Exhibit 99.2
SWISS RE FINANCIAL PRODUCTS CORPORATION
00 Xxxx 00xx Xxxxxx
Xxx Xxxx, Xxx Xxxx 00000
Fax: (000) 000-0000/Phone: (000) 000-0000
DATE: June 30, 2006
TO: Countrywide Home Loans, Inc.
ATTENTION: Documentation Unit
FROM: Swiss Re Financial Products Corporation
RE: Swap Transaction
REFERENCE NO: 981504
Dear Sir or Madam:
The purpose of this letter agreement is to set forth the terms and
conditions of the Swap Transactions traded between Swiss Re Financial Products
Corporation ("Party A") and Countrywide Home Loans, Inc. ("Party B") on the
trade date specified below (the "Transactions"). This letter agreement
constitutes a "Confirmation" as referred to in the Agreement specified below.
Notwithstanding anything to the contrary in the Agreement, the
definitions and provisions contained in the 2000 ISDA Definitions, as
published by the International Swaps and Derivatives Association, Inc. (the
"Definitions") are incorporated into this Confirmation. To the extent that
there is any inconsistency between those Definitions and Provisions and this
Confirmation, this Confirmation will govern. For the purposes of the
Definitions, all references to a "Transaction" in this Confirmation shall also
be deemed to be references to a "Swap Transaction".
This Confirmation evidences a complete binding agreement between you and
us as to the terms of the Transactions to which this Confirmation relates.
This Confirmation supplements, forms part of, and is subject to, the ISDA
Master Agreement (Multicurrency - Cross Border) dated as of December 15, 2005,
as amended and supplemented from time to time (the "Agreement"), between Party
A and Party B. All provisions contained or incorporated by reference in that
agreement upon its execution will govern this Confirmation except as expressly
modified below.
Capitalized terms used in this Confirmation and not defined in the
Agreement, this Confirmation or the Definitions shall have the respective
meaning assigned in the Pooling and Servicing Agreement for CWABS, Inc.
Asset-Backed Certificates Series 2006-12 dated as of June 1, 2006 among CWABS,
Inc. as depositor, Park Monaco Inc., as a Seller, Park Sienna LLC, as a
Seller, Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans
Servicing LP, as master servicer, and The Bank of New York, as trustee (the
"Pooling and Servicing Agreement").
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
-------------
Trade Date: June 27, 2006
Effective Date: June 30, 2006
Termination Date: August 25, 2010, subject to
adjustment in accordance with the
Following Business Day Convention.
Notional Amount: With respect to any Calculation
Period, the lesser of (i) the amount
set forth for such period in Annex A
attached hereto and (ii) the
aggregate Certificate Principal
Balance of the Class 1-A, Class
2-A-1, Class 2-A-2, Class 2-A-3,
Class X-0, Xxxxx X-0, Class M-3,
Class M-4, Class M-5, Class M-6,
Class M-7, Class M-8 and Class B
Certificates (as defined in the
Pooling and Servicing Agreement)
immediately prior to the Distribution
Date (as defined in the Pooling and
Servicing Agreement) occurring in the
calendar month in which such
Calculation Period ends.
Upfront Amount:
---------------
Upfront Amount: Party B will pay $2,580,000 to Party
A on June 30, 2006.
Floating Amounts:
-----------------
Floating Rate Payer: Party A
Floating Rate Payer Payment Early Payment shall be applicable.
Dates: For each Calculation Period, the
Floating Rate Payer Payment Date
shall be the first Business Day prior
to the related Floating Rate Payer
Period End Date.
Floating Rate Payer Period The 25th of each month in each year
End Dates: from (and including) July 25, 2006 to
(and including) the Termination Date,
subject to adjustment in accordance
with the Following Business Day
Convention.
Floating Rate Option: USD-LIBOR-BBA.
Designated Maturity: One Month
Spread: None
Floating Rate Day Count Actual/360
Fraction:
Reset Dates: The first day of each Calculation
Period.
Compounding: Inapplicable
Business Days for Reset: London <>
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Fixed Amounts:
--------------
Fixed Rate Payer: Party B
Fixed Rate Payer Payment The 25th of each month in each year
Dates: from (and including) July 25, 2006 to
(and including) the Termination Date,
subject to adjustment in accordance
with the Following Business Day
Convention.
Fixed Rate Payer Period End The 25th of each month in each year
Dates: from (and including) July 25, 2006 to
(and including) August 25, 2010, with
No Adjustment.
Fixed Rate: 5.60%
Fixed Rate Day Count 30/360
Fraction:
Business Days for Payments by Both New York.
Parties:
Amendment to Section 2(c) of the Notwithstanding anything to the
Agreement: contrary in Section 2(c) of the
Agreement, amounts that are payable
with respect to Calculation Periods
which end in the same calendar month
(prior to any adjustment of period
end dates) shall be netted, as
provided in Section 2(c) of the
Agreement, even if such amounts are
not due on the same payment date. For
avoidance of doubt any payments
pursuant to Section 6(e) of the
Agreement shall not be subject to
netting.
Procedural Terms:
-----------------
Account Details:
Payments to Party A: JPMorgan Chase Bank
SWIFT: XXXXXX00
For the Account of Swiss Re Financial
Products Corporation
Account No.: 066-91118
Payments to Party B: As per Party B's standard settlement
instructions; provided, however that
upon any assignment of this
Transaction, account details shall be
provided in the assignment agreement.
Assignment: Party A will not unreasonably
withhold or delay its consent to an
assignment of this Transaction to any
other third party.
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Please confirm that the foregoing correctly sets forth the terms and
conditions of our agreement by executing this Confirmation and returning it to
us by facsimile to:
Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax: (000) 000-0000 Phone: (000) 000-0000
SWISS RE FINANCIAL PRODUCTS CORPORATION
By: ________________________________________
Authorized Signatory
Accepted and confirmed as of the Trade Date written above:
COUNTRYWIDE HOME LOANS INC.
By: _______________________________________
Name:
Title:
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Annex A
Period Start Date Period End Date Notional Amount
30-Jun-06 25-Jul-06 1,021,800,000
25-Jul-06 25-Aug-06 1,006,122,365
25-Aug-06 25-Sep-06 989,472,274
25-Sep-06 25-Oct-06 971,846,969
25-Oct-06 25-Nov-06 953,252,497
25-Nov-06 25-Dec-06 933,701,597
25-Dec-06 25-Jan-07 913,214,328
25-Jan-07 25-Feb-07 894,751,869
25-Feb-07 25-Mar-07 875,393,332
25-Mar-07 25-Apr-07 855,178,758
25-Apr-07 25-May-07 834,158,926
25-May-07 25-Jun-07 812,390,843
25-Jun-07 25-Jul-07 789,916,102
25-Jul-07 25-Aug-07 771,813,923
25-Aug-07 25-Sep-07 753,226,398
25-Sep-07 25-Oct-07 734,231,814
25-Oct-07 25-Nov-07 710,519,097
25-Nov-07 25-Dec-07 682,636,127
25-Dec-07 25-Jan-08 654,045,365
25-Jan-08 25-Feb-08 626,462,856
25-Feb-08 25-Mar-08 600,090,323
25-Mar-08 25-Apr-08 574,776,159
25-Apr-08 25-May-08 550,604,377
25-May-08 25-Jun-08 528,122,500
25-Jun-08 25-Jul-08 492,623,195
25-Jul-08 25-Aug-08 456,738,797
25-Aug-08 25-Sep-08 423,591,259
25-Sep-08 25-Oct-08 393,018,973
25-Oct-08 25-Nov-08 364,759,625
25-Nov-08 25-Dec-08 338,373,782
25-Dec-08 25-Jan-09 321,993,603
25-Jan-09 25-Feb-09 308,140,437
25-Feb-09 25-Mar-09 294,888,981
25-Mar-09 25-Apr-09 282,215,893
25-Apr-09 25-May-09 270,095,025
25-May-09 25-Jun-09 258,228,090
25-Jun-09 25-Jul-09 246,953,007
25-Jul-09 25-Aug-09 236,151,498
25-Aug-09 25-Sep-09 225,837,326
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25-Sep-09 25-Oct-09 215,985,507
25-Oct-09 25-Nov-09 206,574,100
25-Nov-09 25-Dec-09 197,820,247
25-Dec-09 25-Jan-10 189,448,475
25-Jan-10 25-Feb-10 181,451,376
25-Feb-10 25-Mar-10 173,791,329
25-Mar-10 25-Apr-10 166,454,109
25-Apr-10 25-May-10 159,426,128
25-May-10 25-Jun-10 152,691,579
25-Jun-10 25-Jul-10 146,244,008
25-Jul-10 25-Aug-10 140,068,736
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