ISDA® International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the Master Agreement dated as of May 31, 2007 between
ISDA®
International
Swaps and Derivatives Association, Inc.
to
the
Schedule to the
Master
Agreement
dated
as
of May 31, 2007
between
|
ABN
AMRO BANK N.V.
|
and
|
▇▇▇▇▇▇
XS TRUST, SERIES 2007-7N
|
|
_______________________________________
(“Party
A”)
|
_________________________________________
(“Party
B”)
|
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.
Elections
and Variables
to
the 1994 ISDA Credit Support Annex
dated
as of
May
31,
2007
between
|
ABN
AMRO BANK N.V.
|
and
|
▇▇▇▇▇▇
XS TRUST, SERIES 2007-7N
|
|
_______________________________________
(“Party
A”)
|
_________________________________________
(“Party
B”)
|
Paragraph
13.
| (a) |
Security
Interest for
“Obligations”.
|
The
term
“Obligations”
as used
in this Annex includes the following additional obligations: None.
| (b) |
Credit
Support Obligations.
|
| (i) |
Delivery
Amount, Return Amount and Credit Support
Amount.
|
| (A) |
“Delivery
Amount”
has the meaning specified in Paragraph 3(a), except 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;”
provided,
that the Delivery Amount shall be calculated, with respect to collateral
posting required by each Rating Agency, by using (i) such Rating
Agency’s
Valuation Percentages as provided below 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.
|
| (B) |
“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
Valuation Percentages as provided below 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.
|
| (C) |
“Credit
Support Amount”
has the meaning specified in Paragraph 13(j)(iv).
|
| (ii) |
Eligible
Credit Support.
The following Valuation
Percentages1
shall apply to Eligible Collateral with respect to Party A; provided,
however,
that all Eligible Collateral shall be denominated in United States
Dollars.
|
1
With
respect to collateral types not listed below, such assets will be subject
to
review by each of S&P, Fitch and ▇▇▇▇▇’▇.
1
|
Collateral
|
S&P
Valuation
Percentage
|
Fitch
Valuation
Percentage
|
Moody’s
First
Trigger Valuation
Percentage
|
Moody’s
Second
Trigger Valuation
Percentage
|
|||||||||
|
Cash
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
|||||
|
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
|
%
|
97.5
|
%
|
100
|
%
|
100
|
%
|
|||||
|
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
|
%
|
86.3
|
%
|
100
|
%
|
94
|
%
|
|||||
|
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
|
%
|
86.7
|
%
|
100
|
%
|
87
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date of
not
more than one year
|
98.0
|
%
|
(2
|
)
|
100
|
%
|
99
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date of
more
than one year but not more than ten years
|
86.9
|
%
|
(3
|
)
|
100
|
%
|
93
|
%
|
|||||
|
Fixed-rate
U.S. Agency Debentures having a remaining maturity on such date of
more
than ten years
|
77.9
|
%
|
(4
|
)
|
100
|
%
|
86
|
%
|
|||||
| (iii) |
Thresholds.
|
| (A) |
“Independent
Amount”
means with respect to Party A: Zero
|
“Independent
Amount”
means
with respect to Party B: Zero
| (B) |
“Threshold”
means with respect to Party A: infinity; provided
that the Threshold with respect to Party A shall be zero for so long
as no
Relevant Entity has the First Trigger Required Ratings or a
Collateralization Event is occurring and (i) no Relevant Entity has
had
the First Trigger Required Ratings since this Annex was executed,
or (ii)
at least 30 Local Business Days have elapsed since the last time
a
Relevant Entity had the First Trigger Required Ratings, or (iii)
no
Relevant Entity has met the Hedge Counterparty Ratings Requirement
since
this Annex was executed, or (iv) at least 30 calendar days have elapsed
since the last time a Collateralization Event occurred or (v) a Ratings
Event is occurring.
|
2 Subject to review by Fitch.
3 Subject
to review by Fitch.
4 Subject
to review by Fitch.
2
“Threshold”
means
with respect to Party B: infinity.
| (C) |
“Minimum
Transfer Amount”
means
with respect to Party A: USD $100,000; provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000.
|
| (D) |
“Minimum
Transfer Amount”
means with respect to Party B: USD $100,000 (or
if the Posted Collateral is less than $100,000, the aggregate Value
of
Posted Collateral),
provided,
however,
that if S&P is rating the Certificates and the aggregate Certificate
Principal Balances of the rated Certificates falls below $50,000,000,
then
the Minimum Transfer Amount shall mean USD $50,000 (or if the Posted
Collateral is less than $50,000, the aggregate Value of Posted
Collateral).
|
| (E) |
Rounding.
The Delivery Amount will be rounded up to the nearest integral multiple
of
USD $10,000; provided,
however,
that if S&P is rating the Certificates, the Delivery Amount will be
rounded up to the nearest integral multiple of $1,000. The Return
Amount
will be rounded down to the nearest integral multiple of USD $10,000;
provided,
however,
that if S&P is rating the Certificates, the Return Amount will be
rounded down to the nearest integral multiple of
$1,000.
|
| (iv) |
“Exposure”
has the meaning specified in Paragraph 12, except that (1) after
the word
“Agreement” the words “(assuming, for this purpose only, that Part 5(q) 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.”
|
| (c) |
Valuation
and Timing.
|
| (i) |
“Valuation
Agent”
means Party A in all circumstances.
|
| (ii) |
“Valuation
Date”
means the first Local Business Day in each
week.
|
| (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
Credit Support Amount will, as far as practicable, 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.
|
| (d) |
Conditions
Precedent and Secured Party’s Rights and Remedies.
None.
|
| (e) |
Substitution.
|
| (i) |
“Substitution
Date”
has the meaning specified in Paragraph
4(d)(ii).
|
3
| (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 is given that gives rise to a dispute under
Paragraph 5.
|
| (ii) |
Value.
For the purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Eligible
Credit Support or Posted Credit Support as of the relevant Valuation
Date
or date of Transfer will be calculated as follows:
|
| (A) |
with
respect to any Eligible Credit Support or Posted Credit Support comprising
securities (“Securities”)
the sum of (a)(x) the last bid price on such date for such Securities
on
the principal national securities exchange on which such Securities
are
listed, multiplied by the applicable Valuation Percentage; or (y)
where
any Securities are not listed on a national securities exchange,
the bid
price for such Securities quoted as at the close of business on such
date
by any principal market maker (which shall not be and shall be independent
from the Valuation Agent) for such Securities chosen by the Valuation
Agent, multiplied by the applicable Valuation Percentage; or (z)
if no
such bid price is listed or quoted for such date, the last bid price
listed or quoted (as the case may be), as of the day next preceding
such
date on which such prices were available, multiplied by the applicable
Valuation Percentage; plus (b) the accrued interest where applicable
on
such Securities (except to the extent that such interest shall have
been
paid to the Pledgor pursuant to Paragraph 5(c)(ii) or included in
the
applicable price) as of such date;
and
|
| (B) |
with
respect to any Cash, the face amount
thereof.
|
| (iii) |
Alternative.
The provisions of Paragraph 5 will
apply.
|
| (g) |
Holding
and Using Posted
Collateral.
|
| (i) |
Eligibility
to Hold Posted Collateral; Custodians:
|
A
Custodian will be entitled to hold Posted Collateral on behalf of Party B
pursuant to Paragraph 6(b); provided
that:
(1) Posted
Collateral may be held only in the following jurisdiction: United
States.
(2) The
Custodian for Party B (A) is a commercial bank or trust company which is
unaffiliated with Party B and organized under the laws of the United States
or
state thereof, having assets of at least $500 million and a long term debt
or a
deposit rating of at least (i) Baa2 from Moody’s and (ii) A-1 from S&P, or
is the Trustee, and a short term rating from Fitch of at least “F1” and (B)
shall hold all Eligible Credit Support in an Eligible Account segregated from
the Swap Account [and the Interest Rate Cap Account], as defined in the related
Trust Agreement.
4
Initially,
the Custodian for Cash and Securities for Party B is: The Trustee under the
Trust Agreement, or any successor trustee thereto.
| (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.
|
| (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.
|
| (h) |
Distributions
and Interest Amount.
|
| (i) |
Interest
Rate.
The “Interest
Rate”
will be the federal funds overnight rate as published by the Board
of
Governors of the Federal Reserve System in H.15 (519) or its successor
publication, or such other rate as the parties may agree from time
to
time.
|
| (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), 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.
|
| (iii) |
Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will apply.
|
| (i) |
Address
for Transfers.
|
Party
A:
To be notified to Party B by Party A at the time of the request for the
transfer.
Party
B:
To be notified to Party A by Party B upon request by Party A.
| (j) |
Other
Provisions.
|
| (i) |
Events
of Default.
|
Subclause
(iii) shall be deleted from Paragraph 7.
| (ii) |
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.
|
| (iii) |
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 statute 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.
|
| (iv) |
Ratings
Criteria.
|
“Credit
Support Amount”
shall be
the greater of (a) the S&P Credit Support Amount, (b) the Fitch Credit
Support Amount, and (c) the Moody’s First Trigger Credit Support Amount, or the
Moody’s Second Trigger Credit Support Amount, as applicable.
5
With
respect to Fitch:
“Fitch
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date (x) on which a Collateralization Event with respect
to
Fitch has occurred and been continuing for at least 30 calendar days
or
(y) on which a Ratings Event with respect to Fitch has occurred and
is
continuing, an amount equal to the sum of (1) the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
and (2) the aggregate of the products of the Volatility Buffer for
each
Transaction and the Notional Amount of each Transaction for the
Calculation Period of each 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.
“Volatility
Buffer”
shall
mean the percentage set forth in the following table with respect to any
Transaction (other than a Transaction identified in the related Confirmation
as
a Timing Hedge):
|
Weighted
Average Life (Years)
|
||||||||||||||||||||||||||||||||||||||||||||||
|
Notes’
Rating
|
1
|
2
|
3
|
4
|
5
|
6
|
7
|
8
|
9
|
10
|
11
|
12
|
13
|
14
|
>=15
|
|||||||||||||||||||||||||||||||
|
USD
Interest Rate Swaps
|
||||||||||||||||||||||||||||||||||||||||||||||
|
AA-
or Better
|
0.8
|
1.7
|
2.5
|
3.3
|
4.0
|
4.7
|
5.3
|
5.9
|
6.5
|
7.0
|
7.5
|
8.0
|
8.5
|
9.0
|
9.5
|
|||||||||||||||||||||||||||||||
|
A+/A
|
0.6
|
1.2
|
1.8
|
2.3
|
2.8
|
3.3
|
3.8
|
4.2
|
4.6
|
5.0
|
5.3
|
5.7
|
6.0
|
6.4
|
6.7
|
|||||||||||||||||||||||||||||||
|
A-/BBB+
|
0.5
|
1.0
|
1.6
|
2.0
|
2.5
|
2.9
|
3.3
|
3.6
|
4.0
|
4.3
|
4.7
|
5.0
|
5.3
|
5.6
|
5.9
|
|||||||||||||||||||||||||||||||
With
respect to Moody’s:
“▇▇▇▇▇’▇
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 Failure Condition
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
Moody’s 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 the Secured Party’s aggregate Exposure for all Transactions and
the aggregate of Moody’s Additional Collateralized Amounts for each
Transaction.
|
|
For
the purposes of this definition, the “Moody’s
Additional Collateralized Amount”
with respect to any Transaction shall mean:
|
6
|
[the
lesser of (x) the product of the Moody’s First Trigger DV01 Multiplier and
DV01 for such Transaction and such Valuation Date and (y) the product
of
▇▇▇▇▇’▇ First Trigger Notional Amount Multiplier and the Notional Amount
for such Transaction for the Calculation Period which includes such
Valuation Date;]5
|
|
[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;]6
or
|
(B) for
any
other Valuation Date, zero, over
| (II) |
the
Threshold for Party A such Valuation
Date.
|
“First
Trigger Failure Condition”
means
that no Relevant Entity has credit ratings from Moody’s at least equal to the
Moody’s First Trigger Required Ratings.
“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.
“Moody’s
First Trigger DV01 Multiplier”
means
25.
“Moody’s
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).
“▇▇▇▇▇’▇
First Trigger Notional Amount Multiplier”
means
4%.
“▇▇▇▇▇’▇
Second Trigger Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of
| (III) |
(A)for
any Valuation Date on which it is the case that a Second Trigger
Failure
Condition 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 due to be paid by Party
A
under each Transaction and (c) the sum of the Secured Party’s aggregate
Exposure and the aggregate of Moody’s Additional Collateralized Amounts
for each Transaction.
|
|
For
the purposes of this definition, the “Moody’s
Additional Collateralized Amount”
with respect to any Transaction shall mean:
|
|
[the
lesser of (i) the product of the Moody’s Second Trigger DV01 Multiplier
and DV01 for such Transaction and such Valuation Date and (ii) the
product
of the ▇▇▇▇▇’▇ Second Trigger Notional Amount Multiplier and the Notional
Amount for such Transaction for the Calculation Period which includes
such
Valuation Date;]7
|
5 If
▇▇▇▇▇’▇ First Trigger Credit Support Amount is calculated using
DV01.
6 If
▇▇▇▇▇’▇ First Trigger Credit Support Amount is calculated without using
DV01.
7 If
Moody’s Second Trigger Credit Support Amount for a fixed schedule swap is
calculated using DV01.
7
|
[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;]8
or
|
(B) for
any
other Valuation Date, zero, over
| (IV) |
the
Threshold for Party A for such Valuation
Date.
|
“Second
Trigger Failure Condition”
means
that no Relevant Entity has credit ratings from Moody’s at least equal to the
Moody’s Second Trigger Ratings Threshold.
“Moody’s
Second Trigger DV01 Multiplier”
means
60.
“Moody’s
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).
“Moody’s
Second Trigger Notional Amount Multiplier”
means
9%.
With
respect to S&P:
“S&P
Credit Support Amount”
means,
for any Valuation Date, the excess, if any, of:
|
(I)
|
(A)
|
for
any Valuation Date (x) on which a Collateralization Event with respect
to
S&P has occurred and been continuing for at least 30 calendar days
or
(y) on which a Ratings Event with respect to S&P has occurred and is
continuing, an amount equal to the sum of (1) the aggregate Secured
Party’s Exposure for such Valuation Date with respect to all Transactions
and (2) the aggregate of the products of the Volatility Buffer for
each
Transaction and the Notional Amount of each Transaction for the
Calculation Period of each 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.
“Volatility
Buffer”
shall
mean the percentage set forth in the following table with respect to any
Transaction (other than a Transaction identified in the related Confirmation
as
a Timing Hedge):
|
Short-term
credit rating of Party A’s Credit Support Provider
|
|
Remaining
Weighted Average Life Maturity up to 3 years
|
|
Remaining
Weighted Average Life Maturity up to 5 years
|
|
Remaining
Weighted Average Life Maturity up to 10 years
|
|
Remaining
Weighted Average Life 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
|
|||||||||
8 If Moody’s Second Trigger Credit Support Amount for a fixed schedule swap is calculated without using DV01.
8
| (v) |
Demands
and Notices.
|
All
demands, specifications and notices under this Annex will be made pursuant
to
the Notices Section of this Agreement, save that any demand, specification
or
notice:
| (A) |
shall
be given to or made at the following
addresses:
|
If
to
Party A:
As
set
forth in Part 4(a) of the Schedule.
If
to
Party B:
As
set
forth in Part 4(a) of the Schedule.
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 subparagraph) to the other
party;
| (B) |
shall
be deemed to be effective at the time such notice is actually received
unless such notice is received on a day which is not a Local Business
Day
or after the Notification Time on any Local Business Day in which
event
such notice shall be deemed to be effective on the next succeeding
Local
Business Day.
|
Pursuant
to the Section 4.03 of the Trust Agreement, the monthly report to
Certificateholders shall be made available to Party A in the manner and form
specified therein.
| (vi) |
Agreement
as to Single Secured Party and
Pledgor
|
|
Party
A and Party B agree that, notwithstanding anything to the contrary
in the
first sentence of this Annex, Paragraph 1(b) or Paragraph 2 or the
definitions in Paragraph 12, except with respect to Party B’s obligations
under Paragraph 3(b), (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 and (d) only Party A will be required
to
make Transfers of Eligible Credit Support hereunder. Party A and
Party B
further agree that, notwithstanding anything to the contrary in the
recital to this Annex or Paragraph 7, this Annex will constitute
a Credit
Support Document only with respect to Party
A.
|
| (vii) |
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 wilful
misconduct.
|
9
| (viii) |
External
Marks.
|
At
such
time as the long-term senior debt rating of Party A’s Credit Support Provider is
BBB or lower from S&P, Party A in its capacity as Valuation Agent shall get
external verification of its calculation of Exposure on a monthly basis. This
verification shall be at Party A’s expense and may not be verified by the same
entity more than four (4) times in any twelve (12)-month period. The external
▇▇▇▇ should reflect the higher of two (2) bids from counterparties that would
be
willing and eligible to provide the swap in the absence of the current provider.
Such bids and any external marks received by the Valuation Agent shall be
provided to S&P. The calculation of Exposure should be based on the greater
of the internal and external marks.
| (ix) |
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.
[Signature
page follows]
10
IN
WITNESS WHEREOF,
the
parties have executed this document by their duly authorized officers with
effect from the date specified on the first page hereof.
|
ABN
AMRO BANK N.V.
|
▇▇▇▇▇▇
XS TRUST, SERIES 2007-7N
|
|
|
(Name
of Party)
|
(Name
of Party)
|
|
|
By:
U.S. Bank, National Association, not in its individual capacity,
but
solely as Trustee
|
||
|
Name:
|
Name:
|
|
|
Title:
|
Title:
|
|
|
Date:
|
Date:
|
|
|
Name: |
||
|
Title:
|
||
|
Date:
|
11
Table
1
Moody’s
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
|
%
|
||
12
Table
2
Moody’s
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
|
%
|
||
13