Exhibit 10.2.1
(MULTICURRENCY-CROSS BORDER)
ISDA{reg-trade-mark}
International Swap Dealers Association, Inc.
MASTER AGREEMENT
dated as of 21 February, 2007
Credit Suisse (USA), Inc. and Permanent Master Issuer PLC and The Bank of New
York as Security Trustee
have entered and/or anticipate entering into one or more transactions (each a
"Transaction") that are or will be governed by this Master Agreement, which
includes the schedule (the "Schedule"), and the documents and other confirming
evidence (each a "Confirmation") exchanged between the parties confirming those
Transactions.
Accordingly, the parties agree as follows:*
1. INTERPRETATION
(a) DEFINITIONS. The terms defined in Section 14 and in the Schedule will have
the meanings therein specified for the purpose of this Master Agreement.
(b) INCONSISTENCY. In the event of any inconsistency between the provisions of
the Schedule and the other provisions of this Master Agreement, the Schedule
will prevail. In the event of any inconsistency between the provisions of any
Confirmation and this Master Agreement (including the Schedule), such
Confirmation will prevail for the purpose of the relevant Transaction.
(c) SINGLE AGREEMENT. All Transactions are entered into in reliance on the
fact that this Master Agreement and all Confirmations form a single agreement
between the parties (collectively referred to as this "Agreement"), and the
parties would not otherwise enter into any Transactions.
2. OBLIGATIONS
(a) GENERAL CONDITIONS.
(i) Each party will make each payment or delivery specified in each
Confirmation to be made by it, subject to the other provisions of this
Agreement.
(ii) Payments under this Agreement will be made on the due date for value
on that date in the place of the account specified in the relevant
Confirmation or otherwise pursuant to this Agreement, in freely
transferable funds and in the manner customary for payments in the
required currency. Where settlement is by delivery (that is, other than by
payment), such delivery will be made for receipt on the due date in the
manner customary for the relevant obligation unless otherwise specified in
the relevant Confirmation or elsewhere in this Agreement.
(iii) Each obligation of each party under Section 2(a)(i) is subject to
(1) the condition precedent that no Event of Default or Potential Event of
Default with respect to the other party
Copyright {copyright} 1992 by International Swap Dealers Association, Inc.
has occurred and is continuing, (2) the condition precedent that no Early
Termination Date in respect of the relevant Transaction has occurred or
been effectively designated and (3) each other applicable condition
precedent specified in this Agreement.
(b) CHANGE OF ACCOUNT. Either party may change its account for receiving a
payment or delivery by giving notice to the other party at least five Local
Business Days prior to the scheduled date for the payment or delivery to which
such change applies unless such other party gives timely notice of a reasonable
objection to such change.
(c) NETTING. If on any date amounts would otherwise be payable:*
(i) in the same currency; and
(ii) in respect of the same Transaction,
by each party to the other, then, on such date, each party's obligation to make
payment of any such amount will be automatically satisfied and discharged and,
if the aggregate amount that would otherwise have been payable by one party
exceeds the aggregate amount that would otherwise have been payable by the
other party, replaced by an obligation upon the party by whom the larger
aggregate amount would have been payable to pay to the other party the excess
of the larger aggregate amount over the smaller aggregate amount.
The parties may elect in respect of two or more Transactions that a net amount
will be determined in respect of all amounts payable on the same date in the
same currency in respect of such Transactions, regardless of whether such
amounts are payable in respect of the same Transaction. The election may be
made in the Schedule or a Confirmation by specifying that subparagraph (ii)
above will not apply to the Transactions identified as being subject to the
election, together with the starting date (in which case subparagraph (ii)
above will not, or will cease to, apply to such Transactions from such date).
This election may be made separately for different groups of Transactions and
will apply separately to each pairing of Offices through which the parties make
and receive payments or deliveries.
(d) DEDUCTION OR WITHHOLDING FOR TAX.
(i) GROSS-UP. All payments under this Agreement will be made without any
deduction or withholding for or on account of any Tax unless such
deduction or withholding is required by any applicable law, as modified by
the practice of any relevant governmental revenue authority, then in
effect. If a party is so required to deduct or withhold, then that party
("X") will:-
(1) promptly notify the other party ("Y") of such requirement;
(2) pay to the relevant authorities the full amount required to be
deducted or withheld (including the full amount required to be
deducted or withheld from any additional amount paid by X to Y under
this Section 2(d)) promptly upon the earlier of determining that
such deduction or withholding is required or receiving notice that
such amount has been assessed against Y;
(3) promptly forward to Y an official receipt (or a certified copy),
or other documentation reasonably acceptable to Y, evidencing such
payment to such authorities; and
(4) if such Tax is an Indemnifiable Tax, pay to Y, in addition to
the payment to which Y is otherwise entitled under this Agreement,
such additional amount as is
2
necessary to ensure that the net amount actually received by Y (free
and clear of Indemnifiable Taxes, whether assessed against X or Y)
will equal the full amount Y would have received had no such
deduction or withholding been required. However, X will not be
required to pay any additional amount to Y to the extent that it
would not be required to be paid but for:
(A) the failure by Y to comply with or perform any agreement
contained in Section 4(a)(i), 4(a)(iii) or 4(d); or
(B) the failure of a representation made by Y pursuant to
Section 3(f) to be accurate and true unless such failure would
not have occurred but for (I) any action taken by a taxing
authority, or brought in a court of competent jurisdiction, on
or after the date on which a Transaction is entered into
(regardless of whether such action is taken or brought with
respect to a party to this Agreement) or (II) a Change in Tax
Law.
(ii) LIABILITY. If:*
(1) X is required by any applicable law, as modified by the practice
of any relevant governmental revenue authority, to make any
deduction or withholding in respect of which X would not be required
to pay an additional amount to Y under Section 2(d)(i)(4);
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against
X,
then, except to the extent Y has satisfied or then satisfies the liability
resulting from such Tax, Y will promptly pay to X the amount of such
liability (including any related liability for interest, but including any
related liability for penalties only if Y has failed to comply with or
perform any agreement contained in Section 4(a)(i), 4(a)(iii) or 4(d)).
(e) DEFAULT INTEREST; OTHER AMOUNTS. Prior to the occurrence or effective
designation of an Early Termination Date in respect of the relevant Transaction,
a party that defaults in the performance of any payment obligation will, to the
extent permitted by law and subject to Section 6(c), be required to pay interest
(before as well as after judgment) on the overdue amount to the other party on
demand in the same currency as such overdue amount, for the period from (and
including) the original due date for payment to (but excluding) the date of
actual payment, at the Default Rate. Such interest will be calculated on the
basis of daily compounding and the actual number of days elapsed. If, prior to
the occurrence or effective designation of an Early Termination Date in respect
of the relevant Transaction, a party defaults in the performance of any
obligation required to be settled by delivery, it will compensate the other
party on demand if and to the extent provided for in the relevant Confirmation
or elsewhere in this Agreement.
3. REPRESENTATIONS
Each party represents to the other party (which representations will be deemed
to be repeated by each party on each date on which a Transaction is entered into
and, in the case of the representations in Section 3(f), at all times until the
termination of this Agreement) that:*
3
(a) BASIC REPRESENTATIONS.
(i) STATUS. It is duly organised and validly existing under the laws of
the jurisdiction of its organisation or incorporation and, if relevant
under such laws, in good standing;
(ii) POWERS. It has the power to execute this Agreement and any other
documentation relating to this Agreement to which it is a party, to
deliver this Agreement and any other documentation relating to this
Agreement that it is required by this Agreement to deliver and to perform
its obligations under this Agreement and any obligations it has under any
Credit Support Document to which it is a party and has taken all necessary
action to authorise such execution, delivery and performance;
(iii) NO VIOLATION OR CONFLICT. Such execution, delivery and performance
do not violate or conflict with any law applicable to it, any provision of
its constitutional documents, any order or judgment of any court or other
agency of government applicable to it or any of its assets or any
contractual restriction binding on or affecting it or any of its assets;
(iv) CONSENTS. All governmental and other consents that are required to
have been obtained by it with respect to this Agreement or any Credit
Support Document to which it is a party have been obtained and are in full
force and effect and all conditions of any such consents have been
complied with; and
(v) OBLIGATIONS BINDING. Its obligations under this Agreement and any
Credit Support Document to which it is a party constitute its legal, valid
and binding obligations, enforceable in accordance with their respective
terms (subject to applicable bankruptcy, reorganisation, insolvency,
moratorium or similar laws affecting creditors' rights generally and
subject, as to enforceability, to equitable principles of general
application (regardless of whether enforcement is sought in a proceeding
in equity or at law)).
(b) ABSENCE OF CERTAIN EVENTS. No Event of Default or Potential Event of Default
or, to its knowledge, Termination Event with respect to it has occurred and is
continuing and no such event or circumstance would occur as a result of its
entering into or performing its obligations under this Agreement or any Credit
Support Document to which it is a party.
(c) ABSENCE OF LITIGATION. There is not pending or, to its knowledge, threatened
against it or any of its Affiliates any action, suit or proceeding at law or in
equity or before any court, tribunal, governmental body, agency or official or
any arbitrator that is likely to affect the legality, validity or enforceability
against it of this Agreement or any Credit Support Document to which it is a
party or its ability to perform its obligations under this Agreement or such
Credit Support Document.
(d) ACCURACY OF SPECIFIED INFORMATION. All applicable information that is
furnished in writing by or on behalf of it to the other party and is identified
for the purpose of this Section 3(d) in the Schedule is, as of the date of the
information, true, accurate and complete in every material respect.
(e) PAYER TAX REPRESENTATION. Each representation specified in the Schedule as
being made by it for the purpose of this Section 3(e) is accurate and true.
(f) PAYEE TAX REPRESENTATIONS. Each representation specified in the Schedule as
being made by it for the purpose of this Section 3(f) is accurate and true.
4. AGREEMENTS
Each party agrees with the other that, so long as either party has or may have
any obligation under this Agreement or under any Credit Support Document to
which it is a party:---
4
(a) FURNISH SPECIFIED INFORMATION. It will deliver to the other party or, in
certain cases under subparagraph (iii) below, to such government or taxing
authority as the other party reasonably directs:*
(i) any forms, documents or certificates relating to taxation specified in
the Schedule or any Confirmation;
(ii) any other documents specified in the Schedule or any Confirmation;
and
(iii) upon reasonable demand by such other party, any form or document
that may be required or reasonably requested in writing in order to allow
such other party or its Credit Support Provider to make a payment under
this Agreement or any applicable Credit Support Document without any
deduction or withholding for or on account of any Tax or with such
deduction or withholding at a reduced rate (so long as the completion,
execution or submission of such form or document would not materially
prejudice the legal or commercial position of the party in receipt of such
demand), with any such form or document to be accurate and completed in a
manner reasonably satisfactory to such other party and to be executed and
to be delivered with any reasonably required certification,
in each case by the date specified in the Schedule or such Confirmation or, if
none is specified, as soon as reasonably practicable.
(b) MAINTAIN AUTHORISATIONS. It will use all reasonable efforts to maintain in
full force and effect all consents of any governmental or other authority that
are required to be obtained by it with respect to this Agreement or any Credit
Support Document to which it is a party and will use all reasonable efforts to
obtain any that may become necessary in the future.
(c) COMPLY WITH LAWS. It will comply in all material respects with all
applicable laws and orders to which it may be subject if failure so to comply
would materially impair its ability to perform its obligations under this
Agreement or any Credit Support Document to which it is a party.
(d) TAX AGREEMENT. It will give notice of any failure of a representation made
by it under Section 3(f) to be accurate and true promptly upon learning of such
failure.
(e) PAYMENT OF STAMP TAX. Subject to Section 11, it will pay any Stamp Tax
levied or imposed upon it or in respect of its execution or performance of this
Agreement by a jurisdiction in which it is incorporated, organised, managed and
controlled, or considered to have its seat, or in which a branch or office
through which it is acting for the purpose of this Agreement is located ("Stamp
Tax Jurisdiction") and will indemnify the other party against any Stamp Tax
levied or imposed upon the other party or in respect of the other party's
execution or performance of this Agreement by any such Stamp Tax Jurisdiction
which is not also a Stamp Tax Jurisdiction with respect to the other party.
5. EVENTS OF DEFAULT AND TERMINATION EVENTS
(a) EVENTS OF DEFAULT. The occurrence at any time with respect to a party or, if
applicable, any Credit Support Provider of such party or any Specified Entity of
such party of any of the following events constitutes an event of default (an
"Event of Default") with respect to such party:*
(i) FAILURE TO PAY OR DELIVER. Failure by the party to make, when due, any
payment under this Agreement or delivery under Section 2(a)(i) or 2(e)
required to be made by it if such failure is not remedied on or before the
third Local Business Day after notice of such failure is given to the
party;
5
(ii) BREACH OF AGREEMENT. Failure by the party to comply with or perform
any agreement or obligation (other than an obligation to make any payment
under this Agreement or delivery under Section 2(a)(i) or 2(e) or to give
notice of a Termination Event or any agreement or obligation under Section
4(a)(i), 4(a)(iii) or 4(d)) to be complied with or performed by the party
in accordance with this Agreement if such failure is not remedied on or
before the thirtieth day after notice of such failure is given to the
party;
(iii) CREDIT SUPPORT DEFAULT.
(1) Failure by the party or any Credit Support Provider of such
party to comply with or perform any agreement or obligation to be
complied with or performed by it in accordance with any Credit
Support Document if such failure is continuing after any applicable
grace period has elapsed;
(2) the expiration or termination of such Credit Support Document or
the failing or ceasing of such Credit Support Document to be in full
force and effect for the purpose of this Agreement (in either case
other than in accordance with its terms) prior to the satisfaction
of all obligations of such party under each Transaction to which
such Credit Support Document relates without the written consent of
the other party; or
(3) the party or such Credit Support Provider disaffirms, disclaims,
repudiates or rejects, in whole or in part, or challenges the
validity of, such Credit Support Document;
(iv) MISREPRESENTATION. A representation (other than a representation
under Section 3(e) or (f)) made or repeated or deemed to have been made or
repeated by the party or any Credit Support Provider of such party in this
Agreement or any Credit Support Document proves to have been incorrect or
misleading in any material respect when made or repeated or deemed to have
been made or repeated;
(v) DEFAULT UNDER SPECIFIED TRANSACTION. The party, any Credit Support
Provider of such party or any applicable Specified Entity of such party
(l) defaults under a Specified Transaction and, after giving effect to any
applicable notice requirement or grace period, there occurs a liquidation
of, an acceleration of obligations under, or an early termination of, that
Specified Transaction, (2) defaults, after giving effect to any applicable
notice requirement or grace period, in making any payment or delivery due
on the last payment, delivery or exchange date of, or any payment on early
termination of, a Specified Transaction (or such default continues for at
least three Local Business Days if there is no applicable notice
requirement or grace period) or (3) disaffirms, disclaims, repudiates or
rejects, in whole or in part, a Specified Transaction (or such action is
taken by any person or entity appointed or empowered to operate it or act
on its behalf);
(vi) CROSS DEFAULT. If "Cross Default" is specified in the Schedule as
applying to the party, the occurrence or existence of (l) a default, event
of default or other similar condition or event (however described) in
respect of such party, any Credit Support Provider of such party or any
applicable Specified Entity of such party under one or more agreements or
instruments relating to Specified Indebtedness of any of them
(individually or collectively) in an aggregate amount of not less than the
applicable Threshold Amount (as specified in the Schedule) which has
resulted in such Specified Indebtedness becoming, or becoming capable at
such time of being declared, due and payable under such agreements or
instruments, before it would otherwise have been due and payable or (2) a
default by such party, such Credit Support Provider or such Specified
Entity (individually or collectively) in making one or more payments on
the due date thereof in an aggregate amount of not less than the
applicable Threshold Amount under such agreements or instruments (after
giving effect to any applicable notice requirement or grace period);
6
(vii) BANKRUPTCY. The party, any Credit Support Provider of such party or
any applicable Specified Entity of such party:*
(l) is dissolved (other than pursuant to a consolidation,
amalgamation or merger); (2) becomes insolvent or is unable to pay
its debts or fails or admits in writing its inability generally to
pay its debts as they become due; (3) makes a general assignment,
arrangement or composition with or for the benefit of its creditors;
(4) institutes or has instituted against it a proceeding seeking a
judgment of insolvency or bankruptcy or any other relief under any
bankruptcy or insolvency law or other similar law affecting
creditors' rights, or a petition is presented for its winding-up or
liquidation, and, in the case of any such proceeding or petition
instituted or presented against it, such proceeding or petition (A)
results in a judgment of insolvency or bankruptcy or the entry of an
order for relief or the making of an order for its winding-up or
liquidation or (B) is not dismissed, discharged, stayed or
restrained in each case within 30 days of the institution or
presentation thereof; (5) has a resolution passed for its
winding-up, official management or liquidation (other than pursuant
to a consolidation, amalgamation or merger); (6) seeks or becomes
subject to the appointment of an administrator, provisional
liquidator, conservator, receiver, trustee, custodian or other
similar official for it or for all or substantially all its assets;
(7) has a secured party take possession of all or substantially all
its assets or has a distress, execution, attachment, sequestration
or other legal process levied, enforced or sued on or against all or
substantially all its assets and such secured party maintains
possession, or any such process is not dismissed, discharged, stayed
or restrained, in each case within 30 days thereafter; (8) causes or
is subject to any event with respect to it which, under the
applicable laws of any jurisdiction, has an analogous effect to any
of the events specified in clauses (l) to (7) (inclusive); or (9)
takes any action in furtherance of, or indicating its consent to,
approval of, or acquiescence in, any of the foregoing acts; or
(viii) MERGER WITHOUT ASSUMPTION. The party or any Credit Support Provider
of such party consolidates or amalgamates with, or merges with or into, or
transfers all or substantially all its assets to, another entity and, at
the time of such consolidation, amalgamation, merger or transfer:*
(l) the resulting, surviving or transferee entity fails to assume
all the obligations of such party or such Credit Support Provider
under this Agreement or any Credit Support Document to which it or
its predecessor was a party by operation of law or pursuant to an
agreement reasonably satisfactory to the other party to this
Agreement; or
(2) the benefits of any Credit Support Document fail to extend
(without the consent of the other party) to the performance by such
resulting, surviving or transferee entity of its obligations under
this Agreement.
(b) TERMINATION EVENTS. The occurrence at any time with respect to a party or,
if applicable, any Credit Support Provider of such party or any Specified Entity
of such party of any event specified below constitutes an Illegality if the
event is specified in (i) below, a Tax Event if the event is specified in (ii)
below or a Tax Event Upon Merger if the event is specified in (iii) below, and,
if specified to be applicable, a Credit Event Upon Merger if the event is
specified pursuant to (iv) below or an Additional Termination Event if the event
is specified pursuant to (v) below:---
7
(i) ILLEGALITY. Due to the adoption of, or any change in, any applicable
law after the date on which a Transaction is entered into, or due to the
promulgation of, or any change in, the interpretation by any court,
tribunal or regulatory authority with competent jurisdiction of any
applicable law after such date, it becomes unlawful (other than as a
result of a breach by the party of Section 4(b)) for such party (which
will be the Affected Party):*
(l) to perform any absolute or contingent obligation to make a
payment or delivery or to receive a payment or delivery in respect
of such Transaction or to comply with any other material provision
of this Agreement relating to such Transaction; or
(2) to perform, or for any Credit Support Provider of such party to
perform, any contingent or other obligation which the party (or such
Credit Support Provider) has under any Credit Support Document
relating to such Transaction;
(ii) TAX EVENT. Due to (x) any action taken by a taxing authority, or
brought in a court of competent jurisdiction, on or after the date on
which a Transaction is entered into (regardless of whether such action is
taken or brought with respect to a party to this Agreement) or (y) a
Change in Tax Law, the party (which will be the Affected Party) will, or
there is a substantial likelihood that it will, on the next succeeding
Scheduled Payment Date (l) be required to pay to the other party an
additional amount in respect of an Indemnifiable Tax under Section
2(d)(i)(4) (except in respect of interest under Section 2(e), 6(d)(ii) or
6(e)) or (2) receive a payment from which an amount is required to be
deducted or withheld for or on account of a Tax (except in respect of
interest under Section 2(e), 6(d)(ii) or 6(e)) and no additional amount is
required to be paid in respect of such Tax under Section 2(d)(i)(4) (other
than by reason of Section 2(d)(i)(4)(A) or (B));
(iii) TAX EVENT UPON MERGER. The party (the "Burdened Party") on the next
succeeding Scheduled Payment Date will either (1) be required to pay an
additional amount in respect of an Indemnifiable Tax under Section
2(d)(i)(4) (except in respect of interest under Section 2(e), 6(d)(ii) or
6(e)) or (2) receive a payment from which an amount has been deducted or
withheld for or on account of any Indemnifiable Tax in respect of which
the other party is not required to pay an additional amount (other than by
reason of Section 2(d)(i)(4)(A) or (B)), in either case as a result of a
party consolidating or amalgamating with, or merging with or into, or
transferring all or substantially all its assets to, another entity (which
will be the Affected Party) where such action does not constitute an event
described in Section 5(a)(viii);
(iv) CREDIT EVENT UPON MERGER. If "Credit Event Upon Merger" is specified
in the Schedule as applying to the party, such party ("X"), any Credit
Support Provider of X or any applicable Specified Entity of X consolidates
or amalgamates with, or merges with or into, or transfers all or
substantially all its assets to, another entity and such action does not
constitute an event described in Section 5(a)(viii) but the
creditworthiness of the resulting, surviving or transferee entity is
materially weaker than that of X, such Credit Support Provider or such
Specified Entity, as the case may be, immediately prior to such action
(and, in such event, X or its successor or transferee, as appropriate,
will be the Affected Party); or
(v) ADDITIONAL TERMINATION EVENT. If any "Additional Termination Event" is
specified in the Schedule or any Confirmation as applying, the occurrence
of such event (and, in such event, the Affected Party or Affected Parties
shall be as specified for such Additional Termination Event in the
Schedule or such Confirmation).
8
(c) EVENT OF DEFAULT AND ILLEGALITY. If an event or circumstance which would
otherwise constitute or give rise to an Event of Default also constitutes an
Illegality, it will be treated as an Illegality and will not constitute an Event
of Default.
6. EARLY TERMINATION
(a) RIGHT TO TERMINATE FOLLOWING EVENT OF DEFAULT. If at any time an Event of
Default with respect to a party (the "Defaulting Party") has occurred and is
then continuing, the other party (the "Non-defaulting Party") may, by not more
than 20 days notice to the Defaulting Party specifying the relevant Event of
Default, designate a day not earlier than the day such notice is effective as an
Early Termination Date in respect of all outstanding Transactions. If, however,
"Automatic Early Termination" is specified in the Schedule as applying to a
party, then an Early Termination Date in respect of all outstanding Transactions
will occur immediately upon the occurrence with respect to such party of an
Event of Default specified in Section 5(a)(vii)(1), (3), (5), (6) or, to the
extent analogous thereto, (8), and as of the time immediately preceding the
institution of the relevant proceeding or the presentation of the relevant
petition upon the occurrence with respect to such party of an Event of Default
specified in Section 5(a)(vii)(4) or, to the extent analogous thereto, (8).
(b) RIGHT TO TERMINATE FOLLOWING TERMINATION EVENT.
(i) NOTICE. If a Termination Event occurs, an Affected Party will,
promptly upon becoming aware of it, notify the other party, specifying the
nature of that Termination Event and each Affected Transaction and will
also give such other information about that Termination Event as the other
party may reasonably require.
(ii) TRANSFER TO AVOID TERMINATION EVENT. If either an Illegality under
Section 5(b)(i)(l) or a Tax Event occurs and there is only one Affected
Party, or if a Tax Event Upon Merger occurs and the Burdened Party is the
Affected Party, the Affected Party will, as a condition to its right to
designate an Early Termination Date under Section 6(b)(iv), use all
reasonable efforts (which will not require such party to incur a loss,
excluding immaterial, incidental expenses) to transfer within 20 days
after it gives notice under Section 6(b)(i) all its rights and obligations
under this Agreement in respect of the Affected Transactions to another of
its Offices or Affiliates so that such Termination Event ceases to exist.
If the Affected Party is not able to make such a transfer it will give
notice to the other party to that effect within such 20 day period,
whereupon the other party may effect such a transfer within 30 days after
the notice is given under Section 6(b)(i).
Any such transfer by a party under this Section 6(b)(ii) will be subject
to and conditional upon the prior written consent of the other party,
which consent will not be withheld if such other party's policies in
effect at such time would permit it to enter into transactions with the
transferee on the terms proposed.
(iii) TWO AFFECTED PARTIES. If an Illegality under Section 5(b)(i)(1) or a
Tax Event occurs and there are two Affected Parties, each party will use
all reasonable efforts to reach agreement within 30 days after notice
thereof is given under Section 6(b)(i) on action to avoid that Termination
Event.
(iv) RIGHT TO TERMINATE. If:*
(l) a transfer under Section 6(b)(ii) or an agreement under Section
6(b)(iii), as the case may be, has not been effected with respect to
all Affected Transactions within 30 days after an Affected Party
gives notice under Section 6(b)(i); or
9
(2) an Illegality under Section 5(b)(i)(2), a Credit Event Upon
Merger or an Additional Termination Event occurs, or a Tax Event
Upon Merger occurs and the Burdened Party is not the Affected Party,
either party in the case of an Illegality, the Burdened Party in the case
of a Tax Event Upon Merger, any Affected Party in the case of a Tax Event
or an Additional Termination Event if there is more than one Affected
Party, or the party which is not the Affected Party in the case of a
Credit Event Upon Merger or an Additional Termination Event if there is
only one Affected Party may, by not more than 20 days notice to the other
party and provided that the relevant Termination Event is then continuing,
designate a day not earlier than the day such notice is effective as an
Early Termination Date in respect of all Affected Transactions.
(c) EFFECT OF DESIGNATION.
(i) If notice designating an Early Termination Date is given under Section
6(a) or (b), the Early Termination Date will occur on the date so
designated, whether or not the relevant Event of Default or Termination
Event is then continuing.
(ii) Upon the occurrence or effective designation of an Early Termination
Date, no further payments or deliveries under Section 2(a)(i) or 2(e) in
respect of the Terminated Transactions will be required to be made, but
without prejudice to the other provisions of this Agreement. The amount,
if any, payable in respect of an Early Termination Date shall be
determined pursuant to Section 6(e).
(d) CALCULATIONS.
(i) STATEMENT. On or as soon as reasonably practicable following the
occurrence of an Early Termination Date, each party will make the
calculations on its part, if any, contemplated by Section 6(e) and will
provide to the other party a statement (l) showing, in reasonable detail,
such calculations (including all relevant quotations and specifying any
amount payable under Section 6(e)) and (2) giving details of the relevant
account to which any amount payable to it is to be paid. In the absence of
written confirmation from the source of a quotation obtained in
determining a Market Quotation, the records of the party obtaining such
quotation will be conclusive evidence of the existence and accuracy of
such quotation.
(ii) PAYMENT DATE. An amount calculated as being due in respect of any
Early Termination Date under Section 6(e) will be payable on the day that
notice of the amount payable is effective (in the case of an Early
Termination Date which is designated or occurs as a result of an Event of
Default) and on the day which is two Local Business Days after the day on
which notice of the amount payable is effective (in the case of an Early
Termination Date which is designated as a result of a Termination Event).
Such amount will be paid together with (to the extent permitted under
applicable law) interest thereon (before as well as after judgment) in the
Termination Currency, from (and including) the relevant Early Termination
Date to (but excluding) the date such amount is paid, at the Applicable
Rate. Such interest will be calculated on the basis of daily compounding
and the actual number of days elapsed.
(e) PAYMENTS ON EARLY TERMINATION. If an Early Termination Date occurs, the
following provisions shall apply based on the parties' election in the Schedule
of a payment measure, either "Market Quotation" or "Loss", and a payment method,
either the "First Method" or the "Second Method". If the parties fail to
designate a payment measure or payment method in the Schedule, it will be deemed
that "Market Quotation" or the "Second Method", as the case may be, shall apply.
10
The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off.
(i) EVENTS OF DEFAULT. If the Early Termination Date results from an Event
of Default:*
(1) First Method and Market Quotation. If the First Method and
Market Quotation apply, the Defaulting Party will pay to the Non-
defaulting Party the excess, if a positive number, of (A) the sum of
the Settlement Amount (determined by the Non-defaulting Party) in
respect of the Terminated Transactions and the Termination Currency
Equivalent of the Unpaid Amounts owing to the Non- defaulting Party
over (B) the Termination Currency Equivalent of the Unpaid Amounts
owing to the Defaulting Party.
(2) First Method and Loss. If the First Method and Loss apply, the
Defaulting Party will pay to the Non-defaulting Party, if a positive
number, the Non-defaulting Party's Loss in respect of this
Agreement.
(3) Second Method and Market Quotation. If the Second Method and
Market Quotation apply, an amount will be payable equal to (A) the
sum of the Settlement Amount (determined by the Non-defaulting
Party) in respect of the Terminated Transactions and the Termination
Currency Equivalent of the Unpaid Amounts owing to the
Non-defaulting Party less (B) the Termination Currency Equivalent of
the Unpaid Amounts owing to the Defaulting Party. If that amount is
a positive number, the Defaulting Party will pay it to the
Non-defaulting Party; if it is a negative number, the Non-
defaulting Party will pay the absolute value of that amount to the
Defaulting Party.
(4) Second Method and Loss. If the Second Method and Loss apply, an
amount will be payable equal to the Non-defaulting Party's Loss in
respect of this Agreement. If that amount is a positive number, the
Defaulting Party will pay it to the Non- defaulting Party; if it is
a negative number, the Non-defaulting Party will pay the absolute
value of that amount to the Defaulting Party.
(ii) TERMINATION EVENTS. If the Early Termination Date results from a
Termination Event:*
(l) One Affected Party. If there is one Affected Party, the amount
payable will be determined in accordance with Section 6(e)(i)(3), if
Market Quotation applies, or Section 6(e)(i)(4), if Loss applies,
except that, in either case, references to the Defaulting Party and
to the Non-defaulting Party will be deemed to be references to the
Affected Party and the party which is not the Affected Party,
respectively, and, if Loss applies and fewer than all the
Transactions are being terminated, Loss shall be calculated in
respect of all Terminated Transactions.
(2) Two Affected Parties. If there are two Affected Parties:*
(A) if Market Quotation applies, each party will determine a
Settlement Amount in respect of the Terminated Transactions,
and an amount will be payable equal to (I) the sum of (a)
one-half of the difference between the Settlement Amount of
the party with the higher Settlement Amount ("X") and the
Settlement Amount of the party with the lower Settlement
Amount ("Y") and (b) the Termination Currency Equivalent of
the Unpaid Amounts owing to X less (II) the Termination
Currency Equivalent of the Unpaid Amounts owing to Y; and
11
(B) if Loss applies, each party will determine its Loss in
respect of this Agreement (or, if fewer than all the
Transactions are being terminated, in respect of all
Terminated Transactions) and an amount will be payable equal
to one-half of the difference between the Loss of the party
with the higher Loss ("X") and the Loss of the party with the
lower Loss ("Y").
If the amount payable is a positive number, Y will pay it to X; if
it is a negative number, X will pay the absolute value of that
amount to Y.
(iii) ADJUSTMENT FOR BANKRUPTCY. In circumstances where an Early
Termination Date occurs because "Automatic Early Termination" applies in
respect of a party, the amount determined under this Section 6(e) will be
subject to such adjustments as are appropriate and permitted by law to
reflect any payments or deliveries made by one party to the other under
this Agreement (and retained by such other party) during the period from
the relevant Early Termination Date to the date for payment determined
under Section 6(d)(ii).
(iv) PRE-ESTIMATE. The parties agree that if Market Quotation applies an
amount recoverable under this Section 6(e) is a reasonable pre- estimate
of loss and not a penalty. Such amount is payable for the loss of bargain
and the loss of protection against future risks and except as otherwise
provided in this Agreement neither party will be entitled to recover any
additional damages as a consequence of such losses.
7. TRANSFER
Subject to Section 6(b)(ii), neither this Agreement nor any interest or
obligation in or under this Agreement may be transferred (whether by way of
security or otherwise) by either party without the prior written consent of the
other party, except that:*
(a) a party may make such a transfer of this Agreement pursuant to a
consolidation or amalgamation with, or merger with or into, or transfer of all
or substantially all its assets to, another entity (but without prejudice to any
other right or remedy under this Agreement); and
(b) a party may make such a transfer of all or any part of its interest in any
amount payable to it from a Defaulting Party under Section 6(e).
Any purported transfer that is not in compliance with this Section will be void.
8. CONTRACTUAL CURRENCY
(a) PAYMENT IN THE CONTRACTUAL CURRENCY. Each payment under this Agreement will
be made in the relevant currency specified in this Agreement for that payment
(the "Contractual Currency"). To the extent permitted by applicable law, any
obligation to make payments under this Agreement in the Contractual Currency
will not be discharged or satisfied by any tender in any currency other than the
Contractual Currency, except to the extent such tender results in the actual
receipt by the party to which payment is owed, acting in a reasonable manner and
in good faith in converting the currency so tendered into the Contractual
Currency, of the full amount in the Contractual Currency of all amounts payable
in respect of this Agreement. If for any reason the amount in the Contractual
Currency so received falls short of the amount in the Contractual Currency
payable in respect of this Agreement, the party required to make the payment
will, to the extent permitted by applicable law, immediately pay such additional
amount in the Contractual Currency as may be necessary to compensate for the
shortfall. If for any reason the amount in the Contractual Currency so received
exceeds the amount in the Contractual Currency payable in respect of this
Agreement, the party receiving the payment will refund promptly the amount of
such excess.
12
(b) JUDGMENTS. To the extent permitted by applicable law, if any judgment or
order expressed in a currency other than the Contractual Currency is rendered
(i) for the payment of any amount owing in respect of this Agreement, (ii) for
the payment of any amount relating to any early termination in respect of this
Agreement or (iii) in respect of a judgment or order of another court for the
payment of any amount described in (i) or (ii) above, the party seeking
recovery, after recovery in full of the aggregate amount to which such party is
entitled pursuant to the judgment or order, will be entitled to receive
immediately from the other party the amount of any shortfall of the Contractual
Currency received by such party as a consequence of sums paid in such other
currency and will refund promptly to the other party any excess of the
Contractual Currency received by such party as a consequence of sums paid in
such other currency if such shortfall or such excess arises or results from any
variation between the rate of exchange at which the Contractual Currency is
converted into the currency of the judgment or order for the purposes of such
judgment or order and the rate of exchange at which such party is able, acting
in a reasonable manner and in good faith in converting the currency received
into the Contractual Currency, to purchase the Contractual Currency with the
amount of the currency of the judgment or order actually received by such party.
The term "rate of exchange" includes, without limitation, any premiums and costs
of exchange payable in connection with the purchase of or conversion into the
Contractual Currency.
(c) SEPARATE INDEMNITIES. To the extent permitted by applicable law, these
indemnities constitute separate and independent obligations from the other
obligations in this Agreement, will be enforceable as separate and independent
causes of action, will apply notwithstanding any indulgence granted by the party
to which any payment is owed and will not be affected by judgment being obtained
or claim or proof being made for any other sums payable in respect of this
Agreement.
(d) EVIDENCE OF LOSS. For the purpose of this Section 8, it will be sufficient
for a party to demonstrate that it would have suffered a loss had an actual
exchange or purchase been made.
9. MISCELLANEOUS
(a) ENTIRE AGREEMENT. This Agreement constitutes the entire agreement and
understanding of the parties with respect to its subject matter and supersedes
all oral communication and prior writings with respect thereto.
(b) AMENDMENTS. No amendment, modification or waiver in respect of this
Agreement will be effective unless in writing (including a writing evidenced by
a facsimile transmission) and executed by each of the parties or confirmed by an
exchange of telexes or electronic messages on an electronic messaging system.
(c) SURVIVAL OF OBLIGATIONS. Without prejudice to Sections 2(a)(iii) and
6(c)(ii), the obligations of the parties under this Agreement will survive the
termination of any Transaction.
(d) REMEDIES CUMULATIVE. Except as provided in this Agreement, the rights,
powers, remedies and privileges provided in this Agreement are cumulative and
not exclusive of any rights, powers, remedies and privileges provided by law.
13
(e) COUNTERPARTS AND CONFIRMATIONS.
(i) This Agreement (and each amendment, modification and waiver in respect
of it) may be executed and delivered in counterparts (including by
facsimile transmission), each of which will be deemed an original.
(ii) The parties intend that they are legally bound by the terms of each
Transaction from the moment they agree to those terms (whether orally or
otherwise). A Confirmation shall be entered into as soon as practicable and
may be executed and delivered in counterparts (including by facsimile
transmission) or be created by an exchange of telexes or by an exchange of
electronic messages on an electronic messaging system, which in each case
will be sufficient for all purposes to evidence a binding supplement to
this Agreement. The parties will specify therein or through another
effective means that any such counterpart, telex or electronic message
constitutes a Confirmation.
(f) NO WAIVER OF RIGHTS. A failure or delay in exercising any right, power or
privilege in respect of this Agreement will not be presumed to operate as a
waiver, and a single or partial exercise of any right, power or privilege will
not be presumed to preclude any subsequent or further exercise, of that right,
power or privilege or the exercise of any other right, power or privilege.
(g) HEADINGS. The headings used in this Agreement are for convenience of
reference only and are not to affect the construction of or to be taken into
consideration in interpreting this Agreement.
10. OFFICES; MULTIBRANCH PARTIES
(a) If Section 10(a) is specified in the Schedule as applying, each party that
enters into a Transaction through an Office other than its head or home office
represents to the other party that, notwithstanding the place of booking office
or jurisdiction of incorporation or organisation of such party, the obligations
of such party are the same as if it had entered into the Transaction through its
head or home office. This representation will be deemed to be repeated by such
party on each date on which a Transaction is entered into.
(b) Neither party may change the Office through which it makes and receives
payments or deliveries for the purpose of a Transaction without the prior
written consent of the other party.
(c) If a party is specified as a Multibranch Party in the Schedule, such
Multibranch Party may make and receive payments or deliveries under any
Transaction through any Office listed in the Schedule, and the Office through
which it makes and receives payments or deliveries with respect to a Transaction
will be specified in the relevant Confirmation.
11. EXPENSES
A Defaulting Party will, on demand, indemnify and hold harmless the other party
for and against all reasonable out-of-pocket expenses, including legal fees and
Stamp Tax, incurred by such other party by reason of the enforcement and
protection of its rights under this Agreement or any Credit Support Document to
which the Defaulting Party is a party or by reason of the early termination of
any Transaction, including, but not limited to, costs of collection.
12. NOTICES
(a) EFFECTIVENESS. Any notice or other communication in respect of this
Agreement may be given in any manner set forth below (except that a notice or
other communication under Section 5 or 6 may not be given by facsimile
transmission or electronic messaging system) to the address or number or in
accordance with the electronic messaging system details provided (see the
Schedule) and will be deemed effective as indicated:---
14
(i) if in writing and delivered in person or by courier, on the date it is
delivered;
(ii) if sent by telex, on the date the recipient's answerback is received;
(iii) if sent by facsimile transmission, on the date that transmission is
received by a responsible employee of the recipient in legible form (it
being agreed that the burden of proving receipt will be on the sender and
will not be met by a transmission report generated by the sender's
facsimile machine);
(iv) if sent by certified or registered mail (airmail, if overseas) or the
equivalent (return receipt requested), on the date that mail is delivered
or its delivery is attempted; or
(v) if sent by electronic messaging system, on the date that electronic
message is received,
unless the date of that delivery (or attempted delivery) or that receipt, as
applicable, is not a Local Business Day or that communication is delivered (or
attempted) or received, as applicable, after the close of business on a Local
Business Day, in which case that communication shall be deemed given and
effective on the first following day that is a Local Business Day.
(b) CHANGE OF ADDRESSES. Either party may by notice to the other change the
address, telex or facsimile number or electronic messaging system details at
which notices or other communications are to be given to it.
13. GOVERNING LAW AND JURISDICTION
(a) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with the law specified in the Schedule.
(b) JURISDICTION. With respect to any suit, action or proceedings relating to
this Agreement ("Proceedings"), each party irrevocably:*
(i) submits to the jurisdiction of the English courts, if this Agreement
is expressed to be governed by English law, or to the non- exclusive
jurisdiction of the courts of the State of New York and the United States
District Court located in the Borough of Manhattan in New York City, if
this Agreement is expressed to be governed by the laws of the State of New
York; and
(ii) waives any objection which it may have at any time to the laying of
venue of any Proceedings brought in any such court, waives any claim that
such Proceedings have been brought in an inconvenient forum and further
waives the right to object, with respect to such Proceedings, that such
court does not have any jurisdiction over such party.
Nothing in this Agreement precludes either party from bringing Proceedings in
any other jurisdiction (outside, if this Agreement is expressed to be governed
by English law, the Contracting States, as defined in Section 1(3) of the Civil
Jurisdiction and Judgments Act 1982 or any modification, extension or re-
enactment thereof for the time being in force) nor will the bringing of
Proceedings in any one or more jurisdictions preclude the bringing of
Proceedings in any other jurisdiction.
(c) SERVICE OF PROCESS. Each party irrevocably appoints the Process Agent (if
any) specified opposite its name in the Schedule to receive, for it and on its
behalf, service of process in any Proceedings. If for any reason any party's
Process Agent is unable to act as such, such party will promptly notify the
other party and within 30 days appoint a substitute process agent acceptable to
the other party. The parties irrevocably consent to service of process given in
the manner provided for notices in Section 12. Nothing in this Agreement will
affect the right of either party to serve process in any other manner permitted
by law.
15
(d) WAIVER OF IMMUNITIES. Each party irrevocably waives, to the fullest extent
permitted by applicable law, with respect to itself and its revenues and assets
(irrespective of their use or intended use), all immunity on the grounds of
sovereignty or other similar grounds from (i) suit, (ii) jurisdiction of any
court, (iii) relief by way of injunction, order for specific performance or for
recovery of property, (iv) attachment of its assets (whether before or after
judgment) and (v) execution or enforcement of any judgment to which it or its
revenues or assets might otherwise be entitled in any Proceedings in the courts
of any jurisdiction and irrevocably agrees, to the extent permitted by
applicable law, that it will not claim any such immunity in any Proceedings.
14. DEFINITIONS
As used in this Agreement:*
"ADDITIONAL TERMINATION EVENT" has the meaning specified in Section 5(b).
"AFFECTED PARTY" has the meaning specified in Section 5(b).
"AFFECTED TRANSACTIONS" means (a) with respect to any Termination Event
consisting of an Illegality, Tax Event or Tax Event Upon Merger, all
Transactions affected by the occurrence of such Termination Event and (b) with
respect to any other Termination Event, all Transactions.
"AFFILIATE" means, subject to the Schedule, in relation to any person, any
entity controlled, directly or indirectly, by the person, any entity that
controls, directly or indirectly, the person or any entity directly or
indirectly under common control with the person. For this purpose, "control" of
any entity or person means ownership of a majority of the voting power of the
entity or person.
"APPLICABLE RATE" means:*
(a) in respect of obligations payable or deliverable (or which would have been
but for Section 2(a)(iii)) by a Defaulting Party, the Default Rate;
(b) in respect of an obligation to pay an amount under Section 6(e) of either
party from and after the date (determined in accordance with Section 6(d)(ii))
on which that amount is payable, the Default Rate;
(c) in respect of all other obligations payable or deliverable (or which would
have been but for Section 2(a)(iii)) by a Non-defaulting Party, the Non- default
Rate; and
(d) in all other cases, the Termination Rate.
"BURDENED PARTY" has the meaning specified in Section 5(b).
"CHANGE IN TAX LAW" means the enactment, promulgation, execution or ratification
of, or any change in or amendment to, any law (or in the application or official
interpretation of any law) that occurs on or after the date on which the
relevant Transaction is entered into.
"CONSENT" includes a consent, approval, action, authorisation, exemption,
notice, filing, registration or exchange control consent.
"CREDIT EVENT UPON MERGER" has the meaning specified in Section 5(b).
"CREDIT SUPPORT DOCUMENT" means any agreement or instrument that is specified as
such in this Agreement.
16
"CREDIT SUPPORT PROVIDER" has the meaning specified in the Schedule.
"DEFAULT RATE" means a rate per annum equal to the cost (without proof or
evidence of any actual cost) to the relevant payee (as certified by it) if it
were to fund or of funding the relevant amount plus 1% per annum.
"DEFAULTING PARTY" has the meaning specified in Section 6(a).
"EARLY TERMINATION DATE" means the date determined in accordance with Section
6(a) or 6(b)(iv).
"EVENT OF DEFAULT" has the meaning specified in Section 5(a) and, if applicable,
in the Schedule.
"ILLEGALITY" has the meaning specified in Section 5(b).
"INDEMNIFIABLE TAX" means any Tax other than a Tax that would not be imposed in
respect of a payment under this Agreement but for a present or former connection
between the jurisdiction of the government or taxation authority imposing such
Tax and the recipient of such payment or a person related to such recipient
(including, without limitation, a connection arising from such recipient or
related person being or having been a citizen or resident of such jurisdiction,
or being or having been organised, present or engaged in a trade or business in
such jurisdiction, or having or having had a permanent establishment or fixed
place of business in such jurisdiction, but excluding a connection arising
solely from such recipient or related person having executed, delivered,
performed its obligations or received a payment under, or enforced, this
Agreement or a Credit Support Document).
"LAW" includes any treaty, law, rule or regulation (as modified, in the case of
tax matters, by the practice of any relevant governmental revenue authority) and
"LAWFUL" and "UNLAWFUL" will be construed accordingly.
"LOCAL BUSINESS DAY" means, subject to the Schedule, a day on which commercial
banks are open for business (including dealings in foreign exchange and foreign
currency deposits) (a) in relation to any obligation under Section 2(a)(i), in
the place(s) specified in the relevant Confirmation or, if not so specified, as
otherwise agreed by the parties in writing or determined pursuant to provisions
contained, or incorporated by reference, in this Agreement, (b) in relation to
any other payment, in the place where the relevant account is located and, if
different, in the principal financial centre, if any, of the currency of such
payment, (c) in relation to any notice or other communication, including notice
contemplated under Section 5(a)(i), in the city specified in the address for
notice provided by the recipient and, in the case of a notice contemplated by
Section 2(b), in the place where the relevant new account is to be located and
(d) in relation to Section 5(a)(v)(2), in the relevant locations for performance
with respect to such Specified Transaction.
"LOSS" means, with respect to this Agreement or one or more Terminated
Transactions, as the case may be, and a party, the Termination Currency
Equivalent of an amount that party reasonably determines in good faith to be its
total losses and costs (or gain, in which case expressed as a negative number)
in connection with this Agreement or that Terminated Transaction or group of
Terminated Transactions, as the case may be, including any loss of bargain, cost
of funding or, at the election of such party but without duplication, loss or
cost incurred as a result of its terminating, liquidating, obtaining or
reestablishing any hedge or related trading position (or any gain resulting from
any of them). Loss includes losses and costs (or gains) in respect of any
payment or delivery required to have been made (assuming satisfaction of each
applicable condition precedent) on or before the relevant Early Termination Date
and not made, except, so as to avoid duplication, if Section 6(e)(i)(l) or (3)
or 6(e)(ii)(2)(A) applies. Loss does not include a party's legal fees and
out-of-pocket expenses referred to under Section 11. A party will determine its
Loss as of the relevant Early Termination Date, or, if that is not reasonably
practicable, as of the earliest date thereafter as is reasonably practicable. A
party may (but need not) determine its Loss by reference to quotations of
relevant rates or prices from one or more leading dealers in the relevant
markets.
17
"MARKET QUOTATION" means, with respect to one or more Terminated Transactions
and a party making the determination, an amount determined on the basis of
quotations from Reference Market-makers. Each quotation will be for an amount,
if any, that would be paid to such party (expressed as a negative number) or by
such party (expressed as a positive number) in consideration of an agreement
between such party (taking into account any existing Credit Support Document
with respect to the obligations of such party) and the quoting Reference
Market-maker to enter into a transaction (the "Replacement Transaction") that
would have the effect of preserving for such party the economic equivalent of
any payment or delivery (whether the underlying obligation was absolute or
contingent and assuming the satisfaction of each applicable condition precedent)
by the parties under Section 2(a)(i) in respect of such Terminated Transaction
or group of Terminated Transactions that would, but for the occurrence of the
relevant Early Termination Date, have been required after that date. For this
purpose, Unpaid Amounts in respect of the Terminated Transaction or group of
Terminated Transactions are to be excluded but, without limitation, any payment
or delivery that would, but for the relevant Early Termination Date, have been
required (assuming satisfaction of each applicable condition precedent) after
that Early Termination Date is to be included. The Replacement Transaction would
be subject to such documentation as such party and the Reference Market-maker
may, in good faith, agree. The party making the determination (or its agent)
will request each Reference Market-maker to provide its quotation to the extent
reasonably practicable as of the same day and time (without regard to different
time zones) on or as soon as reasonably practicable after the relevant Early
Termination Date. The day and time as of which those quotations are to be
obtained will be selected in good faith by the party obliged to make a
determination under Section 6(e), and, if each party is so obliged, after
consultation with the other. If more than three quotations are provided, the
Market Quotation will be the arithmetic mean of the quotations, without regard
to the quotations having the highest and lowest values. If exactly three such
quotations are provided, the Market Quotation will be the quotation remaining
after disregarding the highest and lowest quotations. For this purpose, if more
than one quotation has the same highest value or lowest value, then one of such
quotations shall be disregarded. If fewer than three quotations are provided, it
will be deemed that the Market Quotation in respect of such Terminated
Transaction or group of Terminated Transactions cannot be determined.
"NON-DEFAULT RATE" means a rate per annum equal to the cost (without proof or
evidence of any actual cost) to the Non-defaulting Party (as certified by it) if
it were to fund the relevant amount.
"NON-DEFAULTING PARTY" has the meaning specified in Section 6(a).
"OFFICE" means a branch or office of a party, which may be such party's head or
home office.
"POTENTIAL EVENT OF DEFAULT" means any event which, with the giving of notice or
the lapse of time or both, would constitute an Event of Default.
"REFERENCE MARKET-MAKERS" means four leading dealers in the relevant market
selected by the party determining a Market Quotation in good faith (a) from
among dealers of the highest credit standing which satisfy all the criteria that
such party applies generally at the time in deciding whether to offer or to make
an extension of credit and (b) to the extent practicable, from among such
dealers having an office in the same city.
18
"RELEVANT JURISDICTION" means, with respect to a party, the jurisdictions (a) in
which the party is incorporated, organised, managed and controlled or considered
to have its seat, (b) where an Office through which the party is acting for
purposes of this Agreement is located, (c) in which the party executes this
Agreement and (d) in relation to any payment, from or through which such payment
is made.
"SCHEDULED PAYMENT DATE" means a date on which a payment or delivery is to be
made under Section 2(a)(i) with respect to a Transaction.
"SET-OFF" means set-off, offset, combination of accounts, right of retention or
withholding or similar right or requirement to which the payer of an amount
under Section 6 is entitled or subject (whether arising under this Agreement,
another contract, applicable law or otherwise) that is exercised by, or imposed
on, such payer.
19
"SETTLEMENT AMOUNT" means, with respect to a party and any Early Termination
Date, the sum of:*
(a) the Termination Currency Equivalent of the Market Quotations (whether
positive or negative) for each Terminated Transaction or group of Terminated
Transactions for which a Market Quotation is determined; and
(b) such party's Loss (whether positive or negative and without reference to
any Unpaid Amounts) for each Terminated Transaction or group of Terminated
Transactions for which a Market Quotation cannot be determined or would not (in
the reasonable belief of the party making the determination) produce a
commercially reasonable result.
"SPECIFIED ENTITY" has the meaning specified in the Schedule.
"SPECIFIED INDEBTEDNESS" means, subject to the Schedule, any obligation
(whether present or future, contingent or otherwise, as principal or surety or
otherwise) in respect of borrowed money.
"SPECIFIED TRANSACTION" means, subject to the Schedule, (a) any transaction
(including an agreement with respect thereto) now existing or hereafter entered
into between one party to this Agreement (or any Credit Support Provider of
such party or any applicable Specified Entity of such party) and the other
party to this Agreement (or any Credit Support Provider of such other party or
any applicable Specified Entity of such other party) which is a rate swap
transaction, basis swap, forward rate transaction, commodity swap, commodity
option, equity or equity index swap, equity or equity index option, bond
option, interest rate option, foreign exchange transaction, cap transaction,
floor transaction, collar transaction, currency swap transaction, cross-
currency rate swap transaction, currency option or any other similar
transaction (including any option with respect to any of these transactions),
(b) any combination of these transactions and (c) any other transaction
identified as a Specified Transaction in this Agreement or the relevant
confirmation.
"STAMP TAX" means any stamp, registration, documentation or similar tax.
"TAX" means any present or future tax, levy, impost, duty, charge, assessment
or fee of any nature (including interest, penalties and additions thereto) that
is imposed by any government or other taxing authority in respect of any
payment under this Agreement other than a stamp, registration, documentation or
similar tax.
"TAX EVENT" has the meaning specified in Section 5(b).
"TAX EVENT UPON MERGER" has the meaning specified in Section 5(b).
"TERMINATED TRANSACTIONS" means with respect to any Early Termination Date (a)
if resulting from a Termination Event, all Affected Transactions and (b) if
resulting from an Event of Default, all Transactions (in either case) in effect
immediately before the effectiveness of the notice designating that Early
Termination Date (or, if "Automatic Early Termination" applies, immediately
before that Early Termination Date).
"TERMINATION CURRENCY" has the meaning specified in the Schedule.
"TERMINATION CURRENCY EQUIVALENT" means, in respect of any amount denominated
in the Termination Currency, such Termination Currency amount and, in respect
of any amount denominated in a currency other than the Termination Currency
(the "Other Currency"), the amount in the Termination Currency determined by
the party making the relevant determination as being required to purchase such
amount of such Other Currency as at the relevant Early Termination Date, or, if
the relevant Market Quotation or Loss (as the case may be), is determined as of
a later date,
20
that later date, with the Termination Currency at the rate equal to the spot
exchange rate of the foreign exchange agent (selected as provided below) for the
purchase of such Other Currency with the Termination Currency at or about 11:00
a.m. (in the city in which such foreign exchange agent is located) on such date
as would be customary for the determination of such a rate for the purchase of
such Other Currency for value on the relevant Early Termination Date or that
later date. The foreign exchange agent will, if only one party is obliged to
make a determination under Section 6(e), be selected in good faith by that party
and otherwise will be agreed by the parties.
"TERMINATION EVENT" means an Illegality, a Tax Event or a Tax Event Upon Merger
or, if specified to be applicable, a Credit Event Upon Merger or an Additional
Termination Event.
"TERMINATION RATE" means a rate per annum equal to the arithmetic mean of the
cost (without proof or evidence of any actual cost) to each party (as certified
by such party) if it were to fund or of funding such amounts.
"UNPAID AMOUNTS" owing to any party means, with respect to an Early Termination
Date, the aggregate of (a) in respect of all Terminated Transactions, the
amounts that became payable (or that would have become payable but for Section
2(a)(iii)) to such party under Section 2(a)(i) on or prior to such Early
Termination Date and which remain unpaid as at such Early Termination Date and
(b) in respect of each Terminated Transaction, for each obligation under
Section 2(a)(i) which was (or would have been but for Section 2(a)(iii))
required to be settled by delivery to such party on or prior to such Early
Termination Date and which has not been so settled as at such Early Termination
Date, an amount equal to the fair market value of that which was (or would have
been) required to be delivered as of the originally scheduled date for
delivery, in each case together with (to the extent permitted under applicable
law) interest, in the currency of such amounts, from (and including) the date
such amounts or obligations were or would have been required to have been paid
or performed to (but excluding) such Early Termination Date, at the Applicable
Rate. Such amounts of interest will be calculated on the basis of daily
compounding and the actual number of days elapsed. The fair market value of
any obligation referred to in clause (b) above shall be reasonably determined
by the party obliged to make the determination under Section 6(e) or, if each
party is so obliged, it shall be the average of the Termination Currency
Equivalents of the fair market values reasonably determined by both parties.
IN WITNESS WHEREOF the parties have executed this document on the respective
dates specified below with effect from the date specified on the first page of
this document.
Credit Suisse (USA), Inc. Permanent Master Issuer PLC
(Name of Party) (Name of Party)
By: /s/ Yolanda Perez-Wilson By: /s/ Claudia Wallace
Name: Name:
Title: Title:
Date: Date:
The Bank of New York
/s/ Vincent Giraud
21
<page>
<page>
EXECUTION COPY
SERIES 1 CLASS A
SCHEDULE
TO THE
MASTER AGREEMENT
dated as of 21 February 2007
between
(1) CREDIT SUISSE (USA), INC. ("PARTY A");
(2) PERMANENT MASTER ISSUER PLC ("PARTY B"); and
(3) THE BANK OF NEW YORK (the "MASTER ISSUER SECURITY TRUSTEE", which
expression will include its successors and assigns and which has agreed
to become a party to this Agreement solely for the purpose of taking the
benefit of Parts 5(b) and 5(l) of this Schedule and assuming the
obligations under the final paragraph of Part 5(f) of this Schedule).
Part 1. TERMINATION PROVISIONS
(a) "SPECIFIED ENTITY" means in relation to Party A for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
and in relation to Party B for the purpose of:-
Section 5(a)(v), none
Section 5(a)(vi), none
Section 5(a)(vii), none
Section 5(b)(iv), none
(b) "SPECIFIED TRANSACTION" will have the meaning specified in Section 14 of
this Agreement.
(c) The "CROSS DEFAULT" provisions of Section 5(a)(vi) will not apply to
Party A and will not apply to Party B.
(d) The "CREDIT EVENT UPON MERGER" provisions of Section 5(b)(iv) will not
apply to Party A and will not apply to Party B.
23
(e) The "AUTOMATIC EARLY TERMINATION" provision of Section 6(a) will not
apply to Party A and will not apply to Party B.
(f) PAYMENTS ON EARLY TERMINATION. For the purposes of Section 6(e) of this
Agreement:-
(i) Market Quotation will apply.
(ii) The Second Method will apply.
(g) "TERMINATION CURRENCY" means Sterling.
(h) "ADDITIONAL TERMINATION EVENT" will apply. In addition to the Additional
Termination Events set forth in Part 5(f)(viii) of this Schedule, the
following will each constitute an Additional Termination Event:
(i) The Additional Tax Representation (as defined in Part 2(b) of
this Schedule), proves to have been incorrect or misleading in
any material respect with respect to one or more Transactions
(each an "AFFECTED TRANSACTION" for the purpose of this
Additional Termination Event) when made or repeated or deemed to
have been made or repeated. For the purpose of the foregoing
Termination Event, the Affected Party will be Party A only.
(ii) A redemption or purchase of the Relevant Notes occurs pursuant
to Condition 5(F) (Optional Redemption or Purchase for
Implementation of EU Capital Requirements Directive) of the
terms and conditions thereof. For the purpose of the foregoing
Termination Event: (A) for the purpose of Section 6(b)(iv), both
parties will be Affected Parties; and (B) for the purpose of
Section 6(e), the Affected Party will be Party B only. The
Additional Termination Event specified in this paragraph will
not apply in the ISDA Master Agreements relating to Class A
notes.
24
EXECUTION COPY
Part 2. TAX REPRESENTATIONS
(a) PAYER REPRESENTATIONS. For the purpose of Section 3(e) of this
Agreement, Party A and Party B each make the following representation:
It is not required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, of any Relevant Jurisdiction to make
any deduction or withholding for or on account of any Tax from any payment
(other than interest under Section 2(e), 6(d)(ii) or 6(e) of this Agreement) to
be made by it to the other party under this Agreement. In making this
representation, it may rely on (i) the accuracy of any representations made by
the other party pursuant to Section 3(f) of this Agreement, (ii) the
satisfaction of the agreement contained in Section 4(a)(i) or 4(a)(iii) of this
Agreement and the accuracy and effectiveness of any document provided by the
other party pursuant to Section 4(a)(i) or 4(a)(iii) of this Agreement and (iii)
the satisfaction of the agreement of the other party contained in Section 4(d)
of this Agreement, except that it will not be a breach of this representation
where reliance is placed on clause (ii) and the other party does not deliver a
form or document under Section 4(a)(iii) by reason of material prejudice to its
legal or commercial position.
(b) PAYEE REPRESENTATIONS. For the purpose of Section 3(f) of the Agreement,
Party A makes the following representations (the "ADDITIONAL TAX
REPRESENTATION"):
(i) it is a United States person;
(ii) its United States Internal Revenue Service employer
identification number is 13-1898818;
(iii) (a) it will be resident for tax purposes in the United Kingdom;
or (b) it is entering into each Transaction solely for the
purposes of a trade (or part of a trade) carried on by it in the
United Kingdom through a permanent establishment; or (c) is
resident in a jurisdiction with which the United Kingdom has a
double taxation agreement and it is fully eligible for benefits
under (A) one of the "Business Profits" or "Industrial and
Commercial Profits "or "Other Income" provisions and (B) the
"Interest" provision of that double taxation agreement; and
(iv) it will provide Party B with a United States Internal Revenue
Service Form W-9.
For the purpose of Section 3(f) of the Agreement, Party B makes the
following representations:
(i) it is a non-US branch of a foreign person;
(ii) it is a foreign person; and
(iii) it will provide Party A with a United States Internal
Revenue Service Form W-8BEN.
As used in this Part 2(b):
a "NON-US BRANCH OF A FOREIGN PERSON" shall be construed to mean a
foreign person having no branch within the United States;"
a "UNITED STATES PERSON" means a corporation (i) that is created or
organized in the United States or under the law of the United States or
of any State in the United States or of the District of Columbia; and
25
a "FOREIGN PERSON" means a corporation (i) that is not created or
organized in the United States or under the law of the United States or
of any State of the United States or of the District of Columbia and
(ii) that has not filed an election with the United States Internal
Revenue service to be treated as other than a corporation for U.S.
federal tax purposes.
26
Part 3. AGREEMENT TO DELIVER DOCUMENTS
For the purpose of Sections 4(a)(i) and 4(a)(ii) of this Agreement, each party
agrees to deliver the following documents, as applicable:
(a) Tax forms, documents or certificates to be delivered are: none
(b) Other documents to be delivered are:
PARTY REQUIRED COVERED BY
TO DELIVER FORM/DOCUMENT/ DATE BY WHICH SECTION 3(D)
DOCUMENT CERTIFICATE TO BE DELIVERED REPRESENTATION
Party A and Appropriate evidence of On signing of this Yes
Party B its signatory's authority Agreement
Party B Certified copy of On signing of this Yes
board resolution and Agreement
constitutional documents
Party A Legal opinion in form and On signing of this No
substance satisfactory to Agreement
Party B
Party B Legal opinions from On signing of this No
Allen & Overy LLP Agreement
Party A Credit Support Document On signing of this Yes
in respect of Party A specified Agreement
in Part 4(f) of this
Schedule
27
Part 4. MISCELLANEOUS
(a) ADDRESSES FOR NOTICES.
Address for notices or communications to Party A:
For notices regarding operation, payment and confirmation only, notices
should be sent to the branch set out in the relevant Confirmation (as
may be amended from time to time) with a copy, in the case of notices or
communications relating to Sections 5, 6, 7, 11 or 13, to:
Address: 11 Madison Avenue
New York, NY 10010
USA
Attention: Tim W. Blake
Facsimile No.:+1 212 743 5833
Address for notices or communications to Party B:
Address: 35 Great St. Helen's
London
EC3A 6AP
Attention: The Secretary
Facsimile No.:020 7398 6325
With a copy to: (i) HBOS Treasury Services plc
Address: 33 Old Broad Street
London
EC2N 1HZ
Attention: Senior Director, Securitisation
Facsimile No.:020 7574 8303
(ii) the Master Issuer Security Trustee:
Address: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance - Corporate Trust
Facsimile No.:020 7964 6061/6339
28
(b) PROCESS AGENT. For the purpose of Section 13(c) of this Agreement:
Party A appoints as its Process Agent: Credit Suisse International
One Cabot Square
London E14 4QJ
England
Attention: Managing Director - Legal Department
Facsimile No.:+44 (0)20 7888 2686
Party B appoints as its Process Agent:None.
(c) OFFICES. The provisions of Section 10(a) will apply to this Agreement.
(d) MULTIBRANCH PARTY. For the purpose of Section 10(c) of this Agreement:
Party A is not a Multibranch Party.
Party B is not a Multibranch Party.
(e) CALCULATION AGENT. The Calculation Agent is Party A.
(f) CREDIT SUPPORT DOCUMENT. Details of any Credit Support Document:
In respect of Party A:The Credit Support Annex dated the date hereof
between Party A and Party B.
In respect of Party B:None.
(g) CREDIT SUPPORT PROVIDER. Credit Support Provider means in relation to
Party A, the guarantor under any Eligible Guarantee.
Credit Support Provider means in relation to Party B, none.
(h) GOVERNING LAW. This Agreement will be governed by and construed in
accordance with English law.
(i) NETTING OF PAYMENTS. Subparagraph (ii) of Section 2(c) of this Agreement
will apply to Transactions entered into under this Agreement unless
otherwise specified in a Confirmation.
(j) "AFFILIATE" will have the meaning specified in Section 14 of this
Agreement. Copyright
29
Part 5. OTHER PROVISIONS
(a) NO SET-OFF
(i) All payments under this Agreement will be made without set-off or
counterclaim, except as expressly provided for in Section 6.
(ii) Section 6(e) will be amended by the deletion of the following sentence:
"The amount, if any, payable in respect of an Early Termination Date and
determined pursuant to this Section will be subject to any Set-off."
(b) SECURITY INTEREST
Notwithstanding Section 7, Party A hereby agrees and consents to the assignment
by way of security by Party B of its interests under this Agreement (without
prejudice to, and after giving effect to, any contractual netting provision
contained in this Agreement) to the Master Issuer Security Trustee (or any
successor thereto) pursuant to and in accordance with the Master Issuer Deed of
Charge and acknowledges notice of such assignment. Each of the parties hereby
confirms and agrees that the Master Issuer Security Trustee will not be liable
for any of the obligations of Party B hereunder.
(c) DISAPPLICATION OF CERTAIN EVENTS OF DEFAULT
Section 5(a)(ii), Section 5(a)(iii), Section 5(a)(iv), Section 5(a)(v), Section
5(a)(vii)(2), (4) (to the extent that it relates to actions taken by Party A or
its Affiliates), (6), (7) and (9) and Section 5(a)(viii) will not apply in
respect of Party B.
Section 5(a)(vii)(8) will not apply in respect of Party B to the extent that it
applies to Section 5(a)(vii)(2), (4) (to the extent that it does not apply, as
described above), (6) and (7).
Section 5(a)(v) will not apply in respect of Party A.
(d) DISAPPLICATION OF CERTAIN TERMINATION EVENTS
The "Tax Event Upon Merger" provision of Section 5(b)(iii) will not apply to
Party A or to Party B.
The "Tax Event" provision of Section 5(b)(ii) will not apply to Party B and will
apply to Party A, provided that the application and interpretation of Section
5(b)(ii) shall be restricted to a Change in Tax Law, as defined below, as a
result of which Party A has been or will be required to pay a Gross-Up Amount
(or, as the case may be, a Liability Amount) under Section 2(d).
For these purposes "Change in Tax Law" means any enactment, promulgation,
execution or ratification of, or any change in or amendment to, any law that
occurs on or after the date on which the relevant Transaction is entered into.
(e) ADDITIONAL EVENT OF DEFAULT
The following will constitute an additional Event of Default with respect to
Party B:
"NOTE ACCELERATION NOTICE. A Note Acceleration Notice is served on Party B in
relation to the Relevant Notes."
30
(f) RATINGS EVENT
(i) If the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as "A-1+"
by Standard & Poor's Rating Services, a division of The McGraw-Hill
Companies, Inc. ("S&P") (an "INITIAL S&P RATING EVENT"), then Party A
will at its own cost either:
(A) within 10 days of the Initial S&P Rating Event provide
collateral in the form of cash or securities or both in support
of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex, provided that such
posting of collateral shall be subject to (i) if required by S&P
at the time of such posting, Party A obtaining legal opinions
satisfactory to S&P in relation to such posting and (ii) if the
short-term, unsecured and unsubordinated debt obligations or the
long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from
time to time in respect of Party A cease to be rated at least as
high as "A-2" or "BBB+", respectively, by S&P, the monthly
valuation of Party B's Exposure (as defined in the Credit
Support Annex), by two independent third parties that would be
eligible and willing to be transferees of Party A's benefits and
obligations under this Agreement, on the following basis: (x)
the valuation may only be obtained from the same entity up to
four times in any twelve month period; (y) Party B's Exposure,
for the purposes of collateral posting in accordance with the
Credit Support Annex shall be deemed to be equal to the highest
of the higher of the two independent third party valuations bids
and the amount calculated in accordance with the Credit Support
Annex; and (z) Party A shall provide S&P with the two monthly
independent third party valuations and its calculations pursuant
to Paragraph 3(b) of the Credit Support Annex in relation to the
day on which the monthly independent third party valuations are
obtained; or
within 30 days of the occurrence of such Initial S&P Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the short- term, unsecured and unsubordinated debt obligations
of the third party are rated at least as high as "A-1+" by S&P
or S&P otherwise confirms that such transfer would maintain the
rating of the Relevant Notes by S&P at, or restore the rating of
the Relevant Notes by S&P to, the level it would have been at
immediately prior to such Initial S&P Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes
to, the level it would have been at immediately prior to such
Initial S&P Rating Event); or
(D) take such other action as Party A may agree with S&P as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level it
would have been at immediately prior to such Initial S&P Rating
Event.
If any of paragraphs (i)(B), (i)(C) or (i)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(ii) If the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from time to
time in respect of Party A cease to be rated at least as high as
31
"A-3" by S&P (such event, a "SUBSEQUENT S&P RATING EVENT"), then Party A
will, within 10 days of the occurrence of such Subsequent S&P Rating
Event, at its own cost either:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the short- term, unsecured and unsubordinated debt obligations
of the third party are rated at least as high as "A-1+" by S&P
or S&P otherwise confirms that such transfer would maintain the
rating of the Relevant Notes by S&P at, or restore the rating of
the Relevant Notes by S&P to, the level it would have been at
immediately prior to such Subsequent S&P Rating Event);
(B) take such other action as Party A may agree with S&P as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level it
would have been at immediately prior to such Subsequent S&P
Rating Event; or
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the short-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A-1+" by S&P or S&P otherwise
confirms that such guarantee would maintain the rating of the
Relevant Notes at, or restore the rating of the Relevant Notes
to, the level it would have been at immediately prior to such
Subsequent S&P Rating Event),
and, if, at the time a Subsequent S&P Rating Event occurs, Party A has
provided collateral pursuant to paragraph (i)(A) above following an
Initial S&P Rating Event, it will continue to post collateral
notwithstanding the occurrence of a Subsequent S&P Rating Event until
such time as any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above have
been satisfied.
If any of paragraphs (ii)(A), (ii)(B) or (ii)(C) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (i)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iii) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from
time to time in respect of Party A cease to be rated at least as
high as "A1" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from
time to time in respect of Party A cease to be rated at least as
high as "Prime-1" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "FIRST TRIGGER
REQUIRED RATINGS" and such cessation being an "INITIAL MOODY'S RATING
EVENT"), then Party A will at its own cost either:
(1) within 10 days of an Initial Moody's Rating Event provide
collateral in the form of cash or securities or both in support
of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
within 30 days of the occurrence of such Initial Moody's Rating Event:
(2) transfer all of its rights and obligations with respect to this
Agreement to either (x) a replacement third party with the
Required Ratings (as defined below) domiciled in the same legal
jurisdiction as Party A or Party B, or (y) a replacement third
party as Party A may agree with Moody's;
32
(3) procure another person to become co-obligor or guarantor in
respect of the obligations of Party A under this Agreement,
which co- obligor or guarantor may be either (x) a person with
the Required Ratings (as defined below) domiciled in the same
legal jurisdiction as Party A or Party B, or (y) such other
person as Party A may agree with Moody's; or
(4) take such other action as Party A may agree with Moody's.
If any of paragraphs (iii)(2), (iii)(3) or (iii)(4) above are satisfied
at any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iii)(1) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(iv) If:
(A) the long-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from
time to time in respect of Party A cease to be rated as high as
"A3" (or its equivalent) by Moody's; or
(B) the short-term, unsecured and unsubordinated debt obligations of
Party A (or its successor) or any Credit Support Provider from
time to time in respect of Party A cease to be rated as high as
"Prime- 2" (or its equivalent) by Moody's,
(the ratings referred to in (A) and (B) above being the "SECOND TRIGGER
REQUIRED RATINGS" and such cessation being a "SUBSEQUENT MOODY'S RATING
EVENT"), then Party A will:
(1) on a reasonable efforts basis, as soon as reasonably practicable
after the occurrence of such Subsequent Moody's Rating Event, at
its own cost, either:
(aa) transfer all of its rights and obligations with respect
to this Agreement to either (x) a replacement third
party with the Required Ratings (as defined below)
domiciled in the same legal jurisdiction as Party A or
Party B, or (y) a replacement third party as Party A may
agree with Moody's;
(bb) procure another person to become co-obligor or guarantor
in respect of the obligations of Party A under this
Agreement, which co-obligor or guarantor may be either
(x) a person with the Required Ratings (as defined
below) domiciled in the same legal jurisdiction as Party
A or Party B, or (y) such other person as Party A may
agree with Moody's; or
(cc) take such other action as Party A may agree with
Moody's; and
(2) provide collateral in the form of cash or securities or both in
support of its obligations under this Agreement in accordance
with the provisions of the Credit Support Annex.
If any of paragraphs (iv)(1)(aa), (bb) or (cc) above are satisfied at
any time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (iv)(2) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
For the purposes of paragraphs (iii) and (iv) of this Part 5(f),
"REQUIRED RATINGS" means, in respect of the relevant entity, its short-
term, unsecured and unsubordinated debt obligations are rated at least
as high as "Prime-1" and its long-term, unsecured and unsubordinated
debt obligations are rated at least as high as "A1", or such other
ratings as may be agreed with Moody's from time to time.
In relation to paragraphs (iii)(1) and (iv)(2) above, Party A will, upon
receipt of reasonable notice from Moody's demonstrate to Moody's the
calculation by Party A of the mark-to-market value of the
33
outstanding Transactions. In relation to paragraph (iv)(2) above, Party
A will, at its own cost, on receipt of reasonable notice from Moody's
(which, for the avoidance of doubt, will be no less than 30 days)
arrange a third party valuation of the mark-to-market value of the
outstanding Transactions.
(v) If either the long-term, unsecured and unsubordinated debt obligations
of Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as "A+"
(or its equivalent) by Fitch Ratings Ltd ("FITCH") or the short-term,
unsecured and unsubordinated debt obligations of Party A (or its
successor) or any Credit Support Provider from time to time in respect
of Party A cease to be rated at least as high as "F1" (or its
equivalent) by Fitch and, as a result of such cessation, the then
current rating of the Relevant Notes is downgraded or placed under
review for possible downgrade by Fitch (an "INITIAL FITCH RATING EVENT")
then Party A will, at its own cost, either:
(A) within 10 days of the Initial Fitch Rating Event provide
collateral in the form of cash or securities or both in support
of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex; or
on a reasonable efforts basis within 30 days of the occurrence of such
Initial Fitch Rating Event:
(B) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the
Master Issuer Security Trustee (whose consent will be given if
the long- term, unsecured and unsubordinated debt obligations of
the third party are rated at least as high as "A+" (or its
equivalent) by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are rated at
least as high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such transfer would maintain the rating
of the Relevant Notes by Fitch at, or restore the rating of the
Relevant Notes by Fitch to, the level it would have been at
immediately prior to such Initial Fitch Rating Event);
(C) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch
and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such Initial
Fitch Rating Event); or
(D) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level it
would have been at immediately prior to such Initial Fitch
Rating Event.
If any of paragraphs (v)(B), (v)(C) or (v)(D) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above will be
transferred to Party A and Party A will not be required to transfer any
additional collateral.
(vi) If either the long-term, unsecured and unsubordinated debt obligations
of Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"BBB+" (or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F2" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"FIRST SUBSEQUENT FITCH RATING EVENT") then Party A will either:
34
(A) within 10 days of the First Subsequent Fitch Rating Event
provide collateral in the form of cash or securities in support
of its obligations under this Agreement in accordance with the
provisions of the Credit Support Annex (provided that the
mark-to-market calculations and the correct and timely posting
of collateral thereunder are verified by an independent third
party (with the costs of such independent verification being
borne by Party A)); or
(B) on a reasonable efforts basis within 30 days of the occurrence
of such First Subsequent Fitch Rating Event, at its own cost,
attempt either to:
(1) transfer all of its rights and obligations with respect
to this Agreement to a replacement third party
satisfactory to the Master Issuer Security Trustee
(whose consent will be given if the long-term, unsecured
and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent)
by Fitch and the short-term, unsecured and
unsubordinated debt obligations of the third party are
rated at least as high as "F1" (or its equivalent) by
Fitch or Fitch otherwise confirms that such transfer
would maintain the rating of the Relevant Notes by Fitch
at, or restore the rating of the Relevant Notes by Fitch
to, the level it would have been at immediately prior to
such First Subsequent Fitch Rating Event);
(2) obtain a guarantee of its obligations with respect to
this Agreement from a third party satisfactory to the
Master Issuer Security Trustee (whose consent will be
given if the long- term, unsecured and unsubordinated
debt obligations of the third party are rated at least
as high as "A+" (or its equivalent) by Fitch and the
short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as
high as "F1" (or its equivalent) by Fitch or Fitch
otherwise confirms that such guarantee would maintain
the rating of the Relevant Notes at, or restore the
rating of the Relevant Notes to, the level it would have
been at immediately prior to such First Subsequent Fitch
Rating Event); or
(3) take such other action as Party A may agree with Fitch
as will result in the rating of the Relevant Notes
following the taking of such action being maintained at,
or restored to, the level it would have been at
immediately prior to such First Subsequent Fitch Rating
Event.
If any of paragraphs (vi)(B)(1), (2) or (3) above are satisfied at any
time, all collateral (or the equivalent thereof, as appropriate)
transferred by Party A pursuant to paragraph (v)(A) above or paragraph
(vi)(A) will be transferred to Party A and Party A will not be required
to transfer any additional collateral.
(vii) If either the long-term, unsecured and unsubordinated debt obligations
of Party A (or its successor) or any Credit Support Provider from time
to time in respect of Party A cease to be rated at least as high as
"BBB-" (or its equivalent) by Fitch or the short-term, unsecured and
unsubordinated debt obligations of Party A (or its successor) or any
Credit Support Provider from time to time in respect of Party A cease to
be rated at least as high as "F3" (or its equivalent) by Fitch and, as a
result of such cessation, the then current rating of the Relevant Notes
is downgraded or placed under review for possible downgrade by Fitch (a
"SECOND SUBSEQUENT FITCH RATING EVENT") then Party A will, on a
reasonable efforts basis within 30 days of the occurrence of such Second
Subsequent Fitch Rating Event, at its own cost, attempt either to:
(A) transfer all of its rights and obligations with respect to this
Agreement to a replacement third party satisfactory to the Master
Issuer Security Trustee (whose consent will be given if the long-
term, unsecured and unsubordinated debt obligations of the third
party are rated at least as high as "A+" (or its equivalent) by
Fitch and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as "F1"
(or its
35
equivalent) by Fitch or Fitch otherwise confirms that such
transfer would maintain the rating of the Relevant Notes by
Fitch at, or restore the rating of the Relevant Notes by Fitch
to, the level it would have been at immediately prior to such
Second Subsequent Fitch Rating Event);
(B) obtain a guarantee of its obligations with respect to this
Agreement from a third party satisfactory to the Master Issuer
Security Trustee (whose consent will be given if the long-term,
unsecured and unsubordinated debt obligations of the third party
are rated at least as high as "A+" (or its equivalent) by Fitch
and the short-term, unsecured and unsubordinated debt
obligations of the third party are rated at least as high as
"F1" (or its equivalent) by Fitch or Fitch otherwise confirms
that such guarantee would maintain the rating of the Relevant
Notes at, or restore the rating of the Relevant Notes to, the
level it would have been at immediately prior to such Second
Subsequent Fitch Rating Event); or
(C) take such other action as Party A may agree with Fitch as will
result in the rating of the Relevant Notes following the taking
of such action being maintained at, or restored to, the level it
would have been at immediately prior to such Second Subsequent
Fitch Rating Event.
Pending compliance with any of paragraphs (vii)(A), (B) or (C) above,
Party A will provide collateral in the form of cash or securities or
both in support of its obligations under this Agreement in accordance
with the provisions of the Credit Support Annex (provided that the
mark-to-market calculations and the correct and timely posting of
collateral thereunder are verified by an independent third party (with
the costs of such independent verification being borne by Party A)). If
any of paragraphs (vii)(A), (B) or (C) above are satisfied at any time,
all collateral (or the equivalent thereof, as appropriate) transferred
by Party A under the Credit Support Annex will be transferred to Party A
and Party A will not be required to transfer any additional collateral.
(viii) (A) If Party A does not take any of the measures described in
paragraph (i) above, such failure will not be or give rise to an
Event of Default but will constitute an Additional Termination
Event with respect to Party A which will be deemed to have
occurred on the thirtieth day following the Initial S&P Rating
Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(B) If, at the time a Subsequent S&P Rating Event occurs, Party A
has provided collateral pursuant to paragraph (i)(A) above and
fails to continue to post collateral pending compliance with any
of paragraphs (ii)(A), (ii)(B) or (ii)(C) above, such failure
will not be or give rise to an Event of Default but will
constitute an Additional Termination Event with respect to Party
A and will be deemed to have occurred on the later of the tenth
day following such Subsequent S&P Rating Event and the thirtieth
day following the Initial S&P Rating Event with Party A as the
sole Affected Party and all Transactions as Affected
Transactions. Further, it will constitute an Additional
Termination Event with respect to Party A if, even if it is
posting collateral as required by paragraph (ii) above and
notwithstanding Section 5(a)(ii), Party A does not take any of
the measures described in paragraphs (ii)(A), (ii)(B) or (ii)(C)
above. Such Additional Termination Event will be deemed to have
occurred on the tenth day following the Subsequent S&P Rating
Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(C) If Party A does not take any of the measures described in
paragraph (iii)(1), (2), (3) or (4) above, such failure will not
be or give rise to an Event of Default but will constitute an
Additional Termination Event with respect to Party A and will be
deemed to have occurred on the thirtieth day following the
occurrence of such Initial Moody's Rating Event with Party A as
the sole Affected Party and all Transactions as Affected
Transactions.
36
(D) If Party A does not take the measures described in paragraph
(iv)(1) above, such failure will not give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A and will be deemed to have occurred on the
thirtieth day following such Subsequent Moody's Rating Event and
provided that (i) at least one Eligible Replacement has made a
Firm Offer (which remains capable of becoming legally binding
upon acceptance) to be the transferee of a transfer to be made
in accordance with Part 5(g) below and/or (ii) at least one
entity with the First Trigger Required Ratings and/or the Second
Trigger Required Ratings has made a Firm Offer (which remains
capable of becoming legally binding upon acceptance by the
offeree) to provide an Eligible Guarantee in respect of all of
Party A's present and future obligations under this Agreement.
(E) If Party A does not take the measures described in paragraph (v)
above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the Initial Fitch Rating Event with
Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(F) If Party A does not take the measures described in paragraph
(vi) above, such failure will not be or give rise to an Event of
Default but will constitute an Additional Termination Event with
respect to Party A which will be deemed to have occurred on the
thirtieth day following the First Subsequent Fitch Rating Event
with Party A as the sole Affected Party and all Transactions as
Affected Transactions.
(G) If Party A does not, pending compliance with any of paragraphs
(vii)(A), (B) or (C), continue to comply with the terms of the
Credit Support Annex, such failure will give rise to an Event of
Default with respect to Party A and will be deemed to have
occurred on the tenth day following such Second Subsequent Fitch
Rating Event with Party A as the Defaulting Party. Further, it
will constitute an Additional Termination Event with respect to
Party A if, even after satisfying the above requirements, Party
A has failed, within 30 days following such Second Subsequent
Fitch Rating Event, to either transfer as described in paragraph
(vii)(A), find a guarantor as described in paragraph (vii)(B) or
take such other action as described in paragraph (vii)(C). Such
Additional Termination Event will be deemed to have occurred on
the thirtieth day following such Second Subsequent Fitch Rating
Event with Party A as the sole Affected Party and all
Transactions as Affected Transactions.
(H) In the event that Party B were to designate an Early Termination
Date and there would be a payment due to Party A, Party B may
only designate such an Early Termination Date in respect of an
Additional Termination Event or Event of Default under this Part
5(f) if Party B has found a replacement counterparty willing to
enter into a new transaction on terms that reflect as closely as
reasonably possible, as determined by Party B in its sole and
absolute discretion, the economic, legal and credit terms of the
Terminated Transactions with Party A, and Party B has acquired
the Master Issuer Security Trustee's prior written consent. The
reasonable costs incurred by Party B arising directly from Party
B finding or attempting to find such a replacement counterparty
will be reimbursed by Party A.
Each of Party B and the Master Issuer Security Trustee will use their reasonable
endeavours to co-operate with Party A in entering into such documents as may
reasonably be requested by Party A in connection with the provision of such
collateral pursuant to this Part 5(f).
(g) TRANSFER POLICY
Section 7 of this Agreement (except Section 7(b)) will not apply to Party A,
who will be required to comply with, and will be bound by, the following:
37
Without prejudice to Section 6(b)(ii) as amended in this Schedule, Party A may
transfer all (but not part only) of its interests and obligations in and under
this Agreement to any of its Affiliates or, with the prior written consent of
Party B, such consent not to be unreasonably withheld, to any other entity (each
such Affiliate or entity a "TRANSFEREE") upon providing five Business Days'
prior written notice to the Note Trustee, provided that:
(i) the Transferee's short-term, unsecured and unsubordinated debt
obligations are then rated not less than "A-1+" by S&P, "Prime-1" by
Moody's and "F1" by Fitch and its long-term, unsecured and
unsubordinated debt obligations are then rated not less than "A1" by
Moody's and "A+" by Fitch (or its equivalent by any substitute rating
agency) or such Transferee's obligations under this Agreement are
guaranteed by an entity whose short-term, unsecured and unsubordinated
debt obligations are then rated not less than "A-1+" by S&P, "Prime-1"
by Moody's and "F1" by Fitch and whose long-term, unsecured and
unsubordinated debt obligations are then rated not less than "A1" by
Moody's and "A+" by Fitch (or its equivalent by any substitute rating
agency);
(ii) the Transferee will not, as a result of such transfer, be required on
the next succeeding Scheduled Payment Date to withhold or deduct on
account of any Tax (except in respect of default interest) amounts in
excess of that which Party A would, on the next succeeding Scheduled
Payment Date have been required to so withhold or deduct unless the
Transferee would be required to make additional payments pursuant to
Section 2(d)(i)(4) corresponding to such excess;
(iii) a Termination Event or Event of Default does not occur as a result of
such transfer;
(iv) no additional amount will be payable by Party B to Party A or the
Transferee on the next succeeding Scheduled Payment Date as a result of
such transfer; and
(v) the Transferee confirms in writing that it will accept all of the
interests and obligations in and under this Agreement which are to be
transferred to it in accordance with the terms of this provision.
With respect to paragraph (ii) above, each party agrees to make such Payee Tax
Representations and Payer Tax Representations as may reasonably be requested by
the other party in order to reasonably satisfy such other party that such
withholding or deduction will not occur and that no deductibility issues will
arise.
Following the transfer, all references to Party A (or its Credit Support
Provider, as applicable) will be deemed to be references to the Transferee.
Save as otherwise provided for in this Agreement and notwithstanding Section 7,
Party A will not be permitted to transfer (by way of security or otherwise) this
Agreement nor any interest or obligation in or under this Agreement without the
prior written consent of the Master Issuer Security Trustee.
If, as contemplated by Part 5(g) above, an entity has made a Firm Offer (which
remains capable of becoming legally binding upon acceptance) to be the
transferee of a transfer, Party B shall (at Party A's cost) at Party A's written
request, take any reasonable steps required to be taken by it to effect such
transfer.
(h) ADDITIONAL REPRESENTATION
Section 3 is amended by the addition at the end thereof of the following
additional representations (provided that the representation in Section 3(h)
will be made by Party A only):
"(g) NO AGENCY. It is entering into this Agreement, including each
Transaction, as principal and not as agent of any person or
entity.
(h) PARI PASSU. Its obligations under this Agreement rank pari passu
with all of its other unsecured, unsubordinated obligations
except those obligations preferred by operation of law."
38
(i) RECORDING OF CONVERSATIONS
Each party to this Agreement (i) consents to the recording of the telephone
conversations of trading, marketing and operations personnel of the parties in
connection with this Agreement or any potential Transaction, (ii) agrees to
obtain any necessary consent of, and give notice of such recording to, such
personnel of it and (iii) agrees that in any Proceedings it will not object to
the introduction of such recordings in evidence on the ground that consent was
not properly given.
(j) RELATIONSHIP BETWEEN THE PARTIES
The Agreement is amended by the insertion after Section 14 of an additional
Section 15, reading in its entirety as follows:
"15. RELATIONSHIP BETWEEN THE PARTIES
Each party will be deemed to represent to the other party on the date on which
it enters into a Transaction that (absent a written agreement between the
parties that expressly imposes affirmative obligations to the contrary for that
Transaction):
(a) NON RELIANCE. It is acting for its own account, and it has made its own
independent decisions to enter into that Transaction and as to whether
that Transaction is appropriate or proper for it based upon advice from
such advisers as it has deemed necessary. It is not relying on any
communication (written or oral) of the other party as investment advice
or as a recommendation to enter into that Transaction, it being
understood that information and explanations related to the terms and
conditions of a Transaction will not be considered investment advice or
a recommendation to enter into that Transaction. No communication
(written or oral) received from the other party will be deemed to be an
assurance or guarantee as to the expected results of that Transaction.
(b) ASSESSMENT AND UNDERSTANDING. It is capable of assessing the merits of
and understanding (on its own behalf or through independent professional
advice), and understands and accepts, the terms, conditions and risks of
that Transaction. It is also capable of assuming, and assumes, the
financial and other risks of that Transaction.
(c) STATUS OF PARTIES. The other party is not acting as a fiduciary for or
an adviser for it in respect of that Transaction."
(k) TAX
The Agreement is amended by deleting Section 2(d) in its entirety and replacing
it with the following:
"(d) Deduction or Withholding for Tax
(i) Requirement to Withhold
All payments under this Agreement will be made without any deduction or
withholding for or on account of any Tax unless such deduction or
withholding is required (including, for the avoidance of doubt, if such
deduction or withholding is required in order for the payer to obtain
relief from Tax) by any applicable law, as modified by the practice of
any relevant governmental revenue authority, then in effect. If a party
("X") is so required to deduct or withhold, then that party (the
"DEDUCTING PARTY"):
(1) will promptly notify the other party ("Y") of such requirement;
39
(2) will pay to the relevant authorities the full amount required to
be deducted or withheld (including the full amount required to
be deducted or withheld from any Gross Up Amount (as defined
below) paid by the Deducting Party to Y under this Section 2(d))
promptly upon the earlier of determining that such deduction or
withholding is required or receiving notice that such amount has
been assessed against Y;
(3) will promptly forward to Y an official receipt (or a certified
copy), or other documentation reasonably acceptable to Y,
evidencing such payment to such authorities; and
(4) if X is Party A, X will promptly pay in addition to the payment
to which Party B is otherwise entitled under this Agreement,
such additional amount (the "GROSS UP AMOUNT") as is necessary
to ensure that the net amount actually received by Party B will
equal the full amount which Party B would have received had no
such deduction or withholding been required.
(ii) Liability
If:
(1) X is required by any applicable law, as modified by the practice
of any relevant governmental revenue authority, to make any
deduction or withholding for or on account of any Tax; and
(2) X does not so deduct or withhold; and
(3) a liability resulting from such Tax is assessed directly against
X,
then, except to the extent that Y has satisfied or then satisfies the
liability resulting from such Tax, (A) where X is Party B, Party A will
promptly pay to Party B the amount of such liability (the "LIABILITY
AMOUNT") (including any related liability for interest and penalties)
together with an amount equal to the Tax payable by Party B on receipt
of such amount but including any related liability for penalties only if
Party A has failed to comply with or perform any agreement contained in
Section 4(a)(i), 4(a)(iii) or 4(d)) and Party B will promptly pay to the
relevant government revenue authority the amount of such liability
(including any related liability for interest and penalties) and (B)
where X is Party A and Party A would have been required to pay a Gross
Up Amount to Party B, Party A will promptly pay to the relevant
government revenue authority the amount of such liability (including any
related liability for interest and penalties).
(iii) Tax Credit etc.
Where Party A pays an amount in accordance with Section 2(d)(i)(4)
above, Party B undertakes as follows:
(1) to the extent that Party B obtains any Tax credit, allowance,
set-off or repayment from the tax authorities of any
jurisdiction relating to any deduction or withholding giving
rise to such payment (a "TAX CREDIT"), it will pay to Party A as
soon as practical after receipt of the same so much of the cash
benefit (as calculated below) relating thereto which it has
received as will leave Party B in substantially the same (but in
any event no worse) position as Party B would have been in if no
such deduction or withholding had been required;
(2) the "cash benefit" will, in the case of a Tax credit, allowance
or set-off, be the additional amount of Tax which would have
been payable by Party B in the jurisdiction referred to in
clause (1) above but for the obtaining by it of the said Tax
credit, allowance or set-off and, in the case of a repayment,
will be the amount of the repayment together, in either case,
with any related interest, repayment supplement or similar
payment obtained by Party B; and
40
(3) it will use all reasonable endeavours to obtain any Tax Credit
as soon as is reasonably practicable provided that it will be
the sole judge of the amount of such Tax Credit and of the date
on which the same is received and will not be obliged to
disclose to Party A any information relating to its tax affairs
or tax computations save that Party B will, upon request by
Party A, supply Party A with a reasonably detailed explanation
of its calculation of the amount of any such Tax Credit and of
the date on which the same is received."
(l) SECURITY, ENFORCEMENT AND LIMITED RECOURSE
(i) Party A agrees with Party B and the Master Issuer Security Trustee to be
bound by the terms of the Master Issuer Deed of Charge and, in
particular, confirms that: (A) no sum will be payable by or on behalf of
Party B to it except in accordance with the provisions of the Master
Issuer Deed of Charge; and (B) it will not take any steps for the
winding up, dissolution or reorganisation or for the appointment of a
receiver, administrator, administrative receiver, trustee, liquidator,
sequestrator or similar officer of Party B or of any or all of its
revenues and assets nor participate in any ex parte proceedings nor seek
to enforce any judgment against Party B, subject to the provisions of
the Master Issuer Deed of Charge.
(ii) In relation to all sums due and payable by Party B to Party A, Party A
agrees that (without prejudice to its rights to have collateral returned
to it in accordance with the provisions of the Credit Support Annex) it
will have recourse only to Master Issuer Available Funds, but always
subject to the order of priority of payments set out in the Master
Issuer Cash Management Agreement and the Master Issuer Deed of Charge.
(m) CONDITION PRECEDENT
Section 2(a)(iii) will be amended by the deletion of the words "a
Potential Event of Default" in respect of obligations of Party A only.
(n) REPRESENTATIONS
Section 3(b) will be amended by the deletion of the words "or Potential Event of
Default" in respect of the representation given by Party B only.
(o) ADDITIONAL DEFINITIONS
Words and expressions defined in the Amended and Restated Master Definitions and
Construction Schedule (the "MASTER SCHEDULE") and the Amended and Restated
Master Issuer Master Definitions and Construction Schedule (the "MASTER ISSUER
SCHEDULE") (together the "MASTER DEFINITIONS SCHEDULE") signed on or about 1
March 2007 will, except so far as the context otherwise requires, have the same
meaning in this Agreement. In the event of any inconsistency between the
definitions in this Agreement and in the Master Definitions Schedule the
definitions in this Agreement will prevail. In the event of any inconsistency
between the Master Schedule and the Master Issuer Schedule, the Master Issuer
Schedule will prevail. The rules of interpretation set out in the Master
Definitions Schedule will apply to this Agreement. Any subsequent amendment made
to the Master Definitions Schedule will only be binding on Party A if Party A
has agreed to such amendment.
(p) CHANGE OF ACCOUNT
Section 2(b) of this Agreement is hereby amended by the addition of the
following at the end thereof:
"; provided that such new account will be in the same legal and tax
jurisdiction as the original account and such new account, in the case of Party
B, is held with a financial institution with a short-term, unsecured,
41
unsubordinated and unguaranteed debt obligation rating of at least "Prime-1" (in
the case of Moody's), "A-1+" (in the case of S&P) and "F1+" (in the case of
Fitch) (or, if such financial institution is not rated by a Rating Agency, at
such equivalent rating that is acceptable to such Rating Agency)."
(q) MODIFICATIONS TO CLOSE-OUT PROVISIONS
"Market Quotation" and "Second Method" will apply for the purpose of
Section 6(e) of this Agreement.
Notwithstanding Section 6 of this Agreement, so long as Party A is (A)
the Affected Party in respect of an Additional Termination Event or a
Tax Event Upon Merger or (B) the Defaulting Party in respect of any
Event of Default, paragraphs (i) to (vi) below shall apply:
(i) definition of "MARKET QUOTATION" shall be deleted in its
entirety and replaced as follows:
"MARKET QUOTATION" means, with respect to one or more Terminated
Transactions, an offer which is (1) a Firm Offer made by a
Reference Market-maker that is an Eligible Replacement, (2) for
an amount, if any, that would be paid to Party B (expressed as a
negative number) or by Party B (expressed as a positive number)
in consideration of an agreement between Party B (taking into
account any existing Credit Support Document with respect to the
obligations of Party B) and such Reference Market-maker to enter
into a transaction (the "REPLACEMENT TRANSACTION") that would
have the effect of preserving for such party the economic
equivalent of any payment or delivery (whether the underlying
obligation was absolute or contingent and assuming the
satisfaction of each applicable condition precedent) by the
parties under Section 2(a)(i) in respect of such Terminated
Transaction or group of Terminated Transactions that would, but
for the occurrence of the relevant Early Termination Date, have
been required after that date, (3) made on the basis that Unpaid
Amounts in respect of the Terminated Transaction or group of
Terminated Transactions are to be excluded but, without
limitation, any payment or delivery that would, but for the
relevant Early Termination Date, have been required (assuming
satisfaction of each applicable condition precedent) after that
Early Termination Date is to be included. The Replacement
Transaction would be subject to such documentation as such party
and the Reference Market-maker may, in good faith, agree. The
party making the determination (or its agent) will request each
Reference Market-maker to provide its quotation to the extent
reasonably practicable as of the same day and time (without
regard to different time zones) on or as soon as reasonably
practicable after the relevant Early Termination Date. The day
and time as of which those quotations are to be obtained will be
selected in good faith by the party obliged to make a
determination under Section 6(e), and, if each party is so
obliged, after consultation with the other.
(ii) The definition of "SETTLEMENT AMOUNT" shall be deleted in its
entirety and replaced with the following:
"SETTLEMENT AMOUNT" means, with respect to any Early Termination
Date, an amount (as determined by Party B; except that if Party
B fails to make such determination promptly, Party A shall have
the right to make such determination) equal to:
(a) If a Market Quotation for the relevant Terminated
Transaction or group of Terminated Transactions is
accepted by Party B so as to become legally binding on
or before the day falling 30 Business Days after the day
on which the Early Termination Date is designated (or
such later day as Party B may specify in writing to
Party A, which in any event will not be later than the
Early Termination Date) (such day, the "LATEST
SETTLEMENT AMOUNT DETERMINATION DAY"), the Termination
Currency Equivalent of the amount (whether positive or
negative) of such Market Quotation; or
42
(b) If no Market Quotation for the relevant Terminated
Transaction or group of Terminated Transactions is
accepted by Party B so as to become legally binding on
or before the Latest Settlement Amount Determination Day
or if a Market Quotation would not (in the reasonable
belief of Party B) produce a commercially reasonable
result then Party B's Loss (whether positive or negative
and without reference to any Unpaid amounts) for the
relevant Terminated Transaction or group of Terminated
Transactions. (iii) Party B undertakes to use its
reasonable efforts to obtain at least one Market
Quotation before the Latest Settlement Amount
Determination Day.
(iii) Party B will be deemed to have discharged its obligations under
(iii) above if it requests Party A to obtain Market Quotations,
where such request is made in writing within two Business Days
after the day on which the Early Termination Date is designated.
(v) If Party B requests Party A in writing to obtain Market
Quotations, Party A shall use its reasonable efforts to do so
before the Latest Settlement Amount Determination Day.
(vi) Party A shall have the right to obtain Market Quotations,
without prior request by Party B, before the Latest Settlement
Amount Determination Day.
(vii) If the Settlement Amount is a negative number in circumstances
where a payment is due to Party B from a Replacement Swap
Counterparty), Section 6(e)(i)(3) of this Agreement shall be
deleted in its entirety and replaced with the following:
"SECOND METHOD AND MARKET QUOTATION" If Second Method and Market
Quotation apply, (1) Party B shall pay to Party A an amount
equal to the absolute value of the Settlement Amount in respect
of the Terminated Transactions, (2) Party B shall pay to Party A
the Termination Currency Equivalent of the Unpaid Amounts owing
to Party A and (3) Party A shall pay to Party B the Termination
Currency Equivalent of the Unpaid Amounts owing to Party B,
provided that, (i) the amounts payable under (2) and (3) shall
be subject to netting in accordance with Section 2(c) of this
Agreement and (ii) notwithstanding any other provision of this
Agreement, any amount payable by Party A under (3) due to a
failure by Party A to make, when due, any payment under this
Agreement, may be set off against any collateral held by Party B
pursuant to the Credit Support Annex."
(r) CONTRACTS (RIGHTS OF THIRD PARTIES) ACT 1999
A person who is not a party to this Agreement will not have any right under the
Contracts (Rights of Third Parties) Act 1999 to enforce any of its terms but
this will not affect any right or remedy of a third party which exists or is
available apart from that Act.
(s) SCOPE OF AGREEMENT
The provisions of this Agreement shall not apply to any Transactions other than
the Credit Support Annex attached hereto and the Currency Swap Transaction in
respect of the Series 1 Class A Notes (the "RELEVANT NOTES") having a Trade Date
of 21 February 2007 and entered into between Party A and Party B.
(t) DEFINITIONS
"ELIGIBLE GUARANTEE" means an unconditional and irrevocable guarantee that is
provided by a guarantor as principal debtor rather than surety and is directly
enforceable by Party B, where either (A) a reputable international law firm has
given a legal opinion confirming that none of the guarantor's payments to Party
B under such guarantee will be subject to withholding for Tax or (B) such
guarantee provides that, in the event that any of such guarantor's payments to
Party B are subject to withholding for Tax, such guarantor is
43
required to pay such additional amount as is necessary to ensure that the net
amount actually received by Party B (free and clear of any withholding tax) will
equal the full amount Party B would have received had no such withholding been
required.
"ELIGIBLE REPLACEMENT" means an entity (A) with the Moody's First Trigger
Required Ratings and/or the Moody's Second Trigger Required Ratings or (B)
whose present and future obligations owing to Party B are guaranteed pursuant
to an Eligible Guarantee provided by a guarantor with the First Trigger
Required Ratings and/or the Second Trigger Required Ratings.
44
(BILATERAL FORM - TRANSFER)1 (ISDA AGREEMENTS SUBJECT TO ENGLISH LAW)2
ISDA{reg-trade-mark}
International Swaps and Derivatives Association, Inc.
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA MASTER AGREEMENT
dated as of ...............
between
.......................... and................................
("PARTY A") ("PARTY B")
This Annex supplements, forms part of, and is subject to, the ISDA Master
Agreement referred to above and is part of its Schedule. For the purposes of
this Agreement, including, without limitation, Sections 1(c), 2(a), 5 and 6 ,
the credit support arrangements set out in this Annex constitute a Transaction
(for which this Annex constitutes the Confirmation).
PARAGRAPH 1. INTERPRETATION
Capitalised terms not otherwise defined in this Annex or elsewhere in this
Agreement have the meanings specified pursuant to Paragraph 10, 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 11 and the other provisions of this Annex, Paragraph 11 will prevail.
For the avoidance of doubt, references to "transfer" in this Annex mean, in
relation to cash, payment and, in relation to other assets, delivery.
PARAGRAPH 2. CREDIT SUPPORT OBLIGATIONS
(a) DELIVERY AMOUNT. Subject to Paragraphs 3 and 4, upon a demand made by
the Transferee on or promptly following a Valuation Date, if the Delivery
Amount for that Valuation Date equals or exceeds the
- ----------------------
1 This document is not intended to create a charge or other security interest
over the assets transferred under its terms. Persons intending to establish a
collateral arrangement based on the creation of a charge or other security
interest should consider using the ISDA Credit Support Deed (English law) or
the ISDA Credit Support Annex (New York law), as appropriate.
[1]
2 This Credit Support Annex has been prepared for use with ISDA Master
Agreements subject to English law. Users should consult their legal advisers
as to the proper use and effect of this form and the arrangements it
contemplates. In particular, users should consult their legal advisers if they
wish to have the Credit Support Annex made subject to a governing law other
than English law or to have the Credit Support Annex subject to a different
governing law than that governing the rest of the ISDA Master Agreement (e.g.,
English law for the Credit Support Annex and New York law for the rest of the
ISDA Master Agreement).
Copyright [C] 1992 by International Swap Dealers Association, Inc.
Transferor's Minimum Transfer Amount, then the Transferor will transfer to the
Transferee Eligible Credit Support having a Value as of the date of transfer at
least equal to the applicable Delivery Amount (rounded pursuant to Paragraph
11(b)(iii)(D)). Unless otherwise specified in Paragraph 11(b), the "Delivery
Amount" applicable to the Transferor 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 the Transferor's Credit
Support Balance (adjusted to include any prior Delivery Amount and to
exclude any prior Return Amount, the transfer of which, in either case,
has not yet been completed and for which the relevant Settlement Day
falls on or after such Valuation Date).
(b) RETURN AMOUNT. Subject to Paragraphs 3 and 4, upon a demand made by the
Transferor on or promptly following a Valuation Date, if the Return Amount for
that Valuation Date equals or exceeds the Transferee's Minimum Transfer Amount,
then the Transferee will transfer to the Transferor Equivalent Credit Support
specified by the Transferor 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 11(b)(iii)(D)) and the Credit Support Balance will, upon
such transfer, be reduced accordingly. Unless otherwise specified in Paragraph
11(b), the "Return Amount" applicable to the Transferee for any Valuation Date
will equal the amount by which:
(i) the Value as of that Valuation Date of the Transferor's Credit
Support Balance (adjusted to include any prior Delivery Amount and to
exclude any prior Return Amount, the tranfer of which, in either case,
has not yet been completed and for which the relevant Settlement Day
falls on or after such Valuation Date)
exceeds
(ii) the Credit Support Amount.
PARAGRAPH 3. TRANSFERS, CALCULATIONS AND EXCHANGES
(a) TRANSFERS. All transfers under this Annex of any Eligible Credit Support,
Equivalent Credit Support, Interest Amount or Equivalent Distributions shall be
made in accordance with the instructions of the Transferee or Transferor, as
applicable, and shall be made:
(i) in the case of cash, by transfer into one or more bank accounts
specified by the recipient;
(ii) in the case of certificated securities which cannot or which the
parties have agreed will not be delivered by book-entry, by delivery in
appropriate physical form to the recipient or its account accompanied by
any duly executed instruments of transfer, transfer tax stamps and any
other documents necessary to constitute a legally valid transfer of the
transferring party's legal and beneficial title to the recipient; and
(iii) in the case of securities which the parties have agreed will be
delivered by book-entry, by the giving of written instructions
(including, for the avoidance of doubt, instructions given by telex,
facsimile transmission or electronic messaging system) to the relevant
depository institution or other entity specified by the recipient,
together with a written copy of the instructions to the recipient,
sufficient, if complied with, to result in a legally effective transfer
of the transferring party's legal and beneficial title to the recipient.
2
Subject to Paragraph 4 and unless otherwise specified, if a demand for the
transfer of Eligible Credit Support or Equivalent Credit Support is received by
the Notification Time, then the relevant transfer will be made not later than
the close of business on the Settlement Day relating to the date such demand is
received; if a demand is received after the Notification Time, then the relevant
transfer will be made not later than the close of business on the Settlement Day
relating to the day after the date such demand is received.
(b) CALCULATIONS. All calculations of Value and Exposure for purposes of
Paragraphs 2 and 4(a) will be made by the relevant Valuation Agent as of the
relevant 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 4(a), following the date of
calculation).
(c) EXCHANGES.
(i) Unless otherwise specified in Paragraph 11, the Transferor may on
any Local Business Day by notice inform the Transferee that it wishes to
transfer to the Transferee Eligible Credit Support specified in that
notice (the "New Credit Support") in exchange for certain Eligible
Credit Support (the "Original Credit Support") specified in that notice
comprised in the Transferor's Credit Support Balance.
(ii) If the Transferee notifies the Transferor that it has consented to
the proposed exchange, (A) the Transferor will be obliged to transfer
the New Credit Support to the Transferee on the first Settlement Day
following the date on which it receives notice (which may be oral
telephonic notice) from the Transferee of its consent and (B) the
Transferee will be obliged to transfer to the Transferor Equivalent
Credit Support in respect of the Original Credit Support not later than
the Settlement Day following the date on which the Transferee receives
the New Credit Support, unless otherwise specified in Paragraph 11(d)
(the "Exchange Date"); provided that the Transferee will only be obliged
to transfer Equivalent Credit Support with a Value as of the date of
transfer as close as practicable to, but in any event not more than, the
Value of the New Credit Support as of that date.
PARAGRAPH 4. DISPUTE RESOLUTION
(a) DISPUTED CALCULATIONS OR VALUATIONS. If a party (a "Disputing Party")
reasonably 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 Equivalent Credit Support, then:
(1) 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, in the case of
(I) above, the date that the demand is received under Paragraph 2 or, in
the case of (II) above, the date of transfer;
(2) in the case of (I) above, the appropriate party will transfer the
undisputed amount to the other party not later than the close of
business on the Settlement Day following the date that the demand is
received under Paragraph 2;
(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 11(e),
the Valuation Agent will recalculate the Exposure and the Value
as of the Recalculation Date by:
3
(A) utilising any calculations of that part of the Exposure
attributable to the Transactions that the parties have agreed are
not in dispute;
(B) calculating that part of the Exposure attributable to the
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, then fewer than four quotations may
be used for that Transaction, and if no quotations are available
for a particular Transaction, then the Valuation Agent's original
calculations will be used for the Transaction; and
(C) utilising the procedures specified in Paragraph 11(e)(ii) for
calculating the Value, if disputed, of the outstanding Credit
Support Balance;
(ii) in the case of a dispute involving the Value of any transfer of
Eligible Credit Support or Equivalent Credit Support, the Valuation Agent
will recalculate the Value as of the date of transfer pursuant to
Paragraph 11(e)(ii).
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) as
soon as possible but in any event not later than the Notification Time on the
Local Business Day following the Resolution Time. The appropriate party will,
upon demand following such notice given by the Valuation Agent or a resolution
pursuant to (3) above and subject to Paragraph 3(a), make the appropriate
transfer.
(b) NO EVENT OF DEFAULT. The failure by a party to make a transfer of any amount
which is the subject of a dispute to which Paragraph 4(a) applies will not
constitute an Event of Default for as long as the procedures set out in this
Paragraph 4 are being carried out. For the avoidance of doubt, upon completion
of those procedures, Section 5(a)(i) of this Agreement will apply to any failure
by a party to make a transfer required under the final sentence of Paragraph
4(a) on the relevant due date.
PARAGRAPH 5. TRANSFER OF TITLE, NO SECURITY INTEREST, DISTRIBUTIONS AND INTEREST
AMOUNT
(a) TRANSFER OF TITLE. Each party agrees that all right, title and interest in
and to any Eligible Credit Support, Equivalent Credit Support, Equivalent
Distributions or Interest Amount which it transfers to the other party under the
terms of this Annex shall vest in the recipient free and clear of any liens,
claims, charges or encumbrances or any other interest of the transferring party
or of any third person (other than a lien routinely imposed on all securities in
a relevant clearance system).
(b) NO SECURITY INTEREST. Nothing in this Annex is intended to create or does
create in favour of either party any mortgage, charge, lien, pledge, encumbrance
or other security interest in any cash or other property transferred by one
party to the other party under the terms of this Annex.
(c) DISTRIBUTIONS AND INTEREST AMOUNT.
(i) DISTRIBUTIONS. The Transferee will transfer to the Transferor not
later than the Settlement Day following each Distributions Date cash,
securities or other property of the same type, nominal value, description
and amount as the relevant Distributions ("Equivalent Distributions") to
the extent that a Delivery Amount would not be created or increased by
the transfer, as calculated by the Valuation Agent (and the date of
calculation will be deemed a Valuation Date for this purpose).
(ii) INTEREST AMOUNT. Unless otherwise specified in Paragraph 11(f)(iii),
the Transferee will transfer to the Transferor at the times specified in
Paragraph 11(f)(ii) the relevant Interest Amount to the extent that a
Delivery Amount would not be created or increased by the transfer, as
calculated by the Valuation Agent (and the date of calculation will be
deemed a Valuation Date for this purpose).
4
PARAGRAPH 6. DEFAULT
If an Early Termination Date is designated or deemed to occur as a result of an
Event of Default in relation to a party, an amount equal to the Value of the
Credit Support Balance, determined as though the Early Termination Date were a
Valuation Date, will be deemed to be an Unpaid Amount due to the Transferor
(which may or may not be the Defaulting Party) for purposes of Section 6(e). For
the avoidance of doubt, if Market Quotation is the applicable payment measure
for purposes of Section 6(e), then the Market Quotation determined under Section
6(e) in relation to the Transaction constituted by this Annex will be deemed to
be zero, and, if Loss is the applicable payment measure for purposes of Section
6(e), then the Loss determined under Section 6(e) in relation to the Transaction
will be limited to the Unpaid Amount representing the Value of the Credit
Support Balance.
PARAGRAPH 7. REPRESENTATION
Each party represents to the other party (which representation will be deemed to
be repeated as of each date on which it transfers Eligible Credit Support,
Equivalent Credit Support or Equivalent Distributions) that it is the sole owner
of or otherwise has the right to transfer all Eligible Credit Support,
Equivalent Credit Support or Equivalent Distributions it transfers to the other
party under this Annex, free and clear of any security interest, lien,
encumbrance or other restriction (other than a lien routinely imposed on all
securities in a relevant clearance system).
PARAGRAPH 8. EXPENSES
Each party will pay its own costs and expenses (including any stamp, transfer or
similar transaction tax or duty payable on any transfer it is required to make
under this Annex) in connection with performing its obligations under this
Annex, and neither party will be liable for any such costs and expenses incurred
by the other party.
PARAGRAPH 9. MISCELLANEOUS
(a) DEFAULT INTEREST. Other than in the case of an amount which is the subject
of a dispute under Paragraph 4(a), if a Transferee fails to make, when due, any
transfer of Equivalent Credit Support, Equivalent Distributions or the Interest
Amount, it will be obliged to pay the Transferor (to the extent permitted under
applicable law) an amount equal to interest at the Default Rate multiplied by
the Value on the relevant Valuation Date of the items of property that were
required to be transferred, from (and including) the date that the Equivalent
Credit Support, Equivalent Distributions or Interest Amount were required to be
transferred to (but excluding) the date of transfer of the Equivalent Credit
Support, Equivalent Distributions or Interest Amount. This interest will be
calculated on the basis of daily compounding and the actual number of days
elapsed.
(b) 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.
(c) DEMANDS AND NOTICES. All demands and notices given by a party under this
Annex will be given as specified in Section 12 of this Agreement.
(d) SPECIFICATIONS OF CERTAIN MATTERS. Anything referred to in this Annex as
being specified in Paragraph 11 also may be specified in one or more
Confirmations or other documents and this Annex will be construed accordingly.
5
PARAGRAPH 10. DEFINITIONS
As used in this Annex:
"BASE CURRENCY" means the currency specified as such in Paragraph 11(a)(i).
"BASE CURRENCY EQUIVALENT" means, with respect to an amount on a Valuation Date,
in the case of an amount denominated in the Base Currency, such Base Currency
amount and, in the case of an amount denominated in a currency other than the
Base Currency (the "Other Currency"), the amount of Base Currency required to
purchase such amount of the Other Currency at the spot exchange rate determined
by the Valuation Agent for value on such Valuation Date.
"CREDIT SUPPORT AMOUNT" means, with respect to a Transferor on a Valuation Date,
(i) the Transferee's Exposure plus (ii) all Independent Amounts applicable to
the Transferor, if any, minus (iii) all Independent Amounts applicable to the
Transferee, if any, minus (iv) the Transferor'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.
"CREDIT SUPPORT BALANCE" means, with respect to a Transferor on a Valuation
Date, the aggregate of all Eligible Credit Support that has been transferred to
or received by the Transferee under this Annex, together with any Distributions
and all proceeds of any such Eligible Credit Support or Distributions, as
reduced pursuant to Paragraph 2(b), 3(c)(ii) or 6. Any Equivalent Distributions
or Interest Amount (or portion of either) not transferred pursuant to Paragraph
5(c)(i) or (ii) will form part of the Credit Support Balance.
"DELIVERY AMOUNT" has the meaning specified in Paragraph 2(a).
"DISPUTING PARTY" has the meaning specified in Paragraph 4.
"DISTRIBUTIONS" means, with respect to any Eligible Credit Support comprised in
the Credit Support Balance consisting of securities, all principal, interest
and other payments and distributions of cash or other property to which a
holder of securities of the same type, nominal value, description and amount as
such Eligible Credit Support would be entitled from time to time.
"DISTRIBUTIONS DATE" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance other than cash, each date on which a
holder of such Eligible Credit Support is entitled to receive Distributions or,
if that date is not a Local Business Day, the next following Local Business Day.
"ELIGIBLE CREDIT SUPPORT" means, with respect to a party, the items, if any,
specified as such for that party in Paragraph 11(b)(ii) including, in relation
to any securities, if applicable, the proceeds of any redemption in whole or in
part of such securities by the relevant issuer.
"ELIGIBLE CURRENCY" means each currency specified as such in Paragraph
11(a)(ii), if such currency is freely available.
"EQUIVALENT CREDIT SUPPORT" means, in relation to any Eligible Credit Support
comprised in the Credit Support Balance, Eligible Credit Support of the same
type, nominal value, description and amount as that Eligible Credit Support.
"EQUIVALENT DISTRIBUTIONS" has the meaning specified in Paragraph 5(c)(i).
"EXCHANGE DATE" has the meaning specified in Paragraph 11(d).
"EXPOSURE" means, with respect to a party on a Valuation Date and subject to
Paragraph 4 in the case of a dispute, the amount, if any, that would be payable
to that party by the other party (expressed as a positive
6
number) or by that party to the other party (expressed as a negative number)
pursuant to Section 6(e)(ii)(1) of this Agreement if all Transactions (other
than the Transaction constituted by this Annex) were being terminated as of the
relevant Valuation Time, on the basis that (i) that party is not the Affected
Party and (ii) the Base Currency is the Termination Currency; provided that
Market Quotations will be determined by the Valuation Agent on behalf of that
party 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 Base Currency
Equivalent of the amount specified as such for that party in Paragraph
11(b)(iii)(A); if no amount is specified, zero.
"INTEREST AMOUNT" means, with respect to an Interest Period, the aggregate sum
of the Base Currency Equivalents of the amounts of interest determined for each
relevant currency and calculated for each day in that Interest Period on the
principal amount of the portion of the Credit Support Balance comprised of cash
in such currency, determined by the Valuation Agent for each such day as
follows:
(x) the amount of cash in such currency on that day; multiplied by
(y) the relevant Interest Rate in effect for that day; divided by
(z) 360 (or, in the case of pounds sterling, 365).
"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 Eligible Credit Support or
Equivalent Credit Support in the form of cash was transferred to or received by
the Transferee) to (but excluding) the Local Business Day on which the current
Interest Amount is transferred.
"INTEREST RATE" means, with respect to an Eligible Currency, the rate specified
in Paragraph 11(f)(i) for that currency.
"LOCAL BUSINESS DAY", unless otherwise specified in Paragraph 11(h), means:
(i) in relation to a transfer of cash or other property (other than
securities) under this Annex, a day on which commercial banks are open
for business (including dealings in foreign exchange and foreign currency
deposits) in the place where the relevant account is located and, if
different, in the principal financial centre, if any, of the currency of
such payment;
(ii) in relation to a transfer of securities under this Annex, a day on
which the clearance system agreed between the parties for delivery of the
securities is open for the acceptance and execution of settlement
instructions or, if delivery of the securities is contemplated by other
means, a day on which commercial banks are open for business (including
dealings in foreign exchange and foreign currency deposits) in the
place(s) agreed between the parties for this purpose;
(iii) in relation to a valuation under this Annex, a day on which
commercial banks are open for business (including dealings in foreign
exchange and foreign currency deposits) in the place of location of the
Valuation Agent and in the place(s) agreed between the parties for this
purpose; and
(iv) in relation to any notice or other communication under this Annex, a
day on which commercial banks are open for business (including dealings
in foreign exchange and foreign currency deposits) in the place specified
in the address for notice most recently provided by the recipient.
"MINIMUM TRANSFER AMOUNT" means, with respect to a party, the amount specified
as such for that party in Paragraph 11(b)(iii)(C); if no amount is specified,
zero.
7
"NEW CREDIT SUPPORT" has the meaning specified in Paragraph 3(c)(i).
"NOTIFICATION TIME" has the meaning specified in Paragraph 11(c)(iv).
"RECALCULATION DATE" means the Valuation Date that gives rise to the dispute
under Paragraph 4; provided, however, that if a subsequent Valuation Date occurs
under Paragraph 2 prior to the resolution of the dispute, then the
"RECALCULATION DATE" means the most recent Valuation Date under Paragraph 2.
"RESOLUTION TIME" has the meaning specified in Paragraph 11(e)(i).
"RETURN AMOUNT" has the meaning specified in Paragraph 2(b).
"SETTLEMENT DAY" means, in relation to a date, (i) with respect to a transfer of
cash or other property (other than securities), the next Local Business Day and
(ii) with respect to a transfer of securities, the first Local Business Day
after such date on which settlement of a trade in the relevant securities, if
effected on such date, would have been settled in accordance with customary
practice when settling through the clearance system agreed between the parties
for delivery of such securities or, otherwise, on the market in which such
securities are principally traded (or, in either case, if there is no such
customary practice, on the first Local Business Day after such date on which it
is reasonably practicable to deliver such securities).
"THRESHOLD" means, with respect to a party, the Base Currency Equivalent of the
amount specified as such for that party in Paragraph 11(b)(iii)(B); if no amount
is specified, zero.
"TRANSFEREE" means, in relation to each Valuation Date, the party in respect of
which Exposure is a positive number and, in relation to a Credit Support
Balance, the party which, subject to this Annex, owes such Credit Support
Balance or, as the case may be, the Value of such Credit Support Balance to the
other party.
"TRANSFEROR" means, in relation to a Transferee, the other party.
"VALUATION AGENT" has the meaning specified in Paragraph 11(c)(i).
"VALUATION DATE" means each date specified in or otherwise determined pursuant
to Paragraph 11(c)(ii).
"VALUATION PERCENTAGE" means, for any item of Eligible Credit Support, the
percentage specified in Paragraph 11(b)(ii).
"VALUATION TIME" has the meaning specified in Paragraph 11(c)(iii).
"VALUE" means, for any Valuation Date or other date for which Value is
calculated, and subject to Paragraph 4 in the case of a dispute, with respect
to:
(i) Eligible Credit Support comprised in a Credit Support Balance that
is:
(A) an amount of cash, the Base Currency Equivalent of such amount
multiplied by the applicable Valuation Percentage, if any; and
(B) a security, the Base Currency Equivalent of the bid price
obtained by the Valuation Agent multiplied by the applicable
Valuation Percentage, if any; and
(ii) items that are comprised in a Credit Support Balance and are not
Eligible Credit Support, zero.
8
1. [Swap Provider as Party A]
PARAGRAPH 11. ELECTIONS AND VARIABLES
(a) BASE CURRENCY AND ELIGIBLE CURRENCY.
(i) "BASE CURRENCY" means GBP.
"ELIGIBLE CURRENCY" means the Base Currency and U.S. Dollars/Euro.
It is agreed by the parties that where the Credit Support Amount is
transferred in a currency other than the Base Currency, the Valuation
Percentage for each item listed as Eligible Credit Support in Paragraph
11(b)(ii) shall be reduced by a percentage agreed by the parties and
approved by the relevant Rating Agency ("ADDITIONAL VALUATION
PERCENTAGE"), which, in the case of S&P, will be 6% or such lower
percentage as agreed by the parties and approved by S&P. For the purpose
of this Annex, references to the "RELEVANT RATING AGENCY" shall mean the
Rating Agency whose criteria will be used to determine the amount of
Eligible Credit Support that Party A is required to transfer to Party B
following a credit ratings downgrade of Party A.
(b) CREDIT SUPPORT OBLIGATIONS.
(i) DELIVERY AMOUNT, RETURN AMOUNT AND CREDIT SUPPORT AMOUNT.
(A) "DELIVERY AMOUNT" has the meaning specified in Paragraph
2(a), except that the words "upon a demand made by the
Transferee on or promptly following a Valuation Date" shall
be deleted and replaced by the words "on each Valuation
Date".
(B) "RETURN AMOUNT" has the meaning specified in Paragraph
2(b).
(C) "CREDIT SUPPORT AMOUNT" has the meaning given to such term
in respect of the S&P Criteria, Moody's Criteria or Fitch
Criteria, as applicable, as set out in Paragraph 11(h)(v)
below. In circumstances where more than one of the Ratings
Criteria apply to Party A, the Credit Support Amount shall
be calculated by reference to the Ratings Criteria which
would result in Party A transferring the greatest amount of
Eligible Credit Support. Under no circumstances will Party
A be required to transfer more Eligible Credit Support than
the greatest amount calculated in accordance with the
Ratings Criteria set out below.
9
(ii) ELIGIBLE CREDIT SUPPORT. The following items will qualify as "ELIGIBLE
CREDIT SUPPORT" for Party A:
VALUATION PERCENTAGE
(A) cash in an Eligible Currency 100 per cent.
(B) negotiable debt obligations issued by the for the purposes of S&P, 98.5 per cent.;
Government of the United Kingdom or for the purposes of Moody's, 98 per cent.; and for
the United States of America (with local and the purposes of Fitch, the Advance Rate for the
foreign currency issuer ratings relevant type of obligation and time to
equal to or greater than "AA-" by S&P, "AA-" by maturity as specified in the Appendix hereto
Fitch and "Aa3" by Moody's) (as amended by Fitch from time to time) (the
having a remaining time to maturity of not "ADVANCE RATE").
more than one year;
(C) negotiable debt obligations issued by the Government for the purposes of S&P, 92 per cent.;
of the United Kingdom or for the purposes of Moody's,
the United States of America (with local and 94 per cent.; and for the
foreign currency issuer ratings purposes of Fitch, the Advance Rate.
equal to or greater than "AA-" by S&P, "AA-" by
Fitch and "Aa3" by Moody's) having a
remaining time to maturity of more than
one year but not more than 5 years;
(D) negotiable debt obligations issued by the for the purposes of S&P, 85.4 per
Government of the United Kingdom or cent.; for
the United States of America (with local and the purposes of Moody's,
foreign currency issuer ratings 91 per cent.; and for the purposes of Fitch,
equal to or greater than "AA-" by S&P, the Advance Rate.
"AA-" by Fitch and "Aa3" by Moody's)
having a remaining time to maturity of more than
5 years but not more than 10 years;
(E) negotiable debt obligations issued by the for the purposes of S&P, 77.5 per
Government of the United Kingdom or cent.; for
the United States of America (with local and the purposes of Moody's,
foreign currency issuer ratings 77.5 per cent.; and for the purposes of
equal to or greater than "AA-" by S&P, Fitch, the Advance Rate.
"AA-" by Fitch and "Aa3" by Moody's)
having a remaining time to maturity of more
than 10 years but not more than 15 years; or
(F) such other items as agreed between Party such Valuation Percentage as
A and the Rating Agencies, from time agreed between Party A and the
to time, which Party B can lawfully receive Rating Agencies from time to
from, and transfer back to, Party A time in respect of such Eligible Credit
as required, that will qualify as Eligible Support.
Credit Support.
Where the ratings and/or the Valuation Percentages of the relevant Rating
Agencies differ with respect to the same negotiable debt obligation, for
the purposes of B to E above the lower of the ratings and/or the
Valuation Percentages, as the case may be, shall apply.
10
(iii) THRESHOLDS.
(A) "INDEPENDENT AMOUNT" means, for Party A and Party B, with
respect to each Transaction, zero.
(B) "THRESHOLD" means, for Party A:
infinity, unless any of an Initial S&P Rating Event, a
Subsequent S&P Rating Event, an Initial Moody's Rating
Event, a Subsequent Moody's Rating Event, an Initial Fitch
Rating Event, a First Subsequent Fitch Rating Event or a
Second Subsequent Fitch Rating Event has occurred and is
continuing and Party A has not taken alternative action as
contemplated by Part 5(f) of the Schedule to the Agreement,
in which case the Threshold for Party A shall be zero; and
"THRESHOLD" means, for Party B: infinity
(C) "MINIMUM TRANSFER AMOUNT" means, with respect to Party A
and Party B, GBP 50,000, provided that if (1) an Event of
Default has occurred and is continuing in respect of which
Party A is the Defaulting Party, or (2) an Additional
Termination Event has occurred in respect of which Party A
is an Affected Party, the Minimum Transfer Amount with
respect to Party A shall be zero.
(D) "ROUNDING". The Delivery Amount and the Return Amount will
be rounded up and down to the nearest integral multiple of
GBP 10,000 respectively, subject to the maximum Return
Amount being equal to the Credit Support Balance.
(c) VALUATION AND TIMING.
(i) "VALUATION AGENT" means Party A in all circumstances.
(ii) "VALUATION DATE" means each Local Business Day.
(iii) "VALUATION TIME" means the close of business on the Local Business
Day immediately preceding the Valuation Date or date of
calculation, as applicable, provided that the calculations of Value
and Exposure will be made as of approximately the same time on the
same date.
(iv) "NOTIFICATION TIME" means by 4:00 p.m., London time, on a Local
Business Day.
(d) EXCHANGE DATE. "EXCHANGE DATE" has the meaning specified in Paragraph
3(c)(ii).
(e) DISPUTE RESOLUTION.
(i) "RESOLUTION TIME" means 4:00 p.m., London time, on the Local
Business Day following the date on which notice is given that gives
rise to a dispute under Paragraph 4.
(ii) VALUE. For the purpose of Paragraphs 4(a)(4)(i)(C) and
4(a)(4)(ii), the Value of the outstanding Credit Support Balance or
of any transfer of Eligible Credit Support or Equivalent Credit
Support, as the case may be, on the relevant date will be
calculated as follows:
(A) with respect to any Eligible Credit Support or Equivalent
Credit Support comprising securities ("SECURITIES") the Base
Currency Equivalent of the sum of:
11
(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 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 (which shall not be and
shall be independent from the Valuation Agent) for such
Securities chosen by the Valuation Agent, multiplied by the
applicable Valuation Percentage, or (z) if no such bid price
is able to be obtained for such date under sub-paragraphs
(x) or (y) above, the last bid price listed determined
pursuant to sub-paragraph (x), or failing which
sub-paragraph (y), as of the day next preceding such date on
which such prices were available, multiplied by the
applicable Valuation Percentage; and
(b) the accrued interest where applicable on such Securities
(except to the extent that such interest shall have been
paid to the Transferor pursuant to Paragraph 5(c)(ii) or
included in the applicable price referred to in Paragraph
11(e)(ii)(A)(a) above) as of such date,
provided that it is understood that in no circumstances shall the
Transferee be required to transfer a Return Amount in excess of
the Credit Support Balance;
(B) with respect to any Cash, the Base Currency Equivalent of the
amount thereof; and
(C) with respect to any Eligible Credit Support or Equivalent Credit
Support other than Securities and Cash, the Base Currency
Equivalent of the fair market value thereof on such date, as
determined in any reasonable manner chosen by the Valuation
Agent, multiplied by the applicable Valuation Percentage.
(iii) ALTERNATIVE. The provisions of Paragraph 4 will apply.
(f) DISTRIBUTION AND INTEREST AMOUNT.
(i) INTEREST RATE. The "INTEREST RATE" in relation to each Eligible
Currency specified below will be:
Eligible Currency Interest Rate
USD For the relevant determination date, the
effective federal funds rate in U.S. Dollars
published on Telerate Page 118 or any
successor page for the relevant day at the
close of business in New York on such day.
EUR For the relevant determination date, "EONIA",
which means the overnight rate as calculated
by the European Central Bank for such day, as
set forth on Telerate Page 247 or any
successor page.
GBP For the relevant determination date, "SONIA",
which means the reference rate equal to the
overnight rate as calculated by the Wholesale
Markets Brokers' Association which appears on
Telerate Page 3937 or any successor page
under the heading "Sterling Overnight Index"
as of 9.00 a.m., London time, on the first
London Banking Day following that day.
12
(ii) TRANSFER OF INTEREST AMOUNT. The transfer of the Interest Amount will
be made on the first Local Business Day following the end of each
calendar month, provided that: (1) Party B has earned and received
such amount of interest, and (2) a Delivery Amount would not arise as
a result of, or if already existing, would not be increased by, such
transfer on such date or on any other Local Business Day on which
Equivalent Credit Support is to be transferred to the Transferor
pursuant to Paragraph 2(b).
(iii) ALTERNATIVE TO INTEREST AMOUNT. The provisions of Paragraph 5(c)(ii)
will apply. For the purposes of calculating the Interest Amount the
amount of interest calculated for each day of the Interest Period
shall, with respect to any Eligible Currency, be compounded daily.
(iv) INTEREST AMOUNT. The definition of "INTEREST AMOUNT" in Paragraph 10
shall be deleted and replaced with the following:
""INTEREST AMOUNT" means, with respect to an Interest Period and each
portion of the Credit Support Balance comprised of cash in an Eligible
Currency, the sum of the amounts of interest determined for each day
in that Interest Period by the Valuation Agent as follows:
(x) the amount of such currency comprised in the Credit Support
Balance at the close of business for general dealings in the
relevant currency on such day (or, if such day is not a Local
Business Day, on the immediately preceding Local Business Day);
multiplied by
(y) the relevant Interest Rate; divided by
(z) 360 (or in the case of Pounds Sterling, 365)."
(v) "DISTRIBUTIONS" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance consisting of securities, all
principal, interest and other payments and distributions of cash or
other property to which a holder of securities of the same type,
nominal value, description and amount as such Eligible Credit Support
would have received from time to time.
(vi) "DISTRIBUTION DATE" means, with respect to any Eligible Credit Support
comprised in the Credit Support Balance other than cash, each date on
which a holder of such Eligible Credit Support would have received
Distributions or, if that date is not a Local Business Day, the next
following Local Business Day.
(g) ADDRESSES FOR TRANSFERS.
Party A: To be advised.
Party B: To be advised.
(a) OTHER PROVISIONS.
(i) TRANSFER TIMING
(A) The final paragraph of Paragraph 3(a) shall be deleted and
replaced with the following:
13
"Subject to Paragraph 4, and unless otherwise specified, any
transfer of Eligible Credit Support or Equivalent Credit Support
(whether by the Transferor pursuant to Paragraph 2(a) or by the
Transferee pursuant to Paragraph 2(b)) shall be made not later
than the close of business on the Settlement Day."
(B) The definition of Settlement Day shall be deleted and replaced
with the following:
"SETTLEMENT DAY" means: in respect of a transfer of securities
the first Local Business Day after the Demand Date on which
settlement of a trade in the relevant securities, if effected on
the Demand Date, would have occurred in accordance with customary
practice when settling through the clearance system agreed
between the parties for delivery of such securities or,
otherwise, on the market on which such securities are principally
traded (or, in either case, if there is not such customary
practice, on the first Local Business Day after the Demand Date
on which it is reasonably practicable to deliver such
securities); and in respect of any other transfer the next Local
Business Day after the Demand Date.
(C) For the purposes of this Paragraph 11(h)(i):
"DEMAND DATE" means, with respect to a transfer by a party:
(i) in the case of a transfer pursuant to Paragraph 2, Paragraph
3 or Paragraph 4(a)(2), the relevant Valuation Date
(assuming that, in the case of any transfer to be made by
the Transferee, the Transferee has received a demand on such
date from the Transferor). For the purposes of Paragraph 2
and Paragraph 4(a)(2), the Transferor will be deemed to
receive notice of the demand by the Transferee to make a
transfer of Eligible Credit Support;
(ii) in the case of a transfer pursuant to Paragraph 3(c)(ii)(A),
the date on which the Transferee has given its consent to
the proposed exchange; and
(iii) in the case of a transfer pursuant to Paragraph 5(c)(i),
the Distributions Date.
On each Demand Date the Transferor shall deliver to the
Transferee and the Note Trustee a statement showing the amount of
Eligible Credit Support to be delivered.
(ii) EARLY TERMINATION
The heading of Paragraph 6 shall be deleted and replaced with "Early
Termination", the words "or a Termination Event where all Transactions
are Affected Transactions" shall be added after the word "party" in
the second line of Paragraph 6, and the words "or an Affected Party"
shall be added after the words "Defaulting Party" in the fourth line
of Paragraph 6.
(iii) COSTS OF TRANSFER ON EXCHANGE
Notwithstanding Paragraph 8, the Transferor will be responsible for,
and will reimburse the Transferee for, all costs and expenses
(including any stamp, transfer or similar transaction tax or duty
payable on any transfer that it is required to make under this Annex)
in connection with performing both its and the Transferee's
obligations under this Annex, including but not limited to those
involved in the transfer of Eligible Credit Support or Equivalent
Credit Support either from the Transferor to the Transferee or from
the Transferee to the Transferor hereto.
14
(iv) SINGLE TRANSFEROR AND SINGLE TRANSFEREE
Party A and Party B agree that, notwithstanding anything to the
contrary in this Annex, (a) the term "Transferee" as used in this
Annex means only Party B, and (b) the term "Transferor" as used in
this Annex means only Party A.
(v) "RATINGS CRITERIA" means, for the purposes of determining the amount
of Eligible Credit Support that Party A is required to transfer
hereunder following a credit ratings downgrade where Party A has opted
to or is required to transfer Eligible Credit Support in support of
its obligations under the Agreement, the criteria used by S&P (as set
out in S&P's Structured Finance reports entitled "Standard & Poor's
Global Interest Rate and Currency Swap Counterparty Rating Criteria
Expanded" dated 17 December 2003 and "Global Interest Rate and
Currency Swaps: Calculating the Collateral Required Amount" dated 26
February 2004) ("S&P CRITERIA"), the criteria used by Moody's as at
the date of the Agreement ("MOODY'S CRITERIA") and/or the criteria
used by Fitch (as set out in Fitch's Structured Finance Report
entitled "Counterparty Risk in Structured Finance Transactions: Swap
Criteria" dated 13 September 2004) ("FITCH CRITERIA"), in respect of
each of which the definition of "Credit Support Amount" is set out
below.
MOODY'S CRITERIA
"CREDIT SUPPORT AMOUNT" shall be calculated in accordance with the
meaning specified in Paragraph 10, provided however, that the words
"plus the Moody's Collateral Amount" shall be added after the words
"Transferee's Exposure" in the second line thereof.
For such purposes "MOODY'S COLLATERAL AMOUNT" shall mean with respect
to a Valuation Date, an amount calculated in accordance with Appendix
B attach hereto.
S&P CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean an amount calculated in accordance
with the following:
The definition of "Exposure" in Paragraph 10 with respect to Party B
shall be amended to mean the following: the sum of (A) the greater of
zero and the aggregate of the Unadjusted Exposures calculated with
respect to each Transaction plus (B) the aggregate Volatility Buffer
Amount calculated with respect to all such Transactions;
where, for purposes of the foregoing:
(A) "UNADJUSTED EXPOSURE" means the Exposure of Party B as of any date
of determination calculated in accordance with the definition of
"Exposure" prior to amendment in accordance with the provisions of
this Paragraph 11(h)(v);
(B) "VOLATILITY BUFFER" means, with respect to any Transaction at any
time, the applicable percentage as specified in the applicable table
(taking into account the rating of the most senior class of Notes, the
rating of the short term senior unsecured debt obligations of Party A
and the remaining period to the Termination Date of each Transaction
at the time such Volatility Buffer falls to be determined) set out in
the publication by S&P dated 17 December 2003 entitled "Global
Interest Rate and Currency Swaps: Counterparty Rating Criteria
expanded" and the publication by S&P dated 26 February 2004 entitled
"Global Interest Rate and Currency Swaps: Calculating the Collateral
Required Amount". [3]:
15
(C) "VOLATILITY BUFFER AMOUNT" means, with respect to any Transaction
at any time, the applicable Volatility Buffer multiplied by the
Notional Amount, in each case with respect to such Transaction at such
time.
(D) "SPECIFIED DEBT OBLIGATIONS" means unsecured and unsubordinated
debt obligations.
FITCH CRITERIA
"CREDIT SUPPORT AMOUNT" shall mean at any time for the purposes of the
Fitch Criteria with respect to a Transferor on a Valuation Date the
result of the following formula:
max [MV plus VC x 105 per cent multiplied by N; 0]
where:
"MAX" means maximum;
"MV" means the Transferee's Exposure;
"VC" means the applicable volatility cushion at that time determined
by reference to the table headed "Volatility Cushion (%)" appearing at
the end of Appendix 2 to the Fitch Ratings Criteria (and for such
purpose calculating the relevant Weighted Average Life assuming a zero
prepayment rate and zero default rate in relation to the mortgages
beneficially owned by Party B); and
"N" means the Transaction Notional Amount at that time.
(vi) CALCULATIONS
Paragraph 3(b) of this Annex shall be amended by inserting the words
"and shall provide each party (or the other party, if the Valuation
Agent is a party) with a description in reasonable detail of how such
calculations were made, upon reasonable request" after the word
"calculations" in the third line thereof.
(vii) DEMANDS AND NOTICES
All demands, specifications and notices under this Annex will be made
pursuant to Section 12 of this Agreement.
16
(viii) EXPOSURE
For the purpose of calculating Exposure pursuant to the meaning set
out in Paragraph 10 of the Annex, the Valuation Agent shall, unless
otherwise agreed in writing by the Rating Agencies, seek two
quotations from Reference Market-makers, provided that if two
Reference Market-makers are not available to provide a quotation, then
fewer than two Reference Market-makers may be used for such purpose,
and if no Reference Market-maker is available, then the Valuation
Agent's estimate at mid-market will be used. Where more than one
quotation is obtained, the quotation representing the greatest amount
of the Transferee's Exposure shall be used by the Valuation Agent.
(ix) PARAGRAPH 6
For the purposes of determining the Credit Support Balance pursuant to
Paragraph 6, the definition of Value in Paragraph 10 shall be amended
by deleting the words "multiplied by the applicable Valuation
Percentage, if any" from sub-paragraphs (i)(A) and (i)(B).
(x) DISTRIBUTIONS
"Distributions" has the meaning specified in Paragraph 10, except that the words
"to which a holder of securities of the same type, nominal value, description
and amount as such Eligible Credit Support would be entitled from time to time"
shall be deleted and replaced by the words "received by the Transferee in
respect of such Eligible Credit Support".
"Distribution Date" has the meaning specified in Paragraph 10, except that the
words "a holder of such Eligible Credit Support is entitled to receive
Distributions" shall be deleted and replaced by the words "Distributions are
received by the Transferee".
(iv) DEFINITIONS
As used in this Annex, the following terms shall mean:
"FITCH" means Fitch Ratings Ltd and includes any successors thereto;
"MOODY'S" means Moody's Investors Service Limited and includes any
successors thereto;
"RATING AGENCIES" means Moody's, S&P and Fitch;
"S&P" means Standard & Poor's Rating Services, a division of The
McGraw-Hill Companies Inc. and includes any successors thereto;
"TRANSACTION" means the Series 1 Class A cross-currency swap
transaction entered into between the parties on 21 February, 2007
under the Agreement.
"TRANSACTION NOTIONAL AMOUNT" means, in respect of a Valuation Date,
the Currency Amount applicable to Party A in respect of the
Transaction as at such Valuation Date.
17
APPENDIX A
FITCH ADVANCE RATES
NEGOTIABLE DEBT OBLIGATIONS NEGOTIABLE DEBT
ISSUED BY THE GOVERNMENT OBLIGATIONS ISSUED BY THE GOVERNMENT OF
OF THE UNITED KINGDOM (%) THE UNITED STATES OF AMERICA (%)
REMAINING MATURITY
(YEARS)
0-1 98 98.5
1-3 96 96.5
3-5 94.5 94.5
5-7 93 93
7-10 92 92
10-15 89 90
18
EXECUTION COPY
APPENDIX B
TABLE 1A
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S FIRST TRIGGER REQUIRED RATINGS
With respect to a Valuation Date, "MOODY'S COLLATERAL AMOUNT" shall be
determined as set out below (unless Party A is required to post collateral
pursuant to Part 1(j)(d)(II) of the Schedule to the Agreement, in which case the
provisions for determining the Moody's Collateral Amount in such circumstances
are set out in Table 2A below):
(1) In the event Party A has not elected and is not required to post collateral
pursuant to Part 1(j)(d)(I) of the Schedule, then the "Moody's Collateral
Amount" shall be zero.
(2) In the event Party A elects or is required to post collateral pursuant to
Part 1(j)(d)(I) of the Schedule, then the "MOODY'S COLLATERAL AMOUNT"
means, with respect to a Valuation Date and any Transaction which is an
Interest Rate Swap Transaction which remains extant as at such Valuation
Date, an amount equal to either:
(A) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which are Interest Rate Swap Transactions which remain extant
as at such Valuation Date (as determined by Party A in good faith on such
Valuation Date) and (b) the lesser of (I) the sum of (x) 1.00% multiplied
by the current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date and (y) 10 multiplied by DV01 the current
aggregate notional balance of all Transactions which remain extant as at
such Valuation Date, and (II) 2.5% multiplied by the current aggregate
notional balance of all Transactions which remain extant as at such
Valuation Date; or
(B) the greater of (1) zero, and (2) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined
by Party A in good faith on such Valuation Date) and (b) the product of (x)
the current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date and (y) the percentage specified in Table
1B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DV01" means an estimate (as determined by Party A) of the change in the Secured
Party's Exposure resulting from a one basis point change in the swap curve, as
determined by the Valuation Agent in good faith and in a commercially reasonable
manner in accordance with the relevant customary methodology used by the
Valuation Agent.
19
TABLE 1B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
------------------------------------
1 or less 1.10%
More than 1 but not more than 2 1.20%
More than 2 but not more than 3 1.30%
More than 3 but not more than 4 1.40%
More than 4 but not more than 5 1.50%
More than 5 but not more than 6 1.60%
More than 6 but not more than 7 1.60%
More than 7 but not more than 8 1.70%
More than 8 but not more than 9 1.80%
More than 9 but not more than 10 1.90%
More than 10 but not more than 11 1.90%
More than 11 but not more than 12 2.00%
More than 12 but not more than 13 2.10%
More than 13 but not more than 14 2.10%
More than 14 but not more than 15 2.20%
More than 15 but not more than 16 2.30%
More than 16 but not more than 17 2.30%
More than 17 but not more than 18 2.40%
More than 18 but not more than 19 2.40%
More than 19 but not more than 20 2.50%
More than 20 but not more than 21 2.50%
More than 21 but not more than 22 2.50%
More than 22 but not more than 23 2.50%
More than 23 but not more than 24 2.50%
More than 24 but not more than 25 2.50%
More than 25 but not more than 26 2.50%
More than 26 but not more than 27 2.50%
More than 27 but not more than 28 2.50%
More than 28 but not more than 29 2.50%
More than 29 but not more than 30 2.50%
20
TABLE 2B
MOODY'S COLLATERAL AMOUNT
FOLLOWING DOWNGRADE BY MOODY'S BELOW
MOODY'S SECOND TRIGGER REQUIRED RATINGS
In the event Party A is required to post collateral pursuant to Part 5(f)(ii) of
the Schedule to the Agreement, then the "MOODY'S COLLATERAL AMOUNT" means, with
respect to a Valuation Date and any Transactions which are Interest Rate Swap
Transactions which remain extant as at such Valuation Date, an amount equal to
either:
(A) the greater of (1) zero, (2) the amount payable by Party A in respect of the
next Floating Rate Payer Payment Date and (3) the sum of:
(x) the MTM of all Transactions which are Interest Rate Swap Transactions
which remain extant as at such Valuation Date (as determined by Party A in
good faith on such Valuation Date); and
(y) the lesser of (I) the sum of (a) 6% multiplied by the current aggregate
notional balance of all Transactions which remain extant as at such
Valuation Date and (b) 30 multiplied by DV01, and (II) 11% multiplied by
the current aggregate notional balance of all Transactions which remain
extant as at such Valuation Date; or
(B) the greater of (1) zero, (2) the amount payable by Party A in respect of the
next Floating Rate Payer Payment Date and (3) the sum of (a) the MTM of all
Transactions which remain extant as at such Valuation Date (as determined by
Party A in good faith on such Valuation Date) and (b) the product of (x) the
current aggregate notional balance of all Transactions which remain extant as at
such Valuation Date and (y) the percentage specified in Table 2B below.
Party A shall, in its sole discretion, have the option to determine the Moody's
Collateral Amount based upon either (A) or (B) above.
"DVO1" means an estimate (as determined by Party A) of the change in the Secured
Party's Exposure resulting from a one basis point change in the swap curve, as
determined by the Valuation Agent in good faith and in a commercially reasonable
manner in accordance with the relevant customary methodology used by the
Valuation Agent..
21
TABLE 2B
WEIGHTED AVERAGE
LIFE OF HEDGE
IN YEARS
----------------------------------
1 or less 6.10%
More than 1 but not more than 2 6.30%
More than 2 but not more than 3 6.40%
More than 3 but not more than 4 6.60%
More than 4 but not more than 5 6.70%
More than 5 but not more than 6 6.80%
More than 6 but not more than 7 7.00%
More than 7 but not more than 8 7.10%
More than 8 but not more than 9 7.20%
More than 9 but not more than 10 7.30%
More than 10 but not more than 11 7.40%
More than 11 but not more than 12 7.50%
More than 12 but not more than 13 7.60%
More than 13 but not more than 14 7.70%
More than 14 but not more than 15 7.80%
More than 15 but not more than 16 7.90%
More than 16 but not more than 17 8.00%
More than 17 but not more than 18 8.10%
More than 18 but not more than 19 8.20%
More than 19 but not more than 20 8.20%
More than 20 but not more than 21 8.30%
More than 21 but not more than 22 8.40%
More than 22 but not more than 23 8.50%
More than 23 but not more than 24 8.60%
More than 24 but not more than 25 8.60%
More than 25 but not more than 26 8.70%
More than 26 but not more than 27 8.80%
More than 27 but not more than 28 8.80%
More than 28 but not more than 29 8.90%
More than 29 but not more than 30 9.00%
22
EXECUTION COPY
SERIES 1 CLASS A
From: Credit Suisse (USA), Inc.
To: Permanent Master Issuer PLC
35 Great St. Helen's
London
EC3A 6AP
Attention: The Secretary
To: The Bank of New York
One Canada Square
London
E14 5AL
Attention: Global Structured Finance - Corporate Trust
1 March, 2007
Dear Sirs,
CONFIRMATION - SERIES 1 CLASS A DOLLAR TO STERLING CURRENCY SWAP
The purpose of this letter is to confirm the terms and conditions of the Swap
Transaction entered into between us on the Trade Date specified below. This
letter constitutes a "CONFIRMATION" as referred to in the 1992 ISDA Master
Agreement (Multicurrency-Cross Border) (Series 1 Class A) entered into between
us, you and The Bank of New York (the "SECURITY TRUSTEE") dated as of 21
February, 2007, as amended and supplemented from time to time (the "AGREEMENT").
The definitions and provisions contained in the 2000 ISDA Definitions as
published by the International Swaps and Derivatives Association, Inc. (the
"DEFINITIONS") are incorporated into this Confirmation. Words and expressions
defined in the Amended and Restated Master Definitions and Construction Schedule
(the "MASTER SCHEDULE") and the Master Issuer Master Definitions and
Construction Schedule (the "MASTER ISSUER SCHEDULE") (together the "MASTER
DEFINITIONS SCHEDULE") signed on or about the date of this Confirmation will,
except so far as the context otherwise requires, have the same meaning in this
Confirmation. In the event of any inconsistency between any of the following,
the first listed will govern (i) this Confirmation; (ii) the Master Definitions
Schedule; and (iii) the Definitions.
1. The terms of the particular Swap Transaction to which this Confirmation
relates are as follows:
Party A: Credit Suisse (USA), Inc.
Party B: Permanent Master Issuer PLC
Relevant Notes: Series 1 Class A Notes
Trade Date: 21 February, 2007
Effective Date: 1 March, 2007
1
<page>
Termination Date: The earlier of (i) the Quarterly Interest
Payment Date falling in January 2008 and
(ii) the date on which all of the Relevant
Notes are redeemed in full except following
delivery of a Note Acceleration Notice on
Party B in relation to the Relevant Notes.
Currency Exchange Rate: 1.95248 USD per GBP
Business Days: London Business Day, New York Business Day
and TARGET Business Day.
Calculation Period: Has the meaning given to such term in the
Definitions.
Calculation Agent: Party A
Party A Floating Amounts:
Party A Currency Amount: In respect of each Party A Calculation
Period, an amount in Dollars equal to the
principal amount outstanding of the Relevant
Notes on the first day of such Calculation
Period (after taking into account any
redemption on such day).
Party A Payment Dates: The 15th day of each month from and
including 15 April 2007 up to and including
the Termination Date, provided that upon the
occurrence of a Pass-Through Trigger Event,
the Party A Payment Date shall occur on each
Quarterly Interest Payment Date from and
including the first Quarterly Interest
Payment following the occurrence of such
Pass-Through Trigger Event up to and
including the Termination Date.
Party A Floating Rate: In respect of each Party A Calculation
Period, One-Month USD-LIBOR determined in
respect of the first day of such Party A
Calculation Period.
Spread: -0.02 per cent.
Party A Floating Rate Day
Count Fraction: Actual/360
Party B Floating Amounts:
Party B Currency Amount: In respect of each Party B Calculation
Period, an amount in Sterling equivalent to
the Party A Currency Amount for the Party A
Calculation Period commencing on the first
day of such Party B Calculation Period
converted by reference to the Currency
Exchange Rate.
Party B Payment Dates: Each Quarterly Interest Payment Date from
and including the Quarterly Interest Payment
Date falling in April 2007 up to the
Termination Date and the Termination Date.
2
<page>
Party B Floating Rate: In respect of each Party B Calculation
Period, Sterling-LIBOR determined in respect
of the first day of such Party B Calculation
Period.
Spread: -0.025per cent.
Party B Floating Rate Day
Count Fraction: Actual/365 (Fixed)
Initial Exchange:
Initial Exchange Date: Effective Date
Party A Initial
Exchange Amount: GBP 512,170,000
Party B Initial
Exchange Amount: USD 1,000,000,000
Interim Exchange:
Interim Exchange Dates: Each Quarterly Interest Payment Date (other
than the Termination Date) on which any of
the Relevant Notes are redeemed in whole or
in part.
Party A Interim
Exchange Amount: In respect of each Interim Exchange Date, an
amount in Dollars equal to the principal
amount of the Relevant Notes redeemed on
such Interim Exchange Date.
Party B Interim
Exchange Amount: In respect of each Interim Exchange Date,
the Sterling equivalent of the Party A
Interim Exchange Amount for such Interim
Exchange Date converted by reference to the
Currency Exchange Rate.
Final Exchange:
Final Exchange Date: Termination Date
Party A Final Exchange An amount in Dollars equal to the principal
Amount: amount outstanding of the Relevant Notes
on the Final Exchange Date
(before taking into account any redemption
on such day).
Party B Final Exchange An amount in Sterling equal to the
Amount: principal amount outstanding of the Relevant
Notes on the Final Exchange Date
(before taking into account any redemption
on such day), converted by reference to the
Currency Exchange Rate.
If Party B does not have sufficient
principal available pursuant to the
Master Issuer Cash Management Agreement to
pay the Party B Final Exchange Amount in
full on the Final Exchange Date and
accordingly pays
3
EXECUTION COPY
only a part of the Party B Final Exchange
Amount to Party A on such date, Party A will
be obliged on such date to deliver only the
Dollar equivalent of such part of the Party
B Final Exchange Amount, converted by
reference to the Currency Exchange Rate.
2. Account Details:
Payments to Party A
in Dollars: Bank: Citibank N,A., New York
Account Number: 38896033
SWIFT: CITIUS33
Favour: Credit Suisse (USA), Inc.
Payments to Party A
in Sterling: Bank: HSBC Bank Plc, London
SWIFT: SWIFT: MIDLGB22
Account Number: 57290386
Favour: Credit Suisse (USA), Inc.
Payments to Party B
in Dollars: Bank: Citibank, N.A., New York
Credit Account: 10990765
New York Swift: CITIUS33
Favour: Citibank, N.A., London
London Swift: CITIGB2L
Reference: CATS US71419GAH39
Payments to Party B
in Sterling: Bank: The Governor and Company of the
Bank of Scotland
Account Number: 06052794
Sort Code: 12-08-83
Account Name: Permanent Master Issuer PLC
Transaction Account
Reference: CATS US71419GAH39
It is agreed by the parties that payments made by Party A to the
Principal Paying Agent in accordance with the settlement instructions, as
detailed above, will be considered an absolute and
4
conclusive discharge of Party A's obligations to Party B in respect of such
payment, regardless of whether the Principal Paying Agent makes a payment
in turn to Party B. This will continue to be the case until Party B changes
its account in accordance with Section 2(b) of the Agreement.
3. Notification to Party A
For the purpose of making any determination or calculation hereunder, the
Calculation Agent may rely on any information, report, notice or
certificate delivered to it by the Master Issuer Cash Manager or Party B
and the Calculation Agent will not be liable for any error, incompleteness
or omission regarding such information.
No later than one (1) Business Day prior to a Quarterly Interest Payment
Date, Party B, or the Master Issuer Cash Manager acting on its behalf, will
notify Party A of the amount of (a) any principal payments to be made on
the Relevant Notes on such Quarterly Interest Payment Date and (b) any
interest payments otherwise due to be made on such Quarterly Interest
Payment Date that will be deferred in accordance with the terms and
conditions of the Relevant Notes.
4. Notice Details:
Party A: Credit Suisse (USA), Inc.
Address: 11 Madison Avenue
New York
NY 10010
USA
Attention: Head of Credit Risk Management;
Facsimile: +1 (212) 325 8170
Attention: Head of OTC Operations - Operations Department;
Facsimile: +1 (917) 326 8603
Attention: Head of Documentation Group - Securities Division
Legal and Compliance Department
Facsimile: +1 (917) 326 7930
Party B: Permanent Master Issuer PLC
Address: 35 Great St. Helen's
London
EC3A 6AP
Facsimile Number: 020 7398 6325
Attention: The Secretary
With a copy to:
(i) the Security Trustee:
Name: The Bank of New York
Address: One Canada Square
London
E14 5AL
Facsimile Number: 020 7964 6061/6339
Attention: Global Structured Finance
5
(ii) Halifax plc
Address: LP/3/3/SEC
Trinity Road
Halifax
West Yorkshire
HX1 2RG
Facsimile Number: 0113 235 7511
Attention: Head of Mortgage Securitisation
(iii) Credit Suisse (USA) Inc. c/o
Address: Credit Suisse International
One Cabot Square
London E14 4QJ
England
Attention: General Counsel Europe - Legal and Compliance
Department
Facsimile: +44 (20) 7888 2686
Attention: Head of Credit Risk Management
Facsimile: +44 (20) 7888 3715
Attention: Global Head of OTC Operations - Operations Department.
Facsimile: +44 (20) 7888 9503
6
Yours faithfully,
CREDIT SUISSE (USA), INC.
By: /s/ Yolanda Perez-Wilson
Name:
Title:
Confirmed as of the date first written:
PERMANENT MASTER ISSUER PLC
By: /s/ Claudia Wallace
Name:
Title:
THE BANK OF NEW YORK
By: /s/ Vincent Giraud
Name:
Title:
7