Elections and
Variables
to the ISDA Credit
Support Annex
dated as of October 3
, 2006
between
Credit Suisse
International
and
The Supplemental
Interest Trust
created under the
Pooling and
Servicing Agreement
for
Home Equity Asset
Trust 2006-7
( "Party A"
)
( "Party B"
)
Paragraph
13.
(a)
Security Interest
for "Obligations" .
The term
"Obligations" as used in this Annex includes the
following additional obligations:
With respect to Party
A:
None.
With respect to Party
B:
None.
(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 the words "upon a demand made by the
Secured Party" shall be deleted and the word "that" on the second
line of Paragraph 3(a) shall be replaced with the word "a".
Paragraph 4(b) is hereby amended by the insertion of the
words "(i) in respect of a Transfer pursuant to Paragraph 3(b),"
immediately prior to the words "if a demand for" and the insertion
of the words "; and (ii) in respect of a Transfer pursuant to
Paragraph 3(a), the relevant Transfer will be made not later than
the close of business on the Local Business Day following the
Valuation Date" immediately prior to the period.
(B) "Return
Amount" has the meaning specified in Paragraph
3(b).
(C)
"Credit Support
Amount" for a Valuation Date shall mean one
of the following depending on whether or not the specified events
have occurred on such Valuation Date:-
(i)
if a Collateralization
Event has not occurred, or has occurred but is not continuing,
"Credit Support Amount" shall mean zero
(0);
(ii)
if a Ratings Event has
occurred and is continuing or a Collateralization Event has
occurred other than pursuant to Part 5(b)(1)(C) and is continuing,
"Credit Support Amount" shall mean an amount in USD
equal to the greater of (a) the Secured Party's Exposure and (b) an
amount equal to the Floating Amount payable by Party A pursuant to
the Transaction in respect of the first Floating Rate Payer Payment
Date scheduled to occur on or after the date on which the Delivery
Amount as a result of such Collateralization Event is
due;
(iii)
if a Collateralization
Event has occurred pursuant to Part 5(b)(1)(C) and is continuing,
"Credit Support Amount" shall mean an amount in USD
equal to the greater of (a) the sum of (i) Party B's Exposure and
(ii) the Notional Volatility Buffer and (b) zero.
"Notional Volatility Buffer" , as determined by the
Valuation Agent for any date, means the product of (i) the Notional
Amount of the Transaction on such date, (ii) the Payment Factor,
and (iii) the Volatility Buffer Percentage for such date as set out
in the table below on such date,
|
Party A S&P Rating on such
date
|
Volatility Buffer
Percentage
|
|
|
|
|
S&P S-T Rating of A-1 or
above
|
0.00%
|
|
S&P S-T Rating of A-2
|
3.25%
|
|
S&P S-T Rating of A-3
|
4.00%
|
|
S&P L-T Rating of BB+ or
lower
|
4.50%
|
L-T Rating
means with respect to
any Person, the unsecured, unguaranteed and otherwise unsupported
long-term senior debt obligations of such Person.
S -T Rating means
with respect to any Person, the unsecured, unguaranteed and
otherwise unsupported short-term debt obligations of such
Person.
Payment
Factor means
1.
(ii)
Eligible
Collateral. On any date, the following
items will qualify as "Eligible Collateral" for
Party A:
Valuation
Percentage
(A)
Cash
100%
(B)
negotiable debt
obligations issued
98.0%
after 18 July 1984 by
the U.S. Treasury Department
having a residual
maturity on such date
of less than 1
year
(C)
coupon-bearing
negotiable debt obligations issued
93.8%
after 18 July 1984 by
the U.S. Treasury Department
having a residual
maturity on such date
equal to or greater than
1 year but less
than 5 years
(D)
coupon-bearing
negotiable debt obligations issued
90.3%
after 18 July 1984 by
the U.S. Treasury Department
having a residual
maturity on such date
equal to or greater than
5 years but less
than 10 years
(iii)
Other Eligible
Support . None.
(iv)
Thresholds.
(A)
"Independent
Amount" means with respect to Party A:
Not applicable.
"Independent
Amount" means with respect to Party B:
Not applicable.
(B)
"Threshold"
means with respect to
Party A and Party B: Not applicable.
(C)
"Minimum Transfer
Amount" means with respect to Party A:
$50,000.
"Minimum Transfer
Amount" means with respect to Party B:
Not applicable.
(D)
Rounding
The Delivery
Amount and the Return Amount will be rounded up and down
respectively to the nearest integral multiple of $1,000, provided
that this "Rounding" provision shall not apply in respect of any
Return Amount payable in respect of any date on which Party B's
Exposure is less than or equal to zero.
(c)
Valuation and
Timing.
(i)
"Valuation
Agent" means Party A. Calculations by
Party A will be made by reference to commonly accepted market
sources.
(ii)
"Valuation
Date" means,
(A)
in the event that (1) no
Collateralization Event has occurred, or has occurred but is not
continuing, (2) a Collateralization Event has occurred other than
pursuant to Part 5(b)(1)(C) and is continuing, or (3) two or more
Collateralization Events have occurred pursuant to Part 5(b)(1)(C)
and any other subparagraph of Part 5(b)(1) and are continuing, each
Local Business Day which, if treated as a Valuation Date, would
result in a Delivery Amount or a Return Amount; and
(B)
in the event that a
Collateralization Event has occurred solely pursuant to Part
5(b)(1)(C) and is continuing, or a Ratings Event has occurred and
Party A has not obtained a substitute counterparty as set forth in
Part 5(b)(3) the last Local Business Day of each calendar
week.
(iii)
"Valuation
Time" means the close of business in the
city of the Valuation Agent on the Local Business Day before 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 4:00 p.m., London time, on a
Local Business Day.
(d)
Conditions
Precedent and Secured Party's Rights and
Remedies.
No events shall
constitute a "Specified Condition".
(e)
Substitution.
(i)
"Substitution
Date" has
the meaning specified in Paragraph 4(d)(ii).
(ii)
Consent. The Pledgor must obtain the
Secured Party's prior consent to any substitution pursuant to
Paragraph 4(d) and shall give to the Secured Party not less than
two (2) Local Business Days' notice thereof specifying the items of
Posted Credit Support intended for substitution.
(f)
Dispute
Resolution.
(i)
"Resolution
Time" means 4:00 p.m. London time on the
Local Business Day following the date on which the notice of the
dispute is given under Paragraph 5.
(ii)
Value . For the purpose of
Paragraphs 5(i)(C) and 5(ii), on any date, the Value of Eligible
Collateral and Posted Collateral will be calculated as follows:
(A)
with respect to any
Cash; the amount thereof; and
(B)
with respect to any
Eligible Collateral comprising securities; the sum of (
