Exhibit 99.2
SWISS RE FINANCIAL PRODUCTS CORPORATION
▇▇ ▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇
▇▇▇ ▇▇▇▇, ▇▇▇ ▇▇▇▇ ▇▇▇▇▇
Fax: (▇▇▇) ▇▇▇-▇▇▇▇/Phone: (▇▇▇) ▇▇▇-▇▇▇▇
DATE: June 29, 2006
TO: Countrywide Home Loans, Inc.
ATTENTION: Documentation Unit
FROM: Swiss Re Financial Products Corporation
RE: Swap Transaction
REFERENCE NO: 922721
Dear Sir or Madam:
The purpose of this letter agreement is to set forth the terms and
conditions of the Swap Transactions traded between Swiss Re Financial Products
Corporation ("Party A") and Countrywide Home Loans, Inc. ("Party B") on the
trade date specified below (the "Transactions"). This letter agreement
constitutes a "Confirmation" as referred to in the Agreement specified below.
Notwithstanding anything to the contrary in the Agreement, the definitions
and provisions contained in the 2000 ISDA Definitions, as published by the
International Swaps and Derivatives Association, Inc. (the "Definitions") are
incorporated into this Confirmation. To the extent that there is any
inconsistency between those Definitions and Provisions and this Confirmation,
this Confirmation will govern. For the purposes of the Definitions, all
references to a "Transaction" in this Confirmation shall also be deemed to be
references to a "Swap Transaction".
This Confirmation evidences a complete binding agreement between you and
us as to the terms of the Transactions to which this Confirmation relates. This
Confirmation supplements, forms part of, and is subject to, the ISDA Master
Agreement (Multicurrency - Cross Border) dated as of December 15, 2005, as
amended and supplemented from time to time (the "Agreement"), between Party A
and Party B. All provisions contained or incorporated by reference in that
agreement upon its execution will govern this Confirmation except as expressly
modified below.
Capitalized terms used in this Confirmation and not defined in the
Agreement, this Confirmation or the Definitions shall have the respective
meaning assigned in the Pooling and Servicing Agreement for CWABS, Inc.
Asset-Backed Certificates Series 2006-ABC1 dated as of June 1, 2006 among CWABS,
Inc. as depositor, Park Monaco Inc., as a Seller, Park Sienna LLC, as a Seller,
Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans Servicing LP,
as master servicer, The Bank of New York, as trustee, and The Bank of New York
Trust Company, N.A., as co-trustee (the "Pooling and Servicing Agreement").
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
-------------
Trade Date: June 6, 2006
Effective Date: June 29, 2006
Termination Date: June 25, 2009, subject to adjustment in accordance with the
Following Business Day Convention.
Notional Amount: With respect to any Calculation Period, the lesser of (i) the
amount set forth for such period in Annex A attached hereto and
(ii) the aggregate Certificate Principal Balance of the Class A-1,
Class ▇-▇, ▇▇▇▇▇ ▇-▇, Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7 and Class M-8 Certificates (as
defined in the Pooling and Servicing Agreement) immediately prior
to the Distribution Date (as defined in the Pooling and Servicing
Agreement) occurring in the calendar month in which such
Calculation Period ends.
Upfront Amount:
---------------
Upfront Amount: Party A will pay $233,000 to Party B on June 29, 2006.
Floating Amounts:
-----------------
Floating Rate Payer: Party A
Floating Rate Payer Payment Early Payment shall be applicable. For each Calculation Period,
Dates: the Floating Rate Payer Payment Date shall be the first Business
Day prior to the related Floating Rate Payer Period End Date.
Floating Rate Payer Period The 25th of each month in each year from (and including) July 25,
End Dates: 2006 to (and including) the Termination Date, subject to adjustment
in accordance with the Following Business Day Convention.
Floating Rate Option: USD-LIBOR-BBA.
Designated Maturity: One Month
Spread: None
Floating Rate Day Count Actual/360
Fraction:
Reset Dates: The first day of each Calculation Period.
Compounding: Inapplicable
Business Days for Reset: London
2
Fixed Amounts:
--------------
Fixed Rate Payer: Party B
Fixed Rate Payer Payment The 25th of each month in each year from (and including) July 25,
Dates: 2006 to (and including) the Termination Date, subject to adjustment
in accordance with the Following Business Day Convention.
Fixed Rate Payer Period End The 25th of each month in each year from (and including) July 25,
Dates: 2006 to (and including) June 25, 2009, with No Adjustment.
Fixed Rate: 5.50%
Fixed Rate Day Count Fraction: 30/360
Business Days for Payments by New York.
Both Parties:
Amendment to Section 2(c) of the Notwithstanding anything to the contrary in Section 2(c) of the
Agreement: Agreement, amounts that are payable with respect to Calculation
Periods which end in the same calendar month (prior to any
adjustment of period end dates) shall be netted, as provided in
Section 2(c) of the Agreement, even if such amounts are not due on
the same payment date. For avoidance of doubt any payments pursuant
to Section 6(e) of the Agreement shall not be subject to netting.
Procedural Terms:
-----------------
Account Details:
Payments to Party A: JPMorgan Chase Bank
SWIFT: ▇▇▇▇▇▇▇▇
For the Account of Swiss Re Financial Products Corporation
Account No.: 066-91118
Payments to Party B: As per Party B's standard settlement instructions; provided,
however that upon any assignment of this Transaction, account
details shall be provided in the assignment agreement.
Assignment: Party A will not unreasonably withhold or delay its consent to an
assignment of this Transaction to any other third party.
3
Please confirm that the foregoing correctly sets forth the terms and
conditions of our agreement by executing this Confirmation and returning it to
us by facsimile to:
Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax: (▇▇▇) ▇▇▇-▇▇▇▇ Phone: (▇▇▇) ▇▇▇-▇▇▇▇
SWISS RE FINANCIAL PRODUCTS CORPORATION
By: ________________________________________
Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
COUNTRYWIDE HOME LOANS INC.
By: _______________________________________
Name:
Title:
4
Annex A
Period Start Date Period End Date Notional Amount
29-Jun-06 25-Jul-06 297,450,000
25-Jul-06 25-Aug-06 293,716,057
25-Aug-06 25-Sep-06 289,596,197
25-Sep-06 25-Oct-06 285,100,239
25-Oct-06 25-Nov-06 280,239,610
25-Nov-06 25-Dec-06 275,027,314
25-Dec-06 25-Jan-07 269,478,850
25-Jan-07 25-Feb-07 263,609,237
25-Feb-07 25-Mar-07 257,435,912
25-Mar-07 25-Apr-07 250,977,653
25-Apr-07 25-May-07 244,254,500
25-May-07 25-Jun-07 237,287,653
25-Jun-07 25-Jul-07 230,099,827
25-Jul-07 25-Aug-07 222,772,168
25-Aug-07 25-Sep-07 215,288,218
25-Sep-07 25-Oct-07 208,067,007
25-Oct-07 25-Nov-07 201,100,390
25-Nov-07 25-Dec-07 194,379,921
25-Dec-07 25-Jan-08 187,895,324
25-Jan-08 25-Feb-08 181,640,864
25-Feb-08 25-Mar-08 170,131,904
25-Mar-08 25-Apr-08 159,367,520
25-Apr-08 25-May-08 149,300,008
25-May-08 25-Jun-08 140,006,812
25-Jun-08 25-Jul-08 131,314,483
25-Jul-08 25-Aug-08 123,179,108
25-Aug-08 25-Sep-08 118,733,804
25-Sep-08 25-Oct-08 114,456,023
25-Oct-08 25-Nov-08 110,328,794
25-Nov-08 25-Dec-08 106,346,824
25-Dec-08 25-Jan-09 102,505,056
25-Jan-09 25-Feb-09 98,798,512
25-Feb-09 25-Mar-09 95,064,828
25-Mar-09 25-Apr-09 91,472,910
25-Apr-09 25-May-09 88,017,104
25-May-09 25-Jun-09 84,691,997