CSA
Elections and
Variables
to the ISDA Credit
Support Annex
dated as of 6
February 2007
between
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Credit Suisse
International
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and
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U.S. Bank National Association
, not in its individual capacity but
solely as Trustee on behalf of the Supplemental Interest Trust
created under the Pooling and Servicing Agreement in respect of
Asset Backed Securities Corporation Home Equity Loan Trust,
Series RFC 2007-HE1
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______________________________________
("Party A")
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_________________________________________
("Party B")
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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".
(B)
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.
(C)
" Return
Amount " has the meaning specified in Paragraph
3(b).
(D)
"Credit Support
Amount "
for a Valuation Date shall mean zero; provided that, if the
Threshold in respect of Party A is zero on such Valuation Date, "
Credit Support Amount " shall mean one of the
following if one of the following specified events have occurred on
such Valuation Date:
(i)
if a Moody's
Collateralization Event has occurred and is continuing but (a) no
Moody's Rating Event has occurred and is continuing or (b) less
than 30 Local Business Day have elapsed since the last time that no
Moody's Rating Event had occurred and was continuing, "
Credit Support Amount " shall mean an amount in USD
equal to the greater of (1) the sum of (a) the Secured
Party’s Exposure and (b) the First Trigger Collateral Amount
(as defined below) for each Transaction hereunder and (2)
zero;
(ii)
so long as a Moody's
Ratings Event has occurred and is continuing and 30 or more Local
Business Days have elapsed since the last time that no Moody's
Rating Event had occurred and was continuing, " Credit
Support Amount " shall mean an amount in USD equal to the
greatest of (1) the sum of (a) the Secured Party’s Exposure
and (b) the Second Trigger Collateral Amount (as defined below) for
each Transaction hereunder, (2) an amount equal to the Floating
Amount payable by Party A pursuant to each Transaction hereunder in
respect of the first Floating Rate Payer Payment Date scheduled to
occur on or after such Valuation Date and (3) zero; and
(iii)
if an S&P
Collateralization Event or an S&P Ratings Event has occurred
and is continuing, " Credit Support Amount " shall
mean an amount in USD equal to the greater of (1) the sum of (a)
the Secured Party's Exposure and (b) the Notional Volatility Buffer
and (2) 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,
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Party A S&P Rating on such
date
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Remaining Weighted Average Life
Maturity up to 3 years
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Remaining Weighted Average Life
Maturity up to 5 years
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Remaining Weighted Average Life
Maturity up to 10 years
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Remaining Weighted Average Life
Maturity up to 30 years
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S&P S-T Rating of "A-1" or
above
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0.00%
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0.00%
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0.00%
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0.00%
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S&P S-T Rating of
"A-2"
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2.75%
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3.25%
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4.0%
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4.75%
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S&P S-T Rating of
"A-3"
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3.25%
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4.00%
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5.0%
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6.25%
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S&P L-T Rating of "BB+" or
lower
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3.50%
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4.50%
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6.75%
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7.50%
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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.
In circumstances where
more than one of Paragraph 13(b)(i)(C)(i), (ii) and (iii) apply,
the Credit Support Amount shall be calculated by reference to the
paragraph which would result in Party A Transferring the greatest
amount of Eligible Credit Support. Under no circumstances
will Party A be required to Transfer more Eligible Credit Support
than the greatest amount calculated in accordance with one of
Paragraph 13(b)(i)(C)(i), (ii) or (iii).
First Trigger
Collateral Amount means, in respect of each
Transaction hereunder on any date, an amount in USD equal to the
Notional Amount of such Transaction on such date multiplied by the
Applicable Percentage set forth in the table in Exhibit A
hereto.
Second Trigger
Collateral Amount means, in respect of each
Transaction hereunder on any date, an amount in USD equal to the
Notional Amount of such Transaction on such date multiplied by the
Applicable Percentage set forth in the applicable table in Exhibit
B hereto.
(ii)
Eligible
Collateral. On any date, the following
items will qualify as "Eligible Collateral" for
Party A:
(A)
Valuation
Percentage S&P
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(i)
Cash
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100%
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(ii)
Negotiable debt obligations issued
after 18 July 1984 by the U.S. Treasury Department having a
residual maturity on such date of less than 1 year
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98.0%
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(iii)
Coupon-bearing negotiable debt
obligations issued 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
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93.8%
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(iv)
Coupon-bearing negotiable debt
obligations issued 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
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90.3%
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(B)
Valuation
Percentage Moody's
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INTRUMENT
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Daily
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Weekly
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U.S. Dollar Cash
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100%
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100%
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Fixed-Rate Negotiable treasury Debt
Issued by the U.S. Treasury Department with Remaining
Maturity
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<1 Year
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100%
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100%
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1 to 2 years
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100%
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99%
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2 to 3 years
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100%
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98%
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3 to 5 years
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100%
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97%
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5 to 7 years
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100%
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95%
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7 to 10 years
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100%
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94%
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Floating-Rate Negotiable treasury
Debt Issued by the U.S. Treasury Department
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All Maturities
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100%
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99%
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In circumstances where
both Paragraph 13(b)(ii)(A) and (B) apply, the Valuation Percentage
for an item of Eligible Collateral shall be calculated by reference
to the paragraph which would result in the lower Valuation
Percentage for such item of Eligible Collateral.
(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: infinity,
provided that if an S&P Ratings Event or a Collateralization
Event has occurred and is continuing, the Threshold with respect to
Party A shall be zero, unless with respect to a Collateralization
Event, (i) Party A has remedied such Collateralization Event in
accordance with the terms of, and within the relevant timeframe
specified in, the Agreement by means other than posting collateral
pursuant to this Annex and a Ratings Event has not occurred and is
continuing or (ii) (a) neither an S&P Collateralization Event
nor a Fitch Collateralization Event has occurred and is continuing,
and (b) (1) if a Moody’s Collateralization Event has occurred
and is continuing, less than 30 Local Business Days have elapsed
since the last time no Moody's Collateralization Event has occurred
and was continuing and (B) no Moody's Collateralization Event had
occurred when this Annex was executed, in which case the Threshold
with respect to Party A shall remain infinity.
"
Threshold " means with respect to Party B: 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 Certificates rated by S&P ceases to be
more 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 1,000.
(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 a
Collateralization Event other an S&P Collateralization Event
has occurred and is 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 only
an S&P Collateralization Event has occurred and is continuing,
or a Ratings Event has occurred and is continuing, 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 (a)(x) the
last bid price on such date for such securities on the principal
national securities exchange on which such securities are listed,
multiplied by the applicable Valuation Percentage or (y) where any
such securities are not listed on a national securities exchange,
the bid price for such securities quoted as at the close of
business on such date by any principal market maker for such
securities chosen by the Valuation Agent, multiplied by the
applicable Valuation Percentage or (z) if no such bid price is
listed or quoted for such date, the last bid price listed or quoted
(as the case may be), as of the day next preceding such date on
which such prices were available; multiplied by the applicable
Valuation Percentage; plus (b) the accrued interest on such
securities (except to the extent that such interest shall have been
paid to the Pledgor pursuant to Paragraph 6(d)(ii) or included in
the applicable price referred to in subparagraph (a) above) as of
such date.
(iii)
Alternative.
The provisions of
Paragraph 5 will apply provided the obligation of the appropriate
party to deliver the undisputed amount to the other party will not
arise prior to the time that would otherwise have applied to the
Transfer pursuant to, or deemed made, under Paragraph 3 if no
dispute had arisen.
(g)
Holding and Using
Posted Collateral.
(i)
Eligibility to
Hold Posted Collateral; Custodians :
The Trustee (as defined
in the PSA) will be entitled to hold Posted Collateral pursuant to
Paragraph 6(b).
(ii)
Use of Posted
Collateral. The provisions of Paragraph
6(c) will not apply to Party B. Therefore, Party B will not
have any of the rights specified in Paragraph 6(c)(i) or
6(c)(ii).
(h)
Distributions and
Interest Amount.
(i)
Interest
Rate. The " Interest
Rate " will be the annualized rate of return actually
achieved on Posted Collateral in the form of Cash during the
relevant Interest Period.
(ii)
Transfer of
Interes
