Revised 2007 European Variance Swap Master Confirmation Agreement

This amended version of the 2007 European Variance Swap Confirmation Agreement includes changes to Annex SVS in respect of the application of Related Exchange / Exchange when determining a Scheduled Trading Day for Share Variance Swaps. Related Exchange is no longer taken into account for the determination of a Scheduled Trading Day for a Share Variance Swaps.

The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

By incorporating the ISDA Standard Terms Appendix for use with European Variance Option Transactions, published January 27, 2009, into a Transaction Supplement under a Revised 2007 European Variance Swap Master Confirmation Agreement, the parties agree to amend such MCA to add the provisions of Annex IVO (Index Variance Option) and Annex SVO (Share Variance Option).

The Dispersion Variance Swap General Terms Confirmation/Annex DVS (“DVS General Terms Confirmation”), published December 2, 2008, is designed to document variance swap transactions composed of an Index Variance Swap Transaction and a Share Variance Swap Transaction composed of several Share Variance Swap Transactions. The DVS General Terms Confirmation is to be used with the Revised 2007 European Variance Swap Master Confirmation Agreement.

The Form of Amendment to European MCAs, published July 31, 2009, removes Iceland from the definition of covered jurisdictions for (i) the 2007 European Master Equity Derivatives Confirmation Agreement (the “2007 European Master Equity Derivatives Confirmation Agreement“) and (ii) the Revised 2007 European Variance Swap Master Confirmation Agreement (the “Revised 2007 European Variance Swap Master Confirmation Agreement” and together, with the 2007 European Master Equity Derivatives Confirmation Agreement, the “European MCAs“). Parties are free to utilize this form of amendment language to bilaterally amend their European MCAs.

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