Exhibit 10.4
CREDIT SUPPORT ANNEX
to the Schedule to the
Master Agreement
dated as of May 19, 2008
between

Goldman Sachs   and   DaimlerChrysler Auto Trust 2008-B Mitsui Marine Derivative
        Products, L.P.        

      (“Party A”)   (“Party B”)

Paragraph 13. Elections and Variables
(a) Security Interest for “Obligations”. The term “Obligations” as used in this
Annex includes the following additional obligations:
With respect to Party A: Not Applicable.
With respect to Party B: Not Applicable.
(b) Credit Support Obligations.

  (i)   Delivery Amount, Return Amount and Credit Support Amount.

  (A)   “Delivery Amount” has the meaning specified in Paragraph 3(a); provided
that “Delivery Amount” shall be calculated as specified in Paragraph 3(a) as
amended (I) by deleting the words “upon a demand made by the Secured Party on or
promptly following a Valuation Date” and inserting in lieu thereof the words
“not later than the close of business on the next Local Business Day following a
Valuation Date” and (II) by deleting in its entirety the sentence beginning
“Unless otherwise specified in Paragraph 13” and inserting in lieu thereof the
following:         “The "Delivery Amount” applicable to the Pledgor for any
Valuation Date will equal the greatest of:

  i.   the amount by which (a) the Credit Support Amount with respect to Moody’s
for such Valuation Date exceeds (b) the Value (determined using the Moody’s
Valuation Percentages in Table 4 or 5 (as applicable)) as of such

 

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      Valuation Date of the Posted Credit Support held by the Secured Party;

  ii.   the amount by which (a) the Credit Support Amount with respect to S&P
for such Valuation Date exceeds (b) the Value (determined using the S&P
Valuation Percentages as described in Paragraphs 13(b)(ii)(C) and (D) hereof) as
of such Valuation Date of the Posted Credit Support held by the Secured Party;
provided that, if the S&P Threshold for such Valuation Date is zero and an S&P
Second Trigger Ratings Event has occurred and is continuing and 10 or more Local
Business Days have elapsed since such S&P Second Trigger Ratings Event first
occurred, the definition of Value shall be amended to insert “multiplied by the
applicable Valuation Percentage, if any” after the word “thereof” and before the
semicolon in clause (i)(A) thereof.”; and     iii.   the amount by which (a) the
Credit Support Amount with respect to Fitch for such Valuation Date exceeds
(b) the Value (determined using the Fitch Valuation Percentages as described in
Paragraphs 13(b)(ii)(E) hereof) as of such Valuation Date of the Posted Credit
Support held by the Secured Party.

  (B)   “Return Amount” has the meaning specified in Paragraph 3(b); provided
that, in the event that Party A elects or is required to post collateral
pursuant to a Ratings Event I or a Ratings Event II, “Return Amount” shall be
calculated as specified in Paragraph 3(b) as amended by deleting in its entirety
the sentence beginning “Unless otherwise specified in Paragraph 13” and
inserting in lieu thereof the following:         “The “Return Amount” applicable
to the Pledgor for any Valuation Date will equal the least of:

  i.   the amount by which (a) the Value (determined using the Moody’s Valuation
Percentages in Table 4 or 5 (as applicable)) as of such Valuation Date of the
Posted Credit Support held by the Secured Party exceeds (b) the Credit Support
Amount with respect to Moody’s for such Valuation Date;     ii.   the amount by
which (a) the Value (determined using the S&P Valuation Percentages as described
in Paragraphs 13(b)(ii)(C) and (D) hereof) as of such Valuation Date of the
Posted Credit Support held by the Secured Party exceeds (b) the Credit Support
Amount with respect to

 

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      S&P for such Valuation Date; provided that, if the S&P Threshold for such
Valuation Date is zero and an S&P Second Trigger Ratings Event has occurred and
is continuing and 10 or more Local Business Days have elapsed since such S&P
Second Trigger Ratings Event first occurred, the definition of Value shall be
amended to insert “multiplied by the applicable Valuation Percentage, if any”
after the word “thereof” and before the semicolon in clause (i)(A) thereof.”;
and     iii.   the amount by which (a) the Value (determined using the Fitch
Valuation Percentages in Table 6) as of such Valuation Date of the Posted Credit
Support held by the Secured Party exceeds (b) the Credit Support Amount with
respect to Fitch for such Valuation Date.

  (C)   Paragraph 4(b) is hereby amended by the insertion of the words “(i) in
respect of a Transfer pursuant to Paragraph 3(b),” immediately prior to the
words “if a demand for” and the insertion of the words “; and (ii) in respect of
a Transfer pursuant to Paragraph 3(a), the relevant Transfer will be made not
later than the close of business on the next Local Business Day following the
Valuation Date” immediately prior to the period.     (D)   “Credit Support
Amount” has the meaning specified below:

  i.   with respect to Moody’s (A) if the Moody’s Threshold for such Valuation
Date is zero and either (i) a Moody’s Second Trigger Rating Event is not
continuing or (ii) a Moody’s Second Trigger Rating Event is continuing but less
than 30 Local Business Days have elapsed since such Moody’s Second Trigger
Rating Event first occurred, “Credit Support Amount” shall have the meaning
specified in Table 1A attached hereto; (B) so long as a Moody’s Second Trigger
Ratings Event has occurred and is continuing and 30 or more Local Business Days
have elapsed since such Moody’s Second Trigger Rating Event first occurred,
“Credit Support Amount” shall have the meaning specified in Table 2A attached
hereto; or (C) if the Moody’s Threshold for such Valuation Date is infinity,
zero.     ii.   with respect to S&P (A) if the S&P Threshold for such Valuation
Date is zero and either (i) an S&P Second Trigger Ratings Event is not
continuing or (ii) an S&P Second Trigger Ratings Event is continuing and less
than 10 Local Business Days have elapsed since such S&P Second Trigger Ratings
Event first occurred, “Credit

 

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      Support Amount” shall mean the Secured Party’s Exposure; (B) if the S&P
Threshold for such Valuation Date is zero and an S&P Second Trigger Ratings
Event has occurred and is continuing and 10 or more Local Business Days have
elapsed since such S&P Second Trigger Ratings Event first occurred, “Credit
Support Amount” shall mean 125% of the Secured Party’s Exposure; or (C) if the
S&P Threshold is infinity, zero.     iii.   with respect to Fitch (A) if the
Fitch Threshold for such Valuation Date is zero, “Credit Support Amount” shall
mean, for each Transaction to which this Annex relates, of the excess of (1) the
sum of (x) 100.0% of Party B’s Exposure for such Valuation Date and (y) the
product of the Volatility Buffer (as set out in Table 7) for such Transaction
and the Notional Amount of such Transaction for the Calculation Period of such
Transaction which includes such Valuation Date over (2) the Fitch Threshold
Amount; or (B) if the Fitch Threshold is infinity, zero.

  (ii)   Eligible Collateral.

  (A)   with respect to Moody’s (A) if the Moody’s Threshold for such Valuation
Date is zero and either (i) a Moody’s Second Trigger Rating Event is not
continuing or (ii) a Moody’s Second Trigger Rating Event is continuing but less
than 30 Local Business Days have elapsed since such Moody’s Second Trigger
Rating Event first occurred, the items specified in Table 4 attached hereto will
qualify as “Eligible Collateral” for Party A.     (B)   with respect to Moody’s,
so long as a Moody’s Second Trigger Ratings Event has occurred and is continuing
and 30 or more Local Business Days have elapsed since such Moody’s Second
Trigger Rating Event first occurred, the items specified in Table 5 attached
hereto will qualify as “Eligible Collateral” for Party A.     (C)   with respect
to S&P, if the S&P Threshold for such Valuation Date is zero and either (i) an
S&P Second Trigger Ratings Event is not continuing or (ii) an S&P Second Trigger
Ratings Event is continuing and less than 10 Local Business Days have elapsed
since such S&P Second Trigger Ratings Event first occurred, (A) the items
specified in Table 3 attached hereto will qualify as “Eligible Collateral” for
Party A and (B) the Valuation Percentage with respect any item of Eligible
Collateral shall equal 100 divided by the Base Overcollateralization Rate for
such item of Eligible Collateral specified in Table 3 attached hereto.     (D)  
with respect to S&P, if the S&P Threshold for such Valuation Date is zero, and
an S&P Second Trigger Ratings Event has occurred and is continuing

 

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      and 10 or more Local Business Days have elapsed since such S&P Second
Trigger Ratings Event first occurred, (A) the items specified in Table 3
attached hereto will qualify as “Eligible Collateral” for Party A and (B) the
Valuation Percentage with respect any item of Eligible Collateral shall equal
(1) 100 divided by (2) the Base Overcollateralization Rate for such item of
Eligible Collateral specified in Table 3 attached hereto * 1.25.     (E)   with
respect to Fitch, if the Fitch Threshold for such Valuation Date is zero, the
items specified in Table 6 attached hereto will qualify as “Eligible Collateral”
for Party A.

  (iii)   Other Eligible Support. The following items will qualify as “Other
Eligible Support” for the party specified: None.     (iv)   Thresholds.

      “Independent Amount” means with respect to Party A: None.        
“Independent Amount” means with respect to Party B: None.     (A)   “Moody’s
Threshold” means, with respect to Party A and any Valuation Date, if a Moody’s
First Trigger Ratings Event has occurred and is continuing and such Moody’s
First Trigger Ratings Event has been continuing for at least 30 Local Business
Days or since this Annex was executed, zero; otherwise, infinity.     (B)   “S&P
Threshold” means, with respect to Party A and any Valuation Date, if an S&P
First Trigger Ratings Event has occurred and is continuing and such S&P First
Trigger Ratings Event has been continuing for at least 10 Local Business Days or
since this Annex was executed, zero; otherwise, infinity.     (C)   “Fitch
Threshold” means, with respect to Party A and any Valuation Date, if a Fitch
First Trigger Ratings Event has occurred and is continuing and such Fitch First
Trigger Ratings Event has been continuing for at least 30 Local Business Days or
since this Annex was executed, zero; otherwise, infinity.     (D)   “Minimum
Transfer Amount” means with respect to a party, $100,000, unless the principal
amount of the Senior Notes is equal to or less than $50,000,000, in which case
the Minimum Transfer Amount with respect to a party shall be $50,000; provided,
however, that if an Event of Default has occurred and is continuing with respect
to a party, the Minimum Transfer Amount with respect to such party shall be
zero.     (E)   Rounding. The Delivery Amount and Return Amount will be rounded
up and down, respectively, to the nearest integral multiple of $10,000.

 

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  (v)   “Exposure” has the meaning specified in Paragraph 12, except that after
the word “Agreement” in the fourth line thereof the words “(assuming, for this
purpose only, that Part 5(d) of the Schedule is deleted)” shall be inserted.

(c) Valuation and Timing.

  (i)   “Valuation Agent” means Party A.     (ii)   “Valuation Date” means each
New York Business Day.     (iii)   “Valuation Time” means the close of business
in the city of the Valuation Agent on the Local Business Day before the
Valuation Date or date of calculation, as applicable; provided that the
calculations of Value and Exposure will be made as of approximately the same
time on the same date.     (iv)   “Notification Time” means no later than 1:00
p.m., New York time, on a Local Business Day; provided, however, that the
Valuation Agent will only give notice of its calculations to a party upon
request by such party.

(d) Conditions Precedent and Secured Party’s Rights and Remedies. The following
Termination Event(s) will be a “Specified Condition” for the party specified
(that party being the Affected Party if the Termination Event occurs with
respect to that party): With respect to Party A and Party B, Additional
Termination Event and Illegality.
(e) Substitution.

  (i)   “Substitution Date” has the meaning specified in Paragraph 4(d)(ii).    
(ii)   Consent. The Pledgor is not required to obtain the Secured Party’s
consent for any substitutions pursuant to Paragraph 4(d).

(f) Dispute Resolution.

  (i)   “Resolution Time” means 1:00 p.m., New York time, on the Local Business
Day following the date on which the notice is given that gives rise to a dispute
under Paragraph 5.     (ii)   “Value”. For the purpose of Paragraph 5(i)(C) and
5(ii), the Value of Posted Credit Support will be calculated as follows:

  (A)   The Value of Cash will be the face amount thereof, multiplied by the
applicable Valuation Percentage.     (B)   With respect to any Treasury Bills,
Treasury Notes, Treasury Bonds, Agency Securities (referred to herein as
“Securities”), the sum of (I) (x) the mean of the high bid and low asked prices
quoted on such date by any principal market maker for such Securities chosen by
the Disputing Party,

 

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or (y) if no quotations are available from a principal market maker on such
date, the mean of such high bid and low asked prices as of the day, next
preceding such date, on which such quotations were available, plus (II) the
accrued interest on such Securities (except to the extent Transferred to a party
pursuant to any applicable provision of this Agreement or included in the
applicable price referred to in (I) of this clause (B)) as of such date,
multiplied by the applicable Valuation Percentage.

  (iii)   “Alternative”. The provisions of Paragraph 5 will apply.

(g) Holding and Using Posted Collateral.

  (i)   Eligibility to Hold Posted Collateral; Custodians. Party B and its
Custodian will be entitled to hold Posted Collateral pursuant to Paragraph 6(b),
provided that the following conditions applicable to it are satisfied:

  (A)   Party B is not a Defaulting Party.     (B)   No Specified Condition has
occurred and is continuing with respect to Party B.     (C)   Posted Collateral
is held only in the United States.     (D)   Initially, Party B’s Custodian
shall have a Short Term Rating by S&P of at least “A-1” or, if Party B’s
Custodian does not have a Short Term Rating by S&P, a Long Term Rating by S&P of
at least “A+”.     (E)   If the account provider’s rating falls below “A-1” or
“A+” (as applicable), the funds will be transferred within 60 calendar days to
another account provider that is rated at least “A-1” or “A+” (as applicable).

      Initially, the Custodian for Party B is Citibank, N.A.     (ii)   Use of
Posted Collateral. The provisions of Paragraph 6(c) will not apply.

(h) Distributions and Interest Amount.

  (i)   Interest Rate. The “Interest Rate” will be the rate actually earned and
received by the Custodian on Posted Collateral in the form of Cash.     (ii)  
Transfer of Interest Amount. The Transfer of the Interest Amount will be made on
the first Local Business Day of each calendar month (in respect of amounts
accrued to the end of the previous calendar month) and on any Local Business Day
when the cash collateral is returned in its entirety.     (iii)   Alternative to
Interest Amount. Not Applicable.

 

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(i) Other Eligible Support and Other Posted Support.

  (i)   “Value” with respect to Other Eligible Support and Other Posted Support
means: Not Applicable.     (ii)   “Transfer” with respect to Other Eligible
Support and Other Posted Support means: Not Applicable.

(j) Demands and Notices.
All demands, specifications and notices under this Annex will be made pursuant
to the Notices Section of this Agreement, unless otherwise specified here:
With respect to Party A:
85 Broad Street
New York, New York 10004
Tel.: (212) 902-1944
Fax: (212) 902-0996
Attn: Swap Operations
E-mail: ficc-swaps-collateral@ny.email.com
With respect to Party B
DaimlerChrysler Auto Trust 2008-B
c/o BNYM (Delaware)
100 White Clay Center, Route 273
P.O. Box 6995
Newark, Delaware 19714
Attention: Corporate Trust Administration
Facsimile: +1 (302) 453-4400
With copies to:
The Bank of New York
101 Barclay Street, 8W
New York, NY 10286
Attention: Asset Backed Securities Unit
email: jbobko@bankofny.com
and

 

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DaimlerChrysler Financial Services Americas LLC
CIMS 405-25-10
27777 Inkster Road
Farmington Hills, MI 48335
Attention: Paul Colenso
Facsimile: +1 (248) 427-4267
and
DaimlerChrysler Financial Services Americas LLC
CIMS 405-25-10
27777 Inkster Road
Farmington Hills, MI 48335
Attention: Q. Gwynn Lam, Assistant General Counsel
Facsimile: +1 (248) 427-2550
(k) Addresses for Transfers.
Party A: To be specified by Party A in writing.
Party B: To be specified by Party B in writing.
(l) Agreement as to Single Secured Party and Pledgor. Party A and Party B agree
that, notwithstanding anything to the contrary in the recital to this Annex,
Paragraph 1(b) or Paragraph 2 or the definitions of Paragraph 12, (a) the term
“Secured Party” as used in this Annex shall mean only Party B, (b) the term
“Pledgor” as used in this Annex shall mean only Party A, (c) only Party A makes
the pledge and grant in Paragraph 2, the acknowledgement in the final sentence
of Paragraph 8(a) and the representations in paragraph 9 and (d) only Party A
will be required to make Transfers of Eligible Credit Support hereunder.
(m) Expenses. For the avoidance of doubt, Party A shall be responsible for
posting and maintaining collateral in accordance with this Credit Support Annex
at its own cost.

 

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IN WITNESS WHEREOF the parties have executed this Annex on the respective dates
specified below with effect from the date specified on the first page of this
document.

                  GOLDMAN SACHS MITSUI MARINE
     DERIVATIVE PRODUCTS, L.P.    
 
           
 
  By:   GSMMDPGP, Inc.,    
 
           General Partner    
 
           
 
  By:    /s/ Michael J. Rost    
 
           
 
      Name: Michael J. Rost    
 
      Title: Vice President    
 
      Date: May 19, 2008    
 
                DAIMLERCHRYSLER AUTO TRUST 2008-B,    
 
           
 
  By:   BNYM (DELAWARE), not in its
individual capacity but solely as Owner Trustee    
 
           
 
  By:   /s/ Kristine K. Gullo    
 
           
 
      Name: Kristine K. Gullo    
 
      Title: Vice President    
 
      Date: May 19, 2008    

 

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TABLE 1A
CREDIT SUPPORT AMOUNT
DOWNGRADE BY MOODY’S FIRST TRIGGER
“Credit Support Amount” means, with respect to a Valuation Date, an amount equal
to either:
(A) The greater of (1) zero and (2) the sum of (a) the MTM and (b) the lesser of
(x) 15 multiplied by DV01 and (y) 2% multiplied by the Notional Amount; or
(B) The greater of (1) zero and (2) the sum of (a) the MTM and (b) the Notional
Amount multiplied by the amount specified in Table 1B attached hereto.
Party A shall, in its sole discretion, have the option to determine the Credit
Support Amount based upon either (A) or (B) above.
“DV01” means an estimate (as determined by the Valuation Agent in good faith and
in a commercially reasonable manner with the relevant methodology customarily
used by the Valuation Agent) of the change in the Secured Party’s Exposure
resulting from a one basis point change in the swap curve.
“MTM” means the Secured Party’s Exposure for that Valuation Date.

 

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TABLE 1B

          Weighted Average         Life of Hedge         in Years        
Equal to or less than 1
    0.15 %
Greater than 1 but less than or equal to 2
    0.30 %
Greater than 2 but less than or equal to 3
    0.40 %
Greater than 3 but less than or equal to 4
    0.60 %
Greater than 4 but less than or equal to 5
    0.70 %
Greater than 5 but less than or equal to 6
    0.80 %
Greater than 6 but less than or equal to 7
    1.00 %
Greater than 7 but less than or equal to 8
    1.10 %
Greater than 8 but less than or equal to 9
    1.20 %
Greater than 9 but less than or equal to 10
    1.30 %
Greater than 10 but less than or equal to 11
    1.40 %
Greater than 11 but less than or equal to 12
    1.50 %
Greater than 12 but less than or equal to 13
    1.60 %
Greater than 13 but less than or equal to 14
    1.70 %
Greater than 14 but less than or equal to 15
    1.80 %
Greater than 15 but less than or equal to 16
    1.90 %
Greater than 16 but less than or equal to 17
    2.00 %
Greater than 17 but less than or equal to 18
    2.00 %
Greater than 18 but less than or equal to 19
    2.00 %
Greater than 19 but less than or equal to 20
    2.00 %
Greater than 20 but less than or equal to 21
    2.00 %
Greater than 21 but less than or equal to 22
    2.00 %
Greater than 22 but less than or equal to 23
    2.00 %
Greater than 23 but less than or equal to 24
    2.00 %
Greater than 24 but less than or equal to 25
    2.00 %
Greater than 25 but less than or equal to 26
    2.00 %
Greater than 26 but less than or equal to 27
    2.00 %
Greater than 27 but less than or equal to 28
    2.00 %
Greater than 28 but less than or equal to 29
    2.00 %
Greater than 29 but less than or equal to 30
    2.00 %

 

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TABLE 2A
CREDIT SUPPORT AMOUNT
MOODY’S SECOND TRIGGER
“Credit Support Amount” means, with respect to a Valuation Date, an amount equal
to either:
(A) The greatest of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date, and (3) the sum of (a) the MTM and
(b) the lesser of (x) 50 multiplied by DV01 and (y) 8% multiplied by the
Notional Amount; or
(B) The greatest of (1) zero, (2) the amount payable by Party A in respect of
the next Floating Rate Payer Payment Date, and (3) the sum of (a) the MTM and
(b) the Notional Amount multiplied by the amount specified in Table 2B attached
hereto.
Party A shall, in its sole discretion, have the option to determine the Credit
Support Amount based upon either (A) or (B) above.
“DV01” means an estimate (as determined by the Valuation Agent in good faith and
in a commercially reasonable manner with the relevant methodology customarily
used by the Valuation Agent) of the change in the Secured Party’s Exposure
resulting from a one basis point change in the swap curve.
“MTM” means the Secured Party’s Exposure for that Valuation Date.

 

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TABLE 2B

          Weighted Average         Life of Hedge         in Years        
Equal to or less than 1
    0.50 %
Greater than 1 but less than or equal to 2
    1.00 %
Greater than 2 but less than or equal to 3
    1.50 %
Greater than 3 but less than or equal to 4
    1.90 %
Greater than 4 but less than or equal to 5
    2.40 %
Greater than 5 but less than or equal to 6
    2.80 %
Greater than 6 but less than or equal to 7
    3.20 %
Greater than 7 but less than or equal to 8
    3.60 %
Greater than 8 but less than or equal to 9
    4.00 %
Greater than 9 but less than or equal to 10
    4.40 %
Greater than 10 but less than or equal to 11
    4.70 %
Greater than 11 but less than or equal to 12
    5.00 %
Greater than 12 but less than or equal to 13
    5.40 %
Greater than 13 but less than or equal to 14
    5.70 %
Greater than 14 but less than or equal to 15
    6.00 %
Greater than 15 but less than or equal to 16
    6.30 %
Greater than 16 but less than or equal to 17
    6.60 %
Greater than 17 but less than or equal to 18
    6.90 %
Greater than 18 but less than or equal to 19
    7.20 %
Greater than 19 but less than or equal to 20
    7.50 %
Greater than 20 but less than or equal to 21
    7.80 %
Greater than 21 but less than or equal to 22
    8.00 %
Greater than 22 but less than or equal to 23
    8.00 %
Greater than 23 but less than or equal to 24
    8.00 %
Greater than 24 but less than or equal to 25
    8.00 %
Greater than 25 but less than or equal to 26
    8.00 %
Greater than 26 but less than or equal to 27
    8.00 %
Greater than 27 but less than or equal to 28
    8.00 %
Greater than 28 but less than or equal to 29
    8.00 %
Greater than 29 but less than or equal to 30
    8.00 %

 

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TABLE 3
ELIGIBLE COLLATERAL
S&P

              Base     Overcollateralization Eligible Collateral   Rate
Cash
    100  
 
       
U.S. treasuries (current coupon, constant maturity), ‘AAA’ U.S. agencies, ‘AAA’
covered bonds (floating), ‘AAA’ sovereign bonds (floating), ‘AAA’, ‘AA’ credit
card ABS (floating), ‘AAA’, ‘AA’ auto ABS (floating), and ‘AAA’ U.S. student
loan ABS (floating) with a remaining maturity of less than 5 years
    102  
 
       
U.S. treasuries (current coupon, constant maturity), ‘AAA’ U.S. agencies, ‘AAA’
covered bonds (floating), ‘AAA’ sovereign bonds (floating), ‘AAA’, ‘AA’ credit
card ABS (floating), ‘AAA’, ‘AA’ auto ABS (floating), and ‘AAA’ U.S. student
loan ABS (floating) with a remaining maturity of greater than or equal to
5 years and less than or equal to 10 years
    108  
 
       
‘AAA’ covered bonds (fixed), ‘AAA’ sovereign bonds (fixed), ‘A’ credit card ABS
(floating), ‘A’ auto ABS (floating), ‘AAA’ CMBS (floating), ‘AAA’ CDO (floating)
‘AA’, ‘A’ U.S. student loan ABS (floating), and ‘AAA’, ‘AA’ corporate bonds
(fixed or floating) with a remaining maturity of less than 5 years
    105  
 
       
‘AAA’ covered bonds (fixed), ‘AAA’ sovereign bonds (fixed), ‘A’ credit card ABS
(floating), ‘A’ auto ABS (floating),
    115  

 

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              Base     Overcollateralization Eligible Collateral   Rate
‘AAA’ CMBS (floating), ‘AAA’ CDO (floating), ‘AA’, ‘A’ U.S. student loan ABS
(floating), and ‘AAA’, ‘AA’ U.S. and European corporate bonds (fixed or
floating) with a remaining maturity of greater than or equal to 5 years and less
than or equal to 10 years
       
 
       
‘BBB’ credit card ABS (floating), ‘BBB’ auto ABS (floating), ‘AA’, ‘A’ CDO
(floating), ‘BBB’ U.S. student loan ABS (floating), and ‘A’ corporate bonds
(fixed or floating) with a remaining maturity of less than 5 years
    125  
 
       
‘BBB’ credit card ABS (floating), ‘BBB’ auto ABS (floating), ‘AA’, ‘A’ CDO
(floating), ‘BBB’ U.S. student loan ABS (floating), and ‘A’ corporate bonds
(fixed or floating) with a remaining maturity of greater than or equal to
5 years and less than or equal to 10 years
    140  

 

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TABLE 4
ELIGIBLE COLLATERAL
MOODY’S FIRST TRIGGER

      Eligible Collateral   Valuation Percentage
U.S. Dollar Cash
  100%
EURO Cash
  98%
Sterling Cash
  98% Fixed-Rate Negotiable Treasury Debt Issued by The U.S. Treasury Department
with Remaining Maturity
< 1 Year
  100%
1 to 2 Years
  100%
2 to 3 Years
  100%
3 to 5 Years
  100%
5 to 7 Years
  100%
7 to 10 Years
  100%
10 to 20 Years
  100%
> 20 Years
  100% Floating-Rate Negotiable Treasury Debt issued by The U.S. Treasury
Department
All Maturities
  100% Fixed-Rate U.S. Agency Debentures with Remaining Maturity
< 1 Year
  100%
1 to 2 Years
  100%
2 to 3 Years
  100%
3 to 5 Years
  100%
5 to 7 Years
  100%
7 to 10 Years
  100%
10 to 20 Years
  100%
> 20 Years
  100% Floating-Rate U.S. Agency Debentures -
All Maturities
  100% Fixed-Rate Euro-Zone Government Bonds Rated Aa3 or Above with Remaining
Maturity
< 1 Year
  98%
1 to 2 Years
  98%
2 to 3 Years
  98%
3 to 5 Years
  98%

 

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      Eligible Collateral   Valuation Percentage
5 to 7 Years
  98%
7 to 10 Years
  98%
10 to 20 Years
  98%
> 20 Years
  98% Floating-Rate Euro-Zone Government Bonds Rated Aa3 or Above
All Maturities
  98% Fixed-Rate United Kingdom Gilts with Remaining Maturity
< 1 Year
  98%
1 to 2 Years
  98%
2 to 3 Years
  98%
3 to 5 Years
  98%
5 to 7 Years
  98%
7 to 10 Years
  98%
10 to 20 Years
  98%
> 20 Years
  98% Floating-Rate United Kingdom Gilts
All Maturities
  98%
All other instruments
  0% or such higher percentage in respect of which Moody’s has provided a
written ratings affirmation

 

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TABLE 5
ELIGIBLE COLLATERAL
MOODY’S SECOND TRIGGER

      Eligible Collateral   Valuation Percentage
U.S. Dollar Cash
  100%
EURO Cash
  93%
Sterling Cash
  94% Fixed-Rate Negotiable Treasury Debt Issued by The U.S. Treasury Department
with Remaining Maturity
< 1 Year
  100%
1 to 2 Years
  99%
2 to 3 Years
  98%
3 to 5 Years
  97%
5 to 7 Years
  95%
7 to 10 Years
  94%
10 to 20 Years
  89%
> 20 Years
  87% Floating-Rate Negotiable Treasury Debt issued by The U.S. Treasury
Department
All Maturities
  99% Fixed-Rate U.S. Agency Debentures with Remaining Maturity
< 1 Year
  99%
1 to 2 Years
  98%
2 to 3 Years
  97%
3 to 5 Years
  96%
5 to 7 Years
  94%
7 to 10 Years
  93%
10 to 20 Years
  88%
> 20 Years
  86% Floating-Rate U.S. Agency Debentures -
All Maturities
  98% Fixed-Rate Euro-Zone Government Bonds Rated Aa3 or Above with Remaining
Maturity
< 1 Year
  93%
1 to 2 Years
  92%
2 to 3 Years
  91%
3 to 5 Years
  89%
5 to 7 Years
  87%
7 to 10 Years
  86%
10 to 20 Years
  82%

 

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      Eligible Collateral   Valuation Percentage
> 20 Years
  80% Floating-Rate Euro-Zone Government Bonds Rated Aa3 or Above
All Maturities
  92% Fixed-Rate United Kingdom Gilts with Remaining Maturity
< 1 Year
  93%
1 to 2 Years
  92%
2 to 3 Years
  91%
3 to 5 Years
  90%
5 to 7 Years
  89%
7 to 10 Years
  88%
10 to 20 Years
  84%
> 20 Years
  82% Floating-Rate United Kingdom Gilts
All Maturities
  93%
All other instruments
  0% or such higher percentage in respect of which Moody’s has provided a
written ratings affirmation

 

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TABLE 6
ELIGIBLE COLLATERAL
FITCH’S FIRST TRIGGER

          Fitch’s Eligible Collateral   Valuation Percentages
(A) U.S. Dollar Cash
  100%
 
   
(B) U.S. Treasury Securities: negotiable debt obligations issued by the U.S.
Treasury Department (“Treasuries”) having a fixed rate and a remaining maturity
of 1 year or less
  99.5%
 
   
(C) Treasuries having a fixed and a remaining maturity of greater than 1 year
but not more than 10 years
  98.2% (1-3yr)
 
  96.6% (3-5 yr)
 
  95.3% (5-7 yr)
 
  93.9% (7-10 yr)
 
   
(D) Treasuries having a fixed rate and a remaining maturity of greater than 10
years
  92.7%(10-15 yr)
 
   
(E) Treasuries having a floating rate
  Same as for fixed

 

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TABLE 7
FITCH VOLATILITY BUFFER

                                                                               
  Notes’   Remaining Weighted Average Maturity Rating   (years)     1   2   3  
4   5   6   7   8   9   10
At least “AA-”
    0.6 %     1.6 %     2.6 %     3.4 %     4.2 %     4.8 %     5.5 %     5.9 %
    6.4 %     7.0 %
“A+/A”
    0.3 %     0.8 %     1.3 %     1.7 %     2.1 %     2.9 %     2.8 %     3.0 %
    3.3 %     3.6 %
“A-/BBB+” or lower
    0.2 %     0.6 %     1.0 %     1.3 %     1.6 %     1.9 %     2.1 %     2.3 %
    2.5 %     2.7 %