Rate Cap Transaction Re: BNY Reference No. 38693
Page 1
of 23
Dated:
December 22, 2006
Rate
Cap Transaction
Re:
BNY
Reference No. 38693
Ladies
and Gentlemen:
The
purpose of this letter agreement (“Agreement”)
is to
confirm the terms and conditions of the rate Cap Transaction entered into on
the
Trade Date specified below (the “Transaction”)
between The Bank of New York (“BNY”),
a
trust company duly organized and existing under the laws of the State of New
York, and Xxxxx Fargo Bank, N.A., not in its individual capacity, but solely
as
Administrator for the Yield Maintenance Trust with respect to the Harborview
Mortgage Loan Trust 2006-14 (in such capacity, the “Administrator”
or
the
“Counterparty”),
under
the Pooling and Servicing Agreement, dated as of December 1, 2006, among
Greenwich Capital Acceptance, Inc., as Depositor, Greenwich Capital Financial
Products, Inc., as Sponsor and Seller, and Deutsche Bank National Trust Company,
as Trustee, Xxxxx Fargo Bank, N.A., as Master Servicer and Securities
Administrator and Xxxxxxx Fixed Income Services, Inc., as Credit Risk Manager
(the
“Pooling
and Servicing Agreement”).
This
Agreement, which evidences a complete and binding agreement between you and
us
to enter into the Transaction on the terms set forth below, constitutes a
“Confirmation”
as
referred to in the “ISDA
Form Master Agreement”
(as
defined below), as well as a “Schedule” as referred to in the ISDA Form Master
Agreement.
1. Form
of Agreement.
This Agreement is subject to the 2000
ISDA Definitions (the
“Definitions”),
as published by the International Swaps and Derivatives Association, Inc.
(“ISDA”).
Any
reference to a “Swap Transaction” in the Definitions is deemed to be a reference
to a “Transaction” for purposes of this Agreement, and any reference to a
“Transaction” in this Agreement is deemed to be a reference to a “Swap
Transaction” for purposes of the Definitions.
You and we have agreed to enter into this Agreement in lieu of negotiating
a
Schedule to the 1992 ISDA Master Agreement (Multicurrency—Cross Border) form
(the “ISDA
Form Master Agreement”).
An ISDA Form Master Agreement, as modified by the Schedule terms in Paragraph
4
of this Confirmation (the “Master
Agreement”),
shall be deemed to have been executed by you and us on the date we entered
into
the Transaction. For
the
avoidance of doubt, the Transaction described herein shall be the sole
Transaction governed by such ISDA Form Master Agreement.
Except as otherwise specified, references herein to Sections shall be to
Sections of the Master Agreement, and references to Paragraphs shall be to
paragraphs of this Agreement. In the event of any inconsistency between the
provisions of this Agreement and the Definitions or the Master Agreement, this
Agreement shall prevail for purposes of the Transaction. Capitalized terms
not
otherwise defined herein or in the Definitions or the Master Agreement shall
have the meaning defined for such term in the Pooling and Servicing
Agreement.
2. Certain
Terms.
The
terms of the particular Transaction to which this Confirmation relates are
as
follows:
|
Type
of Transaction:
|
Rate
Cap
|
Page 2
of 23
|
Notional
Amount:
|
With
respect to any Calculation Period the amount set forth for such period
on
Schedule I attached hereto.
|
|
Trade
Date:
|
December
20, 2006
|
|
Effective
Date:
|
December
19, 2008
|
|
Termination
Date:
|
December
19, 2016, subject to adjustment in accordance with the Following
Business
Day Convention
|
FIXED
AMOUNTS
|
Fixed
Amount Payer:
|
Counterparty
|
|
Fixed
Amount:
|
USD
7,229,000.00
|
Fixed
Amount
|
Payment
Date:
|
December
22, 2006
|
FLOATING
AMOUNTS
|
Floating
Rate Payer:
|
BNY
|
|
Cap
Rate:
|
For
each Calculation Period, as set forth for such period on Schedule
I
attached hereto.
|
|
Ceiling
Rate:
|
For
each Calculation Period, as set forth for such period on Schedule
I
attached hereto.
|
Floating
Rate for initial
|
Calculation
Period:
|
To
be determined
|
Floating
Rate Day Count
|
Fraction:
|
Actual/360
|
|
Floating
Rate Option:
|
USD-LIBOR-BBA,
provided, however, if the Floating Rate Option for a Calculation
Period is
greater than the Ceiling Rate then the Floating Rate Option for such
Calculation Period shall be deemed equal to the Ceiling
Rate.
|
|
Designated
Maturity:
|
One
month
|
|
Spread:
|
Inapplicable
|
Floating
Rate Payer
|
Period
End Dates:
|
The
19th
day of each month, beginning on January 19, 2009 and ending on the
Termination Date, subject to adjustment in accordance with the Following
Business Day Convention.
|
Floating
Rate Payer
|
Payment
Dates:
|
Early
Payment shall be applicable. The Floating Rate Payer Payment Date
shall be
one (1) Business Day preceding each Floating Rate Payer Period End
Date.
|
|
Reset
Dates:
|
The
first day of each Calculation
Period
|
|
Compounding:
|
Inapplicable
|
Business
Days for Payments
|
By
both parties:
|
Page 3
of 23
|
Calculation
Agent:
|
BNY
|
3. Additional
Provisions:
1) Reliance.
Each
party hereto is hereby advised and acknowledges that the other party has engaged
in (or refrained from engaging in) substantial financial transactions and has
taken (or refrained from taking) other material actions in reliance upon the
entry by the parties into the Transaction being entered into on the terms and
conditions set forth herein.
2) Transfer,
Amendment and Assignment.
No
transfer, amendment, waiver, supplement, assignment or other modification of
this Transaction shall be permitted by either party unless each of Standard
& Poor’s Ratings Service, a division of The XxXxxx-Xxxx Companies, Inc
(“S&P”)
and
Xxxxx’x Investors Service, Inc. (“Moody’s”),
has
been provided notice of the same and confirms in writing (including by facsimile
transmission) that it will not downgrade, qualify, withdraw or otherwise modify
its then-current ratings on the Certificates issued under the Pooling and
Servicing Agreement (the “Certificates”).
4. Provisions
Deemed Incorporated in a Schedule to the Master Agreement:
1) No
Payment Netting Among Transactions.
The
parties agree that subparagraph (ii) of Section 2(c) of the ISDA Form Master
Agreement will apply to this Transaction.
2) Termination
Provisions.
For
purposes of the Master Agreement:
(a) "Specified
Entity"
in
relation to BNY or the Counterparty shall mean: none.
(b) “Specified
Transaction”
will
have the meaning specified in Section 14.
(c) Applicability. The
following provisions apply or do not apply to the parties as specified
below:
|
(i)
|
Section
5(a)(i) (Failure
to Pay or Deliver):
|
|
(A)
|
will
apply to BNY; and
|
(B) will
apply to the Counterparty.
|
(ii)
|
Section
5(a)(ii) (Breach
of Agreement):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
|
(iii)
|
Section
5(a)(iii) (Credit
Support Default):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
|
(iv)
|
Section
5(a)(iv) (Misrepresentation):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
Page 4
of 23
|
(v)
|
Section
5(a)(v) (Default
under Specified Transaction):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
|
(vi)
|
Section
5(a)(vi) (Cross
Default):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
For
the
purposes of Section 5(a)(vi):
“Specified
Indebtedness”
will
have the meaning specified in Section 14 of this Agreement, except that it
shall
not include indebtedness in respect of deposits received.
“Threshold
Amount”
means,
3% of consolidated shareholders equity of BNY and its subsidiaries determined
in
accordance with generally accepted accounting principles of the United States
consistently applied as of the last day of the fiscal quarter ended immediately
prior to the occurrence or existence of an event for which a Threshold Amount
is
applicable under Section 5(a)(vi) of this Agreement.
|
(vii)
|
Section
5(a)(vii) (Bankruptcy):
|
(A) will
apply to BNY; and
(B) will
not
apply to the Counterparty with respect to subclauses (2), (4) (but only if
the
proceeding or petition is instituted or presented by BNY or its affiliates),
(7), (8) (but subclause (8) will not apply to the Counterparty only to the
extent that subclauses (2), (4) and (7) do not apply to the Coun-terparty)
and
(9) of Section 5(a)(vii), and the remaining provisions of Sec-tion 5(a)(vii)
will apply to the Counterparty; and in subclause (6) the words “trustee” and
“custodian” will not include the Trustee and the words “seeks or” will be
deleted.
|
(viii)
|
Section
5(a)(viii) (Merger
without Assumption):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
apply to the Counterparty.
|
|
(ix)
|
Section
5(b)(i) (Illegality):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
apply to the Counterparty.
|
|
(x)
|
Section
5(b)(ii) (Tax
Event):
|
|
(A)
|
will
apply to BNY; and
|
|
(B)
|
will
apply to the Counterparty;
|
Page 5
of 23
provided,
that
the words “(x) any action taken by a taxing authority, or brought in a court of
competent jurisdiction, on or after the date on which a Transaction is entered
into (regardless of whether such action is taken or brought with respect to
a
party to this Agreement) or (y)” shall be deleted.
|
(xi)
|
Section
5(b)(iii) (Tax
Event upon Merger):
|
(A) will
apply to BNY, provided,
that
BNY shall not be entitled to designate an Early Termination Date by reason
of a
Tax Event upon Merger in respect of which it is the Affected Party; and
(B) will
apply to the Counterparty.
|
(xii)
|
Section
5(b)(iv) (Credit
Event upon Merger):
|
|
(A)
|
will
not apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
|
(xiii)
|
Section
5(b)(v) (Additional
Termination Event):
|
|
(A)
|
will
apply to BNY with respect to Paragraph 4(2)(g)(ii) and (iii); and
|
|
(B)
|
will
apply to the Counterparty with respect to Paragraph
4(2)(g)(i).
|
For
so
long as theCertificates are rated by Moody’s, notwithstanding Sections 5(a)(i)
and 5(a)(iii), any failure by BNY to perform any obligation under the Credit
Support Annex hereto shall not be an Event of Default unless, a Moody’s Ratings
Event has occurred and continued for at least 30 Local Business Days and such
failure is not remedied on or before the third Local Business Day after notice
of such failure is given to BNY.
|
(d)
|
The
"Automatic
Early Termination"
provision of Section 6(a):
|
|
(A)
|
will
not apply to BNY; and
|
|
(B)
|
will
not apply to the Counterparty.
|
(e) Payments
on Early Termination.
For the
purpose of Section 6(e), the Second Method and Market Quotation will apply.
For
such purpose, for so long as the Certificates are rated by Moody’s, if BNY is
the Affected Party in respect of an Additional Termination Event or a Tax Event
Upon Merger or the Defaulting Party in respect of any Event of Default (but
not,
in any case, in respect of a Termination Event arising from an Illegality or
Tax
Event), the following provisions shall apply:
(i) The
definitions of “Market Quotation” and “Settlement Amount” are amended in their
entirety to read as follows:
“Market
Quotation”
means,
with respect to one or more Terminated Transactions, an offer
capable when
made
of becoming legally binding upon acceptance made by a Qualified Transferee
for
an amount that would be paid to the Counterparty (expressed as a negative
number) or by the Counterparty (expressed as a positive number) in consideration
of an agreement between the Counterparty and such Qualified Transferee to enter
into a transaction, with commercial terms substantially the same as those of
this Agreement (save for the exclusion of provisions relating to Transactions
that are not Terminated Transactions) (which shall be determined by the
Counterparty, acting in a commercially reasonable manner), that would have
the
effect of preserving the economic equivalent for the Counterparty of any payment
or delivery (whether the underlying obligation was absolute or contingent and
assuming the satisfaction of each applicable condition precedent) by the parties
under Section 2(a)(i) in respect of such Terminated Transactions or group of
Terminated Transactions that would, but for the occurrence of the relevant
Early
Termination Date, have been required after that Date (such transaction, a
“Replacement
Transaction”).
For
this purpose, Unpaid Amounts in respect of the Terminated Transaction or group
of Transactions are to be excluded but, without limitation, any payment or
delivery that would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition precedent) after
that Early Termination Date is to be included.
Page 6
of 23
“Settlement
Amount”
means,
with respect to any Early Termination Date: —
(a) if
on or
before the day falling ten (10) Local Business Days after the day on which
the
Early Termination Date is designated (or such later day not later than the
Early
Termination Date as Party B may specify in writing to Party A) a Market
Quotation capable of becoming legally binding on acceptance is accepted by
Party
B so as to become legally bind-ing or one or more Market Quotations have been
made and remain capable of becoming legally binding on acceptance:
the
Termination Currency Equivalent of the amount of (x) the Mar-ket Quotations
(whether positive or negative) for each Terminated Transaction or group of
Terminated Transactions for which a Mar-ket Quotation is accepted by Party
B so
as to become legally bind-ing, or (y) if no Market Quotation has been accepted,
the lowest of such Market Quotations, and
(b) if
there
is no such Market Quotation during the period specified in (a):
the
Counterparty’s Loss (whether positive or negative and without reference to any
Unpaid amounts) for the relevant Terminated Transaction or group of Terminated
Transactions.
(ii) the
Counterparty and, if request is made in writing within two Local Business Days
after the day on which the Early Termination Date is designated, BNY, shall
use
reasonable efforts to obtain one or more Market Quotations before the date
determined pursuant to clause (a) of the definition of “Settlement
Amount”.
(iii) Notwithstanding
anything to the contrary in Section 6(e)(i)(3) or Part 5(g), if the Settlement
Amount is a negative number (such that the Counterparty shall pay to BNY the
amount equal to the absolute value of the Settlement Amount in respect of the
Terminated Transactions), the Unpaid Amounts of BNY and the Counterparty shall
be subject to netting in accordance with Section 2(c) but the Unpaid Amounts
of
BNY shall not be netted against the Settlement Amount to be paid by the
Counterparty..
Page 7
of 23
|
(f)
|
“Termination
Currency”
means United States Dollars.
|
(g) “Additional
Termination Event”
will
apply.
The
following shall constitute Additional Termination Events, and the party
specified shall be the Affected Party with respect thereto:—
(i) Termination
of Trust Fund.
The
Trust, Supplemental Interest Trust or Trust Fund shall be terminated pursuant
to
any provision of the Pooling and Servicing Agreement (including, without
limitation, by exercise of the option to purchase and giving of notice under
Sections 10.01 of the Pooling and Servicing Agreement). The
Early
Termination Date with respect to such Additional Termination Event shall be
the
Distribution Date upon which the Trust and the Supplemental Interest Trust
or
Trust Fund is terminated and final payment is made in respect of the
Certificates. Each of BNY and the Counterparty may designate an Early
Termination Date in respect of this Additional Termination Event. The
Counterparty shall be the sole Affected Party.
(ii) Collateralization
or Ratings Event.
A
Collateralization Event or Ratings Event has occurred and is continuing and
BNY
fails to comply with the provisions of Paragraph 4(8)(b) within the time periods
set out therein; provided that an Additional Termination Event shall not be
deemed to occur with respect to a Moody’s Ratings Event unless and until it has
continued for 30 or more Business Days and at least one Qualified Transferee
has
made an offer which remains capable of becoming legally binding upon acceptance
to enter into a Permitted Transfer or other Replacement Transaction. BNY shall
be the sole Affected Party.
(iii) Regulation
AB.
BNY
shall fail to comply with the provisions of Paragraph 4(9) within the time
provided for therein. BNY shall be the sole Affected Party.
The
Counterparty shall not effectively designate an Early Termination Date unless
and until it has given prior written notice thereof to Moody’s and
S&P.
3) Tax
Representations and Certain Tax-related Provisions.
(a) Payer
Representations.
For the
purpose of Section 3(e), BNY makesthe following representations:
It
is not
required by any applicable law, as modified by the practice of any relevant
governmental revenue authority, of any Relevant Jurisdiction to make any
deduction or withholding for or on account of any Tax from any payment (other
than interest under Section 2(e), 6(d)(ii) or 6(e)) to be made by it to the
other party under this Agreement. In making this representation, it may rely
on:
(i) the
accuracy of any representations made by the other party pursuant to Section
3(f);
Page 8
of 23
(ii) the
satisfaction of the agreement contained in Section 4 (a)(i) or 4(a)(iii) and
the
accuracy and effectiveness of any document provided by the other party pursuant
to Section 4 (a)(i) or 4(a)(iii); and
(iii) the
satisfaction of the agreement of the other party contained in Section 4(d),
provided that it shall not be a breach of this representation where reliance
is
placed on clause (ii) and the other party does not deliver a form or document
under Section 4(a)(iii) by reason of material prejudice of its legal or
commercial position.
(b) Payee
Representations.
For the
purpose of Section 3(f), BNY and the Counterparty make the following
representations.
|
(i)
|
The
following representation will apply to
BNY:
|
(x)
It is
a “U.S. person” (as that term is used in section 1.1441-4(a)(3)(ii) of the
United States Treasury Regulations) for United States federal income tax
purposes, (y) it is a trust company duly organized and existing under the laws
of the State of New York, and (y) its U.S. taxpayer identification number is
000000000.
|
(ii)
|
The
following representation will apply to the
Counterparty:
|
None.
(c) Additional
Amounts Not Payable by the Counterparty.
The
Counterparty shall not be required to pay any additional amounts pursuant to
Section 2(d)(i)(4).
(d) Indemnifiable
Tax. The definition of “Indemnifiable Tax” in Section 14 is amended in its
entirety to read as follows:
“Indemnifiable
Tax”
means
in relation to payments by BNY any Tax and in relation to payments by the
Counterparty no Tax.
|
4)
|
Documents
to be delivered. For the purpose of Section
4(a):
|
|
(a)
|
Tax
forms, documents or certificates to be delivered
are:
|
|
Party
required to deliver document
|
Form/Document/
Certificate
|
Date
by which
to
be delivered
|
|
BNY
and Counterparty
|
An
Internal Revenue Service Form W-9 or any other or successor form
establishing an exemption from deduction or withholding obligations,
accurately completed and in a manner reasonably satisfactory to
the other
party and any other document reasonably requested to allow the
other party
to make payments under this Agreement without any deduction or
withholding
for or on the account of any tax.
|
(i)
Prior to the first scheduled Payment Date; and (ii) promptly after
the
earlier of (ii) reasonable demand by either party, or (iii) learning
that
such form or document is
required
|
Page 9
of 23
(b) Other
documents to be delivered are:
|
Party
required to deliver document
|
Form/Document/
Certificate
|
Date
by which to be delivered
|
Covered
by Section 3(d) Representation
|
|
BNY
|
A
certificate of an authorized officer of the party, as to the incumbency
and authority of the respective officers of the party signing this
Agreement, any relevant Credit Support Document, or any Confirmation,
as
the case may be.
|
Upon
the execution and delivery of this Agreement
|
Yes
|
|
Counterparty
|
(i)
a copy of the executed Pooling and Servicing Agreement, and (ii)
an
incumbency certificate verifying the true signatures and authority
of the
person or persons signing this letter agreement on behalf of the
Counterparty.
|
Upon
the later of, receipt by such party, or within 30 days after the
date of
this Agreement.
|
Yes
|
|
BNY
|
A
copy of the annual balance sheet from the most recent publicly
available
regulatory call report.
|
Promptly
after request by the Counterparty (if available on xxxx://xxx.xxxx.xxx,
such delivery is not required)
|
No.
|
|
BNY
|
Legal
Opinion as to enforceability of this Agreement.
|
Upon
the execution and delivery of this Agreement.
|
Yes
|
|
Counterparty
|
Certified
copy of the Board of Directors resolution (or equivalent authorizing
documentation) which sets forth the authority of each signatory
to the
Confirmation signing on its behalf and the authority of such party
to
enter into Transactions contemplated and performance of its obligations
hereunder.
|
Upon
the execution and delivery of this Agreement.
|
Yes
|
Page 10
of 23
|
5)
|
Miscellaneous.
|
|
(a)
|
Address
for Notices:
For the purposes of Section 12(a):
|
Address
for notices or communications to BNY:
The
Bank
of New York
Swaps
and
Derivative Products Group
Global
Market Division
00
Xxx
Xxxx 00xx Xxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Attention:
Xxxxx Xxxxxx
with
a
copy to:
The
Bank
of New York
Swaps
and
Derivative Products Group
00
Xxx
Xxxx 00xx Xxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Attention:
Xxxxxx Xxxxxxxx
Tele:
000-000-0000
Fax:
000-000-0000/5837
(For
all
purposes)
A
copy of
any notice or other communication with respect to Sections 5 or 6 should also
be
sent to the addresses set out below:
The
Bank
of New York
Legal
Department
Xxx
Xxxx
Xxxxxx - 00xx Xxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Attention:
General Counsel
Address
for notices or communications to the Counterparty:
Xxxxx
Fargo Bank, N.A., not in its individual capacity, but solely as Trustee on
behalf of the Harborview Mortgage Loan Trust 2006-14
0000
Xxx Xxxxxxxxx Xxxx
Xxxxxxxx,
Xxxxxxxx 00000
Attention:
HarborView 2006-14 — Client Manager
Telephone:
000-000-0000
Facsimile:
000-000-0000
|
(b)
|
Process
Agent.
For the purpose of Section 13(c):
|
BNY
appoints as its Process Agent: Not
Applicable
The
Counterparty appoints as its Process
Agent: Not Applicable
(c) Offices.
The
provisions of Section 10(a) will not apply to this Agreement; neither BNY nor
the Counterparty have any Offices other than as set forth in the Notices Section
and BNY agrees that, for purposes of Section 6(b), it shall not in future have
any Office other than one in the United States.
Page 11
of 23
|
(d)
|
Multibranch
Party.
For the purpose of Section 10(c):
|
BNY
is
not a Multibranch Party.
The
Counterparty is not a Multibranch Party.
|
(e)
|
Calculation
Agent.
The Calculation Agent is BNY.
|
|
(f)
|
“Credit
Support Document”
means in relation to:—
|
BNY: The
Credit Support Annex attached as Exhibit A hereto.
The
Counterparty: Not
applicable.
|
(g)
|
“Credit
Support Provider”
means in relation to:—
|
BNY: Not
Applicable (except with respect to credit support furnished pursuant to
Paragraph 4(8) or 4(9).
Counterparty: Not
Applicable
(h) Governing
Law.
The
parties to this Agreement hereby agree that the law of the State of New York
shall govern their rights and duties in whole, without regard to conflict of
law
provisions thereof other than New York General Obligations Law Sections 5-1401
and 5-1402.
(i) Severability.
If any
term, provision, covenant, or condition of this Agreement, or the application
thereof to any party or circumstance, shall be held to be invalid or
unenforceable (in whole or in part) for any reason, the remaining terms,
provisions, covenants, and conditions hereof shall continue in full force and
effect as if this Agreement had been executed with the invalid or unenforceable
portion eliminated, so long as this Agreement as so modified continues to
express, without material change, the original intentions of the parties as
to
the subject matter of this Agreement and the deletion of such portion of this
Agreement will not substantially impair the respective benefits or expectations
of the parties. The parties shall endeavor to engage in good faith negotiations
to replace any invalid or unenforceable term, provision, covenant or condition
with a valid or enforceable term, provision, covenant or condition, the economic
effect of which comes as close as possible to that of the invalid or
unenforceable term, provision, covenant or condition.
(j) Recording
of Conversations.
Each
party (i) consents to the recording of telephone conversations between the
trading, marketing and other relevant personnel of the parties in connection
with this Agreement or any potential Transaction, (ii) agrees to obtain any
necessary consent of, and give any necessary notice of such recording to, its
relevant personnel and (iii) agrees, to the extent permitted by applicable
law,
that recordings may be submitted in evidence in any Proceedings.
(k) Waiver
of Jury Trial.
Each
party waives any right it may have to a trial by jury in respect of any
Proceedings relating to this Agreement or any Credit Support
Document.
Page 12
of 23
(l)
Non-Recourse.
Notwithstanding any provision herein or in the Master Agreement to the contrary,
the obligations of the Counterparty hereunder are limited recourse obligations
of the Counterparty, payable solely from the Swap Account and the proceeds
thereof to satisfy the Counterparty's obligations hereunder. In the event that
the Swap Account and proceeds thereof should be insufficient to satisfy all
claims outstanding and following the realization of the Swap Account and the
distribution of the proceeds thereof in accordance with the Pooling and
Servicing Agreement, any claims against or obligations of the Counterparty
under
the Master Agreement or any other confirmation thereunder, still outstanding
shall be extinguished and thereafter not revive. This provision shall survive
the expiration of this Agreement.
(m) Limitation
on Institution of Bankruptcy Proceedings.
BNY
shall not institute against or cause any other person to institute against,
or
join any other person in instituting against the Counterparty, the supplemental
interest trust or the trust created pursuant to the Pooling and Servicing
Agreement any bankruptcy, reorganization, arrangement, insolvency or liquidation
proceedings, under any federal or state bankruptcy or similar law or bankruptcy
or similar laws of any other jurisdiction, for a period of one year and one
day
(or, if longer, the applicable preference period) following indefeasible payment
in full of the Certificates. This provision shall survive the expiration of
this
Agreement.
(n) Remedy
of Failure to Pay or Deliver.
The
ISDA Form Master Agreement is hereby amended by replacing the word “third” in
the third line of Section 5(a)(i) by the word “second”.
(o) “Affiliate”
will
have the meaning specified in Section 14 of the ISDA Form Master Agreement,
provided that the Counterparty shall be deemed not to have any Affiliates for
purposes of this Agreement, including for purposes of Section
6(b)(ii).
(p) Administrator’s
Capacity.
It is
expressly understood and agreed by the parties hereto that insofar as this
Confirmation is executed by the Administrator (i) this Confirmation is executed
and delivered by Xxxxx
Fargo Bank, N.A., not in its individual capacity but solely as Administrator
for
the Yield Maintenance Trust pursuant to the Pooling and Servicing Agreement
in
the exercise of the powers and authority conferred and vested in it thereunder
and pursuant to instruction set forth therein, (ii) each of the representations,
undertakings and agreements herein made on behalf of the trust is made and
intended not as a personal representation, undertaking or agreement of the
Administrator but is made and intended for the purpose of binding only the
trust, and (iii) under no circumstances xxxx Xxxxx Fargo Bank, N.A., in its
individual capacity be personally liable for the payment of any indebtedness
or
expenses or be personally liable for the breach or failure of any obligation,
representation, warranty or covenant made or undertaken under this Confirmation.
Nothing herein contained shall be construed as creating any liability on Xxxxx
Fargo Bank, N.A., individually or personally, to perform any covenant either
expressed or implied contained herein, all such liability, if any, being
expressly waived by the parties who are signatories to this letter agreement
and
by any person claiming by, through or under such parties.
Page 13
of 23
(q) Administrator’s
Representation.
Xxxxx
Fargo Bank, N.A., as Administrator, represents and warrants that:
It
has
been directed under the Pooling and Servicing Agreement to enter into this
letter agreement as Administrator on behalf of the Counterparty.
6) Additional
Representations.
Section
3 is hereby amended by adding, at the end thereof, the following Sections 3(g),
3(h) and 3(i):
|
“(g)
|
Relationship
Between Parties.
|
(1) Nonreliance.
It is
not relying on any statement or representation of the other party regarding
the
Transaction (whether written or oral), other than the representations expressly
made in this Agreement or the Confirmation in respect of that
Transaction.
|
(2)
|
Evaluation
and Understanding.
|
(i)
Each
Party is acting for its own account and has the capacity to evaluate (internally
or through independent professional advice) the Transaction and has made its
own
decision to enter into the Transaction; it is not relying on any communication
(written or oral) of the other party as investment advice or as a recommendation
to enter into such transaction; it being understood that information and
explanations related to the terms and conditions of such transaction shall
not
be considered investment advice or a recommendation to enter into such
transaction. No communication (written or oral) received from the other party
shall be deemed to be an assurance or guarantee as to the expected results
of
the transaction; and
(ii) Each
Party understands the terms, conditions and risks of the Transaction and is
willing and able to accept those terms and conditions and to assume (and does,
in fact assume) those risks, financially and otherwise.
(3) Principal.
The
other party is not acting as a fiduciary or an advisor for it in respect of
this
Transaction.
(h) Exclusion
from Commodity Exchange Act.
(A)
It is
an “eligible contract participant” within the meaning of Section 1a(12) of the
Commodity Exchange Act, as amended; (B) this Agreement and each Transaction
is
subject to individual negotiation by such party; and (C) neither this Agreement
nor any Transaction will be executed or traded on a “trading facility” within
the meaning of Section 1a(33) of the Commodity Exchange Act, as
amended.
(i) Swap
Agreement.
Each
Transaction is a “swap agreement” as defined in 12 U.S.C. Section
1821(e)(8)(D)(vi) and a “covered swap agreement” as defined in the Commodity
Exchange Act (7 U.S.C. Section 27(d)(1)).”
7) Set-off.
All
payments under this Agreement shall be made without set-off or counterclaim,
except as provided in Section 2(c), Section 6 or the provisions hereof relating
to Market Quotation and Loss, or Paragraph 8 of the Credit Support Annex.
Section 6(e) is amended by deleting the following sentence: "The amount, if
any,
payable in respect of an Early Termination Date and determined pursuant to
this
Section will be subject to any Set-off." For the avoidance of doubt, if more
than one Transaction is entered into under this Agreement, nothing herein is
intended to prevent the determination of a Settlement Amount with respect to
all
such Transactions pursuant to Section 6 (as modified hereby).
Page 14
of 23
8) Ratings
Downgrade. For
purposes of each Transaction:
(a) Definitions.
(i) Definitions.
For
purposes of each Transaction: (A) “Rating
Agency Condition”
means,
with respect to any action taken or to be taken hereunder, a condition that
is
satisfied when each of, Xxxxx’x Investors Service Inc. (“Moody’s”)
and
Standard & Poor’s Ratings Services, a division of The XxXxxx-Xxxx Companies,
Inc. (“S&P”)]
(each
a “Rating
Agency”,
and
the rating condition with respect to it, the “Xxxxx’x
Rating Condition”
and
“S&P
Rating Condition”,
respectively) has confirmed in writing to the Administrator that such action
will not result in withdrawal, reduction or other adverse action with respect
to
any then-current rating by such Rating Agency of the Certificates; (B)
“Qualifying
Ratings”
means,
with respect to the debt of any assignee or guarantor hereunder, (1) (x) a
short-term unsecured and unsubordinated debt rating of at least “P-1”, and a
long-term unsecured and unsubordinated debt of at least ”A2” (or, if it has no
short-term unsecured and unsubordinated debt rating, a long term rating of
at
least “A1”) by Moody’s (“Moody’s
First Level Qualifying Ratings”),
and
(y) a short-term unsecured and unsubordinated debt rating of at least “P-2”, and
a long-term unsecured and unsubordinated debt of at least ”A3” (or, if it has no
short-term unsecured and unsubordinated debt rating, a long term rating of
at
least “A3”) by Moody’s (“Moody’s
Second Level Qualifying Ratings”),
and
(2) a short-term unsecured and unsubordinated debt rating of at least “A-1” , or
if it does not have a short-term rating, a long-term unsecured and
unsubordinated debt rating of at least “A+” by S&P (“S&P
Qualifying Ratings”),
(C) a
“Collateralization
Event”
shall
occur with respect to BNY (or any applicable credit support provider) if: (1)
its short-term unsecured and unsubordinated debt rating is reduced to “P-2” or
below, and its long-term unsecured and unsubordinated debt is reduced to ”A3” or
below (or, if it has no short-term unsecured and unsubordinated debt rating,
its
long term rating is reduced to “A2” or below) by Moody’s (a “Moody’s
Collateralization Event”),
or
(2) its short-term unsecured and unsubordinated debt rating is reduced to “A-2”
or below, or, if it does not have a short-term rating, its long-term unsecured
and unsubordinated debt rating is reduced to “A” or below by S&P (an
“S&P
Collateralization Event”);
(D) a
“Ratings
Event”
shall
occur with respect to BNY (or any applicable credit support provider) if: (1)
its short-term unsecured and unsubordinated debt rating is withdrawn or reduced
to “P-3” or below and its long-term unsecured and unsubordinated debt is reduced
to “Baa1” (or, if it has no short-term unsecured and unsubordinated debt rating,
its long term rating is reduced to “Baa1” or below) by Moody’s (a “Moody’s
Ratings Event”),
or
(2) its long-term unsecured and unsubordinated debt rating is withdrawn or
reduced to “BB+” or below by S&P (an “S&P
Ratings Event”),
(E)
“Qualified
Transferee”
means
a
transferee of a novation or assignment or a party (other than the Counterparty)
that enters into another form of Replacement Transaction that is a Reference
Market-maker (“dealer” in the definition thereof meaning a “dealer in notional
principal contracts” as defined in Treas. Reg. Section 1.1001-4) having Moody’s
Second Level Qualifying Ratings and S&P Qualifying Ratings; and (F)
“Qualified
Guaranty”
means
an unconditional and irrevocable guaranty of payment (and not of collection)
and
the performance of the other obligations of BNY hereunder by a third party
having Moody’s Second Level Qualifying Ratings and S&P Qualifying Ratings
(“Qualified
Guarantor”)
providing, inter alia,
that
payment thereunder shall be made as provided and on the conditions set forth
in
Section 2(d) as modified hereunder (substituting references to BNY as “X” with
the guarantor as “X” and “this Agreement” with such guaranty,
respectively).
Page 15
of 23
(ii) Actions
to be Taken.
Subject,
in each case to satisfaction of the Rating Agency Condition: (A) if a
Collateralization Event occurs with respect to BNY (or the guarantor under
any
Qualified Guaranty), then BNY shall, at its own expense, within thirty (30)
Business Days of a Moody’s Collateralization Event or thirty (30) days of an
S&P Collateralization Ratings Event; (1) post collateral (commencing
on the dates set forth above) in accordance with the Credit Support Annex
for so long as the Collateralization Event or Ratings Event continues; or (2)
on
terms substantially similar to this Agreement (to be determined by the
Counterparty acting in a commercially reasonable manner) novate or assign or
transfer the Transactions to or replace the Transactions with Replacement
Transactions with a Qualified Transferee; or (3) obtain a Qualified Guaranty;
and (B) if a Ratings Event occurs with respect to BNY (or the guarantor under
any Qualified Guaranty), then BNY shall, at its own expense, within thirty
(30)
Business Days of a Moody’s Ratings Event or ten (10) business days of an S&P
Ratings Event: (1) on terms substantially similar to this Agreement (to be
determined by the Counterparty acting in a commercially reasonable manner)
novate or assign or transfer the Transactions to or replace the Transactions
with Replacement Transactions with a Qualified Transferee, or (2) obtain a
Qualified Guaranty. For the avoidance of doubt, BNY shall post collateral in
accordance with the Credit Support Annex for so long as a Collateralization
Event or Ratings Event continues.
9) Compliance
with Regulation AB.
(a) It
shall
be a swap disclosure event (“Swap
Disclosure Event”)
if, at
any time after the date hereof, the Depositor or any of its affiliates notifies
BNY that the aggregate “significance percentage” (as calculated by the Depositor
or any of its affiliates in accordance with the provisions of Item 1115 of
Regulation AB) of all derivative instruments provided by BNY and any of its
affiliates to Counterparty (collectively, the “Aggregate
Significance Percentage”)
is 10%
or more.
(b) Upon
the
occurrence of a Swap Disclosure Event, BNY, at its own cost and expense (and
without any expense or liability to the Depositor, the Sponsor, the
Underwriters, the Depositor, the Yield Maintenance Trust or the Issuing Entity),
shall take one of the following actions: (i) provide to the Sponsor and the
Depositor: (x) if the Aggregate Significance Percentage is 10% or more, but
less
than 20%, the information required under Item 1115(b)(1) of Regulation AB or
(y)
if the Aggregate Significance Percentage is 20% or more, within five (5)
Business Days, the information required under Item 1115(b)(2) of Regulation
AB;
(ii) on terms substantially similar to this Agreement novate or assign or
transfer the Transactions to or replace the Transactions with Replacement
Transactions with a Qualified Transferee that (x) provides the information
specified in clause (i) above to the Depositor and Sponsor and (y) enters into
documentation substantially similar to the documentation then in place between
BNY and the Counterparty or
(iii)
obtains a Qualified Guaranty by a guarantor that is able to comply with the
requirements of Item 1115(b).
Page 16
of 23
(c) For
so
long as the Aggregate Significance Percentage is 10% or more, BNY shall provide
any updates to the information provided pursuant to clause (b) above to the
Depositor or any of its Affiliates within five (5) Business Days following
availability thereof (but in no event more than 45 days after the end of each
of
BNY’s fiscal quarter for any quarterly update, and in no even more than 90 days
after the end of each of BNY’s fiscal year for any annual update).
(d) All
information provided pursuant to clauses (b) and (c) shall be in a form suitable
for conversion to the format required for filing by the Depositor with the
Commission via the Electronic Data Gathering and Retrieval System (XXXXX).
In
addition, any such information, if audited, shall be accompanied by any
necessary auditor’s consents or, if such information is unaudited, shall be
accompanied by an appropriate agreed-upon procedures letter from BNY’s
accountants. If permitted by Regulation AB, any such information may be provided
by reference to or incorporation by reference from reports filed pursuant to
the
Exchange Act.
(e) BNY’s
obligation to comply with this Paragraph 4(9) shall be suspended on January
1,
2007 unless, at any time, BNY receives notification from the
Depositor or
any of
its affiliates that the obligation to file periodic reports under the Exchange
Act shall continue; provided,
that
such obligations shall not be suspended in respect of any Exchange Act Report
or
amendment to an Exchange Act Report in such fiscal year which relates to any
fiscal year in which the Trust Fund was subject to the reporting requirements
of
the Exchange Act. This obligation shall continue to be suspended unless the
Depositor or
any of
its affiliates notifies BNY that the Trust Fund’s obligations to file reports
under the Exchange Act has resumed.
10) Additional
Provisions.
Notwithstanding the terms of Sections 5 and 6 of the ISDA Form Master Agreement,
if Counterparty has satisfied its payment obligations under Section 2(a)(i)
of
the ISDA Form Master Agreement, then unless BNY is required pursuant to
appropriate proceedings to return to Counterparty or otherwise returns to
Counterparty upon demand of Counterparty any portion of such payment, (a) the
occurrence of an event described in Section 5(a) of the ISDA Form Master
Agreement with respect to Counterparty shall not constitute an Event of Default
or Potential Event of Default with respect to Counterparty as the Defaulting
Party and (b) BNY shall be entitled to designate an Early Termination Date
pursuant to Section 6 of the ISDA Form Master Agreement only as a result of
a
Termination Event set forth in either Section 5(b)(i) or Section 5(b)(ii) of
the
ISDA Form Master Agreement with respect to BNY as the Affected Party or Section
5(b)(iii) of the ISDA Form Master Agreement with respect to BNY as the Burdened
Party. For purposes of the Transaction to which this Agreement relates,
Counterparty’s only obligation under Section 2(a)(i) of the ISDA Form Master
Agreement is to pay the Fixed Amount on the Fixed Rate Payer Payment
Date.
11) BNY Payments
to be made to Administrator.
BNY
will, unless otherwise directed by the Trustee,
make
all payments hereunder to the Administrator. Payment made to the Administrator
at the account specified herein or to another account specified in writing
by
the Administrator shall satisfy the payment obligations of BNY hereunder to
the
extent of such payment.
Page 17
of 23
|
5.
|
Account
Details and Settlement
Information:
|
Payments
to BNY:
The
Bank
of New York
Derivative
Products Support Department
00
Xxx
Xxxx, 00xx
Xxxxx
Xxx
Xxxx,
Xxx Xxxx 00000
Attention:
Xxxxx Xxxxxxx
ABA
#000000000
Account
#000-0000-000
Reference:
Interest Rate Cap
Payments
to Counterparty:
Xxxxx
Fargo Bank, N.A.
ABA#:
000-000-000
Account
Name: SAS Clearing
Account
Number: 0000000000
6.
Counterparts.
This
Agreement may be executed in several counterparts, each of which shall be deemed
an original but all of which together shall constitute one and the same
instrument.
Please
confirm that the foregoing correctly sets forth the terms of our agreement
by
executing this agreement and returning it via facsimile to Derivative Products
Support Dept., Attn: Xxxxx Au-Xxxxx at 000-000-0000/5837. Once we receive this
we will send you two original confirmations for execution.
Page 18
of 23
We
are
very pleased to have executed this Transaction with you and we look forward
to
completing other transactions with you in the near future.
Very
truly yours,
THE
BANK OF NEW YORK
By:
/s/ B. Xxxx Xxxxxxx
Name:
B.
Xxxx Xxxxxxx
Title:
Vice President
Page 19
of 23
The
Counterparty, acting through its duly authorized signatory, hereby agrees
to,
accepts and confirms the terms of the foregoing as of the Trade
Date.
Xxxxx
Fargo Bank, N.A.,
not in
its individual capacity, but solely as Administrator for the Yield Maintenance
Trust with respect to the Harborview Mortgage Loan Trust 2006-14
By:
/s/ Xxxxxx X. Xxxxxxx
Name:
Xxxxxx X. Xxxxxxx
Title:
Assistant Vice President
Page 20
of 23
SCHEDULE
I
All
dates
subject to adjustment in accordance with the Following Business Day
Convention.
|
Accrual
Start Date
|
Accrual
End Date
|
Notional
Amount (in USD)
|
Cap
Rate (%)
|
Ceiling
Rate (%)
|
|
12/19/08
|
01/19/09
|
1,162,479,150.35
|
8.4841
|
8.6000
|
|
01/19/09
|
02/19/09
|
1,118,377,869.57
|
8.4795
|
8.6000
|
|
02/19/09
|
03/19/09
|
1,075,949,112.13
|
8.4746
|
8.6000
|
|
03/19/09
|
04/19/09
|
1,035,129,428.22
|
8.4708
|
8.6000
|
|
04/19/09
|
05/19/09
|
995,857,777.11
|
8.4644
|
8.6000
|
|
05/19/09
|
06/19/09
|
958,075,435.54
|
8.4609
|
8.6000
|
|
06/19/09
|
07/19/09
|
921,725,909.64
|
8.4602
|
8.6000
|
|
07/19/09
|
08/19/09
|
886,754,850.20
|
8.4618
|
8.6000
|
|
08/19/09
|
09/19/09
|
853,109,971.16
|
8.4635
|
8.6000
|
|
09/19/09
|
10/19/09
|
820,740,971.17
|
8.4683
|
8.6000
|
|
10/19/09
|
11/19/09
|
789,599,458.19
|
8.4754
|
8.6000
|
|
11/19/09
|
12/19/09
|
759,638,876.91
|
8.4848
|
8.6000
|
|
12/19/09
|
01/19/10
|
730,814,438.99
|
8.2185
|
8.6000
|
|
01/19/10
|
02/19/10
|
703,083,055.88
|
8.1874
|
8.6000
|
|
02/19/10
|
03/19/10
|
676,403,274.26
|
8.1546
|
8.6000
|
|
03/19/10
|
04/19/10
|
650,735,213.93
|
6.4508
|
8.6000
|
|
04/19/10
|
05/19/10
|
626,040,507.99
|
5.9955
|
8.6000
|
|
05/19/10
|
06/19/10
|
602,282,245.43
|
5.8940
|
8.6000
|
|
06/19/10
|
07/19/10
|
579,424,915.76
|
5.7814
|
8.6000
|
|
07/19/10
|
08/19/10
|
557,434,355.85
|
5.6574
|
8.6000
|
|
08/19/10
|
09/19/10
|
536,277,698.74
|
5.5206
|
8.6000
|
|
09/19/10
|
10/19/10
|
515,923,324.42
|
5.3727
|
8.6000
|
|
10/19/10
|
11/19/10
|
496,340,812.48
|
6.7989
|
8.6000
|
|
11/19/10
|
12/19/10
|
475,064,928.29
|
6.3890
|
7.3400
|
|
12/19/10
|
01/19/11
|
457,045,056.08
|
6.2640
|
7.3400
|
|
01/19/11
|
02/19/11
|
439,712,432.92
|
6.1334
|
7.3400
|
|
02/19/11
|
03/19/11
|
423,040,641.59
|
5.9968
|
7.3400
|
|
03/19/11
|
04/19/11
|
407,004,290.65
|
5.8541
|
7.3400
|
|
04/19/11
|
05/19/11
|
391,578,974.09
|
5.7049
|
7.3400
|
|
05/19/11
|
06/19/11
|
376,741,232.66
|
5.5582
|
7.3400
|
|
06/19/11
|
07/19/11
|
362,468,516.64
|
5.4273
|
7.3400
|
|
07/19/11
|
08/19/11
|
348,739,150.25
|
5.3711
|
7.3400
|
|
08/19/11
|
09/19/11
|
335,532,297.28
|
5.3542
|
7.3400
|
|
09/19/11
|
10/19/11
|
322,380,145.20
|
5.2721
|
7.3400
|
|
10/19/11
|
11/19/11
|
309,071,023.72
|
5.1094
|
7.3400
|
|
11/19/11
|
12/19/11
|
296,363,495.85
|
5.0612
|
7.3400
|
|
12/19/11
|
01/19/12
|
284,226,737.66
|
4.9780
|
7.3400
|
|
01/19/12
|
02/19/12
|
272,631,731.56
|
4.9708
|
7.3400
|
Page 21
of 23
|
02/19/12
|
03/19/12
|
261,551,148.11
|
4.9619
|
7.3400
|
|
03/19/12
|
04/19/12
|
251,269,896.06
|
5.0874
|
7.3400
|
|
04/19/12
|
05/19/12
|
241,897,740.42
|
5.2897
|
7.3400
|
|
05/19/12
|
06/19/12
|
232,874,808.87
|
5.2670
|
7.3400
|
|
06/19/12
|
07/19/12
|
224,188,083.99
|
5.2462
|
7.3400
|
|
07/19/12
|
08/19/12
|
215,825,034.38
|
5.2245
|
7.3400
|
|
08/19/12
|
09/19/12
|
207,773,596.36
|
5.2018
|
7.3400
|
|
09/19/12
|
10/19/12
|
200,022,156.59
|
5.1781
|
7.3400
|
|
10/19/12
|
11/19/12
|
192,559,535.12
|
5.1533
|
7.3400
|
|
11/19/12
|
12/19/12
|
243,382,658.71
|
4.5000
|
7.7501
|
|
12/19/12
|
01/19/13
|
235,204,722.64
|
4.5000
|
7.8626
|
|
01/19/13
|
02/19/13
|
226,764,628.46
|
4.5000
|
7.9672
|
|
02/19/13
|
03/19/13
|
218,662,911.22
|
4.5000
|
8.0651
|
|
03/19/13
|
04/19/13
|
210,759,593.77
|
4.5000
|
8.1604
|
|
04/19/13
|
05/19/13
|
203,288,387.92
|
4.5000
|
8.2494
|
|
05/19/13
|
06/19/13
|
196,073,694.07
|
4.5000
|
8.3229
|
|
06/19/13
|
07/19/13
|
181,614,219.47
|
4.5000
|
8.3978
|
|
07/19/13
|
08/19/13
|
174,960,542.54
|
4.5000
|
8.4736
|
|
08/19/13
|
09/19/13
|
168,593,901.98
|
4.5000
|
8.5547
|
|
09/19/13
|
10/19/13
|
162,469,956.67
|
4.5000
|
8.6331
|
|
10/19/13
|
11/19/13
|
156,537,359.90
|
4.5000
|
8.6852
|
|
11/19/13
|
12/19/13
|
150,837,345.84
|
4.5000
|
8.7231
|
|
12/19/13
|
01/19/14
|
103,078,322.51
|
4.5000
|
8.7810
|
|
01/19/14
|
02/19/14
|
99,139,922.76
|
4.5000
|
8.8244
|
|
02/19/14
|
03/19/14
|
95,351,785.68
|
4.5000
|
8.8648
|
|
03/19/14
|
04/19/14
|
91,686,097.58
|
4.5000
|
8.8975
|
|
04/19/14
|
05/19/14
|
86,162,390.77
|
3.0000
|
8.9266
|
|
05/19/14
|
06/19/14
|
82,780,633.55
|
3.0000
|
8.9400
|
|
06/19/14
|
07/19/14
|
79,539,152.79
|
3.0000
|
8.9666
|
|
07/19/14
|
08/19/14
|
76,416,838.97
|
3.0000
|
8.9808
|
|
08/19/14
|
09/19/14
|
73,423,525.94
|
3.0000
|
8.9844
|
|
09/19/14
|
10/19/14
|
70,547,104.86
|
3.0000
|
8.9665
|
|
10/19/14
|
11/19/14
|
67,776,268.87
|
3.0000
|
8.9571
|
|
11/19/14
|
12/19/14
|
65,119,455.61
|
3.0000
|
8.9503
|
|
12/19/14
|
01/19/15
|
62,559,639.65
|
3.0000
|
8.9284
|
|
01/19/15
|
02/19/15
|
60,105,449.42
|
3.0000
|
8.8899
|
|
02/19/15
|
03/19/15
|
57,747,799.16
|
3.0000
|
8.8761
|
|
03/19/15
|
04/19/15
|
55,458,694.50
|
3.0000
|
8.8372
|
|
04/19/15
|
05/19/15
|
53,283,032.66
|
3.0000
|
8.8217
|
|
05/19/15
|
06/19/15
|
51,189,201.34
|
3.0000
|
8.7788
|
|
06/19/15
|
07/19/15
|
49,181,911.58
|
3.0000
|
8.7044
|
|
07/19/15
|
08/19/15
|
47,250,048.65
|
3.0000
|
8.6416
|
|
08/19/15
|
09/19/15
|
45,395,814.62
|
3.0000
|
8.5809
|
|
09/19/15
|
10/19/15
|
43,612,953.21
|
3.0000
|
8.5164
|
|
10/19/15
|
11/19/15
|
41,895,846.27
|
3.0000
|
8.4289
|
|
11/19/15
|
12/19/15
|
40,247,046.96
|
3.0000
|
8.3608
|
Page 22
of 23
|
12/19/15
|
01/19/16
|
38,658,876.44
|
3.0000
|
8.2853
|
|
01/19/16
|
02/19/16
|
37,133,703.39
|
3.0000
|
8.1994
|
|
02/19/16
|
03/19/16
|
35,667,344.96
|
3.0000
|
8.1174
|
|
03/19/16
|
04/19/16
|
34,252,857.11
|
3.0000
|
8.0171
|
|
04/19/16
|
05/19/16
|
32,897,353.23
|
3.0000
|
7.9363
|
|
05/19/16
|
06/19/16
|
31,592,925.30
|
3.0000
|
7.8487
|
|
06/19/16
|
07/19/16
|
30,339,874.81
|
3.0000
|
7.7455
|
|
07/19/16
|
08/19/16
|
29,134,169.75
|
3.0000
|
7.6471
|
|
08/19/16
|
09/19/16
|
27,975,596.22
|
3.0000
|
7.5475
|
|
09/19/16
|
10/19/16
|
26,860,301.67
|
3.0000
|
7.4358
|
|
10/19/16
|
11/19/16
|
25,785,814.02
|
3.0000
|
7.3508
|
|
11/19/16
|
12/19/16
|
24,751,584.78
|
3.0000
|
7.2342
|
Page 23
of 23
Exhibit
A
to Confirmation No. 38693
[Credit
Support Annex to follow this page]
|
(Bilateral
Form)
|
(ISDA
Agreements Subject to New York Law
Only)
|
ISDA®
International
Swaps and Derivatives Association, Inc.
CREDIT
SUPPORT ANNEX
to
the
Schedule to the
ISDA
Master Agreement
Dated
as
of December 22, 2006
between
|
THE
BANK OF NEW YORK
|
and
|
Xxxxx
Fargo Bank, N.A.,
not
in its individual capacity, but solely as Administrator
for the Yield Maintenance Trust with respect to
the Harborview
Mortgage Loan Trust 2006-14
|
|
established
as a banking organization under the laws of the State of New
York
|
The
Trust is a common law trust established under the laws of the State
of New
York.
|
|
|
(“Party
A”)
|
(“Party
B”)
|
|
|
_________________________________
|
_____________________________________
|
This
Annex supplements, forms part of, and is subject to, the Master Agreement
specified in the Confirmation (BNY Ref. No. 38693) (the “Agreement”),
dated
even date herewith, is part of the Schedule deemed incorporated therein and
is a
Credit Support Document under the Master Agreement with respect to Party
A.
Accordingly,
the parties agree as follows:—
Paragraphs
1 - 12. Incorporation. 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, except that Paragraph 1(b) is hereby amended in its entirety
to read as follows:
“(b) Secured
Party and Pledgor.
Notwithstanding anything contained in this Annex to the contrary, (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 will be required
to
make Transfers of Eligible Credit Support hereunder.”
1
Paragraph
13.
Certain
Definitions.
As used
herein, “Moody’s”,
“S&P”,
“Rating
Agency”,
“Collateralization
Event”,
“Moody’s
Collateralization Event”,
“S&P
Collateralization Event”;
“Ratings
Event”,
“Moody’s
Ratings Event”,
and
“S&P
Ratings Event”
have
the meanings assigned in the Schedule.
(a) Security
Interest for “Obligations.” The
term
“Obligations” as
used
in this Annex includes the following additional obligations: 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) except
that the words “upon a demand made by the Transferee on or promptly following a
Valuation Date” shall be deleted and replaced by the words “on each Valuation
Date on which the Threshold for BNY is Zero, commencing no later than the
Valuation Date falling, in the case of a Moody’s Collateralization Event or
Moody’s Ratings Event on the 30th Local Business Day thereafter, and in the case
of an S&P Collateralization Event, the thirtieth (30th) day thereafter or
the next day that is a Local Business Day and, in the case of an S&P Ratings
Event, commencing promptly after publication by S&P of the applicable change
in rating, but no later than the tenth (10th) Business Days
thereafter.”
(B) “Return
Amount”
has
the
meaning specified in Paragraph 3(b).
(C) “Credit
Support Amount”
in
Paragraph 3(b), shall be amended in its entirety to read as
follows:
"’Credit
Support Amount’
means,
unless otherwise specified in Paragraph 13, for any Valuation Date after
and
during the continuance of a Collateralization Event or Ratings Event, (i)
the
Secured Party’s Exposure for that Valuation Date, plus
(ii) the
aggregate Independent Amounts applicable to the Pledgor (with respect to
all
Affected Transactions), if any, minus
(iii)
the Pledgor's Threshold; provided,
however,
that
the Credit Support Amount will be deemed to be zero whenever the calculation
of
the Credit Support Amount yields a number less than zero; and, provided further,
that,
if a Xxxxx’x Rating Event has occurred and continued for at least thirty (30)
Business Days, the Credit Support Amount will not be less than the aggregate
amount of all next scheduled Payments in respect of the Affected Transactions
to
be made by the Pledgor less
any
payments due to be made by the Secured Party under Section 2(a) on such Payment
Dates (in each case, after giving effect to any applicable netting under
Section
2(c)).
(ii) Eligible
Collateral. The
items
set forth in Schedule 1 will qualify as “Eligible
Collateral” for
Party
A.
(iii) Other
Eligible Support. The
following items will qualify as“Other
Eligible Support” for
the
party specified: Not Applicable.
(iv) Thresholds.
(A) “Independent
Amount”
means
with respect to Party B: Zero; and, with respect to Party A, an amount, as
of
the date of determination, equal to the product of the aggregate Notional
Amount
outstanding at the beginning of the related Calculation Period under the
applicable Affected Transactions, and the greater of:
(1) in
respect of a Moody’s Collateralization Event or a Moody’s Ratings Event, the
percentage set forth in Schedule 2A, Schedule 2B or Schedule 2C, as applicable
(“Moody’s
Independent Amount’);
and
2
(2) in
respect of an S&P Collateralization Event or an S&P Ratings Event, (x)
with respect to basis risk swaps, the product of the S&P Volatility Buffer
determined using the table set forth in Schedule 3 and .10, and (y) with
respect
to all other Transactions, the S&P Volatility Buffer determined using the
table set forth in Schedule 3 (“S&P
Independent Amount)”.
(B) “Threshold”
means
for each party: An infinite number; provided, that the Threshold for Party
A
shall be zero upon the occurrence and during the continuance of an Event
of
Default, Termination Event, Additional Termination Event, or Specified Condition
with respect to such party and, with respect to Party A, at any time that
Party
A elects or is required to post Collateral pursuant to the occurrence of
a
Collateralization Event or Ratings Event.
(C) “Minimum
Transfer Amount” means
with respect to Party A and Party B: $100,000; provided,
that
the Minimum Transfer Amount for such party shall be $50,000 in respect of
an
S&P Collateralization Event if the aggregated principal balance of the
Certificates is less than $50,000,000 on the applicable Valuation Date, and
shall be zero upon the occurrence and during the continuance of an Event
of
Default, Termination Event, Additional Termination Event, or Specified Condition
with respect to such party.
(D) Rounding.
The
Delivery Amount and the Return Amount will be rounded up and down respectively
to the nearest integral multiple of $1,000.
(v) Conflicting
Valuation Percentage.
Notwithstanding the definition of "Valuation Percentage" in Paragraph 10,
the
Valuation Percentage for any item of Eligible Collateral shall be the lowest
of
the applicable percentages specified for such item by any Rating Agency then
rating the Certificates.
(c) Valuation
and Timing.
(i) “Valuation
Agent”
means,
Party A, provided,
that if
any Event of Default with respect to Party A has occurred and is continuing,
then any designated third party mutually agreed to by the parties shall be
the
Valuation Agent until such time as Party A is no longer a Defaulting
Party.
(ii) “Valuation
Date”
means:
[X] each
Local Business Day, or
[
] any
Local
Business Day in each calendar week, which shall be the same calendar day
each
week to the extent practicable, on a reasonably consistent basis.
If
not
selected above, the Valuation Date shall be selected by Party A upon the
first
to occur of a Collateralization Event or Ratings Event and shall not be changed
thereafter.
(iii) “Valuation
Time”
means:
[
] the
close
of business in the city of the Valuation Agent on the Valuation Date or date
of
calculation, as applicable;
[X] the
close
of business 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.
(iv) “Notification
Time”
means
1:00 p.m., New York time, on a Local Business Day.
(d) Conditions
Precedent and Secured Party’s Rights and Remedies.
(i)
Illegality and (ii) Additional Termination Events will be a “Specified
Condition”
for
Party A (as the Affected Party) (but not for purposes of Paragraph 8(d)),
and
(iii) Tax Event and (iv) Tax Event Upon Merger will not be a “Specified
Condition
for
Party A.
3
(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):
Applicable.
(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 is given that gives rise to a dispute under Paragraph 5.
(ii) Value. For
the
purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Posted Credit Support
will
be calculated as follows: as set forth for other purposes in Paragraph
12.
(iii) Alternative. The
provisions of Paragraph 5 will apply, except to the following extent: (A)
pending the resolution of a dispute, Transfer of the undisputed Value of
Eligible Credit Support or Posted Credit Support involved in the relevant
demand
will be due as provided in Paragraph 5 if the demand is given by the
Notification Time, but will be due on the second Local Business Day after
the
demand if the demand is given after the Notification Time; and (B) the Disputing
Party need not comply with the provisions of Paragraph 5(II)(2) if the amount
to
be Transferred does not exceed the Disputing Party’s Minimum Transfer
Amount.
(g) Holding
and Using Posted Collateral.
(i) Eligibility
to Hold Posted Collateral; Custodians.
The
Secured Party will not be entitled to hold Posted Collateral itself. The
Secured
Party will be hold Posted Collateral through a Custodian (which may be the
Trustee or the Administrator and which shall at all times be a financial
institution as specified under the Pooling and Servicing Agreement, or, if
not
so specified, which shall be a
commercial bank or trust company which is unaffiliated with Party B organized
under the laws of the United States or any state thereof, having assets of
at
least $10 billion and a long term debt or a deposit rating of at least (i)
Baa2
from Moody's and (ii) BBB from S&P, in an identifiable segregated account
(provided that, so long as the Certificates are rated by S&P, the Custodian
must have a short-term debt or deposit rating of at least A-1 from
S&P).
Initially,
the Custodian for Party B is: Xxxxx Fargo Bank, N.A.
(ii) Use
of Posted Collateral. The
provisions of Paragraph 6(c) will apply to the Secured Party; therefore,
Party B
will not have any of the rights specified in Paragraph 6(c)(i) or 6 (c)(ii).
(h) Distributions
and Interest Amount.
(i) Interest
Rate.
The “Interest
Rate”, with
respect to Eligible Collateral in the form of Cash will be, if the Custodian
or
Trustee is instructed to invest Cash Posted Collateral as provided in Paragraph
13(l)(vii), the rate actually earned on the Cash Posted Collateral or, if
the
Pledgor instructs that the Cash Posted Collateral not be invested, an amount
equal to the contractual rate of interest entitled to be received on such
amounts from the Swap Collateral Account (as hereinbelow defined), as
applicable; provided,
that, if the Swap Collateral Account does not pay interest and the Custodian
or
Administrator
is not obligated to invest Cash Posted Collateral under the Pooling and
Servicing Agreement, the “Interest Rate” will be, for any day, the rate opposite
the caption “Federal Funds (Effective)” for such day as published for such day
in Federal Reserve Publication H.15(519) or any successor publication as
published by the Board of Governors of the Federal Reserve System or such
other
rate as agreed by the parties.
(ii) Transfer
of Interest Amount. The
Transfer of the Interest Amount will be made (x) with respect to earnings
from
Eligible Investments pursuant to Part 13(l)(vii) or from the interest on
the
Swap Collateral Account pursuant to Part 13(h)(i), on such date as accrued
and
received (or if so agreed, on the first Local Business Day of each calendar
month) and on any Local Business Day that Posted Collateral in the form of
Cash
is Transferred to the Pledgor pursuant to Paragraph 3(b), and (y) with respect
to any other Interest Amount, subject to the availability of interest and
earnings on the Mortgage Loans therefor, on the first Local Business Day
of each
calendar month and on any Local Business Day that Posted Collateral in the
form
of Cash is Transferred to the Pledgor pursuant to Paragraph 3(b).
4
(iii) Alternative
to Interest Amount. The
provisions of Paragraph 6(d)(ii) will apply.
(i) Other
Eligible Support and Other Posted Support.
(i) “Value”
with
respect to Other Eligible Support and Other Posted Support means:
Inapplicable.
(ii) “Transfer”
with
respect to Other Eligible Support and Other Posted Support means:
Inapplicable.
(j) Demands
and Notices. All
demands, specifications and notices under this Annex will be made pursuant
to
the Notices Section of this Agreement, unless otherwise specified here:
|
(i)
|
Party
A:
to be specified in each
notice.
|
|
(ii)
|
Party
B:
|
|
Address:
|
Xxxxx
Fargo Bank, N.A., not in its individual capacity, but solely
as
Administrator for the Yield Maintenance Trust with respect to
the
Harborview Mortgage Loan Trust
2006-14
|
0000
Xxx
Xxxxxxxxx Xxxx
Xxxxxxxx,
Xxxxxxxx 00000
|
Attention:
|
HarborView
2006-14 — Client Manager
|
|
Telephone:
|
000-000-0000
|
|
Facsimile:
|
000-000-0000
|
(k) Addresses
for Transfers.
|
Party
A:
|
For
Cash: To be provided
|
For
Eligible Collateral: To be provided
|
Party
B:
|
To
be provided
|
(l) Other
Provisions.
(i) Additional
Definitions.
As used
in this Annex:—
"Equivalent
Collateral"
means,
with respect to any security constituting Posted Collateral, a security of
the
same issuer and, as applicable, representing or having the same class, series,
maturity, interest rate, principal amount or liquidation value and such other
provisions as are necessary for that security and the security constituting
Posted Collateral to be treated as equivalent in the market for such
securities;
"Local
Business Day"
means:
(i) any day on which commercial banks are open for business (including dealings
in foreign exchange and foreign currency deposits) in New York, and (ii)
in
relation to a Transfer of Eligible Collateral, a 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 for foreign exchange and foreign currency deposits)
in New York and such other places as the parties shall agree);
5
(ii) Transfer
Timing.
(A) Paragraph
4(b) shall be deleted and replaced in its entirety by the following paragraph:
"Subject to Paragraphs 4(a) and 5 and unless otherwise specified, if a demand
for the Transfer of Eligible Credit Support or Posted Credit Support is made
by
the Notification Time, then the relevant Transfer will be made not later
than
the close of business on the second Local Business Day thereafter; if a demand
is made after the Notification Time then the relevant Transfer will be made
not
later than the close of business on the third Local Business Day
thereafter."
(B) Paragraph
6(d)(1) shall be amended so that the reference therein to "the following
Local
Business Day" shall be replaced by reference to "the second Local Business
Day
thereafter".
(iii) Events
of Default.
Paragraph 7 shall be deleted and replaced in its entirety by the following
paragraph:
“For
the
purposes of Section 5(a)(i) of this Agreement, an Event of Default will exist
with respect to a party if that party fails (or fails to cause its Custodian)
to
make, when due, any Transfer of Eligible Credit Support, Posted Credit Support
or the Interest Amount, as applicable, required to be made by it and that
failure continues for two Local Business Day after the notice of that failure
is
given to that party; provided,
that,
with
respect to a failure to Transfer Eligible
Credit Support,
at least
(x) 30 Local Business Days have elapsed after a Ratings Event has occurred,
and
(y) 10 Business Days have elapsed after an S&P Ratings Event, and such
failure is not remedied on or before the third Local Business Day after notice
of such failure is given to Party A”.
(iv) Return
of Fungible Securities.
In lieu
of returning to the Pledgor pursuant to Paragraphs 3(b), 4(d), 5 and 8(d)
any
Posted Collateral comprising securities the Secured Party may return Equivalent
Collateral.
(v) No
Counterclaim.
A
party's rights to demand and receive the Transfer of Eligible Collateral
as
provided hereunder and its rights as Secured Party against the Posted Collateral
or otherwise shall be absolute and subject to no counterclaim, set-off,
deduction or defense in favor of the Pledgor except as contemplated in Sections
2 and 6 of the Agreement and Paragraph 8 of this Annex.
(vi) Holding
Collateral.
The
Secured Party shall cause any Custodian appointed hereunder to open and maintain
a segregated account (the “Swap
Collateral Account”)
and to
hold, record and identify all the Posted Collateral therein and, subject
to
Paragraphs 6(c) and 8(a), such Posted Collateral shall at all times be and
remain the property of the Pledgor and shall at no time constitute the property
of, or be commingled with the property of, the Secured Party or the
Custodian.
(vii) Investment
of Cash Posted Collateral.
Cash
Posted Collateral shall be invested in Permitted Investments as directed
by
Party A, with gains and losses incurred in respect of such investments to
be for
the account of Party A, subject to the following parameters: the Cash Posted
Collateral shall be invested in such overnight (or redeemable within two
Local
Business Days of demand) investments rated at least A-1+ by S&P and Prime -1
by Xxxxx’x or AAAm or AAAmG by S&P and Aaa by Xxxxx’x as directed by Party A
(provided, that such investment shall be held uninvested or invested at the
direction of Party B if an Event of Default or an Additional Termination
Event
has occurred with respect to which Party A is the defaulting or sole Affected
Party and Party B has designated an Early Termination Date with respect
thereto). Such instructions may be delivered as standing
instructions.
6
(viii) Return
of Posted Collateral.
If a
Collateralization Event occurs and thereafter ceases to be continuing (and
provided that no Event of Default or Potential Event of Default exists with
respect to Party A) or Party A has made a Permitted Transfer under this
Agreement, then Party A’s obligations to transfer Eligible Collateral under this
Annex will immediately cease with respect to that Collateralization Event,
and
Party B will, upon demand by Party A, return to Party A, or cause its Custodian
to return, all Posted Collateral held under this Annex. The Secured Party
is
authorized to liquidate any Posted Collateral pursuant to written instructions
from Party A.
(ix) External
Verification of Xxxx-to-Market Valuations.
If the
long term senior unsecured debt of Party A is rated BBB or lower by S&P,
once every month after an S&P Ratings Event occurs and during its
continuance, Party A will at its own expense verify its determination of
Exposure of the Transaction on the next Valuation Date by seeking quotations
from two (2) Reference Market-makers (provided,
that a
Reference Market-maker may not be used more than four times within each 12
month
period) for their determination of Exposure of the Transaction on such Valuation
Date and the Valuation Agent will use the greater of either (a) its own
determination or (b) the high quotation for a Reference Market-maker, if
applicable for the next Valuation Date. Party A shall provide the quotations
of
such Reference Market-makers to S&P.
(x) Expenses.
Notwithstanding 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 the transfer of Eligible Collateral.
(xi) Limit
on Secured Party’s Liability. The
Secured Party will not be liable for any losses or damages that the Pledgor
may
suffer as a result of any failure by the Secured Party to perform, or any
delay
by it in performing, any of its obligations under this Annex if the failure
or
delay results from circumstances beyond the reasonable control of the Secured
Party or its Custodian, such as interruption or loss of computer or
communication services, labor disturbance, natural disaster or local or national
emergency.
[Signature
page immediately follows]
7
IN
WITNESS WHEREOF the parties have executed this Credit Support Annex on the
respective dates specified below with effect from the date on the first page.
|
THE
BANK OF NEW YORK
|
Xxxxx
Fargo Bank, N.A.,
not
in its individual capacity, but solely as Administrator
for the Yield Maintenance Trust with respect to the Harborview
Mortgage Loan Trust 2006-14
|
|
By:
/s/B. Xxxx Xxxxxxx
|
By:
/s/
Xxxxxx X. Xxxxxxx
|
|
Name:
B. Xxxx Xxxxxxx
Title:
Vice President
Date:
|
Name:
Xxxxxx X. Xxxxxxx
Title:
Assistant Vice President
Date:
|
8
SCHEDULE
1
ELIGIBLE
COLLATERAL
Certificates:
Harborview
Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series
2006-14
Highest
Rating of Certificates: Class 1A-1A, Class 2A-1A, Class 2A-1B, Class 2A-1C
and
Class 2A-2C rated “Aaa” by Xxxxx’x, and “AAA” by S&P.
Scheduled
Date Certificates will fall below $50,000,000: September 2019
Last
Scheduled Payment Date of Transactions: December 19, 2016
Valuation
Date (and Valuation Percentage column): Daily
Xxxxx’x
Valuation Percentage columns:
*
Column
A sets out the percentage applicable when a Xxxxx’x Rating Event has not
occurred and been continuing for at least 30 Local Business Days
*
Column
B sets out the percentage applicable when a Xxxxx’x Rating Event has occurred
and been continuing for at least 30 Local Business Days
|
Eligible
Collateral & Valuation Percentages
Xxxxx’x
and S&P
|
|||||
|
Valuation
Percentage
|
Valuation
Percentage
|
||||
|
Xxxxx’x
|
S&P
|
||||
|
A
|
B
|
Daily
|
Weekly
|
||
|
(A)
|
Cash:
U.S. Dollars in depositary account form
|
100
|
100
|
100
|
100
|
|
(B)
|
U.S.
Treasury Securities:
negotiable debt obligations issued by the U.S. Treasury Department
after
July 18, 1984 (“Treasuries”)
having a remaining maturity of up to and not more than 1
year.
|
100
|
100
|
98.9
|
98.6
|
|
(C)
|
Treasuries
having a remaining maturity of greater than 1 year but not
more than 2
years.
|
100
|
99
|
98
|
97.3
|
|
(D)
|
Treasuries
having a remaining maturity of greater than 2 years but not
more than 3
years.
|
100
|
98
|
97.4
|
95.8
|
|
(E)
|
Treasuries
having a remaining maturity of greater than 3 years but not
more than 5
years.
|
100
|
97
|
95.5
|
93.8
|
|
(F)
|
Treasuries
having a remaining maturity of greater than 5 years but not
more than 7
years.
|
100
|
95
|
93.7
|
91.4
|
|
(G)
|
Treasuries
having a remaining maturity of greater than 7 years but not
more than 10
years.
|
100
|
94
|
92.5
|
90.3
|
|
(H)
|
Treasuries
having a remaining maturity of greater than 10 years but not
more than 20
years.
|
100
|
89
|
91.1
|
87.9
|
|
(I)
|
Treasuries
having a remaining maturity of greater than 20 years but not
more than 30
years.
|
100
|
87
|
88.6
|
84.6
|
1-1
|
(J)
|
Agency
Securities:
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), Tennessee Valley
Authority
(TVA) (collectively, “Agency
Securities”)
issued after July 18, 1984 and having a remaining maturity
of not more
than 1 year.
|
100
|
99
|
98.5
|
98
|
|
(K)
|
Agency
Securities having a remaining maturity of greater than 1 year
but not more
than 2 years.
|
100
|
98
|
97.7
|
96.8
|
|
(L)
|
Agency
Securities having a remaining maturity of greater than 2 years
but not
more than 3 years.
|
100
|
97
|
97.3
|
96.3
|
|
(M)
|
Agency
Securities having a remaining maturity of greater than 3 years
but not
more than 5 years.
|
100
|
96
|
94.5
|
94.5
|
|
(N)
|
Agency
Securities having a remaining maturity of greater than 5 years
but not
more than 7 years.
|
100
|
94
|
93.1
|
90.3
|
|
(O)
|
Agency
Securities having a remaining maturity of greater than 7 years
but not
more than 10 years.
|
100
|
93
|
90.7
|
86.9
|
|
(P)
|
Agency
Securities having a remaining maturity of greater than 10 years
but not
more than 20 years.
|
100
|
88
|
87.7
|
82.6
|
|
(Q)
|
Agency
Securities having a remaining maturity of greater than 20 years
but not
more than 30 years.
|
100
|
86
|
84.4
|
77.9
|
|
(R)
|
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,
issued after
July 18, 1984 and having a remaining maturity of not more than
30
years.
|
*
|
*
|
91.50
|
86.40
|
|
(S)
|
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, issued after July
18, 1984 and
having a remaining maturity of not more than 30 years.
|
*
|
*)
|
91.50
|
86.40
|
1-2
|
(T)
|
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, issued after July 18, 1984 and having a remaining
maturity
of not more than 30 years.
|
*
|
*
|
91.50
|
86.40
|
|
(U)
|
Commercial
Mortgage-Backed Securities.
Floating rate commercial mortgage-backed securities rated AAA
by two major
rating agencies (including S&P if S&P is a Rating Agency
hereunder) with a minimum par or face amount of $250 million
(excluding
securities issued under Rule 144A) (“Commercial
Mortgage-Backed Securities”)
having a remaining maturity of not more than 5 years.
|
*
|
*
|
96.2
|
95.1
|
|
(V)
|
Commercial
Mortgage-Backed Securities having a remaining maturity of more
than 5
years and not more than 10 years.
|
*
|
*
|
92.9
|
90.9
|
|
(W)
|
Commercial
Mortgage-Backed Securities having a remaining maturity of more
than 10
years.
|
91.0
|
88.6
|
||
|
(X)
|
Commercial
Paper.
Commercial Paper with a rating of at least P-1 by Xxxxx’x and at least
A-1+ by S&P and having a remaining maturity of not more than 30
days.
|
*
|
*
|
99
|
99
|
|
(Y)
|
Other
Items of Credit Support approved by the Rating Agencies to
the extent any
[Certificates] are rated.
|
*
|
*
|
*
|
*
|
*
percentage to be determined percentage to be determined when such other Item
of
Credit Support (including, without limitation, Agency Securities, FHLMC
Certificates , FNMA Certificates , GNMA Certificates , Commercial
Mortgage-Backed Securities and Commercial Paper) has been approved by Xxxxx’x or
S&P as the case may be.
1-3
SCHEDULE
2A
XXXXX’X
INDEPENDENT AMOUNT (FIRST TRIGGER)
Certificates:
Harborview
Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series
2006-14
Last
Scheduled Payment Date of Transactions: December 19, 2016
Valuation
Date (and Valuation Percentage column): Daily
The
following percentages shall be used in the calculation of the Xxxxx'x
Independent Amount when the Pledgor elects or is required to post collateral
following the occurrence and continuance of a Collateralization Event for
thirty
(30 Business Days.
|
Weighted
Average Life of Transaction in Years
|
Valuation
Date (Daily)
|
Valuation
Date (Weekly)
|
|
1
or less
|
0.15%
|
0.25%
|
|
More
than 1 but not more than 2
|
0.30%
|
0.50%
|
|
More
than 2 but not more than 3
|
0.40%
|
0.70%
|
|
More
than 3 but not more than 4
|
0.60%
|
1.00%
|
|
More
than 4 but not more than 5
|
0.70%
|
1.20%
|
|
More
than 5 but not more than 6
|
0.80%
|
1.40%
|
|
More
than 6 but not more than 7
|
1.00%
|
1.60%
|
|
More
than 7 but not more than 8
|
1.10%
|
1.80%
|
|
More
than 8 but not more than 9
|
1.20%
|
2.00%
|
|
More
than 9 but not more than 10
|
1.30%
|
2.20%
|
|
More
than 10 but not more than 11
|
1.40%
|
2.30%
|
|
More
than 11 but not more than 12
|
1.50%
|
2.50%
|
|
More
than 12 but not more than 13
|
1.60%
|
2.70%
|
|
More
than 13 but not more than 14
|
1.70%
|
2.80%
|
|
More
than 14 but not more than 15
|
1.80%
|
3.00%
|
|
More
than 15 but not more than 16
|
1.90%
|
3.20%
|
|
More
than 16 but not more than 17
|
2.00%
|
3.30%
|
|
More
than 17 but not more than 18
|
2.00%
|
3.50%
|
|
More
than 18 but not more than 19
|
2.00%
|
3.60%
|
|
More
than 20 but not more than 21
|
2.00%
|
3.70%
|
|
More
than 21 but not more than 22
|
2.00%
|
3.90%
|
|
More
than 22
|
2.00%
|
4.00%
|
2A-1
SCHEDULE
2B
XXXXX’X
INDEPENDENT AMOUNT (SECOND TRIGGER)
(TRANSACTION
SPECIFIC XXXXXX)
Certificates:
Harborview
Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series
2006-14
Last
Scheduled Payment Date of Transactions: December 19, 2016
Valuation
Date (and Valuation Percentage column): Daily
The
following percentages shall be used in the calculation of the Xxxxx'x
Independent Amount when the Pledgor is required to post collateral following
the
occurrence and continuance of a Xxxxx’x Rating Event for thirty (30) Business
Days with respect to any Transaction that is an interest rate cap, interest
rate
floor or interest rate swaption, or that is an interest rate swap the notional
amount of which is “balance guaranteed” or, for any Calculation Period,
otherwise is not a specific dollar amount that is fixed at the inception
of the
Transaction (a “Transaction-Specific
Hedge”).
|
Weighted
Average Life of Transaction in Years
|
Valuation
Date (Daily)
|
Valuation
Date (Weekly)
|
|
1
or less
|
0.50%
|
0.60%
|
|
More
than 1 but not more than 2
|
1.00%
|
1.20%
|
|
More
than 2 but not more than 3
|
1.50%
|
1.70%
|
|
More
than 3 but not more than 4
|
1.90%
|
2.30%
|
|
More
than 4 but not more than 5
|
2.40%
|
2.80%
|
|
More
than 5 but not more than 6
|
2.80%
|
3.30%
|
|
More
than 6 but not more than 7
|
3.20%
|
3.80%
|
|
More
than 7 but not more than 8
|
3.60%
|
4.30%
|
|
More
than 8 but not more than 9
|
4.00%
|
4.80%
|
|
More
than 9 but not more than 10
|
4.40%
|
5.30%
|
|
More
than 10 but not more than 11
|
4.70%
|
5.60%
|
|
More
than 11 but not more than 12
|
5.00%
|
6.00%
|
|
More
than 12 but not more than 13
|
5.40%
|
6.40%
|
|
More
than 13 but not more than 14
|
5.70%
|
6.80%
|
|
More
than 14 but not more than 15
|
6.00%
|
7.20%
|
|
More
than 15 but not more than 16
|
6.30%
|
7.60%
|
|
More
than 16 but not more than 17
|
6.60%
|
7.90%
|
|
More
than 17 but not more than 18
|
6.90%
|
8.30%
|
|
More
than 18 but not more than 19
|
7.20%
|
8.60%
|
|
More
than 20 but not more than 21
|
7.50%
|
9.00%
|
|
More
than 21 but not more than 22
|
7.80%
|
9.00%
|
|
More
than 22
|
8.00%
|
9.00%
|
2B-1
SCHEDULE
2C
XXXXX’X
INDEPENDENT AMOUNT (SECOND TRIGGER)
(NON-TRANSACTION
SPECIFIC XXXXXX)
Certificates:
Harborview
Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series
2006-14
Last
Scheduled Payment Date of Transactions: December 19, 2016
Valuation
Date (and Valuation Percentage column): Daily
The
following percentages shall be used in the calculation of the Xxxxx'x
Independent Amount when the Pledgor is required to post collateral following
the
occurrence and continuance of a Xxxxx’x Rating Event for thirty (30) Business
Days with respect to any Transaction that is not a Transaction-Specific
Hedge.
|
Weighted
Average Life of Transaction in Years
|
Valuation
Date (Daily)
|
Valuation
Date (Weekly)
|
|
1
or less
|
0.65%
|
0.75%
|
|
More
than 1 but not more than 2
|
1.30%
|
1.50%
|
|
More
than 2 but not more than 3
|
1.90%
|
2.20%
|
|
More
than 3 but not more than 4
|
2.50%
|
2.90%
|
|
More
than 4 but not more than 5
|
3.10%
|
3.60%
|
|
More
than 5 but not more than 6
|
3.60%
|
4.20%
|
|
More
than 6 but not more than 7
|
4.20%
|
4.80%
|
|
More
than 7 but not more than 8
|
4.70%
|
5.40%
|
|
More
than 8 but not more than 9
|
5.20%
|
6.00%
|
|
More
than 9 but not more than 10
|
5.70%
|
6.60%
|
|
More
than 10 but not more than 11
|
6.10%
|
7.00%
|
|
More
than 11 but not more than 12
|
6.50%
|
7.50%
|
|
More
than 12 but not more than 13
|
7.00%
|
8.00%
|
|
More
than 13 but not more than 14
|
7.40%
|
8.50%
|
|
More
than 14 but not more than 15
|
7.80%
|
9.00%
|
|
More
than 15 but not more than 16
|
8.20%
|
9.50%
|
|
More
than 16 but not more than 17
|
8.60%
|
9.90%
|
|
More
than 17 but not more than 18
|
9.00%
|
10.40%
|
|
More
than 18 but not more than 19
|
9.40%
|
10.80%
|
|
More
than 20 but not more than 21
|
9.70%
|
11.00%
|
|
More
than 21 but not more than 22
|
10.00%
|
11.00%
|
|
More
than 22
|
10.00%
|
11.00%
|
2C-1
SCHEDULE
3
S&P
VOLATILITY BUFFER
Certificates:
Harborview
Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series
2006-14
Highest
Rating of Certificates: Class 1A-1A, Class 2A-1A, Class 2A-1B, Class 2A-1C,
and
Class 2A-2C rated “Aaa” by Xxxxx’x, and “AAA” by S&P.
Scheduled
Date Certificates will fall below $50,000,000: September 2019.
Last
Scheduled Payment Date of Transactions: December 19, 2016
Valuation
Date (and Valuation Percentage column): Daily
The
S&P Volatility Buffer will be determined using the following
table:
|
S&P
Volatility Buffer
|
|||
|
Party
A Rating*
|
Remaining
Years to Maturity of Transaction
|
||
|
(Up
to 5 years)
|
(Up
to 10 years)
|
(Up
to 30 years)
|
|
|
If,
on the related Valuation Date, the highest rated Certificates are
rated
“AA-” or higher by S&P, the S&P Volatility Buffer
is:
|
|||
|
A-2
|
3.25%
|
4.00%
|
4.75%
|
|
A-3
|
4.00%
|
5.00%
|
6.25%
|
|
BB+
or lower
|
4.50%
|
6.75%
|
7.50%
|
|
If,
on the related Valuation Date, the highest rated Certificates are
rated
“A” or “A+” by S&P, the S&P Volatility Buffer
is:
|
|||
|
BBB+/BBB
|
3.25%
|
4.00%
|
4.50%
|
|
A-2
|
3.25%
|
4.00%
|
4.50%
|
|
A-3/BBB-
|
3.50%
|
4.50%
|
6.00%
|
|
BB+
or lower
|
4.00%
|
5.25%
|
7.00%
|
*
This
rating shall be the higher of the rating by S&P on the related Valuation
Date of the long-term debt and short-term debt of Party A or its guarantor
or
other Credit Support Provider.
3-1
