EXHIBIT NO. 99.5
June 7, 2007
Citibank, N.A.
Confirmations Xxxx
000 Xxxx 00xx, 0xx Xxxxx
Xxx Xxxx, XX 00000, XXX
Tel: (000) 000-0000
Fax: (000) 000-0000
RE: Confirmation of Primary Swap Relating to the Class A-1b Notes
Transaction Reference Number: M072620
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and conditions
of the Swap Transaction (the "Primary Swap") entered into between Citibank, N.A.
(the "Counterparty") and Capital Auto Receivables Asset Trust 2007-SN1 (the
"Trust") as of the Trade Date listed below (the "Transaction"). This letter
constitutes a "Confirmation" as referred to in the Primary ISDA Agreement
specified below.
1. The definitions and provisions contained in the 2000 ISDA Definitions (the
"Definitions"), as published by the International Swaps and Derivatives
Association, Inc. ("ISDA"), are incorporated into this Confirmation. In the
event of any inconsistency between those definitions and provisions and
this Confirmation, this Confirmation will govern. The parties agree that
this transaction is a Transaction under the ISDA Master Agreement of the
parties dated as of June 7, 2007. The agreement is comprised of the printed
form of such agreement as published by ISDA, as supplemented and modified
by a Schedule (the "Primary ISDA Agreement").
This Confirmation constitutes a binding agreement between you and us and
will supplement, form a part of, and be subject to the Primary ISDA
Agreement described above as amended and supplemented from time to time.
The Counterparty and the Trust acknowledge that this Transaction relates to
the CARAT 2007-SN1 Class A-1b Floating Rate Asset Backed Notes (the "Notes"
or "Reference Notes") issued by the Trust for value pursuant to and subject
to the CARAT Indenture.
Capitalized terms used and not otherwise defined herein, in the Primary
ISDA Agreement or in the Definitions shall have the meanings assigned to
them in Exhibit A or Exhibit B hereto, as applicable.
All references to "dollars" or to "$" shall be references to amounts in
United States Dollars.
2. The terms of the particular Transaction to which this Confirmation relates
are as follows:
Type of Transaction: Interest Rate Swap.
Notional Amount: $100,000,000 with respect to the initial Calculation
Period. The Notional Amount with respect to each Calculation Period
thereafter shall be equal to the Reference Note Balance as of the close of
business on the Distribution Date at the beginning of the relevant
Calculation Period (as set forth in the Calculation Statement (defined
below) delivered by GMAC to the Counterparty on or prior to the
Determination Date relating to such Calculation Period pursuant to Section
3 below).
Trade Date: May 31, 2007.
Effective Date: June 7, 2007.
Termination Date: The earlier of the close of business on (i) June 16, 2008
and (ii) the Fixed Rate Payer Payment Date on which the Notional Amount is
reduced to zero; subject to adjustment in accordance with Following
Business Day Convention.
Fixed Amounts:
Fixed Rate Payer: The Trust.
Fixed Rate Payer Period End Dates: The 15th calendar day of each
month, commencing June 15, 2007, to and including the Termination
Date, in each case, subject to adjustment in accordance with the
Following Business Day Convention.
Fixed Rate Payer Payment Date: With respect to each Calculation
Period, the day that is one Business Day prior to the first
Distribution Date to occur following the last day of such Calculation
Period.
Fixed Rate: 5.415%.
Fixed Rate Day Count Fraction: 30/360.
Floating Amounts:
Floating Rate Payer: The Counterparty.
Floating Rate Payer Period End Dates: Each Fixed Rate Payer Period End
Date.
Floating Rate Payer Payment Dates: Each Fixed Rate Payer Payment Date.
Reset Dates: With respect to each Calculation Period, the first day of
such Calculation Period.
Floating Rate Option: LIBOR (as defined in Exhibit A hereto).
Spread: Plus 0 Basis Points.
Floating Rate Day Count Fraction: Actual/360.
Compounding: Inapplicable.
Business Days for Payment: New York (New York), Detroit (Michigan) and
Chicago (Illinois).
Calculation Agent: GMAC LLC, as agent for and on behalf of the Trust.
Default Rate: For any United States Dollar payments, the rate determined
under the option entitled "USD Federal Funds - H.15" plus 1% using daily
Reset Dates. The Default Rate will be applied on the basis of Compounding
as if the overdue amount were a Notional Amount and using daily Compounding
Dates, and interest will accrue and be payable before as well as after
judgment.
3. Calculations and Notifications: On or before each Determination Date, the
Calculation Agent shall determine the Fixed Amount due to the Counterparty
on the next succeeding Fixed Rate Payer Payment Date and the Floating
Amount due to the Trust on the next succeeding Floating Rate Payer
2
Payment Date and the Calculation Agent shall notify the Counterparty in
writing of both (i) the Floating Rate and (ii) the amount of such payment.
In addition, on each Determination Date the Trust shall deliver to the
Counterparty (by facsimile with hard copy to follow) a statement (the
"Calculation Statement") setting forth with respect to the close of
business on the immediately preceding Distribution Date the Reference Note
Balance as of such Distribution Date.
The Trust will give the Counterparty prompt written notice of any Default
under the CARAT Indenture.
4. Credit Downgrade:
(A) S&P Downgrade: In the event that the Joint Probability is reduced below
AA- in the case of S&P, the Counterparty shall promptly notify the Trust
(and any permitted assignee or transferee of the Trust) and GMAC of such
event and (unless, within thirty (30) days after such reduction, the
applicable Rating Agency has reconfirmed the ratings of the Reference Notes
and the Other Securities that were in effect immediately prior to such
reduction) the Counterparty shall within thirty (30) days of receipt of
notice of such reduction, with the prior written confirmation of the
applicable Rating Agency that such arrangement will not result in the
reduction of the rating of any of the Reference Notes or the Other
Securities existing immediately prior to the reduction of the applicable
Joint Probability, either:
(1) (x) obtain a substitute swap provider (the "Substitute Swap
Provider") acceptable to the Trust, such acceptance to be deemed to
exist unless the Indenture Trustee provides a basis for objection to
such Substitute Swap Provider within two (2) Business Days of receipt
of notice from the Counterparty, and replace this Transaction with a
swap transaction on substantially similar terms or with such other
amendments as consented to in writing by the Trust (which consent
shall not be unreasonably withheld), provided such replacement would
result in an S&P Joint Probability of at least AA-, except that such
Substitute Swap Provider shall thenceforth be the "Counterparty"
hereunder; or (y) replace, with the consent of the then-current
Offsetting Counterparty, the swap transaction with the then-current
Offsetting Counterparty with a swap transaction with a replacement
Offsetting Counterparty or enter into a swap transaction with another
party such that such party shall be acting as an intermediary between
the Counterparty and the then-current Offsetting Counterparty (such
replacement or intermediary being the "Replacement Offsetting
Counterparty"), in either case on terms approved by the Rating
Agencies; or
(2) enter into an ISDA Credit Support Annex ("CSA") with the Trust
mutually acceptable to the Trust and the Counterparty and, if the
Counterparty is required to post collateral pursuant to such CSA, at
the time such CSA is entered into, the Counterparty shall request its
legal counsel to deliver to each applicable Rating Agency an opinion
as to the enforceability thereof; or
(3) enter into such other credit support arrangements acceptable to
the applicable Rating Agency to assure performance by the Counterparty
of its obligations under this Transaction.
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Notwithstanding the foregoing, in the event that the Joint Probability is
reduced below A- in the case of S&P, then the Counterparty shall promptly
notify the Trust (and any permitted assignee or transferee of the Trust)
and the Offsetting Counterparty of such event and (unless, within thirty
(30) days after such reduction the applicable Rating Agency has reconfirmed
the ratings of the Reference Notes and the Other Securities that were in
effect immediately prior to such reduction) the Counterparty shall within
thirty (30) days of receipt of notice of such reduction, with the prior
written confirmation of the applicable Rating Agency that such arrangement
will not result in the reduction of the rating of any of the Reference
Notes or the Other Securities existing immediately prior to the reduction
of the S&P Joint Probability as a direct result of the reduction of such
Joint Probability, obtain a Substitute Swap Provider acceptable to the
Trust, such acceptance to be deemed to exist unless the Indenture Trustee
provides a basis for objection to such Substitute Swap Provider within two
(2) Business Days of receipt of notice from the Counterparty, and replace
this Transaction with a swap transaction on substantially similar terms or
with such other amendments as consented to in writing by the Trust (which
consent shall not be unreasonably withheld) provided such replacement would
result in an S&P Joint Probability of at least AA-, except that such
Substitute Swap Provider shall thenceforth be the "Counterparty" hereunder.
(B) Fitch Downgrade: In the event that the short-term rating assigned by
Fitch to the unsecured, unsubordinated debt of the Counterparty falls below
"F1" or the long-term debt rating assigned by Fitch to the unsecured,
unsubordinated debt of the Counterparty falls below "A" (such downgrade, a
"FITCH DOWNGRADE"), then, the Counterparty shall promptly notify the Trust
(and any permitted assignee or transferee of the Trust) and GMAC of such
Fitch Downgrade and the Counterparty shall within thirty (30) days of
receipt of notice of such reduction, either:
(1) (x) obtain a Substitute Swap Provider acceptable to the Trust,
such acceptance to be deemed to exist unless the Indenture Trustee
provides a basis for objection to such Substitute Swap Provider within
two (2) Business Days of receipt of notice from the Counterparty, and
replace this Transaction with a swap transaction on substantially
similar terms or with such other amendments as consented to in writing
by the Trust (which consent shall not be unreasonably withheld),
provided such replacement would result in an Fitch unsecured,
unsubordinated debt rating of at least "A" (long-term) and "F1"
(short-term), except that such Substitute Swap Provider shall
thenceforth be the "Counterparty" hereunder; or
(2) enter into a CSA with the Trust mutually acceptable to the Trust
and the Counterparty and on terms approved by Fitch at the time such
CSA is entered into; or
(3) arrange for an entity with a rating assigned by Fitch to the
unsecured, unsubordinated debt of at least "F1" (short-term) and "A"
(long-term) to provide an unconditional guaranty for its obligations
hereunder; or
(4) enter into such other credit support arrangements acceptable to
Fitch to assure performance by the Counterparty of its obligations
under this Transaction.
Notwithstanding the forgoing, in the event that the short-term rating
assigned by Fitch to the unsecured, unsubordinated debt of the Counterparty
falls below "F3" or the long-term debt rating assigned by Fitch to the
unsecured, unsubordinated debt of the Counterparty falls below "BBB-", then
the Counterparty shall promptly notify the Trust (and any permitted
assignee or transferee of the Trust) and GMAC of such Fitch Additional
Downgrade and the Counterparty shall within thirty (30)
4
days of receipt of notice of such reduction, satisfy the requirements set
forth in either sub-paragraph 4(B)(1), (3) or (4) above.
Upon any replacement of this Transaction with a swap transaction with a
Substitute Swap Provider, this Transaction shall terminate without any
payment by either party hereto and any and all collateral posted by the
Counterparty shall be returned to it within three (3) Business Days and any
other form of collateral arrangement (including letters of credit, surety
bond or other guarantee) provided by or on behalf of the Counterparty shall
terminate.
In the event that the Counterparty fails to satisfy its obligations set
forth above in this Section 4, the Trust or any permitted assignee or
transferee of the Trust shall have the option, exercisable in its
discretion and with regard to the interests of the CARAT 2007-SN1
Noteholders, within ten (10) Business Days following the date of expiry of
the thirty (30) day period after the date of receipt of notice of the
reduction (unless, within thirty (30) days of receipt of notice of such
reduction, the applicable Rating Agency has reconfirmed the rating of the
Reference Notes that was in effect immediately prior to such reduction), to
designate (in writing) an Early Termination Date on the basis that such
failure shall be treated as a Termination Event with the Counterparty as
the Affected Party. For the avoidance of doubt, the Counterparty and the
Trust acknowledge and agree that any such failure shall not constitute an
Event of Default.
5. Account Details:
Payments to Fixed Rate Payer:
The Bank of New York - New York, NY
ABA #000000000
For credit to GLA: 211705
For Final Credit to: 775815
Account of: CARAT 2007-SN1
Attn: Xxxxx Xxxxxxxxxx (000) 000-0000
Payments to Floating Rate Payer:
Citibank, N.A.
ABA: 000000000
Swift: XXXXXX00
Account Number: 00000000
6. Limited Recourse: Notwithstanding anything to the contrary contained herein
but without limiting the Counterparty's rights under Section 5(a)(i) of the
Primary ISDA Agreement, all of the obligations of the Trust shall be
payable by the Trust only at the times and to the extent of funds available
therefor under the Trust Sale and Administration Agreement and, to the
extent such funds are not available or are insufficient for the payment
thereof, shall not constitute a claim against the Trust to the extent of
such unavailability or insufficiency until such time as, and then to the
extent that, the Trust has assets sufficient to pay such prior deficiency.
This paragraph shall survive the termination of this Agreement but in all
cases shall expire one year and one day after the final payment with
respect to all notes and certificates issued by the Trust.
7. Limitation of Liability: It is expressly understood and agreed by the
parties hereto that (a) this Agreement is executed and delivered by
Deutsche Bank Trust Company Delaware, not individually or personally but
solely as CARAT Owner Trustee of the Trust in the exercise of the powers
and authority conferred and vested in it, (b) each of the representations,
undertakings and agreements herein made on the part of the Trust is made
and intended not as personal representations,
5
undertakings and agreements by Deutsche Bank Trust Company Delaware but is
made and intended for the purpose of binding only the Trust, (c) nothing
herein contained shall be construed as creating any liability on Deutsche
Bank Trust Company Delaware, individually or personally, to perform any
covenant either expressed or implied contained herein, all such liability,
if any, being expressly waived by the parties hereto and by any Person
claiming by, through or under the parties hereto and (d) under no
circumstances shall Deutsche Bank Trust Company Delaware be personally
liable for the payment of any indebtedness or expenses of the Trust or be
liable for the breach or failure of any obligation, representation,
warranty or covenant made or undertaken by the Trust under this Agreement
or any other related documents.
8. To the extent that a capitalized term in this Transaction is defined by
reference to a related definition contained in any CARAT Basic Document,
for purposes of this Transaction only, such capitalized term shall be
deemed to be amended only if the amendment of the term in a CARAT Basic
Document relating to such capitalized term occurs with the prior written
consent of the Counterparty.
* * * *
6
Please confirm that the foregoing correctly sets forth the terms of our
agreement by executing the copy of this Confirmation enclosed for that purpose
and returning it to us.
CAPITAL AUTO RECEIVABLES ASSET
TRUST 2007-SN1
By: DEUTSCHE BANK TRUST COMPANY
DELAWARE, not in its individual
capacity but solely as CARAT Owner
Trustee
By: /s/ Xxxxx Xxxxxxx
------------------------------------
Name: Xxxxx Xxxxxxx
Title: Attorney-in-Fact
By: /s/ Xxxxxx X. Xxxx
------------------------------------
Name: Xxxxxx X. Xxxx
Title: Attorney-in-Fact
Accepted and confirmed as
of the date first written above:
CITIBANK, N.A.
By: /s/ Xxxxx X. Xxxxxxxxxxxx
---------------------------------
Name: Xxxxx X. Xxxxxxxxxxxx
Title: Authorized Signatory
Acknowledged and agreed as
of the date first written above:
GMAC LLC,
solely as Calculation Agent
By: /s/ P.M. Surhigh
---------------------------------
Name: P.M. Surhigh
Title: Director - U.S. &
International Funding Group
[SIGNATURE PAGE CARAT 2007-SN1 - PRIMARY INTEREST RATE SWAP (CONFIRMATION)]
EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
"Calculation Period": means, with respect to each party hereunder, each
period from, and including one Period End Date of that party to, but excluding,
the next following Period End Date of that party during the Term of the Swap
Transaction, except that the initial Calculation Period for that party will
commence on, and include, the Effective Date.
"CARAT Indenture": the CARAT Indenture, dated as of the date hereof between
the Trust and the CARAT Indenture Trustee, as amended and supplemented from time
to time in accordance with its terms.
"CARAT Indenture Trustee": Citibank, N.A., not in its individual capacity
but solely as trustee under the CARAT Indenture, or any successor trustee under
the CARAT Indenture.
"Determination Date": the tenth (10th) day of each calendar month, or if
such [tenth (10th)] day is not a Business Day, the next succeeding Business Day.
"Distribution Date": the fifteenth (15th) day of each succeeding calendar
month following the Effective Date or, if such fifteenth (15th) day is not a
Business Day, the next such succeeding Business Day, commencing June 15, 2007.
"LIBOR": means for any Calculation Period with respect to each Floating
Rate Payer Payment Date, the rate for deposits in U.S. Dollars for a period of
one month which appears on the Reuters Telerate Service Page 3750 as of 11:00
a.m., London time, on the day that is two LIBOR Business Days prior to the first
day of the Calculation Period preceding such Floating Rate Payer Payment Date
(or, in the case of the initial Floating Rate Payer Payment Date, two LIBOR
Business Days prior to the Closing Date). If the rate does not appear on that
date on Telerate Service Page 3750 (or any other page as may replace that page
on that service, or if that service is no longer offered, any other service
commonly used in the interbank market for displaying LIBOR or comparable rates
as may be selected by the CARAT Indenture Trustee after consultation with the
Seller), then LIBOR will be the Reference Bank Rate.
"LIBOR Business Day": any day other than a Saturday, Sunday or any other
day on which banks in London are required or authorized to be closed.
"Other Securities": Class A-1a Notes, Class A-2 Notes, Class A-3 Notes,
Class A-4 Notes, Class B Notes, Class C Notes, and Class D Notes.
"Reference Bank Rate": means for any Calculation Period for any Floating
Rate Payer Payment Date, the per annum rate determined on the basis of the rates
at which deposits in U.S. Dollars are offered by the reference banks (which will
be four major banks that are engaged in transactions in the London interbank
market, selected by the Calculation Agent) as of 11:00 a.m., London time, on the
day that is two LIBOR Business Days prior to the first day of the Calculation
Period preceding such Floating Rate Payer Payment Date to prime banks in the
London interbank market for a period of one month, in amounts approximately
equal to the principal amount of the Reference Notes then outstanding. The
Calculation Agent will request the principal London office of each of the
reference banks to provide a quotation of its rate. If at least two quotations
are provided, the rate will be the arithmetic mean of the quotations, rounded
upwards to the nearest one-sixteenth of one percent. If on that date fewer than
two quotations are provided as requested, the rate will be the arithmetic mean,
rounded upwards to the nearest one-sixteenth of one percent, of the rates quoted
by one or more major banks in New York City, selected by the Calculation Agent,
as of 11:00 a.m., New York City time, on that date to leading European banks for
United States dollar deposits for a period of one month in
A-1
amounts approximately equal to the principal amount of the Reference Notes then
outstanding. If no quotation can be obtained, then LIBOR will be the rate for
the prior Floating Rate Payer Payment Date.
"Reference Note Balance": as of the Effective Date, $100,000,000 and, with
respect to each Distribution Date thereafter, the aggregate principal balance of
any and all outstanding Reference Notes.
"Seller": Capital Auto Receivables, Inc., which has executed the Trust Sale
and Administration Agreement as the Seller, or its successor in interest
pursuant to Section 3.03 of the Trust Sale and Administration Agreement.
"Trust Sale and Administration Agreement": the Trust Sale and
Administration Agreement, dated as of the date hereof between the Seller, GMAC
LLC, as Trust Administrator, and the Trust, as amended, modified and
supplemented from time to time in accordance with its term.
A-2
EXHIBIT B
"Contingent Party": the Offsetting Counterparty or the Replacement
Offsetting Counterparty, as applicable.
"DBRS": Dominion Bond Rating Service, Inc. or any successor thereto.
"Fallback Swap Transaction": the swap transaction entered into by the Trust
and Offsetting Counterparty relating to the Class A-1b Floating Rate Asset
Backed Notes.
"Fitch": Fitch, Inc., or any successor thereto.
"Joint Probability": the S&P Joint Probability.
"Offsetting Counterparty" means GMAC LLC or any successor thereto ("GMAC")
under the Fallback Swap Transaction entered into between the Trust and GMAC.
"Primary Party": the Counterparty, unless a Substitute Swap Provider has
been obtained, in which case it shall be the Substitute Swap Provider or, if
applicable, a guarantor thereof.
"Rating Agency": each of DBRS, S&P and Fitch.
"S&P": Standard & Poor's Ratings Services and its successors.
"S&P Joint Probability" means the joint probability determined by S&P of
the long-term likelihood of payment under the interest rate swap determined by
locating the intersection of the Counterparty's long term senior unsecured debt
rating and the Contingent Party's long-term senior unsecured debt rating in the
following table:
IMPLIED JOINT SUPPORT RATING
PRIMARY PARTY
CONTINGENT
PARTY AAA AA+ AA AA- A+ A A- BBB+ BBB BBB-
---------- --- --- --- --- --- --- --- ---- ---- ----
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+
AA- AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA
A+ AAA AAA AAA AA+ AA+ AA+ AA+ AA AA AA-
A AAA AAA AAA AA+ AA+ AA AA AA- AA- A+
A- AAA AAA AAA AA+ AA+ AA AA- A+ A+ A
BBB+ AAA AAA AA+ AA+ AA AA- A+ A A A-
BBB AAA AAA AA+ AA+ AA AA- A+ A A- BBB+
BBB- AAA AAA AA+ AA AA- A+ A A- BBB+ BBB
Notwithstanding the foregoing, (i) in the event that the long-term senior
unsecured debt rating of either the Primary Party or the Contingent Party is
rated below BBB- by S&P, then the S&P Joint Probability shall be the higher of
the then current long-term senior unsecured debt rating of the Primary Party and
the Contingent Party and (ii) in the event that under the Triparty Agreement the
Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
2.02 of the Triparty
B-1
Agreement, then the term "S&P Joint Probability" shall refer to the Offsetting
Counterparty's long-term senior unsecured credit rating assigned by S&P (and,
for the avoidance of doubt, the obligations of the Counterparty specified in
Section 4 of this Confirmation shall constitute obligations of the Offsetting
Counterparty).
"Triparty Agreement": the Triparty Contingent Assignment Agreement dated as
of the Effective Date among the Trust, the Offsetting Counterparty and the
Counterparty.
B-2
