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2003 ISDA Credit Derivative Definitions (Electronic documentation pack incorporating the "May 2003 Supplement" and the "July 2009 Supplement") 
(Electronic Copy Only)
This document is a consolidation of (a) the 2003 ISDA Credit Derivatives Definitions (the "2003 Definitions") (b) the 2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions, published on July 14, 2009 (the “July 2009 Supplement”) and (c) the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions (the “May 2003 Supplement”).
When you purchase this document (available only in electronic format) you will receive (a) a clean consolidated version (b) a comparison document showing the changes made to the 2003 Definitions by each of the July 2009 Supplement and the May 2003 Supplement and annotated to identify the section of each supplement effecting each change and (c) the original version of the 2003 ISDA Credit Derivatives Definitions.
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2003 ISDA Credit Derivatives Definitions (Original version published 2003, without Supplements)
(Hard Copy Only)
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EXHIBIT A to 2003 ISDA Credit Derivatives Definitions
Exhibit A (Confirmation) is attached in Word format and can be downloaded for free.
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2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions (The "July 2009 Supplement")
Note: This supplement is incorporated into the 2003 ISDA Credit Derivative Definitions (Electronic documentation pack incorporating the "May 2003 Supplement" and the "July 2009 Supplement") above
The July 2009 Supplement extends the auction hardwiring provisions contained in the March 2009 Supplement to apply them to Restructuring credit events, while replicating, to the extent practicable, the maturity limitation requirements for deliverable obligations that apply following a "Mod-R" or "Mod-Mod-R" Restructuring credit event as contained in the 2003 Definitions.
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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Note: This supplement has been superseded by the "July 2009 Supplement"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 introduces backstop dates for credit events and succession events, and includes provision for the ISDA Determinations Committees, which make binding determinations for issues such as whether a credit event has occurred; whether an auction will be held; and whether a particular obligation is deliverable. The Annexes to the Supplement contained the a form of Determinations Committees Rules and Auction Settlement Terms: more recent versions of the Rules and examples of published Auction Settlement Terms can be found on ISDA's credit derivatives page (http://www.isda.org/credit/).
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May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions
Note: This supplement is incorporated into the 2003 ISDA Credit Derivative Definitions (Electronic documentation pack incorporating the "May 2003 Supplement" and the "July 2009 Supplement") above
The May 2003 Supplement addresses guaranteed subordinated debt, the determination time for assessing voting shares and amends Section 4.9(a)(i) of the 2003 Definitions regarding Multiple Holder Obligations.
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2005 Matrix Supplement
(published March 7, 2005)
The 2005 Matrix Supplement amends the 2003 ISDA Credit Derivatives Definitions by the incorporating a new Article XI – the Credit Derivatives Physical Settlement Matrix. The Credit Derivatives Physical Settlement Matrix sets out certain elections that apply to certain Reference Entities under Credit Derivatives Transactions for which Physical Settlement applies as the relevant Settlement Method. Parties may express the elections set out in the Credit Derivatives Physical Settlement Matrix to apply to a Credit Derivative Transaction by referencing the 2005 Matrix Supplement in their Confirmation and including and identifying a Transaction Type in the Confirmation for that Credit Derivative Transaction.
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Credit Derivatives Physical Settlement Matrix and Confirmation
(Most Recent Version April 27, 2010)
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Side Letter on 60 Business Day Cap on Settlement
The Side Letter was published on August 5, 2003 and offers firms the ability to agree to a 60 Business Day cap on Settlement under the 2003 ISDA Credit Derivatives Definitions.
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| North American Loan CDS and LCDX Documentation |
Bullet Syndicated Secured Loan Credit Default Swap Standard Terms Supplement
(published April 5, 2010)
(This form, published April 5, 2010 supersedes 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 Deliverable Obligations are limited to Syndicated Secured Loans of the Reference Entity. This form is primarily intended for use in the North American market. The contract: (a) has a "bullet" maturity, i.e. not subject to acceleration in the case where the Reference Entity's loans are repaid; (b) is subject to a credit event determination by a Determinations Committee; (c) provides for auction settlement if the Participating Dealers vote to hold an auction under the Bullet LCDS Auction Rules in relation to a Reference Entity and Designated Priority; and (d) contains specific rules and procedures for determining Successors to the Reference Entity (the procedures are contained in the Bullet LCDS Continuity Procedures). If no auction is held or the auction fails or is abandoned, Physical Settlement will apply to LCDS transactions under the most recently-published form of LSTA Physical Settlement Rider, which is available from the LSTA’s website, www.lsta.org.
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Bullet Markit LCDX Untranched Transactions Standard Terms Supplement
(published April 5, 2010)
(This form, published April 5, 2010 supersedes the LCDX Untranched Transactions Standard Terms Supplement published May 22, 2007, for Markit LCDX Series 14 and higher.)
Markit LCDX is an index with 100 equally-weighted underlying North American single name loan-only credit default swaps. Copies of the Markit CDX Index Rules (of which the Markit LCDX Rules form a part) can be located on the Markit website (www.markit.com). Markit LCDX has a fixed coupon, payable quarterly, and Deliverable Obligations are defined by the Markit Syndicated Secured List (see www.markit.com). Settlement can be effected through an auction (similar to the recent unsecured CDS protocols).
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Bullet Markit LCDX Tranche Transactions Standard Terms Supplement
(published April 12, 2010)
(This form, published April 12, 2010 supersedes the LCDX Tranche Transactions Standard Terms Supplement published September 25, 2007, for Markit LCDX Series 14 and higher.)
The Bullet Markit 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 “Bullet Markit LCDX Untranched Transactions Standard Terms Supplement”.
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Bullet Syndicated Secured Loan Polling Rules
(published on April 5, 2010)
This document contains the rules and procedures that apply to determine whether a loan qualifies as a "syndicated secured" loan of the Reference Entity, for purposes of the syndicated secured list.
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Bullet LCDS Auction Rules and LCDS Auction Settlement Terms
(published April 5, 2010)
The Bullet LCDS Auction Rules and LCDS Auction Settlement Terms are designed to facilitate the settlement of Bullet Syndicated Secured Loan Credit Default Swap transactions.
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Bullet LCDS Continuity Procedures
(published April 5, 2010)
The Bullet LCDS Continuity Procedures contain the procedural rules for determination of a Successor under the Bullet LCDS documentation.
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LCDX Best Practices for Credit Events, Secured List Early Termination Events and Novations
(published January 25, 2008)
This document contains suggested best practices for publication of new versions of the relevant LCDX Annex and LCDS Settled Entity Matrix, documentation of new LCDX transactions and novations of existing LCDX transactions and settlement dates for accrual payments under LCDX and LCDS transactions.
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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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[ Top of Page ] |
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 refers to the separately published LCDS Auction Rules, to which is annexed the LCDS Auction Settlement Terms. If the Eligible LCDX Members vote to hold an auction under the LCDS Auction Rules in relation to a Reference Entity and Designated Priority, all single name LCDS transactions governed by this Standard Terms Supplement that are triggered within a specified time frame will be cash-settled based on a price determined by an auction (similar to recent unsecured CDS protocols). If that auction fails or is abandoned, Physical Settlement will apply to LCDS transactions under the revised LSTA Physical Settlement Rider, which is available from the LSTA’s website, www.lsta.org. This form replaces the form published by ISDA on June 8, 2006.
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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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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 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 on the Markit website. The LCDX has a fixed coupon, payable quarterly, and Deliverable Obligations are defined by the Markit Syndicated Secured List (see www.markit.com). Settlement can be effected through an auction (similar to the recent unsecured CDS protocols).
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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 the issuer and the Deliverable Obligation are Syndicated Secured Loans. This form is primarily intended for use in the U.S. market. The template refers to the Physical Settlement Terms, published by the Loan Syndication Trading Association, which can be accessed at http://www.lsta.org.
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| European Loan CDS Documentation |
iTraxx® LevX® Standard Terms Supplement and Confirmation for Credit Derivative Transactions on Leveraged Loans (Incorporating Auction Settlement)
(published October 3, 2008)
(This form, published on October 3, 2008, supersedes the March 12, 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. It provides for settlement by means of an auction following a Credit Event by reference to the ELCDS Auction Rules. This form is primarily intended for use in the European market.
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ELCDS Auction Rules and ELCDS Auction Settlement Terms
(published October 3, 2008)
The LCDS Auction Rules are designed to facilitate the settlement of default swap transactions on European leveraged loans, including settlement of transactions referencing an iTraxx® LevX® Index, to the extent the documentation governing such transactions references these ELCDS Auction Rules. The ELCDS Auction Settlement Terms are annexed to the ELCDS Auction Rules.
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Standard Terms Supplement and Confirmation for Credit Derivative Transactions on Leveraged Loans (Incorporating Auction Settlement)
(published October 3, 2008)
(This form, published on October 3, 2008, supersedes the March 12, 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. It provides for settlement by means of an auction following a Credit Event by reference to the ELCDS Auction Rules. This form is primarily intended for use in the European market.
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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 March 12, 2008)
(This form, published on March 12, 2008, supersedes the July 30, 2007 publication.)
This template is designed to document credit default swap transactions where the Reference Credit Agreement is a syndicated secured loan of the issuer. 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 |
| Standard Terms Supplement for a Credit Derivative Transaction on Mortgage-Backed Security with Pay-As-You-Go or Physical Settlement
(This form, published on August 8, 2007, supersedes the April 5, 2007 and prior CDS on MBS publications; the April 5, 2007 Form of Confirmation remains unamended and can be utilized with the August 8, 2007 publication)
This Standard Terms Supplement for a Credit Derivative Transaction on a Mortgage-Backed Security replaces prior publications in 2005, 2006 and 2007. As compared to the April 5, 2007 publication, there is only one modification – in the section entitled “Relevant Rate” on page 29, the April 5, 2007 publication’s reference to the 2000 ISDA Definitions has been replaced in the August 8, 2007 publication with a reference to the “2006 ISDA Definitions”. It should be noted that ISDA has published a memorandum outlining the salient differences between the 2000 ISDA Definitions and the 2006 ISDA Definitions. This is available on the ISDA website, www.isda.org under “Bookstore/Publications” under “ISDA Interest Rate and Currency Derivative Definitions” and is entitled “Memorandum on Principal Amendments to the 2000 ISDA Definitions As Incorporated In The 2006 ISDA Definitions”.
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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 and prior CDS on MBS publications)
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 through DTCC. In addition, this form is designed to accommodate trading both in Europe and North America.
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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 and January 23, 2006 publications)
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)
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. In this form parties can choose from two versions of the definition of Fixed Rate Payer Payment Dates - one for non-US CMBS Reference Obligations (5 Business Days after the Reference Obligation Payment Date), which remains unchanged from the January 2006 form, and one for US CMBS.
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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)
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)
(This form, published on June 7, 2006, supersedes the June 13, 2005 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. In this form, an additional mechanism for settlement, delivery of a total return swap, is available.
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Credit Derivative Transaction on Asset-Backed Security (Cash or Physical Settlement)
(published June 13, 2005)
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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Credit Derivative Transaction on Asset-Backed Security with Pay-As-You-Go Settlement (Form II)
(published December 19, 2005)
The Credit Derivative Transaction on Asset-Backed Security with Pay-As-You-Go Settlement (Form II) template is designed for use with Reference Obligations that are asset backed securities, as deemed appropriate by the parties. This template is not intended for use with negative basis trades.
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| CDS on CDO Documentation |
Standard Terms Supplement for a Credit Derivative Transaction on Collateralized Debt Obligation with Pay-As-You-Go or Physical Settlement (Dealer Form)
(this form, published on August 8, 2007, supersedes the June 6, 2007 and June 7, 2006 CDS on MBS publications; the June 6, 2007 Form of Confirmation remains unamended and can be utilized with the August 8, 2007 publication)
This Standard Terms Supplement for a Credit Derivative Transaction on Collateralized Debt Obligation replaces the June 6, 2007 and June 7, 2006 publications. As compared to the June 6, 2007 publication, there is only one modification – in the section entitled “Relevant Rate” on page 39, the June 6, 2007 publication’s reference to the 2000 ISDA Definitions has been replaced in the August 8, 2007 publication with a reference to the “2006 ISDA Definitions”. It should be noted that ISDA has published a memorandum outlining the salient differences between the 2000 ISDA Definitions and the 2006 ISDA Definitions. This is available on the ISDA website, www.isda.org under “Bookstore/Publications” under “ISDA Interest Rate and Currency Derivative Definitions” and is entitled “Memorandum on Principal Amendments to the 2000 ISDA Definitions As Incorporated In The 2006 ISDA Definitions”.
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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)
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 is designed to document credit default swap transactions that reference a Reference Obligation that is a collateralized debt obligation.
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| [ Top of Page ] |
| Optional Early Termination or Mutual Break Language |
Additional Provisions for Optional Early Termination (CDS on ABS)
(published December 8, 2006)
These Additional Provisions for Optional Early Termination are intended for use in relation to credit derivative transactions on asset-backed securities.
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| Other Credit Derivative Transaction Documentation |
Standard Terms Supplement and Confirmation for CMBS Index Basis Swap
(published March 20, 2008)
The Standard Terms Supplement and Confirmation for CMBS Index Basis Swap are designed for documenting duration-neutral total return swap transactions referencing indices of commercial mortgage-backed securities. In particular the template is designed for use with the commonly-traded indices maintained by Lehman Brothers Inc. and Banc of America Securities LLC.
A timeline for the operation of the Index Modification, Index Cancellation and Index Calculation Failure provisions is also provided for information.
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Standard Terms Supplement and Confirmation for Syndicated Secured Loan Contingent Credit Default Swap Transaction
(published June 6, 2007)
The Standard Terms Supplement and Confirmation for a Syndicated Secured Loan Contingent Credit Default Swap Transaction allow parties to hedge the credit risk associated with counterparty default in derivative transactions using Syndicated Secured Loans as Deliverable Obligations. These documents incorporate the mechanics developed in the Contingent CDS template (published by ISDA on February 6, 2007) into the North American Syndicated Secured Loan CDS documentation. The principal distinction between these documents and the standard North American Syndicated Secured Loan CDS documentation relates to how the Floating Rate Payer Calculation Amount is determined upon a Credit Event.
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Confirmation for Contingent Credit Default Swap Transaction
(published February 6, 2007)
The Confirmation for a Contingent Credit Default Swap Transaction is designed for transactions where the parties desire to hedge the credit risk associated with counterparty default in derivative transactions. The principal distinction between this Confirmation and the standard single name credit default swap as documented under the 2003 ISDA Credit Derivatives Definitions relates to how the Floating Rate Payer Calculation Amount is determined upon a Credit Event.
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Additional Provisions for a Secured Deliverable Obligation Characteristic
(published June 16, 2006)
The Additional Provisions for a Secured Deliverable Obligation Characteristic allow parties to incorporate into a confirmation a new optional Deliverable Obligation Characteristic "Secured." The provisions are intended for use in credit default swap transactions where the Reference Entity is a high yield credit.
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Recovery Lock Credit Derivative Transaction
(published May 1, 2006)
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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Monoline Insurer Reference Entities
(published August 31, 2010)
The purpose of this list is to gather and disseminate information as to the reference entity names that market participants believe to be monoline insurers which may be referenced as such in a standard credit default swap.
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CDS Monoline Supplement Agreement
(published February 29, 2008)
The CDS Monoline Supplement Agreement is available at the link to the right, together with a Questions and Answers document explaining the purpose and effect of the agreement. ISDA also facilitated the signing of a multilateral version of the agreement. The period for signing this agreement expired on Wednesday March 26, 2008 and therefore no further signatures can be accepted.
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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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2005 Monoline Supplement
The 2005 Monoline Supplement is intended to for use with physically-settled credit default swap transactions where the Reference Entity is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees. The 2005 Monoline Supplement is intended to supersede the original document, the "Additional Provisions for Physically Settled Default Swaps - Monoline Insurer as Reference Entity", published in May 2003. In the May 2003 publication, Restructuring was not included as an applicable Credit Event. In the 2005 Monoline Supplement, it is left to the parties to determine whether Restructuring should apply to the trade or not (see footnote 1). ISDA does not recommend that Restructuring be included as applicable, but rather leaves it to the parties to make this determination.
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Confirmation and Additional Provisions 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)
The Additional Provisions and the 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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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.
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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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The Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation
(published August 6, 2007)
The Single Name CDS Swaption Standard Terms Supplement and Credit Default Swaption Confirmation are designed to facilitate credit default swaption transactions. These two forms replace the prior ISDA publication entitled Knock-Out Swaption Template. Substantive changes reflected in the August 6, 2007 publication relate to structuring the form for processing through DTCC and incorporating the 2006 ISDA Definitions and the Physical Settlement Matrix, each of which did not exist at the time of the Knock-Out Swaption Template’s initial publication.
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ISDA Swaption Matrix
(most recent version June 30, 2008)
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 of CDS swaption transactions by providing standard elections for CDS swaptions referencing various types of Reference Entity. It is anticipated that this document will be updated from time to time with the latest trading standards as contemplated by the Credit Default Swaption Confirmation.
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Knock-Out Swaption Template
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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Additional Provisions for Constant Maturity Credit Default Swaps
These Additional Provisions may be used in place of the standard provisions of Section 2 of the form of confirmation set out in Exhibit A of the 2003 ISDA Credit Derivatives Definitions to facilitate the execution of a constant maturity credit default swap transaction. Its intended primary use is for an inter-dealer transaction.
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| Master Confirmations |
2004 Sovereign Master Credit Derivatives Confirmation Agreement
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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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)
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)
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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| Additional Provisions |
Additional Provisions for STMicroelectronics NV
(published on December 6, 2007)
Additional Provisions for STMicroelectronics NV
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Additional Provisions for Reference Entities with Delivery Restrictions
(published on February 1, 2007)
The Additional Provisions for Reference Entities with Delivery Restrictions is offered as an additional optional field in the Credit Derivatives Physical Settlement Matrix, as published on February 1, 2007. These provisions may also be incorporated into a Confirmation if parties wish to specify its application in relation to certain Reference Entities to whom these restrictions would apply. In general, these Additional Provisions are designed to address situations where a Reference Entity’s issuance of bonds is subject to certain requirements of the Investment Company Act of 1940, such as particular transfer restrictions and the requirement that the bonds trade through certain “gatekeeper” dealers, among other items.
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Additional Provisions for LPN Reference Entities
(published October 3, 2006)
The Additional Provisions for LPN Reference Entities may be incorporated into a Confirmation if parties wish to specify certain Reference Obligations in relation to certain Reference Entities that issue debt via Loan Participation Note (LPN) programs.
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Additional Provisions for the Argentine Republic: Excluded Obligations and Excluded Deliverable Obligations
(published December 21, 2005)
The Additional Provisions for the Argentine Republic may be incorporated into a Confirmation if parties wish to specify certain obligations of the Argentine Republic as Excluded Obligations and Excluded Deliverable Obligations.
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Additional Provisions for the Russian Federation: Obligation Characteristics and Deliverable Obligation Characteristics
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 Russian Federation.
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Additional Provisions for the Republic of Hungary: Obligation Characteristics and Deliverable Obligation Characteristics
(published February 14, 2005)
These Additional Provisions are for use the Republic of Hungary as a Reference Entity. They can be used on a standalone basis, or incorporated into the 2004 Sovereign Master Credit Derivatives Confirmation Agreement.
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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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| 1999 ISDA Credit Derivatives Definitions and Supplements |
Various Supplements to 1999 ISDA Credit Derivatives Definitions
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1999 ISDA Credit Derivatives Definitions
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Confirmation of OTC Credit Swap Transaction Single Reference Entity - Non Sovereign
The Confirmation of OTC Credit Swap Transaction - Single Reference Entity - Non-Sovereign is intended for use in documenting transactions that provide credit protection against certain defaults involving non-Sovereign entities. The long-form confirmation can be used in conjunction with an ISDA Master Agreement to document either cash-settled or physically-settled transactions. |
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| Miscellaneous |
Called Subordinated Notice
(published February 23, 2009)
This Best Practice language indicates firms' intention that trades confirmed inclusive of a Subordinated Reference Obligation that was matured or called as of the Trade Date is a trade with the Subordination of the Reference Obligation as of the date on which it was redeemed.
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Timeline for the Physical Settlement of a Credit Derivative Transaction Following a Credit Event
(published February 7, 2006)
This timeline is a summary of certain settlement procedures set forth in the 2003 ISDA Credit Derivatives Definitions (the “2003 Definitions”) and is for informational purposes only. It does not seek to incorporate all provisions set forth in the 2003 Definitions, nor will it amend or alter individual contracts.
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Net Settlement Agreement
(published May 8, 2006)
The Net Settlement Agreement is an optional agreement allowing parties to bilaterally agree to settle Credit Derivative Transactions between them on a net basis. The document is intended for use in respect of Transactions where Physical Settlement has been selected.
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Letter Agreement Relating to Notice Delivery Methods
(published February 7, 2006)
This letter agreement, if parties choose to enter into it, allows parties to elect delivery methods, in addition to those in the 2003 ISDA Credit Derivatives Definitions, such as e-mail or electronic messaging systems, for notices in relation to the occurrence of a Credit Event and the settlement of a Transaction after a Credit Event.
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