ISDA® CREDIT SUPPORT ANNEX to the Schedule to the ISDA Master Agreement dated as of June 29, 2007 between Deutsche Bank AG, New York Branch (hereinafter referred to as “Party A” or “Pledgor”) and The Bank of New York, not individually, but solely as...
ANNEX
A
ISDA®
CREDIT
SUPPORT ANNEX
to
the
Schedule to the
dated
as
of June 29, 2007 between
Deutsche
Bank AG, New York Branch (hereinafter referred to as “Party
A” or “Pledgor”)
and
The
Bank
of New York, not individually, but solely as Swap Contract Administrator for
CWABS Asset-Backed Certificates Trust 2007-BC3, Asset-Backed Certificates,
Series 2007-BC3 pursuant to a Swap Contract Administration
Agreement
(hereinafter
referred to as “Party B” or “Secured
Party”).
For
the
avoidance of doubt, and notwithstanding anything to the contrary that may be
contained in the Agreement, this Credit Support Annex shall relate solely to
the
Transaction documented in the Confirmation dated June 29, 2007, between Party
A
and Party B, Reference Number N638945N.
Paragraph
13. Elections and Variables.
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(a)
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Security
Interest for “Obligations”. The term
“Obligations” as used in this
Annex includes the following additional
obligations:
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With
respect to Party A: not applicable.
With
respect to Party B: not applicable.
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(b)
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Credit
Support Obligations.
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(i)
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Delivery
Amount, Return Amount and Credit Support
Amount.
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(A)
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“Delivery
Amount” has the meaning specified in
Paragraph 3(a), except that:
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(I)
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the
words “upon a demand made by the Secured Party on or promptly following
a
Valuation Date” shall be deleted and replaced with the words “not later
than the close of business on each Valuation
Date”,
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(II)
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the
sentence beginning “Unless otherwise specified in Paragraph 13” and ending
“(ii) the Value as of that Valuation Date of all Posted Credit Support
held by the Secured Party.” shall be deleted in its entirety and replaced
with the following:
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“The
“Delivery Amount” applicable to the
Pledgor for any Valuation Date will equal the greatest of
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(1)
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the
amount by which (a) the S&P Credit Support Amount for such Valuation
Date exceeds (b) the S&P Value, as of such Valuation Date, of all
Posted Credit Support held by the Secured
Party, and
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(2)
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the
amount by which (a) the Xxxxx’x Credit Support Amount for such Valuation
Date exceeds (b) the Xxxxx’x Value, as of such Valuation Date, of all
Posted Credit Support held by the Secured
Party.
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(III)
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if,
on any Valuation Date, the Delivery Amount equals or exceeds the
Pledgor’s
Minimum Transfer Amount, the Pledgor will Transfer to the Secured
Party
sufficient Eligible Credit Support to ensure that, immediately following
such transfer, the Delivery Amount shall be
zero.
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(B)
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“Return
Amount” has the meaning specified in Paragraph 3(b), except
that:
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(I)
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the
sentence beginning “Unless otherwise specified in Paragraph 13” and ending
“(ii) the Credit Support Amount.” shall be deleted in its entirety and
replaced with the following:
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“The
“Return Amount” applicable to the Secured Party for
any Valuation Date will equal the least of
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(1)
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the
amount by which (a) the S&P Value, as of such Valuation Date, of all
Posted Credit Support held by the Secured Party exceeds (b) the S&P
Credit Support Amount for such Valuation
Date, and
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(2)
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the
amount by which (a) the Xxxxx’x Value, as of such Valuation Date, of all
Posted Credit Support held by the Secured Party exceeds (b) the Xxxxx’x
Credit Support Amount for such Valuation
Date.
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(II)
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in
no event shall the Secured Party be required to Transfer any Posted
Credit
Support under Paragraph 3(b) if, immediately following such transfer,
the
Delivery Amount would be greater than
zero.
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(C)
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“Credit
Support Amount” shall not apply. For purposes of
calculating any Delivery Amount or Return Amount for any Valuation
Date,
reference shall be made to the S&P Credit Support Amount or the
Xxxxx’x Credit Support Amount, in each case for such Valuation Date, as
provided in Paragraphs 13(b)(i)(A) and 13(b)(i)(B),
above.
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(ii)
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Eligible
Collateral.
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On
any
date, the following items will qualify as “Eligible
Collateral” (for the avoidance of doubt, all Eligible Collateral
to be denominated in USD):
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Collateral
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S&P
Approved Ratings Valuation Percentage
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S&P
Required Ratings Valuation Percentage
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Xxxxx'x
First Trigger Valuation Percentage
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Xxxxx'x
Second Trigger Valuation Percentage
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(A) Cash
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100%
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80%
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100%
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100%
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(B)
Fixed-rate negotiable debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of not more than
one
year
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98.0%
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78.4%
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100%
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100%
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(C)
Fixed-rate negotiable debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of more than
one year
but not more than ten years
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92.6%
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74.1%
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100%
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94%
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(D)
Fixed-rate negotiable debt obligations issued by the U.S. Treasury
Department having a remaining maturity on such date of more than
ten
years
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84.6%
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67.7%
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100%
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87%
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(iii)
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Other
Eligible Support.
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The
following items will qualify as “Other Eligible
Support” for the party specified:
Not
applicable.
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(iv)
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Threshold.
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(A)
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“Independent
Amount” means zero with respect to Party A and Party
B.
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(B)
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“Xxxxx’x
Threshold” means, with respect to Party A and any Valuation
Date, if a Xxxxx’x First Trigger Downgrade Event has occurred and is
continuing and such Xxxxx’x First Trigger Downgrade Event has been
continuing (i) for at least 30 Local Business Days or (ii) since
this
Annex was executed, zero; otherwise,
infinity.
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“S&P
Threshold” means, with respect to Party A and any Valuation Date,
if an S&P Approved Ratings Downgrade Event has occurred and is
continuing and such S&P Approved Ratings Downgrade Event has
been continuing (i) for at least 10 Local Business Days or (ii) since this
Annex
was executed, zero; otherwise, infinity.
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“Threshold”
means, with respect to Party B and any Valuation Date,
infinity.
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(C)
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“Minimum
Transfer Amount” means USD 100,000 with respect to Party A
and Party B; provided, however, that if the aggregate Certificate
Principal Balance of any Certificates and the aggregate principal
balance
of any Notes rated by S&P is at the time of any transfer less than USD
50,000,000, the “Minimum Transfer Amount” shall
be USD 50,000.
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(D)
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Rounding:
The Delivery Amount will be rounded up to the nearest integral multiple
of
USD 10,000. The Return Amount will be rounded down to the nearest
integral
multiple of USD 10,000.
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(c)
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Valuation
and Timing.
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(i)
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“Valuation
Agent” means Party A; provided, however, that if an Event
of
Default shall have occurred with respect to which Party A is the
Defaulting Party, Party B shall have the right to designate as Valuation
Agent an independent party, reasonably acceptable to Party A, the
cost for
which shall be borne by Party A. All calculations by the
Valuation Agent must be made in accordance with standard market practice,
including, in the event of a dispute as to the Value of any Eligible
Credit Support or Posted Credit Support, by making reference to quotations
received by the Valuation Agent from one or more Pricing
Sources.
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(ii)
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“Valuation
Date” means the first Local Business Day in each week on
which any of the S&P Threshold or the Xxxxx’x Threshold
is zero.
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(iii)
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“Valuation
Time” means the close of business in the city of the
Valuation Agent on the Local Business Day immediately preceding the
Valuation Date or date of calculation, as applicable; provided
that the calculations of Value and Exposure will be made as of
approximately the same time on the same date. The Valuation
Agent will notify each party (or the other party, if the Valuation
Agent
is a party) of its calculations not later than the Notification Time
on
the applicable Valuation Date (or in the case of Paragraph 6(d),
the Local
Business Day following the day on which such relevant calculations
are
performed).”
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(iv)
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“Notification
Time” means 11:00 a.m., New York time, on a Local Business
Day.
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(d)
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Conditions
Precedent and Secured Party’s Rights and
Remedies. The following Termination Events will
be a “Specified Condition” for the party
specified (that party being the Affected Party if the Termination
Event
occurs with respect to that party): With respect to Party A:
any Additional Termination Event with respect to which Party A is
the sole
Affected Party. With respect to Party B:
None.
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(e)
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Substitution.
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(i)
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“Substitution
Date” has the meaning specified in Paragraph
4(d)(ii).
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(ii)
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Consent. If
specified here as applicable, then the Pledgor must obtain the Secured
Party’s consent for any substitution pursuant to Paragraph
4(d): Inapplicable.
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(f)
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Dispute
Resolution.
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(i)
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“Resolution
Time” means 1:00 p.m. New York time on the Local Business
Day following the date on which the notice of the dispute is given
under
Paragraph 5.
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(ii)
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Value. Notwithstanding
anything to the contrary in Paragraph 12, for the purpose of Paragraphs
5(i)(C) and 5(ii), the S&P Value and Xxxxx’x Value on any date, of
Eligible Collateral will be calculated as
follows:
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For
Eligible Collateral other than Cash listed in Paragraph 13(b)(ii): the sum
of
(A) the product of (1)(x) the bid price at the Valuation Time for such
securities on the principal national securities exchange on which such
securities are listed, or (y) if such securities are not listed on a national
securities exchange, the bid price for such securities quoted at the Valuation
Time by any principal market maker for such securities selected by the Valuation
Agent, or (z) if no such bid price is listed or quoted for such date, the bid
price listed or quoted (as the case may be) at the Valuation Time for the day
next preceding such date on which such prices were available and (2) the
applicable Valuation Percentage for such Eligible Collateral, and (B) the
accrued interest on such securities (except to the extent Transferred to the
Pledgor pursuant to Paragraph 6(d)(ii) or included in the applicable price
referred to in the immediately preceding clause (A)) as of such
date.
For
Cash,
the amount thereof multiplied, in the case of the S&P Value, by the
applicable S&P Valuation Percentage.
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(iii)
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Alternative. The
provisions of Paragraph 5 will
apply.
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(g)
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Holding
and Using Posted
Collateral.
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(i)
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Eligibility
to Hold Posted Collateral; Custodians. Party
B (or any
Custodian) will be entitled to hold Posted Collateral pursuant to
Paragraph 6(b).
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Party
B
may appoint as Custodian (A) the entity then serving as Swap Contract
Administrator or (B) any entity other than the entity then serving as
Swap Contract Administrator if such other entity (or, to the
extent applicable, its parent company or credit support provider) shall then
have credit ratings from S&P at least equal to the Custodian Required Rating
Threshold. If at any time the Custodian does not have credit ratings
from S&P at least equal to the Custodian Required Rating Threshold, the
Swap Contract Administrator must within 60 days obtain a
replacement Custodian with credit ratings from S&P at least equal to the
Custodian Required Rating Threshold.
Initially,
the Custodian for Party B is: The Swap Contract
Administrator.
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(ii)
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Use
of Posted Collateral. The provisions of Paragraph
6(c) will not apply to Party B or its Custodian; provided, however,
that
if Party A delivers Posted Collateral in book-entry form, then Paragraph
6(c)(ii) will apply to Party B and its Custodian, and Party B and
its
Custodian shall have the rights specified in Paragraph
6(c)(ii).
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(h)
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Distributions
and Interest Amount.
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(i)
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Interest
Rate. The “Interest
Rate” will be the actual interest rate earned on Posted
Collateral in the form of Cash that is held by Party B or its
Custodian. Posted Collateral in the form of Cash shall be
invested in such overnight (or redeemable within two Local Business
Days
of demand) Permitted Investments rated at least (x) AAAm or AAAm-G
by
S&P and (y) Prime-1 by Xxxxx’x or Aaa by Xxxxx’x, as directed by Party
A (unless (x) an Event of Default or an Additional Termination Event
has
occurred with respect to which Party A is the defaulting or sole
Affected
Party or (y) an Early Termination Date has been designated, in which
case
such Posted Collateral shall be held uninvested). Gains and
losses incurred in respect of any investment of Posted Collateral
in the
form of Cash in Permitted Investments as directed by Party A shall
be for
the account of Party A.
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(ii)
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Transfer
of Interest Amount. The Transfer of the Interest Amount will
be made on the second Local Business Day following the end of each
calendar month and on any other Local Business Day on which Posted
Collateral in the form of Cash is Transferred to the Pledgor pursuant
to
Paragraph 3(b); provided, however, that the obligation of Party B
to
Transfer any Interest Amount to Party A shall be limited to the extent
that Party B has earned and received such funds and such funds are
available to Party B. The last sentence of Paragraph 6(d)(ii)
is hereby amended by adding the words “actually received by Party B but”
after the words “Interest Amount or portion
thereof”.
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(iii)
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Alternative
to Interest Amount. The provisions of Paragraph 6(d)(ii) (as
amended herein) will apply.
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(iv)
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Distributions. Paragraph
6(d)(i) shall be deleted in its entirety and replaced with the
following:
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“Distributions. Subject
to Paragraph 4(a), if Party B receives Distributions on a Local Business Day,
it
will Transfer to Party A not later than the following Local Business Day any
Distributions it receives to the extent that a Delivery Amount would not be
created or increased by that Transfer, as calculated by the Valuation Agent
(and
the date of calculation will be deemed to be a Valuation Date for this
purpose).”
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(i)
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Additional
Representation(s). There are no additional
representations by either party.
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(j)
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Other
Eligible Support and Other Posted
Support.
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(i)
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“Value”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
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(ii)
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“Transfer”
with respect to Other Eligible Support and Other Posted Support means:
not
applicable.
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(k)
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Demands
and Notices.All demands, specifications and notices under
this Annex will be made pursuant to the Notices Section of this Agreement,
except that any demand, specification or notice shall be given to
or made
at the following addresses, or at such other address as the relevant
party
may from time to time designate by giving notice (in accordance with
the
terms of this paragraph) to the other
party:
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If
to
Party A, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B, at the address specified pursuant to the Notices Section of this
Agreement.
If
to
Party B’s Custodian:
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Address:
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The
Bank of New York
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000
Xxxxxxxx Xxxxxx
0X
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Xxx
Xxxx, XX
00000
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Attention:
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Mortgage
Backed Securities Group
4W
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Xxxxxxxx
Xxxxx
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Tel:
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(000)
000-0000
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Fax:
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(000)
000-0000
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(l)
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Address
for Transfers. Each Transfer hereunder shall be
made to the address specified below or to an address specified in
writing
from time to time by the party to which such Transfer will be
made.
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Party
A
account details for holding collateral
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A/C
With:
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DB
Trust Co. Americas, New York
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Swift
Code:
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BKTRUUS33
/ ABA 000000000
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Favour
of:
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Deutsche
Bank AG, New York
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Account
Number:
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01
473 969
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Reference:
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N638945N
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Party
B’s
Custodian account details for holding collateral
The
Bank
of New York
ABA
000000000
G/L
Account 111565
For
further credit to TAS 540986
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(m)
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Other
Provisions.
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(i)
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Collateral
Account. Party B shall open and maintain a
segregated account, and hold, record and identify all Posted Collateral
in
such segregated account.
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(ii)
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Agreement
as to Single Secured Party and Single Pledgor. Party A and
Party B hereby agree that, notwithstanding anything to the contrary
in
this Annex, (a) the term “Secured Party” as used in this Annex means only
Party B, (b) the term “Pledgor” as used in this Annex means only Party A,
(c) only Party A makes the pledge and grant in Paragraph 2, the
acknowledgement in the final sentence of Paragraph 8(a) and the
representations in Paragraph 9.
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(iii)
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Calculation
of Value. Paragraph 4(c) is hereby amended by
deleting the word “Value” and inserting in lieu thereof “S&P Value,
Xxxxx’x Value”. Paragraph 4(d)(ii) is hereby amended by (A)
deleting the words “a Value” and inserting in lieu thereof “an S&P
Value and a Xxxxx’x Value” and (B) deleting the words “the Value” and
inserting in lieu thereof “S&P Value and Xxxxx’x
Value”. Paragraph 5 (flush language) is hereby amended by
deleting the word “Value” and inserting in lieu thereof “S&P Value or
Xxxxx’x Value”. Paragraph 5(i) (flush language) is hereby
amended by deleting the word “Value” and inserting in lieu thereof
“S&P Value and Xxxxx’x Value”. Paragraph 5(i)(C) is hereby
amended by deleting the word “the Value, if” and inserting in lieu thereof
“any one or more of the S&P Value or Xxxxx’x Value, as may
be”. Paragraph 5(ii) is hereby amended by (1) deleting the
first instance of the words “the Value” and inserting in lieu thereof “any
one or more of the S&P Value or Xxxxx’x Value” and (2) deleting the
second instance of the words “the Value” and inserting in lieu thereof
“such disputed S&P Value or Xxxxx’x Value”. Each of
Paragraph 8(b)(iv)(B) and Paragraph 11(a) is hereby amended by deleting
the word “Value” and inserting in lieu thereof “least of the S&P Value
and Xxxxx’x Value”.
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(iv)
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Form
of Annex. Party A and Party B hereby
agree that the text of Paragraphs 1 through 12, inclusive, of this
Annex
is intended to be the printed form of ISDA Credit Support Annex (Bilateral
Form - ISDA Agreements Subject to New York Law Only version) as published
and copyrighted in 1994 by the International Swaps and Derivatives
Association, Inc.
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(v)
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Events
of Default. Paragraph 7 will not apply to cause
any Event of Default to exist with respect to Party B except that
Paragraph 7(i) will apply to Party B solely in respect of Party B’s
obligations under Paragraph 3(b) of the Credit Support
Annex. Notwithstanding anything to the contrary in Paragraph 7,
any failure by Party A to comply with or perform any obligation to
be
complied with or performed by Party A under the Credit Support Annex
shall
only be an Event of Default if a Xxxxx’x Second Trigger Downgrade Event
has occurred and is continuing and at least 30 Local Business Days
have
elapsed since such Xxxxx’x Second Trigger Downgrade Event first
occurred.
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(vi)
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Expenses. Notwithstanding
anything to the contrary in Paragraph 10, the Pledgor will be responsible
for, and will reimburse the Secured Party for, all transfer and other
taxes and other costs involved in maintenance and any Transfer of
Eligible
Collateral.
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(vii)
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Withholding. Paragraph
6(d)(ii) is hereby amended by inserting immediately after “the Interest
Amount” in the fourth line thereof the words “less any
applicable withholding taxes.”
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(viii) Additional
Definitions. As used in this Annex:
“Custodian
Required Rating Threshold” means, with respect to an entity, a
short-term unsecured and unsubordinated debt rating from S&P of “A-1,” or,
if such entity does not have a short-term unsecured and unsubordinated debt
rating from S&P, a long-term unsecured and unsubordinated debt rating or
counterparty rating from S&P of “A+”.
“Exposure”
has the meaning specified in Paragraph 12, except that (1) after the word
“Agreement” the words “(assuming, for this purpose only, that Part
1(f)(i)(A)-(E) of the Schedule is deleted)” shall be inserted and (2) at the end
of the definition of Exposure, the words “with terms that are, in all material
respects, no less beneficial for Party B than those of this Agreement” shall be
added.
“Local
Business Day” means, for purposes of this Annex: any day on which
(A) commercial banks are open for business (including dealings in foreign
exchange and foreign currency deposits) in New York and the location of Party
A,
Party B and any Custodian, and (B) in relation to a Transfer of Eligible
Collateral, any day on which the clearance system agreed between the parties
for
the delivery of Eligible Collateral is open for acceptance and execution of
settlement instructions (or in the case of a Transfer of Cash or other Eligible
Collateral for which delivery is contemplated by other means a day on which
commercial banks are open for business (including dealings in foreign exchange
and foreign deposits) in New York and the location of Party A, Party B and
any
Custodian.
“Xxxxx’x
Credit Support Amount” means, for any Valuation Date:
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(A)
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if
the Xxxxx’x Threshold for such Valuation Date is zero and (i) it is not
the case that a Xxxxx’x Second Trigger Downgrade Event has occurred and is
continuing or (ii) a Xxxxx’x Second Trigger Downgrade Event has occurred
and is continuing and less than 30 Local Business Days have elapsed
since
such Xxxxx’x Second Trigger Downgrade Event first occurred, an amount
equal to the greater of (x) zero and (y) the sum of the Secured Party’s
Exposure and the aggregate of Xxxxx’x First Trigger Additional Amounts for
all Transactions and such Valuation
Date;
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(B)
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if
the Xxxxx’x Threshold for such Valuation Date is zero and a Xxxxx’x Second
Trigger Downgrade Event has occurred and is continuing and at least
30
Local Business Days have elapsed since such Xxxxx’x Second Trigger
Downgrade Event first occurred, an amount equal to the greatest of
(x)
zero, (y) the aggregate amount of the Next Payments for all Next
Payment
Dates, and (z) the sum of the Secured Party’s Exposure and the aggregate
of Xxxxx’x Second Trigger Additional Amounts for all Transactions and such
Valuation Date; or
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(C)
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if
the Xxxxx’x Threshold for such Valuation Date is infinity,
zero.
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“Xxxxx’x
First Trigger Additional Amount” means, for
any Valuation Date and any Transaction, the product of (i) the applicable
Xxxxx’x First Trigger Factor set forth in Table 1, (ii) the Scale Factor, if
any, for such Transaction, or, if no Scale Factor is applicable for such
Transaction, one, and (iii) the Notional Amount for such Transaction for the
Calculation Period for such Transaction (each as defined in the related
Confirmation) which includes such Valuation Date.
“Xxxxx’x
First Trigger Downgrade Event” means that no Relevant Entity has
credit ratings from Xxxxx’x at least equal to the Xxxxx’x First Trigger Ratings
Threshold.
“Xxxxx’x
First Trigger Value” means, on any date and with respect to any
Eligible Collateral other than Cash, the bid price obtained by the Valuation
Agent multiplied by the Xxxxx’x First Trigger Valuation Percentage for such
Eligible Collateral set forth in Paragraph 13(b)(ii).
“Xxxxx’x
Second Trigger Additional Amount” means, for any Valuation Date
and any Transaction, the product of (i) the applicable Xxxxx’x Second Trigger
Factor set forth in Table 3, (ii) the Scale Factor, if any, for such
Transaction, or, if no Scale Factor is applicable for such Transaction, one,
and
(iii) the Notional Amount for such Transaction for the Calculation Period for
such Transaction (each as defined in the related Confirmation) which includes
such Valuation Date.
“Xxxxx’x
Valuation Percentage” means, with respect to a Valuation Date and
each item of Eligible Collateral,
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(A)
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if
the Xxxxx’x Threshold for such Valuation Date is zero and (i) it is not
the case that a Xxxxx’x Second Trigger Downgrade Event has occurred and is
continuing or (ii) a Xxxxx’x Second Trigger Downgrade Event has occurred
and is continuing and less than 30 Local Business Days have elapsed
since
such Xxxxx’x Second Trigger Downgrade Event first occurred, the
corresponding percentage for such Eligible Collateral in the column
headed
“Xxxxx’x First Trigger Valuation Percentage”,
or
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(B)
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if
a Xxxxx’x Second Trigger Downgrade Event has occurred and is continuing
and at least 30 Local Business Days have elapsed since such Xxxxx’x Second
Trigger Downgrade Event first occurred, the corresponding percentage
for
such Eligible Collateral in the column headed “Xxxxx’x Second Trigger
Valuation Percentage”.
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“Xxxxx’x
Value”means, on any date and with respect to any Eligible
Collateral the product of (x) the bid price obtained by the Valuation Agent
and
(y) the applicable Xxxxx’x Valuation Percentage set forth in Paragraph
13(b)(ii).
“Next
Payment” means, in respect of each Next Payment Date, the greater
of (i) the aggregate amount of any payments due to be made by Party A under
Section 2(a) on such Next Payment Date less the aggregate amount of any payments
due to be made by Party B under Section 2(a) on such Next Payment Date (any
such
payments determined based on rates prevailing the date of determination) and
(ii) zero.
“Next
Payment Date” means each date on which the next scheduled payment
under any Transaction is due to be paid.
“Pricing
Sources” means the sources of financial information commonly known
as Bloomberg, Bridge Information Services, Data Resources Inc., Interactive
Data
Services, International Securities Market Association, Xxxxxxx Xxxxx Securities
Pricing Service, Xxxxxx Data Corporation, Reuters, Wood Gundy, Trepp Pricing,
XX
Xxxxx, S&P and Telerate.
“Remaining
Weighted Average Maturity” means, with respect to a
Transaction, the expected weighted average maturity for such Transaction as
determined by the Valuation Agent.
“S&P
Approved Ratings Downgrade Event” means that no Relevant Entity
has credit ratings from S&P at least equal to the S&P Approved Ratings
Threshold.
“S&P
Credit Support Amount” means, for any Valuation Date:
|
|
(A)
|
if
the S&P Threshold for such Valuation Date is zero and it is not the
case that an S&P Required Ratings Downgrade Event has occurred and
been continuing for at least 10 Local Business Days, an amount equal
to
the Secured Party’s Exposure;
|
|
|
(B)
|
if
the S&P Threshold for such Valuation Date is zero and it is the case
that an S&P Required Ratings Downgrade Event has occurred and been
continuing for at least 10 Local Business Days, an amount equal to
125% of
the Secured Party’s Exposure; or
|
(C)
if
the
S&P Threshold for such Valuation Date is infinity, zero.
“S&P
Valuation Percentage” means, with respect to a Valuation Date and
each item of Eligible Collateral,
|
|
(A)
|
if
the S&P Threshold for such Valuation Date is zero and it is not the
case that a S&P Required Ratings Downgrade Event has occurred and been
continuing for at least 10 Local Business Days, the corresponding
percentage for such Eligible Collateral in the column headed “S&P
Approved Ratings Valuation Percentage”
or
|
|
|
(B)
|
if
an S&P Required Ratings Downgrade Event has occurred and been
continuing for at least 10 Local Business Days, the corresponding
percentage for such Eligible Collateral in the column headed “S&P
Required Ratings Valuation
Percentage”.
|
“S&P
Value” means, on any date and with respect to any Eligible
Collateral, (A) in the case of Eligible Collateral other than Cash, the product
of (x) the bid price obtained by the Valuation Agent for such Eligible
Collateral and (y) the applicable S&P Valuation Percentage for such Eligible
Collateral set forth in paragraph 13(b)(ii) and (B) in the case of Cash, the
amount thereof multiplied by the applicable S&P Valuation
Percentage.
“Transaction
Exposure” means, for any Transaction, Exposure determined as if
such Transaction were the only Transaction between the Secured Party and the
Pledgor.
“Transaction-Specific
Hedge” means any Transaction that is (i) an interest rate swap in
respect of which (x) the notional amount of the interest rate swap is “balance
guaranteed” or (y) the notional amount of the interest rate swap for any
Calculation Period (as defined in the related Confirmation) otherwise is not
a
specific dollar amount that is fixed at the inception of the Transaction, (ii)
an interest rate cap, (iii) an interest rate floor or (iv) an interest rate
swaption.
“Valuation
Percentage” shall mean, for purposes of determining the S&P
Value or Xxxxx’x Value with respect to any Eligible Collateral or
Posted Collateral, the applicable S&P Valuation Percentage or Xxxxx’x
Valuation Percentage for such Eligible Collateral or Posted Collateral,
respectively, in each case as set forth in Paragraph 13(b)(ii).
“Value”
shall mean, in respect of any date, the related S&P Value and the related
Xxxxx’x Value.
[Remainder
of this page intentionally left blank]
Table
1
Xxxxx’x
First Trigger Factor
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|
1
or less
|
0.25%
|
|
More
than 1 but not more than 2
|
0.50%
|
|
More
than 2 but not more than 3
|
0.70%
|
|
More
than 3 but not more than 4
|
1.00%
|
|
More
than 4 but not more than 5
|
1.20%
|
|
More
than 5 but not more than 6
|
1.40%
|
|
More
than 6 but not more than 7
|
1.60%
|
|
More
than 7 but not more than 8
|
1.80%
|
|
More
than 8 but not more than 9
|
2.00%
|
|
More
than 9 but not more than 10
|
2.20%
|
|
More
than 10 but not more than 11
|
2.30%
|
|
More
than 11 but not more than 12
|
2.50%
|
|
More
than 12 but not more than 13
|
2.70%
|
|
More
than 13 but not more than 14
|
2.80%
|
|
More
than 14 but not more than 15
|
3.00%
|
|
More
than 15 but not more than 16
|
3.20%
|
|
More
than 16 but not more than 17
|
3.30%
|
|
More
than 17 but not more than 18
|
3.50%
|
|
More
than 18 but not more than 19
|
3.60%
|
|
More
than 19 but not more than 20
|
3.70%
|
|
More
than 20 but not more than 21
|
3.90%
|
|
More
than 21 but not more than 22
|
4.00%
|
|
More
than 22 but not more than 23
|
4.00%
|
|
More
than 23 but not more than 24
|
4.00%
|
|
More
than 24 but not more than 25
|
4.00%
|
|
More
than 25 but not more than 26
|
4.00%
|
|
More
than 26 but not more than 27
|
4.00%
|
|
More
than 27 but not more than 28
|
4.00%
|
|
More
than 28 but not more than 29
|
4.00%
|
|
More
than 29
|
4.00%]
|
Table
2
Xxxxx’x
Second Trigger Factor for Interest Rate Swaps with Fixed Notional
Amounts
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|
1
or less
|
0.60%
|
|
More
than 1 but not more than 2
|
1.20%
|
|
More
than 2 but not more than 3
|
1.70%
|
|
More
than 3 but not more than 4
|
2.30%
|
|
More
than 4 but not more than 5
|
2.80%
|
|
More
than 5 but not more than 6
|
3.30%
|
|
More
than 6 but not more than 7
|
3.80%
|
|
More
than 7 but not more than 8
|
4.30%
|
|
More
than 8 but not more than 9
|
4.80%
|
|
More
than 9 but not more than 10
|
5.30%
|
|
More
than 10 but not more than 11
|
5.60%
|
|
More
than 11 but not more than 12
|
6.00%
|
|
More
than 12 but not more than 13
|
6.40%
|
|
More
than 13 but not more than 14
|
6.80%
|
|
More
than 14 but not more than 15
|
7.20%
|
|
More
than 15 but not more than 16
|
7.60%
|
|
More
than 16 but not more than 17
|
7.90%
|
|
More
than 17 but not more than 18
|
8.30%
|
|
More
than 18 but not more than 19
|
8.60%
|
|
More
than 19 but not more than 20
|
9.00%
|
|
More
than 20 but not more than 21
|
9.00%
|
|
More
than 21 but not more than 22
|
9.00%
|
|
More
than 22 but not more than 23
|
9.00%
|
|
More
than 23 but not more than 24
|
9.00%
|
|
More
than 24 but not more than 25
|
9.00%
|
|
More
than 25 but not more than 26
|
9.00%
|
|
More
than 26 but not more than 27
|
9.00%
|
|
More
than 27 but not more than 28
|
9.00%
|
|
More
than 28 but not more than 29
|
9.00%
|
|
More
than 29
|
9.00%]
|
Table
3
Xxxxx’x
Second Trigger Factor for Transaction-Specific Xxxxxx
|
Remaining
Weighted
Average Life
of
Hedge in Years
|
Weekly
Collateral
Posting
|
|
1
or less
|
0.75%
|
|
More
than 1 but not more than 2
|
1.50%
|
|
More
than 2 but not more than 3
|
2.20%
|
|
More
than 3 but not more than 4
|
2.90%
|
|
More
than 4 but not more than 5
|
3.60%
|
|
More
than 5 but not more than 6
|
4.20%
|
|
More
than 6 but not more than 7
|
4.80%
|
|
More
than 7 but not more than 8
|
5.40%
|
|
More
than 8 but not more than 9
|
6.00%
|
|
More
than 9 but not more than 10
|
6.60%
|
|
More
than 10 but not more than 11
|
7.00%
|
|
More
than 11 but not more than 12
|
7.50%
|
|
More
than 12 but not more than 13
|
8.00%
|
|
More
than 13 but not more than 14
|
8.50%
|
|
More
than 14 but not more than 15
|
9.00%
|
|
More
than 15 but not more than 16
|
9.50%
|
|
More
than 16 but not more than 17
|
9.90%
|
|
More
than 17 but not more than 18
|
10.40%
|
|
More
than 18 but not more than 19
|
10.80%
|
|
More
than 19 but not more than 20
|
11.00%
|
|
More
than 20 but not more than 21
|
11.00%
|
|
More
than 21 but not more than 22
|
11.00%
|
|
More
than 22 but not more than 23
|
11.00%
|
|
More
than 23 but not more than 24
|
11.00%
|
|
More
than 24 but not more than 25
|
11.00%
|
|
More
than 25 but not more than 26
|
11.00%
|
|
More
than 26 but not more than 27
|
11.00%
|
|
More
than 27 but not more than 28
|
11.00%
|
|
More
than 28 but not more than 29
|
11.00%
|
|
More
than 29
|
11.00%]
|
IN
WITNESS WHEREOF, the parties have
executed this Annex by their duly authorized representatives as of the date
of
the Agreement.
|
DEUTSCHE
BANK AG, NEW YORK BRANCH
|
THE
BANK OF NEW YORK, NOT INDIVIDUALLY, BUT SOLELY AS SWAP CONTRACT
ADMINISTRATOR FOR CWABS ASSET-BACKED CERTIFICATES TRUST 2007-BC3,
ASSET-BACKED CERTIFICATES, SERIES 2007-BC3 PURSUANT TO A SWAP CONTRACT
ADMINISTRATION AGREEMENT
|
|||
|
By:
|
/s/
Xxxxxxxxxxx X. Xxxxxxxx
|
By:
|
/s/
Xxxxxxx Xxxxxxx
|
|
|
Name:
|
Xxxxxxxxxxx
X. Xxxxxxxx
|
Name:
|
Xxxxxxx
Xxxxxxx
|
|
|
Title:
|
Authorized
Signatory
|
Title:
|
Assistant
Treasurer
|
|
|
Date:
|
June
29, 2007
|
Date:
|
June
29, 2007
|
|
|
By:
|
/s/
Xxxxx Xxxxxxxx
|
|||
|
Name:
|
Xxxxx
Xxxxxxxx
|
|||
|
Title:
|
Authorized
Signatory
|
|||
|
Date:
|
June
29, 2007
|
