CHRISTUS HEALTH SELECTED INFORMATION RELATING TO OUTSTANDING INTEREST RATE SWAP TRANSACTIONS. As of June 30, 2017
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1 CHRISTUS HEALTH SELECTED INFORMATION RELATING TO OUTSTANDING INTEREST RATE SWAP TRANSACTIONS As of June 30, 2017 I. CHART OF OUTSTANDING SWAP TRANSACTIONS Effective Date Termination date Notional ($mil) Insurer Pay Rate Receive Rate FAS 157 Adjusted Value ($mil) 6/30/2017 FAS 157 Adjusted Value ($mil) 6/30/2016 BASIS w/ Merrill Lynch- CHRISTUS pays & receives a variable rate: 1/14/ /31/ N/A SIFMA Index X 1M LIBOR (0.22) (0.51) 2/1/2002 2/1/ N/A SIFMA Index X 1M LIBOR (0.07) (0.22) 2/21/2002 2/22/ N/A SIFMA Index X 1M LIBOR (0.10) (0.24) 7/1/2002 4/1/ N/A SIFMA Index X 1M LIBOR (0.06) (0.15) 8/8/2002 8/8/ N/A SIFMA Index X 1M LIBOR (0.02) (0.13) 11/4/ /6/ N/A SIFMA Index X 1M LIBOR 0.05 (0.13) BASIS SWAP NOTIONAL 470 TOTAL BASIS SWAP VALUE (0.42) (1.38) FIXED PAYOR w/wells Fargo CHRISTUS pays a fixed rate & receives a variable rate: 1/4/2012* 7/1/ /180 N/A 3.348% FIXED PAYOR w/citibank CHRISTUS pays a fixed rate & receives a variable rate: 11/8/2007 7/1/ MBIA 3.688% 11/8/2007 7/1/ MBIA 3.688% 11/8/2007 7/1/ MBIA 3.705% 64.5% of 1M LIBOR % (20.67) (32.15).26% (28.41) (40.28).26% (28.41) (40.28).31% (38.25) (54.43) 279 (95.07) (134.99) FIXED PAYOR NOTIONAL 451 FIXED PAYOR SWAP VALUE (115.74) (167.14) TOTAL NOTIONAL 921 TOTAL VALUE ALL SWAPS (116.16) (168.52) * This swap was novated from Citibank, N.A. to Wells Fargo Bank, N.A. effective January 4, The effective date for the original swap was November 8, As of such, January 4, 2012 effective date, the swap insurance policy provided by Assured Guaranty Municipal Corp., previously known as Financial Security Assurance (FSA), was terminated. The second listed notional amount is the notional amount as of June 30, 2016.
2 II. NON-STANDARD EVENTS OF DEFAULT & TERMINATION EVENTS The following is a brief description of the modifications to the general types of events of default and termination events from the standard ISDA Master Agreement relating to CHRISTUS outstanding interest rate swaps. The following does not include the complete text of such provisions or transactions with Merrill Lynch Capital Services, Inc. ( MLCS ), Citibank, N.A. ( Citibank ) or Wells Fargo Bank, N.A. ( Wells Fargo ) and is not intended to be a substitute for reference to the full and complete provisions of the underlying agreements. A. APPLICABLE TO THE MERRILL LYNCH SWAPS ONLY NON-STANDARD EVENTS OF DEFAULT (upon occurrence of EOD, other party may terminate swap agreement) Cross Default does not apply to MLCS or CHRISTUS. NON-STANDARD TERMINATION EVENTS (upon occurrence of TE, other party may terminate swap agreement) Additional Termination Events: (i) long-term senior unsecured debt rating of ML & Co. reduced to or below BBB- (S&P) or Baa3 (Moody s); or (ii) long term senior unsecured debt rating of CHRISTUS falls to or below BBB- (S&P) or Baa3 (Moody s). Note: Credit Support Provider for CHRISTUS = Each Obligated Group Member Credit Support Provider for MLCS = Merrill Lynch & Co., Inc. B. APPLICABLE TO THE CITIBANK AND WELLS FARGO SWAPS ONLY NON-STANDARD EVENTS OF DEFAULT (upon occurrence of EOD, other party may terminate swap agreement) Cross Default (upon occurrence of (i) a default of a party or Credit Support Provider of such party under an agreement relating to Specified Indebtedness in an aggregate amount not less than the applicable Threshold Amount which results in such Specified Indebtedness being accelerated/able to be accelerated as to payment or (ii) a default by such party or Credit Support Provider in making payment when due in an aggregate amount not less than the applicable Threshold Amount under such agreement). Specified Indebtedness = any obligation in respect of borrowed money. 1 Threshold Amount = for CHRISTUS, $10 million; for Citibank or Wells Fargo, as applicable, the lesser of $250 million or 3% of stockholder s equity of Citibank or Wells Fargo, as applicable. NON-STANDARD TERMINATION EVENTS (upon occurrence of TE, other party may terminate swap agreement) Additional Termination Events: (i) the long-term senior unsecured unenhanced debt rating of Citibank or Wells Fargo, as applicable, is withdrawn, suspended, or reduced below BBB- (S&P) or Baa3 (Moody s) or Citibank or Wells Fargo, as applicable, fails to have any rated long-term senior unsecured unenhanced debt; or (ii) the long-term senior unsecured unenhanced debt rating of CHRISTUS is withdrawn, suspended, or reduced below BBB- (S&P) or Baa3 (Moody s) or CHRISTUS fails to have any rated long term senior unsecured unenhanced debt; or (iii) it becomes impossible (due to a disaster, act of terrorism, riot, labor disruption, or other circumstance beyond the party s control) for a party or any Credit Support Provider to 1 With respect to CHRISTUS under the Wells Fargo swap, Specified Indebtedness is limited to any obligation secured under the CHRISTUS master indenture.
3 perform an obligation or make a payment or delivery or comply with any other material provision under the swap agreement. 2 Additional Termination Events for MBIA (now, National Public Finance Guarantee Corp.) Insured Transaction Only: (i) Swap Insurer fails (and such failure is continuing) to meet its payment obligations under the Swap Insurance Policy; or (ii) an MBIA Event has occurred and is continuing and either (a) an Event of Default has occurred with respect to CHRISTUS as Defaulting Party; or (b) a Termination Event has occurred with CHRISTUS as Affected Party; or (c) the rating of the long-term, unsecured, unenhanced senior debt of CHRISTUS is withdrawn, suspended or falls below Baa3 (Moody s) or BBB- (S&P) or CHRISTUS fails to have any rated long-term unsecured unenhanced senior debt; or (iii) an MBIA Event has occurred and CHRISTUS has not, within 30 days of notice from the counterparty, either (a) provided a Credit Support Provider acceptable to the counterparty or (b) elected to be subject to the terms of the Credit Support Annex as a pledgor. MBIA Event means (1) Swap Insurer fails to have a financial strength rating of at least A3 from Moody s or a claims paying ability rating of at least A- from S&P; (2) Swap Insurer is in conservation, liquidation, receivership or similar proceeding under New York Insurance Law; or (3) Swap Insurer fails to have a claims-paying ability rating of at least AAA (S&P) or a financial strength rating of at least Aaa (Moody s) and fails to pay obligations for indebtedness for money borrowed or to meet then-current policy obligations in excess of $100 million, which failure is not due to administrative error, contested claim, act of God, or statute/rule/order forbidding, delaying, or impeding the same. Optional Termination permitted on any Business Day by CHRISTUS Only (requires prior notice to Citibank or Wells Fargo, as applicable, and the Swap Insurer (where applicable) and certain other conditions; with respect to MBIA-insured Transaction, requires consent of MBIA). Note: Credit Support Provider for CHRISTUS = Each Obligated Group Member & the Obligated Group Credit Support Provider for Citibank and Wells Fargo = none III. COLLATERAL POSTING REQUIREMENTS The following is a general summary of certain collateral posting requirements with respect to CHRISTUS contained in CHRISTUS outstanding interest rate swap agreements. This summary does not include the detailed provisions of the swap agreements relating thereto (including any requirements relating to collateral posting by CHRISTUS, any right of CHRISTUS to the return of posted collateral, or other matters relating to collateral) and is not intended to be a substitute for reference to the full and complete provisions of such agreements. A. APPLICABLE TO THE MERRILL LYNCH SWAPS ONLY If the market value exposure of CHRISTUS to MLCS under all of the MLCS swap transactions exceeds the applicable Threshold in the table below, then MLCS may demand that CHRISTUS transfer collateral in an amount equal to the amount by which such exposure exceeds the applicable Threshold. MLCS is eligible to hold any collateral posted by CHRISTUS (3 rd party custodian not required), and may commingle with other funds or pledge or rehypothecate such collateral. Collateral required to be posted as early as next business day after demand is made. Threshold means the amounts set out below determined on the basis of the lower of the ratings assigned by either S&P or Moody s to the long term, unsecured, unsubordinated debt of CHRISTUS, provided that if CHRISTUS has no such ratings, or an Event of Default has occurred and is continuing with respect to CHRISTUS under the swap agreement with MLCS, the Threshold shall be zero: 2 In lieu of an Event of Default, the Wells Fargo swap includes an Additional Termination Event for failure by CHRISTUS to post collateral when required to do so.
4 Moody s Rating S&P Rating Threshold Aa3 or higher AA- or higher $35,000,000 A1 A+ $25,000,000 A2 A $15,000,000 A3 A- $15,000,000 Baa1 BBB+ $5,000,000 Baa2 BBB $3,000,000 Below Baa2 Below BBB $0 B. APPLICABLE TO THE CITIBANK SWAPS ONLY If the market value exposure of CHRISTUS to Citibank under the aggregate of the applicable Citibank swap transactions exceeds the Threshold in the applicable table below, then Citibank may demand that CHRISTUS transfer collateral in an amount equal to the amount by which such exposure exceeds the applicable Threshold. For purposes of calculating Threshold, only the MBIA-Insured Transactions shall be aggregated together with reference to the first chart below, and only the remaining Citibank Transactions shall be aggregated together with reference to the second chart below. Citibank is eligible to hold any collateral posted by CHRISTUS (3 rd party custodian not required), and may commingle with other funds or pledge or rehypothecate such collateral. Collateral required to be posted as early as next business day after demand is made. Threshold as of any date is the amount set forth in the table below set forth opposite the ratings classification assigned to any long-term unsecured, unsubordinated debt securities of CHRISTUS by S&P or Moody s. If at any time all outstanding long-term unsecured, unsubordinated debt securities of CHRISTUS are not rated by either S&P or Moody s, the Threshold shall be zero. In the event of a split classification by such rating agencies, the Threshold shall be the amount opposite the lower of the ratings in the table below. With respect to MBIA (now, National Public Finance Guarantee Corp.) Insured Transactions: A1 or above A+ or above Infinite USD 1,000,000 A2 A Infinite USD 500,000 A3 or below A- or below Zero USD 100,000 With respect to other Citibank Transactions: Aa3 or above AA- or above USD 25,000,000 USD 1,000,000 A1 A+ USD 15,000,000 USD 1,000,000 A2/A3 A/A- USD 10,000,000 USD 500,000 Baa1 BBB+ USD 5,000,000 USD 100,000 Baa2 BBB USD 1,000,000 USD 100,000 Baa3 or below BBB- or below Zero USD 100,000
5 C. APPLICABLE TO THE WELLS FARGO SWAP ONLY If the market value exposure of CHRISTUS to Wells Fargo under the Wells Fargo swap transaction exceeds the Threshold in the table below, then Wells Fargo may demand that CHRISTUS transfer collateral in an amount equal to the amount by which such exposure exceeds the applicable Threshold. Wells Fargo is eligible to hold any collateral posted by CHRISTUS (3 rd party custodian not required), and may commingle with other funds or pledge or rehypothecate such collateral. Collateral required to be posted as early as next business day after demand is made. Threshold as of any date is the amount set forth in the table below set forth opposite the ratings classification assigned to any long-term unsecured, unsubordinated debt securities of CHRISTUS by S&P or Moody s. If at any time all outstanding long-term unsecured, unsubordinated debt securities of CHRISTUS are not rated by either S&P or Moody s, the Threshold shall be zero. In the event of a split classification by such rating agencies, the Threshold shall be the amount opposite the lower of the ratings in the table below. Aa3 or above AA- or above USD 50,000,000 USD 1,000,000 A1 A+ USD 45,000,000 USD 1,000,000 A2 A USD 40,000,000 USD 500,000 A3 A- USD 25,000,000 USD 500,000 Baa1 BBB+ USD 10,000,000 USD 100,000 Baa2 BBB USD 5,000,000 USD 100,000 Baa3 or below BBB- or below Zero Zero
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