EX-99.2 4 efc7-0031_exh992.txt EXHIBIT 99.2 Deutsche Bank Aktiengesellschaft Date: December 29, 2006 To: COUNTRYWIDE HOME LOANS, INC. ("Party B") Attn: Documentation Unit Fax No: 818-225-4001 From: DEUTSCHE BANK AG, NEW YORK BRANCH ("Party A") Our Reference: Global No. N542352N Swap Transaction Confirmation - This confirmation supersedes and replaces all prior communication between the parties hereto with respect to the transaction described below. The purpose of this letter agreement ("Confirmation") is to confirm the terms and conditions of the Transaction entered into on the Trade Date specified below (the "Transaction") between Deutsche Bank AG, New York Branch ("DBAG") and Countrywide Home Loans, Inc. This Confirmation supersedes any previous Confirmation or other communication with respect to the Transaction and evidences a complete and binding agreement between you and us as to the terms of the Swap Transaction to which this Confirmation relates. This Confirmation is subject to the terms and conditions of the ISDA Master Agreement dated as of July 18, 1996, between each of DBAG and Counterparty and shall form a part of and be subject to that ISDA Master Agreement (the "Agreement"). The definitions and provisions contained in the 2000 ISDA Definitions (the "2000 Definitions"), as published by the International Swaps and Derivatives Association, Inc. ("ISDA") are incorporated into this Confirmation. In the event of any inconsistency between the 2000 Definitions and this Confirmation, this Confirmation will govern for the purposes of the Transaction. References herein to a "Transaction" shall be deemed to be references to a "Swap Transaction" for the purposes of the 2000 Definitions. Capitalized terms used in this Confirmation and not defined in this Confirmation or the 2000 Definitions shall have the respective meaning assigned in the Agreement. Capitalized terms used in this Confirmation and not defined in the Agreement, this Confirmation or the 2000 Definitions shall have the respective meaning assigned in the Pooling and Servicing Agreement for CWABS, Inc. Asset-Backed Certificates Trust 2006-24, dated as of December 1, 2006 among CWABS, Inc. as depositor, Park Monaco Inc., as a seller, Park Sienna LLC, as a seller, Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans Servicing LP, as master servicer, The Bank of New York, as trustee, and The Bank of New York Trust Company, N.A., as co-trustee (the "Pooling and Servicing Agreement"). Each party hereto agrees to make payment to the other party hereto in accordance with the provisions of this Confirmation and of the Agreement. 1. The terms of the particular Swap Transaction to which this Confirmation relates are as follows: General Terms Trade Date: December 6, 2006 Effective Date: December 29, 2006 Termination Date: December 25, 2012 For purposes of the final Calculation Period on the Floating Amounts, Termination Date will be subject to adjustment in accordance with the Following Business Day Convention, and for purposes of the final Calculation Period on the Fixed Amounts, Termination Date will be subject to No Adjustment. Notional Amount: With respect to each Calculation Period, the lesser of (i) the Notional Amount as set forth in Appendix A attached hereto and (ii) the aggregate Principal Balance of the Reference Assets on or about the 15th calendar day of each month, commencing in the month of January 2007. Referenced Assets: CWABS, Inc. Asset-Backed Certificates, Series 2006-24, Class 1-A (Cusip: 23243HAA9), Class 2-A-1 (Cusip: 23243HAB7), Class 2-A-2 (Cusip: 23243HAC5), Class 2-A-3 (Cusip: 23243HAD3), Class 2-A-4 (Cusip: 23243HAE1), Class M-1 (Cusip: 23243HAF8), Class M-2 (Cusip: 23243HAG6), Class M-3 (Cusip: 23243HAH4), Class M-4 (Cusip: 23243HAJ0), Class M-5 (Cusip: 23243HAK7), Class M-6 (Cusip: 23243HAL5), Class M-7 (Cusip: 23243HAM3), Class M-8 (Cusip: 23243HAN1), Class M-9 (Cusip: 23243HAP6), Class B (Cusip: 23243HAQ4). Principal Balance: As reported on Bloomberg Financial Services, Inc. ("Bloomberg"): by entering the Cusip, (Mtge), type "pdi4", (Go). If Bloomberg fails to publish the aggregate Principal Balance of the Referenced Assets or the parties fail to agree on the aggregate Principal Balance of the Referenced Assets for any Calculation Period, the aggregate Principal Balance of the Referenced Assets shall be determined by the Calculation Agent pursuant to the Pooling and Servicing Agreement. Business Days: New York Floating Amounts 2 Floating Amount Payer: Party A Floating Amount Payer The 25th calendar day of each month, from Period End Dates: and including January 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Floating Amount Payer One (1) Business Day prior to each Floating Payment Dates: Amount Payer Period End Date. Floating Rate Option: USD-LIBOR-BBA Designated Maturity: 1 month Spread: Inapplicable Floating Rate Day Count Actual/360 Fraction: Reset Dates: The first day of each Calculation Period Fixed Amounts Fixed Amount Payer: Party B Fixed Amount Payer The 25th calendar day of each month, from and Period End Dates: including January 25, 2007 to and including the Termination Date, with No Adjustment of Period End Dates. Fixed Amount Payer The 25th calendar day of each month, from Payment Dates: and including January 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate: 5.00% per annum Fixed Rate Day 30/360 Count Fraction: Additional Payment: Party A shall pay Party B the sum of USD 2,600,000 on the Effective Date subject to adjustment in accordance with the Following Business Day Convention. Other Provisions 3 Netting: With respect to each Calculation Period, if a Net Payment Amount for such Calculation Period is owed by Party A, then such Net Payment Amount shall be paid by Party A to Party B on the Floating Amount Payer Payment Date, and if a Net Payment Amount for such Calculation Period is owed by Party B, then such Net Payment Amount shall be paid by Party B to Party A on the Fixed Amount Payer Payment Date. Where, Net Payment Amount shall mean, for a Calculation Period, the excess of the larger aggregate amount payable and currently owed by one party over the smaller aggregate amount payable and currently owed by the other party. Procedural Terms Account Details: Account Details of Deutsche Bank Trust Company Americas, Party A: New York Acct# 01 473 969 Swift Code: BKTRUS33 Favour of: Deutsche Bank AG, New York Account Details of Party B: As per Party B's standard settlement instructions. Assignment: DBAG will not unreasonably withhold or delay its consent to an assignment of this Transaction to any other third party. 4 This agreement may be executed in several counterparts, each of which shall be deemed an original but all of which together shall constitute one and the same instrument. Please confirm that the foregoing correctly sets forth the terms of our agreement by having an authorized officer sign this Confirmation and return it via facsimile to: Attention: Derivative Documentation Telephone: 44 20 7547 4755 Facsimile: 44 20 7545 9761 E-mail: derivative.documentation@db.com This message will be the only form of Confirmation dispatched by us. If you wish to exchange hard copy forms of this Confirmation, please contact us.
------------------------------------------------------- ----------------------------------------------------- For and on behalf of For and on behalf of DEUTSCHE BANK AG, NEW YORK COUNTRYWIDE HOME LOANS, INC. BRANCH ------------------------------------------------------- ----------------------------------------------------- /s/ John Farrell /s/ Michael J. Smith ------------------------------------------------------ ---------------------------------------------------- Name: John Farrell Name: Michael J. Smith Title: Vice President Title: Managing Director at Portfolio Management Date: December 29, 2006 Date: December 29, 2006 ------------------------------------------------------- ----------------------------------------------------- /s/ Matthew Hoff ------------------------------------------------------ Name: Matthew Hoff Title: Assistant Vice President Date: December 29, 2006 ------------------------------------------------------- -----------------------------------------------------
5 Appendix A Calculation Periods up to but excluding the Notional Amount (in USD): Payment Date scheduled to occur: January 25, 2007 1,309,968,849 February 25, 2007 1,298,617,766 March 25, 2007 1,285,763,584 April 25, 2007 1,271,420,024 May 25, 2007 1,255,606,461 June 25, 2007 1,238,347,950 July 25, 2007 1,219,669,969 August 25, 2007 1,200,092,785 September 25, 2007 1,179,182,298 October 25, 2007 1,156,986,101 November 25, 2007 1,133,728,682 December 25, 2007 1,109,845,208 January 25, 2008 976,237,052 February 25, 2008 952,844,788 March 25, 2008 928,549,941 April 25, 2008 903,422,900 May 25, 2008 877,537,524 June 25, 2008 850,970,791 July 25, 2008 823,804,455 August 25, 2008 797,573,294 September 25, 2008 772,256,135 October 25, 2008 747,823,128 November 25, 2008 724,245,426 December 25, 2008 701,495,149 January 25, 2009 553,957,641 February 25, 2009 525,582,237 March 25, 2009 498,874,115 April 25, 2009 473,736,086 May 25, 2009 450,076,843 June 25, 2009 427,810,597 July 25, 2009 414,016,800 6 Appendix A Calculation Periods up to but excluding the Notional Amount (in USD): Payment Date scheduled to occur: August 25, 2009 400,744,985 September 25, 2009 387,977,867 October 25, 2009 375,698,769 November 25, 2009 363,891,586 December 25, 2009 352,540,774 January 25, 2010 144,512,987 February 25, 2010 141,766,497 March 25, 2010 139,598,705 April 25, 2010 137,519,967 May 25, 2010 135,109,977 June 25, 2010 132,804,541 July 25, 2010 130,487,500 August 25, 2010 128,262,892 September 25, 2010 126,027,350 October 25, 2010 123,874,040 November 25, 2010 121,894,039 December 25, 2010 119,821,700 January 25, 2011 117,944,473 February 25, 2011 115,940,856 March 25, 2011 114,327,569 April 25, 2011 112,754,772 May 25, 2011 110,907,045 June 25, 2011 109,153,279 July 25, 2011 107,419,049 August 25, 2011 105,780,953 September 25, 2011 104,151,695 October 25, 2011 102,616,542 November 25, 2011 101,112,318 December 25, 2011 98,798,505 January 25, 2012 96,718,995 February 25, 2012 94,671,144 March 25, 2012 93,150,567 7 Appendix A Calculation Periods up to but excluding the Notional Amount (in USD): Payment Date scheduled to occur: April 25, 2012 91,786,920 May 25, 2012 90,049,844 June 25, 2012 88,437,088 July 25, 2012 86,917,509 August 25, 2012 85,473,197 September 25, 2012 84,019,444 October 25, 2012 82,620,385 November 25, 2012 81,334,124 December 25, 2012 79,976,333 8