Interest Rate Swap Agreement and Cap Agreement


 Exhibit 10.4 
 

 
 Dated: November 8, 2006 
 Rate Swap Transaction 
 Re: BNY Reference No. 38548 
 Ladies and Gentlemen: 
 The purpose of this letter agreement is to confirm
the terms and conditions of the rate swap Transaction entered into on the Trade Date specified below (the “Transaction”) between The Bank of New York (“BNY”), a trust company duly organized and existing under the laws of the
State of New York and Wells Fargo Bank, N.A., not individually, but solely as securities administrator on behalf of SG Mortgage Securities Trust 2006-OPT2 (the “Counterparty”). The definitions and provisions contained in the 2000 ISDA
Definitions, as published by the International Swaps and Derivatives Association, Inc., are incorporated into this Confirmation. In the event of any inconsistency between those definitions and provisions and this Confirmation, this Confirmation will
govern. 
 1. This Confirmation constitutes a “Confirmation” as referred to in and supplements, forms part of and is subject to, the ISDA Master
Agreement dated as of December 14, 2006, as amended and supplemented from time to time (the “Agreement”), between The Bank of New York and Counterparty. All provisions contained in the Agreement govern this Confirmation except as
expressly modified below. 
 2. The terms of the particular Transaction to which this Confirmation relates are as follows: 
  

			
	Type of Transaction:	  	Rate Swap
		
	Notional Amount:	  	With respect to any Calculation Period the amount set forth for such period on Schedule I attached.
		
	Trade Date:	  	November 8, 2006
		
	Effective Date:	  	December 14, 2006
		
	Termination Date:	  	December 25, 2011, subject to adjustment in accordance with the Modified Following Business Day Convention

 Ref No. 38548 

 Page 1 of 8 







 Fixed Amounts: 
  

			
	 Fixed Rate Payer:
	  	Counterparty
		
	 Fixed Rate:
	  	5.32%
		
	Fixed Rate Payer Period End Dates:	  	The 25th calendar day of each month during the Term of
this Transaction, commencing January 25, 2007, and ending on December 25, 2011 with No Adjustments.
		
	Fixed Rate Payer Payment Dates:	  	Early Payment shall be applicable. The Floating Rate Payer Payment Date shall be one (1) Business Days preceding each Floating Rate Payer Period End Date.
		
	 Fixed Rate Day
	  	
	 Count Fraction:
	  	30/360

 Floating Amounts: 
  

			
	Floating Rate Payer:	  	BNY
		
	Floating Rate Payer Period End Dates:	  	The 25th calendar day of each month during the Term of
this Transaction, commencing January 25, 2006, and ending on the Termination Date, subject to adjustment in accordance with the Modified Following Business Day Convention.
		
	Floating Rate Payer Payment Dates:	  	Early Payment shall be applicable. The Floating Rate Payer Payment Date shall be one (1) Business Days preceding each Floating Rate Payer Period End Date.
		
	Floating Rate Option:	  	USD-LIBOR-BBA
		
	Designated Maturity:	  	One month, except for the initial Calculation Period which shall be Interpolated between one month and two month
		
	Floating Rate Day Count Fraction:	  	Actual/360
		
	Reset Dates:	  	The first day of each Calculation Period
		
	Compounding:	  	Inapplicable

 Ref No. 38548 
  

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 Additional Terms: 
  

			
	Additional Payments:	  	Counterparty represents and warrants that it has directed The Bank of New York to make payment of USD 3,282,000.00 to Societe Generale for value December 14, 2006 on its
behalf.
		
	Business Days:	  	New York and London
		
	Calculation Agent:	  	BNY

  

			
	Account Details and Settlement Information:	  	Payments to BNY:
		  	The Bank of New York
		  	Derivative Products Support Department
		  	32 Old Slip, 16th Floor
		  	New York, New York 10286
		  	Attention: Renee Etheart
		  	ABA #021000018
		  	Account #890-0068-175
		  	Reference: Interest Rate Swaps/Caps
		
		  	Payments to Counterparty:
		
		  	Wells Fargo Bank, N.A.
		  	San Francisco, CA
		  	ABA # 121-000-248
		  	Acct. # 3970771416
		  	Acct. Name: SAS Clearing
		  	FFC: 50971902 - Swap Account

 Ref No. 38548 
  

 Page 3 of 8 







 Please confirm that the foregoing correctly sets forth the terms of our agreement by executing this agreement and
returning it via facsimile to Derivative Products Support Dept., Attn: Eugene Chun/Kenny Au-Yeung at 212-804-5818/5837. Once we receive this we will send you two original confirmations for execution. 
 Ref No. 38548 
  

 Page 4 of 8 







 We are very pleased to have executed this Transaction with you and we look forward to completing other transactions with
you in the near future. 
  

			
	Very truly yours,
	
	THE BANK OF NEW YORK
		
	By:	 	 /s/ Stephen M. Lawler

	Name:	 	Stephen M. Lawler
	Title:	 	Managing Director

 Ref No. 38548 
  

 Page 5 of 8 







 Counterparty, acting through its duly authorized signatory, hereby agrees to, accepts and confirms the terms of the
foregoing as of the Trade Date. 
 WELLS FARGO BANK, N.A., NOT INDIVIDUALLY, BUT SOLELY AS SECURITIES ADMINISTRATOR ON BEHALF OF SG MORTGAGE SECURITIES
TRUST 2006-OPT2. 
  

			
	By:	 	 /s/ Raymond Delli Colli

	Name:	 	Raymond Delli Colli
	Title:	 	Vice President

 Ref No. 38548 
  

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 SCHEDULE I 
 (With respect to each Fixed Rate Payer Period End Date, all such dates are with No Adjustment, 
 and with
respect to each Floating Rate Payer Period End Date, all such dates are subject to 
 adjustment in accordance with the Following Business Day
Convention) 
  

					
	 Accrual Start Date
	  	 Accrual End Date
	  	Notional Amount (USD)
	14-Dec-06	  	25-Jan-07	  	422,192,999.00
	25-Jan-07	  	25-Feb-07	  	416,722,054.00
	25-Feb-07	  	25-Mar-07	  	410,185,152.00
	25-Mar-07	  	25-Apr-07	  	402,962,206.00
	25-Apr-07	  	25-May-07	  	394,912,839.00
	25-May-07	  	25-Jun-07	  	385,900,702.00
	25-Jun-07	  	25-Jul-07	  	751,747,804.00
	25-Jul-07	  	25-Aug-07	  	728,753,381.00
	25-Aug-07	  	25-Sep-07	  	704,706,980.00
	25-Sep-07	  	25-Oct-07	  	680,497,302.00
	25-Oct-07	  	25-Nov-07	  	656,589,966.00
	25-Nov-07	  	25-Dec-07	  	633,176,563.00
	25-Dec-07	  	25-Jan-08	  	610,749,383.00
	25-Jan-08	  	25-Feb-08	  	588,834,716.00
	25-Feb-08	  	25-Mar-08	  	565,714,320.00
	25-Mar-08	  	25-Apr-08	  	538,823,412.00
	25-Apr-08	  	25-May-08	  	505,829,167.00
	25-May-08	  	25-Jun-08	  	474,930,999.00
	25-Jun-08	  	25-Jul-08	  	445,989,993.00
	25-Jul-08	  	25-Aug-08	  	418,861,880.00
	25-Aug-08	  	25-Sep-08	  	393,389,577.00
	25-Sep-08	  	25-Oct-08	  	369,473,823.00
	25-Oct-08	  	25-Nov-08	  	347,049,605.00
	25-Nov-08	  	25-Dec-08	  	326,022,530.00
	25-Dec-08	  	25-Jan-09	  	183,782,536.00
	25-Jan-09	  	25-Feb-09	  	172,647,409.00
	25-Feb-09	  	25-Mar-09	  	163,425,466.00
	25-Mar-09	  	25-Apr-09	  	157,486,243.00

 Ref No. 38548 
  

 Page 7 of 8 








					
	25-Apr-09	  	25-May-09	  	151,767,377.00
	25-May-09	  	25-Jun-09	  	146,260,400.00
	25-Jun-09	  	25-Jul-09	  	140,957,189.00
	25-Jul-09	  	25-Aug-09	  	135,847,228.00
	25-Aug-09	  	25-Sep-09	  	130,907,056.00
	25-Sep-09	  	25-Oct-09	  	126,132,045.00
	25-Oct-09	  	25-Nov-09	  	121,516,048.00
	25-Nov-09	  	25-Dec-09	  	117,056,649.00
	25-Dec-09	  	25-Jan-10	  	75,192,230.00
	25-Jan-10	  	25-Feb-10	  	72,492,358.00
	25-Feb-10	  	25-Mar-10	  	69,889,640.00
	25-Mar-10	  	25-Apr-10	  	67,380,639.00
	25-Apr-10	  	25-May-10	  	64,961,874.00
	25-May-10	  	25-Jun-10	  	62,630,091.00
	25-Jun-10	  	25-Jul-10	  	60,382,154.00
	25-Jul-10	  	25-Aug-10	  	58,215,039.00
	25-Aug-10	  	25-Sep-10	  	56,125,863.00
	25-Sep-10	  	25-Oct-10	  	54,111,962.00
	25-Oct-10	  	25-Nov-10	  	52,170,443.00
	25-Nov-10	  	25-Dec-10	  	50,298,698.00
	25-Dec-10	  	25-Jan-11	  	48,494,214.00
	25-Jan-11	  	25-Feb-11	  	46,754,568.00
	25-Feb-11	  	25-Mar-11	  	45,077,452.00
	25-Mar-11	  	25-Apr-11	  	43,460,672.00
	25-Apr-11	  	25-May-11	  	41,901,968.00
	25-May-11	  	25-Jun-11	  	40,399,247.00
	25-Jun-11	  	25-Jul-11	  	38,950,494.00
	25-Jul-11	  	25-Aug-11	  	37,552,142.00
	25-Aug-11	  	25-Sep-11	  	36,184,091.00
	25-Sep-11	  	25-Oct-11	  	34,815,525.00
	25-Oct-11	  	25-Nov-11	  	33,486,343.00
	25-Nov-11	  	25-Dec-11	  	32,230,707.00

 Ref No. 38548 
  

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 Dated: November 8, 2006 
 Rate Cap Transaction 
 Re: BNY Reference No. 38549 
 Ladies and Gentlemen: 
 The purpose of this letter agreement is to confirm
the terms and conditions of the rate cap Transaction entered into on the Trade Date specified below (the “Transaction”) between The Bank of New York (“BNY”), a trust company duly organized and existing under the laws of the State
of New York and Wells Fargo Bank, N.A., not individually, but solely as securities administrator on behalf of SG Mortgage Securities Trust 2006-OPT2 (the “Counterparty”). The definitions and provisions contained in the 2000 ISDA
Definitions, as published by the International Swaps and Derivatives Association, Inc., are incorporated into this Confirmation. In the event of any inconsistency between those definitions and provisions and this Confirmation, this Confirmation will
govern. 
 1. This Confirmation constitutes a “Confirmation” as referred to in and supplements, forms part of and is subject to, the ISDA Master
Agreement dated as of December 14, 2006, as amended and supplemented from time to time (the “Agreement”), between The Bank of New York and Counterparty. All provisions contained in the Agreement govern this Confirmation except as
expressly modified below. 
 2. The terms of the particular Transaction to which this Confirmation relates are as follows: 
  

			
	Type of Transaction:	  	Rate Cap
		
	Notional Amount:	  	With respect to any Calculation Period the amount set forth for such period on Schedule I attached.
		
	Trade Date:	  	November 8, 2006
		
	Effective Date:	  	December 14, 2006
		
	Termination Date:	  	June 25, 2007, subject to adjustment in accordance with the Modified Following Business Day Convention

 Ref No.38549 
  

 Page 1 of 7 







 Fixed Amounts: 
  

					
		 	Fixed Amount Payer:	 	Counterparty represents and warrants that it has directed Societe Generale to make payment of the Fixed Amount on its behalf.
			
		 	Fixed Amount:	 	USD 5,000
			
		 	 Fixed Amount Payment
 Date:
	 	December 14, 2006
		
	Floating Amounts:	 	
			
		 	Floating Rate Payer:	 	BNY
			
		 	Cap Rate:	 	7.5%
			
		 	Floating Rate Payer Period End Dates:	 	The 25th calendar day of each month during the Term of this
Transaction, commencing January 25, 2007, and ending on the Termination Date, subject to adjustment in accordance with the Modified Following Business Day Convention.
			
		 	Floating Rate Payer Payment Dates:	 	Early Payment shall be applicable. The Floating Rate Payer Payment Date shall be one (1) Business Day preceding each Floating Rate Payer Period End Date.
			
		 	Floating Rate Option:	 	USD-LIBOR-BBA
			
		 	Designated Maturity:	 	One month
			
		 	Floating Rate Day Count Fraction:	 	Actual/360
			
		 	Reset Dates:	 	The first day of each Calculation Period
			
		 	Compounding:	 	Inapplicable

 Ref No.38549 
  

 Page 2 of 7 








					
	Additional Terms:	 	
			
		 	Business Days:	 	New York and London
			
		 	Calculation Agent:	 	BNY

 Limitation on Events of Default. Notwithstanding the terms of Sections 5 and 6 of the
Agreement, if at any time and so long as the Counterparty has satisfied in full all its payment obligations under Section 2 hereof and has at the time no future payment obligations, whether absolute or contingent, under such Section, then
unless BNY is required pursuant to appropriate proceedings to return to the Counterparty or otherwise returns to the Counterparty upon demand of the Counterparty any portion of any such payment, (a) the occurrence of an event described in
Section 5(a) of the Agreement with respect to the Counterparty shall not constitute an Event of Default or Potential Event of Default with respect to the Counterparty as Defaulting Party and (b) BNY shall be entitled to designate an Early
Termination Date pursuant to Section 6 of the Agreement only as a result of the occurrence of a Termination Event set forth in Section 5(b)(i) with respect to either BNY as the Affected Party. For purposes of the Transaction to which this
Agreement relates, the Counterparty’s only obligation under Section 2 hereof is to pay the Fixed Amount on the Fixed Amount Payment Date. 
  

			
	Account Details and Settlement Information:	  	 Payments to BNY:
  
 The Bank of New York

		  	Derivative Products Support Department
		  	32 Old Slip, 16th Floor
		  	New York, New York 10286
		  	Attention: Renee Etheart
		  	ABA #021000018
		  	Account #890-0068-175
		  	Reference: Interest Rate Swaps/Caps
		
		  	Payments to Counterparty:
		
		  	Wells Fargo Bank, N.A.
		  	San Francisco, CA
		  	ABA # 121-000-248
		  	Acct. # 3970771416
		  	Acct. Name: SAS Clearing
		  	FFC: 50971901 - Reserve Fund

 Ref No.38549 
  

 Page 3 of 7 







 Please confirm that the foregoing correctly sets forth the terms of our agreement by executing this agreement and
returning it via facsimile to Derivative Products Support Dept., Attn: Eugene Chun/Kenny Au-Yeung at 212-804-5818/5837. Once we receive this we will send you two original confirmations for execution. 
 Ref No.38549 
  

 Page 4 of 7 







 We are very pleased to have executed this Transaction with you and we look forward to completing other transactions with
you in the near future. 
  

			
	Very truly yours,
	
	THE BANK OF NEW YORK
		
	By:	 	 /s/ Stephen M. Lawler

	Name:	 	Stephen M. Lawler
	Title:	 	Managing Director

 Ref No.38549 
  

 Page 5 of 7 







 Counterparty, acting through its duly authorized signatory, hereby agrees to, accepts and confirms the terms of the
foregoing as of the Trade Date. 
 WELLS FARGO BANK, N.A., NOT INDIVIDUALLY, BUT SOLELY AS SECURITIES ADMINISTRATOR ON BEHALF OF SG MORTGAGE SECURITIES
TRUST 2006-OPT2. 
  

			
	By:	 	 /s/ Raymond Delli Colli

	Name:	 	Raymond Delli Colli
	Title:	 	Vice President

 Ref No.38549 
  

 Page 6 of 7 







 SCHEDULE I 
 (all dates subject to adjustment in accordance with the Modified Following Business Day 
 Convention)

  

					
	 Accrual Start Date
	  	 Accrual End Date
	  	Notional Amount (USD)
	 14-Dec-06
	  	25-Jan-07	  	379,358,001.00
	 25-Jan-07
	  	25-Feb-07	  	373,948,142.00
	 25-Feb-07
	  	25-Mar-07	  	367,693,669.00
	 25-Mar-07
	  	25-Apr-07	  	360,800,832.00
	 25-Apr-07
	  	25-May-07	  	353,023,455.00
	 25-May-07
	  	25-Jun-07	  	344,483,454.00

 Ref No.38549 
  

 Page 7 of 7