ISDA® CREDIT SUPPORT ANNEX to the Schedule to the ISDA Master Agreement dated as of May 15, 2007 between Swiss Re Financial Products Corporation (hereinafter referred to as “Party A” or “Pledgor”) and
ANNEX A
ISDA®
CREDIT SUPPORT ANNEX
to the Schedule to the
dated as of May 15, 2007 between
Swiss Re Financial Products Corporation (hereinafter referred to as “Party A” or “Pledgor”)
and
Xxxxx Fargo Bank, N.A., not in its individual capacity but solely as Trustee of the Supplemental Interest Trust on behalf of the MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3, (the “Trust”) (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 Confirmations dated May 15, 2007, between Party A and Party B, Reference Numbers 1471231, 1471413, 1471465, 1471472, 1471479.
Paragraph 13. Elections and Variables.
(a)
Security Interest for “Obligations”. The term “Obligations” as used in this Annex includes the following additional obligations:
With respect to Party A: not applicable.
With respect to Party B: 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) as amended (I) by deleting the words “upon a demand made by the Secured Party on or promptly following a Valuation Date” and inserting in lieu thereof the words “not later than the close of business on each Valuation Date” and (II) by deleting in its entirety 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.” and inserting in lieu thereof the following:
The “Delivery Amount” applicable to the Pledgor for any Valuation Date will equal the greatest of
(1)
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,
(2)
the amount by which (a) the DBRS Credit Support Amount for such Valuation Date exceeds (b) the DBRS Value as of such Valuation Date of all Posted Credit Support held by the Secured Party,
(3)
the amount by which (a) DBRS Value as of such Valuation Date of all Posted Credit Support held by the Secured Party exceeds (b) DBRS Credit Support Amount for such Valuation Date,”
(4)
the amount by which (a) the Xxxxx’x First Trigger Credit Support Amount for such Valuation Date exceeds (b) the Xxxxx’x First Trigger Value as of such Valuation Date of all Posted Credit Support held by the Secured Party, and
(5)
the amount by which (a) the Xxxxx’x Second Trigger Credit Support Amount for such Valuation Date exceeds (b) the Xxxxx’x Second Trigger Value as of such Valuation Date of all Posted Credit Support held by the Secured Party.
(B)
“Return Amount” has the meaning specified in Paragraph 3(b) as amended by deleting in its entirety the sentence beginning “Unless otherwise specified in Paragraph 13” and ending “(ii) the Credit Support Amount.” and inserting in lieu thereof the following:
The “Return Amount” applicable to the Secured Party for any Valuation Date will equal the least of
(1)
the amount by which (a) the S&P Value or the DBRS Value as of such Valuation Date of all Posted Credit Support held by the Secured Party exceeds (b) the S&P Credit Support Amount or the DBRS Credit Support Amount for such Valuation Date,
(2)
the amount by which (a) the Xxxxx’x First Trigger Value as of such Valuation Date of all Posted Credit Support held by the Secured Party exceeds (b) the Xxxxx’x First Trigger Credit Support Amount for such Valuation Date, and
(3)
the amount by which (a) the Xxxxx’x Second Trigger Value as of such Valuation Date of all Posted Credit Support held by the Secured Party exceeds (b) the Xxxxx’x Second Trigger Credit Support Amount for such Valuation Date.
(C)
“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, the DBRS Credit Support Amount, the Xxxxx’x First Trigger Credit Support Amount, or the Xxxxx’x Second Trigger Credit Support Amount, in each case for such Valuation Date, as provided in Paragraphs 13(b)(i)(A) and 13(b)(i)(B), above.
(ii)
Eligible Collateral.
On any date, the following items denominated in U.S. Dollars will qualify as “Eligible Collateral”:
Collateral | S&P Valuation Percentage | DBRS Valuation Percentage | Xxxxx’x First Trigger Valuation Percentage | Xxxxx’x Second Trigger Valuation Percentage |
(A) Cash | 100% | 100% | 100% | 100% |
(B) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of less than one year | 98.5% | 98.5% | 100% | 100% |
(C) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of at least one year but less than two years | 89.9% | 89.9% | 100% | 99% |
(D) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of at least two years but less than three years | 89.9% | 89.9% | 100% | 98% |
(E) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of at least three years but less than five years | 89.9% | 89.9% | 100% | 97% |
(F) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of at least five years but less than seven years | 89.9% | 89.9% | 100% | 95% |
(G) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of at least seven years but less than ten years | 89.9% | 89.9% | 100% | 94% |
(H) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of ten to twenty years | 83.9% | 83.9% | 100% | 89% |
(I) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of more than twenty years | 83.9% | 83.9% | 100% | 87% |
(iii)
Other Eligible Support.
The following items will qualify as “Other Eligible Support” for the party specified:
Not applicable.
(iv)
Threshold.
(A)
“Independent Amount” means zero with respect to Party A and Party B.
(B)
“Threshold” means, with respect to Party A and any Valuation Date, zero if (i) a Collateral Event has occurred and has been continuing (x) for at least 30 days or (y) since this Annex was executed, or (ii) an S&P Required Ratings Event has occurred and is continuing; otherwise, infinity.
“S&P Required Ratings Event” means an event which is deemed to occur with respect to Party A on any day on which no Relevant Entity has current credit ratings from S&P at least equal to the S&P Required Ratings Threshold.
“Threshold” means, with respect to Party B and any Valuation Date, infinity.
(C)
“Minimum Transfer Amount” means USD 100,000 with respect to Party A and Party B; provided, however, that if the aggregate Certificate Principal Balance and note principal balance of Certificates and Notes rated by S&P ceases to be more than USD 50,000,000, the “Minimum Transfer Amount” shall be USD 50,000.
(D)
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 1,000.
(c)
Valuation and Timing.
(i)
“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.
(ii)
“Valuation Date” means the first Local Business Day in each week on which any of the S&P Credit Support Amount, the DBRS Credit Support Amount, the Xxxxx’x First Trigger Credit Support Amount or the Xxxxx’x Second Trigger Credit Support Amount is greater than zero.
(iii)
“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.
(iv)
“Notification Time” means 10:00 a.m., New York time, on a Local Business Day.
(v)
External Verification. Notwithstanding anything to the contrary in the definitions of Valuation Agent or Valuation Date, at any time at which Party A (or, to the extent applicable, its Credit Support Provider) does not have a long-term unsubordinated and unsecured debt rating of at least “BBB+” from S&P, the Valuation Agent shall (A) calculate the Secured Party’s Exposure and the S&P Value of Posted Credit Suppport on each Valuation Date based on internal marks and (B) verify such calculations with external marks monthly by obtaining on the last Local Business Day of each calendar month two external marks for each Transaction to which this Annex relates and for all Posted Credit Suport; such verification of the Secured Party’s Exposure shall be based on the higher of the two external marks. Each external xxxx in respect of a Transaction shall be obtained from an independent Reference Market-maker that would be eligible and willing to enter into such Transaction in the absence of the current derivative provider, provided that an external xxxx xxx not be obtained from the same Reference Market-maker more than four times in any 12-month period. The Valuation Agent shall obtain these external marks directly or through an independent third party, in either case at no cost to Party B. The Valuation Agent shall calculate on each Valuation Date (for purposes of this paragraph, the last Local Business Day in each calendar month referred to above shall be considered a Valuation Date) the Secured Party’s Exposure based on the greater of the Valuation Agent’s internal marks and the external marks received. If the S&P Value on any such Valuation Date of all Posted Credit Support then held by the Secured Party is less than the S&P Credit Support Amount on such Valuation Date (in each case as determined pursuant to this paragraph), Party A shall, within three Local Business Days of such Valuation Date, Transfer to the Secured Party Eligible Credit Support having an S&P Value as of the date of Transfer at least equal to such deficiency.
(vi)
Notice to S&P. At any time at which Party A (or, to the extent applicable, its Credit Support Provider) does not have a long-term unsubordinated and unsecured debt rating of at least “BBB+” from S&P, the Valuation Agent shall provide to S&P not later than the Notification Time on the Local Business Day following each Valuation Date its calculations of the Secured Party’s Exposure and the S&P Value of any Eligible Credit Support or Posted Credit Support for that Valuation Date. The Valuation Agent shall also provide to S&P any external marks received pursuant to the preceding paragraph.
(d)
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.
(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): Inapplicable.
(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 of the dispute is given under Paragraph 5.
(ii)
Value. Notwithstanding anything to the contrary in Paragraph 12, for the purpose of Paragraphs 5(i)(C) and 5(ii), the S&P Value, the DBRS Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value, on any date, of Eligible Collateral other than Cash will be calculated as follows:
For Eligible Collateral in the form of securities 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.
(iii)
Alternative. The provisions of Paragraph 5 will apply.
(g)
Holding and Using Posted Collateral.
(i)
Eligibility to Hold Posted Collateral; Custodians. Party B (or any Custodian) will be entitled to hold Posted Collateral pursuant to Paragraph 6(b).
Party B may appoint as Custodian (A) the entity then serving as Trustee or (B) any entity other than the entity then serving as Trustee if such other entity (or, to the extent applicable, its parent company or credit support provider) shall then have a short-term unsecured and unsubordinated debt rating from S&P of at least “A-1.”
Initially, the Custodian for Party B is: Not applicable.
(ii)
Use of Posted Collateral. The provisions of Paragraph 6(c)(i) will not apply to Party B, but the provisions of Paragraph 6(c)(ii) will apply to Party B.
(h)
Distributions and Interest Amount.
(i)
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.
(ii)
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.
(iii)
Alternative to Interest Amount. The provisions of Paragraph 6(d)(ii) will apply.
(i)
Additional Representation(s). There are no additional representations by either party.
(j)
Other Eligible Support and Other Posted Support.
(i)
“Value” with respect to Other Eligible Support and Other Posted Support means: not applicable.
(ii)
“Transfer” with respect to Other Eligible Support and Other Posted Support means: not applicable.
(k)
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:
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: Not applicable.
(l)
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.
Party A account details:
JPMorgan Chase Bank
SWIFT:
XXXXXX00
Account of:
Swiss Re Financial Products
Account No.:
066-911184
ABA#:
000000000
Party B account details:
Xxxxx Fargo Bank, N.A.
San Francisco, CA
ABA # 000-000-000
Acct. # 0000000000
Acct. Name: SAS Clearing
FFC: 50962402
(m)
Other Provisions.
(i)
Collateral Account. Party B shall open and maintain a segregated account, which shall be an Eligible Account, and hold, record and identify all Posted Collateral in such segregated account.
(ii)
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.
(iii)
Calculation of Value. Paragraph 4(c) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value, DBRS Value, Xxxxx’x First Trigger Value, Xxxxx’x Second Trigger Value”. Paragraph 4(d)(ii) is hereby amended by (A) deleting the words “a Value” and inserting in lieu thereof “an S&P Value, DBRS Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value” and (B) deleting the words “the Value” and inserting in lieu thereof “S&P Value, DBRS Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value”. Paragraph 5 (flush language) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value, DBRS Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger Value”. Paragraph 5(i) (flush language) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value, DBRS Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger 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, DBRS Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger 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, DBRS Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger Value” and (2) deleting the second instance of the words “the Value” and inserting in lieu thereof “such disputed S&P Value, DBRS Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger 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, DBRS Value, Xxxxx’x First Trigger Value, and Xxxxx’x Second Trigger Value”.
(iv)
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.
(v)
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) a Required Ratings Downgrade Event has occurred and been continuing for 30 or more Local Business Days and (B) such failure is not remedied on or before the third Local Business Day after notice of such failure is given to Party A.
(vi)
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 any Transfer of Eligible Collateral.
(vii)
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.”
(viii)
Notice of Failure to Post Collateral. Upon any failure by Party A to post collateral as required under this Agreement, Party B shall, no later than the next Business Day after the date such collateral was required to be posted, give a written notice of such failure to Party A and to Depositor. For the avoidance of doubt, notwithstanding anything in this Agreement to the contrary, the failure of Party B to comply with the requirements of this paragraph shall not constitute an Event of Default or Termination Event.
(ix)
Additional Definitions. As used in this Annex:
“Collateral Event” means that no Relevant Entity has credit ratings at least equal to the Approved Ratings Threshold.
“DBRS Rating Threshold Event” means, on any date, no Relevant Entity has credit ratings from DBRS which are at least equal to the DBRS Approved Ratings Threshold.
“DV01” means, with respect to a Transaction and any date of determination, the estimated change in the Secured Party’s Transaction Exposure with respect to such Transaction that would result from a one basis point change in the relevant swap curve on such date, as determined by the Valuation Agent in good faith and in a commercially reasonable manner. The Valuation Agent shall, upon request of Party B, provide to Party B a statement showing in reasonable detail such calculation.
“Exposure” has the meaning specified in Paragraph 12, except that after the word “Agreement” the words “(assuming, for this purpose only, that Part 1(f) of the Schedule is deleted)” shall be inserted.
“DBRS Credit Support Amount” means, for any Valuation Date, the excess, if any, of
(I)
(A)
for any Valuation Date on which an DBRS Rating Threshold Event, has occurred and been continuing for at least 30 days, an amount equal to the sum, for each Transaction to which this Annex relates, of the sum of (1) 100.0% of the Secured Party’s Transaction Exposure for such Valuation Date and (2) the product of the Volatility Buffer for such Transaction and the Notional Amount of such Transaction for the Calculation Period of such Transaction which includes such Valuation Date, or
(B)
for any other Valuation Date, zero, over
(II)
the Threshold for Party A for such Valuation Date.
“DBRS Rating Threshold Event” means, on any date, no Relevant Entity has credit ratings from DBRS which exceed the DBRS Approved Ratings Threshold.
“DBRS Value” means, on any date and with respect to any Eligible Collateral other than Cash, the product of (A) the bid price obtained by the Valuation Agent for such Eligible Collateral and (B) the DBRS Valuation Percentage for such Eligible Collateral set forth in paragraph 13(b)(ii).
“Local Business Day” means: 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 First Trigger 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 Credit Support Amount” means, for any Valuation Date, the excess, if any, of
(I)
(A)
for any Valuation Date on which (I) a Xxxxx’x First Trigger Event has occurred and has been continuing (x) for at least 30 Local Business Days or (y) since this Annex was executed and (II) it is not the case that a Xxxxx’x Second Trigger Event has occurred and been continuing for at least 30 Local Business Days, the sum, for each Transaction to which this Annex relates, of an amount equal to the following:
the greater of (a) zero and (b) the sum of (i) the Secured Party’s Transaction Exposure for such Transaction and such Valuation Date and (ii) the least of (x) the product of the Xxxxx’x First Trigger DV01 Multiplier and DV01 for such Transaction and such Valuation Date, (y) the product of Xxxxx’x First Trigger Notional Amount Multiplier and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date, and (z) the product of the applicable Xxxxx’x First Trigger Factor set forth in Table 1 and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date; or
(B)
for any other Valuation Date, zero, over
(II)
the Threshold for Party A such Valuation Date.
“Xxxxx’x First Trigger DV01 Multiplier” means 25.
“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 First Trigger Notional Amount Multiplier” means 4%.
“Xxxxx’x Second Trigger Event” means that no Relevant Entity has credit ratings from Xxxxx’x at least equal to the Xxxxx’x Second Trigger Ratings Threshold.
“Xxxxx’x Second Trigger Credit Support Amount” means, for any Valuation Date, the excess, if any, of
(I)
(A)
for any Valuation Date on which it is the case that a Xxxxx’x Second Trigger Event has occurred and been continuing for at least 30 Local Business Days, the sum, for each Transaction to which this Annex relates, of an amount equal to the following:
(1)
if such Transaction is not a Transaction-Specific Hedge,
the greatest of (a) zero, (b) the amount of the next payment due to be paid by Party A under such Transaction, and (c) the sum of (x) the Secured Party’s Transaction Exposure for such Transaction and such Valuation Date and (y) the least of (i) the product of the Xxxxx’x Second Trigger DV01 Multiplier and DV01 for such Transaction and such Valuation Date, (ii) the product of the Xxxxx’x Second Trigger Notional Amount Multiplier and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date, and (iii) the product of the applicable Xxxxx’x Second Trigger Factor set forth in Table 2 and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date; or
(2)
if such Transaction is a Transaction-Specific Hedge,
the greatest of (a) zero, (b) the amount of the next payment due to be paid by Party A under such Transaction, and (c) the sum of (x) the Secured Party’s Transaction Exposure for such Transaction and such Valuation Date and (y) the least of (i) the product of the Xxxxx’x Second Trigger Transaction-Specific Hedge DV01 Multiplier and DV01 for such Transaction and such Valuation Date, (ii) the product of the Xxxxx’x Second Trigger Transaction-Specific Hedge Notional Amount Multiplier and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date, and (iii) the product of the applicable Xxxxx’x Second Trigger Factor set forth in Table 3 and the Notional Amount for such Transaction for the Calculation Period which includes such Valuation Date; or
(B)
for any other Valuation Date, zero, over
(II)
the Threshold for Party A for such Valuation Date.
“Xxxxx’x Second Trigger DV01 Multiplier” means 60.
“Xxxxx’x Second Trigger Transaction-Specific Hedge DV01 Multiplier” means 75.
“Xxxxx’x Second Trigger Transaction-Specific Hedge Notional Amount Multiplier” means 11%.
“Xxxxx’x Second 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 Second Trigger Valuation Percentage for such Eligible Collateral set forth in Paragraph 13(b)(ii).
“Xxxxx’x Second Trigger Notional Amount Multiplier” means 9%.
“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.
“S&P Credit Support Amount” means, for any date, the excess, if any, of:
(I) (A)
for any date on which (i) a S&P Approved Ratings Event has occurred and is continuing (x) for at least 30 days or (ii) a S&P Required Ratings Event has occurred and is continuing, an amount equal to the sum of (1) 100.0% of the Secured Party’s Exposure for such date and (2) the sum, for each Transaction to which this Annex relates, of the product of the Volatility Buffer for such Transaction and the Notional Amount of such Transaction for the Calculation Period of such Transaction which includes such date, or
(B)
for any other date, zero, over
(II)
the Threshold for Party A for such date.
“S&P Rating Threshold Event” means, on any date, no Relevant Entity has credit ratings from S&P which equal or exceed the S&P Approved Ratings Threshold.
“S&P Value” means, on any date and with respect to any Eligible Collateral other than Cash, the product of (A) the bid price obtained by the Valuation Agent for such Eligible Collateral and (B) the S&P Valuation Percentage for such Eligible Collateral set forth in paragraph 13(b)(ii).
“S&P Approved Ratings Event” means an event which is deemed to occur with respect to Party A on any day on which no Relevant Entity has current credit ratings from S&P at least equal to the S&P Approved Ratings Threshold.
“Swap Provider Trigger Event” means: (A) an Event of Default with respect to which Party A is a Defaulting Party, (B) a Termination Event with respect to which Party A is the sole Affected Party or (C) an Additional Termination Event with respect to which Party A is the sole Affected Party.
“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 an interest rate cap, interest rate floor or interest rate swaption, or an interest rate swap if (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 otherwise is not a specific dollar amount that is fixed at the inception of the Transaction.
“Valuation Percentage” shall mean, for purposes of determining the S&P Value, the DBRS Value, Xxxxx’x First Trigger Value, or Xxxxx’x Second Trigger Value with respect to any Eligible Collateral or Posted Collateral, the applicable S&P Valuation Percentage, the applicable DBRS Valuation Percentage, Xxxxx’x First Trigger Valuation Percentage, or Xxxxx’x Second Trigger 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, the related DBRS Value, the related Xxxxx’x First Trigger Value, and the related Xxxxx’x Second Trigger Value.
“Volatility Buffer” means with respect to S&P, for any Transaction, the related percentage set forth in the following table.
The higher of the S&P short-term credit rating of (i) Party A and (ii) the Credit Support Provider of Party A, if applicable | Remaining Weighted Average Maturity up to 3 years | Remaining Weighted Average Maturity up to 5 years | Remaining Weighted Average Maturity up to 10 years | Remaining Weighted Average Maturity up to 30 years |
At least “A-2” | 2.75% | 3.25% | 4.00% | 4.75% |
“A-3” | 3.25% | 4.00% | 5.00% | 6.25% |
“BB+” or lower | 3.50% | 4.50% | 6.75% | 7.50% |
Or
“Volatility Buffer” means with respect to DBRS, the percentage set forth in the following table with respect to any Transaction (other than a Transaction identified in the related Confirmation as a Timing Hedge):
| Weighted Average Life (Years) | ||||||||||||||
Notes’ Rating | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | >=15 |
USD Interest Rate Swaps |
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AA- or Better | 0.8 | 1.7 | 2.5 | 3.3 | 4.0 | 4.7 | 5.3 | 5.9 | 6.5 | 7.0 | 7.5 | 8.0 | 8.5 | 9.0 | 9.5 |
A+/A | 0.6 | 1.2 | 1.8 | 2.3 | 2.8 | 3.3 | 3.8 | 4.2 | 4.6 | 5.0 | 5.3 | 5.7 | 6.0 | 6.4 | 6.7 |
A-/BBB+ | 0.5 | 1.0 | 1.6 | 2.0 | 2.5 | 2.9 | 3.3 | 3.6 | 4.0 | 4.3 | 4.7 | 5.0 | 5.3 | 5.6 | 5.9 |
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Table 1
Xxxxx'x First Trigger Factor
Remaining | Weekly |
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 | Weekly |
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 | Weekly |
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.
Swiss Re Financial Products Corporation | Xxxxx Fargo Bank, N.A., not in its individual capacity but solely as Trustee of the Supplemental Interest Trust on behalf of the MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3 |
By: /s/ Xxxxx Xxxxx Title: Director Date: May 15, 2007 | By: /s/ Xxxxxx Xxxxxxx Title: Vice President Date: May 15, 2007 |
