EXHIBIT 10.3
Swap Schedule
SCHEDULE
to the
Master Agreement
(Multicurrency-Cross Border)
dated as of November 5, 2007
between
▇▇▇▇▇ Fargo Bank, N.A., not in its
Credit Suisse International individual capacity but solely as
and Securities Administrator on behalf of
ABFC 2007-WMC1 Trust (the "Trust")
_______________________________ ________________________________________
("Party A") ("Party B")
Capitalized terms used herein and not otherwise defined herein shall have the
meaning specified in that certain Pooling and Servicing Agreement, dated as of
October 1, 2007 (the "PSA") among Asset Backed Funding Corporation, as depositor
(the "Depositor"), Saxon Mortgage Services, Inc., as servicer, ▇▇▇▇▇ Fargo Bank,
N.A., as master servicer (the "Master Servicer") and securities administrator
(the "Securities Administrator"), and U.S. Bank National Association, as
trustee. For the avoidance of doubt, references herein to a particular "Section"
of this Agreement are references to the corresponding sections of the Master
Agreement; each reference herein to a "Part" will be construed as a reference to
the Schedule to the ISDA Master Agreement; each reference herein to a
"Paragraph" will be construed as a reference to a Paragraph of the Credit
Support Annex.
Part 1
Termination Provisions
(a) "Specified Entity" means in relation to Party A for the purpose of:
Section 5(a)(v), Not Applicable
Section 5(a)(vi), Not Applicable
Section 5(a)(vii), Not Applicable
Section 5(b)(iv), Not Applicable
and in relation to Party B for the purpose of:
Section 5(a)(v), Not Applicable
Section 5(a)(vi), Not Applicable
Section 5(a)(vii), Not Applicable
Section 5(b)(iv), Not Applicable
(b) "Specified Transaction" will have the meaning specified in Section 14 of
this Agreement.
(c) Certain Events of Default. Subject to Part 1(h) below, the following
Events of Default will apply to the parties as specified below, and the
definition of "Event of Default" in Section 14 is deemed to be modified
accordingly:
Section 5(a)(i) (Failure to Pay or Deliver) will apply to Party A and
Party B.
Section 5(a)(ii) (Breach of Agreement) will apply to Party A and will not
apply to Party B; except that Section 5(a)(ii) will not apply to Party A
with respect to Party A's failure to comply with Part 5(b) herein.
Section 5(a)(iii) (Credit Support Default) will apply to Party A and will
not apply to Party B, unless Party A has posted collateral under the
Credit Support Annex, in which case Section 5(a)(iii)(1) will apply to
Party B solely in respect of Party B's obligations under Paragraph 3(b) of
the Credit Support Annex.
Section 5(a)(iv) (Misrepresentation) will apply to Party A and will not
apply to Party B.
Section 5(a)(v) (Default under Specified Transaction) will not apply to
Party A or Party B.
Section 5(a)(vi) (Cross Default) will apply to Party A and will not apply
to Party B. "Specified Indebtedness" shall have the meaning specified in
Section 14 of this Agreement and "Threshold Amount" means 3% of
shareholder's equity of the Relevant Entity.
Section 5(a)(vii) (Bankruptcy) will apply to Party A and Party B; provided
that in respect of Party B, (i) clause (2) thereof shall not apply, (ii)
clause (3) thereof shall not apply to any assignment, arrangement or
composition that is effected by or pursuant to the PSA (iii) clause (4)
thereof shall not apply to Party B to the extent that the relevant
proceeding is instituted by a Relevant Entity in breach of Party A's
agreement in Part 5(f) of this Schedule, (iv) the words "seeks or" shall
be deleted from clause (6) thereof and any appointment that is effected by
or pursuant to the PSA and/or any other document pertaining thereto
(collectively with the PSA, the "Transaction Documents") shall not
constitute an Event of Default under such clause (6), (v) clause (7)
thereof shall not apply, (vi) clause (8) thereof shall apply only to the
extent not inconsistent with clauses (i) to (iv) of this sentence and
(vii) clause (9) thereof shall not apply.
Section 5(a)(viii) (Merger without Assumption) will apply to Party A and
will not apply to Party B.
Notwithstanding anything to the contrary in Sections 5(a)(i) and 5(a)(iii)
of this Agreement, any failure by any Relevant Entity to comply with or
perform any obligation to be complied with or performed by such Relevant
Entity under any Credit Support Document shall not be an Event of Default
under Section 5(a)(i) or Section 5(a)(iii) unless a Fitch Ratings Event
has occurred and is continuing and at least 30 calendar days have elapsed
since the last time such Fitch Ratings Event first occurred.
(d) Termination Events. The following Termination Events will apply to the
parties as specified below:
Section 5(b)(i) (Illegality) will apply to Party A and Party B.
Section 5(b)(ii) (Tax Event) will apply to Party A and Party B; provided
that the words "(x) any action taken by a taxing authority, or brought in
a court of competent jurisdiction, on or after the date on which a
Transaction is entered into (regardless of whether such action is taken or
brought with respect to a party to this Agreement) or (y)" shall be
deleted in applying Section 5(b)(ii) to Party A only.
Section 5(b)(iii) (Tax Event Upon Merger) will apply to Party A and Party
B; provided that in the event that Party A is the Affected Party in
respect of an event described in Section 5(b)(iii), Party A shall not be
entitled to designate an Early Termination Date pursuant to such Section
5(b)(iii).
Section 5(b)(iv) (Credit Event Upon Merger) will apply to Party A and will
not apply to Party B.
(e) The "Automatic Early Termination" provision of Section 6(a) of this
Agreement will not apply to Party A or Party B.
(f) Payments on Early Termination. For the purpose of Section 6(e) of this
Agreement:
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "Termination Currency" means United States Dollars.
(h) Additional Termination Events. The following Additional Termination Events
will apply, in each case with respect to Party B as the sole Affected
Party (unless otherwise provided below):
(i) Each of the following shall constitute an Additional Termination
Event with Party A as the sole Affected Party:
(a) Party A has failed to comply with or perform any obligation to
be complied with or performed by Party A in accordance with
the Credit Support Annex.
(b) An S&P Ratings Event has occurred and is continuing and at
least 60 calendar days have elapsed since such S&P Ratings
Event first occurred.
(c) A Fitch Ratings Event has occurred and is continuing and at
least 30 calendar days have elapsed since such Fitch Ratings
Event first occurred and such failure has not given rise to an
Event of Default under Section 5(a)(i) or Section 5(a)(iii).
(ii) An amendment and/or supplement to the PSA is made without the prior
written consent of Party A (such consent not to be unreasonably
withheld), where such consent is required by such document. (Any
payments owed to Party A under Section 6(e) of this Agreement as a
result of such Additional Termination Event shall be made without
regard to the effect of any such amendment, modification or
supplement.)
(iii) The delivery of any irrevocable notice of any termination (or the
actual termination) of the Trust (including pursuant to Article
10.01 of the PSA), any such notice provided pursuant to the PSA, the
"Optional Termination Notice". With respect to such Additional
Termination Event, (A) notwithstanding anything to the contrary in
Section 6(b)(iv) or Section 6(c)(i), the Early Termination Date will
be the final Distribution Date specified in the Optional Termination
Notice in respect of all Affected Transactions; (B) Section
2(a)(iii)(2) shall not be applicable to any Affected Transaction in
connection with the Early Termination Date resulting from this
Additional Termination Event; notwithstanding anything to the
contrary in Section 6(c)(ii), payments and deliveries under Section
2(a)(i) or Section 2(e) in respect of the Terminated Transactions
resulting from this Additional Termination Event will be required to
be made through and including the Early Termination Date designated
as a result of this Additional Termination Event; provided, for the
avoidance of doubt, that any such payments or deliveries that are
made on or prior to such Early Termination Date will not be treated
as Unpaid Amounts in determining the amount payable in respect of
such Early Termination Date; (C) notwithstanding anything to the
contrary in Section 6(d)(i), (I) if, no later than 4:00 pm New York
City time on the day that is four Business Days prior to the final
Distribution Date, the Securities Administrator requests the amount
of the Estimated Swap Termination Payment, Party A shall provide to
the Securities Administrator in writing (which may be done in
electronic format) the amount of the Estimated Swap Termination
Payment no later than 2:00 pm New York City time on the following
Business Day and (II) if the Securities Administrator provides
written notice (which may be done in electronic format) to Party A
no later than two Business Days prior to the final Distribution Date
that all requirements of the Optional Termination have been met,
then Party A shall, no later than one Business Day prior to the
final Distribution Date, make the calculations contemplated by
Section 6(e) (as amended herein) and provide to the Securities
Administrator in writing (which may be done in electronic format)
the amount payable by either Party B or Party A in respect of the
related Early Termination Date in connection with this Additional
Termination Event; provided, however, that the amount payable by
Party B, if any, in respect of the related Early Termination Date
shall be the lesser of (x) the amount calculated to be due from
Party B pursuant to Section 6(e) and (y) the Estimated Swap
Termination Payment; and (D) notwithstanding anything to the
contrary in this Agreement, any amount due from Party B to Party A
in respect of this Additional Termination Event will be payable one
Business Day prior to the final Distribution Date and any amount due
from Party A to Party B in respect of this Additional Termination
Event will be payable one Business Day prior to the final
Distribution Date.
"Estimated Swap Termination Payment" means, with respect to an Early
Termination Date, an amount determined by Party A in good faith and
in a commercially reasonable manner as the maximum payment that
could be owed by Party B to Party A in respect of such Early
Termination Date pursuant to Section 6(e) (as amended herein),
taking into account then current market conditions.
(iv) Upon the occurrence of a Swap Disclosure Event (as defined in Part
5(cc) below) Party A has not, within the greater of (x) five
calendar days and (y) three Local Business Days after such Swap
Disclosure Event, complied with any of the provisions set forth in
Part 5(cc)(iii) below. For all purposes of this Agreement, Party A
shall be the sole Affected Party with respect to the occurrence of
an Additional Termination Event described in this Part 1(h)(iv).
Part 2
Tax Representations
(a) Payer Representations. For the purpose of Section 3(e) of this Agreement,
neither party makes any representation.
(b) Payee Representations. For the purpose of Section 3(f) of this Agreement,
Party A hereby makes the following representations:
(1) Party A is entering into each Transaction in the ordinary
course of its trade as, and is, a recognized U.K. bank as
defined in Section 840A of the U.K. Income and Corporation
Taxes Act of 1988.
(2) Party A has been approved as a Withholding Foreign Partnership
by the U.S. Internal Revenue Service.
(3) Party A's Withholding Foreign Partnership Employer
Identification Number is ▇▇-▇▇▇▇▇▇▇.
(4) Party A is a partnership that agrees to comply with any
withholding obligation under Section 1446 of the Internal
Revenue Code.
Part 3
Agreement to Deliver Documents
For the purpose of Sections 4(a)(i) and (ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are:--
----------------------- ------------------------------------------------------ -------------------------------------------
Party required to Form/Document/Certificate Date by which to be delivered
deliver document
----------------------- ------------------------------------------------------ -------------------------------------------
Party A and Party B Any form or document that may be required or On the date hereof, and promptly upon the
reasonably requested in order to allow the other earlier of (i) reasonable demand by the
party to make a payment under this Agreement without other party and (ii) learning that the
any deduction or withholding for or on account of form or document is required.
any Tax or with such deduction or withholding at a
reduced rate.
----------------------- ------------------------------------------------------ -------------------------------------------
(b) Other documents to be delivered are:--
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party required Form/Document/Certificate Date by which to be Covered by
to deliver delivered Section 3(d)
document Representation
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A and Certified copy of the board of directors' resolution (or Concurrently with the Yes
Party B equivalent authorizing documentation) which sets forth the execution and
authority of each signatory to this Agreement and each delivery of this
Credit Support Document (if any) signing on its behalf and Agreement.
the authority of such party to enter into Transactions
contemplated and performance of its obligations hereunder.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A and Incumbency certificate (or, if available the current Concurrently with the Yes
Party B authorized signature book or equivalent authorizing execution and
documentation) specifying the names, titles, authority and delivery of this
specimen signatures of the persons authorized to execute Agreement unless
this Agreement which sets forth the specimen signatures of previously delivered
each signatory to this Agreement, each Confirmation and each and still in full
Credit Support Document (if any) signing on its behalf. force and effect.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party A and An opinion of counsel to such party (or, in the case of Concurrently with the No
Party B Party B, counsel to the Securities Administrator) as to the execution and
enforceability of this Agreement that is reasonably delivery of the
satisfactory in form and substance to the other party. Confirmation unless
previously delivered
and still in full
force and effect.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B All opinions of counsel to Party B and counsel to the Upon execution of No
Servicer, delivered as of the Closing Date. this Agreement.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B A copy of (i) the Free Writing Prospectus dated November 1, Promptly upon filing Yes
2007 relating to the public offering of Certificates, (ii) of each of these
the prospectus dated October 31, 2007 of Asset Backed documents with the
Funding Corporation and (iii) the prospectus supplement SEC.
dated November 2, 2007 relating to the public offering of
the Certificates.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B A fully executed copy of the PSA. Promptly upon filing Yes
with the SEC.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B A copy of each notice and report required to be made As required by the Yes
available by Party B or the Securities Administrator, as PSA.
applicable, under the PSA, including all reports and
information provided by Party B under Section 4.06 of the
PSA.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Party B Such other information in connection with the Certificates Promptly upon request. Yes
(as defined in the PSA) or the PSA in the possession of
Party B as Party A may reasonably request from time to time.
---------------- -------------------------------------------------------------- ----------------------- -------------------
Part 4
Miscellaneous
(a) Addresses for Notices. For the purposes of Section 12(a) of this
Agreement:
Party A:
(1) Address for notices or communications to Party A (other than by
facsimile):-
Address: One Cabot Square Attention: (1) Head of Credit Risk Management;
▇▇▇▇▇▇ ▇▇▇ ▇▇▇ (2) Managing Director -
England Operations Department;
(3) Managing Director - Legal
Department
Telex No.: 264521 Answerback: CSI G
(For all purposes.)
(2) For the purpose of facsimile notices or communications under this
Agreement (other than a notice or communication under Section 5 or
6):-
Facsimile No.: 44 20 7888 2686
Attention: Managing Director - Legal Department
Telephone number for oral confirmation of receipt of facsimile in
legible form: 44 20 7888 2028
Designated responsible employee for the purposes of Section
12(a)(iii): Senior Legal Secretary
Party B:
Address for notices or communications to Party B:
Address: ▇▇▇▇ ▇▇▇ ▇▇▇▇▇▇▇▇▇ ▇▇ Attention: Client Manager - ABFC 2007-WMC1
▇▇▇▇▇▇▇▇, ▇▇ ▇▇▇▇▇
with copies to:
Sixth Street and Marquette Avenue Attention: Corporate Trust Services -
▇▇▇▇▇▇▇▇▇▇▇, ▇▇ ▇▇▇▇▇ ABFC 2007-WMC1
(For all purposes.)
(b) Process Agent. For the purposes of Section 13(c) of this Agreement:
Party A appoints as its Process Agent:
Credit Suisse Securities (USA) LLC
Eleven ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇ ▇▇▇▇, ▇▇ ▇▇▇▇▇
Attention: General Counsel
Legal and Compliance Department
Party B appoints as its Process Agent: Not Applicable.
(c) Offices. With respect to Party A, the provisions of Section 10(a) will
apply to this Agreement.
(d) Multibranch Party. For the purpose of Section 10(c) of this Agreement:
Party A is not a Multibranch Party.
Party B is not a Multibranch Party.
(e) Calculation Agent. The Calculation Agent is Party A; provided, however,
that if Party A is the Defaulting Party, the Calculation Agent shall be
any designated party mutually agreed to by the parties and the Policy
Provider (so long as no Policy Provider Default has occurred and is
continuing) until such time as Party A is no longer the Defaulting Party.
(f) Credit Support Document. Credit Support Document means:-
With respect to Party A: The 1994 ISDA Credit Support Annex to this
Schedule, including Paragraph 13 thereof (the "Credit Support Annex") and
any guarantee that is provided to Party B pursuant to Part 5(b) below.
With respect to Party B: The Credit Support Annex.
(g) Credit Support Provider.
Credit Support Provider means in relation to Party A: Not applicable or,
if a guarantee is provided to Party B pursuant to Part 5(b) below, the
guarantor providing such guarantee.
Credit Support Provider means in relation to Party B: Not applicable.
(h) Governing Law. This Agreement and, to the fullest extent permitted by
applicable law, all matters arising out of or relating in any way to this
Agreement will be governed by and construed in accordance with the laws of
the State of New York (without reference to choice of law doctrine other
than New York General Obligations Law Sections 5-1401 and 5-1402).
(i) Netting of Payments. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to each Transaction hereunder.
(j) "Affiliate." "Affiliate" shall have the meaning specified in Section 14 of
this Agreement, provided, however, that Party A shall be deemed to have no
Affiliates for purposes of Section 3(c) of this Agreement and Party B
shall be deemed to have no Affiliates.
Part 5
Other Provisions
(a) Definitions.
This Agreement and each Transaction under this Agreement are subject to
the 2006 ISDA Definitions as published and copyrighted in 2006 by the
International Swaps and Derivatives Association, Inc. The provisions of
the Definitions are hereby incorporated by reference in and shall be
deemed a part of this Agreement, except that (i) references in the
Definitions to a "Swap Transaction" shall be deemed references to a
"Transaction" for purposes of this Agreement, and (ii) references to a
"Transaction" in this Agreement shall be deemed references to a "Swap
Transaction" for purposes of the Definitions. Any capitalized terms used
but not otherwise defined in this Agreement shall have the meanings
assigned to them (or incorporated by reference) in the PSA. In the event
of any inconsistency between the terms of this Agreement and the terms of
the PSA, this Agreement will govern.
(b) Downgrade Provisions.
(1) It shall be a collateralization event (Collateralization Event) if:
(A) with respect to each Relevant Entity, so long as Fitch is
currently rating the Certificates and either (i) such Relevant
Entity has both a long term and a short term rating by Fitch and (x)
the unsecured, unguaranteed and otherwise unsupported long-term
senior debt obligations of such Relevant Entity are rated "A-" or
below by Fitch or (y) the unsecured, unguaranteed and otherwise
unsupported short-term debt obligations of such Relevant Entity are
rated "F2" or below by Fitch or (ii) if no Relevant Entity has a
short-term rating from Fitch, the unsecured, unguaranteed and
otherwise unsupported long-term senior debt obligations of each
Relevant Entity are rated "A-" or below by Fitch (such event, a
Fitch Collateralization Event); or
(B) with respect to each Relevant Entity, if such entity is a bank,
broker/dealer, insurance company, structured investment vehicle or
derivative product company (any such entity, a Financial
Institution), so long as Standard & Poor's Rating Services, a
division of The ▇▇▇▇▇▇-▇▇▇▇ Companies, Inc. (S&P) is currently
rating the Certificates and either (i) the unsecured, unguaranteed
and otherwise unsupported short-term debt obligations of such
Relevant Entity are rated "A-2" or below by S&P or (ii) if no
Relevant Entity has a short-term rating from S&P, the unsecured,
unguaranteed and otherwise unsupported long-term senior debt
obligations of each Relevant Entity are rated "A" or below by S&P
(such event, an S&P Collateralization Event).
Relevant Entity means (a) Party A, (b) any guarantor under an
Eligible Guarantee in respect of all of Party A's present and future
obligations under this Agreement or (c) in respect of any
determination relating to a Collateralization Event or Ratings Event
in respect of S&P, any rated bank, broker/dealer or insurance
company that is the parent of Party A if S&P determines that Party A
is core or strategically important to such parent entity.
(2) Party A may, at any time at which a Collateralization Event has
occurred and is continuing, (i) furnish an Eligible Guarantee (as
defined below) of Party A's obligations under this Agreement from a
guarantor that satisfies the Hedge Counterparty Ratings Requirement
(as defined herein) or (ii) effect a Permitted Transfer.
Eligible Guarantee means an unconditional and irrevocable guarantee
of all present and future obligations of Party A under this
Agreement (or, solely for purposes of the definition of Eligible
Replacement, all present and future obligations of such Eligible
Replacement under this Agreement or its replacement, as applicable)
that is provided by a guarantor as principal debtor rather than
surety and that is directly enforceable by Party B, the form and
substance of which guarantee are subject to the Rating Agency
Condition with respect to each Rating Agency and either (A) such
guarantee provides that, in the event that any of such guarantor's
payments to Party B are subject to deduction or withholding for Tax,
such guarantor is required to pay such additional amount as is
necessary to ensure that the net amount actually received by Party B
(free and clear of any tax) will equal the full amount Party B would
have received had no such deduction or withholding been required or
(B) in the event that any payment under such guarantee is made net
of deduction or withholding for Tax, Party A is required, under
Section 2(a)(i), to make such additional payment as is necessary to
ensure that the net amount actually received by Party B from the
guarantor will equal the full amount Party B would have received had
no such deduction or withholding been required.
An entity shall satisfy the Hedge Counterparty Ratings Requirement
if (a) either (i) if the entity is a Financial Institution, the
unsecured, unguaranteed and otherwise unsupported short-term debt
obligations of the entity are rated at least "A-2" by S&P or, if the
entity does not have a short-term unsecured and unsubordinated debt
rating from S&P, the unsecured, unguaranteed and otherwise
unsupported long-term senior debt obligations of the entity are
rated at least "BBB+" by S&P, or (ii) if such entity is not a
Financial Institution, a short-term unsecured and unsubordinated
debt rating of "A-1" from S&P, or, if such entity does not have a
short-term unsecured and unsubordinated debt rating from S&P, a
long-term unsecured and unsubordinated debt rating or counterparty
rating of "A+" from S&P; and (b) either (i) the unsecured,
unguaranteed and otherwise unsupported long-term senior debt
obligations of such entity are rated at least "A" by Fitch or (ii)
the unsecured, unguaranteed and otherwise unsupported short-term
debt obligations of such substitute counterparty are rated at least
"F1" by Fitch. For the purpose of this definition, no direct or
indirect recourse against one or more shareholders of the entity (or
against any Person in control of, or controlled by, or under common
control with, any such shareholder) shall be deemed to constitute a
guarantee, security or support of the obligations of the entity.
Rating Agency shall mean each of S&P and Fitch.
Rating Agency Condition means, with respect to any particular
proposed act or omission to act hereunder and each Rating Agency
specified in connection with such proposed act or omission, that the
party acting or failing to act must consult with each of the
specified Rating Agencies and receive from each such Rating Agency a
prior written confirmation that the proposed action or inaction
would not cause a downgrade or withdrawal of the then-current rating
of any Certificates.
Eligible Replacement means an entity (A) that lawfully could perform
the obligations owing to Party B under this Agreement (or its
replacement as applicable) and (B)(i) satisfying the Hedge
Counterparty Ratings Requirement or (ii) whose present and future
obligations owing to Party B are guaranteed pursuant to a guarantee
provided by a guarantor satisfying the Hedge Counterparty Ratings
Requirements.
Replacement Transaction means, with respect to any Terminated
Transaction or group of Terminated Transactions, a transaction or
group of transactions that (A) has terms which would be effective to
transfer to a transferee all, but not less than all, of Party A's
rights, liabilities, duties and obligations under this Agreement and
all relevant Transactions, which terms are identical to the terms of
this Agreement, other than party names, dates relevant to the
effective date of such transfer, tax representations (provided that
the representations in Part 2(a) and Part 5(t) are not modified) and
any other representations regarding the status of the substitute
counterparty, notice information and account details, save for the
exclusion of provisions relating to Transactions that are not
Terminated Transactions, or (B) (x) would have the effect of
preserving for Party B the economic equivalent of any payment or
delivery (whether the underlying obligation was absolute or
contingent and assuming the satisfaction of each applicable
condition precedent) under this Agreement in respect of such
Terminated Transaction or group of Terminated Transactions that
would, but for the occurrence of the relevant Early Termination
Date, have been required after that date, and (y) has terms which
are, in all material respects, no less beneficial for Party B than
those of this Agreement (save for the exclusion of provisions
relating to Transactions that are not Terminated Transactions), as
determined by Party B.
(3) It shall be a Ratings Event if at any time after the date hereof (A)
so long as S&P is currently rating the Certificates and either (i)
if the Relevant Entity is a Financial Institution, the unsecured,
unguaranteed and otherwise unsupported long-term senior debt
obligations of each Relevant Entity are rated "BBB" or below by S&P
or, the unsecured, unguaranteed and otherwise unsupported short-term
debt obligations of each Relevant Entity are rated "A-3" or below by
S&P, (ii) if the Relevant Entity is not a Financial Institution, the
unsecured and unsubordinated short-term debt obligations of each
Relevant Entity are rated "A-2" or below from S&P, or, the long-term
unsecured and unsubordinated debt obligations are rated "A" or below
by S&P or (iii) if at any time after the date hereof S&P withdraws
all of each Relevant Entity's ratings and no longer rates any
Relevant Entity (such event, an S&P Ratings Event) or (B) so long as
Fitch is currently rating the Certificates and either (i) the
unsecured, unguaranteed and otherwise unsupported long-term senior
debt obligations of each Relevant Entity are rated below "BBB-" by
Fitch, or (ii) the unsecured, unguaranteed and otherwise unsupported
short-term debt obligations of each Relevant Entity are rated below
"F2" by Fitch or (iii) if at anytime after the date hereof Fitch
withdraws all of each Relevant Entity's ratings and no longer rates
any Relevant Entity (such event, a Fitch Ratings Event).
(4) Following a Ratings Event, Party A shall use commercially reasonable
efforts to, as soon as reasonably practicable and at its own
expense: (A) furnish an Eligible Guarantee of Party A's obligations
under this Agreement from a guarantor that satisfies the definition
of Hedge Counterparty Ratings Requirement or (B) effect a Permitted
Transfer.
(c) Section 3(a) of this Agreement is hereby amended to include the following
additional representations after paragraph 3(a)(v):
(vi) Eligible Contract Participant. It is an "eligible contract
participant" as such term is defined in Section 35.1 (b) (2) of the
regulations (17 C.F.R. 35) promulgated under and as defined in section
1a(12) of the U.S. Commodity Exchange Act, as amended.
(vii) Individual Negotiation. This Agreement and each Transaction
hereunder is subject to individual negotiation by the parties.
(viii) Relationship between Party A and Party B. Each of Party A and Party
B will be deemed to represent to the other on the date on which it enters
into a Transaction or an amendment thereof that (absent a written
agreement between Party A and Party B that expressly imposes affirmative
obligations to the contrary for that Transaction):
(1) Capacity. It is entering into the Agreement as principal and not
as agent of any person.
(2) Non-Reliance. It is acting for its own account, and it has made
its own independent decisions to enter into each Transaction and as
to whether that Transaction is appropriate or proper for it based
upon its own judgment and upon advice from such advisors as it has
deemed necessary. It is not relying on any communication (written or
oral) of the other party as investment advice or as a recommendation
to enter into that Transaction; it being understood that information
and explanations related to the terms and conditions of a
Transaction shall not be considered investment advice or a
recommendation to enter into that Transaction. No communication
(written or oral) received from the other party shall be deemed to
be an assurance or guarantee as to the expected results of that
Transaction.
(3) Evaluation and Understanding. It is capable of evaluating and
understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and
risks of this Agreement and each Transaction hereunder. It is also
capable of assuming, and assumes, all financial and other risks of
this Agreement and each Transaction hereunder.
(4) Status of Parties. The other party is not acting as a fiduciary
or an advisor for it in respect of that Transaction.
(ix) Party B.
Party B represents and warrants at all times hereunder that (x) it
is not a pension plan or employee benefit plan, and (y) (1) that it
is not acting on behalf of any such plan or using assets of any such
plan or assets deemed to be assets of any such plan in connection
with any Transaction under this Agreement or (2) any pension plan or
employee benefits plan subject to the Employee Retirement Income
Security Act of 1974, as amended ("ERISA"), or Section 4975 of the
Internal Revenue Code of 1986, as amended (the "Code"), or any
person who is acting on behalf of such a plan, or using assets of
such plan or assets deemed to be "plan assets" of such plan for
purposes of ERISA or the Code, who purchases a certificate issued by
the Trust while this Agreement is in existence (i) shall represent
or shall be deemed to represent that the purchase and holding of
such certificate is in reliance on at least one of the Prohibited
Transaction Class Exemptions of ▇▇-▇▇, ▇▇-▇, ▇▇-▇▇, ▇▇-▇▇ ▇▇ ▇▇-▇▇
▇▇ (▇▇) shall provide an opinion of counsel which states that such
purchase and holding is permissible under applicable law and will
not result in a prohibited transaction under ERISA or Section 4975
of the Code.
(d) Section 4 is hereby amended by adding the following new agreement:
Actions Affecting Representations. Party B agrees not to take any action
during the term of this Agreement or any Transaction hereunder that
renders or could render any of the representations and warranties in this
Agreement untrue, incorrect, or incomplete, and, if any event or condition
occurs that renders or could render any such representation untrue,
incorrect, or incomplete, Party B will immediately give written notice
thereof to Party A, upon obtaining actual knowledge of such event or
condition.
(e) Transfer.
Section 7 of this Agreement is hereby amended to read in its entirety as
follows:
"Neither Party A nor Party B is permitted to assign, novate or transfer
(whether by way of security or otherwise) as a whole or in part any of its
rights, obligations or interests under this Agreement or any Transaction
unless (x) the prior written consent of the other party is obtained and
(y) the Rating Agency Condition has been satisfied with respect to S&P and
Fitch; provided, however, that Party A may make, without the consent of
Party B, a Permitted Transfer of this Agreement (a) pursuant to a
consolidation or amalgamation with, or merger with or into, or transfer of
substantially all of its assets to, another entity, (b) pursuant to
Section 6(b)(ii), (c) at any time at which a Collateralization Event has
occurred and is continuing, or (d) to any office or branch of Party A on
at least five Business Days' prior written notice to Party B. Any
purported transfer that is not in compliance with this Section will be
void.
In addition, Party A may transfer this Agreement without the prior written
consent of the Securities Administrator on behalf of Party B but with
prior written notice to S&P, Fitch and the Securities Administrator, to an
Affiliate of Party A that satisfies the Hedge Counterparty Rating
Requirements or that has furnished a guarantee, subject to Rating Agency
Condition in relation to S&P, Fitch, of the obligations under this
Agreement from a guarantor that satisfies the Hedge Counterparty Ratings
Requirements and provided that such transfer complies with the conditions
set out in paragraphs (A) to (G) in the definition of Permitted Transfer
below.
Permitted Transfer means a transfer by novation by Party A to a transferee
(the "Transferee") of Party A's rights, liabilities, duties and
obligations under this Agreement, with respect to which transfer each of
the following conditions is satisfied: (A) the Transferee is an Eligible
Replacement; (B) Party A and the Transferee are both "dealers in notional
principal contracts" within the meaning of Treasury regulations section
1.1001-4; (C) as of the date of such transfer the Transferee will not be
required to withhold or deduct on account of a Tax from any payments under
this Agreement unless the Transferee will be required to make payments of
additional amounts pursuant to Section 2(d)(i)(4) of this Agreement in
respect of such Tax; (D) a Termination Event or Event of Default does not
occur under this Agreement as a result of such transfer; (E) the
Transferee contracts with Party B pursuant to a written instrument (the
"Transfer Agreement") (a) (i) on terms which are effective to transfer to
the Transferee all, but not less than all, of Party A's rights,
liabilities, duties and obligations under the Agreement and all relevant
Transactions, which terms are identical to the terms of this Agreement,
other than party names, dates relevant to the effective date of such
transfer, tax representations (provided that the representations in Part
2(a) and Part 5(t) are not modified) and any other representations
regarding the status of the substitute counterparty, notice information
and account details, and (ii) each Rating Agency has been given prior
written notice of such transfer, or (b) (i) on terms that (x) have the
effect of preserving for Party B the economic equivalent of all payment
and delivery obligations (whether absolute or contingent and assuming the
satisfaction of each applicable condition precedent) under this Agreement
immediately before such transfer and (y) are, in all material respects, no
less beneficial for Party B than the terms of this Agreement immediately
before such transfer, as determined by Party B, and (ii) the Rating Agency
Condition has been satisfied with respect to each Rating Agency; (F) Party
A will be responsible for any costs or expenses incurred in connection
with such transfer (including any replacement cost of entering into a
replacement transaction); and (G) such transfer otherwise complies with
the terms of the PSA.
Party B will at Party A's written request and at Party A's expense execute
such documentation as is reasonably deemed necessary by Party A for the
effectuation of any Permitted Transfer under this Section 7."
(f) Proceedings. No Relevant Entity shall institute against, or cause any
other person to institute against, or join any other person in instituting
against Party B or the Trust any bankruptcy, reorganization, arrangement,
insolvency or liquidation proceedings, or other proceedings under any
federal or state bankruptcy, dissolution or similar law, for a period of
one year and one day, or if longer the applicable preference period then
in effect, following payment in full of the Certificates. Nothing shall
preclude, or be deemed to stop, a Relevant Entity (i) from taking any
action prior to the expiration of the aforementioned one year and one day
period, or if longer the applicable preference period then in effect, in
(A) any case or proceeding voluntarily filed or commenced by Party B or
(B) any involuntary insolvency proceeding filed or commenced by a Person
other than a Relevant Entity, (ii) from commencing against Party B or any
of the Collateral any legal action which is not a bankruptcy,
reorganization, arrangement, insolvency, moratorium, liquidation or
similar proceeding, or (iii) from taking any action (not otherwise
mentioned in this paragraph) which will prevent an impairment of any right
afforded to it under the PSA as a third party beneficiary. This provision
shall survive termination of this Agreement.
(g) Change of Account. Section 2(b) of this Agreement is hereby amended by the
addition of the following after the word "delivery" in the first line
thereof:-
"to another account in the same legal and tax jurisdiction as the original
account"
(h) Amendment to PSA. Party B will provide prior written notice to Party A of
any proposed amendment or modification to the PSA and Party B will obtain
the prior written consent of Party A (such consent not to be unreasonably
withheld) to any such amendment or modification where such consent is
required under the terms of the PSA.
(i) No Set-off. Except as expressly provided for in Section 2(c) or Section
6(e) hereof and notwithstanding any other provision of this Agreement or
any other existing or future agreement, each party irrevocably waives any
and all rights it may have to set off, net, recoup or otherwise withhold
or suspend or condition payment or performance of any obligation between
it and the other party hereunder against any obligation between it and the
other party under any other agreements. Section 6(e) shall be amended by
deleting the following sentence: "The amount, if any, payable in respect
of an Early Termination Date and determined pursuant to this Section will
be subject to any Set-off.".
(j) Notice of Certain Events or Circumstances. Each party agrees, upon
learning of the occurrence or existence of any event or condition that
constitutes (or that with the giving of notice or passage of time or both
would constitute) an Event of Default or Termination Event with respect to
such party, promptly to give the other party notice of such event or
condition (or, in lieu of giving notice of such event or condition in the
case of an event or condition that with the giving of notice or passage of
time or both would constitute an Event of Default or Termination Event
with respect to the party, to cause such event or condition to cease to
exist before becoming an Event of Default or Termination Event); provided
that failure to provide notice of such event or condition pursuant to this
Part 5(j) shall not constitute an Event of Default or a Termination Event.
(k) Regarding Party A. Party B acknowledges and agrees that Party A has had
and will have no involvement in and, accordingly Party A accepts no
responsibility for: (i) the establishment, structure, or choice of assets
of Party B; (ii) the selection of any person performing services for or
acting on behalf of Party B; (iii) the selection of Party A as the
counterparty; (iv) the terms of the Certificates; (v) the preparation of
or passing on the disclosure and other information contained in any
offering circular for the Certificates, the PSA, or any other agreements
or documents used by Party B or any other party in connection with the
marketing and sale of the Certificates (other than information provided in
writing by Party A for purposes of the disclosure document relating to the
Certificates); (vi) the ongoing operations and administration of Party B,
including the furnishing of any information to Party B which is not
specifically required under this Agreement; or (vii) any other aspect of
Party B's existence.
(l) Rating Agency Approval of Amendment. In addition to the requirements of
Section 9, this Agreement will not be amended unless Party B shall have
obtained satisfaction of the Rating Agency Condition with respect to each
Rating Agency.
(m) Jurisdiction. Section 13(b) is hereby amended by: (i) deleting in the
second line of subparagraph (i) thereof the word "non-": and (ii) deleting
the final paragraph thereof.
(n) Limited Recourse. The liability of Party B in relation to this Agreement
and any Confirmation hereunder is limited in recourse to assets of Party B
and payments of interest proceeds and principal proceeds thereon applied
in accordance with the terms of the PSA. Upon application of all of the
assets of Party B (and proceeds thereon) in accordance with the PSA, Party
A shall not be entitled to take any further steps against Party B to
recover any sums due but still unpaid hereunder or thereunder, all claims
in respect of which shall be extinguished. It is understood that the
foregoing provisions shall not (i) prevent recourse against Party B for
the sums due or to become due under any security, instrument or agreement
which is part of Party B (subject to the priority of payments set forth in
the PSA) or (ii) constitute a waiver, release or discharge of any
obligation of Party B arising under this Agreement until the proceeds of
Party B's assets have been applied in accordance with the PSA.
(o) Waiver of Jury Trial. Each party waives, to the fullest extent permitted
by applicable law, any right it may have to a trial by jury in respect of
any suit, action or proceeding relating to this Agreement or any Credit
Support Document. Each party certifies (i) that no representative, agent
or attorney of the other party or any Credit Support Provider has
represented, expressly or otherwise, that such other party would not, in
the event of such a suit, action or proceeding, seek to enforce the
foregoing waiver and (ii) acknowledges that it and the other party have
been induced to enter into this Agreement and provide for any Credit
Support Document, as applicable, by, among other things, the mutual
waivers and certifications in this Section.
(q) Consent to Recording. Each party (i) consents to the recording of the
telephone conversations of trading and marketing personnel of the parties
and their Affiliates in connection with this Agreement or any potential
transaction and (ii) if applicable, agrees to obtain any necessary consent
of, and give notice of such recording to, such personnel of it and its
Affiliates.
(r) Severability. If any term, provision, covenant, or condition of this
Agreement, or the application thereof to any party or circumstance, shall
be held to be illegal, invalid or unenforceable (in whole or in part) for
any reason, the remaining terms, provisions, covenants and conditions
hereof shall continue in full force and effect as if this Agreement had
been executed with the illegal, invalid or unenforceable portion
eliminated, so long as this Agreement as so modified continues to express,
without material change, the original intentions of the parties as to the
subject matter of this Agreement and the deletion of such portion of this
Agreement will not substantially impair the respective benefits or
expectations of the parties to this Agreement.
(s) Escrow Payments. If (whether by reason of the time difference between the
cities in which payments or deliveries are to be made or otherwise) it is
not possible for simultaneous payments or deliveries to be made on any
date on which both parties are required to make payments or deliveries
hereunder, either party may at its option and in its sole discretion
notify the other party (Section 2(b) of this Agreement notwithstanding)
that payments or deliveries on that date are to be made in escrow (such
party being the "Appointing Party"). In this case, deposit of the payment
or delivery due earlier on that date will be made by 2:00 pm (local time
at the place for the earlier payment or delivery) on that date with an
escrow agent selected by the Appointing Party, accompanied by irrevocable
payment or delivery instructions (i) to release the deposited payment or
delivery to the intended recipient upon receipt by the escrow agent of the
required deposit of the corresponding payment or delivery from the other
party on the same date accompanied by irrevocable payment or delivery
instructions to the same effect, or (ii) if the required deposit of the
corresponding payment or delivery is not made on that same date, to return
the payment or delivery deposited to the party that paid or delivered it
into escrow. The Appointing Party will pay all costs of the escrow
arrangements. The Appointing Party will bear the risk of any failure of
the entity it nominates to be its escrow agent to fully and promptly
perform the obligations of such escrow agent as contemplated in this Part
5(s) Any amounts payable or deliveries to be made under this Agreement by
the Appointing Party which are not received by the other party hereto on
the due date will remain due and payable or to be made by the Appointing
Party as of such date (assuming timely payment or delivery on the due date
of amounts payable or deliveries to be made by the other party hereto).
Any amounts or deliveries due from the other party, which have been paid
or delivered to the escrow agent in accordance with this Part 5(s) (and
any instructions in connection therewith given to the other party by the
Appointing Party) shall be treated as having been paid or delivered by
such other party and received by the Appointing Party as of the date on
which they were paid or delivered to the Appointing Party's escrow agent.
The Appointing Party shall cause the escrow arrangements to provide that
the other party shall be entitled to interest on any payment due to be
deposited first for each day in the period of its deposit at the rate
offered by the escrow agent for that day for overnight deposits in the
relevant currency in the office where it holds that deposited payment (at
11:00 a.m. local time on that day) if that payment is not released by to
the other party 5:00 p.m. local time on the date it is deposited for any
reason other than the intended recipient's failure to make the escrow
deposit it is required to make under this paragraph in a timely fashion.
(t) Tax. Notwithstanding the definition of "Indemnifiable Tax" in Section 14
of this Agreement, in relation to payments by Party A, any Tax shall be an
Indemnifiable Tax and, in relation to payments by Party B, no Tax shall be
an Indemnifiable Tax. Section 2(d)(ii) shall not apply to Party B as Y.
(u) [Reserved]
(v) Rating Agency Notifications. Notwithstanding any other provision of this
Agreement, this Agreement shall not be amended, no Early Termination Date
shall be effectively designated by Party B, and no transfer of any rights
or obligations under this Agreement shall be made (other than a transfer
of all of Party A's rights and obligations with respect to this Agreement
in accordance with Part 5(e) above) unless each Rating Agency has been
given prior written notice of such amendment, designation or transfer.
(w) Applicable Rating Agency. Rating triggers and other Rating Agency-related
provisions herein apply only for so long as that particular Rating Agency
is rating the securities to which this Transaction applies.
(x) Timing of Payments by Party B upon Early Termination. Notwithstanding
anything to the contrary in Section 6(d)(ii), to the extent that all or a
portion (in either case, the "Unfunded Amount") of any amount that is
calculated as being due in respect of any Early Termination Date under
Section 6(e) from Party B to Party A will be paid by Party B from amounts
other than any upfront payment paid to Party B by any party that has
entered into a Replacement Transaction with Party B, then such Unfunded
Amount, together with Interest thereon, shall be due on the Business Day
prior to the next subsequent Distribution Date following the date on which
the payment would have been payable as determined in accordance with
Section 6(d)(ii), and on the Business Day prior to any subsequent
Distribution Dates until paid in full (or if such Early Termination Date
is the final Distribution Date, on such final Distribution Date);
provided, however, that if the date on which the payment would have been
payable as determined in accordance with Section 6(d)(ii) is a
Distribution Date, such payment will be payable on such Distribution Date.
(y) Safe Harbors. Each party to this Agreement acknowledges that:
(i) This Agreement, including any Credit Support Document, is a "master
netting agreement" as defined in the U.S. Bankruptcy Code, as amended (the
"Code"), and this Agreement, including any Credit Support Document, and
each Transaction hereunder is of a type set forth in Section 561(a)(1)-(6)
of the Code;
(ii) Party A is a "master netting agreement participant" and/or a "swap
participant" as defined in the Code;
(iii) The remedies provided herein, and in any Credit Support Document,
are the remedies referred to in Section 561(a), Sections 362(b)(6), (7),
(17) and (27), and Section 362(o) of the Code;
(iv) All transfers of cash, securities or other property under or in
connection with this Agreement, any Credit Support Document or any
Transaction hereunder are "margin payments," "settlement payments" and/or
"transfers" under Sections 546(e), (f), (g) or (j), and under Section
548(d)(2) of the Code; and
(v) Each obligation under this Agreement, any Credit Support Document or
any Transaction hereunder is an obligation to make a "margin payment,"
"settlement payment" and/or "payment" within the meaning of Sections 362,
560 and 561 of the Code.
(z) Transfer to Avoid Termination Event. Section 6(b)(ii) is hereby amended
(i) by deleting the words "or if a Tax Event Upon Merger occurs and the
Burdened Party is the Affected Party," and the words ", which consent will
not be withheld if such other party's policies in effect at such time
would permit it to enter into transactions with the transferee on the
terms proposed" and (ii) by deleting the words "to transfer" and inserting
the words "to effect a Permitted Transfer" in lieu thereof.
(aa) Reserved.
(bb) Reserved.
(cc) Compliance with Regulation AB.
(i)Party A agrees and acknowledges that Depositor ("Depositor") is
required under Regulation AB to disclose certain information regarding
Party A or its group of affiliated entities, if applicable, depending on
the aggregate "significance percentage" under this Agreement and any other
derivative contracts between Party A or its group of affiliated entities,
if applicable, and Party B, as calculated from time to time in accordance
with Item 1115 of Regulation AB.
(ii) It shall be a swap disclosure event ("Swap Disclosure Event") if, on
any Business Day during the period for which Party B is required to file
information with the Securities Exchange Commission pursuant to Item 1115
of Regulation AB, Depositor requests (in writing) from Party A the
applicable financial information described in Item 1115 of Regulation AB
(such request to be based on a reasonable determination by Depositor, in
good faith, that such information is required under Regulation AB as a
result of the aggregate "significance percentage" representing 10% or
more) (the "Swap Financial Disclosure").
(iii) Upon the occurrence of a Swap Disclosure Event, Party A, at its own
expense, shall (a) provide to Depositor the Swap Financial Disclosure, (b)
secure another entity to replace Party A as party to this Agreement on
terms substantially similar to this Agreement and subject to prior
notification to the Rating Agencies, provided, that satisfaction of the
Rating Agency Condition in relation to Fitch and S&P shall be required for
any transfer of any Transactions under this clause (iii) unless such
transfer is in connection with the assignment and assumption of this
Agreement by such substitute counterparty without modification of its
terms, other than the following terms: party name, dates relevant to the
effective date of such transfer, tax representations (provided that the
representations in Part 2(a) and Part 5(t) are not modified) and any other
representations regarding the status of the substitute counterparty of the
type included in Section (c) of this Part 5 and notice information (in
which case, Party A shall provide written notice to Fitch with respect
thereto), which entity (or a guarantor therefor) meets or exceeds the
Hedge Counterparty Ratings Requirement and which entity is able to comply
with the financial information disclosure requirements of Item 1115 of
Regulation AB or (c) only if sufficient to satisfy the requirements of
Item 1115 of Regulation AB that are applicable to Party A as determined by
the Depositor in its sole discretion, obtain a guaranty of the Party A's
obligations under this Agreement from an affiliate of the Party A that is
able to comply with the financial information disclosure requirements of
Item 1115 of Regulation AB, such that disclosure provided in respect of
the affiliate will satisfy any disclosure requirements applicable with
respect to the Counterparty, and cause such affiliate to provide Swap
Financial Disclosure or (d) deliver collateral pursuant to an ISDA Credit
Support Annex (subject to New York Law) in an amount sufficient to reduce
the "significance percentage" (determined by the Sponsor, acting
reasonably and in good faith) below the requirements of Item 1115(b)(1).
If permitted by Regulation AB, any required Swap Financial Disclosure may
be provided by incorporation by reference from reports filed pursuant to
the Exchange Act.
As used in this Agreement, the term "Regulation AB" means Subpart 229.1100
- Asset Backed Securities (Regulation AB), 17 C.F.R. ss.229.1100-229.1123,
as such regulation may be amended from time to time and subject to such
clarification and interpretation as have been provided by the Securities
and Exchange Commission in the adopting release (Asset-Backed Securities,
Securities Act Release No. 33-8518, 70 Fed. Reg. 1,506, 1,531, (January 7,
2005) or by the staff of the Securities and Exchange Commission, or as may
be provided in writing by the Securities and Exchange Commission or its
staff from time to time.
(dd) Securities Administrator Capacity. It is expressly understood and agreed
by the parties hereto that (i) this Agreement is executed and delivered by
the Securities Administrator not in its individual or corporate capacity
but solely as securities administrator on behalf of the Trust, in the
exercise of the powers and authority conferred and vested in it under the
PSA, (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 Securities
Administrator 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 Securities Administrator, 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 Securities Administrator 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 Agreement 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 PSA. Notwithstanding the foregoing (or anything to the
contrary in this Agreement), the Securities Administrator shall be liable
for its own fraud, negligence, willful misconduct and/or bad faith.
(ee) Capacity. Party A represents to Party B that it is entering into the
Agreement as principal and not as agent of any person. Party B represents
to Party A on the date on which Party B enters into this Agreement it is
entering into the Agreement and the Transaction not in its individual
capacity, but solely as Securities Administrator on behalf of the Trust.
Party A is acting for its own account and with respect to Party B, the
Securities Administrator is executing this Agreement not in its individual
capacity, but solely as Securities Administrator on behalf of the Trust.
[remainder of page intentionally left blank]
IN WITNESS WHEREOF, the parties have executed this document by their duly
authorized officers with effect from the date so specified on the first page
hereof.
Credit Suisse International ▇▇▇▇▇ Fargo Bank, N.A., not in its
individual capacity but solely as
Securities Administrator on behalf
of ABFC 2007-WMC1 Trust
By: /s/ ▇▇▇▇▇ ▇▇▇▇▇ By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇
----------------------------------- --------------------------------------
Name: ▇▇▇▇▇ ▇▇▇▇▇ Name: ▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇
Title: Authorized Signatory Title: Vice President
By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
-----------------------------------
Name: ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
Title: Authorized Signatory
CREDIT SUISSE INTERNATIONAL
▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇▇▇▇ ▇▇▇ ▇▇▇
Fax: ▇▇-▇▇-▇▇▇▇-▇▇▇▇/Phone: 44-20-7888-8888
DATE: November 05, 2007
TO: ▇▇▇▇▇ Fargo Bank, N.A., not in its individual capacity but solely as
Securities Administrator on behalf of ABFC 2007-WMC1 Trust ("Party B")
FROM: Credit Suisse International ("Party A")
RE: Swap Transaction
Our Reference No: External ID: 53315231N / Risk ID: 448096010
Dear Sir or Madam:
The purpose of this letter agreement (this "Confirmation") is to confirm
the terms and conditions of the transaction entered into between us on the Trade
Date specified below (the "Transaction").
The definitions and provisions contained in the 2006 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. are
incorporated into this Confirmation. In the event of any inconsistency between
those definitions and provisions and this Confirmation, this Confirmation will
govern.
This Confirmation constitutes a "Confirmation" as referred to in, and
supplements, forms part of and is subject to, the 1992 ISDA Master Agreement
dated as of November 05, 2007, as amended and supplemented from time to time
(the "Agreement") between Party A and Party B. All provisions contained in the
Agreement govern this Confirmation except as expressly modified below.
Party A and Party B each represents to the other that it has entered into
this Swap Transaction in reliance upon such tax, accounting, regulatory, legal
and financial advice as it deems necessary and not upon any view expressed by
the other.
1. The Swap Transaction to which this Confirmation relates is a Rate Swap
Transaction, the terms of which are as follow:
General Terms
Trade Date: October 30, 2007
Effective Date: November 05, 2007
Termination Date: October 25, 2011, subject to
adjustment in accordance with the
Following Business Day Convention
Notional Amount: See Amortization Schedule,
Schedule A
Fixed Amounts:
Fixed Rate Payer: Party B
Fixed Rate Payer Payment The Business Day prior to each Fixed
Dates: Rate Payer Period End Date
Fixed Rate Payer Period End The 25th day of each month of each
Dates: year, commencing on November
25, 2007 to and including the
Termination Date, in each case,
subject to adjustment in accordance
with the Following Business Day
Convention, using No Adjustment of
Period End Dates and No Adjustment
to the Termination Date in respect
of the final Fixed Rate Payer
Calculation Period
Initial Fixed Rate Payer From and including the Effective
Calculation Period: Date up to but excluding November
25, 2007
Fixed Rate 4.48%
Fixed Rate Day Count 30/360
Fraction:
Floating Amounts:
Floating Rate Payer: Party A
Floating Rate Payer Payment Each Fixed Rate Payer Payment Date
Dates:
Floating Rate Payer Period The 25th day of each month of each
End Dates: year, commencing on November 25,
2007 to and including the
Termination Date, in each case,
subject to adjustment in
accordance with the Following
Business Day Convention
Initial Floating Rate From and including the Effective
Payer Calculation Period: Date up to but excluding November
25, 2007, subject to adjustment in
accordance with the Following
Business Day Convention
Floating Rate Option: USD-LIBOR-BBA; provided, however,
that in respect of the initial
Calculation Period, Linear
Interpolation shall apply based upon
a Designated Maturity of 2 weeks and
a Designated Maturity of 1 month
Designated Maturity: One month (except as noted above)
Spread: None
Floating Rate Day Count Actual/360
Fraction:
Reset Dates: The first day of each Calculation
Period
Compounding: Inapplicable
Business Days: New York
2. Procedural Terms:
Calculation Agent: Party A
Offices: The Office of Party A for the Swap
Transaction is London
Account Details:
Payments to Party A: The Bank of New York
Fed Wire ABA: 021 000 018
CHIPS ABA: 001
Account Number: ▇▇▇-▇▇▇▇-▇▇▇
Payments to Party B: ▇▇▇▇▇ Fargo Bank, NA
San Francisco, California
ABA 121 000 248
Account Number: ▇▇▇▇▇▇▇▇▇▇
Account Name: Corporate Trust
Clearing
FFC: 531 75301 - ABFC 2007-WMC1
Swap Account
For the purpose of facilitating this Transaction, an Affiliate of Credit Suisse
International, which is organized in the United States of America (the "Agent"),
has acted as agent for Credit Suisse International. The Agent is not a principal
with respect to this Transaction and shall have no responsibility or liability
to the parties as a principal with respect to this Transaction.
Credit Suisse International is authorized and regulated by the Financial
Services Authority and has entered into this transaction as principal. The time
at which the above transaction was executed will be notified to Party B on
request.
Please confirm that the foregoing correctly sets forth the terms and conditions
of our agreement by executing this Confirmation and returning it to us.
CREDIT SUISSE INTERNATIONAL
By: /s/ ▇▇▇▇▇ ▇▇▇▇▇
----------------------------------------
Authorized Signatory
By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
----------------------------------------
Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
▇▇▇▇▇ FARGO BANK, N.A., NOT IN ITS INDIVIDUAL CAPACITY BUT SOLELY AS SECURITIES
ADMINISTRATOR ON BEHALF OF ABFC 2007-WMC1 TRUST
By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇
-------------------------------------
Name: ▇▇▇▇▇▇▇ ▇▇▇▇▇ Colli
Title: Vice President
Our Reference No: External ID: 53315231N / Risk ID: 448096010
SCHEDULE to the Confirmation dated as of November 05, 2007,
Re: Reference Number 53315231N/448096010
Amortization Schedule, subject to adjustment in accordance with the Following
Business Day Convention in respect of the Floating Rate Payer Calculation
Periods
Period Date from and Period Date to and
including: Excluding Notional Amount (USD):
--------------------------- ----------------------------- ----------------------
11/5/2007 11/25/2007 1,451,313,000.00
--------------------------- ----------------------------- ----------------------
11/25/2007 12/25/2007 1,414,788,904.00
--------------------------- ----------------------------- ----------------------
12/25/2007 1/25/2008 1,374,909,137.00
--------------------------- ----------------------------- ----------------------
1/25/2008 2/25/2008 1,332,776,100.00
--------------------------- ----------------------------- ----------------------
2/25/2008 3/25/2008 1,287,164,780.00
--------------------------- ----------------------------- ----------------------
3/25/2008 4/25/2008 1,241,207,955.00
--------------------------- ----------------------------- ----------------------
4/25/2008 5/25/2008 1,196,736,474.00
--------------------------- ----------------------------- ----------------------
5/25/2008 6/25/2008 1,153,714,914.00
--------------------------- ----------------------------- ----------------------
6/25/2008 7/25/2008 1,112,095,808.00
--------------------------- ----------------------------- ----------------------
7/25/2008 8/25/2008 1,071,833,351.00
--------------------------- ----------------------------- ----------------------
8/25/2008 9/25/2008 1,032,883,230.00
--------------------------- ----------------------------- ----------------------
9/25/2008 10/25/2008 995,189,477.00
--------------------------- ----------------------------- ----------------------
10/25/2008 11/25/2008 958,725,318.00
--------------------------- ----------------------------- ----------------------
11/25/2008 12/25/2008 923,426,087.00
--------------------------- ----------------------------- ----------------------
12/25/2008 1/25/2009 889,284,286.00
--------------------------- ----------------------------- ----------------------
1/25/2009 2/25/2009 856,226,973.00
--------------------------- ----------------------------- ----------------------
2/25/2009 3/25/2009 597,026,348.00
--------------------------- ----------------------------- ----------------------
3/25/2009 4/25/2009 257,824,793.00
--------------------------- ----------------------------- ----------------------
4/25/2009 5/25/2009 238,882,732.00
--------------------------- ----------------------------- ----------------------
5/25/2009 6/25/2009 222,587,602.00
--------------------------- ----------------------------- ----------------------
6/25/2009 7/25/2009 211,850,347.00
--------------------------- ----------------------------- ----------------------
7/25/2009 8/25/2009 204,286,961.00
--------------------------- ----------------------------- ----------------------
8/25/2009 9/25/2009 196,914,685.00
--------------------------- ----------------------------- ----------------------
9/25/2009 10/25/2009 189,944,215.00
--------------------------- ----------------------------- ----------------------
10/25/2009 11/25/2009 183,229,750.00
--------------------------- ----------------------------- ----------------------
11/25/2009 12/25/2009 176,715,992.00
--------------------------- ----------------------------- ----------------------
12/25/2009 1/25/2010 170,401,232.00
--------------------------- ----------------------------- ----------------------
1/25/2010 2/25/2010 164,183,186.00
--------------------------- ----------------------------- ----------------------
2/25/2010 3/25/2010 150,917,766.00
--------------------------- ----------------------------- ----------------------
3/25/2010 4/25/2010 138,369,369.00
--------------------------- ----------------------------- ----------------------
4/25/2010 5/25/2010 133,161,410.00
--------------------------- ----------------------------- ----------------------
5/25/2010 6/25/2010 128,574,313.00
--------------------------- ----------------------------- ----------------------
6/25/2010 7/25/2010 124,152,115.00
--------------------------- ----------------------------- ----------------------
7/25/2010 8/25/2010 119,888,684.00
--------------------------- ----------------------------- ----------------------
8/25/2010 9/25/2010 115,778,124.00
--------------------------- ----------------------------- ----------------------
9/25/2010 10/25/2010 111,814,764.00
--------------------------- ----------------------------- ----------------------
10/25/2010 11/25/2010 107,993,148.00
--------------------------- ----------------------------- ----------------------
11/25/2010 12/25/2010 104,308,026.00
--------------------------- ----------------------------- ----------------------
12/25/2010 1/25/2011 100,754,349.00
--------------------------- ----------------------------- ----------------------
1/25/2011 2/25/2011 97,327,259.00
--------------------------- ----------------------------- ----------------------
2/25/2011 3/25/2011 94,022,082.00
--------------------------- ----------------------------- ----------------------
3/25/2011 4/25/2011 90,834,322.00
--------------------------- ----------------------------- ----------------------
4/25/2011 5/25/2011 87,759,653.00
--------------------------- ----------------------------- ----------------------
5/25/2011 6/25/2011 84,793,912.00
--------------------------- ----------------------------- ----------------------
6/25/2011 7/25/2011 81,933,093.00
--------------------------- ----------------------------- ----------------------
7/25/2011 8/25/2011 79,173,345.00
--------------------------- ----------------------------- ----------------------
8/25/2011 9/25/2011 76,510,957.00
--------------------------- ----------------------------- ----------------------
9/25/2011 10/25/2011 73,942,361.00
--------------------------- ----------------------------- ----------------------
Elections and Variables
to the ISDA Credit Support Annex
dated as of November 5, 2007
between
▇▇▇▇▇ Fargo Bank, N.A., not in its individual capacity but
Credit Suisse International and solely as Securities Administrator on behalf of ABFC
2007-WMC1 Trust (the "Trust")
_______________________________________ _________________________________________
("Party A") ("Party B")
Paragraph 13.
(a) Security Interest for "Obligations".
The term "Obligations" as used in this Annex includes the following
additional obligations:
With respect to Party A: None.
With respect to Party B: 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:
(I) the words "upon a demand made by the Secured Party on or
promptly following a Valuation Date" shall be deleted
and replaced with the words "not later than the close of
business on each Valuation Date";
(II) 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." shall be deleted in its entirety and
replaced with 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; and
(2) the amount by which (a) the Fitch Credit Support
Amount for such Valuation Date exceeds (b) the
Fitch Value, as of such Valuation Date, of all
Posted Credit Support held by the Secured Party";
and
(III) if, on any Valuation Date, the Delivery Amount equals or
exceeds the Pledgor's Minimum Transfer Amount, the
Pledgor will transfer to the Secured Party sufficient
Eligible Credit Support to ensure that, immediately
following such transfer, the Delivery Amount shall be
zero.
(B) "Return Amount" has the meaning specified in Paragraph 3(b),
except that:
(I) the sentence beginning "Unless otherwise specified in
Paragraph 13" and ending "(ii) the Credit Support
Amount." shall be deleted in its entirety and replaced
with 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; and
(2) the amount by which (a) the Fitch Value, as of
such Valuation Date, of all Posted Credit Support
held by the Secured Party exceeds (b) the Fitch
Credit Support Amount for such Valuation Date";
and
(II) in no event shall the Secured Party be required to
transfer any Posted Credit Support under Paragraph
3(b) if, immediately following such transfer, the
Delivery Amount would be greater than zero.
(C) Paragraph 4(b) is hereby amended by the insertion of the words
"(i) in respect of a Transfer pursuant to Paragraph 3(b),"
immediately prior to the words "if a demand for" and the
insertion of the words "; and (ii) in respect of a Transfer
pursuant to Paragraph 3(a), the relevant Transfer will be made
not later than the close of business on the Local Business Day
following the Valuation Date" immediately prior to the period.
(D) The term "Credit Support Amount" shall not apply.
(E) S&P Credit Support Amount means, for any Valuation Date:
(i) if the S&P Threshold for such Valuation Date is zero and
an S&P Ratings Event has not been continuing 10 Local
Business Days, an amount equal to the Secured Party's
Exposure;
(ii) if the S&P Threshold for such Valuation Date is zero and
an S&P Ratings Event has been continuing for at least 10
Local Business Days, an amount equal to 125% of the
Secured Party's Exposure; or
(iii) if the S&P Threshold is infinity, zero.
(F) Fitch Credit Support Amount means, for any Valuation Date:
(i) if the Fitch Threshold for such Valuation Date is zero,
an amount equal to the sum of (1) Secured Party's
Exposure and (2) the sum, for each Transaction to which
this Annex relates, of the product of (a) the related
Fitch Volatility Buffer for such Transaction and (b) the
Notional Amount of such Transaction for the Calculation
Period of such Transaction which includes such Valuation
Date;
(ii) if the Fitch Threshold is infinity, zero.
(G) Certain definitions:
S&P Value means, on any date and with respect to any Eligible
Collateral, the product of (x) the bid price obtained by the
Valuation Agent for such Eligible Collateral, or, in the case
of Cash, the amount thereof, and (y) the S&P Valuation
Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii)(A).
Fitch Value means, subject to Paragraph 13(c)(v), on any date
and with respect to any Eligible Collateral other than Cash,
the product of (x) the bid price obtained by the Valuation
Agent for such Eligible Collateral and (y) the Fitch Valuation
Percentage for such Eligible Collateral set forth in Paragraph
13(b)(ii)(B).
(ii) Eligible Collateral. On any date, the following items will qualify as
"Eligible Collateral" for Party A (all Eligible Collateral to be
denominated in USD):
(A) Valuation Percentage S&P
----------------------------------------------------------------- ------------------- -------------
S&P
Instrument Collateralization S&P Ratings
Event Event
----------------------------------------------------------------- ------------------- -------------
----------------------------------------------------------------- ------------------- -------------
(i) Cash 100% 80%
----------------------------------------------------------------- ------------------- -------------
----------------------------------------------------------------- ------------------- -------------
(ii) Coupon-bearing negotiable debt obligations issued
98.0% 78.4% after 18 July 1984 by the U.S.
Treasury Department having a residual maturity on
such date of less than 5 years
----------------------------------------------------------------- ------------------- -------------
----------------------------------------------------------------- ------------------- -------------
(iii) Coupon-bearing negotiable debt obligations issued 92.6% 74.1%
after 18 July 1984 by the U.S. Treasury Department
having a residual maturity on such date equal to or
greater than 5 years but less than or equal to 10 years
----------------------------------------------------------------- ------------------- -------------
S&P Valuation Percentage means, with respect to a Valuation
Date and each instrument in the above table (i) so long as the
S&P Threshold for such Valuation Date is zero and an S&P
Ratings Event has not been continuing for 10 Local Business
Days, the corresponding percentage for such instrument in the
column headed "S&P Collateralization Event" or (ii) so long as
the S&P Threshold for such Valuation Date is zero and an S&P
Ratings Event has been continuing for at least 10 Local
Business Days, the corresponding percentage in the column
headed "S&P Ratings Event."
(B) Valuation Percentage Fitch
----------------------------------------------------------------- -------------------
Fitch
Instrument Valuation
Percentage
----------------------------------------------------------------- -------------------
----------------------------------------------------------------- -------------------
(i) Cash 100%
----------------------------------------------------------------- -------------------
----------------------------------------------------------------- -------------------
(ii) Negotiable debt obligations issued after 18 July 1984 98.0%
by the U.S. Treasury Department having a residual
maturity on such date of less than 1 year
----------------------------------------------------------------- -------------------
----------------------------------------------------------------- -------------------
(iii) Coupon-bearing negotiable debt obligations issued 98.0%
after 18 July 1984 by the U.S. Treasury Department
having a residual maturity on such date equal to or
greater than 1 year but less than 5 years
----------------------------------------------------------------- -------------------
----------------------------------------------------------------- -------------------
(iv) Coupon-bearing negotiable debt obligations issued 92.6%
after 18 July 1984 by the U.S. Treasury Department
having a residual maturity on such date equal to or
greater than 5 years but less than 10 years
----------------------------------------------------------------- -------------------
Fitch Valuation Percentage means, with respect to a Valuation
Date and each instrument in the above table, the corresponding
percentage for such instrument in the column headed "Fitch
Valuation Percentage."
(iii) Other Eligible Support. None.
(iv) Thresholds.
(A) "Independent Amount" means with respect to Party A: Not applicable.
"Independent Amount" means with respect to Party B: Not applicable.
(B) "S&P Threshold" means, with respect to Party A and any Valuation
Date, if an S&P Collateralization Event has occurred and is
continuing and such Collateralization Event, has been continuing for
at least 10 Local Business Days or since this Annex was executed,
zero; otherwise, infinity or if an S&P Ratings Event has occurred
and has been continuing for at least 10 Local Business Days, zero;
otherwise, infinity.
(C) "Fitch Threshold" means, with respect to Party A and any Valuation
Date, if a Fitch Collateralization Event has been continuing for at
least 10 local Business Days or since this Annex was executed, zero;
otherwise, infinity or if a Fitch Ratings Event has occurred and has
been continuing for at least 10 Local Business Days, zero;
otherwise, infinity.
(D) "Minimum Transfer Amount" means USD 100,000 with respect to Party A
and Party B; provided, however, that if the aggregate Outstanding
Principal 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.
(E) 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 the Calculation Agent. Calculations by the
Valuation Agent will be made by reference to commonly accepted
market sources.
(ii) "Valuation Date" means any Local Business Day on which any of the
S&P Threshold or the Fitch Threshold is zero.
(iii) "Valuation Time" means the close of business in the city of the
Valuation Agent on the Local Business Day before the Valuation Date
or date of calculation, as applicable, provided that the
calculations of S&P Value and Fitch Value and Exposure will be made
as of approximately the same time on the same date.
(iv) "Notification Time" means 4:00 p.m., London 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 no Relevant Entity has credit ratings from Fitch at least
equal to (i) a long-term unsecured and unsubordinated debt rating
from Fitch of "BBB+" and (ii) a short-term unsecured and
unsubordinated debt rating from Fitch of "F2", the Valuation Agent
shall (A) calculate the Fitch Value of Posted Credit Support and the
Secured Party's Exposure 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 month one
external ▇▇▇▇ for each Transaction to which this Annex relates and
for all Posted Credit Support. 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 place of Party A, provided that an external ▇▇▇▇ ▇▇▇
not be obtained from the same Reference Market-maker more than four
times in any annual 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 month shall be considered a
Valuation Date) the Secured Party's Exposure and the Fitch Value of
Posted Collateral based on the greater of the Valuation Agent's
internal marks and the external ▇▇▇▇ received.
(d) Conditions Precedent and Secured Party's Rights and Remedies.
No events shall constitute a "Specified Condition."
(e) Substitution.
(i) "Substitution Date" has the meaning specified in Paragraph 4(d)(ii).
(ii) Consent. The Pledgor must obtain the Secured Party's prior consent
to any substitution pursuant to Paragraph 4(d) and shall give to the
Secured Party not less than two (2) Local Business Days' notice
thereof specifying the items of Posted Credit Support intended for
substitution.
(f) Dispute Resolution.
(i) "Resolution Time" means 4:00 p.m. London time on the Local Business
Day following the date on which the notice of the dispute is given
under Paragraph 5.
(ii) Value. For the purpose of Paragraphs 5(i)(C) and 5(ii), on any date,
the S&P Value or Fitch Value, as applicable, of Eligible Collateral
and Posted Collateral will be calculated as follows:
(A) with respect to any Cash; the amount thereof; and
(B) with respect to any Eligible Collateral comprising 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
S&P Valuation Percentage or Fitch Valuation Percentage, as the
case may be, or (y) where any such 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 for such securities chosen by the
Valuation Agent, multiplied by the applicable S&P Valuation
Percentage or Fitch Valuation Percentage, as the case may be,
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 S&P Valuation
Percentage or Fitch Valuation Percentage, as the case may be;
plus (b) the accrued interest on such securities (except to
the extent that such interest shall have been paid to the
Pledgor pursuant to Paragraph 6(d)(ii) or included in the
applicable price referred to in subparagraph (a) above) as of
such date.
(iii) Alternative. The provisions of Paragraph 5 will apply, provided that
the obligation of the appropriate party to deliver the undisputed
amount to the other party will not arise prior to the time that
would otherwise have applied to the Transfer pursuant to, or deemed
made, under Paragraph 3 if no dispute had arisen.
(g) Holding and Using Posted Collateral.
(i) Eligibility to Hold Posted Collateral; Custodians:
The Securities Administrator will be entitled to hold Posted
Collateral pursuant to Paragraph 6(b). If at any time the Securities
Administrator does not have a short-term unsecured and
unsubordinated debt rating of "A-1" from S&P, or if there is no
short-term rating, a long-term rating of "A+", the Securities
Administrator shall, within 60 calendar days of such rating
downgrade, be replaced as custodian by an entity with a short-term
unsecured and unsubordinated debt rating of at least "A-1" from S&P
(or if there is no short-term rating, a long-term rating of "A+").
(ii) Use of Posted Collateral. The provisions of Paragraph 6(c) will not
apply to Party B; provided, however, that if Party A delivers Posted
Collateral in book-entry form, then Paragraph 6(c)(ii) will apply to
Party B and its Custodian, and Party B and its Custodian shall have
the rights specified in Paragraph 6(c)(ii).
(h) Distributions and Interest Amount.
(i) Interest Rate. The "Interest Rate" will be the annualized rate of
return actually achieved on Posted Collateral in the form of Cash
during the relevant Interest Period.
(ii) Transfer of Interest Amount. The Transfer of the Interest Amount
will be made on any Local Business Day on which Posted Collateral in
the form of Cash is Transferred to the Pledgor pursuant to Paragraph
3(b), provided that such Interest Amount has been received prior
thereto.
(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) 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:
(i) shall be given to or made at the following addresses:
If to Party A:
Address: One ▇▇▇▇▇ ▇▇▇▇▇▇
▇▇▇▇▇▇ ▇▇▇ ▇▇▇
▇▇▇▇▇▇▇
Telephone: ▇▇ ▇▇ ▇▇▇▇ ▇▇▇▇
Facsimile: 44 20 7883 7987
Attention: Collateral Management Unit
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
paragraph) to the other party;
(ii) shall (unless otherwise stated in this Annex) 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.
(k) 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 at the time of the request
for the Transfer.
(l) Other Provisions.
(i) Additional Definitions
As used in this Annex:
"Equivalent Collateral" means, with respect to any security
constituting Posted Collateral, a security of the same issuer and,
as applicable, representing or having the same class, series,
maturity, interest rate, principal amount or liquidation value and
such other provisions as are necessary for that security and the
security constituting Posted Collateral to be treated as equivalent
in the market for such securities;
"Exposure" has the meaning specified in Paragraph 10 except that, at
the end of the definition of Exposure, the words "with terms that
are, in all material respects, no less beneficial for Party B than
those of this Agreement" shall be added.
"Local Business Day" means: (i) any day on which commercial banks
are open for business (including dealings in foreign exchange and
foreign currency deposits) in London, and (ii) in relation to a
Transfer of Eligible Collateral, a 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 for
foreign exchange and foreign currency deposits) in New York and such
other places as the parties shall agree);
"Remaining Weighted Average Maturity" means, with respect to a
Transaction, the expected weighted average maturity for such
Transaction as determined by the Valuation Agent; and
(ii) 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 Fitch Ratings Event has occurred and is continuing and at least 30
calendar days have elapsed since such Fitch Ratings Event first
occurred.
(iii) Return of Fungible Securities
In lieu of returning to the Pledgor pursuant to Paragraphs 3(b),
4(d), 5 and 8(d) any Posted Collateral comprising securities the
Secured Party may return Equivalent Collateral.
(iv) Covenants of the Pledgor
So long as the Agreement is in effect, the Pledgor covenants that it
will keep the Posted Collateral free from all security interests or
other encumbrances created by the Pledgor, except the security
interest created hereunder and any security interests or other
encumbrances created by the Secured Party; and will not sell,
transfer, assign, deliver or otherwise dispose of, or grant any
option with respect to any Posted Collateral or any interest
therein, or create, incur or permit to exist any pledge, lien,
mortgage, hypothecation, security interest, charge, option or any
other encumbrance with respect to any Posted Collateral or any
interest therein, without the prior written consent of the Secured
Party.
(v) No Counterclaim
A party's rights to demand and receive the Transfer of Eligible
Collateral as provided hereunder and its rights as Secured Party
against the Posted Collateral or otherwise shall be absolute and
subject to no counterclaim, set-off, deduction or defense in favor
of the Pledgor except as contemplated in Sections 2 and 6 of the
Agreement and Paragraph 8 of this Annex.
(vi) Security and Performance
Eligible Collateral Transferred to the Secured Party constitutes
security and performance assurance without which the Secured Party
would not otherwise enter into and continue any and all
Transactions.
(vii) Agreement as to Single Secured Party and Pledgor
Party A and Party B agree that, notwithstanding anything to the
contrary in the recital to this Annex, Paragraph 1(b), Paragraph 2
or the definitions in Paragraph 12, (a) the term "Secured Party" as
used in this Annex means only Party B, (b) the term "Pledgor" as
used in this Annex means only Party A, (c) only Party A makes the
pledge and grant in Paragraph 2, the acknowledgment in the final
sentence of Paragraph 8(a) and the representations in Paragraph 9
and (d) only Party A will be required to make Transfers of Eligible
Credit Support hereunder.
(viii) Expenses.
Notwithstanding Paragraph 10(a), the Pledgor will be responsible
for, and will reimburse the Secured Party for, all transfer costs
involved in the Transfer of Eligible Collateral from the Pledgor to
the Secured Party (or any agent or custodian for safekeeping of the
Secured Party) or from the Secured Party (or any agent or custodian
for safekeeping of the Secured Party ) to the Pledgor pursuant to
paragraph 4(d).
(ix) "Fitch Volatility Buffer" means, for any Transaction, the related
percentage set forth in the following table:
--------------------------- -------- -------- -------- -------- ------- -------- -------- --------
Remaining Weighted 1 2 3 4 5 6 7 8
Average Maturity of such
Transaction (years)
--------------------------- -------- -------- -------- -------- ------- -------- -------- --------
Volatility Buffer: % 0.8 1.7 2.5 3.3 4.0 4.7 5.3 5.9
--------------------------- -------- -------- -------- -------- ------- -------- -------- --------
--------------------------- --------- --------- --------- ---------- --------- --------- ---------
Remaining Weighted 9 10 11 12 13 14 15 or
Average Maturity of such more
Transaction (years)
--------------------------- --------- --------- --------- ---------- --------- --------- ---------
Volatility Buffer: % 6.5 7.0 7.5 8.0 8.5 9.0 9.5
--------------------------- --------- --------- --------- ---------- --------- --------- ---------
(x) "Remaining Weighted Average Maturity" means, with respect to a
Transaction, the expected weighted average maturity for such
Transaction as determined by the Valuation Agent.
(xi) [Reserved]
(xii) Calculation of Value. Paragraph 4(c) is hereby amended by deleting
the word "Value" and inserting in lieu thereof "S&P Value, Fitch
Value". Paragraph 4(d)(ii) is hereby amended by (A) deleting the
words "a Value" and inserting in lieu thereof "an S&P Value and a
Fitch Value" and (B) deleting the words "the Value" and inserting in
lieu thereof "S&P Value and Fitch Value". Paragraph 5 (flush
language) is hereby amended by deleting the word "Value" and
inserting in lieu thereof "S&P Value or Fitch Value". Paragraph 5(i)
(flush language) is hereby amended by deleting the word "Value" and
inserting in lieu thereof "S&P Value and Fitch 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 or Fitch
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 or Fitch Value" and (2)
deleting the second instance of the words "the Value" and inserting
in lieu thereof "such disputed S&P Value or Fitch 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 and Fitch Value."
▇▇▇▇▇ Fargo Bank, N.A., not in its individual capacity
but solely as Securities Administrator on behalf of ABFC
Credit Suisse International 2007-WMC1 Trust
By: /s/ ▇▇▇▇▇ ▇▇▇▇▇ By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇
--------------------------------------------------- ----------------------------------------------------
Name: ▇▇▇▇▇ ▇▇▇▇▇ Name: ▇▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇
Title: Authorized Signatory Title: Vice President
By: /s/ ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
---------------------------------------------------
Name: ▇▇▇▇▇▇▇ ▇▇▇▇▇▇
Title: Authorized Signatory