EX-99.2 4 efc6-1177_ex992.txt Exhibit 99.2 LEHMAN BROTHERS Transaction Date: 9 March, 2006 To: Countrywide Home Loans, Inc. Attention: Documentation Unit From: Lehman Brothers Special Financing Inc. Mandy Lee - Confirmations Group Facsimile: (+1) 648-885-9551 (United States of America) Phone: 212-526-9257 Ref. Numbers: Risk ID: 1143805L, 1143803L / Effort ID: N863730 / Global Deal ID: 2423603, 2423623 ------------------------------------------------------------------------------ Dear Sir or Madam: The purpose of this communication (this "Confirmation") is to confirm the terms and conditions of the transaction (the "Transaction") and entered into between Lehman Brothers Special Financing Inc. ("Party A") and Countrywide Home Loans, Inc. ("Party B") on the Trade Date specified below. This Confirmation constitutes a "Confirmation" as referred to in the Agreement specified below. This Confirmation supplements, forms part of, and is subject to, the ISDA Master Agreement dated as of 06 June, 1996, as amended and supplemented from time to time, between Party A and Party B (the "Agreement"). All provisions contained in the Agreement shall govern this Confirmation except as expressly modified below. The definitions and provisions contained in the 2000 ISDA Definitions as published by the International Swaps and Derivatives Association, Inc. (the "Definitions") are incorporated into this Confirmation. In the event of any inconsistency between the Definitions and the terms of this Confirmation, this Confirmation will govern. For the purpose of the Definitions, references herein to a "Transaction" shall be deemed to be references to a "Swap Transaction". Party A and Party B each represents that entering into the Transaction is within its capacity, is duly authorized and does not violate any laws of its jurisdiction of organization or residence or the terms of any agreement to which it is a party. Party A and Party B each represents that (a) it is not relying on the other party in connection with its decision to enter into this Transaction, and neither party is acting as an advisor to or fiduciary of the other party in connection with this Transaction regardless of whether the other party provides it with market information or its views; (b) it understands the risks of the Transaction and any legal, regulatory, tax, accounting and economic consequences resulting therefrom; and (c) it has determined based upon its own judgment and upon any advice received from its own professional advisors as it has deemed necessary to consult that entering into the Transaction is appropriate for such party in light of its financial capabilities and objectives. Party A and Party B each represents that upon due execution and delivery of this Confirmation, it will constitute a legally valid and binding obligation, enforceable against it in accordance with its terms, subject to applicable principles of bankruptcy and creditors' rights generally and to equitable principles of general application. LEHMAN BROTHERS SPECIAL FINANCING INC. LEHMAN BROTHERS INC. 745 SEVENTH AVENUE, NEW YORK 10019 The terms of the particular Transaction to which this Confirmation relates are as follows:
General Terms: Trade Date: 02 March, 2006 Effective Date: 17 March, 2006 Termination Date: 25 February, 2011 For purposes of the final Calculation Period on the Floating Amounts, Termination Date will be subject to adjustment in accordance with the Following Business Day Convention, and for purposes of the final Calculation Period on the Fixed Amounts, Termination Date will be subject to No Adjustment. Notional Amount: With respect to each Calculation Period, the lesser of (i) the Notional Amount as set forth in Appendix A attached hereto and (ii) the aggregate Principal Balance of the Reference Assets on or about the 15th calendar day of each month, commencing in the month of March 2006. Referenced Assets: CWABS Trust Series 2006-4 Class 1-A-1 (Cusip: 126670WQ7), Class 1- A-1M (Cusip: 126670WR5), Class 2-A- 1 (Cusip: 126670WS3), Class 2-A-2 (Cusip: 126670WT1), Class 2-A-3 (Cusip: 126670WU8), Class M-1 (Cusip: 126670WV6), Class M-2 (Cusip: 126670WW4), Class M-3 (Cusip: 126670WX2), Class M-4 (Cusip: 126670WY0), Class M-5 (Cusip: 126670WZ7), Class M-6 (Cusip: 126670XA1), Class M-7 (Cusip: 126670XB9), Class M-8 (Cusip: 126670XC7), Class B (Cusip: 126670XD5). Principal Balance: As reported on Bloomberg Financial Services, Inc. ("Bloomberg"): by entering the Cusip [Mtge], type "pdi4", [go]. If Bloomberg fails to publish the aggregate Principal Balance of the Referenced Assets of the parties fail to agree on the aggregate Principal Balance of the Referenced Assets for any Calculation Period, the aggregate Principal Balance of the Referenced Assets shall be determined by the Calculation Agent pursuant to the Pooling and Servicing Agreement dated as of 01 February, 2006 among CWABS, Inc. as depositor, Park Monaco Inc., as a seller, Park Sienna LLC, as a seller, Countrywide Home Loans, Inc. as a seller, Countrywide Home Loans Servicing LP, as Master Servicer, and The Bank of New York, as trustee. Floating Amounts: Floating Amount Payer: Party A Risk ID: 1143805L, 1143803L / Effort ID: 863730 / Global Deal ID: 2423603, 2423623 Page 2 of 6 Floating Amount Payer Period End Dates: The 25th calendar day of each month, from and including 25 March, 2006 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Floating Amount Payer Payment Dates" One (1) Business Days prior to each Floating Amount Payer Period End Date. Floating Rate Option: USD-LIBOR-BBA Designated Maturity: 1 month Spread: Inapplicable Floating Rate Day Count Fraction: Actual/360 Reset Dates: The first day of each Calculation Period Fixed Amounts: Fixed Amount Payer: Party B Fixed Amount Payer Period End Dates: The 25th calendar day of each month, from and including 25 March, 2006 to and including the Termination Date, with No Adjustment of Period End Date. Fixed Amount Payer Payment Dates: The 25th calendar day of each month, from and including 25 March, 2006 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate: 5.07% per annum Fixed Rate Day Count Fraction: 30/360 Business Days: New York Additional Payments: Party B Shall pay Party A the sum of USD 1,600,000 on the Effective Date subject to adjustment in accordance with the Following Business Day Convention. Additional Provisions: Netting: With respect to each Calculation Period, if a Net Payment Amount for such Calculation Period is owed by Party A, then such Net Payment Amount shall be paid by Party A to Party B on the Floating Amount Payer Payment Date and if a Net Payment Amount for such Calculation Period is owed by Party B, then such Net Payment Amount shall be paid by Party B to Party A on the Fixed Amount Payer Payment Date. Risk ID: 1143805L, 1143803L / Effort ID: 863730 / Global Deal ID: 2423603, 2423623 Page 3 of 6 Where, Net Payment Amount shall mean, for a Calculation Period, the excess of the larger aggregate amount payable and currently owed by one party over the smaller aggregate amount payable and currently owed by the other party. Miscellaneous: Calculation Agent: As stated in the Agreement. Office: For the purposes of this Transaction, Party A is not a Multibranch Party, and the Office of Party B is its Head Office.
Please confirm your agreement with the foregoing by executing this Confirmation and returning such Confirmation, in its entirety, to us at facsimile number (+1) 646-885-9551 (United States of America), Attention: Confirmations Group. Yours sincerely, Accepted and agreed to: Lehman Brothers Special Financing Inc. Countrywide Home Loans, Inc. Anatoly Kozlov By: /s/ Brad Coburn ------------------------- Lehman Brothers Special Financing Inc. Name: Brad Coburn /s/ Anatoly Kozlov Title: Managing Director and Assistant Treasurer Risk ID: 1143805L, 1143803L / Effort ID: 863730 / Global Deal ID: 2423603, 2423623 Page 4 of 6 Appendix A Calculation Periods up to but excluding Notional amount (USD): the Payment Date scheduled to occur: 25 March, 2006 498,160,000.00 25 April, 2006 493,175,598.00 25 May, 2006 487,598,586.00 25 June, 2006 481,436,221.00 25 July, 2006 474,698,061.00 25 August, 2006 467,395,972.00 25 September, 2006 459,544,117.00 25 October, 2006 451,367,265.00 25 November, 2006 442,676,853.00 25 December, 2006 433,788,156.00 25 January, 2007 424,382,012.00 25 February, 2007 414,480,160.00 25 March, 2007 404,110,921.00 25 April, 2007 393,557,724.00 25 May, 2007 382,637,696.00 25 June, 2007 371,382,861.00 25 July, 2007 359,934,943.00 25 August, 2007 348,321,585.00 25 September, 2007 336,696,706.00 25 October, 2007 325,469,000.00 25 November, 2007 314,645,375.00 25 December, 2007 304,212,242.00 25 January, 2008 294,156,478.00 25 February, 2008 284,465,413.00 25 March, 2008 270,086,903.00 25 April, 2008 256,801,816.00 25 May, 2008 244,283,154.00 25 June, 2008 232,486,747.00 25 July, 2008 221,371,113.00 25 August, 2008 210,897,298.00 Risk ID: 1143805L, 1143803L / Effort ID: 863730 / Global Deal ID: 2423603, 2423623 Page 5 of 6 Appendix A Calculation Periods up to but excluding Notional amount (USD): the Payment Date scheduled to occur: 25 September, 2008 203,929,345.00 25 October, 2008 197,232,106.00 25 November, 2008 190,799,406.00 25 December, 2008 184,622,343.00 25 January, 2009 178,692,336.00 25 February, 2009 171,929,253.00 25 March, 2009 164,803,942.00 25 April, 2009 158,080,508.00 25 May, 2009 151,704,376.00 25 June, 2009 145,658,408.00 25 July, 2009 139,926,410.00 25 August, 2009 135,159,389.00 25 September, 2009 130,838,555.00 25 October, 2009 126,693,913.00 25 November, 2009 122,721,653.00 25 December, 2009 118,916,175.00 25 January, 2010 115,258,400.00 25 February, 2010 111,733,377.00 25 March, 2010 108,278,568.00 25 April, 2010 104,853,326.00 25 May, 2010 101,569,871.00 25 June, 2010 98,423,612.00 25 July, 2010 95,403,743.00 25 August, 2010 92,493,867.00 25 September, 2010 89,663,145.00 25 October, 2010 86,935,324.00 25 November, 2010 84,306,602.00 25 December, 2010 81,769,784.00 25 January, 2011 79,321,801.00 25 February, 2011 76,959,513.00 Risk ID: 1143805L, 1143803L / Effort ID: 863730 / Global Deal ID: 2423603, 2423623 Page 6 of 6