Exhibit
4.11


Elections
and Variables


to the ISDA Credit Support Annex


dated as of March 1, 2007


between


	
  

  	
  CREDIT
  SUISSE INTERNATIONAL

  	
   

  	
  and

  	
   

  	
  CNH
  EQUIPMENT TRUST 2007-A

  	
   

  
	
   

  	
   

  	
   

  	
   

  	
   

  	
   

  	
   

  
	
   

  	
  (“Party
  A”)

  	
   

  	
   

  	
   

  	
  (“Party
  B”)

  	
   

  



 


Paragraph 13.


(a)           Security Interest for “Obligations”.


The term “Obligations”
as used in this Annex includes the following additional obligations:


With
respect to Party A:     None.


With
respect to Party B:     None.


(b)                                 Credit Support Obligations.


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


(A)          “Delivery
Amount” has the meaning specified in Paragraph 3(a), except that
the words “upon a demand made by the Secured Party” shall be deleted and the
word “that” on the second line of Paragraph 3(a) shall be replaced with the word
“a”.


(B)           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 Local Business Day following the Valuation Date” immediately
prior to the period.


(C)           “Return
Amount” has the meaning specified in Paragraph 3(b).


(D)          “Credit Support Amount”
for a Valuation Date shall mean zero; provided that,
if the Threshold in respect of Party A is zero on such Valuation Date, “Credit Support Amount” shall mean
one of the following if one of the following specified events have occurred on
such Valuation Date:


(i)                                     if a Moody’s Collateralization Event has occurred
and is continuing but (a) no Moody’s Rating Event has occurred and is
continuing or (b) less than 30 Local Business Day have elapsed since the last
time that no Moody’s Rating Event had occurred and was continuing, “Credit Support Amount” shall mean an
amount in USD equal to the greater of (1) the sum of (a) the Secured Party’s
Exposure and (b) the First Trigger Collateral Amount (as defined below) for
each Transaction hereunder and (2) zero;



 22
 









(ii)                                  so long as a Moody’s Ratings Event has occurred
and is continuing and 30 or more Local Business Days have elapsed since the
last time that no Moody’s Rating Event had occurred and was continuing, “Credit Support Amount” shall mean an
amount in USD equal to the greatest of (1) the sum of (a) the Secured Party’s
Exposure and (b) the Second Trigger Collateral Amount (as defined below) for
each Transaction hereunder, (2) an amount equal to the Floating Amount payable
by Party A pursuant to each Transaction hereunder in respect of the first
Floating Rate Payer Payment Date scheduled to occur on or after such Valuation
Date and (3) zero; and


(iii)                               if an S&P Collateralization Event or an
S&P Ratings Event has occurred and is continuing, “Credit
Support Amount” shall mean an amount in USD equal to the greater
of (1) the sum of (a) the Secured Party’s Exposure and (b) the Notional
Volatility Buffer and (2) zero.  “Notional Volatility Buffer”, as
determined by the Valuation Agent for any date, means the product of (i) the
Notional Amount of the Transaction on such date, (ii) the Payment Factor, and
(iii) the Volatility Buffer Percentage for such date as set out in the table
below on such date,


	
  Party A S&P

  Rating on

  such date

  	
   

  	
  Remaining 

  Weighted 

  Average 

  Life 

  Maturity up 

  to 3 years

  	
   

  	
  Remaining 

  Weighted 

  Average Life 

  Maturity up

   to 5 years

  	
   

  	
  Remaining 

  Weighted 

  Average 

  Life 

  Maturity 
 up to 10 

  years

  	
   

  	
  Remaining 

  Weighted 

  Average 

  Life 

  Maturity 
 up to 30 

  years

  	
   

  
	
  S&P S-T Rating of “A-1” or above

  	
   

  	
  0.00

  	
  %

  	
  0.00

  	
  %

  	
  0.00

  	
  %

  	
  0.00

  	
  %

  
	
  S&P S-T Rating of “A-2”

  	
   

  	
  2.75

  	
  %

  	
  3.25

  	
  %

  	
  4.0

  	
  %

  	
  4.75

  	
  %

  
	
  S&P S-T Rating of “A-3”

  	
   

  	
  3.25

  	
  %

  	
  4.00

  	
  %

  	
  5.0

  	
  %

  	
  6.25

  	
  %

  
	
  S&P L-T Rating of “BB+” or lower

  	
   

  	
  3.50

  	
  %

  	
  4.50

  	
  %

  	
  6.75

  	
  %

  	
  7.50

  	
  %

  



 


L-T Rating means
with respect to any Person, the unsecured, unguaranteed and otherwise
unsupported long-term senior debt obligations of such Person.


S-T Rating means
with respect to any Person, the unsecured, unguaranteed and otherwise
unsupported short-term debt obligations of such Person.


Payment Factor
means 1.


(iv)                              if a Fitch Collateralization Event or a Fitch
Ratings Event has occurred and is continuing, “Credit
Support Amount” shall mean an amount in USD equal to the Secured
Party’s Exposure.



 23
 









In circumstances where more than one of Paragraph 13(b)(i)(C)(i), (ii),
(iii) and (iv) apply, the Credit Support Amount shall be calculated by
reference to the paragraph which would result in Party A Transferring the
greatest amount of Eligible Credit Support. 
Under no circumstances will Party A be required to Transfer more
Eligible Credit Support than the greatest amount calculated in accordance with
one of Paragraph 13(b)(i)(C)(i), (ii), (iii) or (iv).


First Trigger Collateral Amount means, in respect of each Transaction hereunder
on any date, an amount in USD equal to the Notional Amount of such Transaction
on such date multiplied by the Applicable Percentage set forth in the table in
Exhibit A hereto.


Second
Trigger Collateral Amount
means, in respect of each Transaction hereunder on any date, an amount in USD
equal to the Notional Amount of such Transaction on such date multiplied by the
Applicable Percentage set forth in the applicable table in Exhibit B hereto.


(ii)                                  Eligible Collateral.  On any
date, the following items will qualify as “Eligible Collateral”
for Party A:


(A)          Valuation Percentage
S&P


	
  (i)

  	
  Cash

  	
   

  	
  100

  	
  %

  
	
   

  	
   

  	
   

  	
   

  	
   

  
	
  (ii)

  	
  Negotiable debt obligations issued after 18 July
  1984 by the U.S. Treasury Department having a residual maturity on such date
  of less than 1 year

  	
   

  	
  98.0

  	
  %

  
	
   

  	
   

  	
   

  	
   

  	
   

  
	
  (iii)

  	
  Coupon-bearing negotiable debt obligations issued
  after 18 July 1984 by the U.S. Treasury Department having a residual maturity
  on such date equal to or greater than 1 year but less than 5 years

  	
   

  	
  93.8

  	
  %

  
	
   

  	
   

  	
   

  	
   

  	
   

  
	
  (iv)

  	
  Coupon-bearing negotiable debt obligations issued
  after 18 July 1984 by the U.S. Treasury Department having a residual maturity
  on such date equal to or greater than 5 years but less than 10 years

  	
   

  	
  90.3

  	
  %

  



 


(B)          Valuation Percentage
Moody’s


	
  INTRUMENT

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  U.S. Dollar Cash

  	
   

  	
  100

  	
  %

  	
  100

  	
  %

  
	
  Fixed-Rate Negotiable treasury Debt Issued by the
  U.S. Treasury Department with Remaining Maturity

  
	
  <1 Year

  	
   

  	
  100

  	
  %

  	
  100

  	
  %

  
	
  1 to 2 years

  	
   

  	
  100

  	
  %

  	
  99

  	
  %

  
	
  2 to 3 years

  	
   

  	
  100

  	
  %

  	
  98

  	
  %

  
	
  3 to 5 years

  	
   

  	
  100

  	
  %

  	
  97

  	
  %

  
	
  5 to 7 years

  	
   

  	
  100

  	
  %

  	
  95

  	
  %

  
	
  7 to 10 years

  	
   

  	
  100

  	
  %

  	
  94

  	
  %

  
	
  Floating-Rate Negotiable treasury Debt Issued by the
  U.S. Treasury Department

  
	
  All Maturities

  	
   

  	
  100

  	
  %

  	
  99

  	
  %

  



 


(C)          Valuation Percentage
Fitch



 24
 









 


	
  INTRUMENT

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  U.S. Dollar Cash

  	
   

  	
  100

  	
  %

  	
  100

  	
  %

  
	
  Fixed-Rate Negotiable treasury Debt Issued by the
  U.S. Treasury Department with Remaining Maturity

  
	
  <1 Year

  	
   

  	
  100

  	
  %

  	
  100

  	
  %

  
	
  1 to 2 years

  	
   

  	
  100

  	
  %

  	
  99

  	
  %

  
	
  2 to 3 years

  	
   

  	
  100

  	
  %

  	
  98

  	
  %

  
	
  3 to 5 years

  	
   

  	
  100

  	
  %

  	
  97

  	
  %

  
	
  5 to 7 years

  	
   

  	
  100

  	
  %

  	
  95

  	
  %

  
	
  7 to 10 years

  	
   

  	
  100

  	
  %

  	
  94

  	
  %

  
	
  Floating-Rate Negotiable treasury Debt Issued by the
  U.S. Treasury Department

  
	
  All Maturities

  	
   

  	
  100

  	
  %

  	
  99

  	
  %

  



 


In circumstances where all of Paragraphs
13(b)(ii)(A), (B) and (C) apply, the Valuation Percentage for an item of
Eligible Collateral shall be calculated by reference to the paragraph which
would result in the lower Valuation Percentage for such item of Eligible
Collateral.


(iii)                               Other Eligible Support.  None.


(iv)                              Thresholds.


(A)                              “Independent Amount”
means with respect to Party A:  Not applicable.


“Independent Amount” means
with respect to Party B:  Not applicable.


(B)                                “Threshold”
means:


With respect to Party A: infinity, provided that
if an S&P Ratings Event or a Collateralization Event has occurred and is
continuing, the Threshold with respect to Party A shall be zero, unless with
respect to a Collateralization Event, (i) Party A has remedied such
Collateralization Event in accordance with the terms of, and within the
relevant timeframe specified in, the Agreement by means other than posting
collateral pursuant to this Annex and a Ratings Event has not occurred and is
continuing or (ii)(a) neither a S&P Collateralization Event nor a Fitch
Collateralization Event has occurred and is continuing and (b) (1) if a Moody’s
Collateralization Event has occurred and is continuing, less than 30 Local
Business Days have elapsed since the last time no Moody’s Collateralization
Event has occurred and was continuing and (2) no Moody’s Collateralization
Event had occurred when this Annex was executed, in which case the Threshold
with respect to Party A shall remain infinity; and


With respect to Party B: infinity.


(C)                                “Minimum Transfer Amount”
means USD 100,000 with respect to Party A and Party B;  provided, however, that if the aggregate Note
Principal Balance of Notes rated by S&P ceases to be more than USD
50,000,000, the “Minimum Transfer Amount”
shall be USD 50,000.


(D)                               Rounding.  The Delivery Amount will be rounded up to the
nearest integral multiple of USD 10,000. 
The Return Amount will be rounded down to the nearest integral multiple
of USD 1,000.



 25
 









(c)                                  Valuation and Timing.


(i)                                     “Valuation Agent”
means Party A.  Calculations by Party A
will be made by reference to commonly accepted market sources.


(ii)                                  “Valuation Date”
means,


(A)                              in the event that a Collateralization Event other
an S&P Collateralization Event has occurred and is continuing, each Local
Business Day which, if treated as a Valuation Date, would result in a Delivery
Amount or a Return Amount; and


(B)                                in the event that only an S&P Collateralization
Event has occurred and is continuing, or a Ratings Event has occurred and is
continuing, the last Local Business Day of each calendar week.


(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 4:00 p.m., London time, on a Local Business Day.


(d)                                 Conditions Precedent and Secured Party’s Rights
and Remedies.


No events shall constitute a “Specified Condition.”


(e)                                  Substitution.


(i)                                     “Substitution Date”
has the meaning specified in Paragraph 4(d)(ii).


(ii)                                  Consent.  The Pledgor must obtain the
Secured Party’s prior consent to any substitution pursuant to Paragraph 4(d)  and shall give to the Secured Party not less than
two (2) Local Business Days’ notice thereof specifying the items of Posted
Credit Support intended for substitution.


(f)                                    Dispute Resolution.


(i)                                     “Resolution Time” means 4:00 p.m.
London time on the Local Business Day following the date on which the notice of
the dispute is given under Paragraph 5.


(ii)                                  Value.  For the purpose of Paragraphs 5(i)(C) and
5(ii), on any date, the Value of Eligible Collateral and Posted Collateral will
be calculated as follows:


(A)          with
respect to any Cash; the amount thereof; and


(B)           with
respect to any Eligible Collateral comprising securities; the sum of (a)(x) the
last bid price on such date for such securities on the principal national
securities exchange on which such securities are listed, multiplied by the
applicable Valuation Percentage or (y) where any such securities are not listed
on a national securities exchange, the bid price for such securities quoted as
at the close of business on such date by any principal market maker for such
securities chosen by the Valuation Agent, multiplied by the applicable
Valuation Percentage or (z) if no such bid price is listed or quoted for such
date, the last bid price listed or quoted (as the case may be), as of the day
next preceding such date on which such prices were available; multiplied by the
applicable Valuation Percentage; plus



 26
 









(b) the accrued
interest on such securities (except to the extent that such interest shall have
been paid to the Pledgor pursuant to Paragraph 6(d)(ii) or included in the
applicable price referred to in subparagraph (a) above) as of such date.


(iii)                                    Alternative.  The provisions of Paragraph 5 will apply
provided the obligation of the appropriate party to deliver the undisputed
amount to the other party will not arise prior to the time that would otherwise
have applied to the Transfer pursuant to, or deemed made, under Paragraph 3 if
no dispute had arisen.


(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, as
applicable, pursuant to Paragraph 6(b); provided that the following conditions
applicable to each party are satisfied:


(A)      Party B, as the
Secured Party, is not a Defaulting Party.


(B)        Party B hereby covenants
and agrees that it will, subject to Paragraph 13(n)(xi), cause all Posted
Collateral received from the other party to be entered in an Eligible Deposit
Account (as such term is defined in Appendix A to the Indenture).


(C)        the Custodian (if not the
Indenture Trustee) is an institution having assets of at least $10 billion and
a rating of at least A-1 from S&P, which account shall bear a title
indicating the Secured Party’s interest in said account and the Posted
Collateral in such account.


Initially, the
Custodian for Party B is:  The Bank of New York Trust
Company, N.A.


(ii)           Use
of Posted Collateral.  The
provisions of Paragraph 6(c) will not apply to Party B.  Therefore, Party B will not have any of the
rights specified in Paragraph 6(c)(i) or 6(c)(ii).


(iii)          Changing of Collateral Accounts.  The Secured Party or its Custodian, as the
case may be, may move such Eligible Deposit Account referred to in Paragraph
13(g)(i)(B) from one Custodian to another upon reasonable notice to the
Pledgor.  The Secured Party or its
Custodian shall cause notices or statements concerning the Posted Collateral
transferred or delivered by the Pledgor to be sent to the Pledgor on request,
which may not be made more frequently than once in each calendar month.


(h)                                 Distributions
and Interest Amount.


(i)                                 Interest
Rate.    The “Interest Rate”
will be the annualized rate of return actually achieved on Posted Collateral in
the form of Cash during the relevant Interest Period.


(ii)                              Transfer of Interest
Amount.  The Transfer of the
Interest Amount will be made on any Local Business Day on which Posted
Collateral in the form of Cash is Transferred to the Pledgor pursuant to
Paragraph 3(b), provided that such Interest Amount has been received prior
thereto.


(iii)                           Alternative
to Interest Amount.  The
provisions of Paragraph 6(d)(ii) will apply.


(i)                                     Additional
Representation(s).


There are no
additional representations by either party.



 27
 









(j)                                     Demands
and Notices.


All demands,
specifications and notices under this Annex will be made pursuant to the
Notices Section of this Agreement, save that any demand, specification or
notice:


(i)  shall be given to or made at the following
addresses:


If to Party A:


	
  Address:One Cabot Square

  
	
   

  	
   

  	
  London E14 4QJ

  
	
   

  	
   

  	
  England

  
	
   

  	
   

  	
   

  
	
  Telephone:

  	
   

  	
  44 20 7888 3083

  
	
  Facsimile:

  	
   

  	
  44 20 7883 7987

  
	
  Attention:

  	
   

  	
  Collateral Management Unit

  



 


If to Party B:


As set forth in
Part 4(a) of the Schedule;


or at such other
address as the relevant party may from time to time designate by giving notice
(in accordance with the terms of this paragraph)  to the other party;


(ii)                                  shall
(unless otherwise stated in this Annex) be deemed to be effective at the time
such notice is actually received unless such notice is received on a day which
is not a Local Business Day or after the Notification Time on any Local
Business Day in which event such notice shall be deemed to be effective on the
next succeeding Local Business Day.


(k)                                  Address
for Transfers.


Party A:  To be notified to Party B by Party A at the
time of the request for the Transfer.


Party B: To be
notified to Party A by Party B at the time of the request for the Transfer.


(l)                                     Other
Provisions.


(i)                                     Additional
Definitions


As used in this
Annex:


“Equivalent Collateral”  means, with respect to any security constituting Posted
Collateral, a security of the same issuer and, as applicable, representing or
having the same class, series, maturity, interest rate, principal amount or
liquidation value and such other provisions as are necessary for that security
and the security constituting Posted Collateral to be treated as equivalent in
the market for such securities;


“Local Business Day”  means: (i) any day on which commercial banks are open for
business (including dealings in foreign exchange and foreign currency deposits)
in London, and (ii) in relation to a Transfer of Eligible Collateral, a day on
which the clearance system agreed between the parties for the delivery of
Eligible Collateral is open for acceptance and execution of settlement 



 28
 









instructions (or
in the case of a Transfer of Cash or other Eligible Collateral for which
delivery is contemplated by other means, a day on which commercial banks are
open for business (including dealings for foreign exchange and foreign currency
deposits) in New York and such other places as the parties shall agree); and


“transaction-specific hedges”
has the meaning given to such term in “Framework for De-linking Hedge
Counterparty Risks from Global Structured Finance Cashflow Transactions Moody’s
Methodology” published by Moody’s Investors Service and dated May 25, 2006.


(ii)                                  Events
of Default


Paragraph 7 shall
be deleted and replaced in its entirety by the following paragraph:


“For the purposes
of Section 5(a)(iii)(1) of this Agreement, an Event of Default will exist with
respect to a party if that party fails (or fails to cause its Custodian) to
make, when due, any Transfer of Posted Credit Support or the Interest Amount,
as applicable, required to be made by it and that failure continues for two
Local Business Days after the notice of that failure is given to that party,
except that (A) if such failure would constitute an Additional Termination
Event under another provision of this Agreement and (B) no more than 30 Local
Business Days have elapsed since the last time that no Moody’s Rating Event has
occurred and was continuing, then such failure shall be an Additional
Termination Event and not an Event of Default”.


(iii)                               Return
of Fungible Securities


In lieu of
returning to the Pledgor pursuant to Paragraphs 3(b), 4(d), 5 and 8(d) any
Posted Collateral comprising securities the Secured Party may return Equivalent
Collateral.


(iv)                              Covenants of the Pledgor


So long as the
Agreement is in effect, the Pledgor covenants that it will keep the Posted
Collateral free from all security interests or other encumbrances created by
the Pledgor, except the security interest created hereunder and any security
interests or other encumbrances created by the Secured Party; and will not
sell, transfer, assign, deliver or otherwise dispose of, or grant any option
with respect to any Posted Collateral or any interest therein, or create, incur
or permit to exist any pledge, lien, mortgage, hypothecation, security
interest, charge, option or any other encumbrance with respect to any Posted
Collateral or any interest therein, without the prior written consent of the
Secured Party.


(v)                                 No
Counterclaim


A party’s rights
to demand and receive the Transfer of Eligible Collateral as provided hereunder
and its rights as Secured Party against the Posted Collateral or otherwise
shall be absolute and subject to no counterclaim, set-off, deduction or defense
in favor of the Pledgor except as contemplated in Sections 2 and 6 of the
Agreement and Paragraph 8 of this Annex.


(vi)                              Holding
Collateral


The Secured Party
shall cause any Custodian appointed hereunder to open and maintain a segregated
account and to hold, record and identify all the Posted Collateral in such
segregated account and, subject to Paragraph 8(a), such Posted Collateral shall
at all times be and remain the property of the Pledgor and shall at no time
constitute the property of, or be commingled with the property of, the Secured
Party or the Custodian.



 29
 









(vii)                           Security and Performance


Eligible
Collateral Transferred to the Secured Party constitutes security and
performance assurance without which the Secured Party would not otherwise enter
into and continue any and all Transactions.


(viii)                        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),
Paragraph 2 or the definitions in Paragraph 12, (a) the term “Secured Party” as used in this Annex means only Party B, (b)
the term “Pledgor” as used in this Annex means
only Party A, (c) only Party A makes the pledge and grant in Paragraph 2, the
acknowledgment 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.


(ix)                                External Verification of Mark-to-Market Valuations.


On each Valuation Date
occurring while an S&P Collateralization Event is continuing, Party A shall
provide to S&P not later than the Notification Time on the Local Business
Day following such Valuation Date its calculations of Exposure and the S&P
Value of any Eligible Credit Support or Posted Credit Support for that
Valuation Date.  Every month after the
unsecured, unguaranteed and otherwise unsupported long-term debt
obligations of each Relevant Entity are rated below BBB+ by S&P, unless
otherwise agreed in writing with S&P, Party A will verify its determination
of Exposure of the Transaction and any Posted Credit Support on the next
Valuation Date by seeking quotations from two (2) Reference Market-makers for
their determination of Exposure of the Transaction on such Valuation Date and
the Valuation Agent will use the greater of either (a) its own determination or
(b) the highest quotation for a Reference Market-maker, if applicable, for the
next Valuation Date; provided, that
this Paragraph 13(l)(ix) shall only apply to the extent that the Notes
outstanding at such time are rated higher by S&P than the S&P L-T
Rating of Party A; and provided further,
that Party A shall not seek verification of its determination of Exposure as
described above from the same Reference Market-maker more than four times in
any twelve-month period.   Party A shall
provide to S&P copies of such verification details.


(x)                                   Expenses.


Notwithstanding Paragraph 10(a), the Pledgor will be responsible for,
and will reimburse the Secured Party for, all transfer costs involved in the
Transfer of Eligible Collateral from the Pledgor to the Secured Party (or any
agent or custodian for safekeeping of the Secured Party) or from the Secured
Party (or any agent or custodian for safekeeping of the Secured Party) to the
Pledgor pursuant to paragraph 4(d).



 30
 









Agreed and accepted:


	
  CREDIT SUISSE INTERNATIONAL

  	
   

  	
  CNH EQUIPMENT TRUST 2007-A 

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  	
  By:

  	
  Wilmington Trust Company, 

  not in its individual capacity but 

  solely as Trustee under the 

  Trust Agreement

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
  By:

  	
  /s/ Marleen Nobile

  	
   

  	
   

  	
  By:  

  	
  /s/ James A. Hanley

  	
   

  
	
  Name:

  	
  Marleen Nobile

  	
   

  	
   

  	
  Name:

  	
  James A. Hanley

  
	
  Title:

  	
  Authorized Signatory

  	
   

  	
   

  	
  Title:

  	
  Assistant Vice President

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   By:

  	
  /s/ Karnel Ouchikh

  	
   

  	
   

  
	
  Name:

  	
  Karnel Ouchikh

  	
   

  	
   

  
	
  Title:

  	
  Authorized Signatory

  	
   

  	
   

  
												



 



 31














EXHIBIT A



FIRST TRIGGER COLLATERAL AMOUNT APPLICABLE PERCENTAGES


For Transactions that are swaps, caps, floors and transaction-specific
hedges:


	
  Weighted Average 

  	
   

  	
  Interest Rate Hedges

  	
   

  	
  Currency Hedges

  	
   

  
	
  Life of Hedge in 

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Less than 1 year

  	
   

  	
  0.15

  	
  %

  	
  0.25

  	
  %

  	
  1.10

  	
  %

  	
  2.20

  	
  %

  
	
  Equal to or greater
  than 1 year but less than 2 years

  	
   

  	
  0.30

  	
  %

  	
  0.50

  	
  %

  	
  1.20

  	
  %

  	
  2.40

  	
  %

  
	
  Equal to or greater
  than 2 years but less than 3 years

  	
   

  	
  0.40

  	
  %

  	
  0.70

  	
  %

  	
  1.30

  	
  %

  	
  2.60

  	
  %

  
	
  Equal to or greater
  than 3 years but less than 4 years

  	
   

  	
  0.60

  	
  %

  	
  1.00

  	
  %

  	
  1.40

  	
  %

  	
  2.80

  	
  %

  
	
  Equal to or greater
  than 4 years but less than 5 years

  	
   

  	
  0.70

  	
  %

  	
  1.20

  	
  %

  	
  1.50

  	
  %

  	
  2.90

  	
  %

  
	
  Equal to or greater
  than 5 years but less than 6 years

  	
   

  	
  0.80

  	
  %

  	
  1.40

  	
  %

  	
  1.60

  	
  %

  	
  3.10

  	
  %

  
	
  Equal to or greater
  than 6 years but less than 7 years

  	
   

  	
  1.00

  	
  %

  	
  1.60

  	
  %

  	
  1.60

  	
  %

  	
  3.30

  	
  %

  
	
  Equal to or greater
  than 7 years but less than 8 years

  	
   

  	
  1.10

  	
  %

  	
  1.80

  	
  %

  	
  1.70

  	
  %

  	
  3.40

  	
  %

  
	
  Equal to or greater
  than 8 years but less than 9 years

  	
   

  	
  1.20

  	
  %

  	
  2.00

  	
  %

  	
  1.80

  	
  %

  	
  3.60

  	
  %

  
	
  Equal to or greater
  than 9 years but less than 10 years

  	
   

  	
  1.30

  	
  %

  	
  2.20

  	
  %

  	
  1.90

  	
  %

  	
  3.80

  	
  %

  
	
  Equal to or greater
  than 10 years but less than 11 years

  	
   

  	
  1.40

  	
  %

  	
  2.30

  	
  %

  	
  1.90

  	
  %

  	
  3.90

  	
  %

  
	
  Equal to or greater
  than 11 years but less than 12 years

  	
   

  	
  1.50

  	
  %

  	
  2.50

  	
  %

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  
	
  Equal to or greater
  than 12 years but less than 13 years

  	
   

  	
  1.60

  	
  %

  	
  2.70

  	
  %

  	
  2.10

  	
  %

  	
  4.10

  	
  %

  
	
  Equal to or greater
  than 13 years but less than 14 years

  	
   

  	
  1.70

  	
  %

  	
  2.80

  	
  %

  	
  2.10

  	
  %

  	
  4.30

  	
  %

  



 



 32
 








 


	
  Weighted Average 

  	
   

  	
  Interest Rate Hedges

  	
   

  	
  Currency Hedges

  	
   

  
	
  Life of Hedge in 

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Equal to or greater
  than 14 years but less than 15 years

  	
   

  	
  1.80

  	
  %

  	
  3.00

  	
  %

  	
  2.20

  	
  %

  	
  4.40

  	
  %

  
	
  Equal to or greater
  than 15 years but less than 16 years

  	
   

  	
  1.90

  	
  %

  	
  3.20

  	
  %

  	
  2.30

  	
  %

  	
  4.50

  	
  %

  
	
  Equal to or greater
  than 16 years but less than 17 years

  	
   

  	
  2.00

  	
  %

  	
  3.30

  	
  %

  	
  2.30

  	
  %

  	
  4.60

  	
  %

  
	
  Equal to or greater
  than 17 years but less than 18 years

  	
   

  	
  2.00

  	
  %

  	
  3.50

  	
  %

  	
  2.40

  	
  %

  	
  4.80

  	
  %

  
	
  Equal to or greater
  than 18 years but less than 19 years

  	
   

  	
  2.00

  	
  %

  	
  3.60

  	
  %

  	
  2.40

  	
  %

  	
  4.90

  	
  %

  
	
  Equal to or greater
  than 19 years but less than 20 years

  	
   

  	
  2.00

  	
  %

  	
  3.70

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 20 years but less than 21 years

  	
   

  	
  2.00

  	
  %

  	
  3.90

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 21 years but less than 22 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 22 years but less than 23 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 23 years but less than 24 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 24 years but less than 25 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 25 years but less than 26 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 26 years but less than 27 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 27 years but less than 28 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater than
  28 years but less than 29 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to or greater
  than 29 years but less than 30 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  
	
  Equal to 30 years

  	
   

  	
  2.00

  	
  %

  	
  4.00

  	
  %

  	
  2.50

  	
  %

  	
  5.00

  	
  %

  



 



 33
 








EXHIBIT B



SECOND TRIGGER COLLATERAL AMOUNT APPLICABLE PERCENTAGES


For Transactions that are swaps (excludes caps, floors and
transaction-specific hedges):


	
  Weighted Average

  	
   

  	
  Interest Rate Swaps

  	
   

  	
  Currency Swaps

  	
   

  
	
  Life of Hedge in

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Less than 1 year

  	
   

  	
  0.50

  	
  %

  	
  0.60

  	
  %

  	
  6.10

  	
  %

  	
  7.25

  	
  %

  
	
  Equal to or
  greater than 1 year but less than 2 years

  	
   

  	
  1.00

  	
  %

  	
  1.20

  	
  %

  	
  6.30

  	
  %

  	
  7.50

  	
  %

  
	
  Equal to or
  greater than 2 years but less than 3 years

  	
   

  	
  1.50

  	
  %

  	
  1.70

  	
  %

  	
  6.40

  	
  %

  	
  7.70

  	
  %

  
	
  Equal to or
  greater than 3 years but less than 4 years

  	
   

  	
  1.90

  	
  %

  	
  2.30

  	
  %

  	
  6.60

  	
  %

  	
  8.00

  	
  %

  
	
  Equal to or
  greater than 4 years but less than 5 years

  	
   

  	
  2.40

  	
  %

  	
  2.80

  	
  %

  	
  6.70

  	
  %

  	
  8.20

  	
  %

  
	
  Equal to or
  greater than 5 years but less than 6 years

  	
   

  	
  2.80

  	
  %

  	
  3.30

  	
  %

  	
  6.80

  	
  %

  	
  8.40

  	
  %

  
	
  Equal to or
  greater than 6 years but less than 7 years

  	
   

  	
  3.20

  	
  %

  	
  3.80

  	
  %

  	
  7.00

  	
  %

  	
  8.60

  	
  %

  
	
  Equal to or
  greater than 7 years but less than 8 years

  	
   

  	
  3.60

  	
  %

  	
  4.30

  	
  %

  	
  7.10

  	
  %

  	
  8.80

  	
  %

  
	
  Equal to or
  greater than 8 years but less than 9 years

  	
   

  	
  4.00

  	
  %

  	
  4.80

  	
  %

  	
  7.20

  	
  %

  	
  9.00

  	
  %

  
	
  Equal to or
  greater than 9 years but less than 10 years

  	
   

  	
  4.40

  	
  %

  	
  5.30

  	
  %

  	
  7.30

  	
  %

  	
  9.20

  	
  %

  
	
  Equal to or
  greater than 10 years but less than 11 years

  	
   

  	
  4.70

  	
  %

  	
  5.60

  	
  %

  	
  7.40

  	
  %

  	
  9.30

  	
  %

  
	
  Equal to or
  greater than 11 years but less than 12 years

  	
   

  	
  5.00

  	
  %

  	
  6.00

  	
  %

  	
  7.50

  	
  %

  	
  9.50

  	
  %

  
	
  Equal to or
  greater than 12 years but less than 13 years

  	
   

  	
  5.40

  	
  %

  	
  6.40

  	
  %

  	
  7.60

  	
  %

  	
  9.70

  	
  %

  
	
  Equal to or
  greater than 13 years but less than 14 years

  	
   

  	
  5.70

  	
  %

  	
  6.80

  	
  %

  	
  7.70

  	
  %

  	
  9.80

  	
  %

  
	
  Equal to or
  greater than 14 years but less than 15 years

  	
   

  	
  6.00

  	
  %

  	
  7.20

  	
  %

  	
  7.80

  	
  %

  	
  10.00

  	
  %

  



 



 34
 








 


	
  Weighted Average

  	
   

  	
  Interest Rate Swaps

  	
   

  	
  Currency Swaps

  	
   

  
	
  Life of Hedge in

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Equal to or
  greater than 15 years but less than 16 years

  	
   

  	
  6.30

  	
  %

  	
  7.60

  	
  %

  	
  7.90

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 16 years but less than 17 years

  	
   

  	
  6.60

  	
  %

  	
  7.90

  	
  %

  	
  8.00

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 17 years but less than 18 years

  	
   

  	
  6.90

  	
  %

  	
  8.30

  	
  %

  	
  8.10

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 18 years but less than 19 years

  	
   

  	
  7.20

  	
  %

  	
  8.60

  	
  %

  	
  8.20

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 19 years but less than 20 years

  	
   

  	
  7.50

  	
  %

  	
  9.00

  	
  %

  	
  8.20

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 20 years but less than 21 years

  	
   

  	
  7.80

  	
  %

  	
  9.00

  	
  %

  	
  8.30

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 21 years but less than 22 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.40

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 22 years but less than 23 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.50

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 23 years but less than 24 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.60

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 24 years but less than 25 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.60

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 25 years but less than 26 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.70

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 26 years but less than 27 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.80

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 27 years but less than 28 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.80

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 28 years but less than 29 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.90

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to or
  greater than 29 years but less than 30 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  8.90

  	
  %

  	
  10.00

  	
  %

  
	
  Equal to 30 years

  	
   

  	
  8.00

  	
  %

  	
  9.00

  	
  %

  	
  9.00

  	
  %

  	
  10.00

  	
  %

  



 



 35
 








For Transactions that are caps, floors, swaptions and
transaction-specific hedges:


	
  Weighted Average 

  	
   

  	
  Interest Rate Hedges

  	
   

  	
  Currency Hedges

  	
   

  
	
  Life of Hedge in 

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Less than 1 year

  	
   

  	
  0.65

  	
  %

  	
  0.75

  	
  %

  	
  6.30

  	
  %

  	
  7.40

  	
  %

  
	
  Equal to or
  greater than 1 year but less than 2 years

  	
   

  	
  1.30

  	
  %

  	
  1.50

  	
  %

  	
  6.60

  	
  %

  	
  7.80

  	
  %

  
	
  Equal to or
  greater than 2 years but less than 3 years

  	
   

  	
  1.90

  	
  %

  	
  2.20

  	
  %

  	
  6.90

  	
  %

  	
  8.20

  	
  %

  
	
  Equal to or
  greater than 3 years but less than 4 years

  	
   

  	
  2.50

  	
  %

  	
  2.90

  	
  %

  	
  7.10

  	
  %

  	
  8.50

  	
  %

  
	
  Equal to or
  greater than 4 years but less than 5 years

  	
   

  	
  3.10

  	
  %

  	
  3.60

  	
  %

  	
  7.40

  	
  %

  	
  8.90

  	
  %

  
	
  Equal to or
  greater than 5 years but less than 6 years

  	
   

  	
  3.60

  	
  %

  	
  4.20

  	
  %

  	
  7.70

  	
  %

  	
  9.20

  	
  %

  
	
  Equal to or
  greater than 6 years but less than 7 years

  	
   

  	
  4.20

  	
  %

  	
  4.80

  	
  %

  	
  7.90

  	
  %

  	
  9.60

  	
  %

  
	
  Equal to or
  greater than 7 years but less than 8 years

  	
   

  	
  4.70

  	
  %

  	
  5.40

  	
  %

  	
  8.20

  	
  %

  	
  9.90

  	
  %

  
	
  Equal to or
  greater than 8 years but less than 9 years

  	
   

  	
  5.20

  	
  %

  	
  6.00

  	
  %

  	
  8.40

  	
  %

  	
  10.20

  	
  %

  
	
  Equal to or
  greater than 9 years but less than 10 years

  	
   

  	
  5.70

  	
  %

  	
  6.60

  	
  %

  	
  8.60

  	
  %

  	
  10.50

  	
  %

  
	
  Equal to or
  greater than 10 years but less than 11 years

  	
   

  	
  6.10

  	
  %

  	
  7.00

  	
  %

  	
  8.80

  	
  %

  	
  10.70

  	
  %

  
	
  Equal to or
  greater than 11 years but less than 12 years

  	
   

  	
  6.50

  	
  %

  	
  7.50

  	
  %

  	
  9.00

  	
  %

  	
  11.00

  	
  %

  
	
  Equal to or
  greater than 12 years but less than 13 years

  	
   

  	
  7.00

  	
  %

  	
  8.00

  	
  %

  	
  9.20

  	
  %

  	
  11.30

  	
  %

  
	
  Equal to or
  greater than 13 years but less than 14 years

  	
   

  	
  7.40

  	
  %

  	
  8.50

  	
  %

  	
  9.40

  	
  %

  	
  11.50

  	
  %

  
	
  Equal to or
  greater than 14 years but less than 15 years

  	
   

  	
  7.80

  	
  %

  	
  9.00

  	
  %

  	
  9.60

  	
  %

  	
  11.80

  	
  %

  



 



 36
 








 


	
  Weighted Average

  	
   

  	
  Interest Rate Hedges

  	
   

  	
  Currency Hedges

  	
   

  
	
  Life of Hedge in

  	
   

  	
  Valuation Dates:

  	
   

  
	
  Years

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  	
  Daily

  	
   

  	
  Weekly

  	
   

  
	
  Equal to or greater
  than 15 years but less than 16 years

  	
   

  	
  8.20

  	
  %

  	
  9.50

  	
  %

  	
  9.80

  	
  %

  	
  11.80

  	
  %

  
	
  Equal to or
  greater than 16 years but less than 17 years

  	
   

  	
  8.60

  	
  %

  	
  9.90

  	
  %

  	
  10.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 17 years but less than 18 years

  	
   

  	
  9.00

  	
  %

  	
  10.40

  	
  %

  	
  10.10

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 18 years but less than 19 years

  	
   

  	
  9.40

  	
  %

  	
  10.80

  	
  %

  	
  10.30

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 19 years but less than 20 years

  	
   

  	
  9.70

  	
  %

  	
  11.00

  	
  %

  	
  10.50

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 20 years but less than 21 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  10.70

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 21 years but less than 22 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  10.80

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 22 years but less than 23 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 23 years but less than 24 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 24 years but less than 25 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 25 years but less than 26 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 26 years but less than 27 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 27 years but less than 28 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 28 years but less than 29 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to or
  greater than 29 years but less than 30 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  
	
  Equal to 30 years

  	
   

  	
  10.00

  	
  %

  	
  11.00

  	
  %

  	
  11.00

  	
  %

  	
  12.00

  	
  %

  



 


 



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