EXHIBIT 99.4
------------
The Credit Support Annex to the ISDA Master Agreement
ISDA(R)
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA Master Agreement
dated as of November 28, 2006
between
▇▇▇▇▇▇ Brothers Special Financing Inc.
(hereinafter referred to as "Party A" or "Pledgor"),
and
DEUTSCHE BANK NATIONAL TRUST COMPANY, not in its individual or corporate
capacity but solely as Supplemental Interest Trustee for Residential Asset
Securitization Trust 2006-A15 (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 Transactions documented in the Confirmations dated November 28,
2006, between Party A and Party B, Reference Number 2761765 and 2761766.
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/Fitch Credit Support
Amount for such Valuation Date exceeds (b) the
S&P/Fitch 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
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(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/Fitch Value as of such
Valuation Date of all Posted Credit Support held by
the Secured Party exceeds (b) the S&P/Fitch 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/Fitch
Credit Support Amount, the ▇▇▇▇▇'▇ First Trigger Credit
Support Amount or the ▇▇▇▇▇'▇ Second Trigger Credit Support
Amount, in each case for such Valuation Date, as provided in
Paragraphs 13(b)(i)(A) and 13(b)(i)(B), above.
(ii) Eligible Collateral.
On any date, the following items will qualify as "Eligible Collateral"
(for the avoidance of doubt, all Eligible Collateral to be denominated
in USD):
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▇▇▇▇▇'▇ ▇▇▇▇▇'▇
S&P/Fitch First Trigger Second Trigger
Valuation Valuation Valuation
Collateral Percentage Percentage Percentage
---------- ---------- ---------- ----------
(A) Cash 100% 100% 100%
(B) Fixed-rate negotiable debt obligations issued by
the U.S. Treasury Department having a maturity at
issuance 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 maturity at
issuance 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 maturity at
issuance 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/Fitch 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 Class Certificate Balance of the Certificates
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.
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(c) Valuation and Timing.
(i) "Valuation Agent" means Party A; provided, however, that if an
Event of Default has occurred and is continuing with respect to
Party A, then the parties shall have the right to designate a
financial institution which will qualify as a Reference
Market-maker and acceptable to both parties to act as Valuation
Agent . until the earlier of (i) a designation under Section
6(c)(ii), or (ii) the discontinuance of such Event of Default with
respect to 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 each Wednesday or if such day is not a
Local Business Day, the next following Local Business Day in each
week on which any of the S&P/Fitch 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 New York 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's 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
Support 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 Support; 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's 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
14
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/Fitch
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) 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 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); provided that the following conditions applicable
to it are satisfied:
(1) The Custodian is a bank or trust company located in
the United States having total assets of at least
$250,000,000 and a short term unsecured debt or
counterparty rating of "Prime-1" from ▇▇▇▇▇'▇ and
"A-1" from Standard & Poor's.
Initially, the Custodian for Party B is: Deutsche Bank National
Trust Company.
(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
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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.
(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, at the address specified for Party B pursuant
to the Notices Section of this Agreement
(l) Address for Transfers. Each Transfer hereunder shall be made to an
address specified in writing from time to time by the party to which
such Transfer will be made.
(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.
(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/Fitch Value,
▇▇▇▇▇'▇ First Trigger Value, ▇▇▇▇▇'▇ Second Trigger Value".
Paragraph 4(d)(ii) is hereby amended by (A) deleting the words "a
Value" and inserting in lieu thereof "an S&P/Fitch Value, ▇▇▇▇▇'▇
First Trigger Value, and ▇▇▇▇▇'▇ Second Trigger Value" and (B)
deleting the words "the Value" and inserting in lieu thereof
"S&P/Fitch Value, ▇▇▇▇▇'▇ First Trigger Value, and ▇▇▇▇▇'▇ Second
Trigger Value". Paragraph 5 (flush language) is hereby amended by
deleting the word "Value" and inserting in lieu thereof "S&P/Fitch
Value, ▇▇▇▇▇'▇ First Trigger Value, or ▇▇▇▇▇'▇ Second Trigger
Value". Paragraph 5(i) (flush language) is hereby amended by
deleting the word "Value" and inserting in lieu thereof "S&P/Fitch
Value, ▇▇▇▇▇'▇ First Trigger Value, and ▇▇▇▇▇'▇ Second Trigger
Value". Paragraph 5(i)(C) is hereby amended by deleting the word
"the Value, if" and inserting in lieu thereof "any one or more of
the S&P/Fitch Value, ▇▇▇▇▇'▇ First Trigger Value, or ▇▇▇▇▇'▇
Second Trigger Value, as may be". Paragraph 5(ii) is hereby
amended by (1) deleting the first instance of the words "the
Value" and inserting in lieu thereof "any one or more of the
S&P/Fitch Value, ▇▇▇▇▇'▇ First Trigger Value, or ▇▇▇▇▇'▇ Second
Trigger Value" and (2) deleting the second instance of the words
"the Value"
16
and inserting in lieu thereof "such disputed S&P/Fitch Value,
▇▇▇▇▇'▇ First Trigger Value, or ▇▇▇▇▇'▇ Second Trigger Value".
Each of Paragraph 8(b)(iv)(B) and Paragraph 11(a) is hereby
amended by deleting the word "Value" and inserting in lieu
thereof "least of the S&P/Fitch Value, ▇▇▇▇▇'▇ First Trigger
Value, and ▇▇▇▇▇'▇ Second Trigger Value".
(iv) Form of Annex. Party A and Party B hereby agree that the text of
Paragraphs 1 through 12, inclusive, of this Annex is intended to
be the printed form of ISDA Credit Support Annex (Bilateral Form -
ISDA Agreements Subject to New York Law Only version) as published
and copyrighted in 1994 by the International Swaps and Derivatives
Association, Inc.
(v) Events of Default. Paragraph 7 will not apply to cause any Event
of Default to exist with respect to Party B except that Paragraph
7(i) will apply to Party B solely in respect of Party B's
obligations under Paragraph 3(b) of the Credit Support Annex.
Notwithstanding anything to the contrary in Paragraph 7, any
failure by Party A to comply with or perform any obligation to be
complied with or performed by Party A under the Credit Support
Annex shall only be an Event of Default if (A) a Required Ratings
Downgrade Event has occurred and been continuing for 30 or more
Local Business Days and (B) such failure is not remedied on or
before the third Local Business Day after notice of such failure
is given to Party A.
(vi) Expenses. Notwithstanding anything to the contrary in Paragraph
10, the Pledgor will be responsible for, and will reimburse the
Secured Party for, all transfer and other taxes and other costs
involved in any Transfer of Eligible Collateral.
(vii) Withholding. Paragraph 6(d)(ii) is hereby amended by inserting
immediately after "the Interest Amount" in the fourth line thereof
the words "less any applicable withholding taxes."
(viii) 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 the 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.
"Fitch Rating Threshold Event" means, on any date, no Relevant
Entity has credit ratings from Fitch which equal or exceed the
Fitch Approved Ratings Threshold.
"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.
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"▇▇▇▇▇'▇ 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.
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"▇▇▇▇▇'▇ 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 or Fitch Rating Threshold Event has
occurred and been continuing for at least 30 days, or
(ii) a S&P/Fitch 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/Fitch Value" means, on any date and with respect to any
Eligible Collateral other than Cash, the product of (A) the
bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the S&P/Fitch 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/Fitch Value, ▇▇▇▇▇'▇ First Trigger
Value, or ▇▇▇▇▇'▇ Second Trigger Value with respect to any
Eligible Collateral or Posted Collateral, the applicable
S&P/Fitch Valuation Percentage, ▇▇▇▇▇'▇ First Trigger
Valuation Percentage, or ▇▇▇▇▇'▇ Second Trigger Valuation
Percentage for such Eligible Collateral or Posted
Collateral, respectively, in each case as set forth in
Paragraph 13(b)(ii).
"Value" shall mean, in respect of any date, the related
S&P/Fitch 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.
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---------------------------- -------------- --------------- --------------- ---------------
the S&P short-term credit Remaining Remaining Remaining Remaining
rating of Party A's Credit Weighted Weighted Weighted Weighted
Support Provider Average Average Average Average
Maturity Maturity Maturity Maturity
up to 3 years up to 5 years up to 10 years 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%
---------------------------- -------------- --------------- --------------- ---------------
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Table 1
-------
▇▇▇▇▇'▇ First Trigger Factor
----------------------------
Remaining Weekly
Weighted Average Life Collateral
of Hedge in Years 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%
21
Table 2
-------
▇▇▇▇▇'▇ Second Trigger Factor for Interest Rate Swaps
-----------------------------------------------------
with Fixed Notional Amounts
---------------------------
Remaining Weekly
Weighted Average Life Collateral
of Hedge in Years 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%
22
Table 3
-------
▇▇▇▇▇'▇ Second Trigger Factor for Transaction-Specific ▇▇▇▇▇▇
-------------------------------------------------------------
Remaining Weekly
Weighted Average Life Collateral
of Hedge in Years 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%
23
IN WITNESS WHEREOF, the parties have executed this Annex by their duly
authorized representatives as of the date of the Agreement.
▇▇▇▇▇▇ BROTHERS SPECIAL FINANCING INC. DEUTSCHE BANK NATIONAL TRUST COMPANY, not in its
individual or corporate capacity but solely as
Supplemental Interest Trustee for Residential
Asset Securitization Trust 2006-A15
By: /s/ ▇▇▇▇▇▇▇ ▇. ▇▇▇▇▇▇ By: /s/ ▇▇▇ ▇▇▇▇▇▇▇▇
---------------------------------- --------------------------------------------
Name ▇▇▇▇▇▇▇ ▇. ▇▇▇▇▇▇ Name: ▇▇▇ ▇▇▇▇▇▇▇▇
Title: Authorized Signatory Title: Authorized Signer
Date: Date:
24