EXHIBIT 99.2
SWISS RE FINANCIAL PRODUCTS CORPORATION
00 Xxxx 00xx Xxxxxx
Xxx Xxxx, Xxx Xxxx 00000
Fax: (000) 000-0000/Phone: (000) 000-0000
DATE: February 28, 2007
TO: Countrywide Home Loans, Inc.
ATTENTION: Documentation Unit
FROM: Swiss Re Financial Products Corporation
RE: Swap Transaction
REFERENCE NO: 1282642
Dear Sir or Madam:
The purpose of this letter agreement is to set forth the terms and
conditions of the Swap Transaction traded between Swiss Re Financial Products
Corporation ("Party A") and Countrywide Home Loans, Inc. ("Party B") on the
trade date specified below (the "Transaction"). This letter agreement
constitutes a "Confirmation" as referred to in the Agreement specified below.
Notwithstanding anything to the contrary in the Agreement, the
definitions and provisions contained in the 2000 ISDA Definitions, as
published by the International Swaps and Derivatives Association, Inc. (the
"Definitions") are incorporated into this Confirmation. To the extent that
there is any inconsistency between those Definitions and Provisions and this
Confirmation, this Confirmation will govern. For the purposes of the
Definitions, all references to a "Transaction" in this Confirmation shall also
be deemed to be references to a "Swap Transaction".
This Confirmation evidences a complete binding agreement between you and
us as to the terms of the Transactions to which this Confirmation relates.
This Confirmation supplements, forms part of, and is subject to, the ISDA
Master Agreement (Multicurrency - Cross Border) dated as of December 15, 2005,
as amended and supplemented from time to time (the "Agreement"), between Party
A and Party B. All provisions contained or incorporated by reference in that
agreement upon its execution will govern this Confirmation except as expressly
modified below.
Capitalized terms used in this Confirmation and not defined in the
Agreement, this Confirmation or the Definitions shall have the respective
meaning assigned in the Pooling and Servicing Agreement for CWABS, Inc.
Asset-Backed Certificates Trust 2007-2 dated as of February 1, 2007 among
CWABS, Inc. as depositor, Park Monaco Inc., as a seller, Park Sienna LLC, as a
seller, Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans
Servicing LP, as master servicer, The Bank of New York, as trustee, and The
Bank of New York Trust Company, N.A., as co-trustee (the "Pooling and
Servicing Agreement").
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
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Trade Date: February 16, 2007
Effective Date: February 28, 2007
Termination Date: July 25, 2014, subject to adjustment in accordance with the Following
Business Day Convention.
Notional Amount: With respect to any Calculation Period, the lesser of (i) the amount set
forth for such period in Annex A attached hereto and (ii) the aggregate
Certificate Principal Balance of the Class 1-A, Class 2-A-1, Class 2-A-2,
Class 2-A-3, Class 2-A-4, Class X-0, Xxxxx X-0, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B
Certificates (as defined in the Pooling and Servicing Agreement)
immediately prior to the Distribution Date (as defined in the Pooling and
Servicing Agreement) occurring in the calendar month in which such
Calculation Period ends. Upfront Amount:
Upfront Amount: Party A will pay $4,750,000 to Party B on February 28, 2007.
---------------
Floating Amounts:
-----------------
Floating Rate Payer: Party A
Floating Rate Payer Payment Early Payment shall be applicable. For each Calculation Period, the
Dates: Floating Rate Payer Payment Date shall be the first Business Day prior to
the related Floating Rate Payer Period End Date.
Floating Rate Payer Period The 25th of each month in each year from (and including) March 25, 2007
End Dates: to (and including) the Termination Date, subject to adjustment in
accordance with the Following Business Day Convention.
Floating Rate Option: USD-LIBOR-BBA.
Designated Maturity: One Month
Spread: None
Floating Rate Day Count Actual/360
Fraction:
Reset Dates: The first day of each Calculation Period.
Compounding: Inapplicable
2
Business Days for Reset: London
Fixed Amounts:
--------------
Fixed Rate Payer: Party B
Fixed Rate Payer Payment The 25th of each month in each year from (and including) March 25, 2007
Dates: to (and including) the Termination Date, subject to adjustment in
accordance with the Following Business Day Convention.
Fixed Rate Payer Period End The 25th of each month in each year from (and including) March 25, 2007
Dates: to (and including) July 25, 2014, with No Adjustment.
Fixed Rate: 5.35%
Fixed Rate Day Count Fraction: 30/360
Business Days for Payments by Both New York.
Parties:
Amendment to Section 2(c) of the Notwithstanding anything to the contrary in Section 2(c) of the
Agreement: Agreement, amounts that are payable with respect to Calculation Periods
which end in the same calendar month (prior to any adjustment of period
end dates) shall be netted, as provided in Section 2(c) of the Agreement,
even if such amounts are not due on the same payment date. For avoidance
of doubt any payments pursuant to Section 6(e) of the Agreement shall not
be subject to netting.
Procedural Terms:
-----------------
Account Details:
Payments to Party A: JPMorgan Chase Bank
SWIFT: XXXXXX00
For the Account of Swiss Re Financial Products Corporation
Account No.: 066-91118
Payments to Party B: As per Party B's standard settlement instructions; provided, however that
upon any assignment of this Transaction, account details shall be
provided in the assignment agreement.
3
Assignment: Party A will not unreasonably withhold or delay its consent to an
assignment of this Transaction to any other third party.
4
This agreement may be executed in several counterparts, each of which shall be
deemed an original but all of which together shall constitute one and the same
instrument.
Please confirm that the foregoing correctly sets forth the terms and
conditions of our agreement by executing this Confirmation and returning it to
us by facsimile to:
Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax:(000) 000-0000 Phone:(000) 000-0000
SWISS RE FINANCIAL PRODUCTS CORPORATION
By: /s/ Xxxxx Xxxxx
--------------------
Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
COUNTRYWIDE HOME LOANS INC.
By: /s/ Xxxxx Xxxxxxx
-----------------
Name: Xxxxx Xxxxxxx
Title: Executive Vice President
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Annex A
All dates subject to adjustment in accordance with the Following Business Day
Convention with respect to each Floating Rate Payer Period End Date and
subject to No Adjustment with respect to each Fixed Rate Payer Period End
Date.
Period Start Date Period End Date Notional Amount
2/28/2007 3/25/2007 1,516,319,999
3/25/2007 4/25/2007 1,505,307,432
4/25/2007 5/25/2007 1,492,561,606
5/25/2007 6/25/2007 1,478,092,067
6/25/2007 7/25/2007 1,461,914,735
7/25/2007 8/25/2007 1,444,051,972
8/25/2007 9/25/2007 1,282,079,365
9/25/2007 10/25/2007 1,263,491,856
10/25/2007 11/25/2007 1,243,485,148
11/25/2007 12/25/2007 1,222,102,673
12/25/2007 1/25/2008 1,199,393,482
1/25/2008 2/25/2008 1,175,676,071
2/25/2008 3/25/2008 831,153,914
3/25/2008 4/25/2008 812,624,128
4/25/2008 5/25/2008 793,291,329
5/25/2008 6/25/2008 773,210,464
6/25/2008 7/25/2008 752,439,588
7/25/2008 8/25/2008 731,040,426
8/25/2008 9/25/2008 709,078,044
9/25/2008 10/25/2008 686,732,013
10/25/2008 11/25/2008 665,155,374
11/25/2008 12/25/2008 644,324,292
12/25/2008 1/25/2009 624,214,543
1/25/2009 2/25/2009 604,802,712
2/25/2009 3/25/2009 450,686,677
3/25/2009 4/25/2009 427,681,601
4/25/2009 5/25/2009 406,018,970
5/25/2009 6/25/2009 385,620,349
6/25/2009 7/25/2009 366,412,056
7/25/2009 8/25/2009 348,324,862
8/25/2009 9/25/2009 331,369,612
9/25/2009 10/25/2009 320,797,597
10/25/2009 11/25/2009 310,619,490
11/25/2009 12/25/2009 300,822,291
12/25/2009 1/25/2010 291,390,406
1/25/2010 2/25/2010 282,315,035
2/25/2010 3/25/2010 225,624,479
3/25/2010 4/25/2010 221,666,831
4/25/2010 5/25/2010 218,022,682
5/25/2010 6/25/2010 214,507,610
6/25/2010 7/25/2010 211,258,560
7/25/2010 8/25/2010 208,065,259
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8/25/2010 9/25/2010 204,991,716
9/25/2010 10/25/2010 202,167,647
10/25/2010 11/25/2010 199,182,427
11/25/2010 12/25/2010 196,438,666
12/25/2010 1/25/2011 193,462,428
1/25/2011 2/25/2011 191,022,689
2/25/2011 3/25/2011 188,634,093
3/25/2011 4/25/2011 185,818,665
4/25/2011 5/25/2011 183,132,951
5/25/2011 6/25/2011 180,452,950
6/25/2011 7/25/2011 177,896,362
7/25/2011 8/25/2011 175,345,607
8/25/2011 9/25/2011 172,914,565
9/25/2011 10/25/2011 170,711,632
10/25/2011 11/25/2011 168,421,048
11/25/2011 12/25/2011 166,346,283
12/25/2011 1/25/2012 164,128,101
1/25/2012 2/25/2012 162,150,325
2/25/2012 3/25/2012 159,410,795
3/25/2012 4/25/2012 156,426,073
4/25/2012 5/25/2012 153,767,328
5/25/2012 6/25/2012 151,294,369
6/25/2012 7/25/2012 149,081,126
7/25/2012 8/25/2012 146,656,989
8/25/2012 9/25/2012 144,447,899
9/25/2012 10/25/2012 142,514,137
10/25/2012 11/25/2012 140,470,106
11/25/2012 12/25/2012 138,584,827
12/25/2012 1/25/2013 136,548,150
1/25/2013 2/25/2013 134,870,934
2/25/2013 3/25/2013 133,210,898
3/25/2013 4/25/2013 131,243,294
4/25/2013 5/25/2013 129,344,126
5/25/2013 6/25/2013 127,428,588
6/25/2013 7/25/2013 125,579,468
7/25/2013 8/25/2013 123,714,564
8/25/2013 9/25/2013 121,916,233
9/25/2013 10/25/2013 120,266,416
10/25/2013 11/25/2013 118,533,494
11/25/2013 12/25/2013 116,942,972
12/25/2013 1/25/2014 115,235,638
1/25/2014 2/25/2014 113,834,272
2/25/2014 3/25/2014 112,454,638
3/25/2014 4/25/2014 110,831,759
4/25/2014 5/25/2014 109,272,854
5/25/2014 6/25/2014 107,708,784
6/25/2014 7/25/2014 106,205,951
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