CSA
Elections and Variables
to the ISDA Credit Support Annex
dated as of February 28, 2006
between
Wells Fargo Bank, N.A.,
not in its individual capacity
and
but solely as trustee of the
CREDIT SUISSE INTERNATIONAL
supplemental interest trust created
pursuant to the Pooling and Servicing
Agreement
_______________________________________
_________________________________________
("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
Volatility Buffer
such date
Percentage
----------------------------------------------------
----------------------------------------------------
----------------------------------------------------
----------------------------------------------------
S&P S-T
Rating of A-1 or
0.00%
above
----------------------------------------------------
----------------------------------------------------
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
4.50%
lower
----------------------------------------------------
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
