has prepared this brief summary of frequently asked questions to assist
in your consideration of the 2006 Dura CDS Protocol (the “Dura
THIS FREQUENTLY ASKED QUESTIONS DOES
NOT PURPORT TO BE AND SHOULD NOT BE CONSIDERED A GUIDE TO OR AN EXPLANATION
OF ALL RELEVANT ISSUES OR CONSIDERATIONS IN CONNECTION WITH THE DURA PROTOCOL.
PARTIES SHOULD CONSULT WITH THEIR LEGAL ADVISERS AND ANY OTHER ADVISER
THEY DEEM APPROPRIATE PRIOR TO USING OR ADHERING TO THE DURA PROTOCOL.
ISDA ASSUMES NO RESPONSIBILITY FOR ANY USE TO WHICH ANY OF ITS DOCUMENTATION
OR OTHER DOCUMENTATION MAY BE PUT.
This Frequently Asked Questions webpage is
divided into three sections: (i) questions relating to the submission
of Adherence Letters; (ii) questions relating to the election of an entity
not to participate in the Dura Protocol; and (iii) questions relating
to the substance of the Dura Protocol itself.
Adherence Letter Submission Process
When do I need to send in my Adherence Letter?
The Dura Protocol is open between 9:00 a.m. New York Time on Wednesday,
November 8, 2006 and 5:00 p.m. New York Time on Friday, November 17, 2006.
Any entity must email its Adherence Letter to ISDA by 5:00 p.m. New York
Time on Friday, November 17, 2006, or it will not be able to participate
in the Dura Protocol.
How do I send in my Adherence Letter?
All Adherence Letters must be delivered by email to email@example.com.
In the email, you must submit both your conformed and
executed copies of the Adherence Letter.
The Adherence Letter(s) should be on your
institution’s letterhead. Nothing in the form Adherence Letter available
on ISDA’s website may be changed with the exception of completing
the details of your institutional name, date and signature block.
You are not required to send your original
Adherence Letter(s) by mail to ISDA.
What is a conformed copy?
A conformed copy of the Adherence Letter means that the name of the authorized
signatory (for example, Patricia Smith) is typed rather than having Patricia
Smith’s actual signature on the letter. ISDA only posts on its website
the conformed copy of all Adherence Letters.
You must also submit an executed, or signed,
copy of the Adherence Letter in addition to the conformed copy of the
Adherence Letter. ISDA keeps the executed copy of the Adherence Letter
for its files and does not share the executed copy with anyone else.
Who is an authorized signatory?
An authorized signatory to the Adherence Letter is an individual who has
the legal authority to bind the adhering institution.
What if I am an investment or asset manager
– how do I complete the signature block?
If you are an investment or asset manager and act on behalf of multiple
funds, you must indicate the following in the signature block: “Investment/Asset
Manager, acting on behalf of the funds and accounts listed in the relevant
Master Agreement between it and another Adhering Party”. A separate
Adherence Letter for each fund or account does not need to be submitted
to ISDA. Further, no specific names of clients of the investment/asset
manager will be publicly disclosed on the ISDA website in connection with
the Dura Protocol.
However, in order for Physical Settlement
Requests to be calculated by Participating Bidders, each such investment/asset
manager is required to provide a list of all funds and accounts that it
acts on behalf of to each Participating Bidder that has (or whose affiliate
has) entered into a Master Agreement with any of those funds or accounts.
As provided in paragraph (1) of the Auction Methodology set out in Exhibit
3 of the Dura Protocol, on the Business Day prior to the Auction Date,
the Administrators (Markit and Creditex) will publish a list of the Participating
Bidders on their respective websites. In addition, contact details will
be available for the Participating Bidders through their Adherence Letters
on the ISDA website.
Can I change the text of the Adherence
No. The Adherence Letter must be in the same format as the
form letter published in the 2006 Dura CDS Protocol.
You may obtain a copy of the form Adherence Letter by visiting the ISDA
and clicking on “2006 Dura CDS Protocol” and then clicking
on “Form of Adherence Letter”.
Does it cost any money to adhere to the
Entities Electing Not to Adhere
to the Dura Protocol
What happens if my institution or fund does not adhere to the Dura
If your institution or fund elects not to participate in the Dura Protocol,
then you must bilaterally settle each of your trade(s) with each of your
counterparties as such trade(s) relate to Dura Operating Corp. You will
not be able to take advantage of the auction mechanic and should contact
your counterparty or counterparties immediately if you do not plan to
participate in the Dura Protocol.
Scope of Transaction Coverage
Relating to the Dura Protocol
Does adhering to the Dura Protocol affect my single name trades?
Yes. Single name trades will be part of the auction process provided for
by the Dura Protocol. Thus, single name trades on Dura Operating Corp.
will be subject to the procedures set forth in the Dura Protocol.
Does adhering to the Dura Protocol affect
other credit derivative transactions?
Yes. In addition to single and index credit derivative transactions referencing
Dura, the following transactions are also covered in the Dura Protocol:
Constant Maturity Swap Transaction, a Principal Only Transaction, an Interest
Only Transaction, First to Default Transaction, Nth to Default Transaction,
Recovery Lock Transaction, Bespoke Portfolio Transaction, Single-Name
Swaption and Portfolio Swaption.
What credit derivative transactions are
not affected by adhering to the Dura Protocol?
Reference Obligation Only Transactions, Loan Only Transactions, Preferred
CDS Transactions, Fixed Recovery Transactions, or any other transaction
for which any of the Deliverable Obligations specified in the Dura Protocol
for the relevant type of trade (e.g., senior vs. subordinate) would not
qualify as Deliverable Obligations, are not covered under the Dura Protocol.
Who runs the auction?
The auction will be administered by Creditex and Markit and not by ISDA.
When is the auction?
There will be two auctions on Tuesday, November 28, 2006 - one for the
Subordinated Obligations of Dura and one for the Senior Obligation of
Dura. Details of the auction results will be posted at www.creditfixings.com.
Cash Settlement Date and Accruals
When is the Cash Settlement Date?
The Cash Settlement Date is expected to be Tuesday, December 12, 2006.
How are accruals calculated?
There will not be a rebate of the Fixed Rate accrual on the Dura Portion.
The Seller will be required to deduct the accrued amount from the Cash
Settlement Amount payable on the Cash Settlement Date, expected to be
December 12, 2006. Accrued amounts will be calculated up to and including
October 30, 2006.