ISDA® International Swaps and Derivatives Association, Inc. CREDIT SUPPORT ANNEX to the Schedule to the ISDA MASTER AGREEMENT dated as of December 19, 2006 between SWISS RE FINANCIAL PRODUCTS CORPORATION (“Party A”) and WELLS FARGO BANK, N.A., not...
ISDA®
International
Swaps and Derivatives Association, Inc.
CREDIT
SUPPORT ANNEX
to
the
Schedule to the
ISDA
MASTER AGREEMENT
dated
as
of December 19, 2006
between
SWISS
RE FINANCIAL PRODUCTS CORPORATION
(“Party
A”)
and
XXXXX
FARGO BANK, N.A., not individually but solely as trustee for Xxxxxxxxxx Mortgage
Loan Trust, Series 2006-NC5 with respect to the Xxxxxxxxxx Mortgage Loan Trust,
Series 2006-NC5 Asset-Backed Pass-Through Certificates
(“Party
B”)
This
Annex supplements, forms part of, and is subject to, the ISDA Master Agreement
referred to above (this “Agreement”), is part of its Schedule and is a Credit
Support Document under this Agreement with respect to Party A and, as to the
Return Amount, Party B.
Accordingly,
the parties agree as follows:
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(1)
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Paragraphs
1 - 12. Incorporation
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Paragraphs
1 through 12 inclusive of the ISDA Credit Support Annex (Bilateral Form) (ISDA
Agreements Subject to New York Law Only) published in 1994 by the International
Swaps and Derivatives Association, Inc. are incorporated herein by reference
and
made a part hereof:
Paragraph
13. Elections and Variables
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(a)
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Security
Interest for “Obligations”.
The term “Obligations”
as
used in this Annex includes no additional obligations of Secured
Party
and, for purposes of the definition of Obligations in Paragraph 12,
includes no additional obligations of
Pledgor.
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(b) Credit
Support Obligations.
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(i)
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Delivery
Amount, Return Amount and Credit Support
Amount.
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(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) with respect to S&P and Xxxxx’x, 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
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(1)
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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,
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(2)
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the
amount by which (a) the Xxxxx’x Credit Support Amount with respect to a
Xxxxx’x First Trigger Event, 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,
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(3)
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the
amount by which (a) the Xxxxx’x Credit Support Amount with respect to a
Xxxxx’x First Trigger Event 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,
and
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(4)
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the
amount by which (a) the Credit Support Amount with respect to Fitch
for
such Valuation Date exceeds (b) the Value with respect to Fitch as
of such
Valuation Date of all Posted Credit Support held by the Secured
Party.
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(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:
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(1)
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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,
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(2)
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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,
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(3)
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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.
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(4)
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the
amount by which (a) the Value as of such Valuation Date with respect
to
Fitch of all Posted Credit Support held by the Secured Party exceeds
(b)
the Credit Support Amount with respect to Fitch for such Valuation
Date.
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(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.
(D) “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).
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(ii)
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Eligible
Collateral.
The following items denominated in U.S. Dollars will qualify as
“Eligible
Collateral”:
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Valuation
Percentage:
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The
Xxxxx’x Credit Support Amount under Para 13(q)(1) below is greater than
zero
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The
Xxxxx’x Credit Support Amount under Para 13(q)(2) below is greater than
zero
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S&P
Valuation Percentage
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Fitch
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||
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(A)
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Cash:
US
Dollars in depository account form.
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100%
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100%
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100%
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100%
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(B)
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U.S.
Treasury Securities:
fixed rate negotiable debt obligations issued by the U.S. Treasury
Department (“Fixed Rate Treasuries”) having a remaining maturity of up to
and not more than 1 year.
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100%%
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100%
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98.6%
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99%
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(C)
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Fixed
Rate Treasuries having a remaining maturity of greater than 1 year
but not
more than 10 years.
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100%
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99%
(1-2yr)
98%
(2-3yr)
97%(3-5yr)
95%
(5-7yr)
94%
(7-10yr)
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97.3%
(1-2yr)
95.8%
(2-3yr)
93.8%(3-5yr)
91.4%
(5-7yr)
90.3%
(7-10yr
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98%
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(D)
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Fixed
Rate Treasuries having a remaining maturity of greater than 10
years
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100%
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89%(10-20yr)
87%
(>20yr)
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86.9%(10-20yr)
84.6%
(>20yr)
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97%
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(E)
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Agency
Securities:
Fixed rate negotiable debt obligations of the Federal National
Mortgage
Association (FNMA), Federal Home Loan Mortgage Corporation (FHLMC),
Federal Home Loan Banks (FHLB), Federal Farm Credit Banks (FFCB),
Student
Loan Marketing Association (SLMA), Tennessee Valley Authority (TVA)
(collectively, “Fixed Rate Agency Securities”) having a remaining maturity
of not more than 1 year.
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100%
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99%
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98%
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95%
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|
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(F)
|
Fixed
Rate Agency Securities having a remaining maturity of greater than
1 year
but not more than 5 years.
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100%
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98%
(1-2yr)
97%
(2-3 yr)
96%
(3-5yr)
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96.8%
(1-2yr)
96.3%
(2-3 yr)
92.5%
(3-5yr)
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92%
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(G)
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Fixed
Rate Agency Securities having a remaining maturity of greater than
5 years
but not more than 10 years.
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100%
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94%
(5-7 yr)
93%
(7-10 yr)
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90.3%
(5-7 yr)
86.9%
(7-10 yr)
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88%
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(H)
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Fixed
Rate Agency Securities having a remaining maturity of greater than
10
years but not more than 20 years.
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100%
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88%
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81.6%
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82%
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Valuation
Percentage:
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The
Xxxxx’x Credit Support Amount under Para 13(q)(1) below is greater than
zero
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The
Xxxxx’x Credit Support Amount under Para 13(q)(2) below is greater than
zero
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S&P
Valuation Percentage
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Fitch
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||
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(I)
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Fixed
Rate Agency Securities having a remaining maturity of greater than
20
years but not more than 30 years.
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100%
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86%
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77.9%
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82%
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(J)
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FHLMC
Certificates.
Mortgage participation certificates issued by FHLMC evidencing
undivided
interests or participations in pools of first lien conventional
or FHA/VA
residential mortgages or deeds of trust, guaranteed by FHLMC, and
having a
remaining maturity of not more than 30 years.
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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86.4%
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82%
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(K)
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FNMA
Certificates. Mortgage-backed
pass-through certificates issued by FNMA evidencing undivided interests
in
pools of first lien mortgages or deeds of trust on residential
properties,
guaranteed by FNMA, having a remaining maturity of not more than
30
years.
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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86.4%
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82%
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(L)
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GNMA
Certificates.
Mortgage-backed pass-through certificates issued by private entities,
evidencing undivided interests in pools of first lien mortgages
or deeds
of trust on single family residences, guaranteed by the Government
National Mortgage Association (GNMA) with the full faith and credit
of the
United States, and having a remaining maturity of not more than
30
years.
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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86.4%
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82%
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(M)
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Commercial
Paper.
Commercial Paper with a rating of at least P-1 by Xxxxx’x, at least F-1 by
Fitch and at least A-1+ by S&P and having a remaining maturity of not
more than 30 days.
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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99%
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99%
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(N)
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Other.
Other
items of Credit Support approved by each applicable rating agency
with
such valuation percentages as determined by each applicable rating
agency.
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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0%
(or such other amount subject to Xxxxx’x rating affirmation in respect of
the rated notes)
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%
to be determined
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%
to be determined
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(iii)
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Other
Eligible Support.
Not applicable.
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(iv)
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Thresholds.
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(A)
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“Independent
Amount” means
for Pledgor: zero.
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“Independent
Amount” means
for
Secured Party: zero
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(B)
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“Threshold”
means, (1) with respect to Pledgor, infinity; provided that for so
long as
no Relevant Entity has the Xxxxx’x First Trigger Required Ratings and
either (i) no Relevant Entity has had the Xxxxx’x First Trigger Required
Ratings since this Annex was executed or (ii) at least 30 Local Business
Days have elapsed since the last time a Relevant Entity had the Xxxxx’x
First Trigger Required Ratings, the Threshold with respect to Party
A
shall be zero; further, provided, if a Ratings Event (as described
in Part
5(f) of the Schedule) has occurred and is continuing pursuant to
Part 5(f)
of the Agreement, the threshold shall be zero in the event (i) Party
A
fails to assign all of its rights and obligations under the Agreement
on
or before the thirtieth (30) day after the date of a Ratings Event
(as
described in Part 5(f) of the Schedule) continues to exist or (ii)
a
S&P Required Ratings Downgrade Event has occurred and is continuing
and (2) with respect to Party B and any Valuation Date, infinity.
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(C)
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“Minimum
Transfer Amount” means
USD 100,000 with respect to Party A and Party B; provided, however,
that
if the aggregate Certificate Principal Balance and note principal
balance
of Certificates and Notes rated by S&P ceases to be more than USD
50,000,000, the “Minimum
Transfer Amount”
shall be USD 50,000.
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(D)
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Rounding:
The Delivery Amount will be rounded up to the nearest integral multiple
of
$1,000, and the Return Amount will be rounded down to the nearest
integral
multiple of $1,000.
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(c)
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Valuation
and Timing.
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(i)
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“Valuation
Agent”
means Party A; provided,
however,
that if an Event of Default shall have occurred with respect to which
Party A is the Defaulting Party, Party B shall have the right to
designate
as Valuation Agent an independent party, reasonably acceptable to
Party A,
the cost for which shall be borne by 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.
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(ii)
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“Valuation
Date”
means the first Local Business Day of each
week.
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(iii)
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“Valuation
Time” means
the close of business in the city in which the Valuation Agent is
located
on the Local Business Day before 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.
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(iv)
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“Notification
Time”
means 10:00 a.m., New York time, on a Local Business
Day.
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(v)
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“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.
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(vi)
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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 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.
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(d)
|
Conditions
Precedent and Secured Party’s Rights and
Remedies.
No
Specified Conditions apply.
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(e)
|
Substitution.
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(i)
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“Substitution
Date” has
the meaning specified in Paragraph
4(d)(ii).
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(ii)
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Consent.
The Pledgor is not required to obtain the Secured Party’s consent for any
substitution pursuant to Paragraph
4(d).
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(f)
|
Dispute
Resolution.
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(i)
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“Resolution
Time”
means 1:00 p.m., New York time, on the Local Business Day following
the
date on which the notice is given that gives rise to a dispute under
Paragraph 5.
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(ii)
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Value.
For the purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Posted
Credit Support other than Cash will be calculated based upon the
mid-point
between the bid and offered purchase rates or prices for that Posted
Credit Support as reported on the Bloomberg electronic service as
of the
Resolution Time, or if unavailable, as quoted to the Valuation Agent
as of
the Resolution Time by a dealer in that Posted Credit Support of
recognized standing selected in good faith by the Valuation Agent,
which
calculation shall include any unpaid interest on that Posted Credit
Support to the extent it is the established practice in the relevant
market.
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(iii) Alternative.
The
provisions of Paragraph 5 will apply.
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(g)
|
Holding
and Using Posted
Collateral.
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(i)
|
Eligibility
to Hold Posted Collateral; Custodians.
Secured Party will not be entitled to hold Posted Collateral itself,
and
instead the Secured Party will be entitled to hold Posted Collateral
through the Trustee which Posted Collateral (i) shall not be commingled
or
used with any other asset held by the Trustee but shall be held in
a
separate account for this purpose only and (ii) shall not be transferred
to any other person or entity but Party A pursuant to the provisions
herein except (x) in any case contemplated by Paragraph 8(a) of this
Annex
with respect to Party A or (y) as directed by Party A.
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(ii)
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Use
of Posted Collateral.
The provisions of Paragraph 6(c) will not apply to Secured Party
and
without prejudice to Secured Party’s rights under Paragraph 8 of the
Credit Support Annex, Secured Party will not take any action specified
in
such Section 6(c).
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(h)
|
Interest
Amount.
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(i)
|
Interest
Rate. The“Interest
Rate” means,
for any day, the rate of interest actually earned for that day on
Eligible
Collateral constituting cash under Paragraph
13(b)(ii)(A).
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(iii)
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Alternative
to Interest Amount.
The provisions of Paragraph 6(d)(ii) will
apply.
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(i)
|
Additional
Representation(s). Not
applicable.
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(j)
|
Other
Eligible Support and Other Posted Support. Not
applicable.
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(k)
|
Demands
and Notices. All
demands, specifications and notices under this Annex will be made
to a
party as follows unless otherwise specified from time to time by
that
party for purposes of this Annex in a written notice given to the
other
party:
|
To
Pledgor:
As
set
forth in the Schedule.
To
Secured Party:
As
set
forth in the Schedule.
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(l)
|
Addresses
for Transfers.
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(i)
|
For
each Transfer hereunder to Pledgor:
|
To
be
provided in written instructions.
|
(ii)
|
For
each Transfer hereunder to Secured Party, instructions will be provided
by
Secured Party for that specific
Transfer.
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(m)
|
Agreement
as to Single Secured Party and Pledgor.
Party A and Party B agree that, notwithstanding anything to the contrary
in the recital of this Annex, Paragraph 1(b) or Paragraph 2 of 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 shall
be
required to post Eligible Credit Support hereunder. Party A also
agrees
that it shall pay all reasonable costs of transferring Eligible Credit
Support required to be delivered by Party A to Party B
hereunder.
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(n)
|
No
Gross Up.
The Secured Party will have no obligation to pay any additional amount
of
the kind specified in Section 2(d)(i)(4) of the Agreement with respect
to
any Interest Amounts or
Distributions.
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(o)
|
Elimination
of Demand Requirements.
The parties agree that the phrase “upon a demand made by the Secured
Party” shall be deleted from Paragraph 3(a) of this Credit Support
Annex.
|
|
(p)
|
S&P
Credit Support Amount.
The “S&P
Credit Support Amount”
means, for any Valuation Date, the excess, if any, of
|
(I) (A) for
any
Valuation Date on which (i) an S&P Rating Threshold 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,
for
each Transaction to which this Annex relates, of (1) 100.0% of the Secured
Party’s Transaction Exposure for such Valuation Date and (2) the product of the
Volatility Buffer for such Transaction and the Notional Amount of such
Transaction for the Calculation Period of such Transaction which includes such
Valuation Date, or
|
(B)
|
for
any other Valuation Date, zero,
over
|
|
(II)
|
the
Threshold for Party A for such Valuation
Date.
|
“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
Required Ratings Threshold” means,
with respect to Party A, the guarantor under an Eligible Guarantee or an
Eligible Replacement, a long-term unsecured and unsubordinated debt rating
or
counterparty rating from S&P of “BBB-“.
“S&P
Rating Threshold Event”
means,
on any date, no Relevant Entity has credit ratings from S&P which equal or
exceed the S&P Approved Ratings Threshold.
“Relevant
Entity” means
Party A and, to the extent applicable, a guarantor under an Eligible
Guarantee.
“S&P
Approved Ratings Threshold”
means,
with respect to Party A, the guarantor under an Eligible Guarantee or an
Eligible Replacement, a short-term unsecured and unsubordinated debt rating
from
S&P of “A-1”, 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 from S&P of “A+”.
“Transaction
Exposure”
means,
for any Transaction, Exposure determined as if such Transaction were the only
Transaction between the Secured Party and the Pledgor.
“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.
TABLE
A
|
Volatility
Buffer
|
|||
|
Counterparty
|
Less
than 5 years to Termination Date of the Transaction.
|
Less
than 10 years, but more than 5 years to Termination Date of the
Transaction.
|
Greater
than 10 years to Termination Date of the Transaction.
|
|
The
rating by S&P of Party A’s long-term unsecured, unsubordinated
obligations is at least equal to “A”
|
3.25%
|
4.00%
|
4.75%
|
|
The
rating by S&P of Party A’s long-term unsecured, unsubordinated
obligations is equal to “A-”
|
4.00%
|
5.00%
|
6.25%
|
|
The
rating by S&P of Party A’s long-term unsecured, unsubordinated
obligations is equal to or less than “BB+”
|
4.50%
|
5.75%
|
7.50%
|
(q) Xxxxx’x
Ratings
Criteria
“Ratings
Criteria” means, the criteria used by Xxxxx’x (“Xxxxx’x Criteria”) for the
purposes of determining the amount of Eligible Credit Support Party A is
required to transfer at any time when the Threshold with respect to Party A
is
zero.
Xxxxx'x
Criteria:
Xxxxx’x
Credit Support Amount.*
With
respect to a Ratings Event (as described in Part 5(f) of the Schedule) relating
to an action taken by Xxxxx’x, the “Credit
Support Amount”
shall
mean with respect to a Pledgor on a Valuation Date the sum of :
(1) (A) for
any
Valuation Date on which (I) a Xxxxx’x First Trigger 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 Event has
occurred and been continuing for at least 30 Local Business Days, an amount
equal to the following:
the
greater of (a) zero and (b) the sum of (i) the Secured Party’s Transaction
aggregate Exposure for all Transactions and such Valuation Date and and
the
aggregate of Xxxxx’x Additional Collateralized Amounts for each
Transaction.
For
the
purposes of this definition, the “Xxxxx’x
Additional Collateralized Amount”
with
respect to any Transaction shall mean: the
least
of (x) the product of the Xxxxx’x First Trigger DV01 Multiplier and DV01 for
each Transaction and such Valuation Date, (y) the product of Xxxxx’x First
Trigger Notional Amount Multiplier and the Notional Amount for such Transaction
for the Calculation Period which includes such Valuation Date, and (z) the
product of the applicable Xxxxx’x First Trigger Factor set forth in Table B and
the Notional Amount for each Transaction for the Calculation Period which
includes such Valuation Date; or
|
(B)
|
for
any other Valuation Date, zero,
over
|
the
Threshold for Party A for such Valuation Date.
“DV01”
means
the sum of the estimated change in the Secured Party’s Exposure that would
result from a one basis point change in the relevant swap curve, as determined
by the Valuation Agent in good faith and in a commercially reasonable manner
in
accordance with the relevant customary methodology used by the Valuation
Agent.
“Xxxxx’x
First Trigger Event”
means
that no Relevant Entity has credit ratings from Xxxxx’x at least equal to the
Xxxxx’x First Trigger Required Ratings.
“Xxxxx’x
First Trigger DV01 Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 15, or (B) otherwise,
25.
“Xxxxx’x
First Trigger Notional Amount Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 2%, or (B) otherwise,
4%.
OR
(2) (A) for
any
Valuation Date on which it is the case that a Xxxxx’x Second Trigger Event has
occurred and been continuing for at least 30 Local Business Days, an amount
equal to the greatest of (a) zero, (b) the
aggregate amount of the Next Payments for all Next Payment Dates
and (c)
the sum of the Secured Party’s aggregate Exposure and the aggregate of Xxxxx’x
Additional Collateralized Amounts for each Transaction.
For
the
purposes of this definition, the “Xxxxx’x
Additional Collateralized Amount”
with
respect to any Transaction shall mean:
if
such
Transaction is not a Transaction-Specific Hedge,
the
least
of (i) the product of the Xxxxx’x Second Trigger DV01 Multiplier and DV01 for
each Transaction and such Valuation Date and (ii) the product of the Xxxxx’x
Second Trigger Notional Amount Multiplier and the Notional Amount for each
Transaction for the Calculation Period which includes such Valuation Date,
and
(z) the product of the applicable Xxxxx’x Second Trigger Factor set forth in
Table B and the Notional Amount for each Transaction for the Calculation Period
which includes such Valuation Date; or
if
such
Transaction is a Transaction-Specific Hedge,
the
least
of (i) the product of the Xxxxx’x Second Trigger Transaction-Specific Hedge DV01
Multiplier and DV01 for each Transaction and such Valuation Date and (ii) the
product of the Xxxxx’x Second Trigger Transaction-Specific Hedge Notional Amount
Multiplier and the Notional Amount for each Transaction for the Calculation
Period which includes such Valuation Date and (z) the product of the applicable
Xxxxx’x Second Trigger Factor set forth in Table B and the Notional Amount for
each Transaction for the Calculation Period which includes such Valuation Date;
or
|
(B)
|
for
any other Valuation Date, zero,
over
|
the
Threshold for Party A for such Valuation Date.
“Xxxxx’x
Second Trigger Event”
means
that no Relevant Entity has credit ratings from Xxxxx’x at least equal to the
Xxxxx’x Second Trigger Required Ratings.
“Xxxxx’x
Second Trigger DV01 Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 50, or (B) otherwise,
60.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge DV01
Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 65, or (B) otherwise,
75.
“Xxxxx’x
Second Trigger Transaction-Specific Hedge Notional Amount
Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 10%, or (B) otherwise,
11%.
“Xxxxx’x
Second Trigger Notional Amount Multiplier”
means
(A) if each Local Business Day is a Valuation Date, 8% or (B) otherwise,
9%.
“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.
“Transaction-Specific
Hedge” means
any
Transaction that is an interest rate cap, interest rate floor or interest rate
swaption, or an interest rate swap if (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 otherwise is not a specific dollar amount
that is fixed at the inception of the Transaction.
|
(r)
|
Other
Provisions.
|
(i)
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.
(ii)
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.
(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)
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).
(v) 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.”
(vi)
Notice
of Failure to Post Collateral. Upon
any
failure by Party A to post collateral as required under this Agreement, Party
B
shall, no later than the next Business Day after the date such collateral was
required to be posted, give a written notice of such failure to Party A and
to
Depositor. For the avoidance of doubt, notwithstanding anything in this
Agreement to the contrary, the failure of Party B to comply with the
requirements of this paragraph shall not constitute an Event of Default or
Termination Event.
TABLE
B
|
Weighted
Average Life of Hedge in Years
|
Xxxxx’x
First Trigger Factor
|
Xxxxx’x
Second Trigger Factor for Transactions other than Transaction-Specific
Xxxxxx
|
Xxxxx’x
Second Trigger Factor for Transaction-Specific
Xxxxxx
|
|
Less
than 1
|
0.25%
|
0.60%
|
0.75%
|
|
More
than 1 but no more than 2
|
0.50%
|
1.20%
|
1.50%
|
|
More
than 2 but no more than 3
|
0.70%
|
1.70%
|
2.20%
|
|
More
than 3 but no more than 4
|
1.00%
|
2.30%
|
2.90%
|
|
More
than 4 but no more than 5
|
1.20%
|
2.80%
|
3.60%
|
|
More
than 5 but no more than 6
|
1.40%
|
3.30%
|
4.20%
|
|
More
than 6 but no more than 7
|
1.60%
|
3.80%
|
4.80%
|
|
More
than 7 but no more than 8
|
1.80%
|
4.30%
|
5.40%
|
|
More
than 8 but no more than 9
|
2.00%
|
4.80%
|
6.00%
|
|
More
than 9 but no more than 10
|
2.20%
|
5.30%
|
6.60%
|
|
More
than 10 but no more than 11
|
2.30%
|
5.60%
|
7.00%
|
|
More
than 11 but no more than 12
|
2.50%
|
6.00%
|
7.50%
|
|
More
than 12 but no more than 13
|
2.70%
|
6.40%
|
8.00%
|
|
More
than 13 but no more than 14
|
2.80%
|
6.80%
|
8.50%
|
|
More
than 14 but no more than 15
|
3.00%
|
7.20%
|
9.00%
|
|
More
than 15 but no more than 16
|
3.20%
|
7.60%
|
9.50%
|
|
More
than 16 but no more than 17
|
3.30%
|
7.90%
|
9.90%
|
|
Weighted
Average Life of Hedge in Years
|
Xxxxx’x
First Trigger Factor
|
Xxxxx’x
Second Trigger Factor for Transactions other than Transaction-Specific
Xxxxxx
|
Xxxxx’x
Second Trigger Factor for Transaction-Specific
Xxxxxx
|
|
More
than 17 but no more than 18
|
3.50%
|
8.30%
|
10.40%
|
|
More
than 18 but no more than 19
|
3.60%
|
8.60%
|
10.80%
|
|
More
than 19 but no more than 20
|
3.70%
|
9.00%
|
11.00%
|
|
More
than 20 but no more than 21
|
3.90%
|
9.00%
|
11.00%
|
|
More
than 21 but no more than 30
|
4.00%
|
9.00%
|
11.00%
|
IN
WITNESS WHEREOF
the
parties have executed this Credit Support Annex as of the date
hereof.
SWISS
RE FINANCIAL PRODUCTS CORPORATION
By:
/s/
Xxxxxx Xxxxxx
Name:
Xxxxxx Xxxxxx
Title:
Senior Vice President
XXXXX
FARGO BANK, N.A., not individually but solely as trustee for Xxxxxxxxxx Mortgage
Loan Trust, Series 2006-NC5 with respect to the Xxxxxxxxxx Mortgage Loan Trust,
Series 2006-NC5 Asset-Backed Pass-Through Certificates
By:
/s/
Xxxxxx X. Xxxxxx
Name: Xxxxxx X. Xxxxxx
Title: Assistant Vice President
Name: Xxxxxx X. Xxxxxx
Title: Assistant Vice President
S-1
