ISDA® CREDIT SUPPORT ANNEX to the Schedule to the ISDA Master Agreement dated as of December 29, 2006 between Deutsche Bank AG (hereinafter referred to as “Party A” or “Pledgor”) and The Bank of New York, not in its individual or corporate capacity,...
ANNEX
A
ISDA®
to
the
Schedule to the
ISDA
Master Agreement
dated
as
of December 29, 2006
between
Deutsche
Bank AG (hereinafter referred to as “Party
A”
or
“Pledgor”)
and
The
Bank
of New York, not in its individual or corporate capacity, but solely as Swap
Contract Administrator for CWABS, Inc., Asset-Backed Certificates, Series
2006-BC5 pursuant to a Swap Contract Administration Agreement
(hereinafter
referred to as “Party
B”
or
“Secured
Party”).
For
the
avoidance of doubt, and notwithstanding anything to the contrary that may be
contained in the Agreement, this Credit Support Annex shall relate solely to
the
Transaction documented in the Confirmation dated December 29, 2006, between
Party A and Party B, Global No. N546651N.
Paragraph
13. Elections and Variables.
| (a) |
Security
Interest for “Obligations”.
The term “Obligations”
as
used in this Annex includes the following additional
obligations:
|
With
respect to Party A: not applicable.
With
respect to Party B: not applicable.
| (b) |
Credit
Support Obligations.
|
| (i) |
Delivery
Amount, Return Amount and Credit Support
Amount.
|
| (A) |
“Delivery
Amount”
has the meaning specified in Paragraph 3(a) as amended (I) by deleting
the
words “upon a demand made by the Secured Party on or promptly following
a
Valuation Date” and inserting in lieu thereof the words “not later than
the close of business on each Valuation Date” and (II) by deleting in its
entirety the sentence beginning “Unless otherwise specified in Paragraph
13” and ending “(ii) the Value as of that Valuation Date of all Posted
Credit Support held by the Secured Party.” and inserting in lieu thereof
the following:
|
The
“Delivery
Amount”
applicable to the Pledgor for any Valuation Date will equal the greatest of
|
(1)
|
the
amount by which (a) the S&P Credit Support Amount for such Valuation
Date exceeds (b) the S&P Value as of such Valuation Date of all Posted
Credit Support held by the Secured Party,
|
|
(2)
|
the
amount by which (a) the ▇▇▇▇▇’▇ First Trigger Credit Support Amount for
such Valuation Date exceeds (b) the ▇▇▇▇▇’▇ First Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party,
and
|
|
(3)
|
the
amount by which (a) the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount for
such Valuation Date exceeds (b) the ▇▇▇▇▇’▇ Second Trigger Value as of
such Valuation Date of all Posted Credit Support held by the Secured
Party.
|
| (B) |
“Return
Amount”
has the meaning specified in Paragraph 3(b) as amended by deleting
in its
entirety the sentence beginning “Unless otherwise specified in Paragraph
13” and ending “(ii) the Credit Support Amount.” and inserting in lieu
thereof the following:
|
The
“Return
Amount”
applicable to the Secured Party for any Valuation Date will equal the least
of
|
(1)
|
the
amount by which (a) the S&P Value as of such Valuation Date of all
Posted Credit Support held by the Secured Party exceeds (b) the S&P
Credit Support Amount for such Valuation Date,
|
|
(2)
|
the
amount by which (a) the ▇▇▇▇▇’▇ First Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the ▇▇▇▇▇’▇ First Trigger Credit Support Amount for such Valuation Date,
and
|
|
(3)
|
the
amount by which (a) the ▇▇▇▇▇’▇ Second Trigger Value as of such Valuation
Date of all Posted Credit Support held by the Secured Party exceeds
(b)
the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount for such Valuation
Date.
|
| (C) |
“Credit
Support Amount”
shall not apply. For purposes of calculating any Delivery Amount
or Return
Amount for any Valuation Date, reference shall be made to the S&P
Credit Support Amount, the ▇▇▇▇▇’▇ First Trigger Credit Support Amount, or
the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount, in each case for such
Valuation Date, as provided in Paragraphs 13(b)(i)(A) and 13(b)(i)(B),
above.
|
| (ii) |
Eligible
Collateral.
|
On
any
date, the following items will qualify as “Eligible
Collateral”
(for
the avoidance of doubt, all Eligible Collateral to be denominated in
USD):
|
Collateral
|
S&P
Valuation
Percentage
|
▇▇▇▇▇’▇
First
Trigger
Valuation
Percentage
|
▇▇▇▇▇’▇
Second
Trigger
Valuation
Percentage
|
|
(A) Cash
|
100%
|
100%
|
100%
|
|
(B) Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of not more than one
year
|
98.5%
|
100%
|
100%
|
|
(C) Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than one year but not more
than
ten years
|
89.9%
|
100%
|
94%
|
|
(D) Fixed-rate
negotiable debt obligations issued by the U.S. Treasury Department
having
a remaining maturity on such date of more than ten years
|
83.9%
|
100%
|
87%
|
| (iii) |
Other
Eligible Support.
|
The
following items will qualify as “Other
Eligible Support”
for the
party specified:
Not
applicable.
| (iv) |
Threshold.
|
| (A) |
“Independent
Amount”
means zero with respect to Party A and Party
B.
|
| (B) |
“Threshold”
means, with respect to Party A and any Valuation Date, zero if (i)
a
Collateral Event has occurred and has been continuing (x) for at
least 30
days or (y) since this Annex was executed, or (ii) a S&P Required
Ratings Downgrade Event has occurred and is continuing; otherwise,
infinity.
“Threshold”
means, with respect to Party B and any Valuation Date,
infinity.
|
| (C) |
“Minimum
Transfer Amount” means
USD 100,000 with respect to Party A and Party B; provided, however,
that
if the aggregate Certificate Principal Balance and note principal
balance
of Certificates and Notes rated by S&P ceases to be more than USD
50,000,000, the “Minimum
Transfer Amount”
shall be USD 50,000.
|
| (D) |
Rounding:
The Delivery Amount will be rounded up to the nearest integral multiple
of
USD 10,000. The Return Amount will be rounded down to the nearest
integral
multiple of USD 1,000.
|
| (c) |
Valuation
and Timing.
|
| (i) |
“Valuation
Agent”
means Party A; provided, however, that if an Event of Default shall
have
occurred with respect to which Party A is the Defaulting Party, Party
B
shall have the right to designate as Valuation Agent an independent
party,
reasonably acceptable to Party A, the cost for which shall be borne
by
Party A. All calculations by the Valuation Agent must be made in
accordance with standard market practice, including, in the event
of a
dispute as to the Value of any Eligible Credit Support or Posted
Credit
Support, by making reference to quotations received by the Valuation
Agent
from one or more Pricing Sources.
|
| (ii) |
“Valuation
Date” means
the first Local Business Day in each week on which any of the S&P/DBRS
Credit Support Amount, the ▇▇▇▇▇’▇ First Trigger Credit Support Amount or
the ▇▇▇▇▇’▇ Second Trigger Credit Support Amount is greater than
zero.
|
| (iii) |
“Valuation
Time” means
the close of business in the city of the Valuation Agent on the Local
Business Day immediately preceding the Valuation Date or date of
calculation, as applicable; provided
that the calculations of Value and Exposure will be made as of
approximately the same time on the same date.
|
| (iv) |
“Notification
Time” means
11:00 a.m., New York time, on a Local Business Day.
|
| (v) |
External
Verification.
Notwithstanding anything to the contrary in the definitions of Valuation
Agent or Valuation Date, at any time at which Party A (or, to the
extent
applicable, its Credit Support Provider) does not have a long-term
unsubordinated and unsecured debt rating of at least “BBB+” from S&P,
the Valuation Agent shall (A) calculate the Secured Party’s Exposure and
the S&P Value of Posted Credit Suppport on each Valuation Date based
on internal marks and (B) verify such calculations with external
marks
monthly by obtaining on the last Local Business Day of each calendar
month
two external marks for each Transaction to which this Annex relates
and
for all Posted Credit Suport; such verification of the Secured Party’s
Exposure shall be based on the higher of the two external marks.
Each
external ▇▇▇▇ in respect of a Transaction shall be obtained from
an
independent Reference Market-maker that would be eligible and willing
to
enter into such Transaction in the absence of the current derivative
provider, provided that an external ▇▇▇▇ ▇▇▇ not be obtained from
the same
Reference Market-maker more than four times in any 12-month period.
The
Valuation Agent shall obtain these external marks directly or through
an
independent third party, in either case at no cost to Party B. The
Valuation Agent shall calculate on each Valuation Date (for purposes
of
this paragraph, the last Local Business Day in each calendar month
referred to above shall be considered a Valuation Date) the Secured
Party’s Exposure based on the greater of the Valuation Agent’s internal
marks and the external marks received. If the S&P Value on any such
Valuation Date of all Posted Credit Support then held by the Secured
Party
is less than the S&P Credit Support Amount on such Valuation Date (in
each case as determined pursuant to this paragraph), Party A shall,
within
three Local Business Days of such Valuation Date, Transfer to the
Secured
Party Eligible Credit Support having an S&P Value as of the date of
Transfer at least equal to such deficiency.
|
| (vi) |
Notice
to S&P.
At
any time at which Party A (or, to the extent applicable, its Credit
Support Provider) does not have a long-term unsubordinated and unsecured
debt rating of at least “BBB+” from S&P, the Valuation Agent shall
provide to S&P not later than the Notification Time on the Local
Business Day following each Valuation Date its calculations of the
Secured
Party’s Exposure and the S&P Value of any Eligible Credit Support or
Posted Credit Support for that Valuation Date. The Valuation Agent
shall
also provide to S&P any external marks received pursuant to the
preceding paragraph.
|
| (d) |
Conditions
Precedent and Secured Party’s Rights and
Remedies.
The following Termination Events will be a “Specified
Condition”
for the party specified (that party being the Affected Party if the
Termination Event occurs with respect to that party): With respect
to
Party A: any Additional Termination Event with respect to which Party
A is
the sole Affected Party. With respect to Party B:
None.
|
| (e) |
Substitution.
|
| (i) |
“Substitution
Date”
has the meaning specified in Paragraph
4(d)(ii).
|
| (ii) |
Consent.
If
specified here as applicable, then the Pledgor must obtain the Secured
Party’s consent for any substitution pursuant to Paragraph 4(d):
Inapplicable.
|
| (f) |
Dispute
Resolution.
|
| (i) |
“Resolution
Time”
means 1:00 p.m. New York time on the Local Business Day following
the date
on which the notice of the dispute is given under Paragraph
5.
|
| (ii) |
Value.
Notwithstanding anything to the contrary in Paragraph 12, for the
purpose
of Paragraphs 5(i)(C) and 5(ii), the S&P Value, ▇▇▇▇▇’▇ First Trigger
Value, and ▇▇▇▇▇’▇ Second Trigger Value, on any date, of Eligible
Collateral other than Cash will be calculated as follows:
|
For
Eligible Collateral in the form of securities listed in Paragraph 13(b)(ii):
the
sum of (A) the product of (1)(x) the bid price at the Valuation Time for such
securities on the principal national securities exchange on which such
securities are listed, or (y) if such securities are not listed on a national
securities exchange, the bid price for such securities quoted at the Valuation
Time by any principal market maker for such securities selected by the Valuation
Agent, or (z) if no such bid price is listed or quoted for such date, the bid
price listed or quoted (as the case may be) at the Valuation Time for the day
next preceding such date on which such prices were available and (2) the
applicable Valuation Percentage for such Eligible Collateral, and (B) the
accrued interest on such securities (except to the extent Transferred to the
Pledgor pursuant to Paragraph 6(d)(ii) or included in the applicable price
referred to in the immediately preceding clause (A)) as of such
date.
| (iii) |
Alternative.
The provisions of Paragraph 5 will
apply.
|
| (g) |
Holding
and Using Posted
Collateral.
|
| (i) |
Eligibility
to Hold Posted Collateral; Custodians. Party
B (or any Custodian) will be entitled to hold Posted Collateral pursuant
to Paragraph 6(b).
|
Party
B
may appoint as Custodian (A) the entity then serving as Swap Contract
Administrator or (B) any entity other than the entity then serving as Swap
Contract Administrator if such other entity (or, to the extent applicable,
its
parent company or credit support provider) shall then have a short-term
unsecured and unsubordinated debt rating from S&P of at least
“A-1.”
Initially,
the Custodian
for
Party B is: Swap Contract Administrator
| (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.
|
| (h) |
Distributions
and Interest Amount.
|
| (i) |
Interest
Rate.
The “Interest
Rate”
will be the actual interest rate earned on Posted Collateral in the
form
of Cash that is held by Party B or its
Custodian.
|
| (ii) |
Transfer
of Interest Amount.
The Transfer of the Interest Amount will be made on the second Local
Business Day following the end of each calendar month and on any
other
Local Business Day on which Posted Collateral in the form of Cash
is
Transferred to the Pledgor pursuant to Paragraph 3(b); provided,
however,
that the obligation of Party B to Transfer any Interest Amount to
Party A
shall be limited to the extent that Party B has earned and received
such
funds and such funds are available to Party B.
|
| (iii) |
Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will
apply.
|
| (i) |
Additional
Representation(s).
There are no additional representations by either
party.
|
| (j) |
Other
Eligible Support and Other Posted Support.
|
| (i) |
“Value”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
| (ii) |
“Transfer”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
|
| (k) |
Demands
and Notices.All
demands, specifications and notices under this Annex will be made
pursuant
to the Notices Section of this Agreement, except that any demand,
specification or notice shall be given to or made at the following
addresses, or at such other address as the relevant party may from
time to
time designate by giving notice (in accordance with the terms of
this
paragraph) to the other party:
|
If
to
Party A, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B’s Custodian:
The
Bank
of New York
▇▇▇
▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇ ▇▇
▇▇▇
▇▇▇▇,
▇▇ ▇▇▇▇▇
Attention:
Mortgage
Backed Securities Group 8W
▇▇▇▇▇▇▇▇
▇. ▇▇▇▇▇▇▇▇▇▇▇
Vice
President
Structured
Finance Group
Tel:
(▇▇▇)
▇▇▇-▇▇▇▇
Fax:
(▇▇▇)
▇▇▇-▇▇▇▇
| (l) |
Address
for Transfers.
Each Transfer hereunder shall be made to the address specified below
or to
an address specified in writing from time to time by the party to
which
such Transfer will be made.
|
Party
A
account details:
A/C
With
- Deutsche Bank Trust Company Americas, New York
Swift
Code - ▇▇▇▇▇▇▇▇ / ABA ▇▇▇▇▇▇▇▇▇
Favour
of
- Deutsche Bank AG, New York
Account
Number - ▇▇▇▇▇▇▇▇
Party
B’s
Custodian account details:
The
Bank
of New York
ABA
▇▇▇▇▇▇▇▇▇
G/L
Account 111565
For
further credit to TAS 501649
CWABS
2006-BC5 SWAP COLLATERAL A/C
| (m) |
Other
Provisions.
|
| (i) |
Collateral
Account.
Party B shall open and maintain a segregated account, which shall
be an
Eligible Account, and hold, record and identify all Posted Collateral
in
such segregated account, in accordance with the Pooling and Servicing
Agreement.
|
| (ii) |
Agreement
as to Single Secured Party and Single Pledgor.
Party A and Party B hereby agree that, notwithstanding anything to
the
contrary in this Annex, (a) the term “Secured Party” as used in this Annex
means only Party B, (b) the term “Pledgor” as used in this Annex means
only Party A, (c) only Party A makes the pledge and grant in Paragraph
2,
the acknowledgement in the final sentence of Paragraph 8(a) and the
representations in Paragraph 9.
|
| (iii) |
Calculation
of Value.
Paragraph 4(c) is hereby amended by deleting the word “Value” and
inserting in lieu thereof “S&P Value, ▇▇▇▇▇’▇ First Trigger Value,
▇▇▇▇▇’▇ Second Trigger Value”. Paragraph 4(d)(ii) is hereby amended by (A)
deleting the words “a Value” and inserting in lieu thereof “an S&P
Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇ Second Trigger Value” and
(B) deleting the words “the Value” and inserting in lieu thereof “S&P
Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇ Second Trigger Value”.
Paragraph 5 (flush language) is hereby amended by deleting the word
“Value” and inserting in lieu thereof “S&P Value, ▇▇▇▇▇’▇ First
Trigger Value, or ▇▇▇▇▇’▇ Second Trigger Value”. Paragraph 5(i) (flush
language) is hereby amended by deleting the word “Value” and inserting in
lieu thereof “S&P Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇
Second Trigger Value”. Paragraph 5(i)(C) is hereby amended by deleting the
word “the Value, if” and inserting in lieu thereof “any one or more of the
S&P Value, ▇▇▇▇▇’▇ First Trigger Value, or ▇▇▇▇▇’▇ Second Trigger
Value, as may be”. Paragraph 5(ii) is hereby amended by (1) deleting the
first instance of the words “the Value” and inserting in lieu thereof “any
one or more of the S&P Value, ▇▇▇▇▇’▇ First Trigger Value, or ▇▇▇▇▇’▇
Second Trigger Value” and (2) deleting the second instance of the words
“the Value” and inserting in lieu thereof “such disputed S&P Value,
▇▇▇▇▇’▇ First Trigger Value, or ▇▇▇▇▇’▇ Second Trigger Value”. Each of
Paragraph 8(b)(iv)(B) and Paragraph 11(a) is hereby amended by deleting
the word “Value” and inserting in lieu thereof “least of the S&P
Value, ▇▇▇▇▇’▇ First Trigger Value, and ▇▇▇▇▇’▇ Second Trigger Value”.
|
| (iv) |
Form
of Annex. Party
A and Party B hereby agree that the text of Paragraphs 1 through
12,
inclusive, of this Annex is intended to be the printed form of ISDA
Credit
Support Annex (Bilateral Form - ISDA Agreements Subject to New York
Law
Only version) as published and copyrighted in 1994 by the International
Swaps and Derivatives Association,
Inc.
|
| (v) |
Events
of Default.
Paragraph 7 will not apply to cause any Event of Default to exist
with
respect to Party B except that Paragraph 7(i) will apply to Party
B solely
in respect of Party B’s obligations under Paragraph 3(b) of the Credit
Support Annex. Notwithstanding anything to the contrary in Paragraph
7,
any failure by Party A to comply with or perform any obligation to
be
complied with or performed by Party A under the Credit Support Annex
shall
only be an Event of Default if (A) either
(i) a ▇▇▇▇▇’▇ Second Trigger Event has occurred and been continuing for 30
or more Local Business Days, or (ii) a S&P Required Ratings Downgrade
Event has occurred and been continuing for 30 or more Local Business
Days,
and (B) such failure is not remedied on or before the third Local
Business
Day after notice of such failure is given to Party
A.
|
| (vi) |
Expenses.
Notwithstanding anything to the contrary in Paragraph 10, the Pledgor
will
be responsible for, and will reimburse the Secured Party for, all
transfer
and other taxes and other costs involved in any Transfer of Eligible
Collateral.
|
| (vii) |
Withholding.
Paragraph 6(d)(ii) is hereby amended by inserting immediately after
“the
Interest Amount” in the fourth line thereof the words “less any applicable
withholding taxes.”
|
| (viii) |
Notice
of Failure to Post Collateral. Upon
any failure by Party A to post collateral as required under this
Agreement, Party B shall, no later than the next Business Day after
the
date such collateral was required to be posted, give a written notice
of
such failure to Party A and to Depositor. For the avoidance of doubt,
notwithstanding anything in this Agreement to the contrary, the failure
of
Party B to comply with the requirements of this paragraph shall not
constitute an Event of Default or Termination Event.
|
(ix)
Additional
Definitions.
As used
in this Annex:
“Collateral
Event” means
that no Relevant Entity has credit ratings at least equal to the Approved
Ratings Threshold.
“Exposure”
has the
meaning specified in Paragraph 12, except that after the word “Agreement” the
words “(assuming, for this purpose only, that Part 1(f) of the Schedule is
deleted)” shall be inserted.
“Local
Business Day”
means:
any day on which (A) commercial banks are open for business (including dealings
in foreign exchange and foreign currency deposits) in New York and the location
of Party A, Party B and any Custodian, and (B) in relation to a Transfer of
Eligible Collateral, any day on which the clearance system agreed between the
parties for the delivery of Eligible Collateral is open for acceptance and
execution of settlement instructions (or in the case of a Transfer of Cash
or
other Eligible Collateral for which delivery is contemplated by other means
a
day on which commercial banks are open for business (including dealings in
foreign exchange and foreign deposits) in New York and the location of Party
A,
Party B and any Custodian.
“▇▇▇▇▇’▇
First Trigger Event” means
that no Relevant Entity has credit ratings from ▇▇▇▇▇’▇ at least equal to the
▇▇▇▇▇’▇ First Trigger Ratings Threshold.
“▇▇▇▇▇’▇
First Trigger Credit Support Amount” means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which (I) a ▇▇▇▇▇’▇ First Trigger Event has occurred
and has been continuing (x) for at least 30 Local Business Days or
(y)
since this Annex was executed and (II) it is not the case that a
▇▇▇▇▇’▇
Second Trigger Event has occurred and been continuing for at least
30
Local Business Days, an amount equal to the greater of (a) zero and
(b)
the sum of (i) the Secured Party’s Exposure for such Valuation Date and
(ii) the sum, for each Transaction to which this Annex relates, of
the
product of the applicable ▇▇▇▇▇’▇ First Trigger Factor set forth in Table
1 and the Notional Amount for such Transaction for the Calculation
Period
which includes such Valuation Date; or
|
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II)
the
Threshold for Party A such Valuation Date.
“▇▇▇▇▇’▇
First Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the ▇▇▇▇▇’▇ First Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“▇▇▇▇▇’▇
Second Trigger Event” means
that no Relevant Entity has credit ratings from ▇▇▇▇▇’▇ at least equal to the
▇▇▇▇▇’▇ Second Trigger Ratings Threshold.
“▇▇▇▇▇’▇
Second Trigger Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which it is the case that a ▇▇▇▇▇’▇ Second Trigger
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 payment due to be paid by Party A under each
Transaction to which this Annex relates, and (c) the sum of (x) the
Secured Party’s Exposure for such Valuation Date and (y) the sum, for each
Transaction to which this Annex relates, of
|
(1)
if
such Transaction is not a Transaction-Specific Hedge, the product of the
applicable ▇▇▇▇▇’▇ Second Trigger Factor set forth in Table 2 and the Notional
Amount for such Transaction for the Calculation Period which includes such
Valuation Date;
or
(2)
if
such Transaction is a Transaction-Specific Hedge, the product of the applicable
▇▇▇▇▇’▇ Second Trigger Factor set forth in Table 3 and the Notional Amount for
such Transaction for the Calculation Period which includes such Valuation Date;
or
|
(B)
|
for
any other Valuation Date, zero,
over
|
(II)
the
Threshold for Party A for such Valuation Date.
“▇▇▇▇▇’▇
Second Trigger Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
bid
price obtained by the Valuation Agent multiplied by the ▇▇▇▇▇’▇ Second Trigger
Valuation Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii).
“Pricing
Sources”
means
the sources of financial information commonly known as Bloomberg, Bridge
Information Services, Data Resources Inc., Interactive Data Services,
International Securities Market Association, ▇▇▇▇▇▇▇ ▇▇▇▇▇ Securities Pricing
Service, ▇▇▇▇▇▇ Data Corporation, Reuters, Wood Gundy, Trepp Pricing, ▇▇ ▇▇▇▇▇,
S&P and Telerate.
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
|
(I)
|
(A)
|
for
any Valuation Date on which (i) an S&P Rating Threshold Event, has
occurred and been continuing for at least 30 days, or (ii) a S&P
Required Ratings Downgrade Event has occurred and is continuing,
an amount
equal to the sum of (1) 100.0% of the Secured Party’s Exposure for such
Valuation Date and (2) the sum, for each Transaction to which this
Annex
relates, of the product of the Volatility Buffer for such Transaction
and
the Notional Amount of such Transaction for the Calculation Period
of 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.
“S&P
Rating Threshold Event”
means,
on any date, no Relevant Entity has credit ratings from S&P which equal or
exceed the S&P Approved Ratings Threshold.
“S&P
Value”
means,
on any date and with respect to any Eligible Collateral other than Cash, the
product of (A) the bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the S&P Valuation Percentage for such Eligible Collateral
set forth in paragraph 13(b)(ii).
“Transaction
Exposure”
means,
for any Transaction, Exposure determined as if such Transaction were the only
Transaction between the Secured Party and the Pledgor.
“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.
“Valuation
Percentage”
shall
mean, for purposes of determining the S&P Value, ▇▇▇▇▇’▇ First Trigger
Value, or ▇▇▇▇▇’▇ Second Trigger Value with respect to any Eligible Collateral
or Posted Collateral, the applicable S&P Valuation Percentage, ▇▇▇▇▇’▇ First
Trigger Valuation Percentage, or ▇▇▇▇▇’▇ Second Trigger Valuation Percentage for
such Eligible Collateral or Posted Collateral, respectively, in each case as
set
forth in Paragraph 13(b)(ii).
“Value”
shall
mean, in respect of any date, the related S&P Value, the related ▇▇▇▇▇’▇
First Trigger Value, and the related ▇▇▇▇▇’▇ Second Trigger Value.
“Volatility
Buffer”
means,
for any Transaction, the related percentage set forth in the following table.
|
The
higher of the S&P short-term credit rating of (i) Party A and (ii) the
Credit Support Provider of Party A, if applicable
|
Remaining
Weighted Average Maturity
up
to 3 years
|
Remaining
Weighted Average Maturity
up
to 5 years
|
Remaining
Weighted Average Maturity
up
to 10 years
|
Remaining
Weighted Average Maturity
up
to 30 years
|
|
At
least “A-2”
|
2.75%
|
3.25%
|
4.00%
|
4.75%
|
|
“A-3”
|
3.25%
|
4.00%
|
5.00%
|
6.25%
|
|
“BB+”
or
lower
|
3.50%
|
4.50%
|
6.75%
|
7.50%
|
[Remainder
of this page intentionally left blank]
Table
1
▇▇▇▇▇’▇
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%
|
Table
2
▇▇▇▇▇’▇
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%
|
Table
3
▇▇▇▇▇’▇
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%
|
IN
WITNESS WHEREOF, the parties have executed this Annex by their duly authorized
representatives as of the date of the Agreement.
|
Deutsche
Bank AG
|
The
Bank of New York, not in its individual or corporate capacity,
but solely
as Swap Contract Administrator for CWABS, Inc., Asset-Backed Certificates,
Series 2006-BC5 pursuant to a Swap Contract Administration
Agreement
|
||||||||||||
|
By:
|
/s/
▇▇▇▇ ▇▇▇▇▇▇▇
|
By:
|
/s/
▇▇▇▇▇ ▇▇▇▇▇▇
|
||||||||||
|
Name:
|
▇▇▇▇
▇▇▇▇▇▇▇
|
Name:
|
▇▇▇▇▇
▇▇▇▇▇▇
|
||||||||||
|
Title:
|
Vice
President
|
Title:
|
Assistant
Vice President
|
||||||||||
|
Date:
|
December
29, 2006
|
Date:
|
December
29, 2006
|
||||||||||
|
By:
|
/s/
▇▇▇▇▇▇ ▇▇▇▇
|
||||||||||||
|
Name:
|
▇▇▇▇▇▇
▇▇▇▇
|
||||||||||||
|
Title:
|
Assistant
Vice President
|
||||||||||||
|
Date:
|
December
29, 2006
|
||||||||||||