Loss at Maturity Annex to the Global Tranched Transactions Standard Terms Supplement

(published March 2, 2011 for 2003 Definitions and September 22, 2014 for 2014 Definitions)

The Loss at Maturity Annex to the Global Tranched Transactions Standard Terms Supplement is designed for use with the Global Tranched Transactions Standard Terms Supplement and Confirmation to document tranched credit derivatives transactions on bespoke portfolios of Reference Entities wherein 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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