Exhibit 99.5-1
As of January 9, 2001
Merrill Lynch Capital Services, Inc.
250 Vesey Street
4 World Financial Center
New York, New York 10080
Re: Class A-4 Notes
Dear Ladies and Gentlemen:
The purpose of this letter agreement is to confirm the terms and conditions of
the Swap Transaction (the "A-4 Primary Swap") entered into between Merrill Lynch
Capital Services, Inc. (the "Counterparty") and Capital Auto Receivables Asset
Trust 2001-1 (the "Trust") as of the Trade Date listed below (the
"Transaction"). This letter constitutes a "Confirmation" as referred to in the
Trust ISDA Agreement specified below.
1. The definitions and provisions contained in the 1991 ISDA Definitions as
supplemented by the 1998 Supplement to the 1991 ISDA Definitions (the
"Definitions"), as published by the International Swaps and Derivatives
Association, Inc. ("ISDA"), are incorporated into this Confirmation. In the
event of any inconsistency between those definitions and provisions and
this Confirmation, this Confirmation will govern. The parties agree that
this transaction is a Transaction under the ISDA Master Agreement of the
parties dated as of January 9, 2001. The agreement is comprised of the
printed form of such agreement as published by ISDA, as supplemented and
modified by a Schedule ("Primary ISDA Agreement").
This Confirmation constitutes a binding agreement between you and us and
will supplement, form a part of, and be subject to the Trust ISDA Agreement
described above as amended and supplemented from time to time.
The Counterparty and the Trust acknowledge that this Transaction relates to
the Class A-4 Floating Rate Asset Backed Notes (the "Reference Notes")
issued by the Trust for value pursuant to and subject to the Indenture.
Capitalized terms used herein and not otherwise defined herein, in the
Primary ISDA Agreement or in the Definitions shall have the meanings
assigned to them in Exhibit A or Exhibit B hereto, as applicable.
All references to "dollars" or to "$" shall be references to amounts in
United States Dollars.
2. The terms of the particular Transaction to which this Confirmation relates
are as follows:
Type of Transaction: Interest Rate Swap Transaction
Notional Amount: $471,000,000.00 with respect to the initial Calculation
Period. The Notional Amount with respect to each Calculation Period
thereafter shall be equal to the Reference Note Balance as of the close of
business on the Distribution Date at the beginning of the relevant
Calculation Period (as set forth in the Calculation Statement (defined
below) delivered by the Trust to the Counterparty on or prior to the
Determination Date relating to such Calculation Period pursuant to Section
3 below).
Trade Date: January 9, 2001
Effective Date: January 17, 2001
Termination Date: The earlier of the close of business on (i) March 15,
2005, (ii) the Fixed Rate Payer Payment Date after January 15, 2003 on
which the Notional Amount is reduced to zero and (iii) the date on which
the Servicer effects its option to repurchase the receivables pursuant to
Section 8.01 of the Trust Sale and Servicing Agreement.
Fixed Amounts:
Fixed Rate Payer: The Trust
Fixed Rate Payer Period End Dates: The 15th calendar day of each
month, commencing February 15, 2001 to and including March 15, 2005
with, in each case, No Adjustment.
Fixed Rate Payer Payment Date: One Business Day prior to each
Distribution Date
Fixed Rate: 5.325%
Fixed Rate Day Count Fraction: 30/360
Floating Amounts:
Floating Rate Payer: The Counterparty
Floating Rate Payer Period End Dates: Each Fixed Rate Payer Period End
Date.
Floating Rate Payer Payment Dates: One Business Day prior to each
Distribution Date
Reset Dates: Each Distribution Date
Floating Rate: LIBOR (as defined in Exhibit A)
Spread: +7 Basis Points
Floating Rate Day Count Fraction: Actual/360
Compounding: Inapplicable
Business Days for Payment: New York (New York), Detroit (Michigan) and
Chicago (Illinois)
Calculation Agent: The Trust, or General Motors Acceptance Corporation, as
agent for and on behalf of the Trust.
Default Rate: For any United States Dollar payments, the rate determined
under the option entitled "USD Federal Funds - H.15" plus 1% using daily
Reset Dates. The Default Rate will be applied on the basis of
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Compounding as if the overdue amount were a Notional Amount and using daily
Compounding Dates, and interest will accrue and be payable before as well
as after judgment.
3. Calculations and Notifications: On or before each Determination Date, the
Calculation Agent shall determine the Fixed Amount due to the Counterparty
on the next succeeding Fixed Rate Payer Payment Date and the Floating
Amount due to the Trust on the next succeeding Floating Rate Payer Payment
Date and the Calculation Agent shall notify the Counterparty in writing of
both (i) the Floating Rate and (ii) the amount of such payment.
In addition, on each Determination Date the Trust shall deliver to the
Counterparty (by facsimile with hard copy to follow) a statement (the
"Calculation Statement") setting forth with respect to the close of
business on the immediately preceding Distribution Date the Reference Note
Balance as of such Distribution Date.
The Trust will give the Counterparty prompt written notice of any Default
under the Indenture.
4. Credit Downgrade: In the event that the Joint Probability is reduced below
AA- in the case of S&P or Aa3, in the case of Moody's, the Offsetting
Counterparty shall promptly notify the Trust (and any permitted assignee or
transferee of the Trust) and the Counterparty of such event and (unless,
within 30 days after such reduction, the applicable Rating Agency has
reconfirmed the rating of the Reference Notes or the Other Notes which was
in effect immediately prior to such reduction) the Counterparty shall
within thirty (30) days of the date of the reduction of the applicable
Joint Probability, with the prior written confirmation of the applicable
Rating Agency that such arrangement will not result in the reduction of the
rating of any of the Reference Notes or the Other Notes existing
immediately prior to the reduction of the applicable Joint Probability, as
a direct result of the reduction of the applicable Joint Probability,
either:
(1) (x) obtain a substitute swap provider (the "Substitute Swap
Provider") acceptable to the Trust (such acceptance not to be
unreasonably withheld) and replace this Transaction with a swap
transaction on substantially similar terms or with such other
amendments as consented to in writing by the Trust (which consent
shall not be unreasonably withheld), provided such replacement would
result in an S&P Joint Probability of at least AA- and a Moody's Joint
Probability of at least Aa3, except that such Substitute Swap Provider
shall thenceforth be the "Counterparty" hereunder; or (y) replace,
with the consent of the then current Offsetting Counterparty, the swap
transaction with the then current Offsetting Counterparty with a swap
transaction with a replacement Offsetting Counterparty on terms
approved by S&P and Moody's or enter into a swap transaction with
another party such that such party shall be acting as an intermediary
between the Counterparty and the then current Offsetting Counterparty
(such replacement or intermediary being the "Replacement Offsetting
Counterparty"); or
(2) enter into an ISDA Credit Support Annex with the Trust mutually
acceptable to the Trust and the Counterparty; or
(3) enter into such other credit support arrangements to assure
performance by the Counterparty of its obligations under this
Transaction.
Notwithstanding the foregoing, in the event that the Joint Probability is
reduced below A- in the case of S&P, or A3, in the case of Moody's, then
the Offsetting Counterparty shall promptly notify the Trust (and any
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permitted assignee or transferee of the Trust) of such event and (unless,
within 30 days after such reduction the applicable Rating Agency has
reconfirmed the rating of the Reference Notes or the Other Notes which was
in effect immediately prior to such reduction) the Counterparty shall
within thirty (30) days of the date of such reduction, with the prior
written confirmation of the applicable Rating Agency that such arrangement
will not result in the reduction of the rating of any of the Reference
Notes or the Other Notes existing immediately prior to the reduction of the
applicable Joint Probability as a direct result of the reduction of such
Joint Probability, obtain a Substitute Swap Provider acceptable to the
Trust (such acceptance not to be unreasonably withheld) and replace this
Transaction with a swap transaction on substantially similar terms or with
such other amendments as consented to in writing by the Trust (which
consent shall not be unreasonably withheld) provided such replacement would
result in an S&P Joint Probability of at least AA- or a Moody's Joint
Probability of Aa3 except that such Substitute Swap Provider shall
thenceforth be the "Counterparty" hereunder.
Upon any replacement of this Transaction with a swap transaction with a
Substitute Swap Provider, this Transaction shall terminate without any
payment by either party hereto and any and all collateral posted by the
Counterparty shall be returned to it within three (3) Business Days and any
other form of collateral arrangement (including letters of credit, surety
bond or other guarantee) provided by or on behalf of the Counterparty shall
terminate.
In the event that the Counterparty fails to satisfy its obligations set
forth above in this Section 4, the Trust or any permitted assignee or
transferee of the Trust shall have the option, exercisable in its
discretion and with regard to the interests of the Noteholders, within ten
(10) Business Days following the date of expiry of the thirty (30) day
period after the date of the reduction, to designate (in writing) an Early
Termination Date on the basis that such failure shall be treated as a
Termination Event with the Counterparty as the Affected Party. For the
avoidance of doubt, the Counterparty and the Trust acknowledge and agree
that any such failure shall not constitute an Event of Default.
5. Account Details:
Payments to Fixed Rate Payer:
Bank One, National Association
ABA No.: 071000013
A/C: No.: 10-43256 further credit to
CARAT 2001-1 Collection Account No. 205074-000
Attn: K. Richardson
Payments to Floating Rate Payer:
Bankers Trust, New York, New York
ABA No.: 021 001 033
A/C No.: 00-811-874 Ref.: USD Swap Account
FAO: Merrill Lynch Capital Services, Inc. Dollar Swaps - New York, New York
6. Limited Recourse: Notwithstanding anything to the contrary contained herein
but without limiting the Counterparty's rights under Section 5(a)(i), all
of the obligations of the Trust shall be payable by the Trust only at the
times and to the extent of funds available therefor under the Trust Sale
and Servicing Agreement and, to the extent such funds are not available or
are insufficient for the payment thereof, shall not constitute a claim
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against the Trust to the extent of such unavailability or insufficiency
until such time as, and then to the extent that, the Trust has assets
sufficient to pay such prior deficiency. This paragraph shall survive the
termination of this Agreement but in all cases shall expire one year and
one day after the final payment with respect to all notes and certificates
issued by the Trust.
7. Limitation of Liability: It is expressly understood and agreed by the
parties hereto that (a) this Agreement is executed and delivered by Bankers
Trust (Delaware), not individually or personally but solely as Owner
Trustee of Capital Auto Receivables Asset Trust 2001-1 in the exercise of
the powers and authority conferred and vested in it, (b) each of the
representations, undertakings and agreements herein made on the part of the
Trust is made and intended not as personal representations, undertakings
and agreements by Bankers Trust (Delaware) but is made and intended for the
purpose for binding only the Trust, (c) nothing herein contained shall be
construed as creating any liability on Bankers Trust (Delaware),
individually or personally, to perform any covenant either expressed or
implied contained herein, all such liability, if any, being expressly
waived by the parties hereto and by any Person claiming by, through or
under the parties hereto and (d) under no circumstances shall Bankers Trust
(Delaware) be personally liable for the payment of any indebtedness or
expenses of the Trust or be liable for the breach or failure of any
obligation, representation, warranty or covenant made or undertaken by the
Trust under this Agreement or any other related documents.
8. To the extent that a capitalized term in this Transaction is defined by
reference to a related definition contained in any Trust Document, for
purposes of this Transaction only, such capitalized term shall be deemed to
be amended only if the amendment of the term in a Trust Document relating
to such capitalized term occurs with the prior written consent of the
Counterparty.
9. Acknowledgment and Ratification: The Trust acknowledges and agrees that
this Confirmation is the legal, valid and binding obligation of the Trust,
enforceable in accordance with its terms, not withstanding that the Trade
Date precedes the date upon which the Trust was formed, and the Trust
hereby ratifies and confirms all actions taken on its behalf in respect of
this Confirmation prior to the date hereof.
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Please confirm that the foregoing correctly sets forth the terms of our
agreement by executing the copy of this Confirmation enclosed for that purpose
and returning it to us.
CAPITAL AUTO RECEIVABLES ASSET
TRUST 2001-1
By: BANKERS TRUST (DELAWARE),
not in its individual capacity
but solely as Owner Trustee
By: CHARLES C. GREITER
_________________________________
Name: Charles C. Greiter
Title: Attorney-in-Fact
Accepted and confirmed as
of the date first above written:
Merrill Lynch Capital Services, Inc.
By:____________________________
Name:__________________________
Title:_________________________
Acknowledged and agreed as of
the date first above written:
General Motors Acceptance Corporation, solely as Calculation Agent
By:__________________________
Name:
Title:
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EXHIBIT A
The following terms shall have the following meanings in this Confirmation:
"Determination Date": the tenth (10th) day of each calendar month, or if
such tenth (10th) day is not a Business Day, the next succeeding Business Day.
"Distribution Date": the fifteenth (15th) day of each succeeding calendar
month following the Effective Date or, if such fifteenth (15th) day is not a
Business Day, the next such succeeding Business Day, commencing February 15,
2001.
"Indenture": the Indenture, dated as of January 17, 2001 between the Trust
and the Indenture Trustee, as amended and supplemented from time to time in
accordance with its terms.
"Indenture Trustee": Bank One, National Association, a national banking
association not in its individual capacity but solely as trustee under the
Indenture, or any successor trustee under the Indenture.
"LIBOR": with respect to each Floating Rate Payer Payment Date, the rate
for deposits in U.S. Dollars for a period of one month which appears on the
Telerate Service Page 3750 as of 11:00 a.m., London time, on the day that is two
LIBOR Business Days prior to the Distribution Date (or, in the case of the
initial Floating Rate Payer Payment Date, two LIBOR Business Days prior to
Closing Date) preceding such Floating Rate Payer Payment Date. If the rate does
not appear on that date on the Telerate Service Page 3750 (or any other page as
may replace that page on that service, or if that service is no longer offered,
any other service for displaying LIBOR or comparable rates as may be selected by
the Indenture Trustee after consultation with the Seller), then LIBOR will be
the Reference Bank Rate.
"LIBOR Business Day": any day other than a Saturday, Sunday or any other
day on which banks in London are required or authorized to be closed.
"Other Notes": The Class A Asset-Backed Notes and Variable Pay Revolving
Notes issued by the Trust (other than the Reference Notes).
"Reference Bank Rate": for any Floating Rate Payer Payment Date, the per
annum rate determined on the basis of the rates at which deposits in U.S.
Dollars are offered by the reference banks (which will be four major banks that
are engaged in transactions in the London interbank market, selected by the
Indenture Trustee after consultation with the Seller) as of 11:00 a.m., London
time, on the day that is two LIBOR Business Days prior to the Distribution Date
preceding such Floating Rate Payer Payment Date to prime banks in the London
interbank market for a period of one month, in amounts approximately equal to
the principal amount of the Reference Notes then outstanding. The Indenture
Trustee will request the principal London office of each of the reference banks
to provide a quotation of its rate. If at least two quotations are provided, the
rate will be the arithmetic mean of the quotations, rounded upwards to the
nearest one-sixteenth of one percent. If on that date fewer than two quotations
are provided as requested, the rate will be the arithmetic mean, rounded upwards
to the nearest one-sixteenth of one percent, of the rates quoted by one or more
major banks in New York City, selected by the Indenture Trustee after
consultation with the Seller, as of 11:00 a.m., New York City time, on that date
to leading European banks for United States dollar deposits for a period of one
month in amounts approximately equal to the principal amount of any and all
classes of Reference Notes then outstanding. If no quotation can be obtained,
then LIBOR will be the rate for the prior Floating Rate Payer Payment Date.
"Reference Note Balance": as of the Effective Date, $471,000,000.00 and,
with respect to each Distribution Date thereafter, the aggregate principal
balance of any and all outstanding Reference Notes.
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"Seller": Capital Auto Receivables, Inc., which has executed the Trust Sale
and Servicing Agreement as the Seller, or its successor in interest pursuant to
Section 3.03 of the Trust Sale and Servicing Agreement.
"Trust Sale and Servicing Agreement": the Trust Sale and Servicing
Agreement, dated as of January 17, 2001 between the Seller, General Motors
Acceptance Corporation (as Servicer) and the Trust, as amended, modified and
supplemented from time to time in accordance with its terms.
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EXHIBIT B
"Contingent Party": the Offsetting Counterparty or the Replacement Offsetting
Counterparty, as applicable.
"Guarantor": Merrill Lynch & Co. or its successors.
"Joint Probability": the Moody's Joint Probability or the S&P Joint Probability,
as applicable.
"Moody's": Moody's Investors Service and its successors.
"Moody's Joint Probability" means the joint probability determined by Moody's of
the long-term likelihood of payment under this interest rate swap determined by
locating the intersection of the long-term unsecured debt ratings of the Primary
Party and the Contingent Party on the table below headed "Implied Joint Support
Rating for Medium Correlation Case" (except that, for any pairing other than the
initial Primary Party with the initial Contingent Party, the table below to be
used shall be the table headed "Implied Joint Support Rating for Low Correlation
Case" or the table headed "Implied Joint Support Rating for High Correlation
Case" if so specified by Moody's within five days after Moody's has received
notice of a potential pairing of a Primary Party with a Contingent Party).
IMPLIED JOINT SUPPORT RATING FOR HIGH CORRELATION CASE
Rating of the Higher-Rated Party:
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
Aa3 Aaa Aaa Aa1 Aa2
A1 Aaa Aaa Aa1 Aa2 Aa3
A2 Aaa Aaa Aa1 Aa2 Aa3 A1
A3 Aaa Aaa Aa1 Aa2 Aa3 A1 A2
Baa1 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3
Baa2 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1
Baa3 Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2
Ba1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1
Ba2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2
Ba3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3
B1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1
B2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2
B3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
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IMPLIED JOINT SUPPORT RATING FOR MEDIUM CORRELATION CASE
Rating of the Higher-Rated Party:
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aa1
Aa3 Aaa Aaa Aa1 Aa1
A1 Aaa Aaa Aa1 Aa1 Aa1
A2 Aaa Aaa Aa1 Aa1 Aa2 Aa2
A3 Aaa Aaa Aa1 Aa1 Aa2 Aa2 Aa3
Baa1 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2
Baa2 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3
Baa3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2
Ba1 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3
Ba2 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Ba1 Ba1
Ba3 Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba2
B1 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1
B2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2
B3 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
IMPLIED JOINT SUPPORT RATING FOR LOW CORRELATION CASE
Rating of the Higher-Rated Party:
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
Aaa Aaa
Aa1 Aaa Aaa
Aa2 Aaa Aaa Aaa
Aa3 Aaa Aaa Aaa Aaa
A1 Aaa Aaa Aaa Aaa Aaa
A2 Aaa Aaa Aaa Aaa Aaa Aa1
A3 Aaa Aaa Aaa Aaa Aaa Aa1 Aa2
Baa1 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 Aa3
Baa2 Aaa Aaa Aaa Aaa Aaa Aa1 Aa3 A1 A1
Baa3 Aaa Aaa Aaa Aaa Aa1 Aa1 Aa3 A1 A1 Baa1
Ba1 Aaa Aaa Aaa Aa1 Aa1 Aa2 A1 A1 A2 Baa1 Baa3
Ba2 Aaa Aaa Aa1 Aa1 Aa1 Aa2 A1 A1 A2 Baa2 Baa3 Ba1
Ba3 Aaa Aaa Aa1 Aa1 Aa2 Aa3 A1 A2 A3 Baa2 Baa3 Ba1 Ba2
B1 Aaa Aa1 Aa1 Aa2 Aa3 Aa3 A1 A3 Baa1 Baa2 Ba1 Ba1 Ba2 Ba3
B2 Aaa Aa1 Aa2 Aa2 Aa3 A1 A2 A3 Baa1 Baa3 Ba1 Ba1 Ba3 Ba3 B1
B3 Aaa Aa1 Aa2 Aa3 A1 A1 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B1 B3
Caa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa
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Notwithstanding the foregoing, in the event that under the Triparty
Agreement the Offsetting Counterparty has acceded to the rights of the
Counterparty and no swap transaction has been effected with an additional
contingent counterparty or replacement swap counterparty under the
circumstances contemplated by Section 2.02 of the Triparty Agreement, then
the term "Moody's Joint Probability" shall refer to the Offsetting
Counterparty's long term senior unsecured credit rating assigned by Moody's
(and, for avoidance of doubt, the obligations of the Counterparty specified
in Section 4 of this Confirmation shall constitute obligations of the
Offsetting Counterparty).
"Offsetting Counterparty" means General Motors Acceptance Corporation or
any successor thereto ("GMAC") under the Fallback swap transaction entered
into between the Trust and GMAC.
"Primary Party": the Guarantor, unless a Substitute Swap Provider has been
obtained, in which case it shall be the Substitute Swap Provider or, if
applicable, a guarantor thereof.
"Rating Agency": each of S&P and Moody's.
"S&P": Standard & Poor's Ratings Services and its successors.
"S&P Joint Probability" means the joint probability determined by S&P of
the long-term likelihood of payment under the interest rate swap determined
by locating the intersection of the Counterparty's long term senior
unsecured debt rating and the Offsetting Counterparty's long-term senior
unsecured debt rating in the following table:
PRIMARY PARTY
C AAA AA+ AA AA- A+ A A- BBB+ BBB BBB-
O
N AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
T AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
I AA AAA AAA AAA AAA AAA AAA AAA AA+ AA+ AA+
N AA- AAA AAA AAA AA+ AA+ AA+ AA+ AA+ AA+ AA
G A+ AAA AAA AAA AA+ AA+ AA+ AA+ AA AA AA-
E A AAA AAA AAA AA+ AA+ AA AA AA- AA- A+
N A- AAA AAA AAA AA+ AA+ AA AA- A+ A+ A
T BBB+ AAA AAA AA+ AA+ AA AA- A+ A A A-
BBB AAA AAA AA+ AA+ AA AA- A+ A A- BBB+
P BBB- AAA AAA AA+ AA AA- A+ A A- BBB+ BBB
A
R
T
Y
Notwithstanding the foregoing, (i) in the event that the long-term senior
unsecured debt rating of either the Primary Party or the Contingent Party is
rated below BBB- by S&P, then the S&P Joint Probability shall be the higher of
the then current long-term senior unsecured debt rating of the Primary Party and
the Contingent Party and (ii) in the event that under the Triparty Agreement the
Offsetting Counterparty has acceded to the rights of the Counterparty and no
swap transaction has been effected with an additional contingent counterparty or
replacement swap counterparty under the circumstances contemplated by Section
2.02 of the Triparty Agreement, then the term "S&P Joint Probability" shall
refer to the Offsetting
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Counterparty's long-term senior unsecured credit rating assigned by S&P (and,
for the avoidance of doubt, the obligations of the Counterparty specified in
Section 4 of this Confirmation shall constitute obligations of the Offsetting
Counterparty).
"Triparty Agreement": the Triparty Contingent Assignment Agreement dated as
of the Effective Date among the Trust, the Offsetting Counterparty and the
Counterparty.
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