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Exhibit 10.6
ANNEX A
ISDA(R)
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA Master Agreement
dated as of July 11, 2007 between
HSBC Bank USA, National Association (hereinafter referred to as "PARTY A" or "PLEDGOR")
and
LaSalle Bank National Association not in its individual capacity but solely in its capacity as
Supplemental Interest Trust Trustee for the benefit of the
RAAC Series 2007-SP2 Supplemental Interest 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
Confirmation dated July 11, 2007, between Party A and Party B, Reference Number 481986HN, 481990HN,
481992HN and 481993HN.
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 Moody's First Trigger Credit Support
Amount for such Valuation Date exceeds (b) the Moody's First Trigger
Value as of such Valuation Date of all Posted Credit Support held by
the Secured Party, and
(3) the amount by which (a) the Moody's Second Trigger Credit Support
Amount for such Valuation Date exceeds (b) the Moody's 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 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,
(2) the amount by which (a) the Moody's First Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party
exceeds (b) the Moody's First Trigger Credit Support Amount for such
Valuation Date, and
(3) the amount by which (a) the Moody's Second Trigger Value as of such
Valuation Date of all Posted Credit Support held by the Secured Party
exceeds (b) the Moody's 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 Moody's First Trigger Credit Support Amount, or the Moody's
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 items set forth in Schedule I will qualify as "ELIGIBLE COLLATERAL"
(for the avoidance of doubt, all Eligible Collateral to be denominated in USD).
(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 Ratings Event
or an S&P Required Rating Downgrade has occurred and has been continuing (x)
for at least 10 Local Business Days with respect to S&P or (y) for at least 30
days with request to Fitch or Moody's; otherwise, infinity.
"THRESHOLD" means, with respect to Party B and any Valuation Date, infinity.
(C) "MINIMUM TRANSFER AMOUNT" means USD 50,000 with respect to Party A and Party B.
(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
10,000.
(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 each Local Business Day on which the Threshold for Party A is 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. 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)."
(iv) "NOTIFICATION TIME" means 11:00 a.m., New York time, on a Local Business Day.
(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, Moody's First Trigger Value, and Moody's Second
Trigger Value, on any date, of Eligible Collateral other than Cash will be calculated
as follows:
For cash, the amount thereof: multiplied , in the case of the S&P Value, if an S&P
Required Ratings Downgrade has occurred and been continuing for at least 10 Lacal
Business Days, by the S&P Required Ratings Downgrade Valuation Percentage set forth in
Schedule I.
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 Indenture Trustee or
(B) any entity other than the entity then serving as Indenture 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."
If at any time the Custodian does not have credit ratings from S&P at least equal to
"A-1", the Indenture Trustee must within 60 days obtain a replacement Custodian with
credit ratings from S&P at least equal to "A-1" or if its short-term rating is not
available by S&P, in the event that its long-term unsecured and unsubordinated debt
rating from S&P at least equal to "A+."
Initially, the CUSTODIAN for Party B is: Indenture Trustee.
(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. 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 Moody's or Aaa by Moody's, 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 investment 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.
(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:
Attn: Global Securities and Trust Services, RAAC Series 2007-SP2
135 South LaSalle Street, Suite 1511
Chicago, IL60603
Telephone no.: (312) 992-1816
Facsimile no.: (312) 904-1368
(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 for holding collateral:
HSBC Bank USA, National Association
ABA # 021-001-088
For credit to Department 299
A/C: 000-04929-8
HSBC Derivative Products Group
Party B's Custodian account details for holding collateral
LaSalle Bank National Association
ABA # 071000505
LaSalle CHGO/CTR/BNF:/LaSalle Trust
Account # 724879.5
Attn: RAAC Series 2007-SP2 Collateral Support Acct
(m) OTHER PROVISIONS.
(i) COLLATERAL ACCOUNT. Party B shall open and maintain a segregated 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, Moody's First Trigger Value, Moody's 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, Moody's First Trigger Value, and
Moody's Second Trigger Value" and (B) deleting the words "the Value" and inserting in
lieu thereof "S&P Value, Moody's First Trigger Value, and Moody's Second Trigger
Value". Paragraph 5 (flush language) is hereby amended by deleting the word "Value" and
inserting in lieu thereof "S&P Value, Moody's First Trigger Value, or Moody's Second
Trigger Value". Paragraph 5(i) (flush language) is hereby amended by deleting the word
"Value" and inserting in lieu thereof "S&P Value, Moody's First Trigger Value, and
Moody's 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,
Moody's First Trigger Value, or Moody's 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, Moody's First Trigger
Value, or Moody's Second Trigger Value" and (2) deleting the second instance of the
words "the Value" and inserting in lieu thereof "such disputed S&P Value, Moody's First
Trigger Value, or Moody's 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, Moody's First Trigger Value, and Moody's 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 S&P 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."
(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.
"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.
"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.
"MOODY'S FIRST TRIGGER EVENT" means that no Relevant Entity has credit ratings from
Moody's at least equal to the Moody's First Trigger Ratings Threshold.
"MOODY'S 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 Moody's 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 Moody's Second Trigger Event has occurred and been continuing
for at least 30 Local Business Days, an amount equal to the greater of
(a) zero and (b) the sum of (i) the Secured Party's Exposure for such
Valuation Date and (ii) the sum, for each Transaction to which this
Annex relates, of the product of (1) the applicable Moody's First
Trigger Factor set forth in Table 1, (2) 250 and (3) 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.
"MOODY'S FIRST TRIGGER RATINGS THRESHOLD" means, with respect to Party A, the guarantor
under an Eligible Guarantee or an Eligible Replacement, (i) if such entity has a
short-term unsecured and unsubordinated debt rating from Moody's, a long-term unsecured
and unsubordinated debt rating or counterparty rating from Moody's of "A2" and a
short-term unsecured and unsubordinated debt rating from Moody's of "Prime-1", or (ii) if
such entity does not have a short-term unsecured and unsubordinated debt rating or
counterparty rating from Moody's, a long-term unsecured and unsubordinated debt rating or
counterparty rating from Moody's of "A1".
"MOODY'S 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 Moody's First Trigger Valuation Percentage for such Eligible Collateral set forth
in Paragraph 13(b)(ii).
"MOODY'S SECOND TRIGGER EVENT" means that no Relevant Entity has credit ratings from
Moody's at least equal to the Moody's Second Trigger Ratings Threshold.
"MOODY'S 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 Moody's Second
Trigger Event has occurred and been continuing for at least 30 Local
Business Days, an amount equal to the greatest of (a) zero, (b) the
aggregate amount of the next payment due to be paid by Party A under
each Transaction to which this Annex relates, and (c) the sum of (x)
the Secured Party's Exposure for such Valuation Date and (y) the sum,
for each Transaction to which this Annex relates, of
(1) if such Transaction is not a Transaction-Specific Hedge, the
product of (i) the applicable Moody's Second Trigger Factor set forth
in Table 2, (ii) 250 and (iii) the Notional Amount for such
Transaction for the Calculation Period which includes such Valuation
Date; or
(2) the product of (i) the applicable Moody's Second Trigger Factor
set forth in Table 3, (ii) 250 and (iii) 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.
"MOODY'S SECOND TRIGGER RATINGS THRESHOLD" means, with respect to Party A, the guarantor
under an Eligible Guarantee or an Eligible Replacement, (i) if such entity has a
short-term unsecured and unsubordinated debt rating from Moody's, a long-term unsecured
and unsubordinated debt rating or counterparty rating from Moody's of "A3" and a
short-term unsecured and unsubordinated debt rating from Moody's of "Prime-2", or (ii) if
such entity does not have a short-term unsecured and unsubordinated debt rating from
Moody's, a long-term unsecured and unsubordinated debt rating or counterparty rating from
Moody's of "A3".
"MOODY'S 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 Moody's Second Trigger Valuation Percentage for such Eligible Collateral set forth
in Paragraph 13(b)(ii).
"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, Merrill Lynch Securities Pricing Service,
Muller Data Corporation, Reuters, Wood Gundy, Trepp Pricing, JJ Kenny, S&P and Telerate.
"S&P APPROVED RATINGS THRESHOLD" means, with respect to Party A, the guarantor under an
Eligible Guarantee or an Eligible Replacement, 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
from S&P of "A+".
"S&P CREDIT SUPPORT AMOUNT" means, (a) if an S&P Approved Ratings Downgrade has
occurred and has continued for 10 Local Business Days, for any Valuation Date, the
Exposure; (b) if an S&P Required Ratings Downgrade has occurred and has continued for
10 Local Business Days: an amount equal to 125% of the Exposure or (c) if the
Threshold is Infinity: zero.
"S&P VALUE" means, on any date and with respect to any Eligible Collateral, the
product of (A) the bid price (or face value with respect to Cash) obtained by the
Valuation Agent for such Eligible Collateral and (B)(i) if the S&P Approved Ratings
Downgrade has occurred and been continuing for at least 10 Local Business Days, the S&P
Approved Ratings Downgrade Valuation Percentage or (ii) if a S&P Required Ratings
Downgrade has occurred and been continuing for at least 10 Local Business Days, S&P
Required Ratings Downgrade Valuation Percentage, as applicable, for such Eligible
Collateral set forth in Schedule I.
"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 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, Moody's
First Trigger Value, or Moody's Second Trigger Value with respect to any Eligible
Collateral or Posted Collateral, the applicable S&P Approved Ratings Downgrade
Valuation Percentage, S&P Required Ratings Downgrade Valuation Percentage, Moody's
First Trigger Valuation Percentage, or Moody's 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 Moody's
First Trigger Value, and the related Moody's Second Trigger Value.
[Remainder of this page intentionally left blank]
Table 1
MOODY'S FIRST TRIGGER FACTOR
REMAINING DAILY
WEIGHTED AVERAGE LIFE COLLATERAL
OF HEDGE IN YEARS POSTING
1 or less 0.15%
More than 1 but not more than 2 0.30%
More than 2 but not more than 3 0.40%
More than 3 but not more than 4 0.60%
More than 4 but not more than 5 0.70%
More than 5 but not more than 6 0.80%
More than 6 but not more than 7 1.00%
More than 7 but not more than 8 1.10%
More than 8 but not more than 9 1.20%
More than 9 but not more than 10 1.30%
More than 10 but not more than 11 1.40%
More than 11 but not more than 12 1.50%
More than 12 but not more than 13 1.60%
More than 13 but not more than 14 1.70%
More than 14 but not more than 15 1.80%
More than 15 but not more than 16 1.90%
More than 16 but not more than 17 2.00%
More than 17 but not more than 18 2.00%
More than 18 but not more than 19 2.00%
More than 19 but not more than 20 2.00%
More than 20 but not more than 21 2.00%
More than 21 but not more than 22 2.00%
More than 22 but not more than 23 2.00%
More than 23 but not more than 24 2.00%
More than 24 but not more than 25 2.00%
More than 25 but not more than 26 2.00%
More than 26 but not more than 27 2.00%
More than 27 but not more than 28 2.00%
More than 28 but not more than 29 2.00%
More than 29 2.00%
Table 2
MOODY'S SECOND TRIGGER FACTOR FOR INTEREST RATE SWAPS WITH FIXED NOTIONAL AMOUNTS
REMAINING DAILY
WEIGHTED AVERAGE LIFE COLLATERAL
OF HEDGE IN YEARS POSTING
1 or less 0.50%
More than 1 but not more than 2 1.00%
More than 2 but not more than 3 1.50%
More than 3 but not more than 4 1.90%
More than 4 but not more than 5 2.40%
More than 5 but not more than 6 2.80%
More than 6 but not more than 7 3.20%
More than 7 but not more than 8 3.60%
More than 8 but not more than 9 4.00%
More than 9 but not more than 10 4.40%
More than 10 but not more than 11 4.70%
More than 11 but not more than 12 5.00%
More than 12 but not more than 13 5.40%
More than 13 but not more than 14 5.70%
More than 14 but not more than 15 6.00%
More than 15 but not more than 16 6.30%
More than 16 but not more than 17 6.60%
More than 17 but not more than 18 6.90%
More than 18 but not more than 19 7.20%
More than 19 but not more than 20 7.50%
More than 20 but not more than 21 7.80%
More than 21 but not more than 22 8.00%
More than 22 but not more than 23 8.00%
More than 23 but not more than 24 8.00%
More than 24 but not more than 25 8.00%
More than 25 but not more than 26 8.00%
More than 26 but not more than 27 8.00%
More than 27 but not more than 28 8.00%
More than 28 but not more than 29 8.00%
More than 29 8.00%
[PG NUMBER]
Copyright(C)1994 by International Swaps and Derivatives Association, Inc.
Table 3
MOODY'S SECOND TRIGGER FACTOR FOR TRANSACTION-SPECIFIC HEDGES
REMAINING DAILY
WEIGHTED AVERAGE LIFE COLLATERAL
OF HEDGE IN YEARS POSTING
1 or less 0.65%
More than 1 but not more than 2 1.30%
More than 2 but not more than 3 1.90%
More than 3 but not more than 4 2.50%
More than 4 but not more than 5 3.10%
More than 5 but not more than 6 3.60%
More than 6 but not more than 7 4.20%
More than 7 but not more than 8 4.70%
More than 8 but not more than 9 5.20%
More than 9 but not more than 10 5.70%
More than 10 but not more than 11 6.10%
More than 11 but not more than 12 6.50%
More than 12 but not more than 13 7.00%
More than 13 but not more than 14 7.40%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 8.20%
More than 16 but not more than 17 8.60%
More than 17 but not more than 18 9.00%
More than 18 but not more than 19 9.40%
More than 19 but not more than 20 9.70%
More than 20 but not more than 21 10.00%
More than 21 but not more than 22 10.00%
More than 22 but not more than 23 10.00%
More than 23 but not more than 24 10.00%
More than 24 but not more than 25 10.00%
More than 25 but not more than 26 10.00%
More than 26 but not more than 27 10.00%
More than 27 but not more than 28 10.00%
More than 28 but not more than 29 10.00%
More than 29 10.00%
SCHEDULE 1
ELIGIBLE COLLATERAL
---------------------------------------------------------------------------------------------------------------------------------------------------------
ELIGIBLE COLLATERAL & VALUATION PERCENTAGES
MOODY'S AND S&P
---------------------------------------------------------------------------------------------------------------------------------------------------------
---------- ------------------------------------------------------- --------------------------------------- ----------------------------------------------
VALUATION PERCENTAGE VALUATION PERCENTAGE
---------- ------------------------------------------------------- --------------------------------------- ----------------------------------------------
---------- ------------------------------------------------------- --------------------------------------- ----------------------------------------------
MOODY'S S&P
---------- ------------------------------------------------------- --------------------------------------- ----------------------------------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
FIRST TRIGGER SECOND TRIGGER S&P APPROVED RATINGS S&P REQUIRED
RATINGS DOWNGRADE
DOWNGRADE VALUATION VALUATION
PERCENTAGES PERCENTAGES
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(A) 100 100 100 80
Cash
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(B) 100 100 98 78.4
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
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(C) 100 94 92.6 74.1
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
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(D) 100 87 84.6 67.7
Fixed-rate negotiable debt obligations issued by the
U.S. Treasury Department having a remaining maturity
on such date of more than ten years
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(E) Agency Securities: negotiable debt obligations of the 100 99 98.5 [TBD]
Federal National Mortgage Association (FNMA), Federal
Home Loan Mortgage Corporation (FHLMC), Federal Home
Loan Banks (FHLB), Federal Farm Credit Banks (FFCB),
Tennessee Valley Authority (TVA) (collectively,
"AGENCY SECURITIES") issued after July 18, 1984 and
having a remaining maturity of not more than 1 year.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(F) Agency Securities having a remaining maturity of 100 98 97.7 [TBD]
greater than 1 year but not more than 2 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(G) Agency Securities having a remaining maturity of 100 97 97.3 [TBD]
greater than 2 years but not more than 3 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(H) Agency Securities having a remaining maturity of 100 96 94.5 [TBD]
greater than 3 years but not more than 5 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(I) Agency Securities having a remaining maturity of 100 94 93.1 [TBD]
greater than 5 years but not more than 7 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(J) Agency Securities having a remaining maturity of 100 93 90.7 [TBD]
greater than 7 years but not more than 10 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(K) Agency Securities having a remaining maturity of 100 88 87.7 [TBD]
greater than 10 years but not more than 20 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
(L) Agency Securities having a remaining maturity of 100 86 84.4 [TBD]
greater than 20 years but not more than 30 years.
---------- ------------------------------------------------------- --------------------- ----------------- ------------------------ ---------------------
IN WITNESS WHEREOF, the parties have executed this Annex by their duly authorized
representatives as of the date of the Agreement.
HSBC Bank USA, National Association LaSalle Bank National Association not in its individual capacity but solely in
its capacity as Trustee for the benefit of the RAAC Series 2007-SP2 Trust
By: /s/ Sandra Nicotra By: /s/ Susan L. Feld
Name Sandra Nicotra Name: Susan L. Feld
Title: Senior Vice President Title: Vice President
Date: July 11, 2007 Date: July 11, 2007
