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Archived/Superseded Documents - ISDA Credit Derivatives Definitions, Supplements and Commentaries
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2003 ISDA Credit Derivatives Definitions, Physical Settlement Matrix and Related Material

Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation

(Standard Terms Supplement published January 20, 2011 and Confirmation published April 3, 2012)

(This form of Confirmation, published on April 3, 2012, supersedes the January 20, 2011 Confirmation; the January 20, 2011 Standard Terms Supplement remains unamended and can be utilized with the April 3, 2012 form of Confirmation)

The Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation are designed to facilitate credit default swaption transactions. These documents replace the prior versions published on August 6, 2007. The changes reflect the incorporation of the July 2009 Supplement and the inclusion in the Credit Derivatives Physical Settlement Matrix (from January 20, 2011) of swaption-specific information. The form of Confirmation published April 3, 2012 reflects changes to the U.S Municipal Transaction Types made to the Credit Derivatives Physical Settlement Matrix on April 3, 2012.

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Click here to view/download pdf (format) - Standard Terms Supplement
Click here to view/download word (format) - Confirmation


2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions (The "March 2009 Supplement")

Note: This supplement has been superseded by the "July 2009 Supplement"

The March 2009 Supplement amends the 2003 ISDA Credit Derivatives Definitions to incorporate the CDS settlement auction terms that had been included in the auction protocols. It also more...

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Additional Provisions relating to Credit Derivative Transactions with a Restricted Delivery Party where Physical Settlement applies New

The Additional Provisions are for use where the settlement method is physical settlement (either as the fallback settlement method or otherwise) and either party to the Credit Derivative Transaction is restricted from holding a Loan or there is a limit on the outstanding principal balance of a Bond which it may hold. This may be the case where, for example, the protection seller is a UCITS (Undertakings for Collective Investment in Transferable Securities) fund. The Additional Provisions provide for cash settlement rather than physical settlement to occur in these cases.

The Additional Provisions have been prepared for use with Credit Derivatives Transactions that incorporate the 2003 ISDA Credit Derivatives Definitions as supplemented by the 2009 ISDA Credit Derivatives Determinations Committees, Auction Supplement and Restructuring Supplement published on 14 July 2009.

Additional Provisions are available for free download here

Incorporation Letter Agreement is available for free download here

**03.01.14: Please note, the link to the Incorporation Letter Agreement above has been updated to reflect a minor typographical error. The blackline version is available here

Explanatory Note is available for free download here

CDX Documentation

CDX Untranched Transactions Standard Terms Supplement and Confirmation

The CDX Untranched Transactions Standard Terms Supplement and Confirmation are designed for documenting untranched transactions on the Markit CDX.NA.IG, Markit CDX.NA.HY and Markit CDX.NA.XO indices (and sub-indices of those indices) published by Markit North America, Inc.

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Click here to view/download pdf (format) - Standard Terms Supplement (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download word (format) - Confirmation (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)


CDX Tranched Transactions Standard Terms Supplement and Confirmation

The CDX Tranched Transactions Standard Terms Supplement and Confirmation are designed for documenting tranche transactions on the Markit CDX.NA.IG, Markit CDX.NA.HY and Markit CDX.NA.XO indices (and sub-indices of those indices) published by Markit North America, Inc.

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Click here to view/download pdf (format) - Standard Terms Supplement (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download word (format) - Confirmation (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)


Index Loss at Maturity Additional Provisions

The Index Loss at Maturity Additional Provisions are designed for use with the CDX Tranche Transactions Standard Terms Supplement or the iTraxx® Europe Tranched Transactions Standard Terms Supplement relevant index tranche transaction. If the Additional Provisions are incorporated into the relevant tranche transaction documentation, then payments to reflect losses on the tranche are not made during the life of the transaction but instead, at maturity, Buyer pays the original swap notional amount to Seller less any losses on the tranche incurred during the life of the transaction.

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Click here to view/download pdf (format) - Additional Provisions (This form, published on April 3, 2012, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download pdf (format) - Additional Provisions (This form, published on March 2, 2011, is superseded by the April 3, 2012 publication.)


CDX Emerging Markets Untranched Transactions Standard Terms Supplement and Confirmation

The CDX Emerging Markets Untranched Standard Terms Supplement and Confirmation are designed for documenting untranched transactions on the Markit CDX.EM index published by Markit North America, Inc.

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Click here to view/download pdf (format) - Standard Terms Supplement (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download word (format) - Confirmation (This form, published on January 31, 2011, is superseded from October 6, 2014 by the September 22, 2014 publication.)


CDX Untranched Transactions Swaptions Standard Terms Supplement and Confirmation

The CDX Untranched Transactions Swaptions Standard Terms Supplement and Confirmation are designed for documenting untranched swaption transactions on the CDX.NA.IG, CDX.NA.HY and CDX.NA.XO indices (and sub-indices of those indices) published by Markit North America, Inc.

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Click here to view/download pdf (format) - Standard Terms Supplement (This form, published on March 8, 2013, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download word (format) - Confirmation (This form, published on March 8, 2013, is superseded from October 6, 2014 by the September 22, 2014 publication.)
Click here to view/download pdf (format) - Standard Terms Supplement (This form, published on January 31, 2011, is superseded by the March 8, 2013 publication.)
Click here to view/download word (format) - Confirmation (This form, published on January 31, 2011, is superseded by the March 8, 2013 publication.)


North American Loan CDS and LCDX Documentation

LCDS Auction Settlement Terms
(published September 25, 2007)

The LCDS Auction Settlement Terms, which appear as Annex A to the LCDS Auction Rules, were updated by the Eligible LCDX Members on September 25, 2007 pursuant to the LCDS Auction Rules. This replaces Annex A in the version of the LCDS Auction Rules published May 22, 2007.

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LCDX Tranche Transactions Standard Terms Supplement
(published September 25, 2007)

(This form, published September 25, 2007 is superseded by the Bullet Markit LCDX Tranche Transactions Standard Terms Supplement published April 12, 2010, for Markit LCDX Series 14 and higher.)

The LCDX Tranche Transactions Standard Terms Supplement allows parties to document credit default swap transactions referencing a tranche of the LCDX index. Further information regarding the LCDX index appears above under “LCDX Untranched Transactions Standard Terms Supplement”.

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Click here to view/download word (format) - LCDX Tranche Confirmation


Syndicated Secured Loan Credit Default Swap Standard Terms Supplement
(published May 22, 2007)

(This form, published May 22, 2007 is superseded by the Bullet Syndicated Secured Loan Credit Default Swap Standard Terms Supplement published April 5, 2010.)

This template is designed to document credit default swap transactions where the Reference Obligation is the syndicated secured loan of the issuer and the Deliverable Obligations are Syndicated Secured Loans. This form is primarily intended for use in the North American market. In terms of settlement once a Credit Event has occurred, this form more...

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Click here to view/download pdf (format) - Standard Terms Supplement
Click here to view/download word (format) - LCDS Confirmation


LCDX Untranched Transactions Standard Terms Supplement
(published May 22, 2007)

(This form, published May 22, 2007 is superseded by the Bullet Markit LCDX Untranched Transactions Standard Terms Supplement published April 5, 2010, for Markit LCDX Series 14 and higher.)

LCDX is an index with 100 equally-weighted underlying North American single name loan-only credit default swaps. Markit (www.markit.com) administers LCDX and copies of the CDX Index Rules (of which the LCDX Rules form a part) and LCDX Polling Rules can be located more...

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Click here to view/download word (format) - LCDX Untranched Confirmation


LCDS Auction Rules and LCDS Auction Settlement Terms
(published May 22, 2007)

The LCDS Auction Rules are designed to facilitate the settlement of syndicated secured loan credit default swap transactions.

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Syndicated Secured Loan Credit Default Swap Template
(published June 8, 2006)

(This form, published June 8, 2006 is superseded by the Syndicated Secured Loan Credit Default Swap Standard Terms Supplement published May 22, 2007.)

This template is designed to document credit default swap transactions where the Reference Obligation is the syndicated secured loan of more...

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Click here to view/download word (format) - Confirmation


European Loan CDS Documentation

iTraxx® LevX® Standard Terms Supplement and Confirmation for Credit Derivative Transactions on Leveraged Loans
(published March 12, 2008)

(This form, published on March 12, 2008 is superseded by the October 3, 2008 publication.)

This template is designed to document credit default swap transactions where the Reference Credit Agreement is a syndicated secured loan listed on the Markit™ iTraxx® LevX® index, which is administered by Markit Group Limited. This form is primarily intended for use in the European market.

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Standard Terms Supplement and Confirmation for Credit Derivative Transactions on Leveraged Loans
(published July 30, 2007)

(This form, published on July 30, 2007, is superseded by the March 12, 2008 publication)

This template is designed to document credit default swap transactions where the Reference Obligation is the syndicated secured loan of the issuer and the Deliverable Obligations are Syndicated Secured Loans. This form is primarily intended for use in the European market.

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CDS on MBS Documentation, Including Optional Early Termination or Mutual Break Language

Standard Terms Supplement for a Credit Derivative Transaction on Mortgage-Backed Security with Pay-As-You-Go or Physical Settlement and Form of Confirmation

(This form, published on April 5, 2007, supersedes the November 10, 2006 publication and the Standard Terms Supplement is superseded by the August 8, 2007 publication)

This Standard Terms Supplement for Credit Derivative Transaction on a Mortgage-Backed Security replaces prior publications in 2005 and 2006. The more...

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Standard Terms Supplement for a Credit Derivative Transaction on Mortgage-Backed Security with Pay-As-You-Go or Physical Settlement (Form I) (Dealer Form) and Form of Confirmation

(This form, published on November 10, 2006, supersedes the April 11, 2006 publication and is superseded by the April 5, 2007 publication)

This Standard Terms Supplement for Credit Derivative Transaction on a Mortgage-Backed Security replaces prior publications in 2005 and 2006. The Standard Terms Supplement and Form of Confirmation are designed for more optimal processing of these trades.

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Credit Derivative Transaction on Mortgage-Backed Security With Pay As You Go or Physical Settlement (Form I) (Dealer Form)

(This form, published on April 11, 2006, supersedes the January 23, 2006 publication and is superseded by the November 10, 2006 publication)

The Credit Derivative Transaction on Mortgage-Backed Security With Pay-As-You-Go or Physical Settlement (Form I) (Dealer Form) template is designed for use primarily with a Reference Obligation more...

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Credit Derivative Transaction on Mortgage-Backed Security With Pay As You Go or Physical Settlement (Form I) (Dealer Form)

(This form, published on January 23, 2006, supersedes the June 21, 2005 publication and is superseded by the April 11, 2006 publication)

The Credit Derivative Transaction on Mortgage-Backed Security With Pay-As-You-Go or Physical Settlement (Form I) (Dealer Form) template is designed for use primarily with a Reference Obligation that is a residential mortgage-backed security or commercial mortgage-backed security.

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Credit Derivative Transaction on Asset-Backed Security With Pay As You Go or Physical Settlement (Dealer Form)

(This form, published on June 21, 2005, is superseded by the January 23, 2006 publication)

The Credit Derivative Transaction on Asset-Backed Security With Pay-As-You-Go or Physical Settlement (Dealer Form) template is designed for use primarily with a Reference Obligation that is a residential mortgage-backed security or commercial mortgage-backed security.

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Credit Derivative Transaction on Asset-Backed Security (Cash or Physical Settlement)
(published June 13, 2005)

(This form, published on June 13, 2005, is superseded by the June 7, 2006 publication)

The Credit Derivative Transaction on Asset Backed Security template is designed for use with Reference Obligations that are Asset-Backed Securities, where Cash or Physical Settlement is appropriate. Its use is not intended to be restricted to any particular type of Asset-Backed Security.

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CDS on CDO Documentation

Credit Derivative Transaction on Collateralized Debt Obligation with Pay-As-You-Go or Physical Settlement (Dealer Form)

(This form, published on June 6, 2007, supersedes the June 7, 2006 publication and the Standard Terms Supplement is superseded by the August 8, 2007 publication)

This form is designed to document credit default swap transactions that reference a Reference Obligation that is a collateralized debt obligation. The form has been modified from the June 7, 2006 version and is presented as a Standard Terms Supplement.

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Credit Derivative Transaction on Collateralized Debt Obligation with Pay-As-You-Go or Physical Settlement (Dealer Form)
(published on June 7, 2006)

(This form, published on June 7, 2006, is superseded by the June 6, 2007 publication)

This form is designed to document credit default swap transactions that reference a Reference Obligation that is a collateralized debt obligation.

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Fixed Recovery, Recovery Lock and Other Credit Derivative Transaction Documentation

Recovery Lock Credit Derivative Transaction
(published May 1, 2006)

(This document is superseded by the Additional Provisions for Recovery Lock Credit Derivative Transactions (March 2, 2011))

This template is designed to document recovery lock credit derivative transactions. Recovery lock transactions generally permit the counterparties to address the uncertainty of the recovery upon the default of the Reference Entity by “locking in” a recovery rate.

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The Single Name Credit Default Swaption Confirmation
(published January 20, 2011)

(This form, published on January 20, 2011, is superseded by the April 3, 2012 publication)

The Single Name Credit Default Swaption Confirmation is designed to facilitate credit default swaption transactions. This document and the Single Name CDS Swaption Standard Terms Supplement published on January 20, 2011 replace the prior versions published on August 6, 2007. The changes reflect the incorporation of the July 2009 Supplement and the inclusion in the Credit Derivatives Physical Settlement Matrix (from January 20, 2011) of swaption-specific information.

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The Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation
(published August 6, 2007)

(This form, published on August 6, 2007, is superseded by the January 20, 2011 publication)

The Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation are designed to facilitate credit default swaption transactions. These two forms more...

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ISDA Swaption Matrix
(most recent version June 30, 2008)

(This document is superseded by Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation and the Credit Derivatives Physical Settlement Matrix, all published on January 20, 2011)

The ISDA Swaption Matrix is intended for use with the Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation. It facilitates the documentation more...

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Knock-Out Swaption Template

(This document is superseded by the Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation)

The Knock-Out Swaption Template is designed for credit default swaptions. It can be used for corporates and Sovereigns, although attention should be given to the Credit Events elected. An optional Transaction Supplement may replace Part B of the template for those parties that have Master Credit Derivatives Confirmation Agreements in place between them.

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First to Default Confirmation

The First to Default Confirmation is intended to document credit derivative trades with baskets or portfolios of Reference Entities. The Confirmation provides for Settlement Terms when the first Reference Entity in the basket is subject to an Event Determination Date and sets forth the mechanics for substituting a Reference Entity name or names in the event that a Succession Event or Seller Merger Event occurs.

(This document is superseded by the Standard Terms Supplement and Confirmation for Nth to Default Transactions (September 22, 2011)

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Note on First to Default Confirmation

The Note offers eight examples illustrating how the provisions of the First to Default Template operates.

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Bespoke Tranche Documentation

Global Tranched Transactions Standard Terms Supplement and Confirmation
(published December 1, 2010)

(This form, published on December 1, 2010, is superseded by the February 1, 2011 publication)

The Global Tranched Transactions Standard Terms Supplement and Confirmation are designed for use with the Credit Derivatives Physical Matrix to document tranched credit derivatives transactions on bespoke portfolios of Reference Entities. They are based on documents originally published by Markit on May 26, 2006, which have been updated to reflect the amendments to those documents contained in the 2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring CDS Protocol and amended to include an expanded range of currencies.

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Reference Entity-based Documentation, Including Documentation for Monoline Insurer, U.S. Municipal and other Reference Entity Types

Additional Provisions - Monoline Insurer as Reference Entity

(This form has been superseded by the 2005 Monoline Supplement)

The Additional Provisions are to be used in Confirmations relating to a monoline insurer as the Reference Entity. The Additional Provisions are intended to be used for physically-settled credit default swap transactions where the monoline insurer has issueuaranty insurance policies or similar financial guarantees to which a Reference Entity irrevocably guarantees or insures the scheduled payments of principal and interest of an obligation for which another party (including a special purpose entity or trust) is the obligor.

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Confirmation for use with U.S. Municipal Reference Entities

(This form has been superseded from June 9, 2008 by the Credit Derivatives Physical Settlement Matrix and Confirmation)

This Confirmation is designed for use in trades where a U.S. Municipal Entity is the Reference Entity for a credit default swap.

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Additional Provisions for the Republic of Hungary: Obligation Characteristics and Deliverable Obligation Characteristics

(This form been superseded by the version dated February 14, 2005)

These Additional Provisions are automatically incorporated into Paragraph 5 of the Sovereign General Terms Confirmation of the 2004 sovereign Master Credit Derivatives Confirmation Agreement if the Reference Entity of a transaction is the Republic of Hungary.

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Master Confirmations

2003 Sovereign Master Credit Derivatives Confirmation Agreement

(This form, published on December 23, 2003, has been superseded by the 2004 Sovereign Master Credit Derivatives Confirmation Agreement)

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2003 Master Credit Derivatives Confirmation Agreement (Asia-Pacific)

(This document is superseded by the Credit Derivatives Physical Settlement Matrix)

The Master Credit Derivatives Confirmation (the "Master Confirmation") was published in July 2003 and is intended to be used for Japan, Australia, New Zealand, Asia and Singapore Transactions. The Master Confirmation aims to streamline the confirmations process and incorporates the 2003 ISDA Credit Derivatives Definitions and the May 2003 Supplement. A General Terms Confirmation and Transaction Supplement is also offered.

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2003 Master Credit Derivatives Confirmation Agreement (European-North American)

(This document is superseded by the Credit Derivatives Physical Settlement Matrix)

The Master Credit Derivatives Confirmation (the "Master Confirmation") was published in June 2003 and is intended to be used for North American and European Transactions. The Master Confirmation aims to streamline the confirmations process and incorporates the 2003 ISDA Credit Derivatives Definitions and the May 2003 Supplement. A General Terms Confirmation and Transaction Supplement is also offered.

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2004 Sovereign Master Credit Derivatives Confirmation Agreement

(This document is superseded by the Credit Derivatives Physical Settlement Matrix)

The 2004 Sovereign Master Credit Derivatives Confirmation was published on August 13, 2004 and is intended to be used for Asia, Emerging European and Middle Eastern, Japan, Latin American and Western European Transaction Types. The Master Confirmation aims to streamline the confirmations process and incorporates the 2003 ISDA Credit Derivatives Definitions and the May 2003 Supplement. A General Terms Confirmation and Transaction Supplement is also offered.

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