Why is ISDA publishing this list?
The purpose of this list is to gather and disseminate information as
to the range of obligations that market participants believe may be
delivered upon the occurrence of a credit event under standard credit
default swaps for which a monoline insurer is a reference entity.
Monoline insurers have guaranteed a wide variety of obligations, ranging
from municipal bonds to CDO and ABS bonds. These different classes
of obligations trade at widely varying prices. This combination of a
large number of potential deliverable obligations and a potentially
wide price range may raise additional considerations concerning the
successful completion of a possible cash settlement auction. Some
ISDA members have therefore suggested that it would be helpful to prepare
and publicize this list in order to provide market participants with
a clearer understanding of the range of potential deliverable obligations.
Publication of this list does not indicate that ISDA believes that
a credit event with respect to any particular entity or class of entities
is imminent or likely. Rather, ISDA members have noted that, in
the current financial environment, and given the potential size of this
information-gathering exercise, it is prudent for ISDA to ensure that
if a credit event occurs in respect of a widely traded reference entity,
ISDA and market participants are prepared to implement a settlement
auction (or other mechanism) that will serve the market’s needs.
Important statement regarding use of information
Your use of the information contained in the list is subject to the
warnings and disclaimers set out on the [next page], which you must
acknowledge in order to proceed. In particular, you should be aware
that the information contained in this list is provided “as is”
and ISDA has not verified and will not verify the information provided
to it. Inclusion of an obligation in the list does not imply that either
the contributor or ISDA has verified that the obligation actually is
deliverable under the terms of a standard credit default swap contract.
What information is included in the list?
The list contains limited details (Cusip/ISIN; deal name; issuer; outstanding
notional amount; Maturity and Deal Type) of obligations that contributors
reasonably believe are likely to be delivered into standard credit default
swap contracts for which a monoline insurer is a reference entity. A
separate list of obligations is provided for each monoline insurer.
Who can contribute?
Any market participant can contribute information. However, in order
to keep submissions in a standard format and to facilitate the process
of contacting contributors when necessary, only dealers that are CDX
market makers may contribute information directly to ISDA. Other
parties are encouraged to contribute through one of those dealers.
Form for contributing information
A form for contributing information is available here.
ISDA requests that information subject to confidentiality restrictions
not be forwarded to it. ISDA requests that
any contributor forwarding information have a reasonable belief that
any obligation it lists is likely to be delivered into a standard credit
default swap contract for which a monoline insurer is a reference entity.
How long will the list remain open?
It is intended that the list will remain open for contributions until
further notice, though ISDA retains the right to close the list or discontinue
its publication at any time.
Is this a definitive list of deliverable obligations
with respect to each monoline?
No. The purpose of this list is to facilitate the collection of
certain limited information from market participants in order to create
a publicly available indicative list of obligations that market
participants believe would be likely to be delivered into standard form
credit default swaps for which a monoline insurer is a reference entity.
It is not complete and obligations appearing on the list may not actually
What if persons disagree with the inclusion
of a bond in the list?
Because this list is not a definitive list of deliverable obligations
with respect to each monoline, there is no process contemplated to entertain
or to resolve disagreements or challenges to the contents of the list.
ISDA retains the right to modify the list from time to time to
add or delete obligations or to correct any information on the list,
but ISDA has no obligations to do so at any time.
What is the relationship between this
list and the list of deliverable obligations that might be included
in a settlement protocol?
There is no direct relationship between this list of obligations and
any list that would be included in a settlement protocol in respect
of a monoline insurer. If a credit event occurs in respect of
a monoline entity, ISDA will consider, on the basis of discussions with
market participants, how any list of deliverable obligations should
be assembled at that stage.
Can I download and use the information contained
in the list?
The list is provided in the form of an Excel® spreadsheet, which
anyone may download and use, at their own risk and subject to the terms
of the disclaimers referred to above.