RATE SWAP TRANSACTION CONFIRMATION BETWEEN COUNTRYWIDE HOME LOANS, INC. AND BNP PARIBAS
EXHIBIT
99.2
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08
June 2007
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BNP
PARIBAS
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COUNTRYWIDE
HOME LOANS, INC.
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▇▇▇▇▇▇▇▇
▇▇▇▇▇▇▇▇
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BFI-LSI-CMO-BACK
OFFICE SWAPS
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Managing
Director And Treasurer CHL, Inc.
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ACI:CSB04A1
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4500
PARK GRANADA
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75450
PARIS CEDEX 09
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MSN
CH-43
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FRANCE
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CALABASAS
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CALIFORNIA
91302
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FAX: ▇▇▇
▇ ▇▇ ▇▇ ▇▇ ▇▇
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UNITED
STATES
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BETWEEN
COUNTRYWIDE HOME LOANS, INC. AND BNP PARIBAS
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”). In this Confirmation, “Party A”
means BNP Paribas and “Party B” means Countrywide Home Loans, Inc.
The
definitions and provisions contained in the 2000 ISDA Definitions (the “2000
Definitions”), as published by the International Swaps and Derivatives
Association, Inc. (“ISDA”) are incorporated into this
Confirmation. References herein to a “Transaction” shall be deemed to
be references to a “Swap Transaction” for the purposes of the 2000
Definitions. Each party hereto agrees to make payment to the other
party hereto in accordance with the provisions of this Confirmation and of
the
Agreement. Terms capitalized but not defined herein shall have the
meanings attributed to them in the pooling and servicing agreement dated as
of
May 1, 2007 (the “Pooling and Servicing Agreement”) among CWABS, Inc., as
depositor, Countrywide Home Loans, Inc., as a seller, Park Monaco Inc., as
a
seller, Park Sienna LLC, as a seller, Countrywide Home Loans Servicing LP,
as
master servicer, The Bank of New York, as trustee, and The Bank of New York
Trust Company, N.A., as co-trustee. In the event of any inconsistency
between the 2000 Definitions, the PSA and this Confirmation, this Confirmation
will govern for the purposes of the Transaction.
This
Confirmation will constitute a Confirmation that supplements, forms a part
of,
and is subject to, the ISDA Master Agreement dated as of 28 May 1996, as amended
and supplemented from time to time, between Party A and Party B (the
“Agreement”). All provisions contained in the Agreement shall govern
this Confirmation except as expressly modified below.
In
the
event of any inconsistency between the provisions of the Agreement and this
Confirmation, this Confirmation will prevail for purposes of this Swap
Transaction.
1
The
terms
of the particular Transaction to which this Confirmation relates are as
follows:
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2.
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TRADE
DETAILS
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Our
Reference:
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2442755
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Trade
Date:
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01
June 2007.
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Effective
Date:
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08
June 2007.
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Termination
Date:
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25
April 2015, subject to adjustment in accordance with the Following
Business Day Convention; provided, however, that for the purpose
of
determining the final Fixed Rate Payer Period End Date, Termination
Date
shall be subject to no adjustment.
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Notional
Amount:
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With
respect to each Calculation Period, the lesser of (i) the Notional
Amount
as set forth in Appendix attached hereto and (ii) the aggregate Principal
Balance of the Reference Assets on or about the 15th
calendar day of each month, commencing in the month of June
2007.
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Reference
Assets:
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CWABS,
Inc. Asset-Backed Certificates, Series 2007-9, Class 1-A (Cusip:
▇▇▇▇▇▇▇▇▇), Class 2-A-1 (Cusip: ▇▇▇▇▇▇▇▇▇), Class 2-A-2 (Cusip:
▇▇▇▇▇▇▇▇▇), Class 2-A-3 (Cusip: ▇▇▇▇▇▇▇▇▇), Class 2-A-4 (Cusip:
▇▇▇▇▇▇▇▇▇), Class M-1 (Cusip: ▇▇▇▇▇▇▇▇▇), Class M-2 (Cusip:
▇▇▇▇▇▇▇▇▇), Class M-3 (Cusip: ▇▇▇▇▇▇▇▇▇), Class M-4 (Cusip: ▇▇▇▇▇▇▇▇▇),
Class M-5 (Cusip: ▇▇▇▇▇▇▇▇▇), Class M-6 (Cusip: ▇▇▇▇▇▇▇▇▇), Class
M-7
(Cusip: ▇▇▇▇▇▇▇▇▇), Class M-8 (Cusip: ▇▇▇▇▇▇▇▇▇), Class M-9 (Cusip:
▇▇▇▇▇▇▇▇▇) and Class B (Cusip:
▇▇▇▇▇▇▇▇▇).
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2
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Principal
Balance:
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As
reported on Bloomberg Financial Services, Inc. (“Bloomberg”): by entering
the Cusip, <Mtge>, type “pdi4”, <Go>`. If Bloomberg fails to
publish the aggregate Principal Balance of the Reference Assets or
the
parties fail to agree on the aggregate Principal Balance of the Reference
Assets for any Calculation Period, the aggregate Principal Balance
of the
Reference Assets shall be determined by the Calculation Agent pursuant
to
the Pooling and Servicing Agreement.
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Calculation
Agent:
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Party
A
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Upfront
Amount:
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Upfront
Amount:
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Party
B will pay USD 3,925,000 to Party A on June 8, 2007.
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Fixed
Amounts:
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Fixed
Rate Payer:
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Party
B.
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Fixed
Rate Payer Period End Date(s):
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The
25th
of
each month in each year from (and including) 25 June 2007 to (and
including) the Termination Date, subject to no adjustment.
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Fixed
Rate Payer Payment Date(s):
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The
25th
of
each month in each year from (and including) 25 June 2007 to (and
including) the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
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Fixed
Rate:
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5.30%
per annum.
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Fixed
Rate Day Count Fraction:
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30/360.
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Floating
Amounts:
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Floating
Rate Payer:
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Party
A.
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Floating
Rate Payer Period End Date(s):
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The
25th
of
each month in each year from (and including) 25 June 2007 to (and
including) the Termination Date, subject to adjustment in accordance
with
the Following Business Day Convention.
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Floating
Rate Payer Payment Date(s):
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Early
Payment shall be applicable. For each Calculation Period, the
Floating Rate Payer Payment Date shall be the first Business Day
prior to
the related Floating Rate Payer Period End Date.
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3
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Floating
Rate Option:
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USD-LIBOR-BBA.
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Spread
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Inapplicable.
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Floating
Rate Day Count Fraction:
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Actual/360.
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Designated
Maturity:
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1
Month.
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Compounding:
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Inapplicable.
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Reset
Dates:
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The
first day of each Calculation Period.
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Business
Days for Both Parties:
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New
York.
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3.
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ACCOUNT
DETAILS
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Payments
to Party A:
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BNP
PARIBAS NEW YORK, NEW YORK
Swift
Code: ▇▇▇▇▇▇▇▇▇▇▇
A/C
00200-194093-001-36
Favor: BNP
PARIBAS
Swift
Code: ▇▇▇▇▇▇▇▇
Attn: Swaps
and Derivatives Back Office
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Payments
to Party B:
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As
per Party B’s standard settlement instructions.
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4.
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ADDITIONAL
TERMS
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Netting:
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Notwithstanding
anything to the contrary in Section 2(c) of the Agreement, amounts
that
are payable with respect to Calculation Periods which end in the
same
calendar month (prior to any adjustment of period end dates) shall
be
netted, as provided in Section 2(c) of the Agreement, even if such
amounts
are not due on the same payment date. For avoidance of doubt,
any payments pursuant to Section 6(e) of the Agreement in respect
of this
Transaction only shall not be subject to netting with any other payment
obligations of the parties under the Agreement.
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Assignment:
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Party
A will not unreasonably withhold or delay its consent to an assignment
of
this Transaction to any other third party.
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4
This
agreement may be executed in several counterparts, each of which shall be deemed
an original but all of which together shall constitute one and the same
instrument.
Please
confirm that the foregoing correctly sets forth the terms of our agreement
by
executing the copy of this confirmation enclosed for that purpose and returning
it to us or by sending to us a letter or fax substantially similar to this
letter, which letter or fax sets forth the material terms of the Transaction
to
which this Confirmation relates and indicates agreement to those
terms.
Yours
sincerely,
BNP
PARIBAS SECURITIES CORP., ON BEHALF OF BNP PARIBAS
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For
and on behalf of
BNP
PARIBAS SECURITIES CORP., ON BEHALF OF BNP
PARIBAS
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For
and on behalf of
BNP
PARIBAS SECURITIES CORP., ON BEHALF OF BNP
PARIBAS
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/s/
▇▇▇▇▇ ▇▇▇▇▇▇
Name:
▇▇▇▇▇ ▇▇▇▇▇▇
Title:
Authorized Signatory
Date:
BNP Paribas Securities Corp.
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Name:
Title:
Date:
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For
and on behalf of
COUNTRYWIDE
HOME LOANS, INC.
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/s/
▇▇▇▇▇ ▇▇▇▇▇▇▇
Name:
▇▇▇▇▇ ▇▇▇▇▇▇▇
Title:
Executive Vice President
Date:
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5
APPENDIX
OF THE CONFIRMATION NO. 2442755
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Period
Start Date
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Period
End Date
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Notional
Amount
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6/08/2007
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6/25/2007
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1,182,600,000
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6/25/2007
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7/25/2007
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1,175,935,059
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7/25/2007
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8/25/2007
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1,169,270,119
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8/25/2007
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9/25/2007
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1,162,605,178
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9/25/2007
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10/25/2007
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1,155,940,237
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10/25/2007
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11/25/2007
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1,149,275,296
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11/25/2007
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12/25/2007
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1,136,584,242
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12/25/2007
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1/25/2008
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1,123,410,860
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1/25/2008
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2/25/2008
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1,108,949,758
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2/25/2008
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3/25/2008
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1,093,234,038
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3/25/2008
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4/25/2008
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1,076,300,692
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4/25/2008
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5/25/2008
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1,058,198,084
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5/25/2008
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6/25/2008
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1,030,228,391
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6/25/2008
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7/25/2008
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1,009,746,409
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7/25/2008
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8/25/2008
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990,216,704
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|
8/25/2008
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9/25/2008
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970,290,235
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|
9/25/2008
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10/25/2008
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949,995,423
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|
10/25/2008
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11/25/2008
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929,362,170
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|
11/25/2008
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12/25/2008
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896,467,282
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|
12/25/2008
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1/25/2009
|
875,161,585
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|
1/25/2009
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2/25/2009
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854,465,378
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|
2/25/2009
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3/25/2009
|
835,480,175
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|
3/25/2009
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4/25/2009
|
816,866,619
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|
4/25/2009
|
5/25/2009
|
798,661,713
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|
5/25/2009
|
6/25/2009
|
768,332,522
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|
6/25/2009
|
7/25/2009
|
749,660,432
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|
7/25/2009
|
8/25/2009
|
731,695,314
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|
8/25/2009
|
9/25/2009
|
715,759,379
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|
9/25/2009
|
10/25/2009
|
700,196,341
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|
10/25/2009
|
11/25/2009
|
684,997,675
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|
11/25/2009
|
12/25/2009
|
281,780,868
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|
12/25/2009
|
1/25/2010
|
278,263,931
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|
1/25/2010
|
2/25/2010
|
275,372,017
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|
2/25/2010
|
3/25/2010
|
272,646,463
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|
3/25/2010
|
4/25/2010
|
269,438,242
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|
4/25/2010
|
5/25/2010
|
266,135,156
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|
5/25/2010
|
6/25/2010
|
262,488,034
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|
6/25/2010
|
7/25/2010
|
259,049,066
|
|
7/25/2010
|
8/25/2010
|
255,736,145
|
|
8/25/2010
|
9/25/2010
|
252,650,610
|
|
9/25/2010
|
10/25/2010
|
249,898,865
|
|
10/25/2010
|
11/25/2010
|
247,128,288
|
|
11/25/2010
|
12/25/2010
|
244,549,595
|
|
12/25/2010
|
1/25/2011
|
241,830,195
|
|
1/25/2011
|
2/25/2011
|
239,517,310
|
|
2/25/2011
|
3/25/2011
|
237,292,426
|
|
3/25/2011
|
4/25/2011
|
234,717,100
|
|
4/25/2011
|
5/25/2011
|
232,179,152
|
|
5/25/2011
|
6/25/2011
|
229,663,323
|
|
6/25/2011
|
7/25/2011
|
227,249,052
|
|
7/25/2011
|
8/25/2011
|
224,851,468
|
|
8/25/2011
|
9/25/2011
|
222,556,404
|
|
9/25/2011
|
10/25/2011
|
220,452,597
|
|
10/25/2011
|
11/25/2011
|
218,295,193
|
|
11/25/2011
|
12/25/2011
|
216,297,500
|
|
12/25/2011
|
1/25/2012
|
214,206,452
|
|
1/25/2012
|
2/25/2012
|
212,441,344
|
|
2/25/2012
|
3/25/2012
|
210,751,276
|
|
3/25/2012
|
4/25/2012
|
208,819,286
|
|
4/25/2012
|
5/25/2012
|
206,799,660
|
|
5/25/2012
|
6/25/2012
|
204,022,221
|
|
6/25/2012
|
7/25/2012
|
201,422,500
|
|
7/25/2012
|
8/25/2012
|
198,992,515
|
|
8/25/2012
|
9/25/2012
|
196,796,541
|
|
9/25/2012
|
10/25/2012
|
194,897,613
|
|
10/25/2012
|
11/25/2012
|
192,787,550
|
|
11/25/2012
|
12/25/2012
|
190,871,792
|
|
12/25/2012
|
1/25/2013
|
188,944,184
|
|
1/25/2013
|
2/25/2013
|
187,305,639
|
|
2/25/2013
|
3/25/2013
|
185,721,043
|
|
3/25/2013
|
4/25/2013
|
183,892,121
|
|
4/25/2013
|
5/25/2013
|
182,088,031
|
|
5/25/2013
|
6/25/2013
|
180,279,182
|
|
6/25/2013
|
7/25/2013
|
178,523,230
|
|
7/25/2013
|
8/25/2013
|
176,762,404
|
|
8/25/2013
|
9/25/2013
|
175,052,665
|
|
9/25/2013
|
10/25/2013
|
173,461,853
|
|
10/25/2013
|
11/25/2013
|
171,810,810
|
|
11/25/2013
|
12/25/2013
|
170,258,983
|
|
12/25/2013
|
1/25/2014
|
168,618,389
|
|
1/25/2014
|
2/25/2014
|
167,210,061
|
|
2/25/2014
|
3/25/2014
|
165,846,048
|
|
3/25/2014
|
4/25/2014
|
164,275,256
|
|
04/25/2014
|
05/25/2014
|
162,724,032
|
|
05/25/2014
|
06/25/2014
|
161,167,451
|
|
06/25/2014
|
07/25/2014
|
159,654,343
|
|
07/25/2014
|
08/25/2014
|
158,135,951
|
|
08/25/2014
|
09/25/2014
|
156,659,864
|
|
09/25/2014
|
10/25/2014
|
155,283,379
|
|
10/25/2014
|
11/25/2014
|
153,854,809
|
|
11/25/2014
|
12/25/2014
|
152,509,318
|
|
12/25/2014
|
01/25/2015
|
151,087,566
|
|
01/25/2015
|
02/25/2015
|
149,862,043
|
|
02/25/2015
|
03/25/2015
|
148,673,351
|
|
03/25/2015
|
04/25/2015
|
147,307,796
|
[Rest
of
Page Left Intentionally Blank]
6