Exhibit 99.2
------------
BEAR XXXXXXX
BEAR XXXXXXX FINANCIAL PRODUCTS INC.
000 XXXXXXX XXXXXX
XXX XXXX, XXX XXXX 00000
000-000-0000
DATE: February 26, 2007
TO: Citibank, N.A., New York
ATTENTION: Xxxx Xxxxx
TELEPHONE: 000-000-0000
FACSIMILE: 000-000-0000
FROM: Derivatives Documentation
TELEPHONE: 000-000-0000
FACSIMILE: 000-000-0000
SUBJECT: Fixed Income Derivatives Confirmation and Agreement
REFERENCE NUMBER: FXNEC9253
The purpose of this letter agreement ("Agreement") is to confirm the terms and
conditions of the Transaction entered into on the Trade Date specified below
(the "Transaction") between Bear Xxxxxxx Financial Products Inc. ("BSFP") and
Citibank, N.A., New York ("Counterparty"). This Agreement, which evidences a
complete and binding agreement between you and us to enter into the Transaction
on the terms set forth below, constitutes a "Confirmation" as referred to in
the "ISDA Form Master Agreement" (as defined below), as well as a "Schedule" as
referred to in the ISDA Form Master Agreement.
1. This Agreement is subject to the 2000 ISDA Definitions (the "Definitions"),
as published by the International Swaps and Derivatives Association, Inc.
("ISDA"). You and we have agreed to enter into this Agreement in lieu of
negotiating a Schedule to the 1992 ISDA Master Agreement (Multicurrency--Cross
Border) form (the "ISDA Form Master Agreement") but, rather, an ISDA Form
Master Agreement shall be deemed to have been executed by you and us on the
date we entered into the Transaction. All provisions contained in, or
incorporated by reference to, the ISDA Form Master Agreement shall govern the
Transaction referenced in this Confirmation, except as expressly modified
below. In the event of any inconsistency between the provisions of this
Agreement and the Definitions or the ISDA Form Master Agreement, this Agreement
shall prevail for purposes of the Transaction.
2. The terms of the particular Transaction to which this Confirmation
relates are as follows:
Type of Transaction: Rate Cap
Notional Amount: With respect to any Calculation Period,
the amount set forth for such period in
Schedule I attached hereto.
Trade Date: February 23, 2007
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 2 of 14
Effective Date: February 27, 2007
Termination Date: April 25, 2020
Fixed Amount (Premium):
Fixed Rate Payer: Counterparty
Fixed Rate Payer
Payment Date: February 27, 2007
Fixed Amount: USD 565,000
Floating Amounts:
Floating Rate Payer: BSFP
Cap Rate: 5.40000%
Floating Rate Payer
Period End Dates: The 25th calendar day of each month during
the Term of this Transaction, commencing
March 25, 2007 and ending on the Termination
Date, with No Adjustment.
Floating Rate Payer
Payment Dates: Early Payment shall be applicable. The
Floating Rate Payer Payment ates shall be
one Business Day preceding each Floating
Rate Payer Period End Date.
Floating Rate Option: USD-LIBOR-BBA, provided, however, that if
the Floating Rate determined from such
Floating Rate Option for any Calculation
Period is greater than 9.150000% then the
Floating Rate for such Calculation Period
shall be deemed to be 9.150000%.
Designated Maturity: One month
Floating Rate Day
Count Fraction: 30/360
Reset Dates: The first day of each Calculation Period.
Compounding: Inapplicable
Business Days: New York
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 3 of 14
Business Day Convention: Following
3. Additional Provisions: Each party hereto is hereby advised and
acknowledges that the other party has
engaged in (or refrained from engaging in)
substantial financial transactions and has
taken (or refrained from taking) other
material actions in reliance upon the entry
by the parties into the Transaction being
entered into on the terms and conditions
set forth herein and in the Confirmation
relating to such Transaction, as
applicable. This paragraph shall be deemed
repeated on the trade date of each
Transaction.
4. Provisions Deemed Incorporated in a Schedule to the ISDA Form Master
Agreement:
1) The parties agree that subparagraph (ii) of Section 2(c) of the ISDA
Form Master Agreement will apply to any Transaction.
2) Termination Provisions. For purposes of the ISDA Form Master Agreement:
(a) "Specified Entity" is not applicable to BSFP or Counterparty for any
purpose.
(b) "Specified Transaction" is not applicable to BSFP or Counterparty for any
purpose, and, accordingly, Section 5(a)(v) shall not apply to BSFP or
Counterparty.
(c) The "Cross Default" provisions of Section 5(a)(vi) will not apply to BSFP or
to Counterparty.
(d) The "Credit Event Upon Merger" provisions of Section 5(b)(iv) will not apply
to BSFP or Counterparty.
(e) The "Automatic Early Termination" provision of Section 6(a) will not apply
to BSFP or to Counterparty.
(f) Payments on Early Termination. For the purpose of Section 6(e) of the ISDA
Form Master Agreement:
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "Termination Currency" means United States Dollars.
3) Tax Representations. Not applicable
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 4 of 14
4) Limitation on Events of Default. Notwithstanding the terms of Sections 5 and
6 of the ISDA Form Master Agreement, if at any time and so long as the
Counterparty has satisfied in full all its payment obligations under Section
2(a)(i) of the ISDA Form Master Agreement and has at the time no future payment
obligations, whether absolute or contingent, under such Section, then unless
BSFP is required pursuant to appropriate proceedings to return to the
Counterparty or otherwise returns to the Counterparty upon demand of the
Counterparty any portion of any such payment, (a) the occurrence of an event
described in Section 5(a) of the ISDA Form Master Agreement with respect to the
Counterparty shall not constitute an Event of Default or Potential Event of
Default with respect to the Counterparty as Defaulting Party and (b) BSFP shall
be entitled to designate an Early Termination Date pursuant to Section 6 of the
ISDA Form Master Agreement only as a result of the occurrence of a Termination
Event set forth in either Section 5(b)(i) or 5(b)(ii) of the ISDA Form Master
Agreement with respect to BSFP as the Affected Party, or Section 5(b)(iii) of
the ISDA Form Master Agreement with respect to BSFP as the Burdened Party.
5) Documents to be Delivered. For the purpose of Section 4(a) of the ISDA Form
Master Agreement:
(1) Tax forms, documents, or certificates to be delivered are:
Party required to deliver Form/Document/ Date by which to
document Certificate be delivered
BSFP and Any document required or Promptly after the earlier of (i)
the Counterparty reasonably requested to reasonable demand by either party or
allow the other party to (ii) learning that such form or
make payments under this document is required
Agreement without any
deduction or withholding
for or on the account of
any Tax or with such
deduction or withholding
at a reduced rate
(2) Other documents to be delivered are:
Party required to Form/Document/ Date by which to Covered by Section 3(d)
deliver document Certificate be delivered Representation
BSFP and Any documents Upon the execution Yes
the Counterparty required by the and delivery of this
receiving party to Agreement and such
evidence the Confirmation
authority of the
delivering party or
its Credit Support
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 5 of 14
Party required to Form/Document/ Date by which to Covered by Section 3(d)
deliver document Certificate be delivered Representation
Provider, if any, for
it to execute and
deliver this
Agreement, any
Confirmation , and
any Credit Support
Documents to which it
is a party, and to
evidence the
authority of the
delivering party or
its Credit Support
Provider to perform
its obligations under
this Agreement, such
Confirmation and/or
Credit Support
Document, as the case
may be
BSFP and A certificate of an Upon the execution Yes
the Counterparty authorized officer of and delivery of this
the party, as to the Agreement and such
incumbency and Confirmation
authority of the
respective officers of
the party signing this
Agreement, any relevant
Credit Support
Document, or any
Confirmation, as the
case may be
6) Miscellaneous. Miscellaneous
(a) Address for Notices: For the purposes of Section 12(a) of the ISDA Form
Master Agreement:
Address for notices or communications to BSFP:
Address: 000 Xxxxxxx Xxxxxx, Xxx Xxxx, Xxx Xxxx 00000
Attention: DPC Manager
Facsimile: (000) 000-0000
with a copy to:
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 6 of 14
Address: Xxx Xxxxxxxxx Xxxxxx Xxxxx, Xxxxxxxx, Xxx Xxxx 00000
Attention: Derivative Operations - 7th Floor
Facsimile: (000) 000-0000
(For all purposes)
Address for notices or communications to the Counterparty:
Address: Citibank, N.A.
000 Xxxxxxxxx Xxxxxx - 0xx Xxxxx
Xxx Xxxx, XX 00000
Attention: Xxxx Xxxxx
Facsimile: 000-000-0000
Phone: 000-000-0000
(For all purposes)
(b) Process Agent. For the purpose of Section 13(c) of the ISDA Form Master
Agreement:
BSFP appoints as its
Process Agent: Not Applicable
The Counterparty appoints as its
Process Agent: Not Applicable
(c) Offices. The provisions of Section 10(a) of the ISDA Form Master Agreement
will not apply to this Agreement; neither BSFP nor the Counterparty have
any Offices other than as set forth in the Notices Section and BSFP agrees
that, for purposes of Section 6(b) of the ISDA Form Master Agreement, it
shall not in future have any Office other than one in the United States.
(d) Multibranch Party. For the purpose of Section 10(c) of the ISDA Form
Master Agreement:
BSFP is not a Multibranch Party.
The Counterparty is a Multibranch Party.
(e) Calculation Agent. The Calculation Agent is BSFP; provided, however, that
if an Event of Default occurs with respect to BSFP, then the Counterparty
shall be entitled to appoint a financial institution which would qualify
as a Reference Market-maker to act as Calculation Agent.
(f) Credit Support Document. Not applicable for either BSFP or the
Counterparty.
(g) Credit Support Provider.
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 7 of 14
BSFP: Not Applicable
The Counterparty: Not Applicable
(h) Governing Law. The parties to this Agreement hereby agree that the law of
the State of New York shall govern their rights and duties in whole.
(i) 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 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 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.
The parties shall endeavor to engage in good faith negotiations to replace
any invalid or unenforceable term, provision, covenant or condition with a
valid or enforceable term, provision, covenant or condition, the economic
effect of which comes as close as possible to that of the invalid or
unenforceable term, provision, covenant or condition.
(j) Consent to Recording. Each party hereto consents to the monitoring or
recording, at any time and from time to time, by the other party of any
and all communications between officers or employees of the parties,
waives any further notice of such monitoring or recording, and agrees to
notify its officers and employees of such monitoring or recording.
(k) Waiver of Jury Trial.Each party waives any right it may have to a trial by
jury in respect of any Proceedings relating to this Agreement or any
Credit Support Document.
(l) BSFP will not unreasonably withhold or delay its consent to an assignment
of this Agreement to any other third party.
(m) Set-Off. Notwithstanding any 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. The provisions for Set-Off set
forth in Section 6(e) of the Agreement shall not apply for purposes of
this Transaction.
7) "Affiliate" will have the meaning specified in Section 14 of the ISDA Form
Master Agreement, provided that BSFP shall be deemed to have no Affiliates for
purposes of this Agreement, including for purposes of Section 6(b)(ii) of the
ISDA Form Master Agreement.
8) Section 3 of the ISDA Form Master Agreement is hereby amended by adding at
the end thereof the following subsection (g):
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 8 of 14
"(g) Relationship Between Parties.
Each party represents to the other party on each date when it
enters into a Transaction that:--
(1) Nonreliance. It is not relying on any statement or
representation of the other party regarding the Transaction (whether written or
oral), other than the representations expressly made in this Agreement or the
Confirmation in respect of that Transaction.
(2) Evaluation and Understanding.
(i) It has the capacity to evaluate (internally or through
independent professional advice) the Transaction and has made its own decision
to enter into the Transaction; and
(ii) It understands the terms, conditions and risks of the
Transaction and is willing and able to accept those terms and conditions and to
assume those risks, financially and otherwise.
(3) Purpose. It is entering into the Transaction for the purposes of
managing its borrowings or investments, hedging its underlying assets or
liabilities or in connection with a line of business.
(4) Principal. It is entering into the Transaction as principal, and
not as agent or in any other capacity, fiduciary or otherwise."
(5) Eligible Contract Participant. Each party constitutes an
"eligible contract participant" as such term is defined in Section 1(a)12 of the
Commodity Exchange Act, as amended.
NEITHER THE BEAR XXXXXXX COMPANIES INC. NOR ANY SUBSIDIARY OR AFFILIATE OF
THE BEAR XXXXXXX COMPANIES INC. OTHER THAN BSFP IS AN OBLIGOR OR A CREDIT
SUPPORT PROVIDER ON THIS AGREEMENT.
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 9 of 14
5. Account Details and
Settlement Information: Payments to BSFP:
Citibank, N.A., New York
ABA Number: 000-0000-00, for the account of
Bear, Xxxxxxx Securities Corp.
Account Number: 0925-3186, for further credit to
Bear Xxxxxxx Financial Products Inc.
Sub-account Number: 102-04654-1-3
Attention: Derivatives Department
Payments to Counterparty:
[Please provide]
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.
Counterparty hereby agrees to check this Confirmation and to confirm that the
foregoing correctly sets forth the terms of the Transaction by signing in the
space provided below and returning to BSFP a facsimile of the fully-executed
Confirmation to 000-000-0000. For inquiries regarding U.S. Transactions, please
contact Derivatives Documentation by telephone at 000-000-0000. For all other
inquiries please contact Derivatives Documentation by telephone at
000-0-000-0000. Originals will be provided for your execution upon your request.
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 10 of 14
We are very pleased to have executed this Transaction with you and we look
forward to completing other transactions with you in the near future.
Very truly yours,
BEAR XXXXXXX FINANCIAL PRODUCTS INC.
By: /s/ Xxxxx Xxxxxxxx
----------------------------------
Name: Xxxxx Xxxxxxxx
Title: Authorized Signatory
Counterparty, acting through its duly authorized signatory, hereby agrees to,
accepts and confirms the terms of the foregoing as of the Trade Date.
CITIBANK, N.A., NEW YORK
By: /s/ Xxxxx X. Xxxxxxxxxxxx
---------------------------------
As authorized agent or officer for Citibank, N.A., New York
Name: Xxxxx X. Xxxxxxxxxxxx
Title: Authorized Signatory
lm
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 11 of 14
SCHEDULE I
(all such dates subject to adjustment in accordance with the Business
Day Convention)
From and including To but excluding Notional Amount
------------------ ---------------- ---------------
(USD)
-----
Effective Date 3/25/2007 60,000,000
3/25/2007 4/25/2007 59,940,051
4/25/2007 5/25/2007 59,879,816
5/25/2007 6/25/2007 59,819,291
6/25/2007 7/25/2007 59,758,477
7/25/2007 8/25/2007 59,697,371
8/25/2007 9/25/2007 59,635,972
9/25/2007 10/25/2007 59,574,279
10/25/2007 11/25/2007 59,512,291
11/25/2007 12/25/2007 59,450,006
12/25/2007 1/25/2008 58,153,315
1/25/2008 2/25/2008 56,278,199
2/25/2008 3/25/2008 54,465,197
3/25/2008 4/25/2008 52,713,694
4/25/2008 5/25/2008 51,023,066
5/25/2008 6/25/2008 49,392,679
6/25/2008 7/25/2008 47,821,890
7/25/2008 8/25/2008 46,310,046
8/25/2008 9/25/2008 44,856,485
9/25/2008 10/25/2008 43,460,535
10/25/2008 11/25/2008 42,121,516
11/25/2008 12/25/2008 40,838,740
12/25/2008 1/25/2009 39,611,507
1/25/2009 2/25/2009 38,439,110
2/25/2009 3/25/2009 37,320,834
3/25/2009 4/25/2009 36,255,955
4/25/2009 5/25/2009 35,243,741
5/25/2009 6/25/2009 34,283,450
6/25/2009 7/25/2009 33,374,336
7/25/2009 8/25/2009 32,515,643
8/25/2009 9/25/2009 31,676,967
9/25/2009 10/25/2009 30,857,996
10/25/2009 11/25/2009 30,058,419
11/25/2009 12/25/2009 29,277,930
12/25/2009 1/25/2010 28,516,227
1/25/2010 2/25/2010 27,773,015
2/25/2010 3/25/2010 27,048,001
3/25/2010 4/25/2010 26,340,895
4/25/2010 5/25/2010 25,651,414
5/25/2010 6/25/2010 24,979,277
6/25/2010 7/25/2010 24,324,207
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 12 of 14
7/25/2010 8/25/2010 23,685,933
8/25/2010 9/25/2010 23,064,186
9/25/2010 10/25/2010 22,458,700
10/25/2010 11/25/2010 21,869,216
11/25/2010 12/25/2010 21,295,477
12/25/2010 1/25/2011 20,737,227
1/25/2011 2/25/2011 20,194,219
2/25/2011 3/25/2011 19,666,206
3/25/2011 4/25/2011 19,152,944
4/25/2011 5/25/2011 18,654,195
5/25/2011 6/25/2011 18,169,723
6/25/2011 7/25/2011 17,699,296
7/25/2011 8/25/2011 17,242,685
8/25/2011 9/25/2011 16,799,663
9/25/2011 10/25/2011 16,370,009
10/25/2011 11/25/2011 15,953,502
11/25/2011 12/25/2011 15,549,928
12/25/2011 1/25/2012 15,159,073
1/25/2012 2/25/2012 14,780,727
2/25/2012 3/25/2012 14,414,683
3/25/2012 4/25/2012 14,182,591
4/25/2012 5/25/2012 13,961,739
5/25/2012 6/25/2012 13,751,931
6/25/2012 7/25/2012 13,552,975
7/25/2012 8/25/2012 13,364,683
8/25/2012 9/25/2012 13,186,869
9/25/2012 10/25/2012 13,019,348
10/25/2012 11/25/2012 12,861,940
11/25/2012 12/25/2012 12,714,467
12/25/2012 1/25/2013 12,576,753
1/25/2013 2/25/2013 12,448,625
2/25/2013 3/25/2013 12,329,913
3/25/2013 4/25/2013 12,256,384
4/25/2013 5/25/2013 12,191,385
5/25/2013 6/25/2013 12,134,756
6/25/2013 7/25/2013 12,086,341
7/25/2013 8/25/2013 12,045,986
8/25/2013 9/25/2013 12,013,537
9/25/2013 10/25/2013 11,988,846
10/25/2013 11/25/2013 11,971,765
11/25/2013 12/25/2013 11,962,149
12/25/2013 1/25/2014 11,953,582
1/25/2014 2/25/2014 11,939,279
2/25/2014 3/25/2014 11,919,436
3/25/2014 4/25/2014 11,855,975
4/25/2014 5/25/2014 11,789,037
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 13 of 14
5/25/2014 6/25/2014 11,718,773
6/25/2014 7/25/2014 11,645,330
7/25/2014 8/25/2014 11,568,851
8/25/2014 9/25/2014 11,422,845
9/25/2014 10/25/2014 10,992,133
10/25/2014 11/25/2014 10,569,228
11/25/2014 12/25/2014 10,154,006
12/25/2014 1/25/2015 9,746,347
1/25/2015 2/25/2015 9,346,132
2/25/2015 3/25/2015 8,953,243
3/25/2015 4/25/2015 8,660,879
4/25/2015 5/25/2015 8,373,626
5/25/2015 6/25/2015 8,091,404
6/25/2015 7/25/2015 7,814,131
7/25/2015 8/25/2015 7,541,728
8/25/2015 9/25/2015 7,274,114
9/25/2015 10/25/2015 7,011,214
10/25/2015 11/25/2015 6,752,950
11/25/2015 12/25/2015 6,499,248
12/25/2015 1/25/2016 6,250,033
1/25/2016 2/25/2016 6,005,233
2/25/2016 3/25/2016 5,764,776
3/25/2016 4/25/2016 5,604,683
4/25/2016 5/25/2016 5,446,803
5/25/2016 6/25/2016 5,291,106
6/25/2016 7/25/2016 5,137,562
7/25/2016 8/25/2016 4,986,141
8/25/2016 9/25/2016 4,836,814
9/25/2016 10/25/2016 4,689,552
10/25/2016 11/25/2016 4,544,327
11/25/2016 12/25/2016 4,401,110
12/25/2016 1/25/2017 4,259,874
1/25/2017 2/25/2017 4,120,592
2/25/2017 3/25/2017 3,982,710
3/25/2017 4/25/2017 3,846,739
4/25/2017 5/25/2017 3,712,654
5/25/2017 6/25/2017 3,580,428
6/25/2017 7/25/2017 3,450,035
7/25/2017 8/25/2017 3,321,450
8/25/2017 9/25/2017 3,194,648
9/25/2017 10/25/2017 3,069,605
10/25/2017 11/25/2017 2,946,296
11/25/2017 12/25/2017 2,824,697
12/25/2017 1/25/2018 2,704,785
1/25/2018 2/25/2018 2,586,536
2/25/2018 3/25/2018 2,469,927
Reference Number: FXNEC9253
Citibank, N.A., New York
February 26, 2007
Page 14 of 14
3/25/2018 4/25/2018 2,354,936
4/25/2018 5/25/2018 2,241,540
5/25/2018 6/25/2018 2,129,717
6/25/2018 7/25/2018 2,019,445
7/25/2018 8/25/2018 1,910,703
8/25/2018 9/25/2018 1,803,470
9/25/2018 10/25/2018 1,697,725
10/25/2018 11/25/2018 1,593,447
11/25/2018 12/25/2018 1,490,616
12/25/2018 1/25/2019 1,389,212
1/25/2019 2/25/2019 1,289,214
2/25/2019 3/25/2019 1,190,605
3/25/2019 4/25/2019 1,093,363
4/25/2019 5/25/2019 997,471
5/25/2019 6/25/2019 902,910
6/25/2019 7/25/2019 809,660
7/25/2019 8/25/2019 717,705
8/25/2019 9/25/2019 627,026
9/25/2019 10/25/2019 537,604
10/25/2019 11/25/2019 449,424
11/25/2019 12/25/2019 362,467
12/25/2019 1/25/2020 276,717
1/25/2020 2/25/2020 192,156
2/25/2020 3/25/2020 108,769
3/25/2020 Termination Date 26,539