ISDAÒ International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the Master Agreement dated as of March 31, 2008 between
ISDAÒ
International
Swaps and Derivatives Association, Inc.
to
the
Schedule to the
Master
Agreement
dated
as
of March
31,
2008
between
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▇▇▇▇▇▇
BROTHERS
SPECIAL
FINANCING INC.
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▇▇▇▇▇
FARGO BANK, N.A., NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY AS TRUSTEE
OF
THE
SUPPLEMENTAL
INTEREST TRUST FOR STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST
MORTGAGE
PASS-THROUGH CERTIFICATES, SERIES 2008-1
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Party
A
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Party
B
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This
Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule and is a Credit Support Document under this
Agreement with respect to each party.
Accordingly,
the parties agree as follows:
Paragraph
1. Interpretation
(a) Definitions
and Inconsistency. Capitalized
terms not otherwise defined herein or elsewhere in this Agreement have the
meanings specified pursuant to Paragraph 12, and all references in this Annex
to
Paragraphs are to Paragraphs of this Annex. In the event of any inconsistency
between this Annex and the other provisions of this Schedule, this Annex will
prevail and in the event of any inconsistency between Paragraph 13 and the
other
provisions of this Annex, Paragraph 13 will prevail.
(b) Secured
Party and Pledgor.
All
references in this Annex to the “Secured Party” will be to either party when
acting in that capacity and all corresponding references to the “Pledgor” will
be to the other party when acting in that capacity; provided,
however,
that if
Other Posted Support is held by a party to this Annex, all references herein
to
that party as the Secured Party with respect to that Other Posted Support will
be to that party as the beneficiary thereof and will not subject that support
or
that party as the beneficiary thereof to provisions of law generally relating
to
security interests and secured parties.
Paragraph
2. Security Interest
Each
party, as the Pledgor, hereby pledges to the other party, as the Secured Party,
as security for its Obligations, and grants to the Secured Party a first
priority continuing security interest in, lien on and right of Set-off against
all Posted Collateral Transferred to or received by the Secured Party hereunder.
Upon the Transfer by the Secured Party to the Pledgor of Posted Collateral,
the
security interest and lien granted hereunder on that Posted Collateral will
be
released immediately and, to the extent possible, without further action by
either party.
Copyright
ã
1994 by
International Swaps and Derivatives Association, Inc.
Elections
and Variables
dated
as
of March 31, 2008
between
▇▇▇▇▇▇
BROTHERS SPECIAL FINANCING INC.
(hereinafter
referred to as “Party
A”
or
“Pledgor”)
and
▇▇▇▇▇
FARGO BANK, N.A., NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY AS TRUSTEE OF THE
SUPPLEMENTAL INTEREST TRUST FOR
STRUCTURED
ADJUSTABLE RATE MORTGAGE LOAN TRUST MORTGAGE PASS-THROUGH CERTIFICATES, SERIES
2008-1
(hereinafter
referred to as “Party
B”
or
“Secured
Party”)
Paragraph
13. Elections and Variables
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(a)
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Security
Interest for “Obligations”.
The term “Obligations” as
used in this Annex includes the following additional
obligations:
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With
respect to Party A, not applicable.
With
respect to Party B, not applicable.
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(b)
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Credit
Support Obligations.
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(i) Delivery
Amount, Return Amount and Credit Support Amount
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(A)
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“Delivery
Amount”
has the meaning specified in Paragraph 3(a),
provided that the words “upon a demand made by the Secured Party on or
promptly following a Valuation Date” shall be deleted and replaced by the
words “on each Valuation Date”; and provided further that the Delivery
Amount shall be calculated with respect to collateral posting required
by
each Rating Agency by using (i) such Rating Agency’s applicable Valuation
Percentages 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.
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(B)
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“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 applicable Valuation
Percentages 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.
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(C)
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“Credit
Support Amount” has
the meaning specified in Paragraph
13(p).
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(ii)
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Eligible
Collateral.
At
such time as Party A is required to post collateral, the following
items
will qualify as “Eligible
Collateral” (together
with such other collateral types (and related valuation percentages)
subject to the Rating Agency
Condition):
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Collateral
Type
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Valuation
Percentage
for S&P Collateralization
Event
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Valuation
Percentage for S&P Ratings Event
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Valuation
Percentage for Moody’s
First Trigger Credit
Support Amount
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Valuation
Percentage for Moody’s second Trigger Credit Support
Amount
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|||||
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(A)
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Cash.
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100%
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80%
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100%
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100%
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||||
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(B)
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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.
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98%
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78.44%
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100%
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100%
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11
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Collateral
Type
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Valuation
Percentage
for S&P Collateralization
Event
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Valuation
Percentage for S&P Ratings Event
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Valuation
Percentage for Moody’s
First Trigger Credit
Support Amount
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Valuation
Percentage for Moody’s second Trigger Credit Support
Amount
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(C)
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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 five years.
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98%
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78.44%
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100%
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94%
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(D)
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Fixed
rate negotiable debt obligations issued by the U.S. Treasury department
having a remaining maturity on such date of more than five years
but no
more than ten years.
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92.60%
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74.1%
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100%
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94%
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(D)
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Fixed
rate negotiable debt obligations issued by the U.S. Treasury Department
having a remaining maturity on such date of more than ten
years.
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88.6%
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70.9%
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100%
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87%
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(E)
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Other.
Other items of Credit Support subject to the Rating Agency Condition.
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%
to be determined
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%
to be determined
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%
to be determined
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%
to be determined
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(iii)
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Other
Eligible Support.
The following items will qualify as “Other
Eligible Support”
for the party specified: Not
applicable.
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(iv)
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Thresholds.
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(A)
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“Independent
Amount”
shall not be applicable with respect to Party A or Party B unless
otherwise specified in a
Confirmation.
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(B)
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“Threshold”
means, with respect to Party A, infinity, provided that if a
Collateralization Event or a Ratings Event has occurred and is continuing,
the Threshold with respect to Party A shall be zero, except that
the
Threshold in respect of Party A shall be infinity so long as
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(i)
no
S&P Collateralization Event has occurred and is continuing (x) for at least
10 Local Business Days or (y) since this Credit Support Annex was executed,
and
no S&P Ratings Event has occurred and been continuing,
(ii)(A)
less than 30 Local Business Days have lapsed since the last time no Moody’s
Collateralization Event had occurred and was continuing and (B) no Moody’s
Collateralization Event had occurred when this Annex was executed.
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(C)
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“Minimum
Transfer Amount” means,
with respect to a party, $100,000; provided, however, that if the
aggregate Principal Balance of the Certificates rated by S&P ceases to
be more than $50,000,000, then the Minimum Transfer Amount shall
mean
$50,000.
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(D)
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“Rounding”.
The
Delivery Amount will be rounded up to the nearest integral multiple
of
$1,000 and the Return Amount will be rounded down to the nearest
integral
multiple of $1,000.
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(v)
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“Exposure”
has the meaning specified in Paragraph 12, except that (1) after
the word
“Agreement” the words “(assuming, for this purpose only, that Part
1(f)(B)[Calculations] 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.”
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12
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(c)
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Valuation
and Timing.
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(i)
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“Valuation
Agent”
means Party A.
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(ii)
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“Valuation
Date”
means, for purposes of each time that Party A is required to post
collateral pursuant to this Credit Support Annex, each Local Business
Day.
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(iii)
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“Valuation
Time”
means the close of business in the location where the relevant product
is
traded, provided that the calculations of Value and Exposure will
made as
of approximately the same time on the same date.
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(iv)
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“Notification
Time”
means 3:00 p.m., New York time, on a Local Business Day.
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(v)
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Calculation
of Value.
For purposes of the calculation of “Value”, the term “applicable Valuation
Percentage” shall mean
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(A)
as
long as an S&P Collateralization Event has occurred and is continuing (x)
for 10 Local Business Days or (y) since this Credit Support Annex was executed,
and no S&P Ratings Event has occurred and been continuing the valuation
percentage set forth for the applicable collateral item in Paragraph 13(b)(ii)
under the heading “Valuation Percentage for S&P Collateralization Event”
(“S&P Collateralization Event Valuation Percentage”);
(B)
as
long as an S&P Ratings Event has occurred and is continuing for 10 Local
Business Days the valuation percentage set forth for the applicable collateral
item in Paragraph 13(b)(ii) under the heading “Valuation Percentage for S&P
Ratings Event” (“S&P Ratings Event Valuation Percentage”);
(C)
as
long as a Moody’s Collateralization Event has occurred and is continuing for 30
days the valuation percentage set forth for the applicable collateral item
in
Paragraph 13(b)(ii) under the heading “Valuation Percentage for Moody’s First
Trigger Credit Support Amount” (“Moody’s First Collateralization Event Valuation
Percentage”);
(D)
as
long as a Moody’s Ratings Event has occurred and is continuing for 30 calendar
days the valuation percentage set forth for the applicable collateral item
in
Paragraph 13(b)(ii) under the heading “Valuation Percentage for Moody’s Ratings
Event Credit Support Amount” (“Moody’s Ratings Event Valuation Percentage”);
and
provided
that the calculation of Value shall not include any Valuation Percentage that
pertains to the Rating Agency not then rating the Certificates.
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(vi)
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The
amount of “Value” with respect to Cash in Paragraph 12 shall be the Amount
thereof multiplied by the applicable Valuation
Percentage.
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(d)
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Conditions
Precedent and Secured Party’s Rights and Remedies.
There will be no Specified Conditions for Party A and Party
B.
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(e)
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Substitution
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(i)
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“Substitution
Date” has
the meaning specified in Paragraph
4(d)(ii).
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(ii)
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“Consent.”
The Pledgor need not obtain the Secured Party’s consent for any
substitution pursuant to Paragraph
4(d).
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(f)
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Dispute
Resolution
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(i)
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“Resolution
Time” means
1:00 p.m. on the Local Business Day following the date on which notice
is
given that gives rise to a default.
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(ii)
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Value.
For the purpose of Paragraph 5(i)(c) and 5(ii), the Value of Posted
Credit
Support will be calculated as follows:
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With
respect to any Eligible Collateral in the form of securities listed
in
Paragraph 13(b)(ii) (referred to herein as “Collateral Obligations”) the
sum of (I)(x) the bid price quoted on such date by a mutually acceptable
principal market maker for such Collateral Obligations, or (y) if
no such
quotation is available from a principal market maker for such date,
such
bid price as of the day, next preceding such date, on which such
quotation
was available, in either case multiplied by the applicable Valuation
Percentage, plus (II) the accrued interest on such Collateral Obligations
(except to the extent Transferred to a party pursuant to any applicable
section of this Agreement or included in the applicable price referred
to
in (I) of this Clause) as of such date.
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13
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With
respect to any Cash, the face amount thereof multiplied by the applicable
Valuation Percentage.
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(iii)
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“Alternative.”
Paragraph 5 will apply.
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(g)
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Holding
and Using Posted Collateral.
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(i)
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“Eligibility
to Hold Posted Collateral; Custodians.”
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Party
B
and or its Custodian will be entitled to hold Posted Collateral pursuant to
Paragraph 6(b), provided
that the
following conditions applicable to it are satisfied:
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(1)
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The
Custodian is a bank or trust company located in the United States
having
(x) total assets of at least $250,000,000 and (y) a Short-term Rating
or
counterparty rating of “Prime-1”
from Moody’s;
“A-1”
from Standard & Poor’s
(or if such Custodian has no Short-term Rating, a Long-term Rating
of “A+”
or above).
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Initially,
the Custodian
for
Party B is: the Trustee under the Trust Agreement. If the Custodian ceases
to
meet the requirements set forth in sub-clause (1)(y) above, Party B shall cause
any Posted Collateral to be removed to another entity satisfying such credit
ratings set forth in sub-clause (1)(y) above within 60 calendar days from the
time such Custodian failed to be so eligible.
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(ii)
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“Use
of Posted Collateral”
The provisions of Paragraph 6(c) will not apply with respect to the
collateral posted by Party A.
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| (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. |
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(iv)
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The
Custodian for Party B shall hold all Eligible Credit Support in an
account
segregated from the Swap Account, as defined in the related Trust
Agreement.
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(h)
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Distributions
and Interest Amount.
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(i)
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“Interest
Rate.”
The Interest Rate shall be the actual interest rate achieved on Posted
Collateral in the form of Cash that is held by Party B’s Custodian. Posted
Collateral in the form of Cash shall be invested in such overnight
(or
redeemable within two Local Business Days of demand) investments
rated at
least (x) AAAm or AAAm-G by S&P and (y) Prime-1 by Moody’s or Aaa by
Moody’s, as directed by Party A (unless (x) an Event of Default or an
Additional Termination Event has occurred with respect to which Party
A is
the defaulting or sole Affected Party or (y) an Early Termination
Date has
been designated, in which case such Posted Collateral shall be held
uninvested). Gains and losses incurred in respect of any investment
of
Posted Collateral in the form of Cash in the overnight investments
described immediately above as directed by Party A shall be for the
account of Party A. If
no investment direction is received, the Posted Collateral in the
form of
Cash shall be held uninvested.
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(ii)
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“Transfer
of Interest Amount.”
The Transfer of the Interest Amount will be made on the second Local
Business Day of each calendar month and on any Local Business Day
that
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.
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(iii)
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“Alternative
to Interest Amount.”
The provisions of Paragraph 6(d)(ii) will
apply.
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(i)
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Additional
Representation(s).
Not applicable.
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(j)
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“Other
Eligible Support and Other Posted Support.”
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14
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(i)
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“Value” with
respect to Other Eligible Support and Other Posted Support means:
Not
applicable.
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(ii)
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“Transfer” with
respect to Other Eligible Support and Other Posted Support means:
Not
applicable.
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(k)
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Demands
and Notices.
All demands, specifications and notices made by a party to this Annex
will
be made pursuant to the Notices Section of this
Agreement.
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(l)
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Addresses
for Transfers.
As
agreed upon between the parties from time to time.
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(m)
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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.
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| (n) | Agreement as to Single Secured Party and Pledgor. Party A and Party B agree that, notwithstanding anything to the contrary in the recital of this Annex, Paragraph 1(b) or Paragraph 2 of the definitions in Paragraph 12, (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 acknowledgment in the final sentence of Paragraph 8(a) and the representations in Paragraph 9 and (d) only Party A will be required to post Eligible Credit Support hereunder. Party A also agrees that it shall pay all costs of transferring Eligible Credit Support required to be delivered by Party A hereunder. |
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(o)
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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 statue 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.
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(p)
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“Credit
Support Amount”
shall be (a) with respect to Moody’s, the Moody’s First Trigger Credit
Support Amount, or the Moody’s Second Trigger Credit Support Amount, as
applicable, (b) with respect to S&P, the S&P Credit Support
Amount.
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(i)
With
respect to Moody’s:
(I) “Moody’s
First Trigger Credit Support Amount”
means,
(A) for any Valuation Date on which the Threshold in respect of Party A is
zero
and on which (A) a Moody’s Collateralization Event has occurred and has been
continuing (x) for at least 30 Local Business Days or (y) since this Annex
was
executed and (B) (i) no Moody’s Ratings Event has occurred and is continuing or
(ii) less than 30 Local Business Days have elapsed since the last time no
Moody’s Ratings Event had occurred and was continuing, 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; or (B) for any other Valuation Date,
zero.
The
“Moody’s
Additional Collateralized Amount”
with
respect to any Transaction shall mean:
[the
lesser of (x) the product of 151
and
DV01
for such Transaction and such Valuation Date and (y) the product
0.022
and the
Notional Amount for such Transaction for the Calculation Period which includes
such Valuation Date.]3
[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.]4
1 If
weekly
valuation used, change to 25.
2 If
weekly valuation used,
change to 0.04.
3 If
Moody’s First Trigger
Credit Support Amount is calculated using DV01.
4 If
Moody’s First Trigger
Credit Support Amount is calculated without using DV01.
15
“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.
(II)“Moody’s
Second Trigger Credit Support Amount”
means,
(A) for
any
Valuation Date where the Threshold in respect of Party A is zero and on which
it
is the case that a ▇▇▇▇▇’▇ Rating Event has occurred and been continuing for at
least 30 Local Business Days, an amount equal to the greatest of (a) zero,
(b)
the aggregate amount of the Next Payments for all Next Payment Dates and (c)
the
sum of the Secured Party’s aggregate Exposure and the aggregate of Moody’s
Additional Rating Amounts for all Transactions5;
or (B)
for any other Valuation Date, zero.
For
the
purposes of this definition, the “Moody’s
Additional Rating Amount”
with
respect to any Transaction shall mean:
if
such
Transaction is not a Transaction-Specific Hedge,
[the
lesser of (i) the product of 506
and
DV01
for such Transaction and such Valuation Date and (ii) the product of
0.087
and
the
Notional Amount for such Transaction for the Calculation Period which includes
such Valuation Date;]8
[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;]9
or
if
such
Transaction is a Transaction-Specific Hedge,
[the
lesser of (i) the product of 6510and
DV01
(as defined in Paragraph 13(p)(ii)(I) above) for such Transaction and such
Valuation Date and (ii) the product of 0.111and
the
Notional Amount for such Transaction for the Calculation Period which includes
such Valuation Date;]12
[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;]13
or
“
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) on such Next Payment Date less
any
payments due to be made by Party B under Section 2(a) on such Next Payment
Date
(in each case, after giving effect to any applicable netting under Section
2(c))
and (ii) zero.
5 Confirm
that ISDA only covers collateralizable transactions.
6 If
weekly valuation used, use 60.
7 If
weekly valuation used, use 0.09.
8 If
Moody’s Second Trigger Credit Support Amount for a fixed schedule swap is
calculated using DV01.
9 If
Moody’s Second Trigger Credit Support Amount for a fixed schedule swap is
calculated without using DV01.
10 If
weekly valuation used, use 75.
11 If
weekly valuation used, use 0.11.
12 If
Moody’s Second Trigger Credit Support Amount for a Transaction-Specific Hedge is
calculated using DV01.
13
If Moody’s Second Trigger Credit Support Amount for a Transaction-Specific
Hedge is calculated without using DV01.
16
“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.
(ii)
With
respect to S&P:
“S&P
Credit Support Amount”
means,
for any Valuation Date where the Threshold in respect of Party A is zero, (x)
where an S&P Collateralization Event has occurred and been continuing (a)
for at least 10 Business Days or (b) since this Credit Support Annex was
executed, and no S&P Ratings Event has occurred and been continuing, the
greater of zero and 100% of the Secured Party’s Exposure or (y) where a Ratings
Event with respect to S&P has occurred and is continuing for at least 10
Business Days, an amount equal to the greater of zero and 125% of the Secured
Party’s Exposure
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(q)
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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 willful misconduct.
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17
The
parties executing this Credit Support Annex have executed the Master Agreement
and have agreed as to the contents of this Credit Support Annex.
|
▇▇▇▇▇▇
BROTHERS SPECIAL FINANCING INC.
|
▇▇▇▇▇
FARGO BANK, N.A., NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY AS TRUSTEE
OF
THE
SUPPLEMENTAL
INTEREST TRUST FOR
STRUCTURED
ADJUSTABLE RATE MORTGAGE LOAN TRUST MORTGAGE PASS-THROUGH CERTIFICATES,
SERIES 2008-1
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Party
A
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Party
B
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Name:
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Name:
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Title:
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Title:
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Date:
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Date:
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18
Table
1
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Moody’s
First Trigger Factor
[If
“Valuation Date” means each Local Business Day, the “Daily Collateral
Posting” column will
apply
and the Weekly Collateral Posting Column will be deleted.]
[If
“Valuation Date” means the first Local Business Day in each week, the
“Weekly Collateral
Posting”
column will apply and the Daily Collateral Posting Column will be
deleted.]
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Remaining
Weighted
Average Life
of
Hedge in Years
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[Daily
Collateral
Posting
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[Weekly
Collateral
Posting
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1
or less
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0.15%
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0.25%
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More
than 1 but not more than 2
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0.30%
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0.50%
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More
than 2 but not more than 3
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0.40%
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0.70%
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More
than 3 but not more than 4
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0.60%
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1.00%
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More
than 4 but not more than 5
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0.70%
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1.20%
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More
than 5 but not more than 6
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0.80%
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1.40%
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More
than 6 but not more than 7
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1.00%
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1.60%
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More
than 7 but not more than 8
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1.10%
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1.80%
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More
than 8 but not more than 9
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1.20%
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2.00%
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More
than 9 but not more than 10
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1.30%
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2.20%
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More
than 10 but not more than 11
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1.40%
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2.30%
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More
than 11 but not more than 12
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1.50%
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2.50%
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More
than 12 but not more than 13
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1.60%
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2.70%
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More
than 13 but not more than 14
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1.70%
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2.80%
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More
than 14 but not more than 15
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1.80%
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3.00%
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More
than 15 but not more than 16
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1.90%
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3.20%
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More
than 16 but not more than 17
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2.00%
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3.30%
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More
than 17 but not more than 18
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2.00%
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3.50%
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More
than 18 but not more than 19
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2.00%
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3.60%
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More
than 19 but not more than 20
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2.00%
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3.70%
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More
than 20 but not more than 21
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2.00%
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3.90%
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More
than 21 but not more than 22
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2.00%
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4.00%
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More
than 22 but not more than 23
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2.00%
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4.00%
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More
than 23 but not more than 24
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2.00%
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4.00%
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More
than 24 but not more than 25
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2.00%
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4.00%
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More
than 25 but not more than 26
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2.00%
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4.00%
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More
than 26 but not more than 27
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2.00%
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4.00%
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More
than 27 but not more than 28
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2.00%
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4.00%
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More
than 28 but not more than 29
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2.00%
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4.00%
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More
than 29
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2.00%]
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4.00%]
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19
Table
2
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Moody’s
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
[If
“Valuation Date” means each Local Business Day, the “Daily Collateral
Posting” column will
apply
and the Weekly Collateral Posting Column will be deleted.]
[If
“Valuation Date” means the first Local Business Day in each week, the
“Weekly Collateral
Posting”
column will apply and the Daily Collateral Posting Column will be
deleted.]
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|||
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
[Daily
Collateral
Posting
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[Weekly
Collateral
Posting
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1
or less
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0.50%
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0.60%
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More
than 1 but not more than 2
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1.00%
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1.20%
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More
than 2 but not more than 3
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1.50%
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1.70%
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More
than 3 but not more than 4
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1.90%
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2.30%
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More
than 4 but not more than 5
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2.40%
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2.80%
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More
than 5 but not more than 6
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2.80%
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3.30%
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More
than 6 but not more than 7
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3.20%
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3.80%
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More
than 7 but not more than 8
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3.60%
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4.30%
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More
than 8 but not more than 9
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4.00%
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4.80%
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More
than 9 but not more than 10
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4.40%
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5.30%
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More
than 10 but not more than 11
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4.70%
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5.60%
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More
than 11 but not more than 12
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5.00%
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6.00%
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More
than 12 but not more than 13
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5.40%
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6.40%
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More
than 13 but not more than 14
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5.70%
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6.80%
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More
than 14 but not more than 15
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6.00%
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7.20%
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More
than 15 but not more than 16
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6.30%
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7.60%
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More
than 16 but not more than 17
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6.60%
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7.90%
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More
than 17 but not more than 18
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6.90%
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8.30%
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More
than 18 but not more than 19
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7.20%
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8.60%
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More
than 19 but not more than 20
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7.50%
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9.00%
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More
than 20 but not more than 21
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7.80%
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9.00%
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More
than 21 but not more than 22
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8.00%
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9.00%
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More
than 22 but not more than 23
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8.00%
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9.00%
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More
than 23 but not more than 24
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8.00%
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9.00%
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More
than 24 but not more than 25
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8.00%
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9.00%
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More
than 25 but not more than 26
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8.00%
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9.00%
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More
than 26 but not more than 27
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8.00%
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9.00%
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More
than 27 but not more than 28
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8.00%
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9.00%
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More
than 28 but not more than 29
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8.00%
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9.00%
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More
than 29
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8.00%]
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9.00%]
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20
Table
3
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Moody’s
Second Trigger Factor for Transaction-Specific
▇▇▇▇▇▇
[If
“Valuation Date” means each Local Business Day, the “Daily Collateral
Posting” column will
apply
and the Weekly Collateral Posting Column will be deleted.]
[If
“Valuation Date” means the first Local Business Day in each week, the
“Weekly Collateral
Posting”
column will apply and the Daily Collateral Posting Column will be
deleted.]
|
|||
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
[Daily
Collateral
Posting
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[Weekly
Collateral
Posting
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1
or less
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0.65%
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0.75%
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More
than 1 but not more than 2
|
1.30%
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1.50%
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More
than 2 but not more than 3
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1.90%
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2.20%
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More
than 3 but not more than 4
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2.50%
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2.90%
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More
than 4 but not more than 5
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3.10%
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3.60%
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More
than 5 but not more than 6
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3.60%
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4.20%
|
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More
than 6 but not more than 7
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4.20%
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4.80%
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More
than 7 but not more than 8
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4.70%
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5.40%
|
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More
than 8 but not more than 9
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5.20%
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6.00%
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More
than 9 but not more than 10
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5.70%
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6.60%
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More
than 10 but not more than 11
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6.10%
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7.00%
|
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More
than 11 but not more than 12
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6.50%
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7.50%
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More
than 12 but not more than 13
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7.00%
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8.00%
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More
than 13 but not more than 14
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7.40%
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8.50%
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More
than 14 but not more than 15
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7.80%
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9.00%
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More
than 15 but not more than 16
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8.20%
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9.50%
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More
than 16 but not more than 17
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8.60%
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9.90%
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More
than 17 but not more than 18
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9.00%
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10.40%
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More
than 18 but not more than 19
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9.40%
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10.80%
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More
than 19 but not more than 20
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9.70%
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11.00%
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More
than 20 but not more than 21
|
10.00%
|
11.00%
|
|
|
More
than 21 but not more than 22
|
10.00%
|
11.00%
|
|
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More
than 22 but not more than 23
|
10.00%
|
11.00%
|
|
|
More
than 23 but not more than 24
|
10.00%
|
11.00%
|
|
|
More
than 24 but not more than 25
|
10.00%
|
11.00%
|
|
|
More
than 25 but not more than 26
|
10.00%
|
11.00%
|
|
|
More
than 26 but not more than 27
|
10.00%
|
11.00%
|
|
|
More
than 27 but not more than 28
|
10.00%
|
11.00%
|
|
|
More
than 28 but not more than 29
|
10.00%
|
11.00%
|
|
|
More
than 29
|
10.00%]
|
11.00%]
|
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21