EXHIBIT 99.2
Deutsche Bank
Aktiengesellschaft
Date: December 29, 2006
To: COUNTRYWIDE HOME LOANS, INC. ("Party B")
Attn: Documentation Unit
Fax No: 000-000-0000
From: DEUTSCHE BANK AG, NEW YORK BRANCH ("Party A")
Our Reference: Global No. N542352N
Swap Transaction Confirmation - This confirmation supersedes and replaces all
prior communication between the parties hereto with respect to the transaction
described below.
The purpose of this letter agreement ("Confirmation") is to confirm the terms
and conditions of the Transaction entered into on the Trade Date specified
below (the "Transaction") between Deutsche Bank AG, New York Branch ("DBAG")
and Countrywide Home Loans, Inc.
This Confirmation supersedes any previous Confirmation or other communication
with respect to the Transaction and evidences a complete and binding agreement
between you and us as to the terms of the Swap Transaction to which this
Confirmation relates. This Confirmation is subject to the terms and conditions
of the ISDA Master Agreement dated as of July 18, 1996, between each of DBAG
and Counterparty and shall form a part of and be subject to that ISDA Master
Agreement (the "Agreement").
The definitions and provisions contained in the 2000 ISDA Definitions (the
"2000 Definitions"), as published by the International Swaps and Derivatives
Association, Inc. ("ISDA") are incorporated into this Confirmation. In the
event of any inconsistency between the 2000 Definitions and this Confirmation,
this Confirmation will govern for the purposes of the Transaction. References
herein to a "Transaction" shall be deemed to be references to a "Swap
Transaction" for the purposes of the 2000 Definitions. Capitalized terms used
in this Confirmation and not defined in this Confirmation or the 2000
Definitions shall have the respective meaning assigned in the Agreement.
Capitalized terms used in this Confirmation and not defined in the Agreement,
this Confirmation or the 2000 Definitions shall have the respective meaning
assigned in the Pooling and Servicing Agreement for CWABS, Inc. Asset-Backed
Certificates Trust 2006-24, dated as of December 1, 2006 among CWABS, Inc. as
depositor, Park Monaco Inc., as a seller, Park Sienna LLC, as a seller,
Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans Servicing LP,
as master servicer, The Bank of New York, as trustee, and The Bank of New York
Trust Company, N.A., as co-trustee (the "Pooling and Servicing Agreement").
Each party hereto agrees to make payment to the other party hereto in
accordance with the provisions of this Confirmation and of the Agreement.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
General Terms
Trade Date: December 6, 2006
Effective Date: December 29, 2006
Termination Date: December 25, 2012
For purposes of the final Calculation
Period on the Floating Amounts, Termination
Date will be subject to adjustment in
accordance with the Following Business Day
Convention, and for purposes of the final
Calculation Period on the Fixed Amounts,
Termination Date will be subject to No
Adjustment.
Notional Amount: With respect to each Calculation Period, the
lesser of (i) the Notional Amount as set
forth in Appendix A attached hereto and
(ii) the aggregate Principal Balance of the
Reference Assets on or about the 15th
calendar day of each month, commencing in
the month of January 2007.
Referenced Assets: CWABS, Inc. Asset-Backed Certificates,
Series 2006-24, Class 1-A (Cusip:
00000XXX0), Class 2-A-1 (Cusip: 00000XXX0),
Class 2-A-2 (Cusip: 00000XXX0), Class 2-A-3
(Cusip: 00000XXX0), Class 2-A-4 (Cusip:
00000XXX0), Class M-1 (Cusip: 00000XXX0),
Class M-2 (Cusip: 00000XXX0), Class M-3
(Cusip: 00000XXX0), Class M-4 (Cusip:
00000XXX0), Class M-5 (Cusip: 00000XXX0),
Class M-6 (Cusip: 00000XXX0), Class M-7
(Cusip: 00000XXX0), Class M-8 (Cusip:
00000XXX0), Class M-9 (Cusip: 00000XXX0),
Class B (Cusip: 00000XXX0).
Principal Balance: As reported on Bloomberg Financial Services,
Inc. ("Bloomberg"): by entering the Cusip,
(Mtge), type "pdi4", (Go). If Bloomberg
fails to publish the aggregate Principal
Balance of the Referenced Assets or the
parties fail to agree on the aggregate
Principal Balance of the Referenced Assets
for any Calculation Period, the aggregate
Principal Balance of the Referenced Assets
shall be determined by the Calculation
Agent pursuant to the Pooling and Servicing
Agreement.
Business Days: New York
Floating Amounts
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Floating Amount Payer: Party A
Floating Amount Payer The 25th calendar day of each month, from
Period End Dates: and including January 25, 2007 to and
including the Termination Date, subject to
adjustment in accordance with the Following
Business Day Convention.
Floating Amount Payer One (1) Business Day prior to each Floating
Payment Dates: Amount Payer Period End Date.
Floating Rate Option: USD-LIBOR-BBA
Designated Maturity: 1 month
Spread: Inapplicable
Floating Rate Day Count Actual/360
Fraction:
Reset Dates: The first day of each Calculation Period
Fixed Amounts
Fixed Amount Payer: Party B
Fixed Amount Payer The 25th calendar day of each month, from and
Period End Dates: including January 25, 2007 to and including
the Termination Date, with No Adjustment
of Period End Dates.
Fixed Amount Payer The 25th calendar day of each month, from
Payment Dates: and including January 25, 2007 to and
including the Termination Date, subject to
adjustment in accordance with the Following
Business Day Convention.
Fixed Rate: 5.00% per annum
Fixed Rate Day 30/360
Count Fraction:
Additional Payment: Party A shall pay Party B the sum of
USD 2,600,000 on the Effective Date
subject to adjustment in accordance with the
Following Business Day Convention.
Other Provisions
3
Netting: With respect to each Calculation Period,
if a Net Payment Amount for such
Calculation Period is owed by Party A, then
such Net Payment Amount shall be paid by
Party A to Party B on the Floating Amount
Payer Payment Date, and if a Net Payment
Amount for such Calculation Period is owed
by Party B, then such Net Payment Amount
shall be paid by Party B to Party A on the
Fixed Amount Payer Payment Date.
Where,
Net Payment Amount shall mean, for a
Calculation Period, the excess of the
larger aggregate amount payable and
currently owed by one party over the
smaller aggregate amount payable and
currently owed by the other party.
Procedural Terms
Account Details:
Account Details of Deutsche Bank Trust Company Americas,
Party A: New York
Acct# 01 473 969
Swift Code: XXXXXX00
Favour of: Deutsche Bank AG, New York
Account Details of
Party B: As per Party B's standard settlement
instructions.
Assignment: DBAG will not unreasonably withhold or
delay its consent to an assignment of this
Transaction to any other third party.
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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 having an authorized officer sign this Confirmation and return it
via facsimile to:
Attention: Derivative Documentation
Telephone: 00 00 0000 0000
Facsimile: 44 20 7545 9761
E-mail: xxxxxxxxxx.xxxxxxxxxxxxx@xx.xxx
This message will be the only form of Confirmation dispatched by us. If you
wish to exchange hard copy forms of this Confirmation, please contact us.
------------------------------------------------------- -----------------------------------------------------
For and on behalf of For and on behalf of
DEUTSCHE BANK AG, NEW YORK COUNTRYWIDE HOME LOANS, INC.
BRANCH
------------------------------------------------------- -----------------------------------------------------
/s/ Xxxx Xxxxxxx /s/ Xxxxxxx X. Xxxxx
------------------------------------------------------ ----------------------------------------------------
Name: Xxxx Xxxxxxx Name: Xxxxxxx X. Xxxxx
Title: Vice President Title: Managing Director at Portfolio Management
Date: December 29, 2006 Date: December 29, 2006
------------------------------------------------------- -----------------------------------------------------
/s/ Xxxxxxx Xxxx
------------------------------------------------------
Name: Xxxxxxx Xxxx
Title: Assistant Vice President
Date: December 29, 2006
------------------------------------------------------- -----------------------------------------------------
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Appendix A
Calculation Periods up to but excluding the Notional Amount (in USD):
Payment Date scheduled to occur:
January 25, 2007 1,309,968,849
February 25, 2007 1,298,617,766
March 25, 2007 1,285,763,584
April 25, 2007 1,271,420,024
May 25, 2007 1,255,606,461
June 25, 2007 1,238,347,950
July 25, 2007 1,219,669,969
August 25, 2007 1,200,092,785
September 25, 2007 1,179,182,298
October 25, 2007 1,156,986,101
November 25, 2007 1,133,728,682
December 25, 2007 1,109,845,208
January 25, 2008 976,237,052
February 25, 2008 952,844,788
March 25, 2008 928,549,941
April 25, 2008 903,422,900
May 25, 2008 877,537,524
June 25, 2008 850,970,791
July 25, 2008 823,804,455
August 25, 2008 797,573,294
September 25, 2008 772,256,135
October 25, 2008 747,823,128
November 25, 2008 724,245,426
December 25, 2008 701,495,149
January 25, 2009 553,957,641
February 25, 2009 525,582,237
March 25, 2009 498,874,115
April 25, 2009 473,736,086
May 25, 2009 450,076,843
June 25, 2009 427,810,597
July 25, 2009 414,016,800
6
Appendix A
Calculation Periods up to but excluding the Notional Amount (in USD):
Payment Date scheduled to occur:
August 25, 2009 400,744,985
September 25, 2009 387,977,867
October 25, 2009 375,698,769
November 25, 2009 363,891,586
December 25, 2009 352,540,774
January 25, 2010 144,512,987
February 25, 2010 141,766,497
March 25, 2010 139,598,705
April 25, 2010 137,519,967
May 25, 2010 135,109,977
June 25, 2010 132,804,541
July 25, 2010 130,487,500
August 25, 2010 128,262,892
September 25, 2010 126,027,350
October 25, 2010 123,874,040
November 25, 2010 121,894,039
December 25, 2010 119,821,700
January 25, 2011 117,944,473
February 25, 2011 115,940,856
March 25, 2011 114,327,569
April 25, 2011 112,754,772
May 25, 2011 110,907,045
June 25, 2011 109,153,279
July 25, 2011 107,419,049
August 25, 2011 105,780,953
September 25, 2011 104,151,695
October 25, 2011 102,616,542
November 25, 2011 101,112,318
December 25, 2011 98,798,505
January 25, 2012 96,718,995
February 25, 2012 94,671,144
March 25, 2012 93,150,567
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Appendix A
Calculation Periods up to but excluding the Notional Amount (in USD):
Payment Date scheduled to occur:
April 25, 2012 91,786,920
May 25, 2012 90,049,844
June 25, 2012 88,437,088
July 25, 2012 86,917,509
August 25, 2012 85,473,197
September 25, 2012 84,019,444
October 25, 2012 82,620,385
November 25, 2012 81,334,124
December 25, 2012 79,976,333
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