The ISDA European Variance Swap Protocol (the “Protocol”) is a tool to upgrade either the Interdealer European Variance Swap Master Confirmation Agreement as developed in 2005 (the “Interdealer MCA”) or the 2007 ISDA European Variance Swap Master Confirmation Agreement (the “March 2007 MCA”) to the terms of the Revised 2007 ISDA European Variance Swap Master Confirmation Agreement (“Revised 2007 MCA”).
Adhering to the Protocol will provide that all future variance swap transactions will be documented under the terms of the Revised 2007 MCA as well as upgrading existing transactions under the Interdealer MCA or the March 2007 MCA to the new standards. For parties using the standard Interdealer MCA or March 2007 MCA, there is no need to execute a Side Letter – only submission of an adherence letter is necessary. Existing Calculation Agent and Determining Party designations under the Interdealer MCA or the March 2007 MCA will be migrated over to the Revised 2007 MCA and be in place going forward.
In the case of parties using long-form confirmations (“Non ISDA Documentation”), the Protocol provides a mechanism, via the use of a Side Agreement, for parties to specify how the terms of Outstanding Transactions done under Non-ISDA Documentation would be amended and restated as Transaction Supplements under the Revised 2007 MCA.
THE CUT-OFF DATE FOR ADHERENCE TO THIS PROTOCOL HAS BEEN EXTENDED from February 29, 2008 to March 21, 2008.