Document/Exhibit Description Pages Size
1: 8-K Current Report 6 23K
2: EX-4.1 Instrument Defining the Rights of Security Holders 250 840K
3: EX-99.1 Miscellaneous Exhibit 33 226K
4: EX-99.2 Miscellaneous Exhibit 31 230K
5: EX-99.3 Miscellaneous Exhibit 7 25K
6: EX-99.4 Miscellaneous Exhibit 18 88K
7: EX-99.5 Miscellaneous Exhibit 23 89K
8: EX-99.6 Miscellaneous Exhibit 20 77K
9: EX-99.7 Miscellaneous Exhibit 6 27K
10: EX-99.8 Miscellaneous Exhibit 12 55K
11: EX-99.9 Miscellaneous Exhibit 29 132K
Exhibit 99.6
ISDA(R)
International Swaps and Derivatives Association, Inc.
CREDIT SUPPORT ANNEX
to the Schedule to the
Master Agreement
dated as of March 29, 2006
between
BARCLAYS BANK PLC THE BANK OF NEW YORK, not in its
individual or corporate capacity but
solely as Swap Contract Administrator
for CWABS, Inc. Asset-Backed
Certificates Series 2006-6, pursuant to
a Swap Contract Administration
Agreement
Party A Party B
This Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule and is a Credit Support Document under this
Agreement with respect to each party.
Accordingly, the parties agree as follows:
Paragraph 1. Interpretation
(a) Definitions and Inconsistency. Capitalized terms not otherwise defined
herein or elsewhere in this Agreement have the meanings specified pursuant to
Paragraph 12, and all references in this Annex to Paragraphs are to Paragraphs
of this Annex. In the event of any inconsistency between this Annex and the
other provisions of this Schedule, this Annex will prevail and in the event of
any inconsistency between Paragraph 13 and the other provisions of this Annex,
Paragraph 13 will prevail.
(b) Secured Party and Pledgor. All references in this Annex to the "Secured
Party" will be to either party when acting in that capacity and all
corresponding references to the "Pledgor" will be to the other party when
acting in that capacity; provided, however, that if Other Posted Support is
held by a party to this Annex, all references herein to that party as the
Secured Party with respect to that Other Posted Support will be to that party
as the beneficiary thereof and will not subject that support or that party as
the beneficiary thereof to provisions of law generally relating to security
interests and secured parties.
Paragraph 2. Security Interest
Each party, as the Pledgor, hereby pledges to the other party, as the Secured
Party, as security for its Obligations, and grants to the Secured Party a
first priority continuing security interest in, lien on and right of Set-off
against all Posted Collateral Transferred to or received by the Secured Party
hereunder. Upon the Transfer by the Secured Party to the Pledgor of Posted
Collateral, the security interest and lien granted hereunder on that Posted
Collateral will be released immediately and, to the extent possible, without
further action by either party.
Copyright (C) 1994 by International Swaps and Derivatives Association, Inc.
Paragraph 3. Credit Support Obligations
(a) Delivery Amount. Subject to Paragraphs 4 and 5, upon a demand made by the
Secured Party on or promptly following a Valuation Date, if the Delivery
Amount for that Valuation Date equals or exceeds the Pledgor's Minimum
Transfer Amount, then the Pledgor will Transfer to the Secured Party Eligible
Credit Support having a Value as of the date of Transfer at least equal to the
applicable Delivery Amount (rounded pursuant to Paragraph 13). Unless
otherwise specified in Paragraph 13. the "Delivery Amount" applicable to the
Pledgor for any Valuation Date will equal the amount by which:
(i) the Credit Support Amount
exceeds
(ii) the Value as of that Valuation Date of all Posted Credit Support
held by the Secured Party.
(b) Return Amount. Subject to Paragraphs 4 and 5, upon a demand made by the
Pledgor on or promptly following a Valuation Date, if the Return Amount for
that Valuation Date equals or exceeds the Secured Party's Minimum Transfer
Amount, then the Secured Party will Transfer to the Pledgor Posted Credit
Support specified by the Pledgor in that demand having a Value as of the date
of Transfer as close as practicable to the applicable Return Amount (rounded
pursuant to Paragraph 13). Unless otherwise specified in Paragraph 13, the
"Return Amount" applicable to the Secured Party for any Valuation Date will
equal the amount by which:
(i) the Value as of that Valuation Date of all Posted Credit Support held
by the Secured Party
exceeds
(ii) the Credit Support Amount.
"Credit Support Amount" means, unless otherwise specified in Paragraph 13, for
any Valuation Date (i) the Secured Party's Exposure for that Valuation Date
plus (ii) the aggregate of all Independent Amounts applicable to the Pledgor,
if any, minus (iii) all Independent Amounts applicable to the Secured Party,
if any, minus (iv) the Pledgor's Threshold; provided, however, that the Credit
Support Amount will be deemed to be zero whenever the calculation of Credit
Support Amount yields a number less than zero.
Paragraph 4. Conditions Precedent, Transfer Timing, Calculations and
Substitutions
(a) Conditions Precedent. Each Transfer obligation of the Pledgor under
Paragraphs 3 and 5 and of the Secured Party under Paragraphs 3, 4(d)(ii), 5
and 6(d) is subject to the conditions precedent that:
(i) no Event of Default, Potential Event of Default or Specified
Condition has occurred and is continuing with respect to the other party;
and
(ii) no Early Termination Date for which any unsatisfied payment
obligations exist has occurred or been designated as the result of an
Event of Default or Specified Condition with respect to the other party.
(b) Transfer Timing. Subject to Paragraphs 4(a) and 5 and unless otherwise
specified, if a demand for the Transfer of Eligible Credit Support or Posted
Credit Support is made by the Notification Time, then the relevant Transfer
will be made not later than the close of business on the next Local Business
Day; if a demand is made after the Notification Time, then the relevant
Transfer will be made not later than the close of business on the second Local
Business Day thereafter.
(c) Calculations. All calculations of Value and Exposure for purposes of
Paragraphs 3 and 6(d) will be made by the Valuation Agent as of the Valuation
Time. 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 Local Business Day following the applicable Valuation
Date (or in the case of Paragraph 6(d), following the date of calculation).
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ISDA(R) 1994
(d) Substitutions.
(i) Unless otherwise specified in Paragraph 13, upon notice to the
Secured Party specifying the items of Posted Credit Support to be
exchanged, the Pledgor may, on any Local Business Day, Transfer to the
Secured Party substitute Eligible Credit Support (the "Substitute Credit
Support"); and
(ii) subject to Paragraph 4(a), the Secured Party will Transfer to the
Pledgor the items of Posted Credit Support specified by the Pledgor in
its notice not later than the Local Business Day following the date on
which the Secured Party receives the Substitute Credit Support, unless
otherwise specified in Paragraph 13 (the "Substitution Date"); provided
that the Secured Party will only be obligated to Transfer Posted Credit
Support with a Value as of the date of Transfer of that Posted Credit
Support equal to the Value as of that date of the Substitute Credit
Support.
Paragraph 5. Dispute Resolution
If a party (a "Disputing Party") disputes (I) the Valuation Agent's
calculation of a Delivery Amount or a Return Amount or (II) the Value of any
Transfer of Eligible Credit Support or Posted Credit Support, then (I) the
Disputing Party will notify the other party and the Valuation Agent (if the
Valuation Agent is not the other party) not later than the close of business
on the Local Business Day following (X) the date that the demand is made under
Paragraph 3 in the case of (I) above or (Y) the date of Transfer in the case
of (II) above, (2) subject to Paragraph 4(a), the appropriate party will
Transfer the undisputed amount to the other party not later than the close of
business on the Local Business Day following (X) the date that the demand is
made under Paragraph 3 in the case of (I) above or (Y) the date of Transfer in
the case of (II) above, (3) the parties will consult with each other in an
attempt to resolve the dispute and (4) if they fail to resolve the dispute by
the Resolution Time, then:
(i) In the case of a dispute involving a Delivery Amount or Return
Amount, unless otherwise specified in Paragraph 13, the Valuation Agent
will recalculate the Exposure and the Value as of the Recalculation Date
by:
(A) utilizing any calculations of Exposure for the Transactions (or
Swap Transactions) that the parties have agreed are not in dispute;
(B) calculating the Exposure for the Transactions (or Swap
Transactions) in dispute by seeking four actual quotations at
mid-market from Reference Market-makers for purposes of calculating
Market Quotation, and taking the arithmetic average of those
obtained; provided that if four quotations are not available for a
particular Transaction (or Swap Transaction), then fewer than four
quotations may be used for that Transaction (or Swap Transaction);
and if no quotations are available for a particular Transaction (or
Swap Transaction), then the Valuation Agent's original calculations
will be used for that Transaction (or Swap Transaction); and
(C) utilizing the procedures specified in Paragraph 13 for
calculating the Value, if disputed, of Posted Credit Support.
(ii) In the case of a dispute involving the Value of any Transfer of
Eligible Credit Support or Posted Credit Support, the Valuation Agent
will recalculate the Value as of the date of Transfer pursuant to
Paragraph 13.
Following a recalculation pursuant to this Paragraph, the Valuation Agent will
notify each party (or the other party, if the Valuation Agent is a party) not
later than the Notification Time on the Local Business Day following the
Resolution Time. The appropriate party will, upon demand following that notice
by the Valuation Agent or a resolution pursuant to (3) above and subject to
Paragraphs 4(a) and 4(b), make the appropriate Transfer.
3
ISDA(R) 1994
Paragraph 6. Holding and Using Posted Collateral
(a) Care of Posted Collateral. Without limiting the Secured Party's rights
under Paragraph 6(c), the Secured Party will exercise reasonable care to
assure the safe custody of all Posted Collateral to the extent required by
applicable law, and in any event the Secured Party will be deemed to have
exercised reasonable care if it exercises at least the same degree of care as
it would exercise with respect to its own property. Except as specified in the
preceding sentence, the Secured Party will have no duty with respect to Posted
Collateral, including, without limitation, any duty to collect any
Distributions, or enforce or preserve any rights pertaining thereto.
(b) Eligibility to Hold Posted Collateral; Custodians.
(i) General. Subject to the satisfaction of any conditions specified in
Paragraph 13 for holding Posted Collateral, the Secured Party will be
entitled to hold Posted Collateral or to appoint an agent (a "Custodian")
to hold Posted Collateral for the Secured Party. Upon notice by the
Secured Party to the Pledgor of the appointment of a Custodian, the
Pledgor's obligations to make any Transfer will be discharged by making
the Transfer to that Custodian. The holding of Posted Collateral by a
Custodian will be deemed to be the holding of that Posted Collateral by
the Secured Party for which the Custodian is acting.
(ii) Failure to Satisfy Conditions. If the Secured Parry or its Custodian
fails to satisfy any conditions for holding Posted Collateral, then upon
a demand made by the Pledgor, the Secured Party will, not later than five
Local Business Days after the demand, Transfer or cause its Custodian to
Transfer all Posted Collateral held by it to a Custodian that satisfies
those conditions or to the Secured Party if it satisfies those
conditions.
(iii) Liability. The Secured Party will be liable for the acts or
omissions of its Custodian to the same extent that the Secured Party
would be liable hereunder for its own acts or omissions.
(c) Use of Posted Collateral Unless otherwise specified in Paragraph 13 and
without limiting the rights and obligations of the parties under Paragraphs 3,
4(d)(ii), 5, 6(d) and 8, if the Secured Party is not a Defaulting Party or an
Affected Party with respect to a Specified Condition and no Early Termination
Date has occurred or been designated as the result of an Event of Default or
Specified Condition with respect to the Secured Patty, then the Secured Party
will, notwithstanding Section 9-207 of the New York Uniform Commercial Code,
have the right to:
(i) sell, pledge, rehypothecate, assign, invest, use, commingle or
otherwise dispose of, or otherwise use in its business any Posted
Collateral it holds, free from any claim or right of any nature
whatsoever of the Pledgor, including any equity or right of redemption by
the Pledgor; and
(ii) register any Posted Collateral in the name of the Secured Party, its
Custodian or a nominee for either.
For purposes of the obligation to Transfer Eligible Credit Support or Posted
Credit Support pursuant to Paragraphs 3 and 5 and any rights or remedies
authorized under this Agreement, the Secured Party will be deemed to continue
to hold all Posted Collateral and to receive Distributions made thereon,
regardless of whether the Secured Party has exercised any rights with respect
to any Posted Collateral pursuant to (i) or (ii) above.
(d) Distributions and Interest Amount
(i) Distributions. Subject to Paragraph 4(a), if the Secured Party
receives or is deemed to receive Distributions on a Local Business Day,
it will Transfer to the Pledgor not later than the following Local
Business Day any Distributions it receives or is deemed to receive 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).
4
ISDA(R) 1994
(ii) Interest Amount Unless otherwise specified in Paragraph 13 and
subject to Paragraph 4(a), in lieu of any interest, dividends or other
amounts paid or deemed to have been paid with respect to Posted
Collateral in the form of Cash (all of which may be retained by the
Secured Party), the Secured Party will Transfer to the Pledgor at the
times specified in Paragraph 13 the Interest Amount 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). The Interest Amount or
portion thereof not Transferred pursuant to this Paragraph will
constitute Posted Collateral in the form of Cash and will be subject to
the security interest granted under Paragraph 2.
Paragraph 7. Events of Default
For purposes of Section 5(a)(iii)(1) of this Agreement, an Event of Default
will exist with respect to a party if:
(i) that party fails (or fails to cause its Custodian) to make, when due,
any Transfer of Eligible Collateral. Posted Collateral or the Interest
Amount, as applicable, required to be made by it and that failure
continues for two Local Business Days after notice of that failure is
given to that party;
(ii) that party fails to comply with any restriction or prohibition
specified in this Annex with respect to any of the rights specified in
Paragraph 6(c) and that failure continues for five Local Business Days
after notice of that failure is given to that party; or
(iii) that party fails to comply with or perform any agreement or
obligation other than those specified in Paragraphs 7(i) and 7(ii) and
that failure continues for 30 days after notice of that failure is given
to that party.
Paragraph 8. Certain Rights and Remedies
(a) Secured Party's Rights and Remedies. If at any time (1) an Event of
Default or Specified Condition with respect to the Pledgor has occurred and is
continuing or (2) an Early Termination Date has occurred or been designated as
the result of an Event of Default or Specified Condition with respect to the
Pledgor, then, unless the Pledgor has paid in full all of its Obligations that
are then due, the Secured Party may exercise one or more of the following
rights and remedies:
(i) all rights and remedies available to a secured party under applicable
law with respect to Posted Collateral held by the Secured Party;
(ii) any other rights and remedies available to the Secured Party under
the terms of Other Posted Support, if any;
(iii) the right to Set-off any amounts payable by the Pledgor with
respect to any Obligations against any Posted Collateral or the Cash
equivalent of any Posted Collateral held by the Secured Party (or any
obligation of the Secured Party to Transfer that Posted Collateral); and
(iv) the right to liquidate any Posted Collateral held by the Secured
Party through one or more public or private sales or other dispositions
with such notice, if any, as may be required under applicable law, free
from any claim or right of any nature whatsoever of the Pledgor,
including any equity or right of redemption by the Pledgor (with the
Secured Party having the right to purchase any or all of the Posted
Collateral to be sold) and to apply the proceeds (or the Cash equivalent
thereof) from the liquidation of the Posted Collateral to any amounts
payable by the Pledgor with respect to any Obligations in that order as
the Secured Party may elect.
Each party acknowledges and agrees that Posted Collateral in the form of
securities may decline speedily in value and is of a type customarily sold on
a recognized market, and, accordingly, the Pledgor is not entitled to prior
notice of any sale of that Posted Collateral by the Secured Party, except any
notice that is required under applicable law and cannot be waived.
5
ISDA(R) 1994
(b) Pledgor's Rights and Remedies. If at any time an Early Termination Date
has occurred or been designated as the result of an Event of Default or
Specified Condition with respect to the Secured Party, then (except in the
case of an Early Termination Date relating to less than all Transactions (or
Swap Transactions) where the Secured Party has paid in full all of its
obligations that are then due under Section 6(e) of this Agreement):
(i) the Pledgor may exercise all rights and remedies available to a
pledgor under applicable law with respect to Posted Collateral held by
the Secured Party;
(ii) the Pledgor may exercise any other rights and remedies available to
the Pledgor under the terms of Other Posted Support, if any;
(iii) the Secured Party will be obligated immediately to Transfer all
Posted Collateral and the Interest Amount to the Pledgor; and
(iv) to the extent that Posted Collateral or the Interest Amount is not
so Transferred pursuant to (iii) above, the Pledgor may:
(A) Set-off any amounts payable by the Pledgor with respect to any
Obligations against any Posted Collateral or the Cash equivalent of
any Posted Collateral held by the Secured Party (or any obligation
of the Secured Party to Transfer that Posted Collateral); and
(B) to the extent that the Pledgor does not Set-off under (iv)(A)
above, withhold payment of any remaining amounts payable by the
Pledgor with respect to any Obligations, up to the Value of any
remaining Posted Collateral held by the Secured Party, until that
Posted Collateral is Transferred to the Pledgor.
(c) Deficiencies and Excess Proceeds. The Secured Party will Transfer to the
Pledgor any proceeds and Posted Credit Support remaining after liquidation,
Set-off and/or application under Paragraphs 8(a) and 8(b) after satisfaction
in full of all amounts payable by the Pledgor with respect to any Obligations;
the Pledgor in all events will remain liable for any amounts remaining unpaid
after any liquidation, Set-off and/or application under Paragraphs 8(a) and
8(b).
(d) Final Returns. When no amounts are or thereafter may become payable by the
Pledgor with respect to any Obligations (except for any potential liability
under Section 2(d) of this Agreement), the Secured Party will Transfer to the
Pledgor all Posted Credit Support and the Interest Amount, if any.
Paragraph 9. Representations
Each party represents to the other party (which representations will be deemed
to be repeated as of each date on which it, as the Pledgor, Transfers Eligible
Collateral) that:
(i) it has the power to grant a security interest in and lien on any
Eligible Collateral it Transfers as the Pledgor and has taken all
necessary actions to authorize the granting of that security interest and
lien;
(ii) it is the sole owner of or otherwise has the right to Transfer all
Eligible Collateral it Transfers to the Secured Party hereunder, free and
clear of any security interest, lien, encumbrance or other restrictions
other than the security interest and lien granted under Paragraph 2;
(iii) upon the Transfer of any Eligible Collateral to the Secured Party
under the terms of this Annex, the Secured Party will have a valid and
perfected first priority security interest therein (assuming that any
central clearing corporation or any third-party financial intermediary or
other entity not within the control of the Pledgor involved in the
Transfer of that Eligible Collateral gives the notices and takes the
action required of it under applicable law for perfection of that
interest); and
(iv) the performance by it of its obligations under this Annex will not
result in the creation of any security interest, lien or other
encumbrance on any Posted Collateral other than the security interest and
lien granted under Paragraph 2.
6
ISDA(R) 1994
Paragraph 10. Expenses
(a) General. Except as otherwise provided in Paragraphs 10(b) and 10(c), each
party will pay its own costs and expenses in connection with performing its
obligations under this Annex and neither party will be liable at any costs and
expenses incurred by the other party in connection herewith.
(b) Posted Credit Support. The Pledgor will promptly pay when due all taxes,
assessments or charges of any nature that are imposed with respect to Posted
Credit Support held by the Secured Party upon becoming aware of the same,
regardless of whether any portion of that Posted Credit Support is
subsequently disposed of under Paragraph 6(c), except for those taxes,
assessments and charges that result from the exercise of the Secured Party's
rights under Paragraph 6(c).
(c) Liquidation/Application of Posted Credit Support. All reasonable costs and
expenses incurred by or on behalf of the Secured Party or the Pledgor in
connection with the liquidation and/or application of any Posted Credit
Support under Paragraph 8 will be payable, on demand and pursuant to the
Expenses Section of this Agreement, by the Defaulting Party or, if there is no
Defaulting Party, equally by the parties.
Paragraph 11. Miscellaneous
(a) Default Interest. A Secured Party that fails to make, when due, any
Transfer of Posted Collateral or the Interest Amount will be obligated to pay
the Pledgor (to the extent permitted under applicable law) an amount equal to
interest at the Default Rate multiplied by the Value of the items of property
that were required to be Transferred, from (and including) the date that
Posted Collateral or Interest Amount was required to be Transferred to (but
excluding) the date of Transfer of that Posted Collateral or Interest Amount.
This interest will be calculated on the basis of daily compounding and the
actual number of days elapsed.
(b) Further Assurances. Promptly following a demand made by a party, the other
party will execute, deliver, file and record any financing statement, specific
assignment or other document and take any other action that may be necessary
or desirable and reasonably requested by that party to create, preserve,
perfect or validate any security interest or lien granted under Paragraph 2,
to enable that party to exercise or enforce its rights under this Annex with
respect to Posted Credit Support or an Interest Amount or to effect or
document a release of a security interest on Posted Collateral or an Interest
Amount.
(c) Further Protection. The Pledgor will promptly give notice to the Secured
Party of, and defend against, any suit, action, proceeding or lien that
involves Posted Credit Support Transferred by the Pledgor or that could
adversely affect the security interest and lien granted by it under Paragraph
2, unless that suit, action, proceeding or lien results from the exercise of
the Secured Party's rights under Paragraph 6(c).
(d) Good Faith and Commercially Reasonable Manner. Performance of all
obligations under this Annex, including, but not limited to, all calculations,
valuations and determinations made by either party, will be made in good faith
and in a commercially reasonable manner.
(e) Demands and Notices. All demands and notices made by a party under this
Annex will be made as specified in the Notices Section of this Agreement,
except as otherwise provided in Paragraph 13.
(f) Specifications of Certain Matters. Anything referred to in this Annex as
being specified in Paragraph 13 also may be specified in one or more
Confirmations or other documents and this Annex will be construed accordingly.
7
ISDA(R) 1994
Paragraph 12. Definitions
As used in this Annex:
"Cash" means the lawful currency of the United States of America.
"Credit Support Amount" has the meaning specified in Paragraph 3.
"Custodian" has the meaning specified in Paragraphs 6(b)(i) and 13.
"Delivery Amount" has the meaning specified in Paragraph 3(a).
"Disputing Party" has the meaning specified in Paragraph 5.
"Distributions" means with respect to Posted Collateral other than Cash, all
principal, interest and other payments and distributions of cash or other
property with respect thereto, regardless of whether the Secured Party has
disposed of that Posted Collateral under Paragraph 6(c). Distributions will
not include any item of property acquired by the Secured Party upon any
disposition or liquidation of Posted Collateral or, with respect to any Posted
Collateral in the form of Cash, any distributions on that collateral, unless
otherwise specified herein.
"Eligible Collateral" means, with respect to a party, the items, if any,
specified as such for that party in Paragraph 13.
"Eligible Credit Support" means Eligible Collateral and Other Eligible
Support.
"Exposure" means for any Valuation Date or other date for which Exposure is
calculated and subject to Paragraph 5 in the case of a dispute, the amount, if
any, that would be payable to a party that is the Secured Party by the other
party (expressed as a positive number) or by a party that is the Secured Party
to the other party (expressed as a negative number) pursuant to Section
6(e)(ii)(2)(A) of this Agreement as if all Transactions (or Swap Transactions)
were being terminated as of the relevant Valuation Time; provided that Market
Quotation will be determined by the Valuation Agent using its estimates at
mid-market of the amounts that would be paid for Replacement Transactions (as
that term is defined in the definition of "Market Quotation").
"Independent Amount" means, with respect to a party, the amount specified as
such for that party in Paragraph 13; if no amount is specified, zero.
"Interest Amount" means, with respect to an Interest Period, the aggregate sum
of the amounts of interest calculated for each day in that Interest Period on
the principal amount of Posted Collateral in the form of Cash held by the
Secured Party on that day, determined by the Secured Party for each such day
as follows:
(x) the amount of that Cash on that day; multiplied by
(y) the Interest Rate in effect for that day; divided by
(z) 360.
"Interest Period" means the period from (and including) the last Local
Business Day on which an Interest Amount was Transferred (or, if no Interest
Amount has yet been Transferred, the Local Business Day on which Posted
Collateral in the form of Cash was Transferred to or received by the Secured
Party) to (but excluding) the Local Business Day on which the current Interest
Amount is to be Transferred.
"Interest Rate" means the rate specified in Paragraph 13.
"Local Business Day", unless otherwise specified in Paragraph 13, has the
meaning specified in the Definitions Section of this Agreement, except that
references to a payment in clause (b) thereof will be deemed to include a
Transfer under this Annex.
8
ISDA(R) 1994
"Minimum Transfer Amount" means, with respect to a party, the amount specified
as such for that party in Paragraph 13; if no amount is specified, zero.
"Notification Time" has the meaning specified in Paragraph 13.
"Obligations" means, with respect to a party, all present and future
obligations of that party under this Agreement and any additional obligations
specified for that party in Paragraph 13.
"Other Eligible Support" means, with respect to a party, the items, if any,
specified as such for that party in Paragraph 13.
"Other Posted Support" means all Other Eligible Support Transferred to the
Secured Party that remains in effect for the benefit of that Secured Party.
"Pledgor" means either party, when that party (i) receives a demand for or is
required to Transfer Eligible Credit Support under Paragraph 3(a) or (ii) has
Transferred Eligible Credit Support under Paragraph 3(a).
"Posted Collateral" means all Eligible Collateral, other property,
Distributions, and all proceeds thereof that have been Transferred to or
received by the Secured Party under this Annex and not Transferred to the
Pledgor pursuant to Paragraph 3(b), 4(d)(ii) or 6(d)(i) or released by the
Secured Party under Paragraph 8. Any Interest Amount or portion thereof not
Transferred pursuant to Paragraph 6(d)(ii) will constitute Posted Collateral
in the form of Cash.
"Posted Credit Support" means Posted Collateral and Other Posted Support.
"Recalculation Date" means the Valuation Date that gives rise to the dispute
under Paragraph 5: provided, however, that if a subsequent Valuation Date
occurs under Paragraph 3 prior to the resolution of the dispute, then the
"Recalculation Date" means the most recent Valuation Date under Paragraph 3.
"Resolution Time" has the meaning specified in Paragraph 13.
"Return Amount" has the meaning specified in Paragraph 3(b).
"Secured Party" means either party, when that party (i) makes a demand for or
is entitled to receive Eligible Credit Support under Paragraph 3(a) or (ii)
holds or is deemed to hold Posted Credit Support.
"Specified Condition" means, with respect to a party, any event specified as
such for that party in Paragraph 13.
"Substitute Credit Support" has the meaning specified in Paragraph 4(d)(i).
"Substitution Date" has the meaning specified in Paragraph 4(d)(ii).
"Threshold" means, with respect to a party, the amount specified as such for
that party in Paragraph 13; if no amount is specified, zero.
"Transfer" means, with respect to any Eligible Credit Support, Posted Credit
Support or Interest Amount, and in accordance with the instructions of the
Secured Party, Pledgor or Custodian, as applicable:
(i) in the case of Cash, payment or delivery by wire transfer into one or
more bank accounts specified by the recipient;
(ii) in the case of certificated securities that cannot be paid or
delivered by book-entry, payment or delivery in appropriate physical form
to the recipient or its account accompanied by any duly executed
instruments of transfer, assignments in blank, transfer tax stamps and
any other documents necessary to constitute a legally valid transfer to
the recipient;
(iii) in the case of securities that can be paid or delivered by
book-entry, the giving of written instructions to the relevant depository
institution or other entity specified by the recipient, together with a
written copy thereof to the recipient, sufficient if complied with to
result in a legally effective transfer of the relevant interest to the
recipient; and
(iv) in the case of Other Eligible Support or Other Posted Support, as
specified in Paragraph 13.
9
ISDA(R) 1994
"Valuation Agent" has the meaning specified in Paragraph 13.
"Valuation Date" means each date specified in or otherwise determined pursuant
to Paragraph 13.
"Valuation Percentage" means, for any item of Eligible Collateral, the
percentage specified in Paragraph 13.
"Valuation Time" has the meaning specified in Paragraph 13.
"Value" means for any Valuation Date or other date for which Value is
calculated and subject to Paragraph 5 in the case of a dispute, with respect
to:
(i) Eligible Collateral or Posted Collateral that is:
(A) Cash, the amount thereof; and
(B) a security, the bid price obtained by the Valuation Agent
multiplied by the applicable Valuation Percentage, if any;
(ii) Posted Collateral that consists of items that are not specified as
Eligible Collateral, zero; and
(iii) Other Eligible Support and Other Posted Support, as specified in
Paragraph 13.
10
ISDA(R) 1994
ISDA (R)
International Swaps and Derivatives Association, Inc.
CREDIT SUPPORT ANNEX
Elections and Variables
to the ISDA Credit Support Annex
dated as of March 29, 2006
between
BARCLAYS BANK PLC and THE BANK OF NEW YORK, not in its
individual or corporate capacity
but solely as Swap Contract
Administrator for CWABS, Inc.
Asset-Backed Certificates Series
2006-6, pursuant to a Swap
Contract Administration
("Party A") ("Party B")
This Annex supplements, forms part of, and is subject to, the above-referenced
Agreement, is part of its Schedule, the Confirmation (Reference Number
1126878B (the "Confirmation") and is a Credit Support Document under this
Agreement with respect to each party.
Paragraph 13.
(a) Security Interest for "Obligations". The term "Obligations" as used in
this Annex includes the following additional obligations:
With respect to Party A: None.
With respect to Party B: None.
(b) Credit Support Obligations.
(i) Delivery Amount, Return Amount and Credit Support Amount.
11
(A) "Delivery Amount" has the meaning specified in Paragraph 3(a),
except that 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 the next Local Business Day following a Valuation Date";
and.
(B) "Return Amount" has the meaning specified in Paragraph 3(b).
(C) "Credit Support Amount". shall not have the meaning specified
in Paragraph 3(b) and, instead, will have the following
meaning:
"Credit Support Amount" means, (a) for any Valuation Date on
which a Ratings Event (as defined in the Agreement) has
occurred and is continuing, the Secured Party's Modified
Exposure for that Valuation Date.
(ii) Eligible Credit Support. On any date, the following items will
qualify as "Eligible Credit Support" for each party:
[Download Table]
Valuation
Percentage
(A) cash in U.S Dollars 100%
(B) negotiable debt obligations issued after 18 July 98.6%
1984 by the U.S. Treasury Department having a
residual maturity on such date of less than 1 year
(with local and foreign currency issuer ratings of
Moody's Aa2 and S&P AA or above)
(C) negotiable debt obligations issued after 18 July To Be Determined
1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater
than 1 year but less than 5 years (with local and
foreign currency issuer ratings of Moody's Aa2 and
S&P AA or above)
(D) negotiable debt obligations issued after 18 July To Be Determined
1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater
than 5 years but less than 10 years (with local and
foreign currency issuer ratings of Moody's Aa2 and
S&P AA or above)
(E) negotiable debt obligations of the Government To Be Determined
National Mortgage Association, the Federal National
Mortgage Association, the Federal Home Loan
Mortgage Corporation, the Student Loan Marketing
Association or a Federal Home Loan Bank (all
entities rated Moody's Aal and S&P AA+ or above)
with a residual maturity on such date equal to or
greater than 1 year but less than 3 years.
12
(A) "Delivery Amount" has the meaning specified in Paragraph 3(a) ,
except that 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 the next Local Business Day following a Valuation Date";
and.
(B) "Return Amount" has the meaning specified in Paragraph 3(b).
(C) "Credit Support Amount". shall not have the meaning specified
in Paragraph 3(b) and, instead, will have the following
meaning:
"Credit Support Amount" means, (a) for any Valuation Date on
which a Ratings Event (as defined in the Agreement) has
occurred and is continuing, the Secured Party's Modified
Exposure for that Valuation Date.
(ii) Eligible Credit Support. On any date, the following items will
qualify as "Eligible Credit Support" for each party:
[Download Table]
Valuation
Percentage
(A) cash in U.S Dollars 100%
(B) negotiable debt obligations issued after 18 July 98.6%
1984 by the U.S. Treasury Department having a
residual maturity on such date of less than 1 year
(with local and foreign currency issuer ratings of
Moody's Aa2 and S&P AA or above)
(C) negotiable debt obligations issued after 18 July To Be Determined
1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater
than 1 year but less than 5 years (with local and
foreign currency issuer ratings of Moody's Aa2 and
S&P AA or above)
(D) negotiable debt obligations issued after 18 July To Be Determined
1984 by the U.S. Treasury Department having a
residual maturity on such date equal to or greater
than 5 years but less than 10 years (with local and
foreign currency issuer ratings of Moody's Aa2 and
S&P AA or above)
(E) negotiable debt obligations of the Government To Be Determined
National Mortgage Association, the Federal National
Mortgage Association, the Federal Home Loan
Mortgage Corporation, the Student Loan Marketing
Association or a Federal Home Loan Bank (all
entities rated Moody's Aal and S&P AA+ or above)
with a residual maturity on such date equal to or
greater than 1 year but less than 3 years.
12
(F) negotiable debt obligations of the Government To Be Determined
National Mortgage Association, the Federal National
Mortgage Association, the Federal Home Loan Mortgage
Corporation, the Student Loan Marketing Association
or a Federal Home Loan Bank (all entries rated
Moody's Aa 1 and S&P AA+ or above) with a residual
maturity on such date equal to or greater than 3
years but less than 5 years.
(G) negotiable debt obligations of the Government To Be Determined
National Mortgage Association, the Federal National
Mortgage Association, the Federal Home Loan Mortgage
Corporation, the Student Loan Marketing Association
or a Federal Home Loan Bank (all entries rated
Moody's Aal and S&P AA+ or above) with a residual
maturity on such date equal to or greater than 5
years but less than 7 years.
(H) negotiable debt obligations of the Government To Be Determined
National Mortgage Association, the Federal National
Mortgage Association, the Federal Home Loan Mortgage
Corporation, the Student Loan Marketing Association
or a Federal Home Loan Bank (all entries rated
Moody's Aal and S&P AA+ or above) with a residual
maturity on such date equal to or greater than 7
years but less than 10 years.
For the avoidance of doubt, where negotiable debt obligations are rated
by only one of the above relevant rating agencies, the rating applied
will be based on the rating of that agency. Notwithstanding the
foregoing, the Eligible Collateral referenced above may only be posted if
S&P has assigned a rating to such Eligible Collateral.
Where the ratings of the relevant agencies differ with respect to the
same negotiable debt obligation, the lower of the ratings shall apply.
In addition, upon a Ratings Event, Party A shall agree the Valuation
Percentage in relation to (C) through (H) above with the relevant rating
agency, which shall be S&P, Moody's and Fitch (to the extent such ratings
agency has provided a rating for the underlying Certificates); provided,
however, that if Party A is required to post collateral in accordance
with the terms of this Agreement it shall post only (A) and (B) above
until such time as the Valuation Percentages are agreed.
(iii) Other Eligible Support. Such Other Eligible Support as
the Pledgor may designate; provided, at the expense of
the Pledgor, the prior written consent of the relevant
rating agency, which shall be S&P, Moody's and Fitch (to
the extent such ratings agency has provided a rating for
the underlying Certificates)), shall have been obtained.
For the avoidance of doubt there are no items which
qualify as Other Eligible Support as of the date of this
Annex.
13
(iv) Thresholds.
(A) "Independent Amount" means zero.
(B) "Threshold" means for Party A:
1. infinity, unless (i) a Ratings Event occurs and is
continuing and (ii) Party A has not otherwise complied
with Part 5(a) of this Agreement, then its Threshold shall
be zero, or
2. in the event that Party A has otherwise complied with Part
5(a)of this Agreement, its Threshold shall continue to be
infinity.
"Threshold" means, for Party B: infinity
(C) "Minimum Transfer Amount" means USD 100,000, provided, however,
with respect to the Secured Party at any time when the Secured
Party is a Defaulting Party, "Minimum Transfer Amount" means
zero.
(D) Rounding: The Delivery Amount and the Return Amount will not be
rounded.
(c) Valuation and Timing.
(i) "Valuation Agent" means Party A. The valuation agent's calculations
shall be made in accordance with market practices using commonly
accepted third party sources such as Bloomberg or Reuters.
(ii) "Valuation Date" means each Local Business Day which, if treated as
a Valuation Date, would result in a Delivery Amount or Return
Amount.
(iii) "Valuation Time" means the close of business in the city of the
Valuation Agent on the Local Business Day before 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 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 Event 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): None.
(e) Substitution.
(i) "Substitution Date" has the meaning specified in Paragraph 4(d)(ii).
(ii) Consent. Not applicable.
14
(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.
Value. For the purpose of Paragraphs 5(i)(C) and 5(ii), on any
date, the Value of Eligible Credit Support will be calculated
as follows:
For Eligible Credit Support comprised of cash, the amount of
such cash.
For Eligible Collateral comprising securities; the sum of
(a)(x) the last bid price on such date for such securities on
the principal national securities exchange on which such
securities are listed, multiplied by the applicable Valuation
Percentage or (y) where any such securities are not listed on a
national securities exchange, the bid price for such securities
quoted as at the close of business on such date by any
principal market maker for such securities chosen by the
Valuation Agent, multiplied by the applicable Valuation
Percentage or (z) if no such bid price is listed or quoted for
such date, the last bid price listed or quoted (as the case may
be), as of the day next preceding such date on which such
prices were available; multiplied by the applicable Valuation
Percentage; plus (b) the accrued interest on such securities
(except to the extent that such interest shall have been paid
to the Pledgor pursuant to Paragraph 6(d)(ii) or included in
the applicable price referred to in subparagraph (a) above) as
of such date.
(ii) Alternative. The provisions of Paragraph 5 will apply; provided
that the obligation of the appropriate party to deliver the
undisputed amount to the other party will not arise prior to
the time that would otherwise have applied to the Transfer
pursuant to, or deemed made, under Paragraph 3 if no dispute
had arisen.
(g) Holding and Using Posted Collateral.
(i) Eligibility to Hold Posted Collateral; Custodians.
Party B is not and will not be entitled to hold Posted
Collateral. Party B's Custodian will be entitled to hold Posted
Collateral pursuant to Paragraph 6(b); provided that the
Custodian for Party B shall be the same banking institution
that acts as Indenture Trustee for the Notes (as defined in the
Indenture) for Party B.
Initially, the Custodian for Party B is: to be advised in
writing by Party B to Party A.
(ii) Use of Posted Collateral. The provisions of Paragraph 6(c) will
not apply to Party B; therefore, Party B will not have any of
the rights specified in Paragraph 6(c)(i) or 6 (c)(ii);
provided, however, that the Trustee shall invest Cash Posted
Credit Support in such investments as designated by Party A,
with losses (net of gains) incurred in respect of such
investments to be for the account of Party A. The Secured Party
is authorized to liquidate any Posted Credit Support pursuant
to written instructions from Party A.
15
(h) Distributions and Interest Amount.
(i) Interest Rate. The "Interest Rate" will be the rate earned on
Cash Posted Credit Support pursuant to clause (g)(ii) above.
(ii) Transfer of Interest Amount. The Transfer of the Interest
Amount will be made on each Distribution Date.
(iii) Alternative to Interest Amount. The provisions of Paragraph
6(d)(ii) will not 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 shall have such meaning as the parties shall agree in
writing from time to time.
(ii) "Transfer" with respect to Other Eligible Support and Other
Posted Support shall have such meaning as the parties shall
agree in writing from time to time.
(k) Demands and Notices.
All demands, specifications and notices under this Annex will be
made pursuant to the Notices Section of this Agreement, save that
any demand, specification or notice:
(i) shall be given to or made at the following addresses:
If to Party A:
5 The North Colonnade
Canary Wharf
London E14 4BB, England
Attention: Swaps Documentation
Facsimile No.: 0207-773-6857/6858
Telephone No.: 0207-773-6915/6904
with a copy to:
General Counsel's Office
200 Park Avenue
New York, N.Y. 10166
Notices to Party A shall not be deemed effective unless delivered to
the London address set forth above.
If to Party B:
Deutsche Bank National Trust Company
16
1761 East St. Andrew Place
Santa Ana, California 92705
Trust Administration - AMSI06R2
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;
(ii) shall (unless otherwise stated in this Annex) be deemed to be
effective at the time such notice is actually received unless
such notice is received on a day which is not a Local Business
Day or after the Notification Time on any Local Business Day in
which event such notice shall be deemed to be effective on the
next succeeding Local Business Day.
(l) Address for Transfers.
Party B:
To be specified in writing by Party B.
(m) Other Provisions.
(i) Additional Definitions. As used in this Annex:
"Local Business Day" means: (i) any day on which commercial
banks are open for business (including dealings in foreign
exchange and foreign currency deposits) in London, New York and
the location of the Trustee, and (ii) in relation to a Transfer
of Eligible Credit Support, a day on which the clearance system
agreed between the parties for the delivery of Eligible Credit
Support is open for acceptance and execution of settlement
instructions (or in the case of a Transfer of Cash or other
Eligible Credit Support for which delivery is contemplated by
other means, a day on which commercial banks are open for
business (including dealings for foreign exchange and foreign
deposits) in New York and such other places as the parties
shall agree).
(ii) Holding Collateral. The Secured Party shall cause any Custodian
appointed hereunder to open and maintain a segregated account
and to hold, record and identify all the Posted Collateral in
such segregated account and, subject to Paragraph 8(a), such
Posted Collateral shall at all times be and remain the property
of the Pledgor and shall at no time constitute the property of,
or be commingled with the property of, the Secured Party or the
Custodian.
(iii) Agreement as to Single Secured Party and Pledgor. Party A and
Party B 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 and
(d) Party A shall have no obligations under this Annex other
than during a Collateral Requirement Period.
(iv) Form of Annex The parties hereby agree that the text of the
body of this Annex is intended to be the printed form of ISDA
Credit Support Annex (Bilateral Form - ISDA
17
Agreements Subject to New York Law version) as published and
copyrighted by the International Swaps and Derivatives
Association, Inc.
(v) Exposure. The Parties agree that in the event of a Ratings
Event relating to an action taken by S&P, the Valuation Agent
shall verify its calculation of the Secured Party's Exposure on
a weekly basis but shall verify such valuation by seeking two
quotations from Reference Market-makers at the end of each
quarter. For the avoidance of doubt, the Valuation Agent must
(i) obtain at least 2 Market Quotations (as stated above) and
(ii) may not obtain the quotations referred to above from the
same Reference Market-maker in excess of four times during any
12 month period. Furthermore, the Exposure valuations should
reflect the higher of two bids from Reference Market-makers
that would be eligible and willing to provide the market
quoation in the absence of the current provider. The collateral
requirement should be based on the greater of the internal and
external market quoations. In the event the verification
procedures set forth above indicate that there is a deficiency
in the amount of Eligible Collateral that has been posted to
the Secured Party, the Pledgor shall post the amount of
Eligible Collateral necessary to cure such deficiency to the
Secured Party within three Local Business Days.
(vi) Expenses. Notwithstanding 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 the
transfer of Eligible Collateral.
(vii) Additional Definitions. As used in this Annex:
"Ratings Event" means a "Ratings Event " (as defined in the
Agreement).
"Modified Exposure" means, for any Valuation Date, an amount
equal to the greater of (a) the sum of Secured Party's Exposure
for that Valuation Date plus (the Notional Volatility Buffer
multiplied by the Notional Amount) and (b) zero.
"Notional Volatility Buffer" as determined by the Valuation
Agent for any date, means the outstanding Notional Amount of
the Transaction on such date multiplied by the relevant
percentage for such date as set out in the table below on such
date.
--------------------------------------------------------------
Less than or
equal to 5 Less than or equal to
years to 10 years but greater
Party A S&P Rating Termination than 5 years to
on Date of the Termination Date of
such date Transaction the Transaction
----------------------- -------------- ---------------------
S-T Rating of A-2 3.25% 4.00%
----------------------- -------------- ---------------------
S-T Rating of A-3 4.00% 5.00%
----------------------- -------------- ---------------------
L-T Rating of BB+ or 4.50% 5.75%
lower
--------------------------------------------------------------
18
IN WITNESS WHEREOF, the parties have executed this Annex by their duly
authorized representatives as of the date of the Agreement.
BARCLAYS BANK PLC THE BANK OF NEW YORK, not in its
individual or corporate capacity
but solely as Swap Contract
Administrator for CWABS, Inc.
Asset-Backed Certificates Series
2006-6, pursuant to a Swap Contract
Administration
By: /s/ Justin Wray By: /s/ Cirino Emanuele
------------------------------- -------------------------------
Name Justin Wray Name: CIRINO EMANUELE
Title: Director Title: ASSISTANT VICE PRESIDENT
Date: March 29, 2006 Date: March 29, 2006
19
Dates Referenced Herein and Documents Incorporated by Reference
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