EXHIBIT 99.4
------------
The Credit Support Annex
ANNEX A
ISDA(R)
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA Master Agreement
dated as of April 27, 2007 between
Credit Suisse International (hereinafter referred to as "Party A" or "Pledgor")
and
Deutsche Bank National Trust Company, not individually, but solely as
supplemental interest trustee (the "Supplemental Interest Trustee") of the
supplemental interest trust (the "Supplemental Interest Trust") created under
the Pooling and Servicing Agreement for IndyMac INDX Mortgage Loan Trust
2007-FLX3, Mortgage Pass-Through Certificates, Series 2007-FLX3
(hereinafter referred to as "Party B" or "Secured Party").
For the avoidance of doubt, and notwithstanding anything to the contrary that
may be contained in the Agreement, this Credit Support Annex shall relate solely
to the Transaction documented in the Confirmation dated April 27, 2007, between
Party A and Party B, External ID Number 53220438N.
Paragraph 13. Elections and Variables.
(a) Security Interest for "Obligations". The term "Obligations" as used in
this Annex includes the following additional obligations:
With respect to Party A: not applicable.
With respect to Party B: not applicable.
(b) Credit Support Obligations.
(i) Delivery Amount, Return Amount and Credit Support Amount.
(A) "Delivery Amount" has the meaning specified in
Paragraph 3(a) as amended (I) by deleting the words
"upon a demand made by the Secured Party on or
promptly following a Valuation Date" and inserting in
lieu thereof the words "not later than the close of
business on each Valuation Date" and (II) by deleting
in its entirety 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." and
inserting in lieu thereof 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,
(2) the amount by which (a) the Xxxxx'x First
Trigger Credit Support Amount for such
Valuation Date exceeds (b) the Xxxxx'x First
Trigger Value as of such Valuation Date of
all Posted Credit Support held by the
Secured Party, and
INDX 2007-FLX3 - CSA
(3) the amount by which (a) the Xxxxx'x Second
Trigger Credit Support Amount for such
Valuation Date exceeds (b) the Xxxxx'x
Second Trigger Value as of such Valuation
Date of all Posted Credit Support held by
the Secured Party.
(B) "Return Amount" has the meaning specified in
Paragraph 3(b) as amended by deleting in its entirety
the sentence beginning "Unless otherwise specified in
Paragraph 13" and ending "(ii) the Credit Support
Amount." and inserting in lieu thereof 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,
(2) the amount by which (a) the Xxxxx'x First
Trigger Value as of such Valuation Date of
all Posted Credit Support held by the
Secured Party exceeds (b) the Xxxxx'x First
Trigger Credit Support Amount for such
Valuation Date, and
(3) the amount by which (a) the Xxxxx'x Second
Trigger Value as of such Valuation Date of
all Posted Credit Support held by the
Secured Party exceeds (b) the Xxxxx'x Second
Trigger Credit Support Amount for such
Valuation Date.
(C) "Credit Support Amount" shall not apply. For purposes
of calculating any Delivery Amount or Return Amount
for any Valuation Date, reference shall be made to
the S&P Credit Support Amount, the Xxxxx'x First
Trigger Credit Support Amount, or the Xxxxx'x Second
Trigger Credit Support Amount, in each case for such
Valuation Date, as provided in Paragraphs 13(b)(i)(A)
and 13(b)(i)(B), above.
(ii) Eligible Collateral.
On any date, the following items will qualify as "Eligible
Collateral" (for the avoidance of doubt, all Eligible
Collateral to be denominated in USD):
INDX 2007-FLX3 - CSA 2
Xxxxx'x Xxxxx'x
S&P/ First Trigger Second Trigger
Valuation Valuation Valuation
Collateral Percentage Percentage Percentage
----------- ---------- ---------- ----------
(A) Cash 100% 100% 100%
(B) Fixed-rate negotiable debt obligations
issued by the U.S. Treasury Department having
a remaining maturity on such date of not more 98.5% 100% 100%
than one year
(C) Fixed-rate negotiable debt obligations issued
by the U.S. Treasury Department having
a remaining maturity on such date of more 89.9% 100% 94%
than one year but not more than ten years
(D) Fixed-rate negotiable debt obligations issued
by the U.S. Treasury Department having a
remaining maturity on such date of more 83.9% 100% 87%
than ten years
(iii) Other Eligible Support.
The following items will qualify as "Other Eligible Support"
for the party specified:
Not applicable.
(iv) Threshold.
(A) "Independent Amount" means zero with respect to Party
A and Party B.
(B) "Threshold" means, with respect to Party A and any
Valuation Date, zero if (i) a Collateral Event has
occurred and has been continuing (x) for at least 30
days or (y) since this Annex was executed, or (ii) a
Required Ratings Downgrade Event has occurred and is
continuing; otherwise, infinity.
"Threshold" means, with respect to Party B and any
Valuation Date, infinity.
(C) "Minimum Transfer Amount" means USD 100,000 with
respect to Party A and Party B; provided, however,
that if the aggregate Certificate Principal Balance
of any Certificates and the aggregate principal
balance of any Notes rated by S&P is at the time of
any transfer less than USD 50,000,000, the "Minimum
Transfer Amount" shall be USD 50,000.
INDX 2007-FLX3 - CSA 3
(D) 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 10,000.
(c) Valuation and Timing.
(i) "Valuation Agent" means Party A. All calculations by the
Valuation Agent must be made in accordance with standard
market practice, including, in the event of a dispute as to
the Value of any Eligible Credit Support or Posted Credit
Support, by making reference to quotations received by the
Valuation Agent from one or more Pricing Sources.
(ii) "Valuation Date" means each Local Business Day on which any of
the S&P Credit Support Amount, the Xxxxx'x First Trigger
Credit Support Amount or the Xxxxx'x Second Trigger Credit
Support Amount is greater than zero.
(iii) "Valuation Time" means the close of business in the city of
the Valuation Agent on the Local Business Day immediately
preceding the Valuation Date or date of calculation, as
applicable; provided that the calculations of Value and
Exposure will be made as of approximately the same time on the
same date. The Valuation Agent will notify each party (or the
other party, if the Valuation Agent is a party) of its
calculations not later than the Notification Time on the
applicable Valuation Date (or in the case of Paragraph 6(d),
the Local Business Day following the day on which such
relevant calculations are performed)."
(iv) "Notification Time" means 11:00 a.m., New York 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 Party A (or, to the extent
applicable, its Credit Support Provider) does not have a
long-term unsubordinated and unsecured debt rating of at least
"BBB+" from S&P, the Valuation Agent shall (A) calculate the
Secured Party's Exposure and the S&P Value of Posted Credit
Support 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 calendar
month two external marks for each Transaction to which this
Annex relates and for all Posted Credit Support; such
verification of the Secured Party's Exposure shall be based on
the higher of the two external marks. Each external xxxx 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 the absence of the current
derivative provider, provided that an external xxxx xxx not be
obtained from the same Reference Market-maker more than four
times in any 12-month 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 calendar
month referred to above shall be considered a Valuation Date)
the Secured Party's Exposure based on the greater of the
Valuation Agent's internal marks and the external marks
received. If the S&P Value on any such Valuation Date of all
Posted Credit Support then held by the Secured Party is less
than the S&P Credit Support Amount on such Valuation Date (in
each case as determined pursuant to this paragraph), Party A
shall, within three Local Business Days of such Valuation
Date, Transfer to the Secured Party Eligible Credit Support
having an S&P Value as of the date of Transfer at least equal
to such deficiency.
(vi) Notice to S&P. At any time at which Party A (or, to the extent
applicable, its Credit Support Provider) does not have a
long-term unsubordinated and unsecured debt rating of at least
"BBB+" from S&P, the Valuation Agent shall provide to S&P not
later than the Notification Time on the Local Business Day
following each Valuation Date its calculations of the Secured
Party's
INDX 2007-FLX3 - CSA 4
Exposure and the S&P Value of any Eligible Credit Support or
Posted Credit Support for that Valuation Date. The Valuation
Agent shall also provide to S&P any external marks received
pursuant to the preceding paragraph.
(d) Conditions Precedent and Secured Party's Rights and Remedies. The
following Termination Events will be a "Specified Condition" for the
party specified (that party being the Affected Party if the Termination
Event occurs with respect to that party): With respect to Party A: any
Additional Termination Event with respect to which Party A is the sole
Affected Party. With respect to Party B: None.
(e) Substitution.
(i) "Substitution Date" has the meaning specified in Paragraph
4(d)(ii).
(ii) Consent. If specified here as applicable, then the Pledgor
must obtain the Secured Party's consent for any substitution
pursuant to Paragraph 4(d): Inapplicable.
(f) Dispute Resolution.
(i) "Resolution Time" means 1:00 p.m. New York time on the Local
Business Day following the date on which the notice of the
dispute is given under Paragraph 5.
(ii) Value. Notwithstanding anything to the contrary in Paragraph
12, for the purpose of Paragraphs 5(i)(C) and 5(ii), the S&P
Value, Xxxxx'x First Trigger Value, and Xxxxx'x Second Trigger
Value, on any date, of Eligible Collateral other than Cash
will be calculated as follows:
For Eligible Collateral in the form of securities listed in
Paragraph 13(b)(ii): the sum of (A) the product of (1)(x) the
bid price at the Valuation Time for such securities on the
principal national securities exchange on which such
securities are listed, or (y) if such securities are not
listed on a national securities exchange, the bid price for
such securities quoted at the Valuation Time by any principal
market maker for such securities selected by the Valuation
Agent, or (z) if no such bid price is listed or quoted for
such date, the bid price listed or quoted (as the case may be)
at the Valuation Time for the day next preceding such date on
which such prices were available and (2) the applicable
Valuation Percentage for such Eligible Collateral, and (B) the
accrued interest on such securities (except to the extent
Transferred to the Pledgor pursuant to Paragraph 6(d)(ii) or
included in the applicable price referred to in the
immediately preceding clause (A)) as of such date.
(iii) Alternative. The provisions of Paragraph 5 will apply.
(g) Holding and Using Posted Collateral.
(i) Eligibility to Hold Posted Collateral; Custodians. Party B (or
any Custodian) will be entitled to hold Posted Collateral
pursuant to Paragraph 6(b).
Party B may appoint as Custodian (A) the entity then serving
as Supplemental Interest Trustee or (B) any entity other than
the entity then serving as Supplemental Interest Trustee if
such other entity (or, to the extent applicable, its parent
company or credit support provider) shall then have a
short-term unsecured and unsubordinated debt rating from S&P
of at least "A-1."
Initially, the Custodian for Party B is: The Supplemental
Interest Trustee.
INDX 2007-FLX3 - CSA 5
(ii) Use of Posted Collateral. The provisions of Paragraph 6(c)(i)
will not apply to Party B, but the provisions of Paragraph
6(c)(ii) will apply to Party B.
(h) Distributions and Interest Amount.
(i) Interest Rate. The "Interest Rate" will be the actual interest
rate earned on Posted Collateral in the form of Cash that is
held by Party B or its Custodian. Posted Collateral in the
form of Cash shall be invested in such overnight (or
redeemable within two Local Business Days of demand) Permitted
Investments rated at least (x) AAAm or AAAm-G by S&P and (y)
Prime-1 by Xxxxx'x or Aaa by Xxxxx'x, as directed by Party A
(unless (x) an Event of Default or an Additional Termination
Event has occurred with respect to which Party A is the
defaulting or sole Affected Party or (y) an Early Termination
Date has been designated, in which case such Posted Collateral
shall be held uninvested). Gains and losses incurred in
respect of any investment of Posted Collateral in the form of
Cash in Permitted Investments as directed by Party A shall be
for the account of Party A.
(ii) Transfer of Interest Amount. The Transfer of the Interest
Amount will be made on the second Local Business Day following
the end of each calendar month and on any other Local Business
Day on which Posted Collateral in the form of Cash is
Transferred to the Pledgor pursuant to Paragraph 3(b);
provided, however, that the obligation of Party B to Transfer
any Interest Amount to Party A shall be limited to the extent
that Party B has earned and received such funds and such funds
are available to Party B.
(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) Other Eligible Support and Other Posted Support.
(i) "Value" with respect to Other Eligible Support and Other
Posted Support means: not applicable.
(ii) "Transfer" with respect to Other Eligible Support and Other
Posted Support means: not applicable.
(k) Demands and Notices.All demands, specifications and notices under this
Annex will be made pursuant to the Notices Section of this Agreement,
except that any demand, specification or notice shall be given to or
made at the following addresses, 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:
Address: One Xxxxx Xxxxxx
Xxxxxx X00 0XX
Xxxxxxx
Telephone: 00 00 0000 0000
Facsimile: 44 20 7883 7987
Attention: Collateral Management Unit
If to Party B, as set forth in Part 4(a) of the Schedule.
(l) Address for Transfers. Each Transfer hereunder shall be made to an
address specified in writing from time to time by the party to which
such Transfer will be made.
INDX 2007-FLX3 - CSA 6
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.
(m) Other Provisions.
(i) Collateral Account. Party B shall open and maintain a
segregated account, which shall be an Eligible Account, and
hold, record and identify all Posted Collateral in such
segregated account.
(ii) Agreement as to Single Secured Party and Single Pledgor. Party
A and Party B hereby agree that, notwithstanding anything to
the contrary in this Annex, (a) the term "Secured Party" as
used in this Annex means only Party B, (b) the term "Pledgor"
as used in this Annex means only Party A, (c) only Party A
makes the pledge and grant in Paragraph 2, the acknowledgement
in the final sentence of Paragraph 8(a) and the
representations in Paragraph 9.
(iii) Calculation of Value. Paragraph 4(c) is hereby amended by
deleting the word "Value" and inserting in lieu thereof "S&P
Value, Xxxxx'x First Trigger Value, Xxxxx'x Second Trigger
Value". Paragraph 4(d)(ii) is hereby amended by (A) deleting
the words "a Value" and inserting in lieu thereof "an S&P
Value, Xxxxx'x First Trigger Value, and Xxxxx'x Second Trigger
Value" and (B) deleting the words "the Value" and inserting in
lieu thereof "S&P Value, Xxxxx'x First Trigger Value, and
Xxxxx'x Second Trigger Value". Paragraph 5 (flush language) is
hereby amended by deleting the word "Value" and inserting in
lieu thereof "S&P Value, Xxxxx'x First Trigger Value, or
Xxxxx'x Second Trigger Value". Paragraph 5(i) (flush language)
is hereby amended by deleting the word "Value" and inserting
in lieu thereof "S&P Value, Xxxxx'x First Trigger Value, and
Xxxxx'x Second Trigger 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, Xxxxx'x First
Trigger Value, or Xxxxx'x Second Trigger 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, Xxxxx'x First
Trigger Value, or Xxxxx'x Second Trigger Value" and (2)
deleting the second instance of the words "the Value" and
inserting in lieu thereof "such disputed S&P Value, Xxxxx'x
First Trigger Value, or Xxxxx'x Second Trigger 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, Xxxxx'x First Trigger Value, and Xxxxx'x
Second Trigger Value".
(iv) Form of Annex. Party A and Party B hereby agree that the text
of Paragraphs 1 through 12, inclusive, of this Annex is
intended to be the printed form of ISDA Credit Support Annex
(Bilateral Form - ISDA Agreements Subject to New York Law Only
version) as published and copyrighted in 1994 by the
International Swaps and Derivatives Association, Inc.
(v) 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) a Required Ratings Downgrade Event has occurred
and been continuing for 30 or more Local Business Days, and
(B) such failure is not remedied on or before the third Local
Business Day after notice of such failure is given to Party A.
INDX 2007-FLX3 - CSA 7
(vi) Expenses. Notwithstanding anything to the contrary in
Paragraph 10, the Pledgor will be responsible for, and will
reimburse the Secured Party for, all transfer and other taxes
and other costs involved in any Transfer of Eligible
Collateral.
(vii) Withholding. Paragraph 6(d)(ii) is hereby amended by inserting
immediately after "the Interest Amount" in the fourth line
thereof the words "less any applicable withholding taxes."
(viii) Additional Definitions. As used in this Annex:
"Collateral Event" means that no Relevant Entity has credit
ratings at least equal to the Approved Ratings Threshold.
"Exposure" has the meaning specified in Paragraph 12, except
that after the word "Agreement" the words "(assuming, for this
purpose only, that Part 1(f) of the Schedule is deleted)"
shall be inserted.
"Local Business Day" means, for purposes of this Annex: any
day on which (A) commercial banks are open for business
(including dealings in foreign exchange and foreign currency
deposits) in New York and the location of Party A, Party B and
any Custodian, and (B) in relation to a Transfer of Eligible
Collateral, any 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 in foreign exchange and foreign deposits) in New York
and the location of Party A, Party B and any Custodian.
"Xxxxx'x First Trigger Credit Support Amount" means, for any
Valuation Date, the excess, if any, of
(I) (A) for any Valuation Date on which (I) a
Xxxxx'x First Trigger Ratings Event has
occurred and has been continuing (x) for at
least 30 Local Business Days or (y) since
this Annex was executed and (II) it is not
the case that a Xxxxx'x Second Trigger
Ratings Event has occurred and been
continuing for at least 30 Local Business
Days, an amount equal to the greater of (a)
zero and (b) the sum of (i) the Secured
Party's Exposure for such Valuation Date and
(ii) the sum, for each Transaction to which
this Annex relates, of the product of (i)
the applicable Xxxxx'x First Trigger Factor
set forth in Table 1, (ii) 250 and (iii) the
Notional Amount for such Transaction for the
Calculation Period for such Transaction
(each as defined in the related
Confirmation) which includes such Valuation
Date; or
(B) for any other Valuation Date, zero, over
(II) the Threshold for Party A such Valuation Date.
"Xxxxx'x First Trigger Value" means, on any date and with
respect to any Eligible Collateral other than Cash, the bid
price obtained by the Valuation Agent multiplied by the
Xxxxx'x First Trigger Valuation Percentage for such Eligible
Collateral set forth in Paragraph 13(b)(ii).
INDX 2007-FLX3 - CSA 8
"Xxxxx'x Second Trigger Credit Support Amount" means, for any
Valuation Date, the excess, if any, of
(I) (A) for any Valuation Date on which it is the
case that a Xxxxx'x Second Trigger Ratings
Event has occurred and been continuing for
at least 30 Local Business Days, an amount
equal to the greatest of (a) zero and (b)
the aggregate amount of the Next Payments
for all Next Payment Dates, and (c) the sum
of (x) the Secured Party's Exposure for such
Valuation Date and (y) the sum, for each
Transaction to which this Annex relates, of
(1) if such Transaction is not a
Transaction-Specific Hedge, the product of
(i) the applicable Xxxxx'x Second Trigger
Factor set forth in Table 2, (ii) 250 and
(iii) the Notional Amount for such
Transaction for the Calculation Period for
such Transaction (each as defined in the
related Confirmation) which includes such
Valuation Date; or
(2) if such Transaction is a
Transaction-Specific Hedge, the product of
(i) the applicable Xxxxx'x Second Trigger
Factor set forth in Table 3, (ii) 250 and
(iii) the Notional Amount for such
Transaction for the Calculation Period for
such Transaction (each as defined in the
related Confirmation) which includes such
Valuation Date; or
(B) for any other Valuation Date, zero, over
(II) the Threshold for Party A for such Valuation Date.
"Xxxxx'x Second Trigger Value" means, on any date and with
respect to any Eligible Collateral other than Cash, the bid
price obtained by the Valuation Agent multiplied by the
Xxxxx'x Second Trigger Valuation Percentage for such Eligible
Collateral set forth in Paragraph 13(b)(ii).
"Next Payment" means, in respect of each Next Payment Date,
the greater of (i) the amount of any payments due to be made
by Party A under Section 2(a) on such Next Payment Date less
any payments due to be made by Party B under Section 2(a) on
such Next Payment Date (in each case, after giving effect to
any applicable netting under Section 2(c)) and (ii) zero.
"Next Payment Date" means each date on which the next
scheduled payment under any Transaction is due to be paid.
"Pricing Sources" means the sources of financial information
commonly known as Bloomberg, Bridge Information Services, Data
Resources Inc., Interactive Data Services, International
Securities Market Association, Xxxxxxx Xxxxx Securities
Pricing Service, Xxxxxx Data Corporation, Reuters, Wood Gundy,
Trepp Pricing, XX Xxxxx, S&P and Telerate.
"Remaining Weighted Average Maturity" means, with respect to a
Transaction, the expected weighted average maturity for such
Transaction as determined by the Valuation Agent.
"S&P Approved Ratings Downgrade Event" means that no Relevant
Entity has credit ratings at least equal to the S&P Approved
Ratings Threshold.
"S&P Credit Support Amount" means, for any Valuation Date, the
excess, if any, of
INDX 2007-FLX3 - CSA 9
(I) (A) for any Valuation Date on which (i) a S&P
Approved Ratings Downgrade Event has
occurred and been continuing for at least 30
days, or (ii) a S&P Required Ratings
Downgrade Event has occurred and is
continuing, an amount equal to the sum of
(1) 100.0% of the Secured Party's Exposure
for such Valuation Date and (2) the sum, for
each Transaction to which this Annex
relates, of the product of (i) 250, (ii) the
Volatility Buffer for such Transaction and
(iii) the Notional Amount of such
Transaction for the Calculation Period of
such Transaction (each as defined in the
related Confirmation) which includes such
Valuation Date, or
(B) for any other Valuation Date, zero, over
(II) the Threshold for Party A for such Valuation Date.
"S&P Required Ratings Downgrade Event" means that no Relevant
Entity has credit ratings at least equal to the S&P Required
Ratings Threshold.
"S&P Value" means, on any date and with respect to any
Eligible Collateral other than Cash, the product of (A) the
bid price obtained by the Valuation Agent for such Eligible
Collateral and (B) the S&P Valuation Percentage for such
Eligible Collateral set forth in paragraph 13(b)(ii).
"Transaction Exposure" means, for any Transaction, Exposure
determined as if such Transaction were the only Transaction
between the Secured Party and the Pledgor.
"Transaction-Specific Hedge" means any Transaction that is (i)
an interest rate swap in respect of which (x) the notional
amount of the interest rate swap is "balance guaranteed" or
(y) the notional amount of the interest rate swap for any
Calculation Period (as defined in the related Confirmation)
otherwise is not a specific dollar amount that is fixed at the
inception of the Transaction, (ii) an interest rate cap, (iii)
an interest rate floor or (iv) an interest rate swaption.
"Valuation Percentage" shall mean, for purposes of determining
the S&P Value, Xxxxx'x First Trigger Value, or Xxxxx'x Second
Trigger Value with respect to any Eligible Collateral or
Posted Collateral, the applicable S&P Valuation Percentage,
Xxxxx'x First Trigger Valuation Percentage, or Xxxxx'x Second
Trigger Valuation Percentage for such Eligible Collateral or
Posted Collateral, respectively, in each case as set forth in
Paragraph 13(b)(ii).
"Value" shall mean, in respect of any date, the related S&P
Value, the related Xxxxx'x First Trigger Value, and the
related Xxxxx'x Second Trigger Value.
"Volatility Buffer" means, for any Transaction, the related
percentage set forth in the following table.
------------------------------ -------------- --------------- --------------- ----------------
The higher of the S&P Remaining Remaining Remaining Remaining
credit rating of (i) Party A Weighted Weighted Weighted Weighted
and (ii) the Credit Support Average Average Average Average
Provider of Party A, if Maturity of Maturity of Maturity of Maturity of
applicable such such such such
Transaction Transaction Transaction Transaction
up to 3 years up to 5 years up to 10 years up to 30 years
------------------------------ -------------- --------------- --------------- ----------------
"A-2" or higher 2.75% 3.25% 4.00% 4.75%
------------------------------ -------------- --------------- --------------- ----------------
INDX 2007-FLX3 - CSA 10
------------------------------ -------------- --------------- --------------- ----------------
"A-3" 3.25% 4.00% 5.00% 6.25%
------------------------------ -------------- --------------- --------------- ----------------
"BB+" or lower 3.50% 4.50% 6.75% 7.50%
------------------------------ -------------- --------------- --------------- ----------------
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INDX 2007-FLX3 - CSA 11
Table 1
-------
Xxxxx'x First Trigger Factor
----------------------------
------------------------------------------ ----------------------------------
Remaining Daily
Weighted Average Life Collateral
of Hedge in Years Posting
------------------------------------------ ----------------------------------
1 or less 0.15%
------------------------------------------ ----------------------------------
More than 1 but not more than 2 0.30%
------------------------------------------ ----------------------------------
More than 2 but not more than 3 0.40%
------------------------------------------ ----------------------------------
More than 3 but not more than 4 0.60%
------------------------------------------ ----------------------------------
More than 4 but not more than 5 0.70%
------------------------------------------ ----------------------------------
More than 5 but not more than 6 0.80%
------------------------------------------ ----------------------------------
More than 6 but not more than 7 1.00%
------------------------------------------ ----------------------------------
More than 7 but not more than 8 1.10%
------------------------------------------ ----------------------------------
More than 8 but not more than 9 1.20%
------------------------------------------ ----------------------------------
More than 9 but not more than 10 1.30%
------------------------------------------ ----------------------------------
More than 10 but not more than 11 1.40%
------------------------------------------ ----------------------------------
More than 11 but not more than 12 1.50%
------------------------------------------ ----------------------------------
More than 12 but not more than 13 1.60%
------------------------------------------ ----------------------------------
More than 13 but not more than 14 1.70%
------------------------------------------ ----------------------------------
More than 14 but not more than 15 1.80%
------------------------------------------ ----------------------------------
More than 15 but not more than 16 1.90%
------------------------------------------ ----------------------------------
More than 16 but not more than 17 2.00%
------------------------------------------ ----------------------------------
More than 17 but not more than 18 2.00%
------------------------------------------ ----------------------------------
More than 18 but not more than 19 2.00%
------------------------------------------ ----------------------------------
More than 19 but not more than 20 2.00%
------------------------------------------ ----------------------------------
More than 20 but not more than 21 2.00%
------------------------------------------ ----------------------------------
More than 21 but not more than 22 2.00%
------------------------------------------ ----------------------------------
More than 22 but not more than 23 2.00%
------------------------------------------ ----------------------------------
More than 23 but not more than 24 2.00%
------------------------------------------ ----------------------------------
More than 24 but not more than 25 2.00%
------------------------------------------ ----------------------------------
More than 25 but not more than 26 2.00%
------------------------------------------ ----------------------------------
More than 26 but not more than 27 2.00%
------------------------------------------ ----------------------------------
More than 27 but not more than 28 2.00%
------------------------------------------ ----------------------------------
More than 28 but not more than 29 2.00%
------------------------------------------ ----------------------------------
More than 29 2.00%
------------------------------------------ ----------------------------------
INDX 2007-FLX3 - CSA 12
Table 2
-------
Xxxxx'x Second Trigger Factor for Interest Rate Swaps with Fixed
Notional Amounts
----------------------------------------------------------------
--------------------------------------- ---------------------------------
Remaining Daily
Weighted Average Life Collateral
of Hedge in Years Posting
--------------------------------------- ---------------------------------
1 or less 0.50%
--------------------------------------- ---------------------------------
More than 1 but not more than 2 1.00%
--------------------------------------- ---------------------------------
More than 2 but not more than 3 1.50%
--------------------------------------- ---------------------------------
More than 3 but not more than 4 1.90%
--------------------------------------- ---------------------------------
More than 4 but not more than 5 2.40%
--------------------------------------- ---------------------------------
More than 5 but not more than 6 2.80%
--------------------------------------- ---------------------------------
More than 6 but not more than 7 3.20%
--------------------------------------- ---------------------------------
More than 7 but not more than 8 3.60%
--------------------------------------- ---------------------------------
More than 8 but not more than 9 4.00%
--------------------------------------- ---------------------------------
More than 9 but not more than 10 4.40%
--------------------------------------- ---------------------------------
More than 10 but not more than 11 4.70%
--------------------------------------- ---------------------------------
More than 11 but not more than 12 5.00%
--------------------------------------- ---------------------------------
More than 12 but not more than 13 5.40%
--------------------------------------- ---------------------------------
More than 13 but not more than 14 5.70%
--------------------------------------- ---------------------------------
More than 14 but not more than 15 6.00%
--------------------------------------- ---------------------------------
More than 15 but not more than 16 6.30%
--------------------------------------- ---------------------------------
More than 16 but not more than 17 6.60%
--------------------------------------- ---------------------------------
More than 17 but not more than 18 6.90%
--------------------------------------- ---------------------------------
More than 18 but not more than 19 7.20%
--------------------------------------- ---------------------------------
More than 19 but not more than 20 7.50%
--------------------------------------- ---------------------------------
More than 20 but not more than 21 7.80%
--------------------------------------- ---------------------------------
More than 21 but not more than 22 8.00%
--------------------------------------- ---------------------------------
More than 22 but not more than 23 8.00%
--------------------------------------- ---------------------------------
More than 23 but not more than 24 8.00%
--------------------------------------- ---------------------------------
More than 24 but not more than 25 8.00%
--------------------------------------- ---------------------------------
More than 25 but not more than 26 8.00%
--------------------------------------- ---------------------------------
More than 26 but not more than 27 8.00%
--------------------------------------- ---------------------------------
More than 27 but not more than 28 8.00%
--------------------------------------- ---------------------------------
More than 28 but not more than 29 8.00%
--------------------------------------- ---------------------------------
More than 29 8.00%
--------------------------------------- ---------------------------------
INDX 2007-FLX3 - CSA 13
Table 3
-------
Xxxxx'x Second Trigger Factor for Transaction-Specific Xxxxxx
-------------------------------------------------------------
----------------------------------------- --------------------------------
Remaining Daily
Weighted Average Life Collateral
of Hedge in Years Posting
----------------------------------------- --------------------------------
1 or less 0.65%
----------------------------------------- --------------------------------
More than 1 but not more than 2 1.30%
----------------------------------------- --------------------------------
More than 2 but not more than 3 1.90%
----------------------------------------- --------------------------------
More than 3 but not more than 4 2.50%
----------------------------------------- --------------------------------
More than 4 but not more than 5 3.10%
----------------------------------------- --------------------------------
More than 5 but not more than 6 3.60%
----------------------------------------- --------------------------------
More than 6 but not more than 7 4.20%
----------------------------------------- --------------------------------
More than 7 but not more than 8 4.70%
----------------------------------------- --------------------------------
More than 8 but not more than 9 5.20%
----------------------------------------- --------------------------------
More than 9 but not more than 10 5.70%
----------------------------------------- --------------------------------
More than 10 but not more than 11 6.10%
----------------------------------------- --------------------------------
More than 11 but not more than 12 6.50%
----------------------------------------- --------------------------------
More than 12 but not more than 13 7.00%
----------------------------------------- --------------------------------
More than 13 but not more than 14 7.40%
----------------------------------------- --------------------------------
More than 14 but not more than 15 7.80%
----------------------------------------- --------------------------------
More than 15 but not more than 16 8.20%
----------------------------------------- --------------------------------
More than 16 but not more than 17 8.60%
----------------------------------------- --------------------------------
More than 17 but not more than 18 9.00%
----------------------------------------- --------------------------------
More than 18 but not more than 19 9.40%
----------------------------------------- --------------------------------
More than 19 but not more than 20 9.70%
----------------------------------------- --------------------------------
More than 20 but not more than 21 10.00%
----------------------------------------- --------------------------------
More than 21 but not more than 22 10.00%
----------------------------------------- --------------------------------
More than 22 but not more than 23 10.00%
----------------------------------------- --------------------------------
More than 23 but not more than 24 10.00%
----------------------------------------- --------------------------------
More than 24 but not more than 25 10.00%
----------------------------------------- --------------------------------
More than 25 but not more than 26 10.00%
----------------------------------------- --------------------------------
More than 26 but not more than 27 10.00%
----------------------------------------- --------------------------------
More than 27 but not more than 28 10.00%
----------------------------------------- --------------------------------
More than 28 but not more than 29 10.00%
----------------------------------------- --------------------------------
More than 29 10.00%
----------------------------------------- --------------------------------
INDX 2007-FLX3 - CSA
IN WITNESS WHEREOF, the parties have executed this Annex by their duly
authorized representatives as of the date of the Agreement.
Deutsche Bank National Trust Company, not individually,
but solely as supplemental interest trustee of the
Credit Suisse International Supplemental Interest Trust created under the Pooling and
Servicing Agreement for IndyMac INDX Mortgage Loan Trust
2007-FLX3, Mortgage Pass-Through Certificates, Series
2007-FLX3
By: /s/ Xxxxxxx Xxxxxx By: /s/ Xxxxxx Xxxxx
------------------- ----------------
Name: Xxxxxxx Xxxxxx Name: Xxxxxx Xxxxx
Title: Authorized Signatory Title: Associate
By: /s/ Xxxxx X. Xxxxxxx
--------------------
Name: Xxxxx X. Xxxxxxx
Title: Authorized Signatory
INDX 2007-FLX3 - CSA
