EX-99.2 3 efc6-2336_emailex992.txt Exhibit 99.2 LEHMAN BROTHERS Transaction Date: 7 September, 2006 To: Countrywide Home Loans, Inc. Attention: Documentation Unit From: Lehman Brothers Special Financing Inc. Confirmations Group Kathy Tsang Facsimile: (+1) 646-885-9551 (United States of America) Telephone: 212-526-9080 Ref. Numbers: Risk ID: 1292115L / Effort ID: N1043348 / Global Deal ID: 2643788 ================================================================================ Dear Sir or Madam: The purpose of this communication (this "Confirmation") is to confirm the terms and conditions of the transaction (the "Transaction") 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 NY 10019 The terms of the particular Transaction to which this Confirmation relates are as follows: General Terms: Trade Date: 29 August, 2006 Effective Date: 08 September, 2006 Termination Date: 25 February, 2012 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 Certificate Principal Balance of the Reference Assets on or about the 15th calendar day of each month, commencing in the month of September 2006. Referenced Assets: CWABS Inc. Asset-Backed Certificates, Series 2006-14, Class 1-A (Cusip: 23243LAA0), Class 2-A-1 (Cusip: 23243LAB8), Class 2-A-2 (Cusip: 23243LAC6), Class 2-A-3 (Cusip: 23243LAD4), Class M-1 (Cusip: 23243LAE2), Class M-2 (Cusip: 23243LAF9), Class M-3 (Cusip: 23243LAG7), Class M-4 (Cusip: 23243LAH5), Class M-5 (Cusip: 23243LAJ1), Class M-6 (Cusip: 23243LAK8), Class M-7 (Cusip: 23243LAL6), Class M-8 (Cusip: 23243LAM4), Class M-9 (Cusip: 23243LAN2) and Class B (Cusip: 23243LAP7). Principal Balance: As reported on Bloomberg Financial Services, Inc. ("Bloomberg"): by entering the Cusip, , type "pdi4", . If Bloomberg fails to publish the aggregate Principal Balance of the Referenced Assets or 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 August, 2006, by and among CWABS, Inc. as depositor, Countrywide Home Loans, Inc. as a seller, Park Monaco Inc. as a seller, Park Sienna LLC as a seller, Countrywide Home Loans Servicing LP as master servicer and The Bank of New York , as trustee. Risk ID: 1292115L / Effort ID: 1043348 / Global Deal ID: 2643788 Page 2 of 6 Floating Amounts: Floating Amount Payer: Party A Floating Amount Payer Period End Dates: The 25th calendar day of each month, from and including 25 September, 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 Day 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 September, 2006 to and including the Termination Date, with No Adjustment of Period End Dates. Fixed Amount Payer Payment Dates: The 25th calendar day of each month, from and including 25 September, 2006 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate: 5.35% per annum Fixed Rate Day Count Fraction: 30/360 Business Days: New York Additional Payment: Party B shall pay Party A the sum of USD 480,000.00 on the Effective Date subject to adjustment in accordance with the Following Business Day Convention. Risk ID: 1292115L / Effort ID: 1043348 / Global Deal ID: 2643788 Page 3 of 6 Additional Provision: 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. 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. Account Details: Account Details of Party A: JPMorgan Chase Bank, New York ABA #: 021000021 A/C of Lehman Brothers Special Financing Inc. A/C # 066-143-543 Account Details of Party B: To be provided 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. By: /s/ Anatoly Kozlov By: /s/ Jennifer Shiley Sandefur ----------------------- ------------------------------ Name: Anatoly Kozlov Name: Jennifer Shiley Sandefur Title: Authorized Signatory Title: Senior Managing Director and Treasurer Risk ID: 1292115L / Effort ID: 1043348 / Global Deal ID: 2643788 Page 4 of 6 Appendix A ------------------------- ---------------------- --------------------- *Calculation *Calculation Period from and Period up to but Notional Amount including excluding (in USD) ------------------------- ---------------------- --------------------- 9/8/2006 9/25/2006 1,419,958,125 9/25/2006 10/25/2006 1,405,305,029 10/25/2006 11/25/2006 1,389,090,489 11/25/2006 12/25/2006 1,371,334,417 12/25/2006 1/25/2007 1,352,062,634 1/25/2007 2/25/2007 1,331,306,877 2/25/2007 3/25/2007 1,309,104,779 3/25/2007 4/25/2007 1,286,030,404 4/25/2007 5/25/2007 1,261,605,375 5/25/2007 6/25/2007 1,236,572,298 6/25/2007 7/25/2007 1,210,350,558 7/25/2007 8/25/2007 1,182,795,080 8/25/2007 9/25/2007 1,153,981,214 9/25/2007 10/25/2007 1,124,547,797 10/25/2007 11/25/2007 1,094,525,911 11/25/2007 12/25/2007 1,063,975,718 12/25/2007 1/25/2008 1,033,017,121 1/25/2008 2/25/2008 1,001,710,315 2/25/2008 3/25/2008 970,121,102 3/25/2008 4/25/2008 939,344,795 4/25/2008 5/25/2008 909,637,314 5/25/2008 6/25/2008 880,964,241 6/25/2008 7/25/2008 853,292,013 7/25/2008 8/25/2008 826,588,186 8/25/2008 9/25/2008 785,986,205 9/25/2008 10/25/2008 745,317,333 10/25/2008 11/25/2008 707,050,026 11/25/2008 12/25/2008 671,043,679 12/25/2008 1/25/2009 637,166,227 1/25/2009 2/25/2009 605,293,620 2/25/2009 3/25/2009 584,646,920 3/25/2009 4/25/2009 565,925,357 4/25/2009 5/25/2009 547,914,375 5/25/2009 6/25/2009 247,308,207 6/25/2009 7/25/2009 242,719,978 7/25/2009 8/25/2009 238,020,038 8/25/2009 9/25/2009 233,877,596 9/25/2009 10/25/2009 229,668,411 10/25/2009 11/25/2009 225,955,754 11/25/2009 12/25/2009 222,084,823 12/25/2009 1/25/2010 219,000,182 1/25/2010 2/25/2010 215,963,293 2/25/2010 3/25/2010 212,356,575 3/25/2010 4/25/2010 208,898,090 4/25/2010 5/25/2010 205,424,343 Risk ID: 1292115L / Effort ID: 1043348 / Global Deal ID: 2643788 Page 5 of 6 5/25/2010 6/25/2010 202,084,019 6/25/2010 7/25/2010 198,731,115 7/25/2010 8/25/2010 195,548,003 8/25/2010 9/25/2010 192,656,782 9/25/2010 10/25/2010 189,643,845 10/25/2010 11/25/2010 186,911,168 11/25/2010 12/25/2010 184,000,065 12/25/2010 1/25/2011 181,645,639 1/25/2011 2/25/2011 179,332,767 2/25/2011 3/25/2011 176,632,447 3/25/2011 4/25/2011 174,092,516 4/25/2011 5/25/2011 171,559,108 5/25/2011 6/25/2011 169,041,775 6/25/2011 7/25/2011 166,118,212 7/25/2011 8/25/2011 162,421,978 8/25/2011 9/25/2011 159,338,444 9/25/2011 10/25/2011 156,357,127 10/25/2011 11/25/2011 153,831,718 11/25/2011 12/25/2011 151,251,652 12/25/2011 1/25/2012 149,001,542 1/25/2012 02/25/2012 146,909,524 *subject to adjustment in accordance with the relevant Business Day Convention with respect to Floating Amounts only. Risk ID: 1292115L / Effort ID: 1043348 / Global Deal ID: 2643788 Page 6 of 6