ISDA®             

INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION

NEWS RELEASE

For Immediate Release Friday September 23, 2005

For More Information, Please Contact:

Scott Marra, ISDA New York (212) 901-6000; smarra@isda.org

Susan Hartzell, Kennedy & Company (914) 961-2436 x15; susan@kennedycom.com

 

ISDA PUBLISHES DELTA & NORTHWEST CDS INDEX PROTOCOL

 

NEW YORK, Friday, September 23, 2005 – The International Swaps and Derivatives Association (ISDA) today announced its publication of a protocol created to facilitate settlement of credit derivative index contracts that include Delta Air Lines, Inc. and Northwest Airlines, Inc. Delta and Northwest filed for bankruptcy on September 14, 2005. Both companies are included in various credit derivative indices published by Dow Jones CDX and TRAC-X. 

 

The 2005 Delta & Northwest CDS Index Protocol offers market participants an efficient way to address the settlement issues relating to trades on credit derivative indices that include Delta Air Lines, Inc. and Northwest Airlines, Inc. The Protocol enables institutions to amend their documentation for such index trades from physical to cash settlement and to participate in an auction, scheduled for October 11, 2005, which will determine the final price for certain Delta Air Lines, Inc. and Northwest Airlines, Inc. bonds. Markit Partners and Creditex will administer the auction.

“ISDA has been able to redeploy the highly successful CDS protocol mechanism developed and used to settle index trades referencing Collins and Aikman bonds,” said Robert Pickel, Chief Executive Officer and Executive Director, ISDA.   “While numerous Delta and Northwest reference obligations are available for physical settlement, the principal aim of today's protocol is to facilitate a swift, orderly and efficient cash settlement process.”

With the 2005 Delta & Northwest CDS Index Protocol, ISDA enables parties to amend credit derivative index documents on a multilateral basis rather than through one-on-one negotiations between all counterparties.  In addition to greater efficiency, time and cost savings, using the Protocol will provide enhanced legal certainty.

 

The Protocol is open to ISDA members and non-members alike.  The adherence period for the Protocol is September 23 and September 30, 2005. The text of the Protocol and form of adherence letter, guidance on the mechanics of the Protocol, answers to frequently asked questions and details on adherents, are all available at www.isda.org.  Details on the auction are included in the Protocol.

 

The auction will determine settlement prices for the following list of bonds.

In respect of Delta, the Reference Obligation may be any one of the following:

Issuer

Coupon

Maturity

CUSIP

ISIN

Delta Airlines, Inc.

7.700%

15 December 2005

247361YE2

US247361YE22

Delta Airlines, Inc.

10.000%

15 August 2008

247361YT9

US247361YT90

Delta Airlines, Inc

7.900%

15 December 2009

247361YF9

US247361YF96

Delta Airlines, Inc

9.000%

15 May 2016

247361AD0

US247361AD05

Delta Airlines, Inc

9.750%

15 May 2021

247361WH7

US247361WH70

Delta Airlines, Inc

8.000%

03 June 2023

247361YN2

US247361YN21

Delta Airlines, Inc

2.875%

18 February 2024

247361YS1

US247361YS18

Delta Airlines, Inc

8.300%

15 December 2029

247361YG7

US247361YG79

 

In respect of Northwest, the Reference Obligation may be any one of the following:

Issuer

Coupon

Maturity

CUSIP

ISIN

Northwest Airlines, Inc.

8.875%

01 June 2006

667281AP4

US667281AP49

Northwest Airlines, Inc.

8.700%

15 March 2007

667281AJ8

US667281AJ88

Northwest Airlines, Inc

9.875%

15 March 2007

667280AA9

US667280AA96

Northwest Airlines, Inc

7.875%

15 March 2008

667281AM1

US667281AM18

Northwest Airlines, Inc

10.000%

01 February 2009

667280AF8

US667280AF83

 

 

About ISDA

ISDA is the global trade association representing leading participants in the privately negotiated derivatives industry. ISDA was chartered in 1985, and today has more than 650 member institutions from 47 countries on six continents. These members include most of the world's major institutions that deal in privately negotiated derivatives, as well as many of the businesses, governmental entities and other end users that rely on over-the-counter derivatives to manage efficiently the financial market risks inherent in their core economic activities. Information about ISDA and its activities is available on the Association's web site: www.isda.org.

 

®ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.