• 2003 ISDA Credit Derivatives Definitions, Physical Settlement Matrix and Related Material
• North American Loan CDS and LCDX Documentation
• European Loan CDS Documentation
• CDS on MBS Documentation
• CDS on CDO Documentation
• Optional Early Termination or Mutual Break Language
• Other Credit Derivative Transaction Documentation
• Master Confirmations
• Additional Provisions
• 1999 ISDA Credit Derivatives Definitions and Supplements
• Miscellaneous

2003 ISDA Credit Derivatives Definitions

The 2003 ISDA Credit Derivatives Definitions (the "2003 Definitions") are intended for use in confirmations of individual transactions governed by agreements such as the 2002 ISDA Master Agreement or the 1992 ISDA Master Agreements published by ISDA. The 2003 Definitions update the 1999 ISDA Credit Derivatives Definitions and offer the basic framework for the documentation of privately negotiated credit derivative transactions. The 2003 Definitions update provisions in the 1999 ISDA Credit Derivatives Definitions relating to Successor and several Credit Events. In addition, the 2003 Definitions offer new provisions relating to guarantees, Sovereign credit default swaps, novation of credit derivative transactions and alternative procedures in the event the Bond or Loan specified in the Notice of Physical Settlement is not Delivered.

EXHIBIT A to 2003 ISDA Credit Derivatives Definitions

Exhibit A (Confirmation) is attached in Word format and can be downloaded for free.

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.

Credit Derivatives Physical Settlement Matrix and Confirmation
(Most Recent Version December 6, 2007)

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.

May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions

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.

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.

LCDS Auction Settlement Terms for Movie Gallery
(published October 5, 2007)

The LCDS Auction Settlement Terms for Movie Gallery, Inc. have been published by ISDA and CDS IndexCo LLC pursuant to the LCDS Auction Rules to set out the terms of the auction relating to LCDS and LCDX transactions referencing Movie Gallery first lien loans. This auction will be held on October 23, 2007. This document is based on the LCDS Auction Settlement Terms, which are annexed to the LCDS Auction Rules. For convenience, a blackline comparison of the Movie Gallery Auction Settlement Terms showing changes against the LCDS Auction Settlement Terms is also available.

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

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”. The official launch date for trading of standardized tranches in LCDX is October 10, 2007, but the documentation has been published at an earlier date to allow parties to familiarize themselves with the standard terms.

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 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.

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

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.

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).

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

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.

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

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.

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.

Standard Terms Supplement and Confirmation for Credit Derivative Transactions on Leveraged Loans
(published July 30, 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 Obligations are Syndicated Secured Loans. This form is primarily intended for use in the European market.

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

(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”.

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.

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.

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.

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.

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.

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.

(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”.

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.

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

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.

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.

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.

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.

Additional Provisions - Monoline Insurer as Reference Entity
(This form has been superseded by the 2005 Monoline Supplement)

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.

Confirmation and Additional Provisions for use with U.S. Municipal Reference Entities

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.

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.

Note on First to Default Confirmation

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

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.

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.

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.

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)

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.

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.

Additional Provisions for STMicroelectronics NV
(published on December 6, 2007)

Additional Provisions for STMicroelectronics NV

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.

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.

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.

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.

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.

Various Supplements to 1999 ISDA Credit Derivatives Definitions

Supplement to the 1999 ISDA Credit Derivatives Definitions on Successor and Credit Events for Credit Derivatives

Commentary on Supplement to the 1999 ISDA Credit Derivatives Definitions on Successor and Credit Events for Credit Derivatives

Supplement to the 1999 ISDA Credit Derivatives Definitions on Convertible, Exchangeable or Accreting Obligations

Commentary on Supplement to the 1999 ISDA Credit Derivatives Definitions on Convertible, Exchangeable or Accreting Obligations

Restructuring Supplement to the 1999 ISDA Credit Derivatives Definitions

Commentary on Restructuring Supplement to the 1999 ISDA Credit Derivatives Definitions

Memorandum on "Fully Transferable Obligation" as used in the Restructuring Supplement

Short Form Confirmation for use with 1999 ISDA Credit Derivatives Definitions Using More Traditional ISDA Listing of Categories and Characteristics for Defining Obligations and Deliverable Obligations

Short Form Confirmation for use with 1999 ISDA Credit Derivatives Definitions Using Matrix Format for Defining Obligations and Deliverable Obligations