EX-99.2 3 efc6-2523_emailex992.txt Exhibit 99.2 ------------ LEHMAN BROTHERS Transaction Date: 15 September, 2006 To: Countrywide Home Loans, Inc. Attention: Documentation Unit From: Lehman Brothers Special Financing Inc. Mandy Lee - Confirmations Group Facsimile: (+1) 646-885-9551 (United States of America) Telephone: 212-526-9257 Ref. Numbers: Risk ID: 1282109L / Effort ID: N1031281 / Global Deal ID: 2628342 ------------------------------------------------------------------------------- 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: 15 August, 2006 Effective Date: 28 September, 2006 Termination Date: 25 September, 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 October 2006. Referenced Assets: CWABS Inc. Asset-Backed Certificates, Series 2006-16, Class 1-A (Cusip: 23242FAA4), Class 2-A-1 (Cusip: 23242FAB2), Class 2-A-2 (Cusip: 23242FAC0), Class 2-A-3 (Cusip: 23242FAD8), Class M-1 (Cusip: 23242FAE6), Class M-2 (Cusip: 23242FAF3), Class M-3 (Cusip: 23242FAG1), Class M-4 (Cusip: 23242FAH9), Class M-5 (Cusip: 23242FAJ5), Class M-6 (Cusip: 23242FAK2), Class M-7 (Cusip: 23242FAL0), Class M-8 (Cusip: 23242FAM8), and Class M-9 (Cusip: 23242FAN6), Class B (Cusip: 23242FAP1). 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 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 September, 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. Floating Amounts: Floating Amount Payer: Party A Risk ID: 1282109L / Effort ID: 1031281 / Global Deal ID: 2628342 Page 2 of 6 Floating Amount Payer Period The 25th calendar day of each month, from End Dates: and including 25 October, 2006 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Floating Amount Payer Payment One (1) Business Day prior to each Dates: 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 The 25th calendar day of each month, from Dates: and including 25 October, 2006 to and including the Termination Date, subject to no adjustment. Fixed Amount Payer Payment Dates: The 25th calendar day of each month, from and including 25 October, 2006 to and including the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate: 5.36% 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 390,000.00 on the Effective Date, subject to adjustment in accordance with the Following Business Day Convention. Risk ID: 1282109L / Effort ID: 1031281 / Global Deal ID: 2628342 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 per 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 Countrywide Home Loans, Inc. 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: 1282109L / Effort ID: 1031281 / Global Deal ID: 2628342 Page 4 of 6 Appendix A *Calculation Periods *Calculation Periods up from and including to but excluding Notional Amount (USD) 28 September, 2006 25 October, 2006 385,876,817.00 25 October, 2006 25 November, 2006 383,118,270.00 25 November, 2006 25 December, 2006 379,918,099.00 25 December, 2006 25 January, 2007 376,278,566.00 25 January, 2007 25 February, 2007 372,203,539.00 25 February, 2007 25 March, 2007 367,698,513.00 25 March, 2007 25 April, 2007 362,770,622.00 25 April, 2007 25 May, 2007 357,563,121.00 25 May, 2007 25 June, 2007 351,952,719.00 25 June, 2007 25 July, 2007 346,039,450.00 25 July, 2007 25 August, 2007 339,832,112.00 25 August, 2007 25 September, 2007 333,221,214.00 25 September, 2007 25 October, 2007 326,224,422.00 25 October, 2007 25 November, 2007 319,018,501.00 25 November, 2007 25 December, 2007 311,495,334.00 25 December, 2007 25 January, 2008 303,676,184.00 25 January, 2008 25 February, 2008 295,583,535.00 25 February, 2008 25 March, 2008 287,240,993.00 25 March, 2008 25 April, 2008 278,673,202.00 25 April, 2008 25 May, 2008 269,914,739.00 25 May, 2008 25 June, 2008 261,456,373.00 25 June, 2008 25 July, 2008 253,288,983.00 25 July, 2008 25 August, 2008 245,403,185.00 25 August, 2008 25 September, 2008 237,789,906.00 25 September, 2008 25 October, 2008 230,440,374.00 25 October, 2008 25 November, 2008 218,711,657.00 25 November, 2008 25 December, 2008 207,666,799.00 25 December, 2008 25 January, 2009 197,265,930.00 25 January, 2009 25 February, 2009 187,471,595.00 25 February, 2009 25 March, 2009 178,248,600.00 25 March, 2009 25 April, 2009 169,563,882.00 25 April, 2009 25 May, 2009 164,171,422.00 25 May, 2009 25 June, 2009 158,979,830.00 25 June, 2009 25 July, 2009 153,982,536.00 25 July, 2009 25 August, 2009 149,173,196.00 25 August, 2009 25 September, 2009 144,545,685.00 25 September, 2009 25 October, 2009 139,976,522.00 25 October, 2009 25 November, 2009 135,519,645.00 Risk ID: 1282109L / Effort ID: 1031281 / Global Deal ID: 2628342 Page 5 of 6 25 November, 2009 25 December, 2009 131,231,771.00 25 December, 2009 25 January, 2010 127,107,220.00 25 January, 2010 25 February, 2010 123,140,526.00 25 February, 2010 25 March, 2010 119,326,420.00 25 March, 2010 25 April, 2010 115,727,829.00 25 April, 2010 25 May, 2010 112,187,103.00 25 May, 2010 25 June, 2010 108,779,935.00 25 June, 2010 25 July, 2010 105,502,187.00 25 July, 2010 25 August, 2010 102,349,855.00 25 August, 2010 25 September, 2010 99,319,065.00 25 September, 2010 25 October, 2010 96,403,931.00 25 October, 2010 25 November, 2010 93,452,604.00 25 November, 2010 25 December, 2010 90,611,988.00 25 December, 2010 25 January, 2011 87,878,655.00 25 January, 2011 25 February, 2011 85,249,285.00 25 February, 2011 25 March, 2011 82,720,668.00 25 March, 2011 25 April, 2011 80,287,932.00 25 April, 2011 25 May, 2011 77,949,796.00 25 May, 2011 25 June, 2011 75,693,891.00 25 June, 2011 25 July, 2011 73,516,741.00 25 July, 2011 25 August, 2011 71,415,654.00 25 August, 2011 25 September, 2011 69,388,229.00 *with respect to each Fixed Amount Payer Period End Date, all such dates are subject to no adjustment, and with respect to each Floating Amount Payer Period End Date, all such dates are subject to adjustment in accordance with the Following Business Day Convention. Risk ID: 1282109L / Effort ID: 1031281 / Global Deal ID: 2628342 Page 6 of 6