Date of Report (Date of earliest event reported):
February 15, 2012
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Maryland
(State or other jurisdiction
of incorporation)
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814-00757
(Commission
File Number)
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26-1630040
(I.R.S. Employer
Identification No.)
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Cira Centre
2929 Arch Street, Suite 675
Philadelphia, Pennsylvania
(Address of principal executive offices)
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19104
(Zip Code)
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Registrant’s telephone number, including area code:
(215) 495-1150
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o
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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o
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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o
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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o
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Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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Item 1.01
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Entry into a Material Definitive Agreement.
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Item 2.03.
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Creation of a Direct Financial Obligation or an Obligation under an Off-Balance Sheet Arrangement of a Registrant.
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Item 9.01.
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Financial Statements and Exhibits.
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FS Investment Corporation
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||||
Date:
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February 21, 2012
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By:
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/s/ Michael C. Forman
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Michael C. Forman
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||||
President and Chief Executive Officer
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FS INVESTMENT CORPORATION,
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|||
as Seller | |||
By:
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/s/Gerald F. Stahlecker
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Name:
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Gerald F. Stahlecker | ||
Title:
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Executive Vice President |
LOCUST STREET FUNDING LLC,
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as Issuer | |||
By:
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/s/Gerald F. Stahlecker
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Name:
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Gerald F. Stahlecker | ||
Title:
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Executive Vice President |
JPMORGAN CHASE BANK, N.A., | ||
as Majority of the Controlling Class | ||
By:
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/s/ Louis J. Cerrotta
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Name:
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Louis J. Cerrotta | |
Title:
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Executive Director |
LOCUST STREET FUNDING LLC,
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|||
as Issuer | |||
By:
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/s/Gerald F. Stahlecker
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Name:
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Gerald F. Stahlecker | ||
Title:
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Executive Vice President |
CITIBANK, N.A.,
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|||
as Trustee | |||
By:
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/s/Thomas J. Varcados
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Name:
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Thomas J. Varcados | ||
Title:
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Vice President |
JPMORGAN CHASE BANK, N.A.,
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||
as Majority of the Controlling Class |
By:
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/s/ Louis J. Cerrotta
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Name:
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Louis J. Cerrotta | |
Title:
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Executive Director |
FS INVESTMENT CORPORATION,
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||
as Collateral Manager |
By:
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/s/
Gerald F. Stahlecker
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Name:
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Gerald F. Stahlecker
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Title:
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Executive Vice President
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LOCUST STREET FUNDING LLC,
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as Issuer | |||
By:
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/s/Gerald F. Stahlecker
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Name:
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Gerald F. Stahlecker | ||
Title:
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Executive Vice President |
CITIBANK, N.A., as Trustee
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By:
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/s/Thomas J. Varcados
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Thomas J. Varcados | ||
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Authorized Signatory |
For value received
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Date: |
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Your Signature:
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(Sign exactly as your name appears on this Class A Note)
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Date of
Exchange
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Amount of
Decrease in
Principal Amount
of this Global Note
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Amount of
Increase in
Principal Amount
of this Global Note
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Principal Amount of this Global
Note following such Decrease (or
Increase)
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Signature of
Authorized
Officer of Trustee
or Registrar
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Contract Date
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July 21, 2011
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|||||
Purchased Securities
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The Class A Floating Rate Notes, due 2021, with a maximum principal amount of up to USD 560,000,000 (the “
CLO Notes
”), issued by Locust Street Funding LLC (the “
CLO Issuer
”) under the Indenture, dated as of July 21, 2011 and as amended by the Supplemental Indenture No. 1 dated as of February 15, 2012 (the “
CLO Indenture
”), between the CLO Issuer and Citibank, N.A., as trustee (the “
CLO Trustee
”).
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|||||
CUSIP, ISIN or Other Identifying Number:
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For Purchased Securities, as set forth below:
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|||||
Class
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CUSIP
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|||||
Global Note
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144A
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|||||
Class A Notes
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540141 AA6
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|||||
The CLO Notes, whether in Global Note form or 144A transferable, will be treated as fungible.
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||||||
Buyer:
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JPMCB
|
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Seller:
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Race Street
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Purchase Date:
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The Purchase Date for the initial Series Transaction will be the CLO Closing Date and any Ramp-up Date and the Purchase Date for each subsequent Series Transaction will be each succeeding CLO Payment Date up to and including the Final Purchase Date. The Seller shall deliver the Purchased Securities on each Purchase Date; and the Buyer will purchase the Purchased Securities on each such Purchase Date, subject only to (i) no Series Transaction having previously been terminated due to an Event of Default and (ii) unless the Buyer, in its sole discretion, waives such condition, the condition that no Excess Paydown Event have occurred.
On each date (each, a “
Ramp-up Date
”) during the term of the initial Series Transaction on which the CLO Issuer increases the aggregate outstanding principal amount of the CLO Notes, subject to prior notice from the Seller to the Buyer of the occurrence of the relevant Ramp-up Date, the parties shall enter into an additional Series Transaction with respect to which the Purchased Securities will be the CLO Notes to the extent of such increase and for which the Purchase Date will be the Ramp-up Date.
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Purchase Price:
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For any Purchase Date, (i) the aggregate outstanding principal amount of the CLO Notes divided by the Margin Ratio (equating to a Purchase Price at 71.428571428% of outstanding principal amount of the CLO Notes), or (ii) solely in the case of a Purchase Date resulting from a Ramp-up Date, the relevant increase in the outstanding principal amount of the CLO Notes divided by the Margin Ratio (equating to a Purchase Price at 71.428571428% of the increase in the outstanding principal amount of the CLO Notes).
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Margin Ratio:
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140%.
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Contractual Currency:
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USD
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Repurchase Date:
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For any Series Transaction, the CLO Payment Date immediately following the Purchase Date for that Series Transaction.
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Pricing Rate:
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For any Series Transaction, the Pricing Rate will be LIBOR plus Spread, on an Actual/360 basis.
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LIBOR:
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The percentage rate per annum for deposits in US Dollars for a period equal to the Relevant Tenor which appears on the Reuters Screen LIBOR01 (or a successor page) fixed by the BBA as at 11:00 a.m. (London time) on the Fixing Date or, if such rate does not appear thereon (or the Buyer determines such rate is inaccurate or not properly reflective of market conditions), the arithmetic mean of the offered quotations on the Fixing Date of four major banks in London designated by the Buyer to prime banks in the London interbank market for US Dollar deposits in Europe having a maturity equal to the Relevant Tenor.
If there is no posting on Reuters Screen LIBOR01 for a period equal to the Relevant Tenor (as would be the case for a Purchase Date occurring on a Ramp-up Date due to the relevant increase in the aggregate outstanding principal amount of the CLO Notes), then LIBOR will be determined based on linear interpolation between the next longer and shorter tenor so posted.
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Relevant Tenor:
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Three months, except that for the initial Series, the Relevant Tenor will be the period from and including the CLO Closing Date or Ramp-up Date, as applicable, to but excluding the initial Repurchase Date.
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Fixing Date:
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The second London Business Day prior to the Purchase Date for the relevant Series Transaction. For purposes of the foregoing, a “
London Business Day
” is a day on which commercial banks are open for general business (including dealings in foreign currency deposits) in London.
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Spread:
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3.25% (325 basis points) per annum
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Price Differential:
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In addition to the amount defined in paragraph 2(ii) of the Master Agreement, the Price Differential will be increased by any Breakage payable by Seller.
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Breakage:
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(a) for any Repurchase Date with respect to which there is no Principal Paydown, zero and
(b) breakage of 125 basis points per annum present valued, determined as follows: for any Repurchase Date with respect to which there is a Principal Paydown (including a Repurchase Date resulting from an Event of Default hereunder) (a “
Breakage Date
”), an amount, determined by the Buyer in good faith, equal to the present value, discounted at the applicable Swap Rate, of (i) 1.25% per annum
multiplied by
(ii) 71.428571428% of the Principal Paydown
multiplied by
(iii) a fraction, the numerator of which is the number of days from and including the associated Breakage Date to but excluding the Scheduled Final Repurchase Date and the denominator of which is 360 (the “
Discounted Payment
”).
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Principal Paydown:
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(a) for any Repurchase Date not resulting from an Event of Default hereunder, the Principal Paydown will equal the aggregate principal amount of the CLO Notes to be redeemed pursuant to the CLO Indenture;
(b) for any Repurchase Date resulting from an Event of Default hereunder, the Principal Paydown will be equal to the Class A Maximum Principal Amount (as defined in the CLO Indenture) minus any principal payments previously made on the CLO Notes; and
(c) for any Repurchase Date on which a Purchase Date does not occur due to an Excess Paydown Event, the Principal Paydown will be equal to the aggregate outstanding principal amount of the CLO Notes.
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Swap Rate:
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For any Breakage Date and any Discounted Payment, except as provided below, the annual swap rate (expressed as a percentage per annum) for a United States Dollar denominated interest rate swap transaction with a maturity equal to the Discounted Tenor which appears on the Reuters Page ISDAFIX1 or any successor page (the “
CMS-Screen Page
”) as of 11:00 a.m. (New York time) on the Pricing Date, all as determined by Buyer. If there is no quotation for a period corresponding to the Discounted Tenor, then the Swap Rate for the relevant Breakage Date and Discounted Payment will be determined by linear interpolation.
If at such time the CMS-Screen Page is not available or if no swap rate appears, the relevant rate will be a percentage rate per annum determined on the basis of the mid-market semi-annual interest rate swap rate quotations provided by five leading swap dealers in the New York City interbank market ("
Reference Banks
") selected by Buyer at approximately 11:00 a.m. (New York time) on the Pricing Date. For this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating United States Dollar interest rate swap transaction with a term equal to the Discounted Tenor commencing on that day and in an amount equal to the applicable Principal Paydown with an acknowledged dealer of good credit in the United States Dollar interest rate swap market, where the floating leg, calculated on an Actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a maturity of three months. Buyer will request the principal New York City office of each of the Reference Banks to provide a quotation of its rate. If at least three quotations are provided, the Swap Rate will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). If less than three quotations are provided, Buyer will determine the Swap Rate at its sole discretion, acting in good faith and in accordance with standard market practice.
For purposes of the foregoing, for any particular Discounted Payment, the “
Discounted Tenor
” will mean the period from and including the relevant Breakage Date to but excluding the Scheduled Final Repurchase Date. For purposes of the foregoing, for any given Breakage Date, the “
Pricing Date
” will be the second Dealing Day prior to the relevant Breakage Date.
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Equivalent Securities:
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For the avoidance of doubt, with respect to Purchased Securities (and without limiting the applicability of 2(t)(B) or the second sentence of 2(s)), only the CLO Notes (or, where applicable, Distributions in respect thereof) will be considered to be “equivalent to” the CLO Notes.
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Additional Terms:
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Market Value of the CLO Notes:
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The Market Value with respect to the CLO Notes shall be equal to the following: (a) so long as the CLO Collateral Value is greater than or equal to 104.28571% of the aggregate principal amount of the CLO Notes, then the Initial MV Percentage multiplied by the then-current principal amount of the CLO Notes and (b) otherwise, the Initial MV Percentage multiplied by the then-current principal amount of the CLO Notes minus the difference between (x) 104.28571% of the aggregate principal amount of the CLO Notes and (y) the CLO Collateral Value.
“
Initial MV Percentage
” means
t
he percentage of par determined by dividing the market value of the CLO Note (as determined by Buyer) at the initial Purchase Date or any Ramp-up Date, as applicable, (which, for this purpose, will be a “clean” price excluding accrued interest) by the principal amount of such CLO Note at that date.
"
CLO Collateral Value
" means, on any date of determination, the sum of: (i) with respect to each Pledged Obligation held by the CLO Issuer that is a Senior Secured Loan or a Second Lien Loan, the aggregate outstanding amount of such Pledged Obligation
multiplied by
, (1) (x) the average of the indicative bid-side price (expressed as a percentage) for such Pledged Obligation obtained by Buyer from Reuters Loan Pricing Corporation or LoanX, or (y) if only one such indicative bid-side price is available, such indicative bid-side price (expressed as a percentage) or (2) if Buyer determines that neither of such indicative prices is available or that neither of such prices is indicative of the actual current market price of the Pledged Obligation, then the indicative bid-side price (expressed as a percentage) from the loan trading desk of Buyer; (ii) with respect to any other Pledged Obligation (other than Cash) held by the CLO Issuer, the aggregate outstanding amount of such Pledged Obligation
multiplied by
the market value (expressed as a percentage) of such Pledged Obligation as determined by the Buyer in good faith and in a commercially reasonable manner; and (iii) with respect to any Cash held by the CLO Issuer (at such time based on the information most recently made available to the parties by the CLO Trustee), the amount of such Cash.
The market value price determined by Buyer pursuant to clauses (i)(2) and (ii) above is referred to herein as the “
JPMCB Determined Price
”.
Seller, acting in good faith and in a commercially reasonable manner, may dispute the JPMCB Determined Price of some or all of the Pledged Obligations for purposes of any Margin Transfer to Buyer by Seller under paragraph 4 of the Master Agreement, if the following conditions are satisfied: (i) the Seller shall make all Margin Transfers required of it in accordance with paragraph 4 of the Master Agreement and (ii) if no Event of Default has occurred and is continuing with respect to Seller, then by no later than 10:00 a.m. (New York time) on the next Dealing Day, Seller may obtain a firm bid for the full amount of the relevant Pledged Obligation from an Independent Dealer (an “
Independent Bid
”). The Independent Bid must be maintained by the Independent Dealer and actionable for the Buyer before 12:00 p.m. (New York time) on such Dealing Day. If Seller obtains an Independent Bid and submits to the Buyer evidence of such Independent Bid no later than 10:00 a.m. (New York time) on such Dealing Day, then such Independent Bid (subject to any “Bid Disqualification Condition” as defined below) shall be used to determine the Market Value of such Pledged Obligation for the purposes of paragraph 4 of the Master Agreement (the “
Dispute Determined Price
”) and the determination of any Margin Securities to be delivered or any Equivalent Margin Securities to be redelivered (in each case, no later than 5:00 p.m. (New York time) on such Dealing Day) in respect of the price established on such Dealing Day shall be based on such Dispute Determined Price.
|
“
Independent Dealers
” means Bank of America/Merrill Lynch, Barclays Bank, BNP Paribas, Citibank, Credit Suisse, Deutsche Bank, Goldman Sachs, Morgan Stanley, Nomura, Royal Bank of Scotland, UBS, any affiliate of any of the foregoing and any other third party mutually agreed to by Buyer and Seller, but in no event including Seller or any affiliate of Seller.
“
Dealing Day
” shall mean a day other than a Saturday, Sunday or day on which the Securities Industry and Financial Markets Association recommends that there be no trading in US dollar-denominated government securities, mortgage- and asset-backed securities, over-the-counter investment-grade and high-yield corporate bonds, municipal bonds and secondary money market trading in bankers’ acceptances, commercial paper and USD and Euro certificates of deposit.
“
Bid Disqualification Condition
” means that Buyer shall be entitled to disregard as invalid any Independent Bid submitted by any Independent Dealer if, in Buyer's good faith judgment: (i) such Independent Dealer is ineligible to accept assignment or transfer of the relevant Pledged Obligation or portion thereof, as applicable, substantially in accordance with the then-current market practice in the principal market for such Pledged Obligation, as reasonably determined by Buyer; or (ii) such firm bid or such firm offer is not bona fide due to the insolvency of the Independent Dealer or that, as of the relevant Resolution Determination Date, the Buyer determines in good faith that such Independent Dealer is in default under purchase contracts for assets similar to the Pledged Obligations in an aggregate amount in excess of USD 250,000,000.
The foregoing will not operate in derogation of the obligation to make additional incremental Margin Transfers in respect of any later demands.
The JPMCB Determined Price or Dispute Determined Price for any Pledged Obligation that is under contract to be sold by the CLO Issuer will not exceed the sales price to be received by the CLO Issuer under the relevant sale contract.
It is understood and agreed that the definition of “Market Value” set forth above is not intended to and does not track the definition of “Market Value” set forth in the CLO Indenture.
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No Substitution:
|
In accordance with paragraph 8(a), substitution is at Buyer’s sole discretion.
|
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Additional Event of Default:
|
In addition to the Events of Default specified in the Master Agreement, the following shall also constitute an Event of Default (as to which Seller will be the Defaulting Party) for so long as any Series Transaction under this Confirmation is outstanding:
(x) Any CLO Event of Default shall have occurred and be continuing, (y) the occurrence of “cause” under the Collateral Management Agreement (as defined in the CLO Indenture), or (z) a breach of any of the covenants contained in Section 9(j) of Seller’s LLC Agreement shall have occurred and be continuing and, in either case of (x), (y) or (z), the non-Defaulting Party serves a notice on the Defaulting Party. For purposes of the foregoing, the Seller will be the Defaulting Party and the Buyer will be the non-Defaulting Party.
|
|||||
CLO Event of Default:
|
An “Event of Default” as defined in the CLO Indenture.
|
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Additional Representation of Race Street:
|
As of the initial Purchase Date, Race Street represents that the Final Repurchase Date is a date certain calculated as follows:
(i) if the expected weighted average final amortisation of the Purchased Securities (the "
Expected Amortisation Date
") will occur 5 years or more after the initial Purchase Date for the Purchased Securities, the earlier of the date on which 80% of the number of days occurring between the initial Purchase Date for such Purchased Securities and the Expected Amortisation Date have lapsed or the date on which 20% or less of the initial principal amount of the Purchased Securities is outstanding, and
(ii) if the Expected Amortisation Date will occur more than one but less than five years after the initial Purchase Date for the Purchased Securities, the earlier of the date occurring one year prior to the Expected Amortisation Date or the date on which 20% or less of the initial principal amount of the Purchased Securities is outstanding.
|
Application of Payments:
|
Notwithstanding anything to the contrary in the Agreement, payments under the CLO Notes (whether Income or Distributions) received on a Repurchase Date will be applied in the following order:
first
, to payment of the Repurchase Price;
second
, to any unpaid Margin Transfer amounts owing from Seller to Buyer which would exist after giving effect to repayment of the maturing repurchase transaction and entry into the new repurchase transaction; and
third
, with respect any remaining amounts (x) prior to the occurrence of an Event of Default or potential Event of Default, to the Seller or (y) after the occurrence of an Event of Default or potential Event of Default, Buyer will be entitled to retain any Income or Distribution as additional Margin.
|
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Acknowledgement by Race Street:
|
For the avoidance of doubt, and not to be construed in derogation of the conveyance of the Purchased Securities hereunder, Seller acknowledges that all of Seller’s interest in the Purchased Securities shall pass to Buyer on each Purchase Date and, unless otherwise agreed by Buyer and Seller, (i) nothing in this Confirmation shall preclude Buyer from engaging in repurchase transactions with the Purchased Securities or otherwise selling, transferring, pledging or hypothecating the Purchased Securities, (ii) at all times prior to the Final Purchase Date, Buyer shall have the sole right to vote and exercise all other rights and privileges of a holder of the CLO Notes, including, but not limited to, the rights to accelerate and order disposition of assets and the rights set forth in Sections 7.20 and 7.21 of the CLO Indenture, in each case in accordance with the relevant provisions of the CLO Indenture; provided that, so long as no Event of Default or potential Event of Default has occurred and is continuing, the Seller, and not the Buyer, shall be entitled to exercise the rights set forth in Section 7.20 of the CLO Indenture, and (iii) Buyer will be entitled to receive all payments under the Purchased Securities subject to paragraph 5 of the Agreement and the Application of Payments.
Seller further acknowledges and agrees that (x) neither JPMCB nor any of its affiliates have acted in any placement agent, underwriter or arranger capacity with respect to the Purchased Securities, and (y) following the earlier of (1) the end of the Initial Investment Period (as defined in the CLO Indenture) and (2) the date on which the CLO Notes have been increased to their respective Maximum Principal Amount (as defined in the CLO Indenture), JPMCB may convert the Purchased Securities from certificated to book-entry securities and, in connection with such conversion, JPMCB may, itself or through any of its affiliates, coordinate with Depository Trust Company (“DTC”) (including by completing any required DTC documentation) to facilitate such conversion; it being agreed, for the avoidance of doubt, that JPMCB's or its affiliate's role in the conversion of the Purchased Securities is merely for administrative convenience and, notwithstanding any provisions in the required DTC documentation, shall in no event imply that JPMCB or its affiliate have performed or are performing any role as placement agent, underwriter or arranger with respect to the Purchased Securities.
|
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Tax Treatment
|
The parties agree that each Series Transaction shall be treated as a loan by the Buyer to the Seller for federal, state and local income and franchise tax purposes.
|
This Confirmation may not be amended except in writing signed by both parties.
This Confirmation may be executed in any number of counterparts, and by each party on separate counterparts. Each counterpart is an original, but all counterparts shall together constitute one and the same instrument. Delivery of an executed counterpart signature page of this Confirmation by e-mail (PDF) or telecopy shall be as effective as delivery of a manually executed counterpart of this Confirmation. In relation to each counterpart, upon Confirmation by or on behalf of the signatory that the signatory authorises the attachment of such counterpart signature page to the final text of this Confirmation, such counterpart signature page shall take effect together with such final text as a complete authoritative counterpart.
Please confirm your acceptance of the terms and conditions of this Confirmation by signing and returning the attached duplicate.
|
||
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION, LONDON BRANCH | RACE STREET FUNDING LLC | |
By:
/s/ Louis J. Cerrotta
|
By:
/s/ Gerald F. Stahlecker
|
|
Name: Louis J. Cerrotta
Title: Executive Director
|
Name: Gerald F. Stahlecker
Title: Executive Vice President
|
|
Citibank, N.A.
390 Greenwich Street
New York, New York 10013
|
|
Execution Version
|
Date:
|
March 18, 2011 (amended and restated as of February 16, 2012)
|
To:
|
Arch Street Funding LLC
Cira Centre
2929 Arch Street, Suite 675
Philadelphia, PA 19104
Attention: Gerald F. Stahlecker
Phone: 215-495-1169
Fax: 215-222-4649
Email: jerry.stahlecker@franklinsquare.com
|
From:
|
Citibank, N.A.
333 West 34th Street
2nd Floor
New York, New York 10001
Attention: Director Derivative Operations
Facsimile: 212-615-8594
|
General Terms:
|
|
Trade Date:
|
March 18, 2011
|
Effective Date:
|
March 18, 2011
|
Amendment Effective Date:
|
June 9, 2011
|
Second Amendment Effective Date:
|
February 16, 2012
|
Scheduled Termination Date:
|
The latest date for the final scheduled payment (or, if there is only one scheduled payment, for the scheduled payment) of principal of any Reference Obligation at any time included in the Reference Portfolio.
|
Termination Date:
|
The final Scheduled Settlement Date (as defined in the Master Agreement) with respect to all Transactions (other than any Counterparty Third Floating Rate Payer Payment Date). The obligations of the parties to make payments required to be made hereunder shall survive the Termination Date.
|
Obligation Termination Date:
|
(a) In relation to any Repaid Obligation, the related Repayment Date; and
(b) In relation to any Terminated Obligation, the related Termination Settlement Date.
|
Reference Portfolio:
|
As of any date of determination, all Reference Obligations with respect to all Transactions outstanding on such date.
|
Reference Obligation:
|
Each obligation listed on Annex I from time to time having a Reference Amount equal to the "Reference Amount" indicated on Annex I for such obligation (and, in the case of a Committed Obligation, having an Outstanding Principal Amount equal to the "Outstanding Principal Amount" indicated on Annex I for such Committed Obligation), in each case, subject to adjustment by the Calculation Agent in accordance with the terms of this Confirmation.
|
Counterparty may, by notice to Citibank on any Business Day on or after the Trade Date (each, an "
Obligation Trade Date
"), designate that any obligation (each, a "
Reference Obligation
") shall become the subject of a Transaction hereunder. Any such notice shall specify the proposed Reference Obligation and the proposed Reference Amount, Reference Entity and Initial Price in relation to such Transaction.
Notwithstanding the foregoing, no such designation by Counterparty will be effective unless:
(a) Citibank consents on or prior to the Obligation Trade Date to the relevant Reference Obligation becoming the subject of a Transaction hereunder (having the proposed Reference Amount and Initial Price in the notice of designation from Counterparty);
(b) on the Obligation Trade Date (i) the relevant Reference Obligation satisfies the Obligation Criteria set forth in Annex II and (ii) the Portfolio Criteria set forth in Annex II are satisfied (or, if any Portfolio Criterion is not satisfied immediately prior to such designation, then the extent of compliance with such Portfolio Criterion is improved); and
(c) if the relevant Reference Obligation would be a Specified Reference Obligation, Counterparty gives notice of such fact to Citibank in such notice of designation (provided that any failure to give such notice shall not affect the effectiveness of such designation).
Without limiting the generality of the foregoing clause (a), Citibank may withhold its consent to any such designation based on any legal, accounting, tax or other similar issues that are adverse to Citibank in any material respect and that would or could reasonably be expected to arise as a result of the entry into such Transaction or any purchase by the Citibank Holder of such Reference Obligation as a hedge for such Transaction. In the event that Citibank determines not to hold, or cause to be held, all or any portion of any such Reference Obligation as a hedge for such Transaction on the Obligation Settlement Date for such Transaction, Citibank shall give prompt notice thereof to Counterparty.
|
The "
Obligation Settlement Date
" for a Transaction shall be the date following the Obligation Trade Date for such Transaction that is customary for settlement of the related Reference Obligation substantially in accordance with the then-current market practice in the principal market for the related Reference Obligation (as determined by the Calculation Agent).
On the Obligation Trade Date for a Transaction, the Reference Amount of such Transaction shall, for all purposes hereof (including the determination of the "Maximum Portfolio Notional Amount") other than calculating Rate Payments, be increased by the "Reference Amount" specified in such notice from Counterparty. On the Obligation Settlement Date for a Transaction, the Reference Amount of such Transaction shall, solely for the purposes of calculating Rate Payments, be increased by the "Reference Amount" specified in such notice from Counterparty.
Once a Reference Obligation becomes the subject of a Transaction hereunder, Citibank shall promptly prepare and deliver to Counterparty a revised Annex I reflecting the Reference Portfolio as of the related Obligation Trade Date.
If any payment of interest on a Reference Obligation that would otherwise be made during the period from and including the Obligation Trade Date to but excluding the Termination Trade Date is not made but is capitalized as additional principal (without default), then the amount of interest so capitalized as principal shall become a new Transaction hereunder (a "
PIK Transaction
") having the same terms and conditions as the Transaction relating to the Reference Obligation in respect of which such interest is capitalized, except that (1) the Initial Price in relation to such PIK Transaction shall be zero, (2) the Obligation Trade Date and Obligation Settlement Date for such PIK Transaction shall be the date on which such interest is capitalized and (3) the Reference Amount of such PIK Transaction will be the amount of interest so capitalized as principal. Citibank shall give notice to Counterparty after a PIK Transaction becomes outstanding as provided above, which notice shall set forth the information in the foregoing clauses (2) and (3).
|
Reference Entity:
|
The borrower of the Reference Obligation identified as such in Annex I hereto. In addition, "Reference Entity", unless the context otherwise requires, shall also refer to any guarantor of or other obligor on the Reference Obligation.
|
Ramp-Up Period:
|
The period from and including the Effective Date and ending on and including the date occurring 90 days after the Second Amendment Effective Date.
|
Ramp-Down Period:
|
The period from and including the date 30 days prior to the Scheduled Termination Date and ending on and including the Scheduled Termination Date.
|
Portfolio Notional Amount:
|
As of any date of determination, the sum of the Notional Amounts for all Reference Obligations as of such date.
|
Notional Amount:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), as of any date of determination, the Reference Amount of the related Reference Obligation as of such date
multiplied by
the Initial Price in relation to such Reference Obligation; and
(b) In relation to any Transaction with respect to a Terminated Obligation or Repaid Obligation, the amount of the reduction in the Reference Amount of the related Reference Obligation determined, in the case of a Terminated Obligation, pursuant to Clause 3 or, in the case of a Repaid Obligation, pursuant to Clause 5, in each case
multiplied by
the Initial Price in relation to the related Reference Obligation.
|
Outstanding Principal Amount:
|
In relation to any Reference Obligation as of any date of determination, the outstanding principal amount of such obligation as shown in the then current Annex I, as increased pursuant to this Clause 2 (or, in the case of any Committed Obligation, pursuant to any borrowing in respect of such Committed Obligation after the Obligation Trade Date) and reduced pursuant to Clauses 3 and 5. Except as otherwise expressly provided below with respect to Counterparty First Floating Amounts, the principal amount of any Committed Obligation outstanding on any date shall include the aggregate stated face amount of all letters of credit, bankers' acceptances and other similar instruments issued in respect of such Committed Obligation to the extent that the holder of such Committed Obligation is obligated to extend credit in respect of any drawing or other similar payment thereunder.
|
Commitment Amount:
|
In relation to any Reference Obligation that is a Committed Obligation (and the related Transaction) as of any date of determination, the maximum outstanding principal amount of such Reference Obligation that a registered holder thereof would on such date be obligated to fund (including all amounts previously funded and outstanding, whether or not such amounts, if repaid, may be reborrowed).
|
Notional Funded Amount:
|
In relation to any Reference Obligation that is a Committed Obligation (and to the related Transaction) as of any date of determination, the greater of (a) zero and (b) the sum of (i) the Outstanding Principal Amount of such Reference Obligation as of the Obligation Trade Date multiplied by the Initial Price in relation to such Reference Obligation minus (ii) the product of (x) the excess, if any, of the Commitment Amount of such Reference Obligation as of the Obligation Trade Date over the Outstanding Principal Amount of such Reference Obligation as of the Obligation Trade Date multiplied by (y) 100% minus the Initial Price in relation to such Reference Obligation plus (iii) any increase in the Outstanding Principal Amount of such Reference Obligation during the period from but excluding the Obligation Trade Date to and including such date of determination minus (iv) any decrease in the Outstanding Principal Amount of such Reference Obligation during the period from but excluding the Obligation Trade Date to and including such date of determination.
In relation to any Reference Obligation that is a Term Obligation (and the related Transaction) as of any date of determination, the Notional Amount of such Reference Obligation.
|
Portfolio Notional Funded Amount:
|
As of any date of determination, the aggregate of all Notional Funded Amounts with respect to all Reference Obligations in the Reference Portfolio on such date of determination.
|
Reference Amount:
|
In relation to (a) any Term Obligation, the Outstanding Principal Amount thereof and (b) any Committed Obligation, the Commitment Amount thereof.
|
Maximum Portfolio Notional Amount:
|
USD515,000,000
|
Utilization Amount:
|
In relation to any Calculation Period, the daily average of the Portfolio Notional Funded Amount during such Calculation Period.
|
Business Day:
|
New York
|
Business Day Convention:
|
Following (which shall apply to any date specified herein for the making of any payment or determination or the taking of any action which falls on a day that is not a Business Day).
If any anniversary date specified herein would fall on a day on which there is no corresponding day in the relevant calendar month, then such anniversary date shall be the last day of such calendar month.
|
Monthly Period:
|
Each period from but excluding the 25th day of any calendar month to and including the same day of the immediately succeeding calendar month.
|
Calculation Agent:
|
Citibank. Unless otherwise specified, the Calculation Agent shall make all determinations, calculations and adjustments required pursuant to this Confirmation in good faith and on a commercially reasonable basis.
|
Calculation Agent City:
|
New York
|
Initial Price:
|
In relation to any Reference Obligation (and the related Transaction), the Initial Price specified in Annex I. The Initial Price (a) will be expressed exclusive of accrued interest, (b) will be expressed as a percentage of the Reference Amount, (c) will be determined exclusive of Costs of Assignment that would be incurred by a buyer in connection with any purchase of the Reference Obligation and exclusive of any Delay Compensation and (d) will be, as of the related Obligation Trade Date, the "Initial Price" specified by Counterparty to Citibank in the notice of designation referred to above and consented to by Citibank.
|
Payments by Counterparty
|
|
Counterparty First Floating Amounts:
|
|
First Floating Amount Payer:
|
Counterparty
|
First Floating Amount:
|
In relation to any First Floating Rate Payer Payment Date, the sum, for each Transaction, of the products of (a) the First Floating Rate Payer Calculation Amount for such Transaction for the related First Floating Rate Payer Calculation Period
multiplied by
(b) the Floating Rate Option for such Transaction during the related First Floating Rate Payer Calculation Period
plus
the Spread
multiplied by
(c) the Floating Rate Day Count Fraction;
provided
that, for purposes of the foregoing calculation, the percentage specified in the foregoing clause (b) shall be the Spread (and not the Floating Rate Option
plus
the Spread) with respect to any portion of a First Floating Rate Payer Calculation Amount constituting the undrawn stated face amount of all letters of credit, bankers' acceptances and other similar instruments issued in respect of a related Committed Obligation.
|
First Floating Rate Payer
Calculation Amount:
|
In relation to any First Floating Rate Payer Calculation Period and any Transaction, the daily average of the Notional Funded Amount of such Transaction during such First Floating Rate Payer Calculation Period.
|
First Floating Rate Payer
Calculation Period:
|
In relation to any Transaction, each Monthly Period, except that (a) the initial First Floating Rate Payer Calculation Period will commence on, and include, the related Obligation Settlement Date and (b) the final First Floating Rate Payer Calculation Period will end on, but exclude, the related Obligation Termination Date.
|
First Floating Rate
Payer Payment Date:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), the seventh Business Day following the last day of any Monthly Period, commencing with the first such date after the Obligation Settlement Date for such Transaction and ending with the last such date occurring prior to the related Obligation Termination Date; and
(b) In relation to any Terminated Obligation or Repaid Obligation, the related Total Return Payment Date.
|
Floating Rate Option:
|
In relation to any Transaction, USD-LIBOR-BBA.
|
Designated Maturity:
|
In relation to any Transaction, one month.
|
Spread:
|
On any date occurring (a) before the first day of the first Monthly Period beginning after the Second Amendment Date, 1.25% and (b) thereafter, 1.27%.
|
Floating Rate Day
Count Fraction:
|
In relation to any Transaction, Actual/360.
|
Reset Dates:
|
The first day of each First Floating Rate Payer Calculation Period.
|
Compounding:
|
Inapplicable
|
Counterparty Second Floating Amounts:
|
|
Second Floating Amount Payer:
|
Counterparty
|
Second Floating Amount:
|
In relation to any Second Floating Rate Payer Payment Date, the product of (a) the Second Floating Rate Payer Calculation Amount for the related Second Floating Rate Payer Calculation Period
multiplied by
(b) the Spread
multiplied by
(c) the Floating Rate Day Count Fraction.
Notwithstanding the foregoing, no Second Floating Amount shall be payable on any Second Floating Rate Payer Payment Date, and no amount shall be payable under Clause 4(c) on any date after the last day of the Ramp-Up Period, following any date on which (a) Counterparty has designated at least 20 Designated Reference Obligations to become the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above) and (b) the aggregate Notional Amount of all Designated Reference Obligations as to which Citibank has not given its consent to such Designated Reference Obligations becoming the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above) exceeds 50% of the aggregate Notional Amount of all Designated Reference Obligations that Counterparty has designated are to become the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above).
|
Second Floating Rate Payer
Calculation Amount:
|
In relation to any Second Floating Rate Payer Calculation Period, the excess, if any, of (a) 90% of the Maximum Portfolio Notional Amount over (b) the Utilization Amount for such Second Floating Rate Payer Calculation Period.
|
Second Floating Rate Payer
Calculation Period:
|
Each Monthly Period;
provided
that (a) the initial Second Floating Rate Payer Calculation Period shall begin on the first day following the last day of the Ramp-Up Period and (b) the final Second Floating Rate Payer Calculation Period shall end on the last Second Floating Rate Payer Payment Date.
|
Second Floating Rate
Payer Payment Dates:
|
The seventh Business Day following the last day of each Monthly Period;
provided
that (a) the initial Second Floating Rate Payer Payment Date will be the first such Business Day after the last day of the Ramp-Up Period and (b) the final Second Floating Rate Payer Payment Date will be the day preceding the first day of the Ramp-Down Period.
|
Spread:
|
On any date occurring (a) before the first day of the first Monthly Period beginning after the Second Amendment Date, 1.25% and (b) thereafter, 1.27%.
|
Floating Rate Day
Count Fraction:
|
Actual/360.
|
Compounding:
|
Inapplicable
|
Counterparty Third Floating Amounts
|
|
Third Floating Amount Payer:
|
Counterparty
|
Third Floating Amount:
|
Each Expense or Other Payment.
|
Third Floating Rate
Payer Payment Dates:
|
In relation to any Transaction, (a) the seventh Business Day following the last day of each Monthly Period, beginning with the first such Business Day after the Obligation Settlement Date for such Transaction, (b) the related Obligation Termination Date and (c) after the related Obligation Termination Date, the seventh Business Day after notice of a Third Floating Amount from Citibank to Counterparty;
provided
that, prior to the seventh Business Day after the related Obligation Termination Date, if Counterparty has received less than seven Business Days' notice from Citibank that such Third Floating Amount is due and payable, such Third Floating Rate Payer Payment Date shall be the seventh Business Day following the last day of the next succeeding Monthly Period The obligation of Counterparty to pay Third Floating Amounts in respect of any Transaction shall survive the related Obligation Termination Date.
|
Counterparty Fourth Floating Amounts:
|
|
Fourth Floating Amount Payer:
|
Counterparty
|
Fourth Floating Amount:
|
In relation to any Terminated Obligation or Repaid Obligation, Capital Depreciation, if any.
|
Fourth Floating Rate
Payer Payment Dates:
|
Each Total Return Payment Date.
|
Payments by Citibank:
|
|
Citibank Fixed Amounts:
|
|
Fixed Amount Payer:
|
Citibank
|
Fixed Amount:
|
In relation to any Transaction, the Interest and Fee Amount with respect to such Transaction for the related Fixed Amount Payer Payment Date.
|
Fixed Amount Payer Calculation Periods:
|
In relation to each Reference Obligation in the Reference Portfolio, each period from and including any date upon which a payment of interest is made on such Reference Obligation to but excluding the next such date;
provided
that (a) the initial Fixed Amount Payer Calculation Period shall commence on and include the Obligation Settlement Date for such Reference Obligation and (b) the final Fixed Amount Payer Calculation Period shall end on, but exclude, the related Obligation Termination Date.
|
Fixed Amount Payer Payment Dates:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), the seventh Business Day following the last day of any Monthly Period, commencing with the first such date after the Obligation Settlement Date for such Transaction and ending with the last such date occurring prior to the related Obligation Termination Date; and
(b) In relation to any Transaction with respect to any Terminated Obligation or Repaid Obligation, the related Total Return Payment Date.
|
Citibank Floating Amounts:
|
|
Floating Amount Payer:
|
Citibank
|
Floating Amount:
|
In relation to any Terminated Obligation or Repaid Obligation, Capital Appreciation, if any.
|
Floating Rate Payer Payment Dates:
|
Each Total Return Payment Date.
|
(i)
|
Counterparty shall be entitled to terminate any Transaction or any portion thereof by delivering an Accelerated Termination Notice to Citibank that is given (i) no later than the proposed Termination Trade Date and (ii) no more than 30 days, and no less than 10 days, prior to the proposed Termination Settlement Date;
provided
that, except in the case of the termination of all Transactions in connection with the occurrence of the Scheduled Termination Date, (x) the Portfolio Criteria set forth in Annex II would be satisfied on the proposed Termination Trade Date after giving effect to such termination (or, if any Portfolio Criterion is not satisfied immediately prior to such termination, the extent of compliance therewith would be maintained or improved after giving effect to such termination) and (y) the Net Collateral Value Percentage would be greater than or equal to the Termination Threshold (in each case, after giving effect to such termination). The Accelerated Termination Notice shall specify the Reference Obligation that is the subject of such Accelerated Termination, the amount of the Terminated Obligation, the proposed Termination Trade Date and the proposed Termination Settlement Date.
|
(ii)
|
Following the occurrence of a Credit Event (as determined by the Calculation Agent) with respect to the related Reference Entity (including any guarantor or other obligor referred to in the definition thereof), Citibank will have the right, but not the obligation, to terminate the related Transaction by delivering an Accelerated Termination Notice to Counterparty no less than 10 days prior to the proposed Termination Trade Date. The Accelerated Termination Notice shall specify the Reference Obligation that is the subject of such Accelerated Termination, the amount of the Terminated Obligation, the proposed Termination Trade Date and the proposed Termination Settlement Date.
|
(i) | any Reference Obligation (including any Exchange Consideration) fails to satisfy the Obligation Criteria at any time, |
(ii) | the Portfolio Criteria are not satisfied at any time, |
(iii) | Counterparty fails to perform when due any obligation to Transfer Eligible Collateral under Clause 9(a), or |
(iv) | Counterparty does not, by the deadline specified therefor in Clause 9(e), effect the Transfer to Citibank as Secured Party of Eligible Collateral contemplated by Clause 9(e), |
(i)
|
if Citibank elects to exercise its termination right under this Clause 3(c), then each reference to the term "Scheduled Termination Date" in Clauses 4 (other than Clause 4(c)) and 5 and in the definitions of "Ramp-Down Period" and "Termination Trade Date" will instead be a reference to the date 30 days after the first proposed Termination Trade Date specified in such notice; and
|
(ii)
|
whether or not Citibank elects to exercise its termination right under this Clause 3(c), and in the case of any termination pursuant to any of the paragraphs of this Clause 3, each reference to the term "Scheduled Termination Date" in the provisions of Clause 4(c) dealing with the payment of Counterparty Second Floating Amounts (and the reference to the day preceding the first day of the Ramp-Down Period in the definition of "Counterparty Second Floating Rate Payer Payment Date") will be a reference to the earlier of (x) the Citibank Optional Termination Date and (y) the first anniversary of the Termination Date.
|
(i)
|
the Calculation Agent shall be entitled to disregard any Firm Bid submitted by a Dealer if, in the Calculation Agent's commercially reasonable judgment, (x) such Dealer is ineligible to accept assignment or transfer of the related Terminated Obligation or portion thereof, as applicable, substantially in accordance with the then-current market practice in the principal market for the Terminated Obligation, as determined by the Calculation Agent, or (y) as a result of the terms of any agreement or instrument governing the related Terminated Obligation or any order of a court of competent jurisdiction relating to such Terminated Obligation, such Dealer is prohibited or restricted from obtaining any consent required for the assignment or transfer of the related Terminated Obligation or portion thereof, as applicable, to it; and
|
(ii)
|
if the Calculation Agent determines that the highest Firm Bid obtained in connection with any Termination Trade Date is not
bona fide
as a result of (x) the occurrence of an Event of Default described in Section 5(a)(vii) with respect to the bidder, (y) the inability, failure or refusal of the bidder to settle the purchase of the related Terminated Obligation or portion thereof, as applicable, or otherwise settle transactions in the relevant market or perform its obligations generally or (z) the Calculation Agent not having pre-approved trading lines with the bidder that would permit settlement of the purchase of the related Terminated Obligation or portion thereof, as applicable, that Firm Bid shall be disregarded and the next highest Firm Bid that is not disregarded shall be used to determine the Final Price.
|
(a)
|
the Total Return Payment Date with respect to the Repaid Obligation will be the seventh Business Day next succeeding the last day of the Monthly Period in which the Repayment Date occurred;
|
(b)
|
as of the related Repayment Date, the Reference Amount of such Reference Obligation shall be decreased by an amount equal to the principal amount of the Repaid Obligation; and
|
(c)
|
the related Final Price in relation to the Repaid Obligation shall be (i) in the case of a Committed Obligation, the portion of the Reference Amount that is permanently reduced (excluding any such reduction below the Outstanding Principal Amount thereof) on such Repayment Date and (ii) in the case of a Term Obligation, the amount of principal and premium in respect of principal paid by such Reference Entity on the Repaid Obligation to holders thereof (or the amount by which the Reference Obligation was otherwise reduced) on such Repayment Date. Following any Repayment Date, Citibank shall promptly prepare and deliver to Counterparty a revised Annex I showing the revised Reference Amount for the related Reference Obligation.
|
(i)
|
Non-Reliance
. It is acting for its own account, and it has made its own independent decisions to enter into such Transaction and as to whether such Transaction is appropriate or proper for it based upon its own judgment and upon advice from such advisors as it has deemed necessary. It is not relying on any communication (written or oral) of the other party as investment advice or as a recommendation to enter into such Transaction; it being understood that information and explanations related to the terms and conditions of such Transaction shall not be considered investment advice or a recommendation to enter into such Transaction. It has not received from the other party any assurance or guarantee as to the expected results of such Transaction;
|
(ii)
|
Evaluation and Understanding
. It is capable of evaluating and understanding (on its own behalf or through independent professional advice), and understands and accepts, the terms, conditions and risks of such Transaction. It is also capable of assuming, and assumes, the financial and other risks of such Transaction;
|
(iii)
|
Status of Parties
. The other party is not acting as a fiduciary or an advisor for it in respect of such Transaction; and
|
(iv)
|
Reliance on its Own Advisors
. Without limiting the generality of the foregoing, in making its decision to enter into, and thereafter to maintain, administer or terminate, such Transaction, it will not rely on any communication from the other party as, and it has not received any representation or other communication from the other party constituting, legal, accounting, business or tax advice, and it will consult its own legal, accounting, business and tax advisors concerning the consequences of such Transaction.
|
(i)
|
such Transaction does not create any direct or indirect obligation of any Reference Entity or any direct or indirect participation in any Reference Obligation or any other obligation of any Reference Entity;
|
(ii)
|
each party and its Affiliates may deal in any Reference Obligation and may accept deposits from, make loans or otherwise extend credit to, and generally engage in any kind of commercial or investment banking or other business with any Reference Entity, any Affiliate of any Reference Entity, any other person or entity having obligations relating to any Reference Entity and may act with respect to such business in the same manner as if such Transaction did not exist and may originate, purchase, sell, hold or trade, and may exercise consensual or remedial rights in respect of, obligations, securities or other financial instruments of, issued by or linked to any Reference Entity, regardless of whether any such action might have an adverse effect on such Reference Entity, the value of the related Reference Obligation or the position of the other party to such Transaction or otherwise;
|
(iii)
|
except as provided in Clause 7(d)(iii), each party and its Affiliates and the Calculation Agent may, whether by virtue of the types of relationships described herein or otherwise, at the date hereof or at any time hereafter, be in possession of information regarding any Reference Entity or any Affiliate of any Reference Entity that is or may be material in the context of such Transaction and that may or may not be publicly available or known to the other party. In addition, except as provided in Clause 7(b)(vii), this Confirmation does not create any obligation on the part of such party and its Affiliates to disclose to the other party any such relationship or information (whether or not confidential);
|
(iv)
|
neither Citibank nor any of its Affiliates shall be under any obligation to hedge such Transaction or to own or hold any Reference Obligation as a result of such Transaction, and Citibank and its Affiliates may establish, maintain, modify, terminate or re-establish any hedge position or any methodology for hedging at any time without regard to Counterparty. Counterparty acknowledges and agrees that it is not relying on any representation, warranty or statement by Citibank or any of its Affiliates as to whether, at what times, in what manner or by what method Citibank or any of its Affiliates may engage in any hedging activities;
|
(v)
|
notwithstanding any other provision in this Confirmation or any other document, Citibank and Counterparty (and each employee, representative, or other agent of Citibank or Counterparty) may each disclose to any and all persons, without limitation of any kind, the U.S. tax treatment and U.S. tax structure of the transaction and all materials of any kind (including opinions or other tax analyses) that are provided to them relating to such U.S. tax treatment and U.S. tax structure (as those terms are used in Treasury Regulations under Sections 6011, 6111 and 6112 of the U.S. Internal Revenue Code of 1986, as amended (the "
Code
")), other than any information for which nondisclosure is reasonably necessary in order to comply with applicable securities laws. To the extent not inconsistent with the previous sentence, Citibank and Counterparty will each keep confidential (except as required by law) all information unless the other party has consented in writing to the disclosure of such information;
|
(vi)
|
if Citibank chooses to hold a Reference Obligation as a result of any Transaction, Citibank shall hold such Reference Obligation directly or through an Affiliate (the "
Citibank Holder
"). The Citibank Holder may deal with such Reference Obligation as if the related Transaction did not exist,
provided
that, so long as the Citibank Holder remains the lender of record with respect to such Reference Obligation, upon any occasion permitting the Citibank Holder to exercise any right in relation to such Reference Obligation to give or withhold consent (an "
Election
") to an action proposed to be taken (or to be refrained from being taken), the Citibank Holder shall, insofar as permitted under (x) applicable laws, rules and regulations and (y) each provision of any agreement or instrument evidencing or governing such Reference Obligation (and, in the case of any participation interest, governing such participation interest), give its consent to the action proposed to be taken (or to be refrained from being taken), unless (A) Counterparty, by timely notice to Citibank, requests (a "
Counterparty Election Request
") that the Citibank Holder withhold such consent and (B) the Citibank Holder, in its sole discretion, elects to withhold such consent in accordance with the Counterparty Election Request. Notwithstanding the foregoing: (1) the Citibank Holder shall have no obligation to respond to, or consult with Counterparty in relation to, a Counterparty Election Request (failure to respond to a Counterparty Election Request being deemed a denial); (2) the Citibank Holder shall have no other duties or obligations to Counterparty of any nature with respect to any Election or any Counterparty Election Request; (3) the Citibank Holder shall not be liable to Counterparty or any of its Affiliates for the consequences of any consent given or withheld by the Citibank Holder in connection with such Reference Obligation (whether or not pursuant to a Counterparty Election Request); and (4) if the Citibank Holder elects in its sole discretion to withhold its consent in accordance with a Counterparty Election Request, the Citibank Holder may subsequently determine to give such consent at any time without notice to Counterparty; and
|
(vii)
|
in connection with each Reference Obligation that is held by a Citibank Holder as a result of any Transaction, the Citibank Holder will promptly (and in any event within one Business Day after receipt) deliver or cause to be delivered to Counterparty the following information and documentation, in each case, to the extent actually received by the Citibank Holder from the Reference Entity or its agents under the related Reference Obligation Credit Agreement: all notices of any borrowings, prepayments and interest rate settings, all amendments, consents, waivers and other modifications (whether final or proposed) in relation to the terms of the Reference Obligation; and all notices given by the Reference Entity to the lenders or their agent or by the lenders or their agent to the Reference Entity in relation to the exercise of remedies.
|
(i)
|
it is entering into such Transaction for investment, financial intermediation, hedging or other commercial purposes; and
|
(ii)
|
(x) it is an "eligible contract participant" as defined in Section 1a(12) of the U.S. Commodity Exchange Act, as amended (the "
CEA
"), (y) the Master Agreement and each Transaction are subject to individual negotiation by each party, and (z) neither the Master Agreement nor any Transaction will be executed or traded on a "trading facility" within the meaning of Section 1a(33) of the CEA.
|
(i)
|
its financial condition is such that it has no need for liquidity with respect to its investment in any Transaction and no need to dispose of any portion thereof to satisfy any existing or contemplated undertaking or indebtedness. Its investments in and liabilities in respect of any Transaction, which it understands is not readily marketable, is not disproportionate to its net worth, and it is able to bear any loss in connection with any Transaction, including the loss of its entire investment in such Transaction;
|
(ii)
|
it understands no obligations of Citibank to it hereunder will be entitled to the benefit of deposit insurance and that such obligations will not be guaranteed by any Affiliate of Citibank or any governmental agency;
|
(iii)
|
as of (x) the relevant Obligation Trade Date and (y) any date on which a sale is effected pursuant to Clause 4(a) or on which the Calculation Agent solicits Firm Bids pursuant to Clause 4(b), neither Counterparty nor any of its Affiliates, whether by virtue of the types of relationships described herein or otherwise, is on such date in possession of information regarding any related Reference Entity or any Affiliate of such Reference Entity that is or may be material in the context of such Transaction or the purchase or sale of any related Reference Obligation unless such information either (x) is publicly available or (y) has been made available to each registered owner of such Reference Obligation on a basis that permits such registered owner to disclose such information to any assignee of or participant (whether on a funded or unfunded basis) in, or any prospective assignee of or participant (whether on a funded or unfunded basis) in, any rights or obligations under the related Reference Obligation Credit Agreement;
|
(iv)
|
Counterparty is a wholly owned subsidiary of a United States person, within the meaning of Section 7701(a)(30) of the Code, and has elected to be treated as a disregarded entity for U.S. Federal income tax purposes;
|
(v)
|
it has delivered to Citibank on or prior to the Trade Date (and it will, prior to any expiration of any such form previously so delivered, deliver to Citibank) a United States Internal Revenue Service Form W-9 (or applicable successor form), properly completed and signed (which representation shall also be made for purposes of Section 3(f) of the Master Agreement);
|
(vi)
|
it could have received all payments on the Reference Obligation without U.S. Federal or foreign withholding tax if it owned the Reference Obligation (which representation shall also be made for purposes of Section 3(f) of the Master Agreement); and
|
(vii)
|
it is not, for U.S. Federal income tax purposes, a tax-exempt organization.
|
(a)
|
With respect to each Transaction to which this Confirmation relates, a single "Independent Amount" shall be applicable to Counterparty in an amount equal to the Notional Amount with respect to such Transaction (or, in the case of any increase of the Notional Amount under any Transaction, the amount of such increase)
multiplied by
the percentage set forth in Clause 9(b) under the caption "Independent Amount Percentage". Not later than the Effective Date, Counterparty as Pledgor will Transfer to Citibank as Secured Party Eligible Collateral having a Value as of the date of Transfer equal to the aggregate of all Independent Amounts determined pursuant this Clause 9(a). If the aggregate of all Independent Amounts on any date would increase as a result of an increase in the Portfolio Notional Amount, or any change in the Diversity Score, on such date and the aggregate Value of Eligible Collateral Transferred to Citibank pursuant to this Clause 9(a) prior to such date is less than the aggregate of all Independent Amounts as so increased, then Counterparty as Pledgor will Transfer to Citibank as Secured Party Eligible Collateral having a Value as of the date of Transfer equal to the greater of (i) USD1,000,000 and (ii) the amount of such shortfall.
|
(b)
|
With respect to each Transaction to which this Confirmation relates, the "Independent Amount Percentage" applicable to such Transaction will be equal to:
|
Condition
|
Independent Amount Percentage
|
(i) With respect to any Transaction not relating to a Specified Reference Obligation on any date on which the Diversity Score is less than 15:
|
25%
|
(i) With respect to any Transaction not relating to a Specified Reference Obligation on any date on which the Diversity Score is greater than or equal to 15:
|
20%
|
(iii) With respect to any Transaction relating to a Specified Reference Obligation
|
Such percentage as Citibank shall specify on or prior to the Obligation Trade Date for such Transaction
|
(c)
|
In no event shall Citibank as Secured Party be obligated to Transfer Posted Credit Support in respect of a Return Amount to Counterparty as Pledgor if the Value as of any Valuation Date of all Posted Credit Support held by Citibank as Secured Party would be less than the aggregate of all Independent Amounts determined pursuant to Clause 9(a).
|
(d)
|
Solely for the purpose of determining any Delivery Amount or Return Amount pursuant to the Credit Support Annex, (i) in no event shall Counterparty as a Secured Party have any positive "Exposure" to Citibank with respect to the Transactions (in aggregate) to which this Confirmation relates or (ii) without limiting Clause 3(b) or 9(e), in no event shall Citibank as a Secured Party have any positive "Exposure" to Counterparty with respect to the Transactions (in aggregate) to which this Confirmation relates.
|
(e)
|
If (i) the Net Collateral Value Percentage on any Valuation Date is less than the Termination Threshold on such Valuation Date and (ii) Citibank gives notice thereof to Counterparty on any Business Day, Counterparty shall, no later than one Business Day after the date of such notice from Citibank, effect the Transfer to Citibank as Secured Party of Eligible Collateral such that the Net Collateral Value Percentage after giving effect to such Transfer is at least equal to the Cure Threshold. In addition, Counterparty may, on any Business Day, effect the Transfer to Citibank as Secured Party of any additional Eligible Collateral.
|
(f)
|
If Counterparty enters into any Transaction under the Master Agreement other than the Transactions contemplated by this Confirmation (each, a "
Separate Transaction
"), then the Credit Support Amount with respect to Counterparty as Pledgor shall never be less than the "Credit Support Amount" with respect to Counterparty as Pledgor calculated (i) solely with reference to all Separate Transactions and (ii) without regard to the aggregate of all Independent Amounts applicable to Counterparty as Pledgor under this Confirmation.
|
(g)
|
Each Business Day shall be a Valuation Date.
|
(h)
|
The "
Interest Rate
" will be (i) the overnight ask rate in effect for such day, as set forth opposite the caption "O/N" under the heading "USD" on Reuters Page LIBOR01 or any successor page thereto on or about 11:00 a.m., New York time, on such day, or (ii) if no successor page is quoted, the rate in effect for such day, as set forth in H.15(519) for that day opposite the caption "Federal Funds (Effective)" and if the rate is not yet published in H.15(519), the rate for such day will be the rate set forth in Composite 3:30 p.m. Quotations for U.S. Government Securities for that day under the caption "Federal Funds/Effective Rate". If on any day the appropriate rate for such day is not published in either H.15(519) or Composite 3:30 p.m. Quotations for U.S. Government Securities, the rate for such day will be the arithmetic mean of the rate for the last transaction in overnight U.S. Dollar Federal funds arranged by three leading brokers of U.S. Dollar federal funds transactions in New York City selected by Citibank in good faith prior to 9:00 a.m., New York City time on such day. "
H.15(519)
" means the weekly statistical release designated as such, or any successor publication, published by the Board of Governors of the Federal Reserve System. "
Composite 3:30 p.m. Quotations for U.S. Government Securities
" means the daily statistical release designated as such, or any successor publication, published by the Federal Reserve Bank of New York, or (iii) if such Federal funds rate is not available, any page agreed by the parties. Transfers of the Interest Amount will be made in arrears on the seventh Business Day following the last day of each Monthly Period.
|
(i)
|
Any Transfer required to be made pursuant to this Clause 9 shall be a Transfer made under the Credit Support Annex (and not a payment or delivery made under Section 2(a)(i) of the Master Agreement).
|
Notices to Citibank:
|
|
Citibank, N.A., New York Branch
390 Greenwich Street, 4th Floor
New York, New York 10013
Tel: (212) 723-6181
Fax: (646) 291-5779
Attn: Mitali Sohoni
with a copy to:
Office of the General Counsel
Fixed Income and Derivatives Sales and Trading
Citibank, N.A., New York Branch
388 Greenwich Street, 17th Floor
New York, New York 10013
Tel: (212) 816-2121
Fax: (646) 862-8431
Attn: Craig Seledee
|
|
Notices to Counterparty:
|
|
As set forth in Part 4 of the Schedule to the Master Agreement
|
|
Payments to Citibank:
|
|
Citibank, N.A., New York
ABA No.: 021-000-089
Account No.: 00167679
Ref: Financial Futures
|
|
Payments to Counterparty:
|
|
Any payment to be made to Counterparty shall be subject to the condition that Citibank shall have received notice of the account to which such payment is to be made not less than three Local Business Days prior to the date of such payment.
|
(a)
|
The Office of Citibank for each Transaction:
|
Very truly yours, | ||
CITIBANK, N.A.
|
||
By:
|
/s/ David Santos
|
|
Name:
|
David Santos | |
Title:
|
Authorized Signatory |
CONFIRMED AND AGREED
AS OF THE DATE FIRST ABOVE WRITTEN:
|
||
ARCH STREET FUNDING LLC
|
||
By:
|
/s/ Gerald F. Stahlecker
|
|
Name:
|
Gerald F. Stahlecker | |
Title:
|
Executive Vice President |
(i)
|
For the purposes of the calculation of the Diversity Score, all affiliates of each obligor shall be treated as a single obligor together with such obligor. For this purpose, affiliation shall not result solely from ownership by a common Financial Sponsor.
|
(ii)
|
The
Industry Diversity Score
is calculated as follows:
|
|
(a)
|
An
Issuer Reference Amount
is calculated for each Reference Entity represented in the Reference Portfolio by
summing
the Reference Amounts of all the Reference Obligations with respect to such Reference Entity.
|
|
(b)
|
An
Average Reference Amount
is calculated by
summing
the Reference Amounts of all the Reference Obligations in the Reference Portfolio and
dividing
such amount
by
the sum of the number of Reference Entities in the Reference Portfolio.
|
|
(c)
|
An
Equivalent Unit Score
is calculated for each Reference Entity as the lesser of (A) one and (B) the Issuer Reference Amount for such Reference Entity
divided
by
the Average Reference Amount.
|
|
(d)
|
An
Aggregate Industry Equivalent Unit Score
is then calculated for each of the Moody's Industry Classification Groups, by
summing
the Equivalent Unit Scores for each Reference Entity in each such Moody's Industry Classification Group.
|
|
(e)
|
An
Industry Diversity Score
is then established by reference to the Diversity Score Table shown below for the related Aggregate Industry Equivalent Unit Score;
provided
that if any Aggregate Industry Equivalent Unit Score falls between any two such scores then the applicable Industry Diversity Score will be the lower of the two Industry Diversity Scores in the Diversity Score Table.
|
Aggregate Industry Equivalent Unit Score
|
Industry Diversity Score
|
Aggregate Industry Equivalent Unit Score
|
Industry Diversity Score
|
Aggregate Industry Equivalent Unit Score
|
Industry Diversity Score
|
Aggregate Industry Equivalent Unit Score
|
Industry Diversity Score
|
0.0000
|
0.0000
|
5.0500
|
2.7000
|
10.1500
|
4.0200
|
15.2500
|
4.5300
|
0.0500
|
0.1000
|
5.1500
|
2.7333
|
10.2500
|
4.0300
|
15.3500
|
4.5400
|
0.1500
|
0.2000
|
5.2500
|
2.7667
|
10.3500
|
4.0400
|
15.4500
|
4.5500
|
0.2500
|
0.3000
|
5.3500
|
2.8000
|
10.4500
|
4.0500
|
15.5500
|
4.5600
|
0.3500
|
0.4000
|
5.4500
|
2.8333
|
10.5500
|
4.0600
|
15.6500
|
4.5700
|
0.4500
|
0.5000
|
5.5500
|
2.8667
|
10.6500
|
4.0700
|
15.7500
|
4.5800
|
0.5500
|
0.6000
|
5.6500
|
2.9000
|
10.7500
|
4.0800
|
15.8500
|
4.5900
|
0.6500
|
0.7000
|
5.7500
|
2.9333
|
10.8500
|
4.0900
|
15.9500
|
4.6000
|
0.7500
|
0.8000
|
5.8500
|
2.9667
|
10.9500
|
4.1000
|
16.0500
|
4.6100
|
0.8500
|
0.9000
|
5.9500
|
3.0000
|
11.0500
|
4.1100
|
16.1500
|
4.6200
|
0.9500
|
1.0000
|
6.0500
|
3.0250
|
11.1500
|
4.1200
|
16.2500
|
4.6300
|
1.0500
|
1.0500
|
6.1500
|
3.0500
|
11.2500
|
4.1300
|
16.3500
|
4.6400
|
1.1500
|
1.1000
|
6.2500
|
3.0750
|
11.3500
|
4.1400
|
16.4500
|
4.6500
|
1.2500
|
1.1500
|
6.3500
|
3.1000
|
11.4500
|
4.1500
|
16.5500
|
4.6600
|
1.3500
|
1.2000
|
6.4500
|
3.1250
|
11.5500
|
4.1600
|
16.6500
|
4.6700
|
1.4500
|
1.2500
|
6.5500
|
3.1500
|
11.6500
|
4.1700
|
16.7500
|
4.6800
|
1.5500
|
1.3000
|
6.6500
|
3.1750
|
11.7500
|
4.1800
|
16.8500
|
4.6900
|
1.6500
|
1.3500
|
6.7500
|
3.2000
|
11.8500
|
4.1900
|
16.9500
|
4.7000
|
1.7500
|
1.4000
|
6.8500
|
3.2250
|
11.9500
|
4.2000
|
17.0500
|
4.7100
|
1.8500
|
1.4500
|
6.9500
|
3.2500
|
12.0500
|
4.2100
|
17.1500
|
4.7200
|
1.9500
|
1.5000
|
7.0500
|
3.2750
|
12.1500
|
4.2200
|
17.2500
|
4.7300
|
2.0500
|
1.5500
|
7.1500
|
3.3000
|
12.2500
|
4.2300
|
17.3500
|
4.7400
|
2.1500
|
1.6000
|
7.2500
|
3.3250
|
12.3500
|
4.2400
|
17.4500
|
4.7500
|
2.2500
|
1.6500
|
7.3500
|
3.3500
|
12.4500
|
4.2500
|
17.5500
|
4.7600
|
2.3500
|
1.7000
|
7.4500
|
3.3750
|
12.5500
|
4.2600
|
17.6500
|
4.7700
|
2.4500
|
1.7500
|
7.5500
|
3.4000
|
12.6500
|
4.2700
|
17.7500
|
4.7800
|
2.5500
|
1.8000
|
7.6500
|
3.4250
|
12.7500
|
4.2800
|
17.8500
|
4.7900
|
2.6500
|
1.8500
|
7.7500
|
3.4500
|
12.8500
|
4.2900
|
17.9500
|
4.8000
|
2.7500
|
1.9000
|
7.8500
|
3.4750
|
12.9500
|
4.3000
|
18.0500
|
4.8100
|
2.8500
|
1.9500
|
7.9500
|
3.5000
|
13.0500
|
4.3100
|
18.1500
|
4.8200
|
2.9500
|
2.0000
|
8.0500
|
3.5250
|
13.1500
|
4.3200
|
18.2500
|
4.8300
|
3.0500
|
2.0333
|
8.1500
|
3.5500
|
13.2500
|
4.3300
|
18.3500
|
4.8400
|
3.1500
|
2.0667
|
8.2500
|
3.5750
|
13.3500
|
4.3400
|
18.4500
|
4.8500
|
3.2500
|
2.1000
|
8.3500
|
3.6000
|
13.4500
|
4.3500
|
18.5500
|
4.8600
|
(a)
|
in the case of "Interest and Accruing Fees" (as defined in the "Standard Terms and Conditions for Par/Near Par Trade Confirmations" or "Standard Terms and Conditions for Distressed Trade Confirmations", as applicable to the relevant Reference Obligation, most recently published by the LSTA prior to the Trade Date), shall not include any amounts that accrue prior to the Obligation Settlement Date for the related Reference Obligation or that accrue on or after the Obligation Termination Date for the related Reference Obligation or portion thereof,
|
(b)
|
in the case of "Non-Recurring Fees" (as so defined), shall not include any amounts that (i) accrue prior to the Obligation Trade Date for the related Reference Obligation or that accrue on or after the Termination Trade Date for the related Reference Obligation or portion thereof or (ii) to the extent that such amounts are payable contingent upon whether a consent is given or withheld by the record owner of the related Reference Obligation, accrue with respect to the related Reference Obligation that is not held by or on behalf of Citibank as a hedge for the related Transaction,
|
(c)
|
shall be determined after deducting any Costs of Assignment that would be incurred by a buyer in connection with any purchase of the Reference Obligation as a hedge for such Transaction and, in connection with the establishment by the Citibank Holder of a related hedge in respect of such Transaction, shall be adjusted by any Delay Compensation as provided in Clause 6(b); and
|
(d)
|
in the case of any Transaction as to which the related Reference Obligation is a Committed Obligation, shall include only 75% of fees that are stated to accrue on or in respect of the unfunded portion of any Commitment Amount.
|
(i)
|
if the Reference Obligation itself is rated by Moody's (including pursuant to any credit estimate), such rating,
|
(ii)
|
if the foregoing paragraph is not applicable, then, if the Reference Obligation is a Loan and the related Reference Entity has a corporate family rating by Moody's, the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Loan:
|
Loan
|
Relevant Rating
|
The Loan is a secured obligation, but is not a Second Lien Obligation and is not Subordinate
|
The rating by Moody's that is one rating subcategory above such corporate family rating
|
The Loan is an unsecured obligation or is a Second Lien Obligation, but is not Subordinate
|
The rating by Moody's that is one rating subcategory below such corporate family rating
|
The Loan is Subordinate
|
The rating by Moody's that is two rating subcategories below such corporate family rating
|
(iii)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on a secured obligation of the Reference Entity that is not a Second Lien Obligation and is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(iv)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on an unsecured obligation of the Reference Entity (or, failing that, an obligation that is a Second Lien Obligation) but is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(v)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on an obligation of the Reference Entity that is Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(vi)
|
if a rating cannot be assigned pursuant to clauses (i) through (v), the Moody's Rating may be determined using any of the methods below:
|
|
(A)
|
for up to 5% of the Portfolio Target Amount, Counterparty may apply to Moody's for a shadow rating or public rating of such Reference Obligation, which shall then be the Moody's Rating (and Counterparty may deem the Moody's Rating of such Reference Obligation to be "B3" pending receipt of such shadow rating or public rating, as the case may be);
provided
that (x) a Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount if Counterparty has assigned a rating to such Reference Obligation in accordance with clause (B) below and (y) upon receipt of a shadow rating or public rating, as the case may be, such Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount;
|
|
(B)
|
for up to 5% of the Portfolio Target Amount, if there is a private rating of an obligor that has been provided by Moody's to Citibank and Counterparty, Counterparty may impute a Moody's Rating that corresponds to such private rating;
provided
that a Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount if Counterparty has applied to Moody's for a shadow rating; or
|
|
(C)
|
for up to 10% of the Portfolio Target Amount, the Moody's Rating may be determined in accordance with the methodologies for establishing the S&P Rating except that the Moody's Rating of such obligation will be (1) one sub-category below the Moody's equivalent of the S&P Rating if such S&P Rating is "BBB-" or higher and (2) two sub-categories below the Moody's equivalent of the S&P Rating if such S&P Rating is "BB+" or lower.
|
(i)
|
if the Reference Obligation itself is rated by S&P (including pursuant to any credit estimate), such rating,
|
(ii)
|
if the foregoing paragraph is not applicable, then, if the Reference Obligation is a Loan and the related Reference Entity has a corporate issuer rating by S&P, the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Loan:
|
Loan
|
Relevant Rating
|
The Loan is a secured obligation, but is not a Second Lien Obligation and is not Subordinate
|
The rating by S&P that is one rating subcategory above such corporate issuer rating
|
The Loan is an unsecured obligation or is a Second Lien Obligation, but is not Subordinate
|
The rating by S&P that is one rating subcategory below such corporate issuer rating
|
The Loan is Subordinate
|
The rating by S&P that is two rating subcategories below such corporate issuer rating
|
(iii)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on a secured obligation of the Reference Entity that is not a Second Lien Obligation and is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(iv)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on an unsecured obligation of the Reference Entity (or, failing that, an obligation that is a Second Lien Obligation) but is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(v)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on an obligation of the Reference Entity that is Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
(vi)
|
if the foregoing paragraphs are not applicable, then the S&P Rating shall be "CC";
provided
that:
|
(a)
|
except as provided in the following clause (b), if the related Final Price is not determined in accordance with Clause 4(a), the "Termination Trade Date" will be the bid submission deadline for the Firm Bid or combination of Firm Bids for all of the Reference Amount of such Terminated Obligation that are to be the basis for determining the Final Price of such Terminated Obligation as designated by the Calculation Agent in order to cause the related Total Return Payment Date to occur as promptly as practicable (in the discretion of the Calculation Agent) after the date originally designated as the "Termination Trade Date" in the related Accelerated Termination Notice; and
|
(b)
|
in respect of the Scheduled Termination Date, if the related Final Price is not determined in accordance with Clause 4(a), the "Termination Trade Date" will be the date so designated by the Calculation Agent in its discretion, occurring during the 30 calendar days preceding the Scheduled Termination Date (or earlier in the case of any Terminated Obligation determined by the Calculation Agent in its sole discretion to be a distressed loan or other obligation) in a manner reasonably likely to cause the final Total Return Payment Date to occur on the Scheduled Termination Date.
|
Reference Obligation
|
Reference Entity
|
Reference Amount
|
Outstanding Principal Amount
|
Initial Price (%)
|
Obligation Trade Date
|
Obligation Settlement Date
|
(i)
|
The obligation is a Loan.
|
(ii)
|
The obligation is denominated in USD.
|
(iii)
|
The obligation is secured.
|
(iv)
|
The obligation is not Subordinate.
|
(v)
|
The obligation constitutes a legal, valid, binding and enforceable obligation of the applicable Reference Entity, enforceable against such person in accordance with its terms.
|
(vi)
|
Except for any Delayed Drawdown Reference Obligation or Revolving Reference Obligation, the obligation does not require any future advances to be made to the related issuer or obligor on or after the relevant Obligation Trade Date.
|
(vii)
|
On the relevant Obligation Trade Date for the Transaction relating to the obligation, the obligation is in the form of, and is treated as, indebtedness for U.S. Federal income tax purposes.
|
(viii)
|
Transfers thereof on the Obligation Trade Date may be effected pursuant to the Standard Terms and Conditions for Par/Near Par Trade Confirmations and not the Standard Terms and Conditions for Distressed Trade Confirmations, in each case as published by the LSTA and as in effect on the Obligation Trade Date.
|
(ix)
|
Except for any Specified Reference Obligation, the obligation is not a Second Lien Obligation.
|
(x)
|
Except for any Specified Reference Obligation, on the Obligation Trade Date the obligation is part of a fungible class of debt obligations (as to issuance date and all economic terms) of at least USD125,000,000.
|
(xi)
|
Except for any Specified Reference Obligation, the obligation has as of the Obligation Trade Date a Moody's Rating of at least B3 and an S&P Rating of at least B-.
|
(xii)
|
Except for any Specified Reference Obligation, the obligation has an Initial Price as of the Obligation Trade Date of at least 60%.
|
(xiii)
|
Except for any Specified Reference Obligation, either (x) the obligation is on the Obligation Trade Date the subject of at least two bid quotations from nationally recognized independent dealers in the related obligation as reported on a nationally recognized pricing service or (y) the obligation satisfies each of the following four conditions: (A) the obligation was originated not more than 30 days prior to the Obligation Trade Date, (B) the obligation is on the Obligation Trade Date the subject of at least one bid quotation from a nationally recognized independent dealer in the related obligation as reported on a nationally recognized pricing service, (C) on the Obligation Trade Date the obligation is part of a fungible class of debt obligations (as to issuance date and all economic terms) of at least USD150,000,000 and (D) the obligation has as of the Obligation Trade Date a Moody's Rating of at least B2 and an S&P Rating of at least B.
|
(i)
|
The Portfolio Notional Amount does not exceed the Maximum Portfolio Notional Amount.
|
(ii)
|
The sum of the Notional Amounts for all Reference Obligations that are Specified Reference Obligations does not exceed 25% of the Portfolio Target Amount.
|
(iii)
|
The sum of the Notional Amounts for all Reference Obligations that are Committed Obligations does not exceed 10% of the Portfolio Target Amount.
|
(iv)
|
The sum of the Notional Amounts for Reference Obligations of any single Reference Entity or any of its Affiliates does not exceed 5% of the Portfolio Target Amount.
|
(v)
|
The sum of the Notional Amounts for Reference Obligations of Reference Entities in any single Moody's Industry Classification Group does not exceed 15% of the Portfolio Target Amount.
|
(vi)
|
After the Ramp-Up Period and prior to the Ramp-Down Period, the Reference Portfolio has a Weighted Average Rating of at most 3,000.
|
Moody's Rating
|
Rating Factor
|
Aaa
|
1
|
Aa1
|
10
|
Aa2
|
20
|
Aa3
|
40
|
A1
|
70
|
A2
|
120
|
A3
|
180
|
Baa1
|
260
|
Baa2
|
360
|
Baa3
|
610
|
Ba1
|
940
|
Ba2
|
1,350
|
Ba3
|
1,766
|
B1
|
2,220
|
B2
|
2,720
|
B3
|
3,490
|
Caa1
|
4,770
|
Caa2
|
6,500
|
Caa3
|
8,070
|
Ca or below
|
10,000
|