Post by Gowan on Apr 14, 2009 1:53:35 GMT 4
ISDA
International Swaps and Derivatives Association, Inc.
2009 ISDA CREDIT DERIVATIVES DETERMINATIONS COMMITTEES AND AUCTION
SETTLEMENT CDS PROTOCOL
published on March 12, 2009
by the International Swaps and Derivatives Association, Inc.
The International Swaps and Derivatives Association, Inc. (ISDA) has published this 2009 ISDA
Credit Derivatives Determinations Committees and Auction Settlement CDS Protocol (this Protocol)
to enable parties to Protocol Covered Transactions to amend the terms of such Protocol Covered
Transactions.
Accordingly, a party that has entered and/or anticipates entering into a Protocol Covered Transaction
may adhere to this Protocol and be bound by its terms by completing and delivering a letter
substantially in the form of Exhibit 1 to this Protocol (an Adherence Letter) to ISDA, as agent, as
described below.
1. Amendments
By adhering to this Protocol in the manner set forth in paragraph 2 below, a party (an Adhering Party)
that wishes to amend the terms of a Protocol Covered Transaction, in each case on the terms and
subject to the conditions set forth in this Protocol and the relevant Adherence Letter, agrees that the
terms of each Protocol Covered Transaction, if any, between it and each other Adhering Party will be
amended with effect from the Amendment Effective Date in accordance with the terms of Schedule 1
hereto.
Adherence and Effectiveness
2.
Adherence to this Protocol will be evidenced by the execution and delivery, in accordance with
(a)
paragraph 4(e) below, to ISDA, as agent, of an Adherence Letter (in accordance with
subparagraphs (i) and (ii) below) on or before April 7, 2009 or such later date designated by
ISDA (in either case, the Cut-off Date) or on any day during the Subsequent Adherence Period
(if any) in each case, determined in accordance with paragraph 4(e) below. ISDA may
designate a date later than April 7, 2009 as the Cut-off Date by notice published no later than
noon, New York time, on April 7, 2009 on its website at www.isda.org (or by other suitable
means) if it determines in its absolute discretion that market interest justifies such an extension
to the adherence period. ISDA will not accept any Adherence Letters to this Protocol received
after the Cut-off Date, subject to the designation of a Subsequent Adherence Period pursuant to
paragraph 2(e) below.
Copyright © 2009 by International Swaps and Derivatives Association, Inc.
(i) Each Adhering Party will deliver two copies of the Adherence Letter, one a manually
signed original and the other a conformed copy containing, in place of each signature,
the printed or typewritten name of each signatory.
(ii) Each Adhering Party agrees that, for evidentiary purposes, a conformed copy of an
Adherence Letter certified by the General Counsel (or other appropriate officer) of
ISDA will be deemed to be an original.
(b) The agreement to make the amendments contemplated by this Protocol, on the terms and
subject to the conditions set forth in this Protocol, will, as between any two Adhering Parties,
be effective on the date of delivery (determined in accordance with paragraph 4(e) below) to
ISDA, as agent, of an Adherence Letter (in accordance with paragraphs 2(a)(i) and (ii) above)
from the later of the Adhering Parties to adhere. Any such amendments will apply to each
Protocol Covered Transaction between the Adhering Parties (whether entered into before, on or
after the Cut-off Date) with effect from the Amendment Effective Date.
This Protocol is intended for use without negotiation, but without prejudice to any amendment,
(c)
modification or waiver in respect of a Protocol Covered Transaction that the parties may
otherwise effect in accordance with the terms of that Protocol Covered Transaction and the
Governing Master Agreement.
(i) In adhering to this Protocol, an Adhering Party may not specify additional provisions,
conditions or limitations in its Adherence Letter or otherwise.
Any purported adherence that ISDA, as agent, determines in good faith is not in
(ii)
compliance with this Protocol will be void and ISDA will inform the relevant party of
such fact as soon as reasonably possible after making such determination.
Each Adhering Party acknowledges and agrees that adherence to this Protocol is irrevocable,
(d)
irrespective of whether such adherence occurs on or prior to the Cut-off Date or during the
Subsequent Adherence Period. For the avoidance of doubt, each Adhering Party whose
adherence to this Protocol occurs on or prior to the Cut-off Date shall continue to be an
Adhering Party for purposes of the Subsequent Adherence Period without such Adhering Party
being required to deliver an Adherence Letter during the Subsequent Adherence Period.
(e) If ISDA determines in its absolute discretion that market interest justifies reopening adherence
to this Protocol, ISDA may designate the first and final day of a subsequent adherence period (a
Subsequent Adherence Period) by giving no less than two Business Days' notice on its
website at www.isda.org (or by other suitable means), provided that in no event shall the final
day of the Subsequent Adherence Period be later than January 31, 2011. In the event that
adherence is reopened:
(i) each Adherence Letter effectively delivered on any day during the Subsequent
Adherence Period in accordance with the terms of this Protocol shall be deemed to have
been effectively delivered; and
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(ii) if ISDA designates a new Implementation Date (the Subsequent Implementation
Date) to apply in respect of any Credit Derivative Transaction which becomes a
Protocol Covered Transaction by virtue of adherence by one or more of the parties
thereto during the Subsequent Adherence Period, all references herein to the
Implementation Date shall be deemed to be references to the Subsequent
Implementation Date in relation to such Protocol Covered Transactions only.
3. Representations and Agreements
(a) Each Adhering Party represents to each other Adhering Party with which it has entered into a
Protocol Covered Transaction, and is deemed to represent to those Adhering Parties with whom
it subsequently enters into a Protocol Covered Transaction, in either case, on the date on which
the later of them adheres to this Protocol in accordance with paragraph 2 above that:
(i) Status. It is, if relevant, duly organized and validly existing under the laws of the
jurisdiction of its organization or incorporation and, if relevant under such laws, in good
standing or, if it otherwise represents its status in or pursuant to the Governing Master
Agreement, has such status;
(ii) Powers. It has the power to execute and deliver the Adherence Letter and to perform its
obligations under the Adherence Letter and the Governing Master Agreement, in each
case as amended by the Adherence Letter and this Protocol, and has taken all necessary
action to authorize such execution, delivery and performance;
No Violation or Conflict. Such execution, delivery and performance do not violate or
(iii)
conflict with any law applicable to it, any provision of its constitutional documents, any
order or judgment of any court or other agency of government applicable to it or any of
its assets or any contractual restriction binding on or affecting it or any of its assets;
Consents. All governmental and other consents that are required to have been obtained
(iv)
by it with respect to the Adherence Letter and the Governing Master Agreement, in each
case as amended by the Adherence Letter and this Protocol, have been obtained and are
in full force and effect and all conditions of any such consents have been complied with;
(v) Obligations Binding. Its obligations under the Adherence Letter and the Governing
Master Agreement, in each case as amended by the Adherence Letter and this Protocol,
constitute its legal, valid and binding obligations, enforceable in accordance with their
respective terms (subject to applicable bankruptcy, reorganization, insolvency,
moratorium or similar laws affecting creditors' rights generally and subject, as to
enforceability, to equitable principles of general application (regardless of whether
enforcement is sought in a proceeding in equity or at law)); and
(vi) Credit Support. Its adherence to this Protocol and any amendment contemplated by this
Protocol will not, in and of itself, adversely affect any obligations owed, whether by it
or by any third party, under any Credit Support Document relating to the Governing
Master Agreement.
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(b) Each Adhering Party agrees with each other Adhering Party with which it has entered or
anticipates entering into a Governing Master Agreement that:
(i) each of the foregoing representations will be deemed to be a representation for purposes
of Section 5(a)(iv) of each such Governing Master Agreement that is an ISDA Master
Agreement (or, in the case of a Governing Master Agreement that is not an ISDA
Master Agreement, any analogous provision in such Governing Master Agreement)
entered into prior to the Amendment Effective Date between them; and
(ii) any Credit Support Document between the Adhering Parties and relating to a Protocol
Covered Transaction will be deemed to be amended to the extent necessary such that the
operation thereof is not affected by the adherence by the Adhering Parties to this
Protocol and any amendments contemplated by this Protocol.
4. Miscellaneous
(a) Entire Agreement; Restatement; Survival.
(i) This Protocol constitutes the entire agreement and understanding of the Adhering
Parties with respect to its subject matter. Each Adhering Party acknowledges that in
adhering to this Protocol it has not relied on any oral or written representation, warranty
or other assurance (except as provided for or referred to elsewhere in this Protocol or in
Schedule 1) and waives all rights and remedies which might otherwise be available to it
in respect thereof, except that nothing in this Protocol will limit or exclude any liability
of an Adhering Party for fraud.
(ii) Except for any amendment deemed to be made pursuant to this Protocol in respect of
any Protocol Covered Transaction, all terms and conditions of each Protocol Covered
Transaction will continue in full force and effect in accordance with the provisions of its
Confirmation as in effect immediately prior to the Amendment Effective Date and
nothing herein shall constitute a waiver or release of any rights of any Adhering Party
under the Documentation for the Protocol Covered Transaction. This Protocol will,
with respect to its subject matter, survive, and any amendments deemed to be made
pursuant to the Protocol will form a part of, each Protocol Covered Transaction between
the Adhering Parties notwithstanding Section 9(a) (or in the case of an ISDA Master
Agreement that is a 1992 ISDA Master Agreement (Local Currency – Single
Jurisdiction), Section 8(a)) of the Governing Master Agreement (or in the case of a
Governing Master Agreement that is not an ISDA Master Agreement, any analogous
provision in such Governing Master Agreement).
Amendments. An amendment, modification or waiver in respect of the matters contemplated by
(b)
this Protocol will, as between two Adhering Parties, only be effective if made in accordance
with the terms of the relevant Governing Master Agreement and then only with effect between
the parties to the Governing Master Agreement (and in the case of a Protocol Covered
Transaction falling within sub-paragraph (a) of the definition thereof, will only be effective to
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amend or override the provisions contained in paragraph 1 of this Protocol and Schedule 1 to
this Protocol if it expressly refers in writing to this paragraph 4(b) of this Protocol and would
otherwise be effective in accordance with Section 9(b) (or in the case of an ISDA Master
Agreement that is a 1992 ISDA Master Agreement (Local Currency – Single Jurisdiction),
Section 8(b)) of the Governing Master Agreement (or in the case of a Governing Master
Agreement that is not an ISDA Master Agreement, any analogous provision in such Governing
Master Agreement)).
(c) Headings. The headings used in this Protocol and any Adherence Letter are for convenience of
reference only and are not to affect the construction of or to be taken into consideration in
interpreting this Protocol or any Adherence Letter.
(d) Governing Law. This Protocol and each Adherence Letter will, as between two Adhering
Parties, be governed by and construed in accordance with the laws of the State of New York,
without reference to choice of law doctrine, provided that the amendments to each Protocol
Covered Transaction shall be governed by and construed in accordance with the law specified
to govern that Protocol Covered Transaction and otherwise in accordance with the applicable
choice of law doctrine.
(e) Notices. Any Adherence Letter must be in writing and delivered as a locked PDF (portable
document format) attachment to an email to ISDA at hardwiring@isda.org and will be deemed
effectively delivered on the date it is delivered unless on the date of that delivery ISDA's New
York office is closed or that communication is delivered after 5:00 p.m., New York time, in
which case that communication will be deemed effectively delivered on the next day ISDA's
New York office is open. Each Adhering Party agrees that the determination of the date and
time of delivery of any Adherence Letter shall be determined by ISDA in its absolute
discretion.
(f) Party Agreed Excluded Transactions. Adhering Parties may agree by separate bilateral
agreement(s) (including, for the avoidance of doubt, in the relevant Confirmation(s)) that one or
more specified Credit Derivative Transactions entered into between them shall not be Protocol
Covered Transactions for purposes of this Protocol (each such Credit Derivative Transaction, a
Party Agreed Excluded Transaction).
(g) Waiver. In respect of each Protocol Covered Transaction falling within sub-paragraph (a) of
the definition thereof, each Adhering Party agrees:
(i) that no DC Party and no legal counsel or other third-party professional hired by a DC
Party in connection with such DC Party's performance of its respective duties under the
Rules and/or the relevant Credit Derivatives Auction Settlement Terms, as applicable,
shall be liable, whether for negligence or otherwise, to such Adhering Party for any
form of damages, whether direct, indirect, special, consequential or otherwise, that
might arise in connection with such DC Party's performance of its duties, or any advice
given by legal counsel or any other third-party professional hired by such DC Party in
connection with such DC Party's performance of its respective duties, under the Rules
and/or the relevant Credit Derivatives Auction Settlement Terms, as applicable, except
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in the case of fraud or wilful misconduct on the part of such DC Party, legal counsel or
other third-party professional, as applicable; provided that, notwithstanding the
foregoing, legal counsel or any other third-party professional hired by a DC Party in
connection with such DC Party's performance of its duties under the Rules and/or the
relevant Credit Derivatives Auction Settlement Terms, as applicable, may be still be
liable to such DC Party; and
(ii) to waive any claim, whether for negligence or otherwise, that may arise against a DC
Party and any legal counsel or other third-party professional hired by such DC Party in
connection with such DC Party's performance of its duties under the Rules, except in the
case of fraud or wilful misconduct on the part of such DC Party, legal counsel or other
third-party professional, as applicable; provided that, notwithstanding the foregoing,
legal counsel or any other third-party professional hired by a DC Party in connection
with such DC Party's performance of its duties under the Rules and/or the relevant
Credit Derivatives Auction Settlement Terms, as applicable, may be still be liable to
such DC Party.
(h) Ability of the Relevant Credit Derivatives Determinations Committee to Interpret or Amend
Protocol Terms. Each Adhering Party agrees and acknowledges that if the relevant Credit
Derivatives Determinations Committee Resolves pursuant to the Rules:
(i) a question of interpretation regarding the provisions of this Protocol (including, without
limitation, the definition of Protocol Covered Transaction and any of the amendments
contemplated by Schedule 1 hereto), such Resolution shall be binding on each Adhering
Party; and
(ii) to amend the provisions of Schedule 1 to this Protocol in order to correct errors or
otherwise give effect to the purpose of the Supplement and this Protocol in respect of
any Protocol Covered Transaction, each such amendment shall be deemed to take effect
in the manner prescribed by the relevant Credit Derivatives Determinations Committee.
5. Definitions
As used in this Protocol, Confirmation, Credit Support Document and Transaction each has the
meaning given to such term in the related Governing Master Agreement. Each capitalized term used in
this Protocol or Schedule 1 hereto but not defined herein has the meaning given to such term in the
2003 ISDA Credit Derivatives Definitions, as supplemented by the 2009 ISDA Credit Derivatives
Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives
Definitions (the March 2009 Supplement), each published by ISDA (together, the Credit Derivatives
Definitions).
References in this Protocol and Schedule 1 to the following terms have the meaning indicated below:
Affected Reference Entity means, for purposes of this Protocol and in respect of a Credit Derivative
Transaction, a Reference Entity, if any, in respect of which an Event Determination Date has occurred
prior to the Amendment Effective Date.
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Affected Portion means, for purposes of this Protocol and in respect of a Credit Derivative
Transaction, the portion, if any, of such Credit Derivative Transaction attributable to an Affected
Reference Entity or an Excluded Reference Obligation.
Amendment Effective Date means:
(a) in the case of a Protocol Covered Transaction falling within sub-paragraph (a) of the definition
thereof, the Implementation Date;
(b) in the case of a Protocol Covered Transaction falling within sub-paragraph (b) of the definition
thereof, the Trade Date, or Swaption Trade Date, as applicable, of such Credit Derivative
Transaction; and
(c) in the case of a Protocol Covered Transaction falling within sub-paragraph (c) of the definition
thereof, the Novation Trade Date.
Bespoke Portfolio Transaction means a Bespoke Tranched Portfolio Transaction or a Bespoke
Untranched Portfolio Transaction.
Bespoke Tranched Portfolio Transaction means a tranched Credit Derivative Transaction that
references more than one Reference Entity and is not governed by Index Documentation.
Bespoke Untranched Portfolio Transaction means an untranched Credit Derivative Transaction that
references more than one Reference Entity and is not governed by Index Documentation.
CDS on ABS Transaction means any Credit Derivative Transaction in respect of which any Reference
Obligation or Deliverable Obligation is an asset-backed security, mortgage-backed security and/or
collateralized debt obligation (including, but not limited to, any collateralized loan obligation,
collateralized bond obligation, collateralized synthetic obligation or hybrid thereof).
CDX Documentation means Documentation referencing a CDX index, published by CDS IndexCo
LLC, Markit North America, Inc., or any predecessor or successor thereto, with such modifications to
which the parties thereto have agreed.
Confirmation means, in relation to a Protocol Covered Transaction between two Adhering Parties,
each document or other confirming evidence (including but not limited to, a transaction supplement)
exchanged between the parties or otherwise effective for the purpose of confirming or evidencing the
Protocol Covered Transaction.
Constant Maturity Swap Transaction means any Portfolio Constant Maturity Swap Transaction or
any Single Name Constant Maturity Swap Transaction.
Covered CDX Tranched Transaction means a tranched Credit Derivative Transaction that references
a CDX index and is governed by CDX Documentation.
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Covered CDX Untranched Transaction means a Credit Derivative Transaction that is not a Covered
CDX Tranched Transaction but that references a CDX index and is governed by CDX Documentation.
Covered Index Transaction means a Covered CDX Tranched Transaction, a Covered CDX
Untranched Transaction, a Covered iTraxx® Tranched Transaction or a Covered iTraxx® Untranched
Transaction.
Covered iTraxx® Tranched Transaction means a tranched Credit Derivative Transaction that
references an iTraxx® index and is governed by iTraxx® Documentation.
Covered iTraxx® Untranched Transaction means a Credit Derivative Transaction that is not a
Covered iTraxx® Tranched Transaction but that references an iTraxx® index and is governed by
iTraxx® Documentation.
Covered Non-Auction Transaction means any Credit Derivative Transaction that is a Reference
Obligation Only Transaction, a Fixed Recovery Transaction, a Preferred CDS Transaction or a Party
Agreed Non-Auction Transaction.
Covered Non-Swaption Transaction means any Credit Derivative Transaction that is a Single Name
CDS Transaction, a Constant Maturity Swap Transaction, a Principal Only Transaction, an Interest
Only Transaction, a First to Default Transaction, an Nth to Default Transaction, a Recovery Lock
Transaction or a Bespoke Portfolio Transaction.
Covered Swaption Transaction means any Credit Derivative Transaction that is either a Single Name
Swaption or a Portfolio Swaption.
Credit Derivative Transaction means any credit derivative transaction that incorporates the 2003
ISDA Credit Derivatives Definitions.
Documentation means the Governing Master Agreement, Standard Terms Supplement (or master
confirmation, general terms confirmation, or any document analogous thereto) and Confirmation (or
transaction supplement or any document analogous thereto) relating to a Protocol Covered Transaction
as amended, supplemented, varied or modified as at the Amendment Effective Date.
Excluded Index Transaction means any back-to-back Credit Derivative Transaction between any two
of Citigroup Global Markets Limited, Credit Suisse First Boston International, Deutsche Bank AG,
Goldman Sachs International, JP Morgan Chase Bank, Merrill Lynch International, Morgan Stanley
Capital Services Inc. and UBS AG London Branch relating to trust certificates linked to any Dow
Jones CDX.NA.HY Index or CDX.NA.HY Index.
Excluded Reference Obligation means any of the following:
(a) an Obligation in respect of which the Obligation Characteristics include either Full Faith and
Credit Obligation Liability, General Fund Obligation Liability, or Revenue Obligation Liability
(each as defined in the Additional Provisions for Credit Derivative Transactions – U.S.
Municipal Entity as Reference Entity, published by ISDA on September 17, 2004);
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(b) an asset-backed security, mortgage-backed security, and/or collateralized debt obligation
(including, but not limited to, any collateralized loan obligation, collateralized bond obligation,
collateralized synthetic obligation or hybrid thereof); or
(c) a trust certificate linked to any Dow Jones CDX.NA.HY Index or CDX.NA.HY Index.
Excluded Transaction means any of the following:
(a) a Loan Only Transaction;
(b) a U.S. Muni Transaction;
(c) a CDS on ABS Transaction;
(d) an Excluded Index Transaction; or
(e) a Party Agreed Excluded Transaction.
First to Default Transaction means a Credit Derivative Transaction that references more than one
Reference Entity pursuant to which Cash Settlement Amounts or Physical Settlement Amounts, as
applicable, will only be paid to Buyer after the Conditions to Settlement have been satisfied for the first
time in respect of any of the relevant Reference Entities.
Fixed Recovery Transaction means a Credit Derivative Transaction in respect of which the Final
Price is pre-determined and specified in the relevant Documentation.
Governing Master Agreement means, in respect of a Protocol Covered Transaction, the ISDA Master
Agreement or other form of master agreement governing such Protocol Covered Transaction and of
which such Protocol Covered Transaction forms part, whether executed by the parties thereto or
incorporated by reference in the Confirmation relating to such Protocol Covered Transaction.
Implementation Date means April 8, 2009.
Index Documentation means CDX Documentation or iTraxx® Documentation.
Interest Only Transaction means a Credit Derivative Transaction that references more than one
Reference Entity under which (a) Seller pays to Buyer either (i) an upfront amount or (ii) a floating
interest rate, (b) neither party pays Cash Settlement Amounts during the term of the Transaction and (c)
Buyer pays Fixed Amounts to Seller during the term of the Transaction (which Fixed Amounts are
reduced due to Credit Events).
ISDA Master Agreement means any of the following: (a) the 2002 ISDA Master Agreement; (b) the
1992 ISDA Master Agreement (Multicurrency – Cross Border); (c) the 1992 ISDA Master Agreement
(Local Currency – Single Jurisdiction); (d) the 1987 ISDA Interest Rate and Currency Exchange
Agreement; and (e) the 1987 ISDA Interest Rate Swap Agreement.
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iTraxx® Documentation means Documentation referencing an iTraxx® index published by the
International Index Company Limited or any predecessor or successor thereto, with such modifications
to which the parties thereto have agreed.
Loan Only Transaction means a Credit Derivative Transaction in respect of which "Loan" is specified
as the only Deliverable Obligation Category or a Credit Derivative Transaction pursuant to which the
Reference Obligations (which are required to be Loans) and certain other Loans (or Borrowed Money
obligations other than Bonds) are the only Deliverable Obligations.
New Novation Transaction means any new Credit Derivative Transaction between a Transferee and a
Remaining Party entered into pursuant to a novation transaction (or other agreement) for which the Old
Novation Transaction relating thereto would have been a Protocol Covered Transaction set out in sub-
paragraphs (a) or (b) of the definition of Protocol Covered Transaction if the Transferor and Remaining
Party had each been Adhering Parties.
Novation Trade Date means the date on which a Transferor, Transferee and Remaining Party enter
into a novation transaction (or other analogous agreement).
Nth to Default Transaction means a Credit Derivative Transaction that references more than one
Reference Entity pursuant to which Cash Settlement Amounts or Physical Settlement Amounts, as
applicable, will only be paid to Buyer after the Conditions to Settlement have been satisfied in respect
of any of the relevant Reference Entities that is the nth Reference Entity in respect of which an Event
Determination Date has occurred, where "n" is the number specified for such purpose in the
Documentation in respect of such Credit Derivative Transaction.
Old Novation Transaction means any Credit Derivative Transaction originally entered into between a
Transferor and a Remaining Party which is the subject of a novation transaction (or other analogous
agreement).
Party Agreed Excluded Transaction has the meaning specified in paragraph 4(f) of this Protocol.
Party Agreed Non-Auction Transaction means any Credit Derivative Transaction that (a) by its
terms expressly states that the provisions relating to settlement therein shall not be amended or
modified by any Auction Settlement Terms or any documentation in respect of an auction published by
ISDA and (b) would, but for such express terms, otherwise be a Protocol Covered Transaction.
Portfolio Constant Maturity Swap Transaction means a Credit Derivative Transaction that
references more than one Reference Entity in respect of which the Fixed Rate is reset at the end of each
Fixed Rate Payer Calculation Period to the then-current market rate for the relevant Credit Derivative
Transaction.
Portfolio Swaption means any unexercised option to enter into an Underlying CDS (other than another
Swaption) that is not an Excluded Transaction and that references more than one Reference Entity.
Preferred CDS Transaction means a Credit Derivative Transaction that references preferred
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securities or similar hybrid securities as Reference Obligations or Deliverable Obligations and which
contains specific provisions pertaining thereto.
Principal Only Transaction means a Credit Derivative Transaction that references more than one
Reference Entity under which Seller pays an upfront amount to Buyer, neither party pays any Fixed
Amounts or Cash Settlement Amounts during the term of the Credit Derivative Transaction and, upon
termination of the Credit Derivative Transaction, Buyer pays to Seller the notional amount of the
Credit Derivative Transaction, minus aggregate Cash Settlement Amounts.
Protocol Covered Transaction means:
(a) any Credit Derivative Transaction that is a Covered Index Transaction, a Covered Swaption
Transaction, a Covered Non-Swaption Transaction, or a Covered Non-Auction Transaction in
respect of which:
(i) each of the parties is an Adhering Party;
(ii) the Trade Date or, in respect of a Covered Swaption Transaction, the Swaption
Trade Date, is prior to the Implementation Date;
the Scheduled Termination Date or, in respect of a Covered Swaption
(iii)
Transaction, the Expiration Date (as defined in such Covered Swaption
Transaction), is on or after the Implementation Date;
no Event Determination Date (as defined in the Documentation relating to such
(iv)
Credit Derivative Transaction) has occurred prior to the Implementation Date;
and
no Early Termination Date (as defined in the Governing Master Agreement
(v)
relating to such Credit Derivative Transaction, or in the case of a Governing
Master Agreement which is not an ISDA Master Agreement, any event
analogous thereto) in respect of the relevant Credit Derivative Transaction has
occurred under the Governing Master Agreement prior to the Implementation
Date; or
(b) any Credit Derivative Transaction that is a Covered Index Transaction, a Covered
Swaption Transaction, a Covered Non-Swaption Transaction, or a Covered Non-
Auction Transaction in respect of which:
(i) the related Documentation (without reference to any amendments applicable
pursuant to this Protocol) does not incorporate the March 2009 Supplement;
(ii) each of the parties is an Adhering Party; and
the Trade Date or, in respect of a Covered Swaption Transaction, the Swaption
(iii)
Trade Date, is on or after the Implementation Date but on or before January 31,
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2011;
(c) a New Novation Transaction which does not otherwise fall within (a) or (b) above and
in respect of which:
(i) the related Documentation (without reference to any amendments applicable
pursuant to this Protocol) does not incorporate the March 2009 Supplement;
(ii) each of the Remaining Party and the Transferee is an Adhering Party; and
(iii) the Novation Trade Date is on or after the Implementation Date and on or prior
to January 31, 2011;
provided that (A) subject to clause (B) below, any Transaction that is an Excluded Transaction shall not
be a Protocol Covered Transaction and (B) in respect of any Credit Derivative Transaction that relates
to more than one Reference Entity and that would otherwise be a Protocol Covered Transaction but for
the inclusion of any Affected Portion therein, such Affected Portion shall be excluded for purposes of
this Protocol and the remaining portion of such Credit Derivative Transaction shall be deemed to be a
Protocol Covered Transaction.
Recovery Lock Transaction means a Credit Derivative Transaction in respect of which the Reference
Price is specified in the relevant Documentation as a price less than 100 per cent. and for which either
Buyer or Seller can deliver a Notice of Physical Settlement.
Reference Obligation Only Transaction means:
(a) a Credit Derivative Transaction in respect of which the applicable Settlement Method is
Physical Settlement and "Reference Obligations Only" is specified as the Deliverable
Obligation Category; or
a Credit Derivative Transaction in respect of which the applicable Settlement Method is Cash
(b)
Settlement and the relevant Confirmation specifies only one or more specifically identified
Reference Obligations.
Remaining Party means a party which consents to a Transferor's transfer by novation and the
acceptance thereof by a Transferee of all of such Transferor's rights, liabilities, duties and obligations
under and in respect of the novated amount of a Credit Derivative Transaction that is originally
between it and such Transferor.
Single Name CDS Transaction means a Credit Derivative Transaction that references not more than
one Reference Entity that is not a Single Name Constant Maturity Swap Transaction.
Single Name Constant Maturity Swap Transaction means a Credit Derivative Transaction that
references not more than one Reference Entity for which the Fixed Rate is reset at the end of each
Fixed Rate Payer Calculation Period to the then-current market rate for the relevant Credit Derivative
Transaction.
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Single Name Swaption means any unexercised option to enter into an Underlying CDS (other than
another Swaption) that is not an Excluded Transaction and that references not more than one Reference
Entity.
Standard Terms Supplement means, in relation to a Protocol Covered Transaction between two
Adhering Parties, the standard terms supplement published by ISDA, Markit Group Limited,
International Index Company Limited, CDS IndexCo LLC, any analogous institution or any successor
or predecessor thereto and incorporated by reference into the relevant Confirmation.
Subsequent Adherence Period has the meaning specified in paragraph 2(e) of this Protocol.
Subsequent Implementation Date has the meaning specified in paragraph 2(e) of this Protocol.
Swaption means an option to enter into an Underlying CDS that references one, or more than one
Reference Entity.
Transferee means a party which accepts by way of novation from a Transferor all of such Transferor's
rights, liabilities, duties and obligations under and in respect of the novated amount of a Credit
Derivative Transaction that is originally between such Transferor and a Remaining Party.
Transferor means a party which transfers by way of novation to a Transferee all of such party's rights,
liabilities, duties and obligations under and in respect of the novated amount of a Credit Derivative
Transaction that is originally between such party and a Remaining Party.
Underlying CDS means, in respect of a Single Name Swaption or Portfolio Swaption, the underlying
Credit Derivative Transaction to which the relevant unexercised option relates.
U.S. Muni Transaction means any Credit Derivative Transaction in respect of which the Obligation
Characteristics include either Full Faith and Credit Obligation Liability, General Fund Obligation
Liability, or Revenue Obligation Liability (each as defined in the Additional Provisions for Credit
Derivative Transactions – U.S. Municipal Entity as Reference Entity, published by ISDA on September
17, 2004) (including, for the avoidance of doubt, any Credit Derivative Transaction that references the
Markit MCDX index).
13
International Swaps and Derivatives Association, Inc.
2009 ISDA CREDIT DERIVATIVES DETERMINATIONS COMMITTEES AND AUCTION
SETTLEMENT CDS PROTOCOL
published on March 12, 2009
by the International Swaps and Derivatives Association, Inc.
The International Swaps and Derivatives Association, Inc. (ISDA) has published this 2009 ISDA
Credit Derivatives Determinations Committees and Auction Settlement CDS Protocol (this Protocol)
to enable parties to Protocol Covered Transactions to amend the terms of such Protocol Covered
Transactions.
Accordingly, a party that has entered and/or anticipates entering into a Protocol Covered Transaction
may adhere to this Protocol and be bound by its terms by completing and delivering a letter
substantially in the form of Exhibit 1 to this Protocol (an Adherence Letter) to ISDA, as agent, as
described below.
1. Amendments
By adhering to this Protocol in the manner set forth in paragraph 2 below, a party (an Adhering Party)
that wishes to amend the terms of a Protocol Covered Transaction, in each case on the terms and
subject to the conditions set forth in this Protocol and the relevant Adherence Letter, agrees that the
terms of each Protocol Covered Transaction, if any, between it and each other Adhering Party will be
amended with effect from the Amendment Effective Date in accordance with the terms of Schedule 1
hereto.
Adherence and Effectiveness
2.
Adherence to this Protocol will be evidenced by the execution and delivery, in accordance with
(a)
paragraph 4(e) below, to ISDA, as agent, of an Adherence Letter (in accordance with
subparagraphs (i) and (ii) below) on or before April 7, 2009 or such later date designated by
ISDA (in either case, the Cut-off Date) or on any day during the Subsequent Adherence Period
(if any) in each case, determined in accordance with paragraph 4(e) below. ISDA may
designate a date later than April 7, 2009 as the Cut-off Date by notice published no later than
noon, New York time, on April 7, 2009 on its website at www.isda.org (or by other suitable
means) if it determines in its absolute discretion that market interest justifies such an extension
to the adherence period. ISDA will not accept any Adherence Letters to this Protocol received
after the Cut-off Date, subject to the designation of a Subsequent Adherence Period pursuant to
paragraph 2(e) below.
Copyright © 2009 by International Swaps and Derivatives Association, Inc.
(i) Each Adhering Party will deliver two copies of the Adherence Letter, one a manually
signed original and the other a conformed copy containing, in place of each signature,
the printed or typewritten name of each signatory.
(ii) Each Adhering Party agrees that, for evidentiary purposes, a conformed copy of an
Adherence Letter certified by the General Counsel (or other appropriate officer) of
ISDA will be deemed to be an original.
(b) The agreement to make the amendments contemplated by this Protocol, on the terms and
subject to the conditions set forth in this Protocol, will, as between any two Adhering Parties,
be effective on the date of delivery (determined in accordance with paragraph 4(e) below) to
ISDA, as agent, of an Adherence Letter (in accordance with paragraphs 2(a)(i) and (ii) above)
from the later of the Adhering Parties to adhere. Any such amendments will apply to each
Protocol Covered Transaction between the Adhering Parties (whether entered into before, on or
after the Cut-off Date) with effect from the Amendment Effective Date.
This Protocol is intended for use without negotiation, but without prejudice to any amendment,
(c)
modification or waiver in respect of a Protocol Covered Transaction that the parties may
otherwise effect in accordance with the terms of that Protocol Covered Transaction and the
Governing Master Agreement.
(i) In adhering to this Protocol, an Adhering Party may not specify additional provisions,
conditions or limitations in its Adherence Letter or otherwise.
Any purported adherence that ISDA, as agent, determines in good faith is not in
(ii)
compliance with this Protocol will be void and ISDA will inform the relevant party of
such fact as soon as reasonably possible after making such determination.
Each Adhering Party acknowledges and agrees that adherence to this Protocol is irrevocable,
(d)
irrespective of whether such adherence occurs on or prior to the Cut-off Date or during the
Subsequent Adherence Period. For the avoidance of doubt, each Adhering Party whose
adherence to this Protocol occurs on or prior to the Cut-off Date shall continue to be an
Adhering Party for purposes of the Subsequent Adherence Period without such Adhering Party
being required to deliver an Adherence Letter during the Subsequent Adherence Period.
(e) If ISDA determines in its absolute discretion that market interest justifies reopening adherence
to this Protocol, ISDA may designate the first and final day of a subsequent adherence period (a
Subsequent Adherence Period) by giving no less than two Business Days' notice on its
website at www.isda.org (or by other suitable means), provided that in no event shall the final
day of the Subsequent Adherence Period be later than January 31, 2011. In the event that
adherence is reopened:
(i) each Adherence Letter effectively delivered on any day during the Subsequent
Adherence Period in accordance with the terms of this Protocol shall be deemed to have
been effectively delivered; and
2
(ii) if ISDA designates a new Implementation Date (the Subsequent Implementation
Date) to apply in respect of any Credit Derivative Transaction which becomes a
Protocol Covered Transaction by virtue of adherence by one or more of the parties
thereto during the Subsequent Adherence Period, all references herein to the
Implementation Date shall be deemed to be references to the Subsequent
Implementation Date in relation to such Protocol Covered Transactions only.
3. Representations and Agreements
(a) Each Adhering Party represents to each other Adhering Party with which it has entered into a
Protocol Covered Transaction, and is deemed to represent to those Adhering Parties with whom
it subsequently enters into a Protocol Covered Transaction, in either case, on the date on which
the later of them adheres to this Protocol in accordance with paragraph 2 above that:
(i) Status. It is, if relevant, duly organized and validly existing under the laws of the
jurisdiction of its organization or incorporation and, if relevant under such laws, in good
standing or, if it otherwise represents its status in or pursuant to the Governing Master
Agreement, has such status;
(ii) Powers. It has the power to execute and deliver the Adherence Letter and to perform its
obligations under the Adherence Letter and the Governing Master Agreement, in each
case as amended by the Adherence Letter and this Protocol, and has taken all necessary
action to authorize such execution, delivery and performance;
No Violation or Conflict. Such execution, delivery and performance do not violate or
(iii)
conflict with any law applicable to it, any provision of its constitutional documents, any
order or judgment of any court or other agency of government applicable to it or any of
its assets or any contractual restriction binding on or affecting it or any of its assets;
Consents. All governmental and other consents that are required to have been obtained
(iv)
by it with respect to the Adherence Letter and the Governing Master Agreement, in each
case as amended by the Adherence Letter and this Protocol, have been obtained and are
in full force and effect and all conditions of any such consents have been complied with;
(v) Obligations Binding. Its obligations under the Adherence Letter and the Governing
Master Agreement, in each case as amended by the Adherence Letter and this Protocol,
constitute its legal, valid and binding obligations, enforceable in accordance with their
respective terms (subject to applicable bankruptcy, reorganization, insolvency,
moratorium or similar laws affecting creditors' rights generally and subject, as to
enforceability, to equitable principles of general application (regardless of whether
enforcement is sought in a proceeding in equity or at law)); and
(vi) Credit Support. Its adherence to this Protocol and any amendment contemplated by this
Protocol will not, in and of itself, adversely affect any obligations owed, whether by it
or by any third party, under any Credit Support Document relating to the Governing
Master Agreement.
3
(b) Each Adhering Party agrees with each other Adhering Party with which it has entered or
anticipates entering into a Governing Master Agreement that:
(i) each of the foregoing representations will be deemed to be a representation for purposes
of Section 5(a)(iv) of each such Governing Master Agreement that is an ISDA Master
Agreement (or, in the case of a Governing Master Agreement that is not an ISDA
Master Agreement, any analogous provision in such Governing Master Agreement)
entered into prior to the Amendment Effective Date between them; and
(ii) any Credit Support Document between the Adhering Parties and relating to a Protocol
Covered Transaction will be deemed to be amended to the extent necessary such that the
operation thereof is not affected by the adherence by the Adhering Parties to this
Protocol and any amendments contemplated by this Protocol.
4. Miscellaneous
(a) Entire Agreement; Restatement; Survival.
(i) This Protocol constitutes the entire agreement and understanding of the Adhering
Parties with respect to its subject matter. Each Adhering Party acknowledges that in
adhering to this Protocol it has not relied on any oral or written representation, warranty
or other assurance (except as provided for or referred to elsewhere in this Protocol or in
Schedule 1) and waives all rights and remedies which might otherwise be available to it
in respect thereof, except that nothing in this Protocol will limit or exclude any liability
of an Adhering Party for fraud.
(ii) Except for any amendment deemed to be made pursuant to this Protocol in respect of
any Protocol Covered Transaction, all terms and conditions of each Protocol Covered
Transaction will continue in full force and effect in accordance with the provisions of its
Confirmation as in effect immediately prior to the Amendment Effective Date and
nothing herein shall constitute a waiver or release of any rights of any Adhering Party
under the Documentation for the Protocol Covered Transaction. This Protocol will,
with respect to its subject matter, survive, and any amendments deemed to be made
pursuant to the Protocol will form a part of, each Protocol Covered Transaction between
the Adhering Parties notwithstanding Section 9(a) (or in the case of an ISDA Master
Agreement that is a 1992 ISDA Master Agreement (Local Currency – Single
Jurisdiction), Section 8(a)) of the Governing Master Agreement (or in the case of a
Governing Master Agreement that is not an ISDA Master Agreement, any analogous
provision in such Governing Master Agreement).
Amendments. An amendment, modification or waiver in respect of the matters contemplated by
(b)
this Protocol will, as between two Adhering Parties, only be effective if made in accordance
with the terms of the relevant Governing Master Agreement and then only with effect between
the parties to the Governing Master Agreement (and in the case of a Protocol Covered
Transaction falling within sub-paragraph (a) of the definition thereof, will only be effective to
4
amend or override the provisions contained in paragraph 1 of this Protocol and Schedule 1 to
this Protocol if it expressly refers in writing to this paragraph 4(b) of this Protocol and would
otherwise be effective in accordance with Section 9(b) (or in the case of an ISDA Master
Agreement that is a 1992 ISDA Master Agreement (Local Currency – Single Jurisdiction),
Section 8(b)) of the Governing Master Agreement (or in the case of a Governing Master
Agreement that is not an ISDA Master Agreement, any analogous provision in such Governing
Master Agreement)).
(c) Headings. The headings used in this Protocol and any Adherence Letter are for convenience of
reference only and are not to affect the construction of or to be taken into consideration in
interpreting this Protocol or any Adherence Letter.
(d) Governing Law. This Protocol and each Adherence Letter will, as between two Adhering
Parties, be governed by and construed in accordance with the laws of the State of New York,
without reference to choice of law doctrine, provided that the amendments to each Protocol
Covered Transaction shall be governed by and construed in accordance with the law specified
to govern that Protocol Covered Transaction and otherwise in accordance with the applicable
choice of law doctrine.
(e) Notices. Any Adherence Letter must be in writing and delivered as a locked PDF (portable
document format) attachment to an email to ISDA at hardwiring@isda.org and will be deemed
effectively delivered on the date it is delivered unless on the date of that delivery ISDA's New
York office is closed or that communication is delivered after 5:00 p.m., New York time, in
which case that communication will be deemed effectively delivered on the next day ISDA's
New York office is open. Each Adhering Party agrees that the determination of the date and
time of delivery of any Adherence Letter shall be determined by ISDA in its absolute
discretion.
(f) Party Agreed Excluded Transactions. Adhering Parties may agree by separate bilateral
agreement(s) (including, for the avoidance of doubt, in the relevant Confirmation(s)) that one or
more specified Credit Derivative Transactions entered into between them shall not be Protocol
Covered Transactions for purposes of this Protocol (each such Credit Derivative Transaction, a
Party Agreed Excluded Transaction).
(g) Waiver. In respect of each Protocol Covered Transaction falling within sub-paragraph (a) of
the definition thereof, each Adhering Party agrees:
(i) that no DC Party and no legal counsel or other third-party professional hired by a DC
Party in connection with such DC Party's performance of its respective duties under the
Rules and/or the relevant Credit Derivatives Auction Settlement Terms, as applicable,
shall be liable, whether for negligence or otherwise, to such Adhering Party for any
form of damages, whether direct, indirect, special, consequential or otherwise, that
might arise in connection with such DC Party's performance of its duties, or any advice
given by legal counsel or any other third-party professional hired by such DC Party in
connection with such DC Party's performance of its respective duties, under the Rules
and/or the relevant Credit Derivatives Auction Settlement Terms, as applicable, except
5
in the case of fraud or wilful misconduct on the part of such DC Party, legal counsel or
other third-party professional, as applicable; provided that, notwithstanding the
foregoing, legal counsel or any other third-party professional hired by a DC Party in
connection with such DC Party's performance of its duties under the Rules and/or the
relevant Credit Derivatives Auction Settlement Terms, as applicable, may be still be
liable to such DC Party; and
(ii) to waive any claim, whether for negligence or otherwise, that may arise against a DC
Party and any legal counsel or other third-party professional hired by such DC Party in
connection with such DC Party's performance of its duties under the Rules, except in the
case of fraud or wilful misconduct on the part of such DC Party, legal counsel or other
third-party professional, as applicable; provided that, notwithstanding the foregoing,
legal counsel or any other third-party professional hired by a DC Party in connection
with such DC Party's performance of its duties under the Rules and/or the relevant
Credit Derivatives Auction Settlement Terms, as applicable, may be still be liable to
such DC Party.
(h) Ability of the Relevant Credit Derivatives Determinations Committee to Interpret or Amend
Protocol Terms. Each Adhering Party agrees and acknowledges that if the relevant Credit
Derivatives Determinations Committee Resolves pursuant to the Rules:
(i) a question of interpretation regarding the provisions of this Protocol (including, without
limitation, the definition of Protocol Covered Transaction and any of the amendments
contemplated by Schedule 1 hereto), such Resolution shall be binding on each Adhering
Party; and
(ii) to amend the provisions of Schedule 1 to this Protocol in order to correct errors or
otherwise give effect to the purpose of the Supplement and this Protocol in respect of
any Protocol Covered Transaction, each such amendment shall be deemed to take effect
in the manner prescribed by the relevant Credit Derivatives Determinations Committee.
5. Definitions
As used in this Protocol, Confirmation, Credit Support Document and Transaction each has the
meaning given to such term in the related Governing Master Agreement. Each capitalized term used in
this Protocol or Schedule 1 hereto but not defined herein has the meaning given to such term in the
2003 ISDA Credit Derivatives Definitions, as supplemented by the 2009 ISDA Credit Derivatives
Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives
Definitions (the March 2009 Supplement), each published by ISDA (together, the Credit Derivatives
Definitions).
References in this Protocol and Schedule 1 to the following terms have the meaning indicated below:
Affected Reference Entity means, for purposes of this Protocol and in respect of a Credit Derivative
Transaction, a Reference Entity, if any, in respect of which an Event Determination Date has occurred
prior to the Amendment Effective Date.
6
Affected Portion means, for purposes of this Protocol and in respect of a Credit Derivative
Transaction, the portion, if any, of such Credit Derivative Transaction attributable to an Affected
Reference Entity or an Excluded Reference Obligation.
Amendment Effective Date means:
(a) in the case of a Protocol Covered Transaction falling within sub-paragraph (a) of the definition
thereof, the Implementation Date;
(b) in the case of a Protocol Covered Transaction falling within sub-paragraph (b) of the definition
thereof, the Trade Date, or Swaption Trade Date, as applicable, of such Credit Derivative
Transaction; and
(c) in the case of a Protocol Covered Transaction falling within sub-paragraph (c) of the definition
thereof, the Novation Trade Date.
Bespoke Portfolio Transaction means a Bespoke Tranched Portfolio Transaction or a Bespoke
Untranched Portfolio Transaction.
Bespoke Tranched Portfolio Transaction means a tranched Credit Derivative Transaction that
references more than one Reference Entity and is not governed by Index Documentation.
Bespoke Untranched Portfolio Transaction means an untranched Credit Derivative Transaction that
references more than one Reference Entity and is not governed by Index Documentation.
CDS on ABS Transaction means any Credit Derivative Transaction in respect of which any Reference
Obligation or Deliverable Obligation is an asset-backed security, mortgage-backed security and/or
collateralized debt obligation (including, but not limited to, any collateralized loan obligation,
collateralized bond obligation, collateralized synthetic obligation or hybrid thereof).
CDX Documentation means Documentation referencing a CDX index, published by CDS IndexCo
LLC, Markit North America, Inc., or any predecessor or successor thereto, with such modifications to
which the parties thereto have agreed.
Confirmation means, in relation to a Protocol Covered Transaction between two Adhering Parties,
each document or other confirming evidence (including but not limited to, a transaction supplement)
exchanged between the parties or otherwise effective for the purpose of confirming or evidencing the
Protocol Covered Transaction.
Constant Maturity Swap Transaction means any Portfolio Constant Maturity Swap Transaction or
any Single Name Constant Maturity Swap Transaction.
Covered CDX Tranched Transaction means a tranched Credit Derivative Transaction that references
a CDX index and is governed by CDX Documentation.
7
Covered CDX Untranched Transaction means a Credit Derivative Transaction that is not a Covered
CDX Tranched Transaction but that references a CDX index and is governed by CDX Documentation.
Covered Index Transaction means a Covered CDX Tranched Transaction, a Covered CDX
Untranched Transaction, a Covered iTraxx® Tranched Transaction or a Covered iTraxx® Untranched
Transaction.
Covered iTraxx® Tranched Transaction means a tranched Credit Derivative Transaction that
references an iTraxx® index and is governed by iTraxx® Documentation.
Covered iTraxx® Untranched Transaction means a Credit Derivative Transaction that is not a
Covered iTraxx® Tranched Transaction but that references an iTraxx® index and is governed by
iTraxx® Documentation.
Covered Non-Auction Transaction means any Credit Derivative Transaction that is a Reference
Obligation Only Transaction, a Fixed Recovery Transaction, a Preferred CDS Transaction or a Party
Agreed Non-Auction Transaction.
Covered Non-Swaption Transaction means any Credit Derivative Transaction that is a Single Name
CDS Transaction, a Constant Maturity Swap Transaction, a Principal Only Transaction, an Interest
Only Transaction, a First to Default Transaction, an Nth to Default Transaction, a Recovery Lock
Transaction or a Bespoke Portfolio Transaction.
Covered Swaption Transaction means any Credit Derivative Transaction that is either a Single Name
Swaption or a Portfolio Swaption.
Credit Derivative Transaction means any credit derivative transaction that incorporates the 2003
ISDA Credit Derivatives Definitions.
Documentation means the Governing Master Agreement, Standard Terms Supplement (or master
confirmation, general terms confirmation, or any document analogous thereto) and Confirmation (or
transaction supplement or any document analogous thereto) relating to a Protocol Covered Transaction
as amended, supplemented, varied or modified as at the Amendment Effective Date.
Excluded Index Transaction means any back-to-back Credit Derivative Transaction between any two
of Citigroup Global Markets Limited, Credit Suisse First Boston International, Deutsche Bank AG,
Goldman Sachs International, JP Morgan Chase Bank, Merrill Lynch International, Morgan Stanley
Capital Services Inc. and UBS AG London Branch relating to trust certificates linked to any Dow
Jones CDX.NA.HY Index or CDX.NA.HY Index.
Excluded Reference Obligation means any of the following:
(a) an Obligation in respect of which the Obligation Characteristics include either Full Faith and
Credit Obligation Liability, General Fund Obligation Liability, or Revenue Obligation Liability
(each as defined in the Additional Provisions for Credit Derivative Transactions – U.S.
Municipal Entity as Reference Entity, published by ISDA on September 17, 2004);
8
(b) an asset-backed security, mortgage-backed security, and/or collateralized debt obligation
(including, but not limited to, any collateralized loan obligation, collateralized bond obligation,
collateralized synthetic obligation or hybrid thereof); or
(c) a trust certificate linked to any Dow Jones CDX.NA.HY Index or CDX.NA.HY Index.
Excluded Transaction means any of the following:
(a) a Loan Only Transaction;
(b) a U.S. Muni Transaction;
(c) a CDS on ABS Transaction;
(d) an Excluded Index Transaction; or
(e) a Party Agreed Excluded Transaction.
First to Default Transaction means a Credit Derivative Transaction that references more than one
Reference Entity pursuant to which Cash Settlement Amounts or Physical Settlement Amounts, as
applicable, will only be paid to Buyer after the Conditions to Settlement have been satisfied for the first
time in respect of any of the relevant Reference Entities.
Fixed Recovery Transaction means a Credit Derivative Transaction in respect of which the Final
Price is pre-determined and specified in the relevant Documentation.
Governing Master Agreement means, in respect of a Protocol Covered Transaction, the ISDA Master
Agreement or other form of master agreement governing such Protocol Covered Transaction and of
which such Protocol Covered Transaction forms part, whether executed by the parties thereto or
incorporated by reference in the Confirmation relating to such Protocol Covered Transaction.
Implementation Date means April 8, 2009.
Index Documentation means CDX Documentation or iTraxx® Documentation.
Interest Only Transaction means a Credit Derivative Transaction that references more than one
Reference Entity under which (a) Seller pays to Buyer either (i) an upfront amount or (ii) a floating
interest rate, (b) neither party pays Cash Settlement Amounts during the term of the Transaction and (c)
Buyer pays Fixed Amounts to Seller during the term of the Transaction (which Fixed Amounts are
reduced due to Credit Events).
ISDA Master Agreement means any of the following: (a) the 2002 ISDA Master Agreement; (b) the
1992 ISDA Master Agreement (Multicurrency – Cross Border); (c) the 1992 ISDA Master Agreement
(Local Currency – Single Jurisdiction); (d) the 1987 ISDA Interest Rate and Currency Exchange
Agreement; and (e) the 1987 ISDA Interest Rate Swap Agreement.
9
iTraxx® Documentation means Documentation referencing an iTraxx® index published by the
International Index Company Limited or any predecessor or successor thereto, with such modifications
to which the parties thereto have agreed.
Loan Only Transaction means a Credit Derivative Transaction in respect of which "Loan" is specified
as the only Deliverable Obligation Category or a Credit Derivative Transaction pursuant to which the
Reference Obligations (which are required to be Loans) and certain other Loans (or Borrowed Money
obligations other than Bonds) are the only Deliverable Obligations.
New Novation Transaction means any new Credit Derivative Transaction between a Transferee and a
Remaining Party entered into pursuant to a novation transaction (or other agreement) for which the Old
Novation Transaction relating thereto would have been a Protocol Covered Transaction set out in sub-
paragraphs (a) or (b) of the definition of Protocol Covered Transaction if the Transferor and Remaining
Party had each been Adhering Parties.
Novation Trade Date means the date on which a Transferor, Transferee and Remaining Party enter
into a novation transaction (or other analogous agreement).
Nth to Default Transaction means a Credit Derivative Transaction that references more than one
Reference Entity pursuant to which Cash Settlement Amounts or Physical Settlement Amounts, as
applicable, will only be paid to Buyer after the Conditions to Settlement have been satisfied in respect
of any of the relevant Reference Entities that is the nth Reference Entity in respect of which an Event
Determination Date has occurred, where "n" is the number specified for such purpose in the
Documentation in respect of such Credit Derivative Transaction.
Old Novation Transaction means any Credit Derivative Transaction originally entered into between a
Transferor and a Remaining Party which is the subject of a novation transaction (or other analogous
agreement).
Party Agreed Excluded Transaction has the meaning specified in paragraph 4(f) of this Protocol.
Party Agreed Non-Auction Transaction means any Credit Derivative Transaction that (a) by its
terms expressly states that the provisions relating to settlement therein shall not be amended or
modified by any Auction Settlement Terms or any documentation in respect of an auction published by
ISDA and (b) would, but for such express terms, otherwise be a Protocol Covered Transaction.
Portfolio Constant Maturity Swap Transaction means a Credit Derivative Transaction that
references more than one Reference Entity in respect of which the Fixed Rate is reset at the end of each
Fixed Rate Payer Calculation Period to the then-current market rate for the relevant Credit Derivative
Transaction.
Portfolio Swaption means any unexercised option to enter into an Underlying CDS (other than another
Swaption) that is not an Excluded Transaction and that references more than one Reference Entity.
Preferred CDS Transaction means a Credit Derivative Transaction that references preferred
10
securities or similar hybrid securities as Reference Obligations or Deliverable Obligations and which
contains specific provisions pertaining thereto.
Principal Only Transaction means a Credit Derivative Transaction that references more than one
Reference Entity under which Seller pays an upfront amount to Buyer, neither party pays any Fixed
Amounts or Cash Settlement Amounts during the term of the Credit Derivative Transaction and, upon
termination of the Credit Derivative Transaction, Buyer pays to Seller the notional amount of the
Credit Derivative Transaction, minus aggregate Cash Settlement Amounts.
Protocol Covered Transaction means:
(a) any Credit Derivative Transaction that is a Covered Index Transaction, a Covered Swaption
Transaction, a Covered Non-Swaption Transaction, or a Covered Non-Auction Transaction in
respect of which:
(i) each of the parties is an Adhering Party;
(ii) the Trade Date or, in respect of a Covered Swaption Transaction, the Swaption
Trade Date, is prior to the Implementation Date;
the Scheduled Termination Date or, in respect of a Covered Swaption
(iii)
Transaction, the Expiration Date (as defined in such Covered Swaption
Transaction), is on or after the Implementation Date;
no Event Determination Date (as defined in the Documentation relating to such
(iv)
Credit Derivative Transaction) has occurred prior to the Implementation Date;
and
no Early Termination Date (as defined in the Governing Master Agreement
(v)
relating to such Credit Derivative Transaction, or in the case of a Governing
Master Agreement which is not an ISDA Master Agreement, any event
analogous thereto) in respect of the relevant Credit Derivative Transaction has
occurred under the Governing Master Agreement prior to the Implementation
Date; or
(b) any Credit Derivative Transaction that is a Covered Index Transaction, a Covered
Swaption Transaction, a Covered Non-Swaption Transaction, or a Covered Non-
Auction Transaction in respect of which:
(i) the related Documentation (without reference to any amendments applicable
pursuant to this Protocol) does not incorporate the March 2009 Supplement;
(ii) each of the parties is an Adhering Party; and
the Trade Date or, in respect of a Covered Swaption Transaction, the Swaption
(iii)
Trade Date, is on or after the Implementation Date but on or before January 31,
11
2011;
(c) a New Novation Transaction which does not otherwise fall within (a) or (b) above and
in respect of which:
(i) the related Documentation (without reference to any amendments applicable
pursuant to this Protocol) does not incorporate the March 2009 Supplement;
(ii) each of the Remaining Party and the Transferee is an Adhering Party; and
(iii) the Novation Trade Date is on or after the Implementation Date and on or prior
to January 31, 2011;
provided that (A) subject to clause (B) below, any Transaction that is an Excluded Transaction shall not
be a Protocol Covered Transaction and (B) in respect of any Credit Derivative Transaction that relates
to more than one Reference Entity and that would otherwise be a Protocol Covered Transaction but for
the inclusion of any Affected Portion therein, such Affected Portion shall be excluded for purposes of
this Protocol and the remaining portion of such Credit Derivative Transaction shall be deemed to be a
Protocol Covered Transaction.
Recovery Lock Transaction means a Credit Derivative Transaction in respect of which the Reference
Price is specified in the relevant Documentation as a price less than 100 per cent. and for which either
Buyer or Seller can deliver a Notice of Physical Settlement.
Reference Obligation Only Transaction means:
(a) a Credit Derivative Transaction in respect of which the applicable Settlement Method is
Physical Settlement and "Reference Obligations Only" is specified as the Deliverable
Obligation Category; or
a Credit Derivative Transaction in respect of which the applicable Settlement Method is Cash
(b)
Settlement and the relevant Confirmation specifies only one or more specifically identified
Reference Obligations.
Remaining Party means a party which consents to a Transferor's transfer by novation and the
acceptance thereof by a Transferee of all of such Transferor's rights, liabilities, duties and obligations
under and in respect of the novated amount of a Credit Derivative Transaction that is originally
between it and such Transferor.
Single Name CDS Transaction means a Credit Derivative Transaction that references not more than
one Reference Entity that is not a Single Name Constant Maturity Swap Transaction.
Single Name Constant Maturity Swap Transaction means a Credit Derivative Transaction that
references not more than one Reference Entity for which the Fixed Rate is reset at the end of each
Fixed Rate Payer Calculation Period to the then-current market rate for the relevant Credit Derivative
Transaction.
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Single Name Swaption means any unexercised option to enter into an Underlying CDS (other than
another Swaption) that is not an Excluded Transaction and that references not more than one Reference
Entity.
Standard Terms Supplement means, in relation to a Protocol Covered Transaction between two
Adhering Parties, the standard terms supplement published by ISDA, Markit Group Limited,
International Index Company Limited, CDS IndexCo LLC, any analogous institution or any successor
or predecessor thereto and incorporated by reference into the relevant Confirmation.
Subsequent Adherence Period has the meaning specified in paragraph 2(e) of this Protocol.
Subsequent Implementation Date has the meaning specified in paragraph 2(e) of this Protocol.
Swaption means an option to enter into an Underlying CDS that references one, or more than one
Reference Entity.
Transferee means a party which accepts by way of novation from a Transferor all of such Transferor's
rights, liabilities, duties and obligations under and in respect of the novated amount of a Credit
Derivative Transaction that is originally between such Transferor and a Remaining Party.
Transferor means a party which transfers by way of novation to a Transferee all of such party's rights,
liabilities, duties and obligations under and in respect of the novated amount of a Credit Derivative
Transaction that is originally between such party and a Remaining Party.
Underlying CDS means, in respect of a Single Name Swaption or Portfolio Swaption, the underlying
Credit Derivative Transaction to which the relevant unexercised option relates.
U.S. Muni Transaction means any Credit Derivative Transaction in respect of which the Obligation
Characteristics include either Full Faith and Credit Obligation Liability, General Fund Obligation
Liability, or Revenue Obligation Liability (each as defined in the Additional Provisions for Credit
Derivative Transactions – U.S. Municipal Entity as Reference Entity, published by ISDA on September
17, 2004) (including, for the avoidance of doubt, any Credit Derivative Transaction that references the
Markit MCDX index).
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