EX-99.2 4 efc7-1677_ex992.htm efc7-1677_ex992.htm
EXHIBIT 99.2

 
08 June 2007
   
BNP PARIBAS
COUNTRYWIDE HOME LOANS, INC.
 
JENNIFER SANDEFUR
BFI-LSI-CMO-BACK OFFICE SWAPS
Managing Director And Treasurer CHL, Inc.
ACI:CSB04A1
4500 PARK GRANADA
75450 PARIS CEDEX 09
MSN CH-43
FRANCE
CALABASAS
 
CALIFORNIA 91302
FAX:  +33 1 42 98 67 04
UNITED STATES

RATE SWAP TRANSACTION CONFIRMATION
BETWEEN COUNTRYWIDE HOME LOANS, INC. AND BNP PARIBAS

The purpose of this letter agreement (this “Confirmation”) is to confirm the terms and conditions of the Transaction entered into between us on the Trade Date specified below (the “Transaction”).  In this Confirmation, “Party A” means BNP Paribas and “Party B” means Countrywide Home Loans, Inc.

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.  References herein to a “Transaction” shall be deemed to be references to a “Swap Transaction” for the purposes of the 2000 Definitions.  Each party hereto agrees to make payment to the other party hereto in accordance with the provisions of this Confirmation and of the Agreement.  Terms capitalized but not defined herein shall have the meanings attributed to them in the pooling and servicing agreement dated as of May 1, 2007 (the “Pooling and Servicing Agreement”) among CWABS, Inc., as depositor, Countrywide Home Loans, Inc., as a seller, Park Monaco Inc., as a seller, Park Sienna LLC, 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.  In the event of any inconsistency between the 2000 Definitions, the PSA and this Confirmation, this Confirmation will govern for the purposes of the Transaction.

This Confirmation will constitute a Confirmation that supplements, forms a part of, and is subject to, the ISDA Master Agreement dated as of 28 May 1996, as amended and supplemented from time to time, between Party A and Party B (the “Agreement”).  All provisions contained in the Agreement shall govern this Confirmation except as expressly modified below.

In the event of any inconsistency between the provisions of the Agreement and this Confirmation, this Confirmation will prevail for purposes of this Swap Transaction.

1


The terms of the particular Transaction to which this Confirmation relates are as follows:

2.
TRADE DETAILS
Our Reference:
2442755
Trade Date:
01 June 2007.
 
Effective Date:
08 June 2007.
 
Termination Date:
25 April 2015, subject to adjustment in accordance with the Following Business Day Convention; provided, however, that for the purpose of determining the final Fixed Rate Payer Period End Date, Termination Date shall 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 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 June 2007.
Reference Assets:
CWABS, Inc. Asset-Backed Certificates, Series 2007-9, Class 1-A (Cusip: 12670FAA8), Class 2-A-1 (Cusip: 12670FAB6), Class 2-A-2 (Cusip: 12670FAC4), Class 2-A-3 (Cusip: 12670FAD2), Class 2-A-4 (Cusip: 12670FAE0), Class M-1 (Cusip:  12670FAF7), Class M-2 (Cusip: 12670FAG5), Class M-3 (Cusip: 12670FAH3), Class M-4 (Cusip: 12670FAJ9), Class M-5 (Cusip: 12670FAK6), Class M-6 (Cusip: 12670FAL4), Class M-7 (Cusip: 12670FAM2), Class M-8 (Cusip: 12670FAN0), Class M-9 (Cusip: 12670FAP5) and Class B (Cusip: 12670FAQ3).


2


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 Reference Assets or the parties fail to agree on the aggregate Principal Balance of the Reference Assets for any Calculation Period, the aggregate Principal Balance of the Reference Assets shall be determined by the Calculation Agent pursuant to the Pooling and Servicing Agreement.
 
Calculation Agent:
Party A
 
   
Upfront Amount:
  
Upfront Amount:
Party B will pay USD 3,925,000 to Party A on June 8, 2007.
 
Fixed Amounts:
  
Fixed Rate Payer:
Party B.
   
Fixed Rate Payer Period End Date(s):
The 25th of each month in each year from (and including) 25 June 2007 to (and including) the Termination Date, subject to no adjustment.
 
Fixed Rate Payer Payment Date(s):
The 25th of each month in each year from (and including) 25 June 2007 to (and including) the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
 
Fixed Rate:
5.30% per annum.
   
Fixed Rate Day Count Fraction:
30/360.
   
Floating Amounts:
  
Floating Rate Payer:
Party A.
 
Floating Rate Payer Period End Date(s):
The 25th of each month in each year from (and including) 25 June 2007 to (and including) the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
 
 
Floating Rate Payer Payment Date(s):
Early Payment shall be applicable.  For each Calculation Period, the Floating Rate Payer Payment Date shall be the first Business Day prior to the related Floating Rate Payer Period End Date.
 

 

3

 
Floating Rate Option:
USD-LIBOR-BBA.
 
Spread
Inapplicable.
Floating Rate Day Count Fraction:
 
Actual/360.
Designated Maturity:
1 Month.
 
Compounding:
Inapplicable.
 
Reset Dates:
The first day of each Calculation Period.
 
Business Days for Both Parties:
New York.
 
3.
ACCOUNT DETAILS
Payments to Party A:
BNP PARIBAS NEW YORK, NEW YORK
Swift Code:  BNPAUS3NXXX
A/C 00200-194093-001-36
Favor:  BNP PARIBAS
Swift Code:  BNPAFRPP
Attn:  Swaps and Derivatives Back Office
 
Payments to Party B:
As per Party B’s standard settlement instructions.
 
4.
ADDITIONAL TERMS
Netting:
Notwithstanding anything to the contrary in Section 2(c) of the Agreement, amounts that are payable with respect to Calculation Periods which end in the same calendar month (prior to any adjustment of period end dates) shall be netted, as provided in Section 2(c) of the Agreement, even if such amounts are not due on the same payment date.  For avoidance of doubt, any payments pursuant to Section 6(e) of the Agreement in respect of this Transaction only shall not be subject to netting with any other payment obligations of the parties under the Agreement.
Assignment:
Party A 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 executing the copy of this confirmation enclosed for that purpose and returning it to us or by sending to us a letter or fax substantially similar to this letter, which letter or fax sets forth the material terms of the Transaction to which this Confirmation relates and indicates agreement to those terms.

Yours sincerely,

BNP PARIBAS SECURITIES CORP., ON BEHALF OF BNP PARIBAS

For and on behalf of
BNP PARIBAS SECURITIES CORP., ON BEHALF OF BNP PARIBAS
For and on behalf of
BNP PARIBAS SECURITIES CORP., ON BEHALF OF BNP PARIBAS
 
/s/ Kerri Nuccio            
Name: Kerry Nuccio
Title: Authorized Signatory
Date: BNP Paribas Securities Corp.
 
 
Name:
Title:
Date:
 
For and on behalf of
COUNTRYWIDE HOME LOANS, INC.
  
 
/s/ Ellen Coleman            
Name: Ellen Coleman
Title: Executive Vice President
Date:
  




5

APPENDIX OF THE CONFIRMATION NO. 2442755

Period Start Date
Period End Date
Notional Amount
6/08/2007
6/25/2007
1,182,600,000
6/25/2007
7/25/2007
1,175,935,059
7/25/2007
8/25/2007
1,169,270,119
8/25/2007
9/25/2007
1,162,605,178
9/25/2007
10/25/2007
1,155,940,237
10/25/2007
11/25/2007
1,149,275,296
11/25/2007
12/25/2007
1,136,584,242
12/25/2007
1/25/2008
1,123,410,860
1/25/2008
2/25/2008
1,108,949,758
2/25/2008
3/25/2008
1,093,234,038
3/25/2008
4/25/2008
1,076,300,692
4/25/2008
5/25/2008
1,058,198,084
5/25/2008
6/25/2008
1,030,228,391
6/25/2008
7/25/2008
1,009,746,409
7/25/2008
8/25/2008
990,216,704
8/25/2008
9/25/2008
970,290,235
9/25/2008
10/25/2008
949,995,423
10/25/2008
11/25/2008
929,362,170
11/25/2008
12/25/2008
896,467,282
12/25/2008
1/25/2009
875,161,585
1/25/2009
2/25/2009
854,465,378
2/25/2009
3/25/2009
835,480,175
3/25/2009
4/25/2009
816,866,619
4/25/2009
5/25/2009
798,661,713
5/25/2009
6/25/2009
768,332,522
6/25/2009
7/25/2009
749,660,432
7/25/2009
8/25/2009
731,695,314
8/25/2009
9/25/2009
715,759,379
9/25/2009
10/25/2009
700,196,341
10/25/2009
11/25/2009
684,997,675
11/25/2009
12/25/2009
281,780,868
12/25/2009
1/25/2010
278,263,931
1/25/2010
2/25/2010
275,372,017
2/25/2010
3/25/2010
272,646,463
3/25/2010
4/25/2010
269,438,242
4/25/2010
5/25/2010
266,135,156
5/25/2010
6/25/2010
262,488,034
6/25/2010
7/25/2010
259,049,066
7/25/2010
8/25/2010
255,736,145
8/25/2010
9/25/2010
252,650,610
9/25/2010
10/25/2010
249,898,865
10/25/2010
11/25/2010
247,128,288
11/25/2010
12/25/2010
244,549,595
12/25/2010
1/25/2011
241,830,195
1/25/2011
2/25/2011
239,517,310
2/25/2011
3/25/2011
237,292,426
3/25/2011
4/25/2011
234,717,100
4/25/2011
5/25/2011
232,179,152
5/25/2011
6/25/2011
229,663,323
6/25/2011
7/25/2011
227,249,052
7/25/2011
8/25/2011
224,851,468
8/25/2011
9/25/2011
222,556,404
9/25/2011
10/25/2011
220,452,597
10/25/2011
11/25/2011
218,295,193
11/25/2011
12/25/2011
216,297,500
12/25/2011
1/25/2012
214,206,452
1/25/2012
2/25/2012
212,441,344
2/25/2012
3/25/2012
210,751,276
3/25/2012
4/25/2012
208,819,286
4/25/2012
5/25/2012
206,799,660
5/25/2012
6/25/2012
204,022,221
6/25/2012
7/25/2012
201,422,500
7/25/2012
8/25/2012
198,992,515
8/25/2012
9/25/2012
196,796,541
9/25/2012
10/25/2012
194,897,613
10/25/2012
11/25/2012
192,787,550
11/25/2012
12/25/2012
190,871,792
12/25/2012
1/25/2013
188,944,184
1/25/2013
2/25/2013
187,305,639
2/25/2013
3/25/2013
185,721,043
3/25/2013
4/25/2013
183,892,121
4/25/2013
5/25/2013
182,088,031
5/25/2013
6/25/2013
180,279,182
6/25/2013
7/25/2013
178,523,230
7/25/2013
8/25/2013
176,762,404
8/25/2013
9/25/2013
175,052,665
9/25/2013
10/25/2013
173,461,853
10/25/2013
11/25/2013
171,810,810
11/25/2013
12/25/2013
170,258,983
12/25/2013
1/25/2014
168,618,389
1/25/2014
2/25/2014
167,210,061
2/25/2014
3/25/2014
165,846,048
3/25/2014
4/25/2014
164,275,256
04/25/2014
05/25/2014
162,724,032
05/25/2014
06/25/2014
161,167,451
06/25/2014
07/25/2014
159,654,343
07/25/2014
08/25/2014
158,135,951
08/25/2014
09/25/2014
156,659,864
09/25/2014
10/25/2014
155,283,379
10/25/2014
11/25/2014
153,854,809
11/25/2014
12/25/2014
152,509,318
12/25/2014
01/25/2015
151,087,566
01/25/2015
02/25/2015
149,862,043
02/25/2015
03/25/2015
148,673,351
03/25/2015
04/25/2015
147,307,796
 


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