedule may be calculated prior to the Early Termination Date and shall
be
payable on the Early Termination Date.
4
Part
2
Representations.
| (a) |
Payer
Tax Representations.
For the purpose of Section 3(e) of this Agreement, Party A and Party
B
will make the following representations:
None.
|
| (b) |
Gross
Up.
Section 2(d)(i)(4) shall not apply to Party B as X, and Section 2(d)(ii)
shall not apply to Party B as Y, in each case such that Party B shall
not
be required to pay any additional amounts referred to
therein.
|
| (c) |
Indemnifiable
Tax.
The definition of “Indemnifiable Tax” in Section 14 is deleted in its
entirety and replaced with the
following:
|
“Indemnifiable
Tax”
means,
in relation to payments by Party A, any Tax and, in relation to payments by
Party B, no Tax.
| (d) |
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 makes the following
representation(s):
|
None.
| (ii) |
Party
B makes the following
representation(s):
|
None.
5
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 the other party and (ii) promptly
upon
learning that any such Form previously provided by the other party
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
|
6
| Party required to deliver document | Form/Document/Certificate | Date by which to be delivered | Covered by §3(d) Representation | |||
|
Party
A and B
|
An
executed copy of the Disclosure Agreement relating to the Prospectus
Supplement (as defined in the Trust Agreement).
|
On
the date of such Prospectus Supplement.
|
Yes
|
|||
|
Party
A and 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 Party A.
|
Concurrently
with the execution and delivery of the Confirmation unless previously
delivered and still in full force and effect.
|
No
|
|||
|
Party
A
|
A
copy of the guaranty provided by the Credit Support Provider, if
applicable.
|
Concurrently
with the execution and delivery of the Confirmation unless previously
delivered and still in full force and effect.
|
Yes
|
|||
|
Party
A
|
An
opinion of counsel to such party relating to the enforceability of
the
guaranty reasonably satisfactory in form and substance to Party B,
if
applicable.
|
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 and other deal documents related
to
this Transaction.
|
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
|
7
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.
▇▇▇
▇▇▇▇▇
▇▇▇▇▇▇▇, ▇▇-▇
▇▇▇▇▇▇▇▇▇,
▇▇ ▇▇▇▇▇-▇▇▇▇
Attention:
▇▇▇▇▇
▇.
▇▇▇▇▇
Senior
Vice President, Risk Management
Fax:
(▇▇▇) ▇▇▇-▇▇▇▇
Phone:
(▇▇▇) ▇▇▇-▇▇▇▇
| (ii) |
Addresses
for notices or communications to Party
B:
|
Citibank,
N.A.
[[
]]
With
a
copy to:
Aurora
Loan Services LLC, as Master Servicer
▇▇▇
▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇, ▇▇▇ ▇▇▇▇▇
▇▇▇▇▇▇▇▇▇,
▇▇ ▇▇▇▇▇
Attention:
▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇
Facsimile
No.: (▇▇▇) ▇▇▇-▇▇▇▇
Telephone
No.: (▇▇▇) ▇▇▇-▇▇▇▇
| (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 the credit support annex entered into
between Party A and Party B in relation to this Agreement, and with
respect to Party A, any Eligible Guarantee, if applicable.
|
8
| (g) |
Credit
Support Provider.
Credit Support Provider means in relation to Party A, (1) Party A
in its
capacity as a party to the Credit Support Document and (2) the guarantor
under any Eligible Guarantee, and in relation to Party B, Party B
in its
capacity as a party to the Credit Support
Document.
|
| (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 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.
|
| (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.
|
| (o) |
Single
Agreement.
Section 1(c) shall be amended by adding the words “, the credit support
annex entered into between Party A and Party B in relation to this
Agreement” after the words “Master Agreement;” provided,
that Section 5(a)(ii) shall not apply to the Credit Support
Document.
|
| (p) |
Local
Business Day.
The definition of Local Business Day in Section 14 of this Agreement
shall
be amended by the addition of the words “or any Credit Support Document”
after “Section 2(a)(i)” and the addition of the words “or Credit Support
Document” after “Confirmation.”
|
9
Part
5.
Other
Provisions.
| (a) |
Definitions.
|
This
Agreement, including each Confirmation and each Swap 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 “Swap 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.
|
| (i) |
Second
Trigger Failure Condition.
So long as the Second Rating Trigger Requirements apply, Party A
shall, at its own expense use commercially reasonable efforts, as
soon as
reasonably practicable, to either (i) furnish an Eligible Guarantee
of
Party A’s obligations under this Agreement from a guarantor that maintains
the First Trigger Required Ratings and/or the Second Trigger Required
Ratings or (ii) obtain an Eligible Replacement pursuant to Part 5(f)
below
that assumes the obligations of Party A under this Agreement (through
a novation or other 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.
|
| (ii) |
Collateralization
Event.
It shall be a collateralization event (“Collateralization Event”) if (A)
either (i) the unsecured, short-term debt obligations of the Relevant
Entity are rated below “A-1” by Standard & Poor’s Rating Services, a
division of The ▇▇▇▇▇▇-▇▇▇▇ Companies, Inc. (“S&P”) or (ii) if the
Relevant Entity does not have a short-term rating from S&P, the
unsecured, long-term senior debt obligations of a Relevant Entity
are
rated below “A+” by S&P, or (B) the unsecured, long-term senior debt
obligations or financial strength ratings of the Relevant Entity
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 a Swap Agreement for purposes of the
Trust
Agreement. Within 30 calendar 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 in an
amount required to be posted pursuant to terms of the Credit Support
Document (such amount which is the greater of amounts required to
be
posted by ▇▇▇▇▇’▇, S&P and Fitch), (ii)
upon satisfaction of the Rating Agency Condition, furnish an Eligible
Guarantee of Party A’s obligations under this Agreement from a guarantor
that satisfies the Hedge Counterparty Ratings Requirement or (iii)
obtain
an Eligible Replacement that (x) upon satisfaction of the Rating
Agency
Condition (as defined below), 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 (y) having
provided prior written notice to S&P and Fitch, replaces the
outstanding Transactions hereunder with transactions on identical
terms,
except that Party A shall be replaced as counterparty; provided
that such Eligible
Replacement,
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.
|
10
“Rating
Agency Condition”
shall
mean first receiving prior written confirmation from S&P and Fitch that
their then-current ratings of the rated Certificates will not be downgraded
or
withdrawn by such Rating Agency.
| (iii) |
Ratings
Event.
It shall be a ratings event (“Ratings Event”) if at any time after the
date hereof, the Relevant Entity shall fail to satisfy the Hedge
Counterparty Ratings Threshold or the Relevant Entity is no longer
rated
by S&P. Within 30 calendar days (or, in the case of a failure to meet
the requirements of subparagraph (a) of the definition of “Hedge
Counterparty Ratings Threshold”, within 10 Local 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 an
Eligible Replacement that (x) upon satisfaction of the Rating Agency
Condition, 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 (y) having provided prior
written notice to S&P and Fitch, replaces the outstanding Transactions
hereunder with transactions on identical terms, except that Party A
shall be replaced as counterparty; provided
that such Eligible Replacement, 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, or (ii) upon satisfaction of the Rating
Agency Condition, furnish an Eligible Guarantee of Party A’s obligations
under this Agreement from a guarantor that satisfies the Hedge
Counterparty Ratings Requirement and
(iii) upon the occurrence of a Ratings Event, Party A shall immediately
be
required to post collateral in an amount required to be posted pursuant
to
terms of the Credit Support Document (such amount which is the greater
of
amounts required to be posted by ▇▇▇▇▇’▇, S&P and Fitch).
|
| (iv) |
Downgrade
Definitions.
|
| (A) |
“Eligible
Guarantee”
means an unconditional and irrevocable guarantee that is provided
by a
guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a law firm has given a legal
opinion confirming that none of the guarantor’s payments to Party B under
such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor’s
payments to Party B are subject to withholding for Tax, such guarantor
is
required to pay such additional amount as is necessary to ensure
that the
net amount actually received by Party B (free and clear of any withholding
tax) will equal the full amount Party B would have received had no
such
withholding been required.
|
| (B) |
“Eligible
Replacement”
means a Transferee (as defined in Part 5(f)(ii) herein) (i) (A) with
the
First Trigger Required Ratings and/or the Second Trigger Required
Ratings
or (B) whose present and future obligations owing to Party B are
guaranteed pursuant to an Eligible Guarantee provided by a guarantor
with
the First Trigger Required Ratings and/or the Second Trigger Required
Ratings and (ii) with the ratings specified in the definition of
Hedge
Counterparty Ratings Requirement
below.
|
11
| (C) |
“First
Trigger Required Ratings”
means with respect to an entity, either (i) where the entity is the
subject of a Moody’s Short-term Rating, such entity’s Moody’s Short-term
Rating is “Prime-1” and the entity’s long-term, unsecured and
unsubordinated debt or counterparty obligations are rated “A2” or above by
Moody’s or (ii) where the entity is not the subject of a Moody’s
Short-term Rating, its long-term, unsecured and unsubordinated debt
or
counterparty obligations are rated “A1” or above by
Moody’s.
|
| (D) |
“Hedge
Counterparty Ratings Threshold”
means, with respect to S&P, (a) the unsecured, long-term senior debt
obligations of Party A (or its Credit Support Provider) are rated at
least “BBB-” by S&P, and with respect to Fitch, (b) either (i) the
unsecured, senior debt obligations or financial strength ratings
of
Party A (or its Credit Support Provider), are rated at least “BBB+”
by Fitch or (ii) the unsecured, short-term debt obligations (if any)
of
Party A , are rated at least “F2” 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 Swap Agreement for purposes of the
Trust
Agreement.
|
| (E) |
“Hedge
Counterparty Ratings Requirement”
means (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, and (b) 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.
|
| (F) |
“Moody’s”
means ▇▇▇▇▇'▇ Investors Service,
Inc.
|
| (G) |
“Moody’s
Short-term Rating”
means a rating assigned by Moody’s under its short-term rating scale in
respect of an entity’s short-term, unsecured and unsubordinated debt
obligations.
|
| (H) |
A
“Second
Trigger Failure Condition”
occurs at any time no Relevant Entity maintains the Second Trigger
Required Ratings.
|
| (I) |
“Second
Trigger Required Ratings”
means with respect to an entity (A) either where the entity is the
subject
of a Moody’s Short-term Rating, such entity’s Moody’s Short-term Rating is
“Prime-2” or above and its long-term, unsecured and unsubordinated debt or
counterparty obligations are rated “A3” or above by Moody’s, and (B) where
such entity is not the subject of a Moody’s Short-term Rating, if the
entity’s long-term, unsecured and unsubordinated debt or counterparty
obligations are rated “A3” or above by
Moody’s.
|
| (c) |
Additional
Representations.
|
Section
3(a) of this Agreement is hereby amended to include the following additional
representations after paragraph 3(a)(v):
12
| (i) |
Eligible
Contract Participant.
It is an “eligible contract participant” as defined in the U.S. Commodity
Exchange Act.
|
| (ii) |
Individual
Negotiation.
This Agreement and each Transaction hereunder is subject to individual
negotiation by the parties.
|
| (iii) |
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):
|
| (A) |
Principal.
Party A is acting as principal and not as agent when entering into
this
Agreement and each Transaction. Party B is acting not in its individual
capacity but solely as Trustee on behalf of the Supplemental Interest
Trust.
|
| (B) |
Non-Reliance.
Party A 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. Party
B is
acting not in its individual capacity but solely as Trustee on behalf
of
the Supplemental Interest Trust. 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.
|
| (C) |
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.
|
| (D) |
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:
|
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 Confirmation with Reference ID: [[
]],
dated December [[
]],
2006, between Party A and Party B, as amended from time to time,
shall be
the sole Transaction under the Agreement.
|
| (f) |
Transfer.
|
| (i) |
Section
7 of this Agreement shall not apply to Party A and, subject to Section
6(b)(ii) (provided that to the extent Party A makes a transfer pursuant
to
Section 6(b)(ii) it will provide a prior written notice to the Rating
Agencies of such transfer) and Part 5(f)(ii) below, Party A may not
transfer (whether by way of security or otherwise) any interest or
obligation in or under this Agreement without first satisfying the
Rating
Agency Condition and without the prior written consent of Party
B.
|
13
| (ii) |
Subject
to Part 5(o) below, Party A may (at its own cost) transfer all or
substantially all of its rights and obligations with respect to this
Agreement to any other entity (a “Transferee”)
that is an Eligible Replacement through a novation or other assignment
and
assumption agreement or similar agreement in form and substance reasonably
satisfactory to Party B (acting at the direction of the Depositor);
provided that (A) Party B (acting at the direction of the Depositor)
shall
determine whether or not a transfer relates to all or substantially
all of
Party A’s rights and obligations under this Agreement, (B) 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,
(C) a Termination Event or Event of Default does not occur under
this
Agreement as a result of such transfer and (D) Party A receives
confirmation from each Rating Agency (other than Moody’s) that transfer to
the Transferee does not violate the Rating Agency Condition. Following
such transfer, all references to Party A shall be deemed to be references
to the Transferee.
|
| (iii) |
If
an entity has made a Firm Offer (which remains capable of becoming
legally
binding upon acceptance) to be the transferee of a transfer to be
made in
accordance with Part 5(f)(ii) above, Party B shall (at Party A’s cost) at
Party A’s written request, take any reasonable steps required to be taken
by it to effect such transfer.
|
| (iv) |
Except
as specified otherwise in the documentation evidencing a transfer,
a
transfer of all the obligations of Party A made in compliance with
this
Part 5(f) will constitute an acceptance and assumption of such obligations
(and any related interests so transferred) 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 Trustee not individually or
personally but solely as trustee of Supplemental Interest Trust,
in the
exercise of the powers and authority conferred and vested in it pursuant
to the Trust Agreement, (ii) each of the representations, undertakings
and
agreements herein made on the part of Supplemental Interest Trust
is made
and intended not as personal representations, undertakings and agreements
by Trustee but is made and intended for the purpose of binding only
Supplemental Interest Trust, (iii) nothing herein contained shall
be
construed as creating any liability on the part of 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 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
under this Agreement or any other related documents as to all of
which
recourse shall be had solely to the assets of the Supplemental Interest
Trust, in accordance with the terms of the Trust Agreement, unless
the
Trustee was grossly negligent or acted with willful
misconduct.
|
| (h) |
Proceedings.
Without impairing any right afforded to it under the Trust Agreement
as a
third party beneficiary, Party A shall not institute against or cause
any
other person to institute against, or join any other person in instituting
against the Trust Fund 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
(A) any case or proceeding voluntarily filed or commenced by Party
B or
(B) any involuntary insolvency proceeding filed or commenced by a
Person
other than Party A, or (ii) from commencing against Party B or any
of the
Collateral any legal action which is not a bankruptcy, reorganization,
arrangement, insolvency, moratorium, liquidation or similar
proceeding.
|
14
| (i) |
Amendments
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
words “to another account in the same legal and tax jurisdiction as the
original account” following the word “delivery” in the first line
thereof.
|
| (k) |
Trust
Agreement.
|
| (i) |
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.
|
| (ii) |
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) |
No
Set-off.
|
| (i) |
All
payments under this Agreement shall be made without set-off or
counterclaim, except as expressly provided for in Section 2(c), Section
6
or Part 5(q)(vi) below and paragraphs 8(a) and 8(b) of the Credit
Support
Document.
|
| (ii) |
Section
6(e) shall be amended by the deletion of the following sentence:
“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.”
|
| (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(m) shall not constitute
an
Event of Default or a Termination Event. Each party agrees to provide
to
the other party any other notice reasonably expected to be provided
to
facilitate compliance with the terms of this Agreement and the Credit
Support Document.
|
| (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.
|
15
| (o) |
Amendments.
This Agreement will not be amended unless the Rating Agency Condition
is
satisfied. Notwithstanding
any other provision of this Agreement, this Agreement shall not be
amended, no Early Termination Date shall be effectively designated
by
Party B, and no transfer of any rights or obligations under this
Agreement
shall be made unless each Rating Agency has been given prior written
notice of such amendment, designation or
transfer.
|
| (p) |
Non-Petition
and Limited Recourse.
The liability of Party B under this Agreement is limited in recourse
to
the assets of the Trust Fund, 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 proceeds thereof) in accordance with the Trust
Agreement, Party A shall not be entitled to take any further steps
against
Party B to 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.
|
| (q) |
Calculations.
Notwithstanding Section 6 of this Agreement, so long as Party A is
(A) the
sole Affected Party in respect of an Additional Termination Event
or a Tax
Event Upon Merger or (B) the Defaulting Party in respect of any Event
of
Default, paragraphs (i) to (vi) below shall apply:
|
| (i) |
The
definition of “Market
Quotation”
shall be deleted in its entirety and replaced with the
following:
|
“Market
Quotation” means,
with respect to one or more Terminated Transactions, a Firm Offer which is
(1)
made by a Reference Market-maker that is an Eligible Replacement, (2) for an
amount that would be paid to Party B (expressed as a negative number) or by
Party B (expressed as a positive number) in consideration of an agreement
between Party B and such 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 Transactions or group of Terminated Transactions that would,
but for the occurrence of the relevant Early Termination Date, have been
required after that Date, (3) made on the basis that Unpaid Amounts in respect
of the Terminated Transaction or group of 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 and (4) made in respect of a Replacement Transaction with terms
substantially the same as those of this Agreement (save for the exclusion of
provisions relating to Transactions that are not Terminated Transactions).
| (ii) |
The
definition of“Settlement
Amount” shall
be deleted in its entirety and replaced with the
following:
|
16
“Settlement
Amount” means,
with respect to any Early Termination Date, an amount (as determined by Party
B)
equal to the Termination Currency Equivalent of the amount (whether positive
or
negative) of any Market Quotation for the relevant Terminated Transaction or
group of Terminated Transactions that is accepted by Party B so as to become
legally binding; provided that:
| (A) |
If,
on the
day falling ten Local Business Days after the day on which the Early
Termination Date is designated or such later day as Party B may specify
in
writing to Party A (but in either case no later than the Early Termination
Date) (such day the “Latest Settlement Amount Determination Day”), no
Market Quotation for the relevant Terminated Transaction or group
of
Terminated Transactions has been accepted by Party B so as to become
legally binding and one or more Market Quotations have been made
and
remain capable of becoming legally binding upon acceptance, the Settlement
Amount shall equal the Termination Currency Equivalent of the amount
(whether positive or negative) of the lowest of such Market Quotations
(for the avoidance of doubt, the lowest negative number shall equal
the
largest absolute value such that, for example, negative 3 shall be
lower
than negative 2); or
|
| (B) |
If,
on the Latest Settlement Amount Determination Day, no Market Quotation
for
the relevant Terminated Transaction or group of Terminated Transactions
is
accepted by Party B so as to become legally binding and no Market
Quotations have been made and remain capable of becoming legally
binding
upon acceptance, the Settlement Amount shall equal Party B’s Loss (whether
positive or negative and without reference to any Unpaid amounts)
for the
relevant Terminated Transaction or group of Terminated
Transactions.
|
| (iii) |
For
the purpose of clause (4) of the definition of Market Quotation,
Party B
shall determine (acting
at the direction of the Depositor) whether a Firm Offer is made in
respect
of a Replacement Transaction with commercial terms substantially
the same
as those of this Agreement (save for the exclusion of provisions
relating
to Transactions that are not Terminated Transactions); provided,
however,
that notwithstanding the provisions of this Part 5(q), nothing in
this
Agreement shall preclude Party A from obtaining Market
Quotations.
|
| (iv) |
At
any time on or before the Latest Settlement Amount Determination
Day at
which two or more Market Quotations remain capable of becoming legally
binding upon acceptance, Party B shall be entitled to accept only
the
lowest of such Market Quotations.
|
| (v) |
If
Party B requests Party A in writing to obtain Market Quotations,
Party A
shall use its reasonable efforts to do so before the Latest Settlement
Amount Determination Day.
|
| (vi) |
If
the Settlement Amount is a negative number, Section 6(e)(i)(3) of
this
Agreement shall be deleted in its entirety and replaced with the
following:
|
17
Second
Method and Market Quotation. If
Second
Method and Market Quotation apply, (1) Party B shall pay to Party A an amount
equal to the absolute value of the Settlement Amount in respect of the
Terminated Transactions, (2) Party B shall pay to Party A the Termination
Currency Equivalent of the Unpaid Amounts owing to Party A and (3) Party A
shall
pay to Party B the Termination Currency Equivalent of the Unpaid Amounts owing
to Party B; provided that, (i) the amounts payable under (2) and (3) shall
be
subject to netting in accordance with Section 2(c) of this Agreement and (ii)
notwithstanding any other provision of this Agreement, any amount payable by
Party A under (3) shall not be netted-off against any amount payable by Party
B
under (1).
18
[Signature
page follows]
19
IN
WITNESS WHEREOF,
the
parties have executed this document by their duly authorized officers with
effect from the date specified on the first page hereof.
| WACHOVIA BANK, N.A. |
CITIBANK,
N.A.,
not in its individual capacity but solely as Trustee on behalf
of the
Supplemental Interest Trust created pursuant to Trust
Agreement
|
||||
| By: | /s/ ▇▇▇ ▇. ▇▇▇▇ | By: | /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ | ||
|
Name: ▇▇▇ ▇. ▇▇▇▇ Title: Director |
Name: ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ Title: Vice President |
||||
20
[Logo]
Wachovia
Bank, N.A.
▇▇▇
▇▇▇▇▇
▇▇▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇▇▇▇▇▇▇,
▇▇ ▇▇▇▇▇
|
DATE:
|
December
28, 2006
|
|
TO:
|
Supplemental
Interest Trust
Structured
Asset Securities Corporation Mortgage Loan Trust 2006-S4 (“Party
B”)
c/o
Citibank, N.A.
▇▇▇
▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇, ▇▇▇▇
▇▇▇▇▇
▇▇▇
▇▇▇▇, ▇▇ ▇▇▇▇▇
Attention:
Structured Finance - SASCO 2006-S4
|
|
FROM:
|
Wachovia
Bank, N.A. (“Party A”)
▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇▇▇▇▇▇▇,
▇▇ ▇▇▇▇▇
|
|
RE:
|
Interest
Rate Swap Transaction
|
Dear
Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the Transaction entered into between us on the Trade Date
specified below (the “Transaction”).
The
definitions and provisions contained in the 2000 ISDA Definitions as published
by the International Swaps and Derivatives Association, Inc. are incorporated
into this Confirmation. In the event of any inconsistency between those
definitions and provisions and this Confirmation, this Confirmation will
govern.
This
Confirmation constitutes a “Confirmation” as referred to in, and supplements,
forms part of and is subject to, the ISDA Master Agreement dated as of December
28, 2006, as amended and supplemented from time to time (the “Agreement”)
between Party A and Party B. All provisions contained in the Agreement govern
this Confirmation except as expressly modified below.
1
| 1. |
The
Swap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as
follow:
|
|
General
Terms
|
|||
|
Trade
Date:
|
December
19, 2006
|
||
|
Effective
Date:
|
January
25, 2007, subject to adjustment in accordance with the Following
Business
Day Convention
|
||
|
Termination
Date:
|
December
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:
|
|||
|
Fixed
Rate Payer:
|
Party
B
|
||
|
Fixed
Rate Payer
Period End Dates:
|
For
a Calculation Period, the Period End Date set forth on Schedule A
hereto
|
||
|
Fixed
Rate Payer Payment Dates:
|
Early
Payment, one (1) Business Day preceding each Fixed Rate Payer Period
End
Date.
|
||
|
Fixed
Rate
|
See
Amortization Schedule, Schedule A
|
||
|
Fixed
Rate Day Count Fraction:
|
Actual/360
|
||
|
Floating
Amounts:
|
|||
|
Floating
Rate Payer:
|
Party
A
|
||
|
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
month
|
||
|
Spread:
|
None
|
||
|
Floating
Rate Day Count Fraction:
|
Actual/360
|
||
|
Floating
Rate Payer Upfront Payment:
|
$981,000.
Party A shall pay ▇▇▇▇▇▇ Brothers Holdings Inc. (for the benefit
of Party
B) the Floating Rate Payer Upfront Payment on or prior to December
28,
2006, subject to adjustment in accordance with the Following Business
Day
Convention.
|
2
| Floating Amounts: | |||
|
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.
|
Procedural
Terms:
|
||
|
Calculation
Agent:
|
Party
A
|
||
|
Offices:
|
The
Office of Party A for this Swap Transaction is Charlotte,
NC.
|
||
|
Account
Details:
|
|||
|
Payments
to Party A:
|
Wachovia
Bank, N.A.
CIB
Group, ABA ▇▇▇▇▇▇▇▇▇
Ref:
Derivative Desk (Trade No: ▇▇▇▇▇▇▇)
Account
#: 04659360006116
|
||
|
Payments
to Party B:
|
Citibank
NA
ABA#
▇▇▇-▇▇▇-▇▇▇
Acct
Name: Structured Finance Incoming Wire
Acct
#: 3617-2242
Ref:
SASCO 2006-S4/106285
|
||
|
For
Floating Rate Payer Upfront Payment Only:
|
|||
|
Payments
to ▇▇▇▇▇▇ Brothers Holdings Inc.:
|
Chase
NYC
Aba
▇▇▇▇▇▇▇▇▇
a/c
LBI
a/c
066206677
Reference:
SASCO 2006-S4 Upfront Swap Payment
|
||
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
(▇▇▇) ▇▇▇-▇▇▇▇ to the attention of Fixed Income Documentation:
Fax
Number :
(▇▇▇)
▇▇▇-▇▇▇▇
Telephone
Number : (▇▇▇)
▇▇▇-▇▇▇▇
| WACHOVIA BANK, NATIONAL ASSOCIATION | |
| |
|
| By: | /s/ ▇▇▇ ▇. ▇▇▇▇ |
|
Name:
▇▇▇ ▇. ▇▇▇▇
Title:
Director
|
|
Accepted
and confirmed as of the Trade Date written above:
|
SUPPLEMENTAL
INTEREST TRUST,
STRUCTURED
ASSET SECURITIES CORPORATION MORTGAGE LOAN TRUST
2006-S4
By:
Citibank, N.A., not in its individual capacity, but solely as
Trustee
|
|
| |
|
| By: | /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ |
|
Name:
▇▇▇▇▇ ▇▇▇▇▇▇▇▇
Title:
Vice President
|
|
4
SCHEDULE
A to the Confirmation dated as of December 28, 2006
Re:
Reference Number 1680532
Amortization
Schedule, *subject
to adjustment in accordance with the Following Business Day
Convention
|
Period
End Date:
|
Notional
Amount
(USD)
|
Fixed
Rate (%)
|
||
|
February
25, 2007
|
499,847,000.00
|
5.5300%
|
||
|
March
25, 2007
|
488,064,000.00
|
5.5200%
|
||
|
April
25, 2007
|
471,469,000.00
|
5.4900%
|
||
|
May
25, 2007
|
454,486,000.00
|
5.4400%
|
||
|
June
25, 2007
|
438,106,000.00
|
5.3800%
|
||
|
July
25, 2007
|
422,308,000.00
|
5.3000%
|
||
|
August
25, 2007
|
407,070,000.00
|
5.2300%
|
||
|
September
25, 2007
|
392,374,000.00
|
5.1500%
|
||
|
October
25, 2007
|
378,201,000.00
|
5.0800%
|
||
|
November
25, 2007
|
362,073,000.00
|
5.0200%
|
||
|
December
25, 2007
|
346,622,000.00
|
4.9700%
|
||
|
January
25, 2008
|
330,466,000.00
|
4.9300%
|
||
|
February
25, 2008
|
311,491,000.00
|
4.9000%
|
||
|
March
25, 2008
|
293,587,000.00
|
4.8700%
|
||
|
April
25, 2008
|
276,694,000.00
|
4.8500%
|
||
|
May
25, 2008
|
260,755,000.00
|
4.8300%
|
||
|
June
25, 2008
|
245,715,000.00
|
4.8200%
|
||
|
July
25, 2008
|
231,525,000.00
|
4.8200%
|
||
|
August
25, 2008
|
218,135,000.00
|
4.8100%
|
||
|
September
25, 2008
|
205,502,000.00
|
4.8100%
|
||
|
October
25, 2008
|
193,582,000.00
|
4.8100%
|
||
|
November
25, 2008
|
158,782,000.00
|
4.8100%
|
||
|
December
25, 2008
|
134,723,000.00
|
4.8000%
|
||
|
January
25, 2009
|
117,091,000.00
|
4.7900%
|
||
|
February
25, 2009
|
103,686,000.00
|
4.8000%
|
||
|
March
25, 2009
|
93,236,000.00
|
4.8100%
|
||
|
April
25, 2009
|
84,937,000.00
|
4.8200%
|
||
|
May
25, 2009
|
78,263,000.00
|
4.8300%
|
||
|
June
25, 2009
|
72,845,000.00
|
4.8400%
|
||
|
July
25, 2009
|
67,778,000.00
|
4.8500%
|
||
|
August
25, 2009
|
63,039,000.00
|
4.8500%
|
||
|
September
25, 2009
|
58,608,000.00
|
4.8600%
|
||
|
October
25, 2009
|
54,464,000.00
|
4.8700%
|
||
|
November
25, 2009
|
50,587,000.00
|
4.8800%
|
||
|
December
25, 2009
|
46,961,000.00
|
4.8900%
|
||
|
January
25, 2010
|
43,571,000.00
|
4.9000%
|
||
|
February
25, 2010
|
40,400,000.00
|
4.9100%
|
||
|
March
25, 2010
|
37,435,000.00
|
4.9300%
|
||
|
April
25, 2010
|
34,661,000.00
|
4.9400%
|
||
|
May
25, 2010
|
32,068,000.00
|
4.9400%
|
||
|
June
25, 2010
|
29,643,000.00
|
4.9500%
|
5
|
Period
End Date:
|
Notional
Amount
(USD)
|
Fixed
Rate (%)
|
||
|
July
25, 2010
|
27,375,000.00
|
4.9600%
|
||
|
August
25, 2010
|
25,254,000.00
|
4.9700%
|
||
|
September
25, 2010
|
23,270,000.00
|
4.9800%
|
||
|
October
25, 2010
|
21,414,000.00
|
4.9900%
|
||
|
November
25, 2010
|
19,679,000.00
|
5.0000%
|
||
|
December
25, 2010
|
18,057,000.00
|
5.0000%
|
||
|
January
25, 2011
|
16,540,000.00
|
5.0100%
|
||
|
February
25, 2011
|
15,121,000.00
|
5.0300%
|
||
|
March
25, 2011
|
13,794,000.00
|
5.0400%
|
||
|
April
25, 2011
|
12,553,000.00
|
5.0500%
|
||
|
May
25, 2011
|
11,393,000.00
|
5.0500%
|
||
|
June
25, 2011
|
10,308,000.00
|
5.0600%
|
||
|
July
25, 2011
|
9,293,000.00
|
5.0700%
|
||
|
August
25, 2011
|
8,344,000.00
|
5.0700%
|
||
|
September
25, 2011
|
7,457,000.00
|
5.0700%
|
||
|
October
25, 2011
|
6,627,000.00
|
5.0800%
|
||
|
November
25, 2011
|
5,851,000.00
|
5.0800%
|
||
|
December
25, 2011
|
5,125,000.00
|
5.0800%
|
6
Elections
and Variables
to
the 1994 ISDA Credit Support Annex
dated
as of
December
28, 2006
between
|
WACHOVIA
BANK, N.A.
|
and
|
CITIBANK,
N.A.,
not in its individual capacity but solely as Trustee on behalf
of the
Supplemental Interest Trust created pursuant to Trust
Agreement
|
|
_______________________________________
(“Party
A”)
|
_________________________________________
(“Party
B”)
|
Paragraph
13.
| (a) |
Security
Interest for “Obligations”.
|
The
term
“Obligations”
as used
in this Annex includes the following additional obligations: None.
| (b) |
Credit
Support Obligations.
|
| (i) |
Delivery
Amount, Return Amount and Credit Support
Amount.
|
| (A) |
“Delivery
Amount”
has the meaning specified in Paragraph 3(a), 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;”
provided,
that the Delivery Amount shall be calculated, with respect to collateral
posting required by each Rating Agency, by using (i) such Rating
Agency’s
Valuation Percentages as provided below to determine Value and (ii)
the
Credit Support Amount related to such Rating Agency. The Delivery
Amount
shall be the greatest of such calculated
amounts.
|
| (B) |
“Return
Amount”
has the meaning
specified in Paragraph 3(b); provided,
that the Return Amount shall be calculated, with respect to collateral
posting required by each Rating Agency, by using (i) such Rating
Agency’s
Valuation Percentages as provided below to determine Value and (ii)
the
Credit Support Amount related to such Rating Agency. The Return Amount
shall be the least of such calculated
amounts.
|
| (C) |
“Credit
Support Amount”
has the meaning specified in Paragraph 13(j)(iv).
|
| (ii) |
Eligible
Credit Support.
The following Valuation
Percentages1
shall apply to Eligible Collateral with respect to Party A; provided,
however,
that all Eligible Collateral shall be denominated in United States
Dollars.
|
1
|
Collateral
|
S&P
Valuation
Percentage
|
Fitch
Valuation
Percentage
|
Moody’s
First
Trigger Valuation
Percentage
|
Moody’s
Second
Trigger Valuation
Percentage
|
|||||||||
|
Cash
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
|||||
|
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
|
%
|
|||||
|
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
|
89.9
|
%
|
86.3
|
%
|
100
|
%
|
94
|
%
|
|||||
|
Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than ten years
|
83.9
|
%
|
86.7
|
%
|
100
|
%
|
87
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date
of not
more than one year
|
98.0
|
%
|
(2
|
)
|
100
|
%
|
99
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date
of more
than one year but not more than ten years
|
86.9
|
%
|
(3
|
)
|
100
|
%
|
93
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date
of more
than ten years
|
77.9
|
%
|
(4
|
)
|
100
|
%
|
86
|
%
|
|||||
| (iii) |
Thresholds.
|
| (A) |
“Independent
Amount”
means with respect to Party A: Zero
|
“Independent
Amount”
means
with respect to Party B: Zero
| (B) |
“Threshold”
means with respect to Party A: infinity; provided
that the Threshold with respect to Party A shall be zero for so long
as no
Relevant Entity has the First Trigger Required Ratings or a
Collateralization Event is occurring and (i) no Relevant Entity has
had
the First Trigger Required Ratings since this Annex was executed,
or (ii)
at least 30 Local Business Days have elapsed since the last time
a
Relevant Entity had the First Trigger Required Ratings, or (iii)
no
Relevant Entity has met the Hedge Counterparty Ratings Requirement
since
this Annex was executed, or (iv) at least 30 calendar days have elapsed
since the last time a Collateralization Event occurred or (v) a Ratings
Event is occurring.
|
2 Subject to review by Fitch.
3 Subject
to review by
Fitch.
4 Subject
to review by
Fitch.
2
“Threshold”
means
with respect to Party B: infinity.
| (C) |
“Minimum
Transfer Amount”
means
with respect to Party A: USD $100,000; provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000.
|
| (D) |
“Minimum
Transfer Amount”
means with respect to Party B: USD $100,000 (or
if the Posted Collateral is less than $100,000, the aggregate Value
of
Posted Collateral),
provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000 (or if the Posted
Collateral is less than $50,000, the aggregate Value of Posted
Collateral).
|
| (E) |
Rounding.
The Delivery Amount will be rounded up to the nearest integral multiple
of
USD $10,000; provided,
however,
that if S&P is rating the Certificates, the Delivery Amount will be
rounded up to the nearest integral multiple of $1,000. The Return
Amount
will be rounded down to the nearest integral multiple of USD $10,000;
provided,
however,
that if S&P is rating the Certificates, the Return Amount will be
rounded down to the nearest integral multiple of
$1,000.
|
| (iv) |
“Exposure”
has the meaning specified in Paragraph 12, except that (1) after
the word
“Agreement” the words “(assuming, for this purpose only, that Part 5(q) of
the Schedule is deleted)” shall be inserted and (2) at the end of such
definition, the words “with terms substantially the same as those of this
Agreement.”
|
| (c) |
Valuation
and Timing.
|
| (i) |
“Valuation
Agent”
means Party A in all circumstances.
|
| (ii) |
“Valuation
Date”
means the first Local Business Day in each
week.
|
| (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
Credit Support Amount will, as far as practicable, 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.
|
| (d) |
Conditions
Precedent and Secured Party’s
Rights and Remedies. 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.
|
3
| (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 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 Eligible
Credit Support or Posted Credit Support as of the relevant Valuation
Date
or date of Transfer will be calculated as follows:
|
| (A) |
with
respect to any Eligible Credit Support or Posted Credit Support comprising
securities (“Securities”)
the sum of (a)(x) the last bid price on such date for such Securities
on
the principal national securities exchange on which such Securities
are
listed, multiplied by the applicable Valuation Percentage; or (y)
where
any Securities are not listed on a national securities exchange,
the bid
price for such Securities quoted as at the close of business on such
date
by any principal market maker (which shall not be and shall be independent
from the Valuation Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation Percentage; or (z)
if no
such bid price is listed or quoted for such date, the last bid price
listed or quoted (as the case may be), as of the day next preceding
such
date on which such prices were available, multiplied by the applicable
Valuation Percentage; plus (b) the accrued interest where applicable
on
such Securities (except to the extent that such interest shall have
been
paid to the Pledgor pursuant to Paragraph 5(c)(ii) or included in
the
applicable price) as of such date; and
|
| (B) |
with
respect to any Cash, the face amount
thereof.
|
| (iii) |
Alternative.
The provisions of Paragraph 5 will apply.
|
| (g) |
Holding
and Using Posted
Collateral.
|
| (i) |
Eligibility
to Hold Posted Collateral; Custodians:
|
A
Custodian will be entitled to hold Posted Collateral on behalf of Party B
pursuant to Paragraph 6(b); provided
that:
(1) Posted
Collateral may be held only in the following jurisdiction: United
States.
(2) The
Custodian for Party B (A) is a commercial bank or trust company which is
unaffiliated with Party B and organized under the laws of the United States
or
state thereof, having assets of at least $500 million and a long term debt
or a
deposit rating of at least (i) Baa2 from Moody’s and (ii) A-1 from S&P, or
is the Trustee, and a short term rating from Fitch of at least “F1” and (B)
shall hold all Eligible Credit Support in the Collateral Account in accordance
with the provisions of the Trust Agreement.
Initially,
the Custodian for Cash and Securities for Party B is: The Trustee under the
Trust Agreement, or any successor trustee thereto.
4
| (ii) |
Use
of Posted Collateral.
The provisions of Paragraph 6(c)(i) will not apply to Party B, but
the
provisions of Paragraph 6(c)(ii) will apply to Party B.
|
| (iii) |
Notice.
If a party or its Custodian fails to meet the criteria for eligibility
to
hold (or, in the case of a party, to use) Posted Collateral set forth
in
this Paragraph 13(g), such party shall promptly notify the other
party of
such ineligibility.
|
| (h) |
Distributions
and Interest Amount.
|
| (i) |
Interest
Rate.
The “Interest
Rate”
will be the actual rate of interest earned on Posted Collateral,
or such
other rate as the parties may agree from time to
time.
|
| (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), in each case
to the
extent that a Delivery Amount would not be created or increased by
that
transfer, provided
that Party B shall not be obliged to so transfer any Interest Amount
unless and until it has earned and received such
interest.
|
| (iii) |
Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will apply.
|
| (i) |
Address
for Transfers.
|
Party
A:
To be notified to Party B by Party A at the time of the request for the
transfer.
Party
B:
To be notified to Party A by Party B upon request by Party A.
| (j) |
Other
Provisions.
|
| (i) |
Events
of Default.
|
Subclause
(iii) shall be deleted from Paragraph
7.
| (ii) |
Costs
of Transfer on Exchange.
|
|
Notwithstanding
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 the transfer
of
Eligible Credit Support either from the Pledgor to the Secured
Party or
from the Secured Party to the
Pledgor.
|
| (iii) |
Cumulative
Rights.
|
|
The
rights, powers and remedies of the Secured Party under this Annex
shall be
in addition to all rights, powers and remedies given to the Secured
Party
by the Agreement or by virtue of any statute or rule of law, all
of which
rights, powers and remedies shall be cumulative and may be exercised
successively or concurrently without impairing the rights of the
Secured
Party in the Posted
Credit Support created pursuant to this
Annex.
|
| (iv) |
Ratings
Criteria.
|
“Credit
Support Amount”
means
(a) in respect of S&P, the S&P Credit Support Amount, (b) in respect of
Fitch, the Fitch Credit Support Amount, and (c) in respect of Moody’s, the
Moody’s First Trigger Credit Support Amount, or the Moody’s Second Trigger
Credit Support Amount, as applicable.
5
With
respect to Fitch:
“Fitch
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date (x) on which a Collateralization Event with
respect to
Fitch has occurred and been continuing for at least 30 calendar
days or
(y) on which a Ratings Event with respect to Fitch has occurred
and is
continuing, an amount equal to the sum of (1) the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
and (2) the aggregate of the products of the Volatility Buffer
for each
Transaction and the Notional Amount of each Transaction for the
Calculation Period of each such Transaction which includes such
Valuation
Date, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
| (II) |
the
Threshold for Party A for such Valuation
Date.
|
“Volatility
Buffer”
shall
mean the percentage set forth in the following table with respect to any
Transaction (other than a Transaction identified in the related Confirmation
as
a Timing Hedge):
|
Weighted
Average Life (Years)
|
||||||||||||||||||||||||||||||||||||||||||||||
|
Notes’
Rating
|
1
|
2
|
3
|
4
|
5
|
6
|
7
|
8
|
9
|
10
|
11
|
12
|
13
|
14
|
>=15
|
|||||||||||||||||||||||||||||||
|
USD
Interest Rate Swaps
|
||||||||||||||||||||||||||||||||||||||||||||||
|
AA-
or Better
|
0.8
|
1.7
|
2.5
|
3.3
|
4.0
|
4.7
|
5.3
|
5.9
|
6.5
|
7.0
|
7.5
|
8.0
|
8.5
|
9.0
|
9.5
|
|||||||||||||||||||||||||||||||
|
A+/A
|
0.6
|
1.2
|
1.8
|
2.3
|
2.8
|
3.3
|
3.8
|
4.2
|
4.6
|
5.0
|
5.3
|
5.7
|
6.0
|
6.4
|
6.7
|
|||||||||||||||||||||||||||||||
|
A-/BBB+
|
0.5
|
1.0
|
1.6
|
2.0
|
2.5
|
2.9
|
3.3
|
3.6
|
4.0
|
4.3
|
4.7
|
5.0
|
5.3
|
5.6
|
5.9
|
|||||||||||||||||||||||||||||||
With
respect to Moody’s:
“▇▇▇▇▇’▇
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 Failure
Condition 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 Moody’s Second Trigger 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 the Secured Party’s aggregate Exposure for all
Transactions and the aggregate of Moody’s Additional Collateralized
Amounts for each Transaction.
|
|
For
the purposes of this definition, the “Moody’s
Additional Collateralized Amount”
with respect to any Transaction shall mean the lesser of:
|
|
(1)
the lesser of (x) the product of the Moody’s First Trigger DV01 Multiplier
and DV01 for such Transaction and such Valuation Date and (y) the
product
of ▇▇▇▇▇’▇ First Trigger Notional Amount Multiplier and the Notional
Amount for such Transaction for the Calculation Period which includes
such
Valuation Date; and
|
6
|
(2)
the product of the applicable Moody’s First Trigger Factor set forth in
Table 1 and the Notional Amount for 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 such Valuation
Date.
|
“First Trigger Failure Condition” means that no Relevant Entity has credit ratings from Moody’s at least equal to the Moody’s First Trigger Required Ratings.
“DV01”
means,
with respect to a Transaction and any date of determination, the sum of the
estimated change in the Secured Party’s Exposure with respect to such
Transaction that would result from a one basis point change in the relevant
swap
curve on such date, as determined by the Valuation Agent in good faith and
in a
commercially reasonable manner. The Valuation Agent shall, upon request of
Party
B, provide to Party B a statement showing in reasonable detail such
calculation.
“Moody’s
First Trigger DV01 Multiplier”
means
25.
“Moody’s
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).
“▇▇▇▇▇’▇
First Trigger Notional Amount Multiplier”
means
4%.
“▇▇▇▇▇’▇
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 Failure Condition 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
(c) the
sum of the Secured Party’s aggregate Exposure and the aggregate of Moody’s
Additional Collateralized Amounts for each
Transaction.
|
|
For
the purposes of this definition, the “Moody’s
Additional Collateralized Amount”
with respect to any Transaction shall mean:
|
|
if
such Transaction is not a Transaction-Specific Hedge, the lesser
of
|
|
(1)
the lesser of (i) the product of the Moody’s Second Trigger DV01
Multiplier and DV01 for such Transaction and such Valuation Date
and (ii)
the product of the ▇▇▇▇▇’▇ Second Trigger Notional Amount Multiplier and
the Notional Amount for such Transaction for the Calculation Period
which
includes such Valuation Date; and
|
|
(2)
the product of the applicable Moody’s Second Trigger Factor set forth in
Table 2 and the Notional Amount for such Transaction for the Calculation
Period which includes such Valuation Date;
or
|
7
|
if
such Transaction is a Transaction-Specific Hedge, the lesser
of
|
|
(1)
the lesser of (i) the product of the Moody’s Second Trigger
Transaction-Specific Hedge DV01 Multiplier and DV01 for such Transaction
and such Valuation Date and (ii) the product of the Moody’s Second Trigger
Transaction-Specific Hedge Notional Amount Multiplier and the Notional
Amount for such Transaction for the Calculation Period which includes
such
Valuation Date; and
|
|
(2)
the product of the applicable Moody’s Second Trigger Factor set forth in
Table 3 and the Notional Amount for such Transaction for the Calculation
Period which includes such Valuation Date; or
|
8
| (B) |
for
any other Valuation Date, zero,
over
|
| (II) |
the Threshold for Party A for such Valuation
Date.
|
“Next
Payment”
means,
in
respect of each Next Payment Date, the greater of (i) the amount of any payments
due to be made by Party A under Section 2(a) of the Master Agreement on such
Next Payment Date less any payments due to be made by Party B under Section
2(a)
of the Master Agreement on such Next Payment Date (in each case, after giving
effect to any applicable netting under Section 2(c) of the Master Agreement)
and
(ii) zero.
“Next
Payment Date”
means
each date on which the next scheduled payment under any Transaction is due
to be
paid.
“Transaction-Specific
Hedge” means
any
Transaction that is an interest rate cap, interest rate floor or interest
rate
swaption, or an interest rate swap if (x) the notional amount of the interest
rate swap is “balance guaranteed” or (y) the notional amount of the interest
rate swap for any Calculation Period otherwise is not a specific dollar amount
that is fixed at the inception of the Transaction.
“Second
Trigger Failure Condition”
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 DV01 Multiplier”
means
60.
“Moody’s
Second Trigger Transaction-Specific Hedge DV01
Multiplier”
means
75.
“Moody’s
Second Trigger Transaction-Specific Hedge Notional Amount
Multiplier”
means
11%.
“Moody’s
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).
“Moody’s
Second Trigger Notional Amount Multiplier”
means
9%.
9
With
respect to S&P:
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date (x) on which a Collateralization Event with
respect to
S&P has occurred and been continuing for at least 30 calendar days
or
(y) on which a Ratings Event with respect to S&P has occurred and is
continuing, an amount equal to the sum of (1) the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
and (2) the aggregate of the products of the Volatility Buffer
for each
Transaction and the Notional Amount of each Transaction for the
Calculation Period of each such Transaction which includes such
Valuation
Date, or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
| (II) |
the Threshold for Party A for such Valuation
Date.
|
“Volatility
Buffer”
shall
mean the percentage set forth in the following table with respect to any
Transaction (other than a Transaction identified in the related Confirmation
as
a Timing Hedge):
|
Short-term
credit rating of Party A’s Credit Support Provider
|
Remaining
Weighted Average Life Maturity up to 3 years
|
Remaining
Weighted Average Life Maturity up to 5 years
|
Remaining
Weighted Average Life Maturity up to 10 years
|
Remaining
Weighted Average Life 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
|
|||||||||
| (v) |
Demands
and Notices.
|
All
demands, specifications and notices under this Annex will be made pursuant
to
the Notices Section of this Agreement, save that any demand, specification
or
notice:
| (A) |
shall
be given to or made at the following
addresses:
|
If
to
Party A:
As
set
forth in Part 4(a) of the Schedule.
If
to
Party B:
As
set
forth in Part 4(a) of the Schedule.
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 subparagraph) to the
other
party;
| (B) |
shall
be deemed to be effective at the time such notice is actually received
unless such notice is received on a day which is not a Local Business
Day
or after the Notification Time on any Local Business Day in which
event
such notice shall be deemed to be effective on the next succeeding
Local
Business Day.
|
10
Pursuant
to the Section 4.03 of the Trust Agreement, the monthly report to
Certificateholders shall be made available to Party A in the manner and form
specified therein.
| (vi) |
Agreement
as to Single Secured Party and
Pledgor
|
|
Party
A and Party B agree that, notwithstanding anything to the contrary
in the
first
sentence of this Annex, Paragraph 1(b) or Paragraph 2 or the definitions
in Paragraph 12, except with respect to Party B’s obligations under
Paragraph 3(b), (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 and (d) only Party A will be required
to
make Transfers of Eligible Credit Support hereunder. Party A and
Party B
further agree that, notwithstanding anything to the contrary in
the
recital to this Annex or Paragraph 7, this Annex will constitute
a Credit
Support Document only with respect to Party
A.
|
| (vii) |
Trustee
Capacity.
|
|
It
is expressly understood and agreed by the parties hereto that (i)
this
Annex is executed and delivered by the Trustee not individually
or
personally but solely as supplemental interest trustee of the Trust,
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 the Trust 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 the Trust,
(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 the Trust under this Annex or any other related documents
as
to all of which recourse shall be had solely to the assets of the
Trust in
accordance with the terms of the Trust Agreement; unless the Trustee
was
grossly negligent or acted with wilful
misconduct.
|
| (viii) |
External
Marks.
|
At
such
time as the long-term senior debt rating of Party A’s
Credit
Support Provider is BBB or lower from S&P, Party A in its capacity as
Valuation Agent shall get external verification of its calculation of Exposure
on a monthly basis. This verification shall be at Party A’s expense and may not
be verified by the same entity more than four (4) times in any twelve (12)-month
period. The external ▇▇▇▇ should reflect the higher of two (2) bids from
counterparties that would be willing and eligible to provide the swap in
the
absence of the current provider. Such bids and any external marks received
by
the Valuation Agent shall be provided to S&P. The calculation of Exposure
should be based on the greater of the internal and external marks.
[Signature
page follows]
11
IN
WITNESS WHEREOF,
the
parties have executed this document by their duly authorized officers with
effect from the date specified on the first page hereof.
| WACHOVIA BANK, N.A. |
CITIBANK,
N.A.,
not in its individual capacity but solely as Trustee on behalf
of the
Supplemental Interest Trust created pursuant to Trust
Agreement
|
||||
| By: | /s/ ▇▇▇ ▇. ▇▇▇▇ | By: | /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ | ||
|
Name: ▇▇▇ ▇. ▇▇▇▇ Title: Director |
Name: ▇▇▇▇▇ ▇▇▇▇▇▇▇▇ Title: Vice President |
||||
12
Table
1
|
Moody’s
First Trigger Factor
|
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|||
|
1
or less
|
0.25
|
%
|
||
|
More
than 1 but not more than 2
|
0.50
|
%
|
||
|
More
than 2 but not more than 3
|
0.70
|
%
|
||
|
More
than 3 but not more than 4
|
1.00
|
%
|
||
|
More
than 4 but not more than 5
|
1.20
|
%
|
||
|
More
than 5 but not more than 6
|
1.40
|
%
|
||
|
More
than 6 but not more than 7
|
1.60
|
%
|
||
|
More
than 7 but not more than 8
|
1.80
|
%
|
||
|
More
than 8 but not more than 9
|
2.00
|
%
|
||
|
More
than 9 but not more than 10
|
2.20
|
%
|
||
|
More
than 10 but not more than 11
|
2.30
|
%
|
||
|
More
than 11 but not more than 12
|
2.50
|
%
|
||
|
More
than 12 but not more than 13
|
2.70
|
%
|
||
|
More
than 13 but not more than 14
|
2.80
|
%
|
||
|
More
than 14 but not more than 15
|
3.00
|
%
|
||
|
More
than 15 but not more than 16
|
3.20
|
%
|
||
|
More
than 16 but not more than 17
|
3.30
|
%
|
||
|
More
than 17 but not more than 18
|
3.50
|
%
|
||
|
More
than 18 but not more than 19
|
3.60
|
%
|
||
|
More
than 19 but not more than 20
|
3.70
|
%
|
||
|
More
than 20 but not more than 21
|
3.90
|
%
|
||
|
More
than 21 but not more than 22
|
4.00
|
%
|
||
|
More
than 22 but not more than 23
|
4.00
|
%
|
||
|
More
than 23 but not more than 24
|
4.00
|
%
|
||
|
More
than 24 but not more than 25
|
4.00
|
%
|
||
|
More
than 25 but not more than 26
|
4.00
|
%
|
||
|
More
than 26 but not more than 27
|
4.00
|
%
|
||
|
More
than 27 but not more than 28
|
4.00
|
%
|
||
|
More
than 28 but not more than 29
|
4.00
|
%
|
||
|
More
than 29
|
4.00
|
%
|
||
13
Table
2
|
Moody’s
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
|
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|||
|
1
or less
|
0.60%
|
|||
|
More
than 1 but not more than 2
|
1.20
|
%
|
||
|
More
than 2 but not more than 3
|
1.70
|
%
|
||
|
More
than 3 but not more than 4
|
2.30
|
%
|
||
|
More
than 4 but not more than 5
|
2.80
|
%
|
||
|
More
than 5 but not more than 6
|
3.30
|
%
|
||
|
More
than 6 but not more than 7
|
3.80
|
%
|
||
|
More
than 7 but not more than 8
|
4.30
|
%
|
||
|
More
than 8 but not more than 9
|
4.80
|
%
|
||
|
More
than 9 but not more than 10
|
5.30
|
%
|
||
|
More
than 10 but not more than 11
|
5.60
|
%
|
||
|
More
than 11 but not more than 12
|
6.00
|
%
|
||
|
More
than 12 but not more than 13
|
6.40
|
%
|
||
|
More
than 13 but not more than 14
|
6.80
|
%
|
||
|
More
than 14 but not more than 15
|
7.20
|
%
|
||
|
More
than 15 but not more than 16
|
7.60
|
%
|
||
|
More
than 16 but not more than 17
|
7.90
|
%
|
||
|
More
than 17 but not more than 18
|
8.30
|
%
|
||
|
More
than 18 but not more than 19
|
8.60
|
%
|
||
|
More
than 19 but not more than 20
|
9.00
|
%
|
||
|
More
than 20 but not more than 21
|
9.00
|
%
|
||
|
More
than 21 but not more than 22
|
9.00
|
%
|
||
|
More
than 22 but not more than 23
|
9.00
|
%
|
||
|
More
than 23 but not more than 24
|
9.00
|
%
|
||
|
More
than 24 but not more than 25
|
9.00
|
%
|
||
|
More
than 25 but not more than 26
|
9.00
|
%
|
||
|
More
than 26 but not more than 27
|
9.00
|
%
|
||
|
More
than 27 but not more than 28
|
9.00
|
%
|
||
|
More
than 28 but not more than 29
|
9.00
|
%
|
||
|
More
than 29
|
9.00
|
%
|
||
14
Table
3
|
Moody’s
Second Trigger Factor
for Transaction-Specific
▇▇▇▇▇▇
|
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|||
|
1
or less
|
0.75
|
%
|
||
|
More
than 1 but not more than 2
|
1.50
|
%
|
||
|
More
than 2 but not more than 3
|
2.20
|
%
|
||
|
More
than 3 but not more than 4
|
2.90
|
%
|
||
|
More
than 4 but not more than 5
|
3.60
|
%
|
||
|
More
than 5 but not more than 6
|
4.20
|
%
|
||
|
More
than 6 but not more than 7
|
4.80
|
%
|
||
|
More
than 7 but not more than 8
|
5.40
|
%
|
||
|
More
than 8 but not more than 9
|
6.00
|
%
|
||
|
More
than 9 but not more than 10
|
6.60
|
%
|
||
|
More
than 10 but not more than 11
|
7.00
|
%
|
||
|
More
than 11 but not more than 12
|
7.50
|
%
|
||
|
More
than 12 but not more than 13
|
8.00
|
%
|
||
|
More
than 13 but not more than 14
|
8.50
|
%
|
||
|
More
than 14 but not more than 15
|
9.00
|
%
|
||
|
More
than 15 but not more than 16
|
9.50
|
%
|
||
|
More
than 16 but not more than 17
|
9.90
|
%
|
||
|
More
than 17 but not more than 18
|
10.40
|
%
|
||
|
More
than 18 but not more than 19
|
10.80
|
%
|
||
|
More
than 19 but not more than 20
|
11.00
|
%
|
||
|
More
than 20 but not more than 21
|
11.00
|
%
|
||
|
More
than 21 but not more than 22
|
11.00
|
%
|
||
|
More
than 22 but not more than 23
|
11.00
|
%
|
||
|
More
than 23 but not more than 24
|
11.00
|
%
|
||
|
More
than 24 but not more than 25
|
11.00
|
%
|
||
|
More
than 25 but not more than 26
|
11.00
|
%
|
||
|
More
than 26 but not more than 27
|
11.00
|
%
|
||
|
More
than 27 but not more than 28
|
11.00
|
%
|
||
|
More
than 28 but not more than 29
|
11.00
|
%
|
||
|
More
than 29
|
11.00
|
%
|
||
15