EX-99.11 15 v080913_ex99-11.htm

SWISS RE FINANCIAL PRODUCTS CORPORATION
55 East 52nd Street
New York, New York 10055
Fax: (917) 322-7201/Phone: (212) 407-7322


DATE:
June 29, 2007
   
TO:
Supplemental Interest Trust,
 
Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-12N
 
c/o U.S. Bank, National Association
 
One Federal Street, 3rd Floor
 
Boston, MA 02110
 
("Party B")
   
FROM:
Swiss Re Financial Products Corporation (“Party A”)
   
RE:
Swap Transaction


Dear Sir or Madam:

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”).
 
The definitions and provisions contained in the 2000 ISDA Definitions as published by the International Swaps and Derivatives Association, Inc. are incorporated into this Confirmation. In the event of any inconsistency between those definitions and provisions and this Confirmation, this Confirmation will govern.
 
This Confirmation constitutes a “Confirmation” as referred to in, and supplements, forms part of and is subject to, the ISDA Master Agreement dated as of June 29, 2007, as amended and supplemented from time to time (the “Agreement”) between Party A and Party B. All provisions contained in the Agreement govern this Confirmation except as expressly modified below.
 
1.
The Swap Transaction to which this Confirmation relates is a Rate Swap Transaction, the terms of which are as follow:
 
 
General Terms
    
       
 
Trade Date:
  
June 27, 2007
       
 
Effective Date:
 
July 25, 2007
       
 
Termination Date:
 
June 25, 2011, subject to adjustment in accordance with the Following Business Day Convention
       
 
Notional Amount:
 
See Amortization Schedule, Schedule A
 
 
 
 
 
       
 
Fixed Amounts:
    
       
 
Fixed Rate Payer:
  
Party B
       
 
Fixed Rate Payer  Period End Dates:
  
The 25th day of each month of each year, commencing on August 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
       
 
Fixed Rate Payer Payment Dates:
  
Early Payment, one (1) Business Day preceding each Fixed Rate Payer Period End Date.
       
 
Fixed Rate:
  
See Amortization Schedule, Schedule A
       
 
Fixed Rate Day Count  Fraction:
  
Actual/360
       
 
Floating Amounts:
    
       
 
Floating Rate Payer:
  
Party A
       
 
Floating Rate Payer Period End Dates:
  
The 25th day of each month of each year, commencing on August 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
       
 
Floating Rate Payer Payment Dates:
  
Early Payment, one (1) Business Day preceding each Floating Rate Payer Period End Date.
       
 
Floating Rate Option:
  
USD-LIBOR-BBA
       
 
Designated Maturity:
  
One month
       
 
Spread:
  
None
       
 
Floating Rate Day Count Fraction:
  
Actual/360
       
 
Reset Dates:
  
The first day of each Calculation Period.
       
 
Compounding:
  
Inapplicable
       
 
Business Day:
  
Any day other than (i) a Saturday or a Sunday, or (ii) a day on which banking institutions in (1) the city in which the Corporate Trust Office of Party B is located or (2) the States of New York, Colorado or Illinois are closed.
       
 
Floating Rate Payer Upfront Payment:
  
USD 1,388,000; Party A shall pay Lehman Brothers Holdings Inc (for the benefit of Party B) the Floating Rate Payer Upfront Payment on or prior to June 29, 2007. This Floating Rate Payer Upfront Payment and the payment due on the same date under confirmation Ref No.1618505 (each between Party A and Party B) is reflected in the net amount of USD 1,258,000 payable to Lehman Brothers Holdings Inc. (for the benefit of Party B) on the same date as reflected herein.
 
 
2
 
 
       
2.
Procedural Terms:
    
       
 
Calculation Agent:
  
Party A
       
 
Offices:
  
The Office of Party A for the Swap Transaction is New York
       
 
Account Details:
    
       
 
Payments to Party A:
  
JPMorgan Chase Bank
SWIFT: CHASUS33
Account of: Swiss Re Financial Products
Account No.: 066-911184
ABA# 021000021    
       
 
Payments to Party B:
  
U.S. Bank Corporate Trust Services
ABA# 091-000-022
DDA# 173-103-321-118
Ref: LXS 2007-12N, Group 2
Attn: J. Byrnes
       
 
Payments to Lehman Brothers Holdings Inc:
  
Citibank
ABA: 021000089
Acct: 4061-5624
Acct Name: Lehman Brothers Inc.
Ref: LXS 2007-12N, Group 2
Attn: Frank Affronti
       


 
3
 

Please confirm that the foregoing correctly sets forth the terms and conditions of our agreement by executing this Confirmation and returning it to us by facsimile to:

Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax: (917) 322-7201 Phone: (212) 407-7322

 
SWISS RE FINANCIAL PRODUCTS CORPORATION
 
By: ________________________________________     
Authorized Signatory
 
Accepted and confirmed as of the Trade Date written above:
 
SUPPLEMENTAL INTEREST TRUST,
Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-12N
By: U.S. Bank, National Association, not in its individual capacity, but solely as Trustee

By:________________________________
Name:
Title:
 

 
4
 

SCHEDULE A to the Confirmation dated as of June 29, 2007,
Re: Reference Number 1618405
Amortization Schedule, subject to adjustment in accordance with the Following Business Day Convention
From and including
To but excluding
Notional Amount (USD)
Fixed Rate
7/25/2007
8/25/2007
344,421,881.00
5.43%
8/25/2007
9/25/2007
335,216,109.00
5.45%
9/25/2007
10/25/2007
326,259,374.00
5.43%
10/25/2007
11/25/2007
317,544,861.00
5.42%
11/25/2007
12/25/2007
309,065,947.00
5.41%
12/25/2007
1/25/2008
300,816,189.00
5.42%
1/25/2008
2/25/2008
292,789,323.00
5.41%
2/25/2008
3/25/2008
284,979,259.00
5.40%
3/25/2008
4/25/2008
277,380,074.00
5.39%
4/25/2008
5/25/2008
269,986,008.00
5.38%
5/25/2008
6/25/2008
262,791,462.00
5.37%
6/25/2008
7/25/2008
255,790,989.00
5.36%
7/25/2008
8/25/2008
247,446,421.00
5.36%
8/25/2008
9/25/2008
239,376,280.00
5.36%
9/25/2008
10/25/2008
231,571,471.00
5.37%
10/25/2008
11/25/2008
224,023,204.00
5.38%
11/25/2008
12/25/2008
216,722,981.00
5.39%
12/25/2008
1/25/2009
209,662,586.00
5.40%
1/25/2009
2/25/2009
202,834,079.00
5.41%
2/25/2009
3/25/2009
196,229,785.00
5.42%
3/25/2009
4/25/2009
189,842,285.00
5.43%
4/25/2009
5/25/2009
183,664,405.00
5.44%
5/25/2009
6/25/2009
177,689,212.00
5.45%
6/25/2009
7/25/2009
171,910,005.00
5.47%
7/25/2009
8/25/2009
166,320,305.00
5.48%
8/25/2009
9/25/2009
160,913,847.00
5.49%
9/25/2009
10/25/2009
155,684,578.00
5.51%
10/25/2009
11/25/2009
150,626,644.00
5.52%
11/25/2009
12/25/2009
145,734,388.00
5.53%
12/25/2009
1/25/2010
141,002,338.00
5.54%
1/25/2010
2/25/2010
136,425,208.00
5.55%
2/25/2010
3/25/2010
131,997,885.00
5.57%
3/25/2010
4/25/2010
127,715,426.00
5.58%
4/25/2010
5/25/2010
123,573,054.00
5.59%
5/25/2010
6/25/2010
119,566,150.00
5.60%
6/25/2010
7/25/2010
115,690,248.00
5.61%
7/25/2010
8/25/2010
111,941,030.00
5.63%
8/25/2010
9/25/2010
108,313,584.00
5.64%
9/25/2010
10/25/2010
104,804,662.00
5.66%
10/25/2010
11/25/2010
101,409,519.00
5.67%
11/25/2010
12/25/2010
98,124,380.00
5.68%
12/25/2010
1/25/2011
94,946,546.00
5.69%
1/25/2011
2/25/2011
91,869,742.00
5.70%
2/25/2011
3/25/2011
88,893,472.00
5.71%
3/25/2011
4/25/2011
86,012,234.00
5.71%
4/25/2011
5/25/2011
83,223,188.00
5.72%
5/25/2011
6/25/2011
80,523,220.00
5.72%

 

 
5
 


SWISS RE FINANCIAL PRODUCTS CORPORATION
55 East 52nd Street
New York, New York 10055
Fax: (917) 322-7201/Phone: (212) 407-7322


DATE:
June 29, 2007
   
TO:
Supplemental Interest Trust,
 
Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-12N
 
c/o U.S. Bank, National Association
 
One Federal Street, 3rd Floor
 
Boston, MA 02110
 
("Party B")
   
FROM:
Swiss Re Financial Products Corporation (“Party A”)
   
RE:
Swap Transaction


Dear Sir or Madam:

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”).
 
The definitions and provisions contained in the 2000 ISDA Definitions as published by the International Swaps and Derivatives Association, Inc. are incorporated into this Confirmation. In the event of any inconsistency between those definitions and provisions and this Confirmation, this Confirmation will govern.
 
This Confirmation constitutes a “Confirmation” as referred to in, and supplements, forms part of and is subject to, the ISDA Master Agreement dated as of June 29, 2007, as amended and supplemented from time to time (the “Agreement”) between Party A and Party B. All provisions contained in the Agreement govern this Confirmation except as expressly modified below.
 
2.
The Swap Transaction to which this Confirmation relates is a Rate Swap Transaction, the terms of which are as follow:
 
 
General Terms
    
       
 
Trade Date:
  
June 27, 2007
       
 
Effective Date:
 
July 25, 2007
       
 
Termination Date:
 
October 25, 2011, subject to adjustment in accordance with the Following Business Day Convention
       
 
Notional Amount:
 
See Amortization Schedule, Schedule A
 
 
6
 
 
       
 
Fixed Amounts:
    
       
 
Fixed Rate Payer:
  
Party B
       
 
Fixed Rate Payer  Period End Dates:
  
The 25th day of each month of each year, commencing on August 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
       
 
Fixed Rate Payer Payment Dates:
  
Early Payment, one (1) Business Day preceding each Fixed Rate Payer Period End Date.
       
 
Fixed Rate:
  
See Amortization Schedule, Schedule A
       
 
Fixed Rate Day Count  Fraction:
  
Actual/360
       
 
Floating Amounts:
    
       
 
Floating Rate Payer:
  
Party A
       
 
Floating Rate Payer Period End Dates:
  
The 25th day of each month of each year, commencing on August 25, 2007 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention.
       
 
Floating Rate Payer Payment Dates:
  
Early Payment, one (1) Business Day preceding each Floating Rate Payer Period End Date.
       
 
Floating Rate Option:
  
USD-LIBOR-BBA
       
 
Designated Maturity:
  
One month
       
 
Spread:
  
None
       
 
Floating Rate Day Count Fraction:
  
Actual/360
       
 
Reset Dates:
  
The first day of each Calculation Period.
       
 
Compounding:
  
Inapplicable
       
 
Business Day:
  
Any day other than (i) a Saturday or a Sunday, or (ii) a day on which banking institutions in (1) the city in which the Corporate Trust Office of Party B is located or (2) the States of New York, Colorado or Illinois are closed.
       
 
Floating Rate Payer Upfront Payment:
  
USD 730,000; Party A shall pay Lehman Brothers Holdings Inc (for the benefit of Party B) the Floating Rate Payer Upfront Payment on or prior to June 29, 2007. This Floating Rate Payer Upfront Payment and the payment due on the same date under confirmation Ref No.1618506 (each between Party A and Party B) is reflected in the net amount of USD 617,000 payable to Lehman Brothers Holdings Inc. (for the benefit of Party B) on the same date as reflected herein.
 
 
7
 
 
       
2.
Procedural Terms:
    
       
 
Calculation Agent:
  
Party A
       
 
Offices:
  
The Office of Party A for the Swap Transaction is New York
       
 
Account Details:
    
       
 
Payments to Party A:
  
JPMorgan Chase Bank
SWIFT: CHASUS33
Account of: Swiss Re Financial Products
Account No.: 066-911184
ABA# 021000021   
       
 
Payments to Party B:
  
U.S. Bank Corporate Trust Services
ABA# 091-000-022
DDA# 173-103-321-118
Ref: LXS 2007-12N, Group 3
Attn: J. Byrnes
       
 
Payments to Lehman Brothers Holdings Inc:
  
Citibank
ABA: 021000089
Acct: 4061-5624
Acct Name: Lehman Brothers Inc.
Ref: LXS 2007-12N, Group 3
Attn: Frank Affronti
       


 
8
 

Please confirm that the foregoing correctly sets forth the terms and conditions of our agreement by executing this Confirmation and returning it to us by facsimile to:

Swiss Re Financial Products Corporation
Attention: Derivatives Documentation
Fax: (917) 322-7201 Phone: (212) 407-7322

 
SWISS RE FINANCIAL PRODUCTS CORPORATION
 
By: ________________________________________      
Authorized Signatory
 
Accepted and confirmed as of the Trade Date written above:
 
SUPPLEMENTAL INTEREST TRUST,
Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-12N
By: U.S. Bank, National Association, not in its individual capacity, but solely as Trustee

By:________________________________
Name:
Title:
 

 
9
 

SCHEDULE A to the Confirmation dated as of June 29, 2007,
Re: Reference Number 1618458
Amortization Schedule, subject to adjustment in accordance with the Following Business Day Convention
From and including
To but excluding
Notional Amount (USD)
Fixed Rate
7/25/2007
8/25/2007
199,827,326.00
5.43%
8/25/2007
9/25/2007
194,463,511.00
5.45%
9/25/2007
10/25/2007
189,245,261.00
5.43%
10/25/2007
11/25/2007
184,168,584.00
5.42%
11/25/2007
12/25/2007
179,229,599.00
5.42%
12/25/2007
1/25/2008
174,424,533.00
5.43%
1/25/2008
2/25/2008
169,749,717.00
5.42%
2/25/2008
3/25/2008
165,201,584.00
5.41%
3/25/2008
4/25/2008
160,776,664.00
5.40%
4/25/2008
5/25/2008
156,471,586.00
5.39%
5/25/2008
6/25/2008
152,283,068.00
5.37%
6/25/2008
7/25/2008
148,207,923.00
5.36%
7/25/2008
8/25/2008
144,243,049.00
5.36%
8/25/2008
9/25/2008
140,385,430.00
5.36%
9/25/2008
10/25/2008
136,632,136.00
5.36%
10/25/2008
11/25/2008
132,980,313.00
5.36%
11/25/2008
12/25/2008
129,427,191.00
5.36%
12/25/2008
1/25/2009
125,970,074.00
5.38%
1/25/2009
2/25/2009
122,606,338.00
5.38%
2/25/2009
3/25/2009
119,333,436.00
5.39%
3/25/2009
4/25/2009
116,148,888.00
5.39%
4/25/2009
5/25/2009
113,050,284.00
5.40%
5/25/2009
6/25/2009
110,035,279.00
5.41%
6/25/2009
7/25/2009
107,101,594.00
5.43%
7/25/2009
8/25/2009
104,247,011.00
5.44%
8/25/2009
9/25/2009
101,469,375.00
5.46%
9/25/2009
10/25/2009
98,766,590.00
5.48%
10/25/2009
11/25/2009
96,136,615.00
5.49%
11/25/2009
12/25/2009
93,577,470.00
5.50%
12/25/2009
1/25/2010
91,087,225.00
5.51%
1/25/2010
2/25/2010
88,664,006.00
5.52%
2/25/2010
3/25/2010
86,304,122.00
5.53%
3/25/2010
4/25/2010
84,006,389.00
5.53%
4/25/2010
5/25/2010
81,768,850.00
5.54%
5/25/2010
6/25/2010
45,157,115.00
5.55%
6/25/2010
7/25/2010
43,957,362.00
5.56%
7/25/2010
8/25/2010
42,789,842.00
5.57%
8/25/2010
9/25/2010
41,653,679.00
5.58%
9/25/2010
10/25/2010
40,548,023.00
5.59%
10/25/2010
11/25/2010
39,472,045.00
5.60%
11/25/2010
12/25/2010
38,424,939.00
5.61%
12/25/2010
1/25/2011
37,405,924.00
5.62%
1/25/2011
2/25/2011
36,414,237.00
5.63%
2/25/2011
3/25/2011
35,449,137.00
5.63%
3/25/2011
4/25/2011
34,509,904.00
5.64%
4/25/2011
5/25/2011
33,595,837.00
5.65%
5/25/2011
6/25/2011
32,706,254.00
5.66%
6/25/2011
7/25/2011
31,838,810.00
5.67%
7/25/2011
8/25/2011
30,994,631.00
5.68%
8/25/2011
9/25/2011
30,171,175.00
5.69%
9/25/2011
10/25/2011
29,288,712.00
5.70%

 

 
10