The 2006 Calpine CDS Protocol (the “Protocol”) relates to settlement issues concerning Calpine Corporation (“Calpine”), a U.S. company that filed for bankruptcy on December 20, 2005. Calpine is a power company that is included in various credit derivative indices, including those published by Dow Jones CDX and TRAC-X. The purpose of the Protocol is to offer market participants an efficient way to address the settlement issues relating to trades on credit derivative indices that included Calpine. The Protocol will offer institutions the ability to amend their documentation for the index trades in order to utilize an auction process scheduled for January 17, 2006 to determine the final price for a Calpine bond. Markit Group Limited and Creditex, Inc. will administer the auction.

It should be noted that, unlike other ISDA Protocols, there is no adherence fee associated with ISDA members or non-ISDA members submitting Adherence Letters in connection with the 2006 Calpine CDS Protocol.

The 2006 Calpine CDS Protocol is open to ISDA members and non-members. The Protocol will be open between January 9, 2006 and January 12, 2006.