EX-99.2 5 d690474.htm ISDA CREDIT SUPPORT ANNEX Unassociated Document
ANNEX A

ISDA®
CREDIT SUPPORT ANNEX
to the Schedule to the
ISDA Master Agreement
dated as of June 29, 2007 between
Deutsche Bank AG, New York Branch (hereinafter referred to as “Party A” or “Pledgor”)
and
The Bank of New York, not individually, but solely as Swap Contract Administrator for CWABS Asset-Backed Certificates Trust 2007-BC3, Asset-Backed Certificates, Series 2007-BC3 pursuant to a Swap Contract Administration Agreement
 (hereinafter referred to as “Party B” or “Secured Party”).

For the avoidance of doubt, and notwithstanding anything to the contrary that may be contained in the Agreement, this Credit Support Annex shall relate solely to the Transaction documented in the Confirmation dated June 29, 2007, between Party A and Party B, Reference Number N638945N.

 
Paragraph 13.  Elections and Variables.
 
(a)  
Security Interest for “Obligations”.  The term “Obligations as used in this Annex includes the following additional obligations:
 
With respect to Party A: not applicable.
 
With respect to Party B: not applicable.
 
(b)  
Credit Support Obligations.
 
(i)  
Delivery Amount, Return Amount and Credit Support Amount.
 
(A)  
“Delivery Amount has the meaning specified in Paragraph 3(a), except that:
 
 
(I)
the words “upon a demand made by the Secured Party on or promptly following a Valuation Date” shall be deleted and replaced with the words “not later than the close of business on each Valuation Date”,
 
 
(II)
the sentence beginning “Unless otherwise specified in Paragraph 13” and ending “(ii) the Value as of that Valuation Date of all Posted Credit Support held by the Secured Party.” shall be deleted in its entirety and replaced with the following:
 
“The “Delivery Amount applicable to the Pledgor for any Valuation Date will equal the greatest of
 
 
(1)
the amount by which (a) the S&P Credit Support Amount for such Valuation Date exceeds (b) the S&P Value, as of such Valuation Date, of all Posted Credit Support held by the Secured Party, and
 
 
 (2)
the amount by which (a) the Moody’s Credit Support Amount for such Valuation Date exceeds (b) the Moody’s Value, as of such Valuation Date, of all Posted Credit Support held by the Secured Party.
 
 
(III)
if, on any Valuation Date, the Delivery Amount equals or exceeds the Pledgor’s Minimum Transfer Amount, the Pledgor will Transfer to the Secured Party sufficient Eligible Credit Support to ensure that, immediately following such transfer, the Delivery Amount shall be zero.
 
(B)  
“Return Amount” has the meaning specified in Paragraph 3(b), except that:
 
 
(I)
the sentence beginning “Unless otherwise specified in Paragraph 13” and ending “(ii) the Credit Support Amount.” shall be deleted in its entirety and replaced with the following:
 
“The “Return Amount” applicable to the Secured Party for any Valuation Date will equal the least of
 
 
(1)
the amount by which (a) the S&P Value, as of such Valuation Date, of all Posted Credit Support held by the Secured Party exceeds (b) the S&P Credit Support Amount for such Valuation Date, and
 
 
(2)
the amount by which (a) the Moody’s Value, as of such Valuation Date, of all Posted Credit Support held by the Secured Party exceeds (b) the Moody’s Credit Support Amount for such Valuation Date.
 
 
(II)
in no event shall the Secured Party be required to Transfer any Posted Credit Support under Paragraph 3(b) if, immediately following such transfer, the Delivery Amount would be greater than zero.
 
(C)  
“Credit Support Amount” shall not apply.  For purposes of calculating any Delivery Amount or Return Amount for any Valuation Date, reference shall be made to the S&P Credit Support Amount or the Moody’s Credit Support Amount, in each case for such Valuation Date, as provided in Paragraphs 13(b)(i)(A) and 13(b)(i)(B), above.
 
(ii)  
Eligible Collateral.
 
On any date, the following items will qualify as “Eligible Collateral” (for the avoidance of doubt, all Eligible Collateral to be denominated in USD):
 
Collateral
S&P Approved Ratings Valuation Percentage
S&P Required Ratings Valuation Percentage
Moody's First Trigger Valuation Percentage
Moody's Second Trigger Valuation Percentage
(A)  Cash
100%
80%
100%
100%
         
(B) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of not more than one year
98.0%
78.4%
100%
100%
         
(C) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of more than one year but not more than ten years
92.6%
74.1%
100%
94%
         
(D) Fixed-rate negotiable debt obligations issued by the U.S. Treasury Department having a remaining maturity on such date of more than ten years
84.6%
67.7%
100%
87%
         

(iii)  
Other Eligible Support.
 
The following items will qualify as “Other Eligible Support” for the party specified:
 
Not applicable.
 
(iv)  
Threshold.
 
(A)  
“Independent Amount” means zero with respect to Party A and Party B.
 
(B)  
“Moody’s Threshold” means, with respect to Party A and any Valuation Date, if a Moody’s First Trigger Downgrade Event has occurred and is continuing and such Moody’s First Trigger Downgrade Event has been continuing (i) for at least 30 Local Business Days or (ii) since this Annex was executed, zero; otherwise, infinity.
 
“S&P Threshold” means, with respect to Party A and any Valuation Date, if  an S&P Approved Ratings Downgrade Event has occurred and is continuing and such S&P Approved Ratings Downgrade   Event has been continuing (i) for at least 10 Local Business Days or (ii) since this Annex was executed, zero; otherwise, infinity.
 
 
“Threshold” means, with respect to Party B and any Valuation Date, infinity.
 
(C)  
“Minimum Transfer Amount” means USD 100,000 with respect to Party A and Party B; provided, however, that if the aggregate Certificate Principal Balance of any Certificates and the aggregate principal balance of any Notes rated by S&P is at the time of any transfer less than USD 50,000,000, the “Minimum Transfer Amount” shall be USD 50,000.
 
(D)  
Rounding: The Delivery Amount will be rounded up to the nearest integral multiple of USD 10,000. The Return Amount will be rounded down to the nearest integral multiple of USD 10,000.
 
(c)  
Valuation and Timing.
 
(i)  
“Valuation Agent” means Party A; provided, however, that if an Event of Default shall have occurred with respect to which Party A is the Defaulting Party, Party B shall have the right to designate as Valuation Agent an independent party, reasonably acceptable to Party A, the cost for which shall be borne by Party A.  All calculations by the Valuation Agent must be made in accordance with standard market practice, including, in the event of a dispute as to the Value of any Eligible Credit Support or Posted Credit Support, by making reference to quotations received by the Valuation Agent from one or more Pricing Sources.
 
(ii)  
“Valuation Date” means the first Local Business Day in each week on which any of the S&P Threshold or the Moody’s Threshold is  zero.
 
(iii)  
“Valuation Time” means the close of business in the city of the Valuation Agent 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.  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 applicable Valuation Date (or in the case of Paragraph 6(d), the Local Business Day following the day on which such relevant calculations are performed).”
 
(iv)  
“Notification Time” means 11:00 a.m., New York time, on a Local Business Day.
 
(d)  
Conditions Precedent and Secured Party’s Rights and Remedies.  The following Termination Events will be a “Specified Condition” for the party specified (that party being the Affected Party if the Termination Event occurs with respect to that party):  With respect to Party A: any Additional Termination Event with respect to which Party A is the sole Affected Party.  With respect to Party B: None.
 
(e)  
Substitution.
 
(i)  
Substitution Date” has the meaning specified in Paragraph 4(d)(ii).
 
(ii)  
Consent.  If specified here as applicable, then the Pledgor must obtain the Secured Party’s consent for any substitution pursuant to Paragraph 4(d):  Inapplicable.
 
(f)  
Dispute Resolution.
 
(i)  
Resolution Time” means 1:00 p.m. New York time on the Local Business Day following the date on which the notice of the dispute is given under Paragraph 5.
 
(ii)  
Value.  Notwithstanding anything to the contrary in Paragraph 12, for the purpose of Paragraphs 5(i)(C) and 5(ii), the S&P Value and Moody’s Value on any date, of Eligible Collateral will be calculated as follows:
 
For Eligible Collateral other than Cash listed in Paragraph 13(b)(ii): the sum of (A) the product of (1)(x) the bid price at the Valuation Time for such securities on the principal national securities exchange on which such securities are listed, or (y) if such securities are not listed on a national securities exchange, the bid price for such securities quoted at the Valuation Time by any principal market maker for such securities selected by the Valuation Agent, or (z) if no such bid price is listed or quoted for such date, the bid price listed or quoted (as the case may be) at the Valuation Time for the day next preceding such date on which such prices were available and (2) the applicable Valuation Percentage for such Eligible Collateral, and (B) the accrued interest on such securities (except to the extent Transferred to the Pledgor pursuant to Paragraph 6(d)(ii) or included in the applicable price referred to in the immediately preceding clause (A)) as of such date.
 
For Cash, the amount thereof multiplied, in the case of the S&P Value, by the applicable S&P Valuation Percentage.
 
(iii)  
Alternative.  The provisions of Paragraph 5 will apply.
 
(g)  
Holding and Using Posted Collateral.
 
(i)  
Eligibility to Hold Posted Collateral; Custodians.  Party B (or any Custodian) will be entitled to hold Posted Collateral pursuant to Paragraph 6(b).
 
Party B may appoint as Custodian (A) the entity then serving as Swap Contract Administrator or (B) any entity other than the entity then serving as Swap Contract Administrator if such other entity (or, to the extent applicable, its parent company or credit support provider) shall then have credit ratings from S&P at least equal to the Custodian Required Rating Threshold.  If at any time the Custodian does not have credit ratings from S&P at least equal to the Custodian Required Rating Threshold, the Swap Contract Administrator must within 60 days obtain a replacement Custodian with credit ratings from S&P at least equal to the Custodian Required Rating Threshold.
 
Initially, the Custodian for Party B is: The Swap Contract Administrator.
 
(ii)  
Use of Posted Collateral.  The provisions of Paragraph 6(c) will not apply to Party B or its Custodian; provided, however, that if Party A delivers Posted Collateral in book-entry form, then Paragraph 6(c)(ii) will apply to Party B and its Custodian, and Party B and its Custodian shall have the rights specified in Paragraph 6(c)(ii).
 
(h)  
Distributions and Interest Amount.
 
(i)  
Interest Rate.  The “Interest Rate” will be the actual interest rate earned on Posted Collateral in the form of Cash that is held by Party B or its Custodian.  Posted Collateral in the form of Cash shall be invested in such overnight (or redeemable within two Local Business Days of demand) Permitted Investments rated at least (x) AAAm or AAAm-G by S&P and (y) Prime-1 by Moody’s or Aaa by Moody’s, as directed by Party A (unless (x) an Event of Default or an Additional Termination Event has occurred with respect to which Party A is the defaulting or sole Affected Party or (y) an Early Termination Date has been designated, in which case such Posted Collateral shall be held uninvested).  Gains and losses incurred in respect of any investment of Posted Collateral in the form of Cash in Permitted Investments as directed by Party A shall be for the account of Party A.
 
(ii)  
Transfer of Interest Amount. The Transfer of the Interest Amount will be made on the second Local Business Day following the end of each calendar month and on any other Local Business Day on which Posted Collateral in the form of Cash is Transferred to the Pledgor pursuant to Paragraph 3(b); provided, however, that the obligation of Party B to Transfer any Interest Amount to Party A shall be limited to the extent that Party B has earned and received such funds and such funds are available to Party B.  The last sentence of Paragraph 6(d)(ii) is hereby amended by adding the words “actually received by Party B but” after the words “Interest Amount or portion thereof”.
 
(iii)  
Alternative to Interest Amount. The provisions of Paragraph 6(d)(ii) (as amended herein) will apply.
 
(iv)  
Distributions.  Paragraph 6(d)(i) shall be deleted in its entirety and replaced with the following:
 
“Distributions.  Subject to Paragraph 4(a), if Party B receives Distributions on a Local Business Day, it will Transfer to Party A not later than the following Local Business Day any Distributions it receives to the extent that a Delivery Amount would not be created or increased by that Transfer, as calculated by the Valuation Agent (and the date of calculation will be deemed to be a Valuation Date for this purpose).”
 
(i)  
Additional Representation(s).  There are no additional representations by either party.
 
(j)  
Other Eligible Support and Other Posted Support.
 
(i)  
Value” with respect to Other Eligible Support and Other Posted Support means: not applicable.
 
(ii)  
Transfer” with respect to Other Eligible Support and Other Posted Support means: not applicable.
 
(k)  
Demands and Notices.All demands, specifications and notices under this Annex will be made pursuant to the Notices Section of this Agreement, except that any demand, specification or notice shall be given to or made at the following addresses, or at such other address as the relevant party may from time to time designate by giving notice (in accordance with the terms of this paragraph) to the other party:
 
If to Party A, at the address specified pursuant to the Notices Section of this Agreement.
 
If to Party B, at the address specified pursuant to the Notices Section of this Agreement.
 
If to Party B’s Custodian:
 
 
Address:
The Bank of New York
 
 
101 Barclays Street 4W  
 
 
New York, NY 10286 
 
Attention:
Mortgage Backed Securities Group 4W
 
 
Jonathan Conte 
 
Tel:
(212) 815-6146
 
Fax:
(212) 815-3986

 
(l)  
Address for Transfers.  Each Transfer hereunder shall be made to the address specified below or to an address specified in writing from time to time by the party to which such Transfer will be made.
 
Party A account details for holding collateral
 
 
A/C With:
DB Trust Co. Americas, New York
 
Swift Code:
BKTRUUS33 / ABA 021001033
 
Favour of:
Deutsche Bank AG, New York
 
Account Number:
01 473 969
 
Reference:
N638945N
 
Party B’s Custodian account details for holding collateral
 
The Bank of New York
ABA 021000018
G/L Account 111565
For further credit to TAS 540986
 
(m)  
Other Provisions.
 
(i)           
Collateral Account.  Party B shall open and maintain a segregated account, and hold, record and identify all Posted Collateral in such segregated account.
 
(ii)          
Agreement as to Single Secured Party and Single Pledgor. Party A and Party B hereby agree that, notwithstanding anything to the contrary in this Annex, (a) the term “Secured Party” as used in this Annex means only Party B, (b) the term “Pledgor” as used in this Annex means only Party A, (c) only Party A makes the pledge and grant in Paragraph 2, the acknowledgement in the final sentence of Paragraph 8(a) and the representations in Paragraph 9.
 
(iii)         
Calculation of Value.  Paragraph 4(c) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value, Moody’s Value”.  Paragraph 4(d)(ii) is hereby amended by (A) deleting the words “a Value” and inserting in lieu thereof “an S&P Value and a Moody’s Value” and (B) deleting the words “the Value” and inserting in lieu thereof “S&P Value and Moody’s Value”.  Paragraph 5 (flush language) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value or Moody’s Value”.  Paragraph 5(i) (flush language) is hereby amended by deleting the word “Value” and inserting in lieu thereof “S&P Value and Moody’s Value”.  Paragraph 5(i)(C) is hereby amended by deleting the word “the Value, if” and inserting in lieu thereof “any one or more of the S&P Value or Moody’s Value, as may be”.  Paragraph 5(ii) is hereby amended by (1) deleting the first instance of the words “the Value” and inserting in lieu thereof “any one or more of the S&P Value or Moody’s Value” and (2) deleting the second instance of the words “the Value” and inserting in lieu thereof “such disputed S&P Value or Moody’s Value”.  Each of Paragraph 8(b)(iv)(B) and Paragraph 11(a) is hereby amended by deleting the word “Value” and inserting in lieu thereof “least of the S&P Value and Moody’s Value”.
 
(iv)         
Form of Annex. Party A and Party B hereby agree that the text of Paragraphs 1 through 12, inclusive, of this Annex is intended to be the printed form of ISDA Credit Support Annex (Bilateral Form - ISDA Agreements Subject to New York Law Only version) as published and copyrighted in 1994 by the International Swaps and Derivatives Association, Inc.
 
(v)          
Events of Default.  Paragraph 7 will not apply to cause any Event of Default to exist with respect to Party B except that Paragraph 7(i) will apply to Party B solely in respect of Party B’s obligations under Paragraph 3(b) of the Credit Support Annex.  Notwithstanding anything to the contrary in Paragraph 7, any failure by Party A to comply with or perform any obligation to be complied with or performed by Party A under the Credit Support Annex shall only be an Event of Default if a Moody’s Second Trigger Downgrade Event has occurred and is continuing and at least 30 Local Business Days have elapsed since such Moody’s Second Trigger Downgrade Event first occurred.
 
(vi)         
Expenses.  Notwithstanding anything to the contrary in Paragraph 10, the Pledgor will be responsible for, and will reimburse the Secured Party for, all transfer and other taxes and other costs involved in maintenance and any Transfer of Eligible Collateral.
 
(vii)        
Withholding.  Paragraph 6(d)(ii) is hereby amended by inserting immediately after “the Interest Amount” in the fourth line thereof  the words “less any applicable withholding taxes.”
 
 (viii)        Additional Definitions.  As used in this Annex:
 
“Custodian Required Rating Threshold” means, with respect to an entity, a short-term unsecured and unsubordinated debt rating from S&P of “A-1,” or, if such entity does not have a short-term unsecured and unsubordinated debt rating from S&P, a long-term unsecured and unsubordinated debt rating or counterparty rating from S&P of “A+”.
 
 “Exposure” has the meaning specified in Paragraph 12, except that (1) after the word “Agreement” the words “(assuming, for this purpose only, that Part 1(f)(i)(A)-(E) of the Schedule is deleted)” shall be inserted and (2) at the end of the definition of Exposure, the words “with terms that are, in all material respects, no less beneficial for Party B than those of this Agreement” shall be added.
 
Local Business Day” means, for purposes of this Annex: any day on which (A) commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in New York and the location of Party A, Party B and any Custodian, and (B) in relation to a Transfer of Eligible Collateral, any day on which the clearance system agreed between the parties for the delivery of Eligible Collateral is open for acceptance and execution of settlement instructions (or in the case of a Transfer of Cash or other Eligible Collateral for which delivery is contemplated by other means a day on which commercial banks are open for business (including dealings in foreign exchange and foreign deposits) in New York and the location of Party A, Party B and any Custodian.
 
“Moody’s Credit Support Amount” means, for any Valuation Date:
 
 
(A)
if the Moody’s Threshold for such Valuation Date is zero and (i) it is not the case that a Moody’s Second Trigger Downgrade Event has occurred and is continuing or (ii) a Moody’s Second Trigger Downgrade Event has occurred and is continuing and less than 30 Local Business Days have elapsed since such Moody’s Second Trigger Downgrade Event first occurred, an amount equal to the greater of (x) zero and (y) the sum of the Secured Party’s Exposure and the aggregate of Moody’s First Trigger Additional Amounts for all Transactions and such Valuation Date;
 
 
(B)
if the Moody’s Threshold for such Valuation Date is zero and a Moody’s Second Trigger Downgrade Event has occurred and is continuing and at least 30 Local Business Days have elapsed since such Moody’s Second Trigger Downgrade Event first occurred, an amount equal to the greatest of (x) zero, (y) the aggregate amount of the Next Payments for all Next Payment Dates, and (z) the sum of the Secured Party’s Exposure and the aggregate of Moody’s Second Trigger Additional Amounts for all Transactions and such Valuation Date; or
 
 
(C)
if the Moody’s Threshold for such Valuation Date is infinity, zero.
 
“Moody’s First Trigger Additional Amount” means, for any Valuation Date and any Transaction, the product of (i) the applicable Moody’s First Trigger Factor set forth in Table 1, (ii) the Scale Factor, if any, for such Transaction, or, if no Scale Factor is applicable for such Transaction, one, and (iii) the Notional Amount for such Transaction for the Calculation Period for such Transaction (each as defined in the related Confirmation) which includes such Valuation Date.
 
“Moody’s First Trigger Downgrade Event” means that no Relevant Entity has credit ratings from Moody’s at least equal to the Moody’s First Trigger Ratings Threshold.
 
 “Moody’s First Trigger Value” means, on any date and with respect to any Eligible Collateral other than Cash, the bid price obtained by the Valuation Agent multiplied by the Moody’s First Trigger Valuation Percentage for such Eligible Collateral set forth in Paragraph 13(b)(ii).
 
“Moody’s Second Trigger Additional Amount” means, for any Valuation Date and any Transaction, the product of (i) the applicable Moody’s Second Trigger Factor set forth in Table 3, (ii) the Scale Factor, if any, for such Transaction, or, if no Scale Factor is applicable for such Transaction, one, and (iii) the Notional Amount for such Transaction for the Calculation Period for such Transaction (each as defined in the related Confirmation) which includes such Valuation Date.
 
“Moody’s Valuation Percentage” means, with respect to a Valuation Date and each item of Eligible Collateral,
 
 
(A)
if the Moody’s Threshold for such Valuation Date is zero and (i) it is not the case that a Moody’s Second Trigger Downgrade Event has occurred and is continuing or (ii) a Moody’s Second Trigger Downgrade Event has occurred and is continuing and less than 30 Local Business Days have elapsed since such Moody’s Second Trigger Downgrade Event first occurred, the corresponding percentage for such Eligible Collateral in the column headed “Moody’s First Trigger Valuation Percentage”, or
 
 
(B)
if a Moody’s Second Trigger Downgrade Event has occurred and is continuing and at least 30 Local Business Days have elapsed since such Moody’s Second Trigger Downgrade Event first occurred, the corresponding percentage for such Eligible Collateral in the column headed “Moody’s Second Trigger Valuation Percentage”.
 
“Moody’s Value”means, on any date and with respect to any Eligible Collateral the product of (x) the bid price obtained by the Valuation Agent and (y) the applicable Moody’s Valuation Percentage set forth in Paragraph 13(b)(ii).
 
“Next Payment” means, in respect of each Next Payment Date, the greater of (i) the aggregate amount of any payments due to be made by Party A under Section 2(a) on such Next Payment Date less the aggregate amount of any payments due to be made by Party B under Section 2(a) on such Next Payment Date (any such payments determined based on rates prevailing the date of determination) and (ii) zero.
 
“Next Payment Date” means each date on which the next scheduled payment under any Transaction is due to be paid.
 
“Pricing Sources” means the sources of financial information commonly known as Bloomberg, Bridge Information Services, Data Resources Inc., Interactive Data Services, International Securities Market Association, Merrill Lynch Securities Pricing Service, Muller Data Corporation, Reuters, Wood Gundy, Trepp Pricing, JJ Kenny, S&P and Telerate.
 
“Remaining Weighted Average Maturity” means, with respect to a Transaction, the expected weighted average maturity for such Transaction as determined by the Valuation Agent.
 
“S&P Approved Ratings Downgrade Event” means that no Relevant Entity has credit ratings from S&P at least equal to the S&P Approved Ratings Threshold.
 
“S&P Credit Support Amount” means, for any Valuation Date:
 
 
(A)
if the S&P Threshold for such Valuation Date is zero and it is not the case that an S&P Required Ratings Downgrade Event has occurred and been continuing for at least 10 Local Business Days, an amount equal to the Secured Party’s Exposure;
 
 
(B)
if the S&P Threshold for such Valuation Date is zero and it is the case that an S&P Required Ratings Downgrade Event has occurred and been continuing for at least 10 Local Business Days, an amount equal to 125% of the Secured Party’s Exposure; or
 
(C)          if the S&P Threshold for such Valuation Date is infinity, zero.
 
“S&P Valuation Percentage” means, with respect to a Valuation Date and each item of Eligible Collateral,
 
 
(A)
if the S&P Threshold for such Valuation Date is zero and it is not the case that a S&P Required Ratings Downgrade Event has occurred and been continuing for at least 10 Local Business Days, the corresponding percentage for such Eligible Collateral in the column headed “S&P Approved Ratings Valuation Percentage” or
 
 
(B)
if an S&P Required Ratings Downgrade Event has occurred and been continuing for at least 10 Local Business Days, the corresponding percentage for such Eligible Collateral in the column headed “S&P Required Ratings Valuation Percentage”.
 
“S&P Value” means, on any date and with respect to any Eligible Collateral, (A) in the case of Eligible Collateral other than Cash, the product of (x) the bid price obtained by the Valuation Agent for such Eligible Collateral and (y) the applicable S&P Valuation Percentage for such Eligible Collateral set forth in paragraph 13(b)(ii) and (B) in the case of Cash, the amount thereof  multiplied by the applicable S&P Valuation Percentage.
 
“Transaction Exposure” means, for any Transaction, Exposure determined as if such Transaction were the only Transaction between the Secured Party and the Pledgor.
 
“Transaction-Specific Hedge” means any Transaction that is (i) an interest rate swap in respect of which (x) the notional amount of the interest rate swap is “balance guaranteed” or (y) the notional amount of the interest rate swap for any Calculation Period (as defined in the related Confirmation) otherwise is not a specific dollar amount that is fixed at the inception of the Transaction, (ii) an interest rate cap, (iii) an interest rate floor or (iv) an interest rate swaption.
 
“Valuation Percentage” shall mean, for purposes of determining the S&P Value or Moody’s Value with respect to  any Eligible Collateral or Posted Collateral, the applicable S&P Valuation Percentage or Moody’s Valuation Percentage for such Eligible Collateral or Posted Collateral, respectively, in each case as set forth in Paragraph 13(b)(ii).
 
“Value” shall mean, in respect of any date, the related S&P Value and the related Moody’s Value.
 

 
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Table 1
 
Moody’s First Trigger Factor
 
Remaining
Weighted Average Life
of Hedge in Years
Weekly
Collateral
Posting
1 or less
0.25%
More than 1 but not more than 2
0.50%
More than 2 but not more than 3
0.70%
More than 3 but not more than 4
1.00%
More than 4 but not more than 5
1.20%
More than 5 but not more than 6
1.40%
More than 6 but not more than 7
1.60%
More than 7 but not more than 8
1.80%
More than 8 but not more than 9
2.00%
More than 9 but not more than 10
2.20%
More than 10 but not more than 11
2.30%
More than 11 but not more than 12
2.50%
More than 12 but not more than 13
2.70%
More than 13 but not more than 14
2.80%
More than 14 but not more than 15
3.00%
More than 15 but not more than 16
3.20%
More than 16 but not more than 17
3.30%
More than 17 but not more than 18
3.50%
More than 18 but not more than 19
3.60%
More than 19 but not more than 20
3.70%
More than 20 but not more than 21
3.90%
More than 21 but not more than 22
4.00%
More than 22 but not more than 23
4.00%
More than 23 but not more than 24
4.00%
More than 24 but not more than 25
4.00%
More than 25 but not more than 26
4.00%
More than 26 but not more than 27
4.00%
More than 27 but not more than 28
4.00%
More than 28 but not more than 29
4.00%
More than 29
4.00%]

 
Table 2
 
Moody’s Second Trigger Factor for Interest Rate Swaps with Fixed Notional Amounts
 
Remaining
Weighted Average Life
of Hedge in Years
Weekly
Collateral
Posting
1 or less
0.60%
More than 1 but not more than 2
1.20%
More than 2 but not more than 3
1.70%
More than 3 but not more than 4
2.30%
More than 4 but not more than 5
2.80%
More than 5 but not more than 6
3.30%
More than 6 but not more than 7
3.80%
More than 7 but not more than 8
4.30%
More than 8 but not more than 9
4.80%
More than 9 but not more than 10
5.30%
More than 10 but not more than 11
5.60%
More than 11 but not more than 12
6.00%
More than 12 but not more than 13
6.40%
More than 13 but not more than 14
6.80%
More than 14 but not more than 15
7.20%
More than 15 but not more than 16
7.60%
More than 16 but not more than 17
7.90%
More than 17 but not more than 18
8.30%
More than 18 but not more than 19
8.60%
More than 19 but not more than 20
9.00%
More than 20 but not more than 21
9.00%
More than 21 but not more than 22
9.00%
More than 22 but not more than 23
9.00%
More than 23 but not more than 24
9.00%
More than 24 but not more than 25
9.00%
More than 25 but not more than 26
9.00%
More than 26 but not more than 27
9.00%
More than 27 but not more than 28
9.00%
More than 28 but not more than 29
9.00%
More than 29
9.00%]

 

 
Table 3
 
Moody’s Second Trigger Factor for Transaction-Specific Hedges
 
Remaining
Weighted Average Life
of Hedge in Years
Weekly
Collateral
Posting
1 or less
0.75%
More than 1 but not more than 2
1.50%
More than 2 but not more than 3
2.20%
More than 3 but not more than 4
2.90%
More than 4 but not more than 5
3.60%
More than 5 but not more than 6
4.20%
More than 6 but not more than 7
4.80%
More than 7 but not more than 8
5.40%
More than 8 but not more than 9
6.00%
More than 9 but not more than 10
6.60%
More than 10 but not more than 11
7.00%
More than 11 but not more than 12
7.50%
More than 12 but not more than 13
8.00%
More than 13 but not more than 14
8.50%
More than 14 but not more than 15
9.00%
More than 15 but not more than 16
9.50%
More than 16 but not more than 17
9.90%
More than 17 but not more than 18
10.40%
More than 18 but not more than 19
10.80%
More than 19 but not more than 20
11.00%
More than 20 but not more than 21
11.00%
More than 21 but not more than 22
11.00%
More than 22 but not more than 23
11.00%
More than 23 but not more than 24
11.00%
More than 24 but not more than 25
11.00%
More than 25 but not more than 26
11.00%
More than 26 but not more than 27
11.00%
More than 27 but not more than 28
11.00%
More than 28 but not more than 29
11.00%
More than 29
11.00%]

 
 

 
 
IN WITNESS WHEREOF, the parties have executed this Annex by their duly authorized representatives as of the date of the Agreement.
 

 
DEUTSCHE BANK AG, NEW YORK BRANCH
 
THE BANK OF NEW YORK, NOT INDIVIDUALLY, BUT SOLELY AS SWAP CONTRACT ADMINISTRATOR FOR CWABS ASSET-BACKED CERTIFICATES TRUST 2007-BC3, ASSET-BACKED CERTIFICATES, SERIES 2007-BC3 PURSUANT TO A SWAP CONTRACT ADMINISTRATION AGREEMENT
         
         
By:
/s/ Christopher A. Flanagan
 
By:
/s/ Michael Cerchio
Name:
Christopher A. Flanagan
 
Name:
Michael Cerchio
Title:
Authorized Signatory
 
Title:
Assistant Treasurer
Date:
June 29, 2007
 
Date:
June 29, 2007

 
By:
/s/ Diane Anderson
     
Name:
Diane Anderson
     
Title:
Authorized Signatory
     
Date:
June 29, 2007