Interest Rate Swap Confirmation between JPMorgan Chase Bank and Nelnet Student Loan Trust 2002-1 (May 20, 2002)

Summary

This agreement is between JPMorgan Chase Bank and Nelnet Student Loan Trust 2002-1. It confirms the terms of an interest rate swap transaction, where JPMorgan pays a floating rate and the Trust pays a fixed rate on specified notional amounts tied to student loan notes. The agreement sets payment dates, rates, and conditions for each class of notes, with termination dates based on note maturity or principal reduction. The contract is governed by the ISDA Master Agreement and aims to manage interest rate risk for the Trust's student loan securities.

EX-10.68 95 y88696a1exv10w68.txt INTEREST RATE SWAP CONFIRMATION Exhibit 10.68 CONFIRMATION May 20, 2002 Nelnet Student Loan Trust 2002-1 c/o Wilmington Trust Company Rodney Square North 1100 North Market Street Wilmington, DE 19890 Attention: Corporate Trust Administration Subject: Student Loan Rate Cap Transaction Swap Ref No:____________________ The purpose of this confirmation is to set forth the terms and conditions of the above referenced rate cap Transaction entered into on the Trade Date specified below (the "Swap Transaction") between JPMorgan Chase Bank ("JPMorgan") and Nelnet Student Loan Trust 2002-1 (the "Trust"). This confirmation constitutes a "Confirmation" as referred to in the Master Agreement specified below. 1. This Confirmation is subject to, and incorporates, the 2000 ISDA Definitions, (the "ISDA Definitions"), published by the International Swaps and Derivatives Association, Inc. ("ISDA"), except that, for purposes of this Confirmation, all references to "Swap Transactions" in the ISDA Definitions will be deemed to be references to "Transactions". This Confirmation supplements, forms a part of and is subject to the ISDA Master Agreement and Schedule thereto dated as of May 20, 2002 (the "Master Agreement") between JPMorgan and the Trust. All provisions contained in, or incorporated by reference to, the Master Agreement shall govern this Confirmation except as expressly modified below. In the event of any inconsistency between this Confirmation, the ISDA Definitions, or the Master Agreement, as the case may be, this Confirmation will control for purposes of the Transaction to which this Confirmation relates. 2. The terms of the particular Transaction TO which this Confirmation relates are as follows: TRADE I Trade Date: May 20, 2002. Effective Date: May 20, 2002. Floating Rate Payer: JPMorgan. Floating Rate Payer Payment Dates: Early Payment applies-three (3) Business Days prior to the applicable Period End Date or the Termination Date, as the case may be. Fixed Rate Payer: The Trust. Fixed Rate Payer Payment Dates: The 25th day of each February, May, August, and November, beginning August 26, 2002, and ending on the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. A-1 CAP: A-1 Cap Notional Amount: (i) For the first Calculation Period, $207,500,000, and (ii) for each subsequent Calculation Period, the actual principal amount of the Class A-l Notes outstanding as of the last day of such Calculation Period divided by 2. Floating Rate Payments: A-1 Cap Rate: Adjusted Student Loan Rate. Floating Rate: Floating Rate Option plus Spread. Floating Rate Option: USD-LIBOR-BBA, provided however, that (i) the term "London Banking Days" shall mean a Banking Day in New York and London and (ii) if USD-LIBOR Reference Banks is used as a fallback and quotations are not available, the rate will be the rate in effect for the previous Calculation Period. Spread: 0.04% (4 bps). Floating Rate Designated Three (3) months for every Maturity: Calculation Period. Floating Rate Reset Dates: The first day of each Calculation Period. Floating Rate Day Count Actual/360 Fraction: Floating Rate Period End The 25th day of each February, May, Dates: August, and November beginning August 26, 2002, and ending on the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate Payments: Fixed Rate: 0.02% (2 bp). Fixed Rate Day Count Fraction: Actual/360 A-1 Cap Termination Date: The earliest of (i) May 25, 2011, (ii) the Distribution Date following the end of the Collection Period during which the Pool Balance is reduced to zero; and (iii) the Distribution Date on which the principal balance of all of the Class A-l Notes is reduced to zero 2 A-2 CAP: A-2 Cap Notional Amount: (i) For the first Calculation Period, $292,500,000, and (ii) for each subsequent Calculation Period, the actual principal amount of the Class A-2 Notes outstanding as of the last day of such Calculation Period divided by 2. Floating Rate Payments: A-2 Cap Rate: Adjusted Student Loan Rate. Floating Rate: Floating Rate Option plus the Spread. Floating Rate Option: USD-LIBOR-BBA, provided however, that (i) the term "London Banking Days" shall mean a Banking Day in New York and London and (ii) if USD-LIBOR Reference Banks is used as a fallback and quotations are not available, the rate will be the rate in effect for the previous Calculation Period. Spread: 0.17% (17 bps). Floating Rate Designated Three (3) months for every Maturity: Calculation Period. Floating Rate Reset The first day of each Calculation Dates: Period. Floating Rate Day Count Actual/360 Fraction: Floating Rate Period End The 25th day of each February, May, Dates: August, and November beginning August 26, 2002, and ending on the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate Payments: Fixed Rate: 0.02% (2 bp). Fixed Rate Day Count Actual/360 Fraction: A-2 Cap Termination Date: The earliest of (i) May 25, 2027, (ii) the Distribution Date following the end of the Collection Period during which the Pool Balance is reduced to zero; and (iii) the Distribution Date on which the principal balance of all of the Class A-2 Notes is reduced to zero. B CAP: B Cap Notional Amount: (i) For the first Calculation Period, $18,135,000, and (ii) for each subsequent Calculation Period, the actual 3 principal amount of the Class B Notes outstanding as of the last day of such Calculation Period divided by 2. Floating Rate Payments: B Cap Rate: Adjusted Student Loan Rate. Floating Rate: Floating Rate Option plus the Spread. Floating Rate Option: USD-LIBOR-BBA, provided however, that (I) the term "London Banking Days" shall mean a Banking Day in New York and London and (ii) if USD-LIBOR Reference Banks is used as a fallback and quotations are not available, the rate will be the rate in effect for the previous Calculation Period. Spread: 0.55% (55 bps). Floating Rate Designated Three (3) months for every Maturity: Calculation Period. Floating Rate Reset Dates: The first day of each Calculation Period. Floating Rate Day Count Actual/360 Fraction: Floating Rate Period End The 25th day of each February, May, Dates: August, and November beginning August 26, 2002, and ending on the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Fixed Rate Payments: Fixed Rate: 0.02% (2 bp). Fixed Rate Day Count Actual/360 Fraction: B Cap Termination Date: The earliest of (i) August 25, 2032, (ii) the Distribution Date following the end of the Collection Period during which the Pool Balance is reduced to zero; and (iii) the Distribution Date on which the principal balance of all of the Class B Notes is reduced to zero. SETTLEMENT: On each Floating Rate Payer Payment Date, the Floating Rate Payer will pay to the Fixed Rate Payer the greater of (i) zero and (ii) the sum of the amounts (to the extent such amount is positive) determined with respect to the A-l Cap, the A-2 Cap and the B Cap pursuant to the following formula: 4 (Floating Rate minus the Cap Rate) X Notional Amount X Floating Rate Day Count Fraction; provided that in no event, shall the Floating Rate Payer be liable for an amount in the aggregate in excess of (a) one half of the B Cap Notional Amount as of each Floating Rate Payer Payment Date less (b) all payments the Floating Rate Payer has made under this Trade 1 prior to such Floating Rate Payer Payment Date net of any payments (other than payments of interest) made by the Floating Amount Payer to the Floating Rate Payer under Trade II. On each Fixed Rate Payer Payment Date, the Fixed Rate Payer will pay to the Floating Rate Payer the sum of the amounts determined with respect to the A-l Cap, the A-2 Cap and the B Cap pursuant to the following formula: Fixed Rate X Notional Amount X Fixed Rate Day Count Fraction. 5 TRADED II Trade Date: May 20, 2002. Effective Date: May 20, 2002. Floating Amount Payer: The Trust Termination Date: The earliest of (i) August 25, 2032, Date (ii) the Distribution following the end of the Collection Period during which the Pool Balance is reduced to zero; and (iii) the Distribution Date on which the principal balance of all the Class A-1 Notes, Class A-2 Notes and the Class B Notes are reduced to zero. Floating Amount: An aggregate amount equal to any Floating Rate Payments made by the Floating Rate Payer to the Fixed Rate Payer under Trade I with respect to the corresponding Calculation Period. Floating Rate Period End Dates: The 25th day of each February, May, August, and November beginning August 26, 2002, and ending on the Termination Date, subject to adjustment in accordance with the Following Business Day Convention. Settlement: The Floating Amount Payer shall pay the Floating Rate Payer under Trade I the Floating Amount on each Floating Rate Payer Payment Date. Notwithstanding the foregoing, the Floating Amount Payer shall be obligated to pay the Floating Amount on a Floating Rate Payer Payment Date only if: (i) the Floating Rate Payer's obligations under Trade I with respect to the applicable Floating Rate Payer Payment Date have been satisfied; and (ii) to the extent that sufficient Available Funds are in the Collection Fund to make the scheduled payment in accordance with Section 5.03(c)(x) of the Indenture or sufficient funds are available in the Reserve Fund to make the scheduled payment in accordance with Section 5.04 of the Indenture. If the Floating Amount is not paid on a Floating Rate Payer Payment Date in full, the unpaid amount, together with interest thereon at a rate of USD-LIBOR-BBA accrued on a basis of Actual/360 shall be paid on the next succeeding Floating Rate Payer Payment Date on which funds are available therefore in accordance with 6 the Indenture. On any day, the rate shall be the then current USD-LIBOR-BBA rate determined as set forth in the Trade I. 3. ADDITIONAL PROVISIONS: (a) Business Days. New York (b) Calculation Agent. Nelnet, Inc (the "Administrator"), as appointed by the Trust. The Administrator shall act as Calculation Agent pursuant to the terms of the Administration Agreement and in accordance with the terms of the Schedule. (c) Governing Law. New York law. (d) Notice of Payment Amounts. The Calculation Agent shall provide notice to the Floating Rate Payer and the Fixed Rate Payer by at least 1:00 p.m. (New York City time) 1 Business Day prior to the Floating Rate Payer Payment Date with respect to Trade I of whether the Floating Rate Payor is required to make a payment and, if so, the amount of such payment together with reasonable details as to how the amounts were calculated. Notwithstanding anything herein to the contrary, if notice is received by the Floating Rate Payer after 1:00 p.m. (New York City time) 1 Business Day prior to each such Floating Rate Payer Payment Date, the Floating Rate Payer Payment Date shall be one Business Day after the day such notice is deemed to be received. For purposes hereof, any notice received on any day after 1:00 p.m. and/or any day that is not a Business Day shall be deemed received on the next Business Day. (e) Termination Payments: In the case of any early termination of this Transaction as a result of an Event of Default where the Trust is the Defaulting Party, any amount payable by the Trust pursuant to Section 6(e) of the Master Agreement shall be capped at an amount equal to the product of (x) 0.10% (10bps) and (y) the sum of the A-1 Cap Notional Amount, A-2 Cap Notional Amount and B Cap Notional Amount as of the Early Termination Date. In the case of any early termination of this Transaction in which an amount is payable by JPMorgan pursuant to Section 6(e) of the Master Agreement, such amount shall be capped at amount not to exceed (a) one half of the B Cap Notional Amount as of the date of such early termination less (b) all payments the Floating Rate Payer has made under Trade I prior to such early termination date net of any payments (other than payments of interest) made by the Floating Amount Payer to the Floating Rate Payer under Trade II. 4. ACCOUNT DETAILS: Payments to Party A: For the Account of: JPMorgan JPMorgan Chase Bank ABA # 021-000-021 Account No. 999-97-341 Attn: Structured Products Trading For payment inquiries: JPMorgan Chase Bank Structured Products Trading 270 Park Avenue 8th Floor New York, New York 10017 Attn: Jaynita K. Pala 7 Telephone No.: 212 ###-###-#### Facsimile No.: 212 ###-###-#### Payments to the Trust: For the Account of: Nelnet Student Loan Trust 2002-1 Zions First National Bank Salt Lake City, UT ABA: 124000054 FFC A/C: #80-000219 Ref: Nelnet 2002-1 Trust Attn: Sandy Stevens Phone: 720 ###-###-#### For payment inquiries: Wilmington Trust Company Rodney Square North 1100 North market Street Wilmington, Delaware 19890 Attention: Corporate Trust Administration Facsimile No.: (302) 651-3882 Telephone No.: (302) 651-1000 Electronic Messaging System Details: None 5. OFFICES: (a) The Office of JPMorgan for this Transaction is 270 Park Avenue, 40th Floor. New York, New York 10017-2070, Attention: Legal Department-Capital Markets. Except as otherwise provided in the Schedule to the Agreement, the foregoing shall be the address for notices or communications to JPMorgan. (b) The Office of the Trust for this Transaction is Nelnet Student Loan Trust 2002-1 c/o Wilmington Trust Company, Rodney Square North, 1100 North Market Street, Attention: Corporate Trust Administration, Wilmington, Delaware 19890; with copies to: Zions First National Bank, 717 17th Street, Suite 301, Denver, Colorado 80202, Attention: Corporate Trust; and Nelnet, Inc., 121 South 13th Street, Suite 301, Lincoln, Nebraska 68505, Attention: Terry J. Heimes. 6. ADDITIONAL DEFINITIONS: The following terms shall have the meanings set forth below when used in this Confirmation: "Calculation Period" means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date, and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. "Expected Interest Collections" means, with respect to any Collection Period, the sum of (i) the amount of interest accrued, net of amounts required to be paid to the Department or to be repaid to Guarantors or borrowers, with respect to the Financed Eligible Loans for such Collection Period (whether or not such interest is actually paid) and (ii) all Interest Benefit Payments and Special Allowance Payments expected to be received by the Trustee for such Collection Period (whether or not actually 8 received), net of amounts required to be paid to the Department, with respect to the Financed Eligible Loans, to the extent not included in (i) above, and (iii) investment earnings on all Investment Securities held by the Trustee available for deposit in the Collection Fund for such Distribution Date. "Adjusted Student Loan Rate" means, with respect to any Calculation Period, the product of (a) the quotient obtained by dividing (i) 360 by (ii) the actual number of days elapsed in the relevant Calculation Period and (b) the percentage equivalent (not less than zero percent) of a fraction (i) the numerator of which is equal to Expected Interest Collections for the Collection Period relating to such Calculation Period less the Servicing Fee with respect to such relevant Collection Period and the Administration Fee and the Derivative Product Fees payable on the relevant Floating Rate Payer Payment Date, and (ii) the denominator of which is the, Pool Balance as of the first day of such Collection Period. In addition, the terms "Administration Agreement", "Administration Fee", "Administrator", "Available Funds", "Class A-1 Notes, "Class A-2 Notes", "Class B Notes", "Collection Fund", "Collection Period", "Department", "Derivative Product Fees", "Derivative Product Payments", "Distribution Date", "Eligible Lender Trustee", "Guarantor", "Indenture", "Interest Benefit Payments", "Investment Securities", "Notes", "Pool Balance", "Servicing Fee", "Reserve Fund", "Special Allowance Payments", "Specified Reserve Fund Balance" and "Financed Eligible Loans" shall have the meanings when used in this Confirmation as ascribed to them in (i) the Amended and Restated Trust Agreement, dated as of May 1, 2002, by and among Nelnet Student Loan Funding, LLC, as the Initial Certificate holder and sponsor, and Wilmington Trust Company (in its individual capacity, the "Trust Company," ("Trust Company") and solely in its capacity thereunder, the "Delaware Trustee"), entered into in order to establish Nelnet Student Loan Trust 2002-1; or (ii) the Indenture of Trust, dated as of May 1, 2002 (the "Indenture"), by and between Nelnet Student Loan Trust 2002-1 (the "Issuer"), and Zions First National Bank, (together with its successors, the "Trustee"), as trustee thereunder. 9 Please confirm that the foregoing correctly sets forth the terms of our agreement by executing the copy of this Confirmation enclosed for that purpose and returning it to us. Very truly yours, JTMORGAN CHASE BANK By: /s/ JAMES DWYER -------------------------- Name: JAMES DWYER Title: VICE PRESIDENT Accepted and confirmed as of the date first written above. NELNET STUDENT LOAN TRUST 2002-1 By: Wilmington Trust Company not in its individual capacity but solely in its capacity as Trustee of the Nelnet Student Loan Trust 2002-1 By: /s/ Donald G. Mackelcan ------------------------------------- Name: Donald G. Mackelcan Title: Vice President 10