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Annex 4
1 Definitions and Provisions
1.1 Documentation
(b) if the User has entered into one or more ISDA Master Agreements with that
MarkitWire Participant, the Default Master Agreement shall be the most
recently dated applicable ISDA Master Agreement between them relevant
to that type of Transaction and any Confirmation entered into MarkitWire
since the date of such agreement shall supplement, form a part of, and be
subject to such agreement;
(c) if the User has not entered into any ISDA Master Agreement with the
MarkitWire Participant, the User and the MarkitWire Participant agree to use
their reasonable efforts promptly to negotiate, execute and deliver an ISDA
Master Agreement between them. Until the User and the MarkitWire
Participant execute and deliver the ISDA Master Agreement, the Trade
Affirmation for the No Designated Master Agreement Trade, the Trade
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terms of that Trade shall supplement, form a part of, and be subject to, an
agreement in the form of the ISDA Master Agreement (1992 Multicurrency-
Cross Border version). The ISDA Master Agreement (1992 Multicurrency-
Cross Border version) shall be the Default Master Agreement and will apply
as if the User and the MarkitWire Participant had executed an agreement in
such form (but without any schedule thereto except for the election of
English law as the governing law or the laws of the State of New York
without reference to choice of law doctrine where both parties are duly
organised and validly existing under such law by its organisation or
incorporation, or unless the parties expressly and specifically state
otherwise in writing) with US dollars as the Termination Currency on the
date of the first No Designated Master Agreement Trade between the User
and the MarkitWire Participant. In the event of any inconsistency between
the provisions of the Default Master Agreement and the Trade Affirmation,
the Trade Affirmation prevails for the purposes of that No Designated
Master Agreement Trade; and
(d) in the event that the parties later negotiate, execute and deliver an
agreement in the form of the ISDA Master Agreement (1992 Multicurrency-
Cross Border version) such agreement shall, following execution govern
any Transactions between the parties until such time as the parties enter
into a different or replacement ISDA Master Agreement and agree that such
ISDA Master Agreement is to govern such Transactions.
For each bilaterally affirmed CDS Transaction submitted by the parties under the
Dealer-to-Dealer Load Service, the End User Dealer Affirmation Service or the
Novation Affirmation Service, the parties agree to produce the Confirmation manually
or that the Confirmation is performed outside the MarkitWire system (e.g. on another
automated confirmation and matching system). For such CDS Transactions, the
electronic record of the Transaction details should be treated as being for information
purposes only and normal post trade confirmation procedures should be applied by
the User or End User.
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in the MarkitWire Provisions then the Trade Affirmation represents a confirmation for
purposes of the applicable Master Agreement.
1. The Trade Affirmation sets out the economic terms of each individual
Transaction. Therefore the Trade Affirmation is first in the hierarchy and
prevail over the other documents.
2. These MarkitWire Provisions set out how the 2003 or 2014 Definitions, as
applicable, are incorporated within the MarkitWire system The MarkitWire
Provisions do not modify the meaning of any ISDA defined terms or provisions
with the following exceptions:
i. Where the Credit Event Occurrence Timezone field contains the identifier of a
Business Centre, the selection indicates that the Credit Event Occurrence
Timezone will be the local time applicable in the Business Centre specified.
As such, references to Greenwich Mean Time in Section 3.3 of the 2003
ISDA Credit Derivatives Definitions should be replaced with references to
local time applicable in the Business Centre specified; and
ii. Where a Physical Settlement Period Type of Capped has been selected
(see Settlement Terms Template page), the provisions of Section 8.6 of the
2003 ISDA Credit Derivatives Definitions apply but are modified such that in
no event will the Physical Settlement Period exceed the number of days
specified in the Physical Settlement Period Days field on the Settlement
Terms Template page.
(a) reduce or expand the number of choices available to the User from the full
range of choices as specified in the Credit Definitions to a number of choices
which are supported by MarkitWire.
(b) explain how certain Credit Definitions defined terms and provisions are
determined for the purposes of Transactions.
In the event of any inconsistency between the MarkitWire Provisions and the
Contractual Definitions other than as described above, the Contractual Definitions
will prevail.
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4. The User Terms or Service Operating Procedures, as applicable, set out the
relationship between the parties using MarkitWire. The User Terms or
Service Operating Procedures, as applicable, are generic and apply to all
parties; therefore they are last in the document hierarchy applicable to
Transactions entered into MarkitWire.
The fields shall also specify the particular Branch, if any, through which the
MarkitWire Participant is acting. Where an authorised employee is able to deal on
behalf of more than one MarkitWire Participant, the authorised employee has the
option to select the relevant name from a list set up and maintained by the
administrator.
Where the MarkitWire Participant through which the authorised employee is acting
has Branches, the User is required to ensure that both the full legal name of the legal
entity and the Branch are displayed on the Main Template page. This will be
effected through appropriate User administration configuration.
Users and End Users should note that access to this data on the MarkitWire System
is only provided once suitable agreement has been reached between the User and
Markit Group Ltd, and such agreement has been communicated to MarkitWire by
Markit Group Ltd Access to the foregoing data may be terminated by MarkitWire at
any time.
The User or End User agrees that the foregoing data is made available for its
internal use only and that the User or End User is prohibited from re-distributing,
transferring or disclosing any of the foregoing data to any third party, in whole or
part, in any form or by any means, except as specifically permitted by the data
provider.
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no liability whatsoever for any errors, omissions or inaccuracies contained within the
RED reference data or any other data on the MarkitWire System.
No third party data provider (including without limitation Markit Group Ltd) make any
representation or warranty as to the suitability of the data for any particular CDS
Transaction. The User or End User further agrees that no third party data provider
(including without limitation Markit Group Ltd) makes any representations or
warranties as to, or shall have any liability whatsoever whether in contract, tort
(including, but not limited to, negligence) or otherwise (i) in relation to, the quality,
fitness for purpose, completeness or accuracy of the data, (ii) for any errors,
omissions or inaccuracies contained within the RED reference data or any other data
on the MarkitWire System or (iii) for any loss or damage arising out of or in
connection with the use of the data or any indirect or consequential loss or loss of
profits, business, revenue or contracts. In addition, the User agrees that it is subject
to any legends, disclaimers, and notices appearing from time to time in the foregoing
data. The User or End User agrees to extend rights under the Contracts (Rights of
Third Parties) Act 1999 to the relevant third party as required to allow the relevant
third party to utilize this provision.
At all times it remains the responsibility of the User to ensure that the values
contained within each field on each Template page are consistent with the
authorised employees intentions with respect to the CDS transaction.
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If the Reference Entity is the Russian Federation, the Additional Provisions for
the Russian Federation published on August 13, 2004 on ISDAs website,
www.isda.org, are automatically incorporated into the CDS Transaction.
In the event that the Adjust Scheduled Termination Date Indicator (General
Terms Page (Section 3.2)) has been Ticked, the Scheduled Termination Date will
be adjusted in accordance with the Business Day Convention and Business Days
as specified on the General Terms Template page (Section 3.2).
the Start Date and the End Date on the Main Template page (Section 3.1);
the Fixed Payment Frequency (Section 3.1);
the Stub At field value on the Fixed Payments Template page (Section 3.3);
the Stub Type field value (Section 3.3);
the Month End Rolls Indicator (Section 3.3); and
the Adjust Scheduled Termination Date Indicator stated on the General Terms
Template page (Section 3.2).
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For MarkitWire purposes, the Fixed Rate Payer Payment Dates fall on the last day of
each relevant Fixed Rate Payer Calculation Period (and on the Upfront Fee Payment
Dates, if applicable) provided that, if an Event Determination Date occurs, the earlier
of the Termination Date and the first Settlement Date with respect to the Credit Event
to which such Event Determination Date relates, shall be the final Fixed Rate Payer
Payment Date.
Where the Term of the CDS Transaction is an integer multiple of the Fixed Payment
Frequency period then Standard Fixed Rate Payer Calculation Periods shall apply:
the Fixed Rate Payer Period End Dates shall be each date falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period End Date,
starting on the date falling one Fixed Payment Frequency period after the Effective
Date and ending in accordance with Section 4.4.2. For example:
For any CDS Transaction entered into MarkitWire, a Stub Period may only exist at
the beginning or the end of the CDS Transaction, but not both.
a) Month End Rolls (Section 3.3) have been selected and the Start Date falls on
or after the last Business Day of the month and the End Date is the last calendar
day of the month.
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b) Month End Rolls have not been selected, but due to fewer days occurring in
the End Date month compared to the Start Date month, the day of the month of
the Start Date does not have a numerical equivalent in the End Date month but
the End Date is still the last calendar day of the month.
Any applicable Stub Period relevant to a CDS Transaction will be the first Fixed
Rate Payer Calculation Period at the start of the CDS Transaction when the value
in the Stub At field (see Fixed Payments Template page (Section 3.3)) is Start.
Conversely, the Stub Period will be the last Fixed Rate Payer Calculation Period
at the end of the CDS Transaction when the value in the Stub At field is End.
The Stub Period will be short when the MarkitWire system determines that a Stub
Period is applicable (indicated by the Fixed Payment Stub Indicator on the Main
Template page (Section 3.1) displaying a value of Ticked) and the value in the
Stub Type field (see Fixed Payments Template page (Section 3.3)) is Short. In
this case:
Subtract multiples of the Fixed Payment Frequency period from the End Date
until subtracting one more Fixed Payment Frequency period would result in a
date earlier than the Effective Date and this will identify the end date of the Stub
Period (the First Regular Fixed Rate Payer Payment Date). The end date of the
Stub Period is displayed in the First Fixed Rate Payer Payment Date field on the
Fixed Payments Template page (Section 3.3).
If the Stub Period is at the Start of a CDS Transaction and the Stub Period is
Short, the Fixed Rate Payer Period End Dates shall be:
(i) the dates (bearing the same calendar number (the Roll Day) as the
Scheduled Termination Date without, for the purpose of determining the
calendar number of the Scheduled Termination Date, having regard to any
Business Day Convention applicable to the CDS Transaction - see Section
3.3), falling one Fixed Payment Frequency period after the previous Fixed
Rate Payer Period End Date, starting on the First Regular Fixed Rate Payer
Payment Date and ending in accordance with Section 1.8;
(ii) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting the month of the First Regular Fixed Rate Payer Payment
Date and ending in accordance with Section 1.8.
The Stub Period will be long when the MarkitWire system determines that a Stub
Period is applicable (indicated by the Fixed Payment Stub Indicator on the Main
Template page (Section 3.1) displaying a value of Ticked) and the value in the
Stub Type field (see Fixed Payments Template page (Section 3.3)) is Long. In
this case:
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Subtract multiples of the Fixed Payment Frequency period from the End Date
until subtracting one more Fixed Payment Frequency period would result in a
date earlier than the Start Date and then add one Fixed Payment Frequency
period to ascertain the end date of the Stub Period (the First Regular Fixed Rate
Payer Payment Date). The end date of the Stub Period is displayed in the First
Fixed Rate Payer Payment Date field on the Fixed Payments Template page
(Section 3.3).
If the Stub Period is at the Start of a CDS Transaction and the Stub Period is
Long, the Fixed Rate Payer Period End Dates shall be:
(i) the dates (bearing the same calendar number (the Roll Day) as the
Scheduled Termination Date without, for the purpose of determining the
calendar number of the Scheduled Termination Date, having regard to any
Business Day Convention applicable to the CDS Transaction - see Section
3.3), falling one Fixed Payment Frequency period after the previous Fixed
Rate Payer Period End Date, starting on the First Regular Fixed Rate Payer
Payment Date and ending in accordance with Section 1.8;
(ii) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting the month of the First Regular Fixed Rate Payer Payment
Date and ending in accordance with Section 1.8.
The Stub Period will be short when the system determines that a Stub Period is
applicable (indicated by the Fixed Payment Stub Indicator on the Main Template
page (Section 3.1) displaying a value of Ticked) and the value in the Stub Type
field (see Fixed Payments Template page (Section 3.3)) is Short. In this case:
Add multiples of the Fixed Payment Frequency period to the Effective Date until
adding one more Fixed Payment Frequency period would result in a date later
than the End Date and this will identify the start date of the Stub Period (the Last
Regular Fixed Rate Payer Payment Date). The start date of the Stub Period is
displayed in the Last Regular Payment Date field on the Fixed Payments
Template page (Section 3.3).
If the Stub Period is at the End of a CDS Transaction and the Stub Period is
Short, the Fixed Rate Payer Period End Dates shall be:
(i) the dates (bearing the same calendar number (the Roll Day) as the
Effective Date without, for the purpose of determining the calendar number
of the Effective Date, having regard to any Business Day Convention
applicable to the CDS Transaction - see Section 3.3), falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting on the date falling one Fixed Payment Frequency
period after the Effective Date and ending on the Last Regular Fixed Rate
Payer Payment Date;
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(ii) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer
Period End Date, starting the month of the date falling one Fixed Payment
Frequency period after the Effective Date and ending on the Last Regular
Fixed Rate Payer Payment Date;
(iii) and (whether or not Month End Rolls is selected), the Scheduled
Termination Date;
unless an Event Determination Date occurs in which case the last Fixed Rate
Payer Period End Date shall be such Event Determination Date.
The Stub Period will be long when the system determines that a Stub Period is
applicable (indicated by the Fixed Payment Stub Indicator on the Main Template
page (Section 3.1) displaying a value of Ticked) and the value in the Stub Type
field (see Fixed Payments Template page (Section 3.3)) is Long. In this case:
Add multiples of the Fixed Payment Frequency to the Effective Date until adding
one more Fixed Payment Frequency period would result in a date later than the
End Date and then subtract one Fixed Payment Frequency period to ascertain
the start date of the Stub Period (the Last Regular Fixed Rate Payer Payment
Date). The start date of the Stub Period is displayed in the Last Regular
Payment Date field on the Fixed Payments Template page (Section 3.3).
If the Stub Period is at the End of a CDS Transaction and the Stub Period is
Long, the Fixed Rate Payer Period End Dates shall be:
(iv) the dates (bearing the same calendar number (the Roll Day) as the
Effective Date without, for the purpose of determining the calendar number
of the Effective Date, having regard to any Business Day Convention
applicable to the CDS Transaction - see Section 3.3), falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting on the date falling one Fixed Payment Frequency
period after the Effective Date and ending on the Last Regular Fixed Rate
Payer Payment Date;
(v) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer
Period End Date, starting the month of the date falling one Fixed Payment
Frequency period after the Effective Date and ending on the Last Regular
Fixed Rate Payer Payment Date;
(vi) and (whether or not Month End Rolls is selected), the Scheduled
Termination Date;
unless an Event Determination Date occurs in which case the last Fixed Rate
Payer Period End Date shall be such Event Determination Date.
If, as a result of the application of provisions set out in this Annex, the Fixed Rate
Payer Period End Date which is calculated does not exist (i.e. the Roll Day is
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expressed to have a greater numerical value than that of the last day of the
relevant calendar month), that Fixed Rate Payer Period End Date shall be
deemed to be the last calendar day of the month in question.
All Fixed Rate Payer Payment Dates shall be adjusted in accordance with the
Business Centres and Business Day Conventions applicable to the CDS
Transaction (see Section 3.2).
1.10 Cancellations
Parties can agree to cancel a Transaction entered into MarkitWire as set out in the
Cancellation Fee Template page.
For the purposes of MarkitWire the date on which the parties agree to end their
obligations under the Transaction is the Cancellation Effective Date and is specified
in the Cancellation Effective field on the Cancellation Template page. Any
Cancellation Fee due in respect of such cancellation will be paid on the Date as
stated on the Cancellation Fee Template page. If the parties select Manual
Confirmation as applying to the cancellation of a Transaction, the parties agree that
a manual Confirmation needs to be created and executed in respect of the
cancellation.
Unless the parties agree otherwise, for example in the case of a novation, the
cancelled Transaction shall be terminated and cancelled with effect from and
including the Cancellation Effective Date and all rights, duties, claims and obligations
of the parties there under shall be released and discharged with effect from and
including the Cancellation Effective Date without prejudice to any rights, duties,
claims and obligations which arose prior to and on the Cancellation Effective Date.
The parties shall still be liable to make any payments that are due and payable under
the Transaction on the relevant Cancellation Effective Date. In addition, the date
and method of payments due, where applicable, between the Cancellation Effective
Date and the Date that the Cancellation Fee is due to be paid on shall be subject to
negotiation between the parties. The parties shall also be liable for any Cancellation
Fee that is due and payable on such Date.
1.11 Amendments
Parties can agree to amend a Transaction entered into MarkitWire. The date on
which they agree to amend their rights and obligations on the Transaction is the
Amendment Effective Date which is specified in the Amendment Effective field on
the Additional Template page. Any additional payments due in respect of such
amendment shall be made on the Date relevant to that additional payment stated on
the Additional Payment Template page.
The amended Transaction shall be amended with effect from and including the
Amendment Effective Date and all rights, duties, claims and obligations of the parties
thereunder shall be amended with effect from and including the Amendment
Effective Date without prejudice to any rights, duties, claims and obligations, which
arose prior to and on the Amendment Effective Date.
The parties will still be liable to make any payments that are due and payable under
the Transaction up to and including the relevant Amendment Effective Date pursuant
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to the terms of the Transaction prior to the amendment. The parties shall also be
liable to make any payments under the Transaction that are due and payable after
the relevant Amendment Effective Date pursuant to the terms of the amended
Transaction and liable for any additional payment that is due and payable as a result
of the amendment.
1.12 Exits
Parties can agree to indicate in the MarkitWire system their intention to terminate or
modify the terms of a Transaction outside of the MarkitWire system. This intention is
identified through the use of the Contract State (See Section 3.1 Main Contract
State) of Exit. The indication of any such mutual intent will be recorded on the
MarkitWire system but by itself such indication will have no effect on the legal status
of the Trade Affirmation.
Each party is able to insert their own wording to reflect the legal entity that is bound
to the Transaction and the legal entity that is acting as introducing broker. Where an
introducing broker relationship has been defined within the system, that party to the
Transaction is represented in accordance with the wording entered by the relevant
party. For example:
In this case, Legal Entity A is the legal entity that is bound to the Transaction and
Legal Entity B is the legal entity that is acting as introducing broker. In this regard
Legal Entity A has authorized Legal Entity B, inter alia, to negotiate and enter into
Transactions on its behalf, and additionally to issue and receive, on its behalf,
affirmations in respect of such Transactions.
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2 Transactions Covered
In MarkitWire Users and End Users are able to record vanilla single name credit
default swap Transactions (CDS Transactions).
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3 MarkitWire Screen Template Definitions and
Provisions
This Section defines in detail the terms contained within the relevant Templates.
Where the Product Type selected is CDS, the User or End User is required to
instigate a search of approved data sources (permissioned by User) to populate the
Ref Entity Name, Jurisdiction and Region fields on the Compose New Deal screen.
Searches can be effected on a number of fields, however ALL returned options are
drawn from data sources approved for that authorised employee. Having selected a
Reference Entity (RE) (without a Reference Obligation (RO)) or Reference
Entity/Reference Obligation (RE/RO) pair, the Currency and Docs (Docs Type)
fields on the Compose New Deal screen are defaulted based on this selection.
Specifically, the Currency and Docs fields are populated based on the Reference
Entity Type and the Reference Entity Regions. The Defs field will default to 2014
ISDA Credit.
The Tenor field is defaulted to the value 5Y. This value can be changed by the
authorised employee making a selection from a drop down list of choices.
Note that the values for Currency, Docs and Defs on the Compose New Deal screen
can be overwritten by the authorised employee. Typically:
The Defs field will default to 2014 ISDA Credit however the authorised employee
can select 2003 ISDA Credit or 2006 ISDA if required;
The Docs field will default to a value determined from the combined values of the
Reference Entity Type and Region associated with the Reference Entity within
the approved data source from which the Reference Entity was derived. The
authorised employee is able to select an alternative value should this be
appropriate to the CDS Transaction; and
The Currency field will default to a value determined by the Reference Entity
Type and the Region associated with the Reference Entity within the approved
data source from which the Reference Entity was derived. The authorised
employee is able to select an alternative value should this be appropriate to the
CDS Transaction.
The values for Currency, Docs and Defs on the Compose New Deal screen drive the
population of the default values for the Screen Terms on each Template page as set
out in Schedule 2 to this Annex.
Where the authorised employee elects to change the value of any of the Currency,
Docs and Defs fields on the Compose New Deal screen, MarkitWire will not prevent
such action nor in any way validate whether such action is appropriate. It is the
responsibility of the User or End User to ensure that the values contained within
each field on each Template page are consistent with the authorised employees
intention with respect to the relevant CDS Transaction.
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3.1 Main
Field Options
Screen Term Meaning
/Selections
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Field Options
Screen Term Meaning
/Selections
Amended.
Amended-Clearing Post affirmation the
Transaction is in the process of being Amended or
has been Amended and sent to Clearing or has
been Cleared.
Cancelled Post affirmation the CDS Transaction
is in the process of being Cancelled or has been
Cancelled.
Novated Post affirmation the CDS Transaction is
in the process of being novated or has been
novated. The CDS Transaction is the Old
Transaction in a novation.
Allocated Post affirmation the CDS Transaction is
in the process of being allocated, or has been
allocated. The CDS Transaction is the block trade.
Exit Post affirmation the CDS Transaction is in
the process of being Exited, or has Exited from
MarkitWire.
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Field Options
Screen Term Meaning
/Selections
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Field Options
Screen Term Meaning
/Selections
administration configuration.
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Field Options
Screen Term Meaning
/Selections
The value in this field will always be opposite to
that contained in the field Counterparty Entity
Buy/Sell Direction elsewhere on this Template
page.
Calculation Mandatory
Agent City This field specifies the calculation agent city of a
CDS Transaction.
GBLO if the Transaction Type displayed is
Standard Sukuk Corporate, Standard Sukuk
Sovereign, ISDA 2004 Standard Credit Sovereign
Western European, Standard Singapore
Corporate, Standard Singapore Financial,
Standard Singapore Sovereign, Standard Asia
Corporate, Standard Asia Financial, Standard Asia
Sovereign, Standard New Zealand Corporate,
Standard New Zealand Financial, Standard New
Zealand Sovereign, Standard Australia Corporate,
Standard Australia Financial, Standard Australia
Sovereign, Standard Emerging European and
Middle Eastern Sovereign, Standard Emerging
European Corporate LPN, Standard European
Corporate, Standard European Financial, Standard
Western European Sovereign, Standard
Subordinated European Insurance Corporate,
Standard Emerging European Corporate, ISDA
2004 Standard Credit Sovereign Asia, ISDA 2003
Standard Credit Singapore, ISDA 2003 Standard
Credit Australia New Zealand, ISDA 2004 Standard
Credit Sovereign Emerging European And Middle
Eastern
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Field Options
Screen Term Meaning
/Selections
number of options
from the drop down
list that can be
selected
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3.2 General Terms
The layout of this Template page differs slightly depending on whether the
Contractual Definitions selected are 2003 ISDA Credit, 2014 ISDA Credit or 2006
ISDA.
Field Options
Screen Term Meaning
/Selections
The default value for Calculation Agent City is (Only one option
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Field Options
Screen Term Meaning
/Selections
determined by the Docs Type and Contractual can be selected.)
Definitions relevant to the CDS Transaction, as
detailed in Schedule 2 of this Annex.
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3.3 Fixed Payments
The layout of this Template page differs slightly depending on whether the Rolls
Type selected is Standard or Custom.
Field Options /
Screen Term Meaning
Selections
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Field Options /
Screen Term Meaning
Selections
becomes broken if the End Date is not a whole
number of Fixed Payment Frequency periods from
the Start Date. If entered manually, any date
should be selectable regardless of whether it is a
Business Day or not, i.e. weekends and holidays
are valid values.
Note that, for both Standard Rolls and Custom
Rolls, the Start Date and End Date fields are linked,
i.e. changing the Start Date results in a
recalculation of the End Date providing that the
Tenor (Main Page, (Section 3.1)) does not display a
value of broken).
Changing the Tenor results in the End Date being
recalculated and displayed.
The End Date must fall after the Start Date.
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Field Options /
Screen Term Meaning
Selections
specified in Section 4.6), this field becomes
mandatory.
This field indicates, where a Stub Period exists,
whether the Stub Type is Long or Short.
Where a Stub Type of Short has been selected,
this means that the irregular Stub Period will be
shorter in duration than the Fixed Payment
Frequency period.
Where a Stub Type of Long has been selected,
this means that the irregular Stub Period will be
longer in duration than the Fixed Payment
Frequency period.
The determination of the exact start and end dates
of the Stub Period is set out in Section 4.6 of this
Annex.
Where Standard Rolls are selected:
The default Stub Type value is calculated by
reference to the Start Date of the CDS Transaction.
Where the Start date of the CDS Transaction is
more than one calendar month prior to the next
following 20th March/June/September/December
then the Stub Type will default to Short, otherwise
it will default to Long. In addition, where Standard
Rolls are selected, the Stub Type field is read-only.
Where Custom Rolls are selected a value of either
Long or Short may be selected by the User.
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Field Options /
Screen Term Meaning
Selections
where Month End Rolls have been selected adjusts
the End Date to reflect the correct End Date. The
MarkitWire system automatically adjusts this End
Date on selection and de-selection of the Month
End Rolls flag. The User or End User is able
manually to override this adjustment by entering the
appropriate End Date as required.
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Field Options /
Screen Term Meaning
Selections
respect to the Credit Event to which such Event
Determination Date relates, shall be the final Fixed
Rate Payer Payment Date.
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Field Options /
Screen Term Meaning
Selections
End User will pay the Upfront Fee and the value
displayed in this field will be Pay.
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3.4 Conditions to Settlement
The layout of this Template page differs slightly depending on whether the
Contractual Definitions selected are 2003 ISDA Credit or 1999 ISDA Credit.
Field Options
Screen Term Meaning
/Selections
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Field Options
Screen Term Meaning
/Selections
Settlement in such circumstances.
Note also that in this version of MarkitWire, only
CDS Transactions to which Physical Settlement is
applicable are supported.
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3.5 Credit Events
The layout of this Template page differs slightly depending on whether the
Contractual Definitions selected are 2003 ISDA Credit or 1999 ISDA Credit.
Field Options /
Screen Term Meaning
Selections
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Field Options /
Screen Term Meaning
Selections
can be selected.)
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Field Options /
Screen Term Meaning
Selections
Modified Restructuring Maturity Limitation and
Conditionally Transferable Obligation SHALL
NOT apply to the CDS Transaction.
A selection of Full Restructuring in this field
indicates that Restructuring is applicable to the
CDS Transaction. In addition:
Restructuring Maturity Limitation and Fully
Transferable Obligation SHALL NOT apply to
the CDS Transaction; and
Modified Restructuring Maturity Limitation and
Conditionally Transferable Obligation SHALL
NOT apply to the CDS Transaction.
A selection of Modified Restructuring in this
field indicates that Restructuring is applicable to
the CDS Transaction. In addition:
Restructuring Maturity Limitation and Fully
Transferable Obligation SHALL apply to the
CDS Transaction; and
Modified Restructuring Maturity Limitation and
Conditionally Transferable Obligation SHALL
NOT apply to the CDS Transaction.
A selection of Modified Modified Restructuring
in this field indicates that Restructuring is
applicable to the CDS Transaction. In addition:,
Restructuring Maturity Limitation and Fully
Transferable Obligation SHALL NOT apply to
the CDS Transaction; and
Modified Restructuring Maturity Limitation and
Conditionally Transferable Obligation SHALL
apply to the CDS Transaction.
2) Where 1999 ISDA Credit has been selected as
the applicable value for the Contractual Definitions,
the available choices are:
A selection of Not Applicable in this field
indicates that Restructuring is not applicable to
the CDS Transaction.
A selection of Full Restructuring in this field
indicates that Restructuring is applicable to the
CDS Transaction. In addition:
Note that where the Contractual Supplements
checkbox applicable to the Restructuring (May
2001) Contractual Supplement (see Section
4.3) has been Ticked, Restructuring Maturity
Limitation SHALL NOT apply to the CDS
Transaction.
A selection of Modified Restructuring in this
field indicates that Restructuring is applicable to
the CDS Transaction. In addition:
35
Annex 4
Field Options /
Screen Term Meaning
Selections
Note that this selection is only available where
the Contractual Supplements checkbox
applicable to the Restructuring (May 2001)
Contractual Supplement (see Section 4.3) has
been Ticked. In such circumstances,
Restructuring Maturity Limitation SHALL apply
to the CDS Transaction.
36
Annex 4
Field Options /
Screen Term Meaning
Selections
Where this field is Ticked, this should be interpreted
as nothing being specified otherwise in the
Confirmation. Where this field is Un-Ticked, the
contrary is true.
Note that this field only appears on the screen if the
Contractual Definitions field contains the value
2003 ISDA Credit. Where the value in the
Contractual Definitions field is other than 2003
ISDA Credit, this field is not visible.
Note that where the Contractual Definitions field
contains the value 1999 ISDA Credit AND the
Restructuring (May 2001) Contractual
Supplement checkbox has been Ticked, the
provisions of Section 3.10 of the 1999 ISDA Credit
Derivatives Definitions (Credit Event Notice After
Restructuring) as supplemented by the
Restructuring (May 2001) Contractual Supplement
shall be applicable.
37
Annex 4
3.5 Obligation
The layout of this Template page differs slightly depending on whether the
Contractual Definitions selected are 2003 ISDA Credit or 1999 ISDA Credit.
Field Options
Screen Term Meaning
/Selections
Obligation Characteristics
38
Annex 4
Field Options
Screen Term Meaning
/Selections
Indicator Characteristics) Other Specified Currencies be selected.)
selection is to be made applicable to the Specified
Currency Obligation Characteristic of the CDS
Transaction.
39
Annex 4
Field Options
Screen Term Meaning
/Selections
Currency Currency is an Obligation Characteristic applicable (Only one option can
Indicator to the CDS Transaction. be selected.)
40
Annex 4
3.6 Settlement Terms
Field Options /
Screen Term Meaning
Selections
41
Annex 4
Field Options /
Screen Term Meaning
Selections
Definitions apply but modified such that in no
event will the Physical Settlement Period
exceed the number of days specified in the
Physical Settlement Period Days field on this
Template page.
Fixed, meaning that that the provisions of
Section 8.5 of the 1999 ISDA Credit Derivatives
Definitions apply with a number of Business
Days being specified in the Physical Settlement
Period Days field on this Template page.
Note that where a number of days is specified, this
number reflects the number of Business Days
applicable. In assessing whether a particular day
is a Business Day, the Business Centres specified
on the General Terms page (Section 3.2) should
be taken into account.
42
Annex 4
Field Options /
Screen Term Meaning
Selections
to the CDS Transaction. (Only one option can
be selected.)
43
Annex 4
Field Options /
Screen Term Meaning
Selections
Cash Settlement) Assignable Loans Indicator is
also Ticked, Partial Cash Settlement of Loans
is applicable to the CDS Transaction.
Where this field is Un-Ticked AND the (Partial
Cash Settlement) Assignable Loans Indicator is
also Un-Ticked, Partial Cash Settlement of
Loans is NOT applicable to the CDS
Transaction.
44
Annex 4
3.7 Deliverable Obligation
The layout of this Template page differs slightly depending on whether the
Contractual Definitions selected are 2003 ISDA Credit or 1999 ISDA Credit.
Field Options
Screen Term Meaning
/Selections
45
Annex 4
Field Options
Screen Term Meaning
/Selections
46
Annex 4
Field Options
Screen Term Meaning
/Selections
47
Annex 4
Field Options
Screen Term Meaning
/Selections
Consent Loan is a Deliverable Obligation Characteristic (Only one option
Required Loan applicable to the CDS Transaction. can be selected.)
Indicator
48
Annex 4
3.8 RE/RO Comparison
Note that this Template page is designed to allow Users and End Users to identify,
resolve and, if necessary, agree to mismatches between the Reference Entity and
Reference Obligation static data held locally and the Reference Entity and Reference
Obligation data that will apply to the Transaction.
Field Options
Screen Term Meaning
/Selections
Proposed
Note that the data shown within this Section of the RE/RO Comparison Template page
reflects the data that will apply to the bilateral Affirmation of the CDS Transaction.
49
Annex 4
Field Options
Screen Term Meaning
/Selections
50
Annex 4
Field Options
Screen Term Meaning
/Selections
of the Reference Obligation. in relation to the
Note that this field only appears on the screen if Reference
the Reference Entity Role field contains the value Obligation sourced
Guarantor. Where the value in the Reference from the
Entity Role field is other than Guarantor, this field Appropriate Data
is not applicable. Source as defined
in the (Proposed)
Reference
Entity/Reference
Obligation Source.
Internal
Note that the data shown within this Section of the RE/RO Comparison Template page
reflects the local data held at the User (derived from an Approved Data Source). It is
provided for information purposes only and does not apply to the bilateral Affirmation of the
CDS Transaction.
51
Annex 4
Field Options
Screen Term Meaning
/Selections
Entity Name Details the full legal name of the internal data sources
record that equates (either exactly, closely or as
selected manually by the User) to the (Proposed)
Reference Entity for the Credit Derivative CDS
Transaction.
52
Annex 4
Field Options
Screen Term Meaning
/Selections
53
Annex 4
Field Options
Screen Term Meaning
/Selections
Entity/Referenc the (Internal) Reference Entity and (Internal) selected from
e Obligation Reference Obligation data is taken. approved data
Source sources.
Note that all Users and End Users are
permissioned to one or more Approved Data In the format
Sources. Authorised employees at each User can appropriate to the
only make use of Reference Entity and Reference Reference
Obligation data to which they are permissioned. Obligation Identifier
Type.
Note that this field is provided for information
purposes only and does not impact the bilateral
Affirmation agreed between the parties.
54
Annex 4
3.9 Processing
Field Options /
Screen Term Meaning
Selections
55
Annex 4
Field Options /
Screen Term Meaning
Selections
shall be a Broker-to-Dealer Single Sided Trade.
Exit Reason Conditional Mandatory (Mandatory when Contract Free format text.
State is Exit)
For a Transaction with a Contract State of Exit
(See Section 3.1 Main Contract State) this field
may record, for informational purposes only, the
reason for the Exit.
56
Annex 4
3.10 Clearing
With the exception of Bilateral Clearing House field, all other fields on this template
page are for informational purposes only.
Within the MarkitWire system, it is possible to flag a trade to be sent to clear through
a link with an approved Clearing House supported by MarkitWire and designated as
applicable by the parties (each, a Designated Clearing House). Unless the parties
have specified a Bilateral Clearing House, a Transaction will only be eligible to be
sent to the Designated Clearing House if all eligibility criteria is met and both parties
to the Transaction have indicated their mutual intent by selecting the same
Designated Clearing House and specifying "Yes" in Send For Clearing; provided
that, parties are free to agree outside of MarkitWire appropriate clearing treatment of
the Transaction regardless of any eligibility to clear or indicated desire to clear on
behalf of either party within the MarkitWire system.
Within the MarkitWire system, it will be possible to flag a trade as eligible for
Frontloading under the EMIR requirements.
The MarkitWire system will be updated to support the clearing deadlines and
frontloading deadlines which are yet to be finalized under EMIR. From the
Frontloading start date for Category 1 entities the MarkitWire system will calculate if
eligibility criteria are met and flag the trade accordingly. Until these deadlines are
finalized MarkitWire will not determine a value for the Frontloading field. The parties
will have the opportunity to override the MarkitWire system determination.
If a Transaction flagged as Frontloading and required to be cleared under EMIR is
not cleared by the clearing deadlines, the ISDA Frontloading Additional Termination
Event Amendment terms as agreed by the parties will be incorporated to the Master
Agreement if a bilateral agreement is signed by the parties to a Transaction.
Field Options /
Screen Term Meaning
Selections
Bilateral Conditional Mandatory (Mandatory if Client Drop down menu
Clearing House Clearing Deal is Ticked, Optional if Client Clearing
Deal is Un-Ticked)
This field specifies the Designated Clearing House
and must be affirmed by both parties. No
additional indication of mutual intent to clear or
satisfaction of eligibility criteria is necessary. When
populated, this field becomes part of the Trade
Affirmation.
Private Conditional Mandatory (Mandatory if Client Drop down menu
Clearing House Clearing Deal is Ticked, Optional if Client Clearing
Deal is Un-Ticked)
This field specifies the Designated Clearing House.
This field is not bilaterally affirmed and is for
informational purposes only.
Exclude from Mandatory Ticked or
Clearing
If Ticked, this field specifies the User or End User Un-Ticked
wishes the Transaction to be excluded from
clearing through a central clearing house or
57
Annex 4
Field Options /
Screen Term Meaning
Selections
clearing system. Notwithstanding this clause, it
should be noted that parties are free to agree
outside of MarkitWire appropriate clearing
treatment of the Swap Transaction.
If this field is Un-Ticked, the parties may
subsequently agree that the Swap Transaction be
given up for clearing provided it meets any
applicable clearing house or clearing system
eligibility rules and provisions.
Client Clearing Mandatory Ticked or
Deal
If Ticked, this field specifies the User or End User Un-Ticked
wishes the Transaction to be a client clearing deal
through a central clearing house or clearing
system. Notwithstanding this clause, it should be
noted that parties are free to agree outside of
MarkitWire appropriate clearing treatment of the
Swap Transaction.
Auto Send For Mandatory Ticked or
Clearing
If Ticked, this field specifies the User or End User Un-Ticked
wishes the Transaction to be automatically sent for
clearing through a central clearing house or
clearing system. Notwithstanding this clause, it
should be noted that parties are free to agree
outside of MarkitWire appropriate clearing
treatment of the Swap Transaction.
The Transaction will only be eligible for Clearing if
the Counterparty Entity has also Ticked Auto Send
to Clearing.
If this field is Ticked, the Send For Clearing field
will automatically be set to a value of Yes once
the Eligible for Clearing field is set to a value of
Yes.
Anonymous Optional Ticked or
Trade
If Ticked, this field specifies that the Broker marked Un-Ticked
a trade as an Anonymous trade via either the
Broker Load Services. MarkitWire, upon receiving
the information, will mask the counterparty details
from the User or End User. The masking of the
counterparty details will be performed on all
interfaces through which MarkitWire may reveal
such information.
JFSA Optional Ticked or
Mandatory
If Ticked, the User or End User indicates that the Un-Ticked
Clearing
Transaction must be cleared under the rules of the
JFSA.
Batch ID Calculated Alphanumeric input
This field specifies the alphanumeric indicator
58
Annex 4
Field Options /
Screen Term Meaning
Selections
which represents the internal backloading batch
identification. This field is only viewable to the
party who enters the information.
Send for Mandatory Not Determined,
Clearing This field specifies whether the User or End User Yes, No or
wishes MarkitWire to send the Transaction to the
Not Applicable
Designated Clearing House for clearing.
A value of Yes in this field indicates the User or
End User wishes to send an eligible Transaction
for clearing. It is not possible to set this field to a
value of Yes if MarkitWire has determined that
the trade is not eligible for clearing. Note, the
Transaction will only be eligible for Clearing if the
Counterparty Entity has also selected Yes in
Send for Clearing".
A value of No in this field indicates the User or
End User either does not wish to send an eligible
Transaction for clearing or wishes to indicate that
an ineligible Transaction will not be sent for
clearing.
A value of Not Determined in this field indicates
that the User or End User has either not yet set an
explicit value of Yes or No or that the trade is in
a state where the User or End User is not yet able
to make a selection.
A value of Not Applicable in this field indicates
that the Transaction is in a state where the Send
for Clearing field value is not relevant or applicable.
Last Updated Calculated Automatically
populated by the
This field is read only and specifies the time,
MarkitWire
expressed in Greenwich Mean Time, that the value
system when
in the Send for Clearing field was last changed.
applicable
Clearing Trade Calculated Automatically
ID populated by the
This field is read only and specifies the Designated
MarkitWire
Clearing House trade reference number assigned
system when
to a trade that is cleared by the Designated
applicable
Clearing House.
Eligibility/ Calculated Automatically
Eligible for
This field is read only and specifies whether the populated by the
Clearing
Transaction satisfies the MarkitWire maintained MarkitWire
clearing eligibility criteria and is eligible to be sent system with one
by MarkitWire to the Designated Clearing House of the following
for clearing. four values:
A value of Yes in this field indicates the
Transaction was eligible at the time its eligibility
Not Determined,
was last determined.
Yes, No or
A value of No in this field indicates the
Transaction was not eligible at the time its eligibility Not Applicable
59
Annex 4
Field Options /
Screen Term Meaning
Selections
was last determined.
A value of Not Determined in this field indicates
that the Transaction is in a state where its eligibility
has not yet been determined by MarkitWire.
A value of Not Applicable in this field indicates
that the Transaction is in a state where eligibility is
not relevant or applicable; for example, it may
already have been sent for clearing or may be in a
Cancelled state
Note: While the MarkitWire eligibility criteria are
based on the Designated Clearing House eligibility
criteria, any such Designated Clearing House may
reject a trade submitted to them via MarkitWire
which has previously been deemed to meet the
MarkitWire criteria. Such a situation would be a
matter for the User or End User to resolve direct
with the Designated Clearing House.
Similarly, a Transaction that does not meet the
MarkitWire eligibility criteria (which includes a
requirement that both parties have signed up to
appropriate MarkitWire documentation) may be
deemed eligible for clearing by the Designated
Clearing House.
A trade that is rejected by the Designated Clearing
House is clearly identified as such in MarkitWire.
Eligibility/ Last Calculated Automatically
Checked This field is read-only and specifies the time, populated by the
expressed in Greenwich Mean Time, that the MarkitWire system
Transactions eligibility for clearing was last when applicable
determined by MarkitWire.
60
Annex 4
Field Options /
Screen Term Meaning
Selections
that the Transaction is in a state where its eligibility
has not yet been determined by MarkitWire.
A value of Not Applicable in this field indicates
that the Transaction is in a state where eligibility is
not relevant or applicable; for example, it may
already have been sent for clearing or may be in a
Cancelled state.
Eligibility/ Calculated Automatically
Internal Rules populated by the
This field is read only and specifies whether
Eligible MarkitWire
the Transaction satisfies any applicable internal
system with one
clearing eligibility rules.
of the following
A value of Yes in this field indicates that the four values:
internal rules for the counterparty were satisfied at
Not Determined,
the time the eligibility was last determined.
Yes, No or
A value of No in this field indicates that the
internal rules for the counterparty were not satisfied Not Applicable
at the time the eligibility was last determined.
A value of Not Determined in this field indicates
that the Transaction is in a state where its eligibility
has not yet been determined by MarkitWire.
A value of Not Applicable in this field indicates
that the Transaction is in a state where eligibility is
not relevant or applicable; for example, it may
already have been sent for clearing or may be in a
Cancelled state.
Eligibility/ Calculated Automatically
Clearing House populated by the
This field is read only and specifies whether the
Eligible MarkitWire
Transaction satisfies the eligibility rules that have
system with one
been defined by the clearing house, for example,
of the following
the type of Transaction is one that is clearable by
four values:
the clearing house.
Not Determined,
A value of Yes in this field indicates
the Transaction was eligible based on the clearing Yes, No or
house rules at the time the eligibility was last
Not Applicable
determined.
A value of No in this field indicates
the Transaction was not eligible based on the
clearing house rules at the time the eligibility was
last determined.
A value of Not Determined in this field indicates
that the Transaction is in a state where its eligibility
has not yet been determined by MarkitWire.
A value of Not Applicable in this field indicates
that the Transaction is in a state where eligibility is
not relevant or applicable; for example, it may
already have been sent for clearing or may be in a
Cancelled state.
61
Annex 4
Field Options /
Screen Term Meaning
Selections
Eligibility/ Calculated Automatically
MarkitWire This field is read only and specifies whether populated by the
Eligible the Transaction satisfies the MarkitWire eligibility MarkitWire
rules, for example, the Transaction is in an system with one
appropriate processing state. of the following
four values:
A value of Yes in this field indicates
the Transaction was eligible based on the Not Determined,
MarkitWire eligibility rules at the time the eligibility Yes, No or
was last determined. Not Applicable
A value of No in this field indicates the
Transaction was not eligible based on the
MarkitWire eligibility rules at the time the eligibility
was last determined.
A value of Not Determined in this field indicates
that the Transaction is in a state where its eligibility
has not yet been determined by MarkitWire.
A value of Not Applicable in this field indicates
that the Transaction is in a state where eligibility is
not relevant or applicable; for example, it may
already have been sent for clearing or may be in a
Cancelled state.
Netting String Optional Alphanumeric
This field specifies the alphanumeric identifier that input
allows the Designated Clearing House to net
trades sent to clearing together into groups.
The Netting String allows the User or End User to
provide their own common identifier to group
trades into a custom net.
Check Optional
Decleared
This button will verify if the trade has been
decleared. Only certain clearing houses
permit a declear action.
Token Issuer Read Only
This field specifies the issuer that provided the
Token ID.
Token ID Read Only
This field specifies the credit token provided by the
Token Issuer.
Clearing Status Optional Text
62
Annex 4
Field Options /
Screen Term Meaning
Selections
This field provides the trade identifier from the MarkitWire
Designated Clearing House. For most clearing system
houses, this field is populated after the trade is
successfully cleared/ registered.
Cleared Data/ Calculated Automatically
Cleared Trade This field specifies the unique swap identifier for populated by the
USI the Transaction. MarkitWire
system
63
Annex 4
Field Options /
Screen Term Meaning
Selections
Cleared Data/ Calculated Do Not Report or
Regulatory This field specifies whether the Transaction will be Yes if ESMA
Reports/ ESMA ESMA reported if applicable. This field is
CCP Leg populated based on information provided at the
Legal Entity level or the particular User.
Cleared Data/ Calculated Do Not Report or
Regulatory This field specifies whether the Transaction will be Yes if HKMA
Reports/ HKMA HKMA reported if applicable. This field is
CCP Leg populated based on information provided at the
Legal Entity level or the particular User.
Cleared Data/ Calculated Do Not Report or
Regulatory This field specifies whether the Transaction will be Yes if ASIC
Reports/ ASIC ASIC reported if applicable. This field is populated
CCP Leg based on information provided at the Legal Entity
level or the particular User.
Cleared Data/ Calculated Do Not Report or
Regulatory This field specifies whether the Transaction will be Yes if MAS
Reports/ MAS MAS reported if applicable. This field is populated
CCP Leg based on information provided at the Legal Entity
level or the particular User.
Cleared Data/ Optional Ticked or
Inter Affiliate
If Ticked, this field specifies there is a clearing Un-Ticked
Clearing
Exemption exemption based on CFTC 17 CFR Part 50
Indicator RIN 3038-AD47 Clearing Exemption for Swaps
between Certain Affiliated Entities.
Cleared Data/ Calculated Automatically
Mandatorily
This field specifies that the MarkitWire system populated by the
Clearable MarkitWire
has determined the transaction to be system with:
mandatorily clearable under the jurisdiction of
the selected regulatory entity. This field is ESMA,
editable and the User or End User can specify CFTC or
any applicable regulatory entity at the time of JFSA
the transaction. The accuracy of the contents
This field is not
of this field must be verified by the party
read only and the
responsible for reporting to the selected User or End User
regulatory entity. can overwrite the
populated value.
Cleared Data/ Calculated Automatically
My Exemption
This field specifies that the MarkitWire system populated by the
MarkitWire
has determined applicable Clearing system with:
Exemption(s) for My Entity based on data
provided by the User or End User and the ESMA,
corresponding administrative settings. This CFTC or
field is editable and the User or End User can JFSA
specify any applicable My Exemption at the
This field is not
time of the transaction.
read only and the
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Annex 4
Field Options /
Screen Term Meaning
Selections
User or End User
can overwrite the
populated value.
Cleared Data/ Calculated Automatically
CParty populated by the
Exemption
This field specifies that the MarkitWire system MarkitWire
has determined applicable Clearing system with:
Exemption(s) for the Counterparty Entity based
on data provided by the User or End User and ESMA,
the corresponding administrative settings. This CFTC or
field is editable and the User or End User can JFSA
specify any applicable CParty Exemption at
This field is not
the time of the transaction. read only and the
User or End User
can overwrite the
populated value.
ESMA Calculated Automatically
Frontloading populated by the
This field specifies that the applicable ESMA MarkitWire
Frontloading category for the transaction system with:
based on data provided by the User or End
User and corresponding administrative Category 1,
settings. This field is editable and the User
can specify any applicable category at the time Category 2,
of the transaction.
False,
Not applicable, or
This field currently is not a legally confirmable Blank
field. The MarkitWire system will not
determine a value until the ESMA Frontloading This field is not
category 1 start date. read only and the
User can
overwrite the
populated value.
ESMA Clearing Calculated Automatically
Exemption provided by the
MarkitWire
If Ticked, this field specifies there is a clearing system with
exemption based on the Pension Scheme Ticked or Un-
Exemption. This field is editable and the User Ticked.
or End User can specify if the ESMA Clearing
Exemption applies. This will be used to
calculate the value for ESMA Frontloading and This field is not
ESMA Mandatory Clearing. read only and the
User can
overwrite the
The Pension Scheme Exemption is defined as populated value.
the pension scheme exemption in Article 89 of
EMIR.
65
Annex 4
3.11 Regulatory Reporting
The information on this template page is for reporting purposes only and is not
incorporated into the Trade Affirmation. All Definitions described in Section 1 of this
Annex are not incorporated for purposes of this template page.
Field Options /
Screen Term Meaning
Selections
Within Mandatory Ticked or
Jurisdiction If Ticked, this field specifies that the transaction is Un-Ticked
Indicator within the jurisdiction of the ESMA, ASIC, MAS,
JFSA, Canada or Dodd-Frank reporting rules, as
applicable.
66
Annex 4
Field Options /
Screen Term Meaning
Selections
Reporting Optional Yes,
Preference/ This field specifies whether the User or End User Yes if DF,
Confirmation wants MarkitWire to send confirmation reports. This Yes if Canada
field will automatically populate based on User or
End User administrative settings. Yes if ESMA,
Yes if JFSA,
Yes if ASIC,
Yes if MAS
Yes if RCP or
Do Not Report
Reporting Optional Yes,
Preference/ This field specifies whether the User or End User Yes if DF,
Post Trade wants MarkitWire to send reports for post trade Yes if RCP or
Event events. This field will automatically populate based
on User or End User administrative settings. Do Not Report
Reporting Optional Yes if ESMA
Preference/ This field specifies whether the User or End User Yes if JFSA,
CCP LEG wants MarkitWire to send reports once a trade has Yes if ASIC,
been cleared by the Designated Clearing House.
Yes if MAS
or
Do Not Report
Mid-Market Optional Price,
Price/ Type This field specifies the quotation type for the Mid- Percentage,
Market Price Value Basis Points or
Level
Mid-Market Optional ISO country code
Price/ This field specifies the currency code for the Mid-
Currency Market Price Value.
Mid-Market Optional Decimal input up
Price/ Value This field specifies the mid-market price at the to 6 decimal
Execution Time as provided by the User. places
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Annex 4
Field Options /
Screen Term Meaning
Selections
Report Calculated Alphanumeric
Identifiers/ This field specifies the unique trade identifier for the input
UTI Transaction.
Report Calculated Alphanumeric
Identifiers/ This field specifies the previous unique trade input
Prior UTI identifier relating to a block transaction.
Report Calculated Alphanumeric
Identifiers/ This field specifies the block unique trade identifier input
Block UTI relating to a transaction.
Report Calculated (CFTC) 10 digit numeric
Identifiers/ This field specifies the unique swap identifier for the identifier
USI Transaction. (Namespace field)
Alphanumeric
input up to 32
characters (Value
field)
Report Calculated (CFTC) 10 digit numeric
Identifiers/ This field specifies the previous unique swap identifier
Block USI identifier relating to a block transaction. (Namespace field)
Alphanumeric
input up to 32
characters (Value
field)
Report Calculated (CFTC) 10 digit numeric
Identifiers/ This field specifies the block unique swap identifier identifier
Prior USI relating to a transaction. (Namespace field)
Alphanumeric
input up to 32
characters (Value
field)
Reportable Calculated (Canada) Alberta (AB),
Locations/ This field specifies the provinces or territories for British Columbia
We which the User or End User is required to report. (BC), Manitoba
This information is calculated from information (MB), New
provided by the User or End User and held in the Brunswick (NB),
static data of the MarkitWire system. Newfoundland and
Labrador (NL),
Nova Scotia (NS),
In the current release, only Ontario, Manitoba and Northwest
Quebec are supported values. Territories (NT),
Nunavut (NU),
Ontario (ON),
Prince Edward
Island (PEI),
Quebec (QC),
Saskatchewan
(SK), Yukon (YT)
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Annex 4
Field Options /
Screen Term Meaning
Selections
Reportable Calculated (Canada) Alberta (AB),
Locations/ This field specifies the provinces or territories for British Columbia
Cparty which the Counterparty to the trade is required to (BC), Manitoba
report. This information is calculated from (MB), New
information provided by the Counterparty and held in Brunswick (NB),
the static data of the MarkitWire system. Newfoundland and
Labrador (NL),
Nova Scotia (NS),
In the current release, only Ontario, Manitoba and Northwest
Quebec are supported values. Territories (NT),
Nunavut (NU),
Ontario (ON),
Prince Edward
Island (PEI),
Quebec (QC),
Saskatchewan
(SK), Yukon (YT)
Propagate USI Conditional Mandatory Ticked or
to UTI (best If Ticked, this field specifies the User or End User Un-Ticked
practice) instructs the MarkitWire system to automatically
Indicator populate all UTI fields with the information found in
the USI fields. This field defaults to Ticked, and will
be read-only if the Transaction is reportable under
CFTC and one of JFSA, ASIC and/or MAS.
Beneficiary ID Optional Dropdown menu
Prefix This field specifies the prefix for the value provided in
the Beneficiary ID Party 1 Value field
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Annex 4
Field Options /
Screen Term Meaning
Selections
Indicator financing activity, as referred to in Art. 10(3) of
Regulation (EU) No 648/2012.
GTR Report Optional Alphanumeric
Event ID This field specifies the identifying code when the input up to 30
transaction is a life cycle event. characters
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Annex 4
Field Options /
Screen Term Meaning
Selections
embedded option. Extendible
Provision,
Optional Early
Termination or
Blank
Off Platform Optional Electronic,
Verified This field specifies if the transaction was Non-Electronic or
electronically verified on the MarkitWire system or Blank
verified by non-electronic means off of the
MarkitWire system.
Execution Optiopnal Date and time
Time This field specifies the time and date of execution of
the reportable swap transaction in Coordinated
Universal Time (UTC).
Off Platform Optional Electronic,
Confirmed This field specifies if the transaction was Non-Electronic or
electronically confirmed on the MarkitWire system or Blank
confirmed by non-electronic means off of the
MarkitWire system.
Confirmation Optional Date and Time
Time This field specifies the business date and time of the
confirmation.
Collateral Optional Numeric input
Portfolio This field specifies the unique code determined by
Code the reporting counterparty if collateral is reported on
a portfolio basis.
Lifecycle Optional Automatically
Event populated by the
MarkitWire system
This field specifies the lifecycle event that results in with one of the
the submission of a report based on an intra-day following:
event.
New,
Termination,
Foreign Exchange,
Equity or
Commodity
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Field Options /
Screen Term Meaning
Selections
QMTF
Primary Asset Calculated Automatically
Class This field specifies the primary MarkitWire asset populated by the
class of the transaction. MarkitWire system
with one of the
following:
Credit,
Interest Rate,
Foreign Exchange,
Equity or
Commodity
Secondary Optional Drop down menu
Asset Class This field specifies the secondary MarkitWire asset
class(es) for a multi-asset class transaction.
Price Optional Price,
(Quotation This field specifies the quotation style of the price for Basis Point or
Style) the transaction. Percentage
Price Optional Numeric input
(Value) This field specifies the price value for the transaction.
Additional Optional Price,
Price This field specifies the quotation style of any Basis Point or
(Quotation additional price for the transaction. Percentage
Style)
Additional Optional Numeric input
Price This field specifies the price value for any additional
(Value) price for the transaction.
Non-Std Optional Ticked or
Indicator If Ticked, this field specifies there are other price Un-Ticked
affecting terms for a non standard transaction.
Clearing Optional Ticked or
Mandatory If Ticked, this field specifies the transaction is Un-Ticked
Indicator mandated to be cleared by the applicable reporting
agency.
Clearing Optional Ticked or
Exception If Ticked, this field specifies a clearing exception has Un-Ticked
Indicator been invoked.
Intent to Clear Optional Ticked or
If Ticked, this field specifies the User or End User Un-Ticked
intends to clear the transaction at the Designated
Clearing House.
Price Forming Optional Ticked or
Indicator If Ticked, this field specifies the life cycle event is Un-Ticked
price forming and therefore MarkitSERV should send
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Field Options /
Screen Term Meaning
Selections
a real time report.
Block Trade Optional Ticked or
Indicator If Ticked, this field specifies the Transaction is a Un-Ticked
block trade.
Regulatory Optional Ticked or
Reportable If Ticked, this field is a regulatory reporting override Un-Ticked
Indicator and if Ticked, then no PET, CONF or STATE
messages will be sent to the SDR. Voluntary reports
may still be sent to the GTR and this checkbox does
not affect real time reporting.
Repository/ Optional DTCC SDR,
Routing: This field specifies the SDR or Trade Repository to CME SDR,
Destination which the RCP is reporting the Transaction.
SDR/ TR Unspecified or
Blank
Repository/ Optional DTCC GTR,
Routing: This field specifies the Intermediary used by the None or
Intermediary/ RCP for reporting the Transaction to the Destination Blank
Via SDR/ TR.
Price Optional Price,
(Quotation This field specifies the quotation style of the price for Basis Point or
Style) the transaction. Percentage
Price Optional Numeric input
(Value) This field specifies the price value for the transaction.
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3.12 Novations
Field Options /
Screen Term Meaning
Selections
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Remaining Mandatory Legal entity name.
Party This field specifies the name of the User or End User (Automatically
for whom the authorised employee is acting (and populated by
where applicable, the office through which that User MarkitWire using
or End User is acting) which consents to the information
Outgoing Partys transfer by novation and the provided in the
acceptance thereof by the Incoming Party all of the original trade.)
Outgoing Partys rights, liabilities, duties and
obligations with respect to such User under and in
respect of the Novated Amount of the Transaction.
The field is automatically populated.
In a three-way novation this party is the Remaining
Party per the 2004 ISDA Novation Definitions.
In a four-way novation this party is Transferor 2 per
the 2004 ISDA Novation Definitions and acts in the
role of a Transferor. Transferor 2 transfers by
novation to Transferee 2 (the New Remaining Party)
its rights, liabilities, duties and obligations with
respect to Transferor 1.
Where the User or the End User through which the
authorised employee is acting has several Branches,
the User or the End User, as the case may be, is
required to ensure that both the full legal name of the
legal entity and the Branch are displayed. This will
be effected through the appropriate administration
configuration.
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New Conditional Mandatory (Subject to selection of 4- Legal entity name.
Remaining Way Novation)
Party In a four-way novation this field specifies the name
of the User or End User for whom the authorised
employee is acting (and where applicable, the office
through which that User or End User is acting) which
accepts by way of a novation all of the rights,
liabilities, duties and obligations of the Remaining
Party with respect to the Incoming Party under and
with respect to the Novated Amount of the
Transaction.
This party is Transferee 2 per the 2004 ISDA
Novation Definitions and accepts by way of novation
the rights, liabilities, duties and obligations of
Transferor 2 (the Remaining Party).
This field is not applicable in a three-way novation.
Where the User or the End User through which the
authorised employee is acting has several Branches,
the User or the End User, as the case may be, is
required to ensure that both the full legal name of the
legal entity and the Branch are displayed. This will
be effected through the appropriate administration
configuration.
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Credit Event Mandatory Ticked.
Indicates whether a Credit Event Notice delivered Un-Ticked.
under the Old Transaction is deemed delivered (Only one option
under the New Transaction per the 2004 ISDA can be selected.)
Novation Definitions.
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provided in the
original trade.
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4 MarkitWire Default Values and Further
Provisions
4.1 ISDA Master Agreement
Where ISDA has been selected by the parties as the Master Agreement Type on the
General Terms Template page (Section 3.2), an ISDA Master Agreement governs
each Transaction. Each User agrees to each of the following provisions for the
benefit of MarkitWire and each relevant MarkitWire Participant.
(b) if the User has entered into one or more ISDA Master Agreements with that
MarkitWire Participant, the Default Master Agreement shall be the most
recently dated applicable ISDA Master Agreement between them relevant
to that type of Transaction and any Confirmation entered into MarkitWire
since the date of such agreement shall supplement, form a part of, and be
subject to such agreement;
(c) if the User has not entered into any ISDA Master Agreement with the
MarkitWire Participant, the User and the MarkitWire Participant agree to use
their reasonable efforts promptly to negotiate, execute and deliver an ISDA
Master Agreement between them. Until the User and the MarkitWire
Participant execute and deliver the ISDA Master Agreement, the Trade
Affirmation for the No Designated Master Agreement Trade, the Trade
terms of that Trade shall supplement, form a part of, and be subject to, an
agreement in the form of the ISDA Master Agreement (1992 Multicurrency-
Cross Border version). The ISDA Master Agreement (1992 Multicurrency-
Cross Border version) shall be the Default Master Agreement and will apply
as if the User and the MarkitWire Participant had executed an agreement in
such form (but without any schedule thereto except for the election of
English law as the governing law or the laws of the State of New York
without reference to choice of law doctrine where both parties are duly
organised and validly existing under such law by its organisation or
incorporation, or unless the parties expressly and specifically state
otherwise in writing) with US dollars as the Termination Currency on the
date of the first No Designated Master Agreement Trade between the User
and the MarkitWire Participant. In the event of any inconsistency between
the provisions of the Default Master Agreement and the Trade Affirmation,
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Annex 4
the Trade Affirmation prevails for the purposes of that No Designated
Master Agreement Trade; and
(d) in the event that the parties later negotiate, execute and deliver an
agreement in the form of the ISDA Master Agreement (1992 Multicurrency-
Cross Border version) such agreement shall, following execution govern
any Transactions between the parties until such time as the parties enter
into a different or replacement ISDA Master Agreement and agree that such
ISDA Master Agreement is to govern such Transactions.
The fields shall also specify the particular Branch, if any, through which the
MarkitWire Participant is acting. Where an authorised employee is able to deal on
behalf of more than one MarkitWire Participant, the authorised employee has the
option to select the relevant name from a list set up and maintained by the
administrator.
Where the MarkitWire Participant through which the authorised employee is acting
has Branches, the User is required to ensure that both the full legal name of the legal
entity and the Branch are displayed on the Main Template page. This will be
effected through appropriate User administration configuration.
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The User agrees that the foregoing data is made available for its internal use only
and that the User is prohibited from re-distributing, transferring or disclosing any of
the foregoing data to any third party, in whole or part, in any form or by any means,
except as specifically permitted by the data provider.
No third party data provider (including without limitation Markit Group Ltd) make any
representation or warranty as to the suitability of the data for any particular CDS
Transaction. The User further agrees that no third party data provider (including
without limitation Markit Group Ltd) makes any representations or warranties as to,
or shall have any liability whatsoever whether in contract, tort (including, but not
limited to, negligence) or otherwise (i) in relation to, the quality, fitness for purpose,
completeness or accuracy of the data, (ii) for any errors, omissions or inaccuracies
contained within the RED reference data or any other data on the MarkitWire System
or (iii) for any loss or damage arising out of or in connection with the use of the data
or any indirect or consequential loss or loss of profits, business, revenue or
contracts. In addition, the User agrees that it is subject to any legends, disclaimers,
and notices appearing from time to time in the foregoing data. The User agrees to
extend rights under the Contracts (Rights of Third Parties) Act 1999 to the relevant
third party as required to allow the relevant third party to utilize this provision.
At all times it remains the responsibility of the User to ensure that the values
contained within each field on each Template page are consistent with the
authorised employees intentions with respect to the CDS transaction.
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4.3.3 Excluded Obligations
If the Reference Entity is the Republic of Hungary, the Additional Provisions for
the Republic of Hungary published on August 13, 2004 on ISDAs website,
www.isda.org, are automatically incorporated into the CDS Transaction.
If the Reference Entity is the Russian Federation, the Additional Provisions for
the Russian Federation published on August 13, 2004 on ISDAs website,
www.isda.org, are automatically incorporated into the CDS Transaction.
In the event that the Adjust Scheduled Termination Date Indicator (General
Terms Page (Section 3.2)) has been Ticked, the Scheduled Termination Date will
be adjusted in accordance with the Business Day Convention and Business Days
as specified on the General Terms Template page (Section 3.2).
the Start Date and the End Date on the Main Template page (Section 3.1);
the Fixed Payment Frequency (Section 3.1);
the Stub At field value on the Fixed Payments Template page (Section 3.3);
the Stub Type field value (Section 3.3);
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Annex 4
the Month End Rolls Indicator (Section 3.3); and
the Adjust Scheduled Termination Date Indicator stated on the General Terms
Template page (Section 3.2).
For MarkitWire purposes, the Fixed Rate Payer Payment Dates fall on the last day of
each relevant Fixed Rate Payer Calculation Period (and on the Upfront Fee Payment
Dates, if applicable) provided that, if an Event Determination Date occurs, the earlier
of the Termination Date and the first Settlement Date with respect to the Credit Event
to which such Event Determination Date relates, shall be the final Fixed Rate Payer
Payment Date.
Where the Term of the CDS Transaction is an integer multiple of the Fixed Payment
Frequency period then Standard Fixed Rate Payer Calculation Periods shall apply:
the Fixed Rate Payer Period End Dates shall be each date falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period End Date,
starting on the date falling one Fixed Payment Frequency period after the Effective
Date and ending in accordance with Section 4.4.2. For example:
For any CDS Transaction entered into MarkitWire, a Stub Period may only exist at
the beginning or the end of the CDS Transaction, but not both.
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Annex 4
a) Month End Rolls (Section 3.3) have been selected and the Start Date falls on
or after the last Business Day of the month and the End Date is the last calendar
day of the month.
b) Month End Rolls have not been selected, but due to fewer days occurring in
the End Date month compared to the Start Date month, the day of the month of
the Start Date does not have a numerical equivalent in the End Date month but
the End Date is still the last calendar day of the month.
Any applicable Stub Period relevant to a CDS Transaction will be the first Fixed
Rate Payer Calculation Period at the start of the CDS Transaction when the value
in the Stub At field (see Fixed Payments Template page (Section 3.3)) is Start.
Conversely, the Stub Period will be the last Fixed Rate Payer Calculation Period
at the end of the CDS Transaction when the value in the Stub At field is End.
The Stub Period will be short when the MarkitWire system determines that a Stub
Period is applicable (indicated by the Fixed Payment Stub Indicator on the Main
Template page (Section 3.1) displaying a value of Ticked) and the value in the
Stub Type field (see Fixed Payments Template page (Section 3.3)) is Short. In
this case:
Subtract multiples of the Fixed Payment Frequency period from the End Date
until subtracting one more Fixed Payment Frequency period would result in a
date earlier than the Effective Date and this will identify the end date of the Stub
Period (the First Regular Fixed Rate Payer Payment Date). The end date of
the Stub Period is displayed in the First Fixed Rate Payer Payment Date field on
the Fixed Payments Template page (Section 3.3).
If the Stub Period is at the Start of a CDS Transaction and the Stub Period is
Short, the Fixed Rate Payer Period End Dates shall be:
(iii) the dates (bearing the same calendar number (the Roll Day) as the
Scheduled Termination Date without, for the purpose of determining the
calendar number of the Scheduled Termination Date, having regard to any
Business Day Convention applicable to the CDS Transaction - see Section
3.3), falling one Fixed Payment Frequency period after the previous Fixed
Rate Payer Period End Date, starting on the First Regular Fixed Rate Payer
Payment Date and ending in accordance with Section 4.4.2;
(iv) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting the month of the First Regular Fixed Rate Payer Payment
Date and ending in accordance with Section 4.4.2.
The Stub Period will be long when the MarkitWire system determines that a Stub
Period is applicable (indicated by the Fixed Payment Stub Indicator on the Main
Template page (Section 3.1) displaying a value of Ticked) and the value in the
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Annex 4
Stub Type field (see Fixed Payments Template page (Section 3.3)) is Long. In
this case:
Subtract multiples of the Fixed Payment Frequency period from the End Date
until subtracting one more Fixed Payment Frequency period would result in a
date earlier than the Start Date and then add one Fixed Payment Frequency
period to ascertain the end date of the Stub Period (the First Regular Fixed
Rate Payer Payment Date). The end date of the Stub Period is displayed in the
First Fixed Rate Payer Payment Date field on the Fixed Payments Template
page (Section 3.3).
If the Stub Period is at the Start of a CDS Transaction and the Stub Period is
Long, the Fixed Rate Payer Period End Dates shall be:
(iii) the dates (bearing the same calendar number (the Roll Day) as the
Scheduled Termination Date without, for the purpose of determining the
calendar number of the Scheduled Termination Date, having regard to any
Business Day Convention applicable to the CDS Transaction - see Section
3.3), falling one Fixed Payment Frequency period after the previous Fixed
Rate Payer Period End Date, starting on the First Regular Fixed Rate Payer
Payment Date and ending in accordance with Section 4.4.2;
(iv) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting the month of the First Regular Fixed Rate Payer Payment
Date and ending in accordance with Section 4.4.2.
The Stub Period will be short when the system determines that a Stub Period is
applicable (indicated by the Fixed Payment Stub Indicator on the Main Template
page (Section 3.1) displaying a value of Ticked) and the value in the Stub Type
field (see Fixed Payments Template page (Section 3.3)) is Short. In this case:
Add multiples of the Fixed Payment Frequency period to the Effective Date until
adding one more Fixed Payment Frequency period would result in a date later
than the End Date and this will identify the start date of the Stub Period (the Last
Regular Fixed Rate Payer Payment Date). The start date of the Stub Period is
displayed in the Last Regular Payment Date field on the Fixed Payments
Template page (Section 3.3).
If the Stub Period is at the End of a CDS Transaction and the Stub Period is
Short, the Fixed Rate Payer Period End Dates shall be:
(vii) the dates (bearing the same calendar number (the Roll Day) as the
Effective Date without, for the purpose of determining the calendar number
of the Effective Date, having regard to any Business Day Convention
applicable to the CDS Transaction - see Section 3.3), falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting on the date falling one Fixed Payment Frequency
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Annex 4
period after the Effective Date and ending on the Last Regular Fixed Rate
Payer Payment Date;
(viii) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer
Period End Date, starting the month of the date falling one Fixed Payment
Frequency period after the Effective Date and ending on the Last Regular
Fixed Rate Payer Payment Date;
(ix) and (whether or not Month End Rolls is selected), the Scheduled
Termination Date;
unless an Event Determination Date occurs in which case the last Fixed Rate
Payer Period End Date shall be such Event Determination Date.
The Stub Period will be long when the system determines that a Stub Period is
applicable (indicated by the Fixed Payment Stub Indicator on the Main Template
page (Section 3.1) displaying a value of Ticked) and the value in the Stub Type
field (see Fixed Payments Template page (Section 3.3)) is Long. In this case:
Add multiples of the Fixed Payment Frequency to the Effective Date until adding
one more Fixed Payment Frequency period would result in a date later than the
End Date and then subtract one Fixed Payment Frequency period to ascertain
the start date of the Stub Period (the Last Regular Fixed Rate Payer Payment
Date). The start date of the Stub Period is displayed in the Last Regular
Payment Date field on the Fixed Payments Template page (Section 3.3).
If the Stub Period is at the End of a CDS Transaction and the Stub Period is
Long, the Fixed Rate Payer Period End Dates shall be:
(x) the dates (bearing the same calendar number (the Roll Day) as the
Effective Date without, for the purpose of determining the calendar number
of the Effective Date, having regard to any Business Day Convention
applicable to the CDS Transaction - see Section 3.3), falling one Fixed
Payment Frequency period after the previous Fixed Rate Payer Period
End Date, starting on the date falling one Fixed Payment Frequency
period after the Effective Date and ending on the Last Regular Fixed Rate
Payer Payment Date;
(xi) unless Month End Rolls is selected in which case the Fixed Rate Payer
Period End Dates shall be the last calendar day of each month falling one
Fixed Payment Frequency period after the previous Fixed Rate Payer
Period End Date, starting the month of the date falling one Fixed Payment
Frequency period after the Effective Date and ending on the Last Regular
Fixed Rate Payer Payment Date;
(xii) and (whether or not Month End Rolls is selected), the Scheduled
Termination Date;
unless an Event Determination Date occurs in which case the last Fixed Rate
Payer Period End Date shall be such Event Determination Date.
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Annex 4
If, as a result of the application of provisions set out in this Annex, the Fixed Rate
Payer Period End Date which is calculated does not exist (i.e. the Roll Day is
expressed to have a greater numerical value than that of the last day of the
relevant calendar month), that Fixed Rate Payer Period End Date shall be
deemed to be the last calendar day of the month in question.
All Fixed Rate Payer Payment Dates shall be adjusted in accordance with the
Business Centres and Business Day Conventions applicable to the CDS
Transaction (see Section 3.2).
4.7 Cancellations
Parties can agree to cancel a Transaction entered into MarkitWire as set out in the
Cancellation Fee Template page (MarkitWire Provisions Section 5.2).
For the purposes of MarkitWire the date on which the parties agree to end their
obligations under the Transaction is the Cancellation Effective Date and is
specified in the Cancellation Effective field on the Cancellation Template page
(MarkitWire Provisions Section 5.2). Any Cancellation Fee due in respect of such
cancellation will be paid on the Date as stated on the Cancellation Fee Template
page (MarkitWire Provisions Section 5.2). If the parties select Manual Confirmation
as applying to the cancellation of a Transaction, the parties agree that a manual
Confirmation needs to be created and executed in respect of the cancellation.
Unless the parties agree otherwise, for example in the case of a novation, the
cancelled Transaction shall be terminated and cancelled with effect from and
including the Cancellation Effective Date and all rights, duties, claims and obligations
of the parties there under shall be released and discharged with effect from and
including the Cancellation Effective Date without prejudice to any rights, duties,
claims and obligations which arose prior to and on the Cancellation Effective Date.
The parties shall still be liable to make any payments that are due and payable under
the Transaction on the relevant Cancellation Effective Date. In addition, the date
and method of payments due, where applicable, between the Cancellation Effective
Date and the Date that the Cancellation Fee is due to be paid on shall be subject to
negotiation between the parties. The parties shall also be liable for any Cancellation
Fee that is due and payable on such Date.
4.8 Amendments
Parties can agree to amend a Transaction entered into MarkitWire. The date on
which they agree to amend their rights and obligations on the Transaction is the
Amendment Effective Date which is specified in the Amendment Effective field on
the Additional Template page (MarkitWire Provisions Section 5.1). Any additional
payments due in respect of such amendment shall be made on the Date relevant to
that additional payment stated on the Additional Payment Template page
(MarkitWire Provisions Section 5.1).
The amended Transaction shall be amended with effect from and including the
Amendment Effective Date and all rights, duties, claims and obligations of the parties
thereunder shall be amended with effect from and including the Amendment
Effective Date without prejudice to any rights, duties, claims and obligations, which
arose prior to and on the Amendment Effective Date.
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Annex 4
The parties will still be liable to make any payments that are due and payable under
the Transaction up to and including the relevant Amendment Effective Date pursuant
to the terms of the Transaction prior to the amendment. The parties shall also be
liable to make any payments under the Transaction that are due and payable after
the relevant Amendment Effective Date pursuant to the terms of the amended
Transaction and liable for any additional payment that is due and payable as a result
of the amendment.
4.9 Exits
Parties can agree to indicate in the MarkitWire system their intention to terminate or
modify the terms of a Transaction outside of the MarkitWire system. This intention is
identified through the use of the Contract State (See Section 3.1 Main Contract
State) of Exit. The indication of any such mutual intent will be recorded on the
MarkitWire system but by itself such indication will have no effect on the legal status
of the Trade Affirmation.
Each party is able to insert their own wording to reflect the legal entity that is bound
to the Transaction and the legal entity that is acting as introducing broker. Where an
introducing broker relationship has been defined within the system, that party to the
Transaction is represented in accordance with the wording entered by the relevant
party. For example:
In this case, Legal Entity A is the legal entity that is bound to the Transaction and
Legal Entity B is the legal entity that is acting as introducing broker. In this regard
Legal Entity A has authorized Legal Entity B, inter alia, to negotiate and enter into
Transactions on its behalf, and additionally to issue and receive, on its behalf,
affirmations in respect of such Transactions.
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Annex 4
and risk, to the same extent and with the same force and effect as if Legal Entity A
had entered into such Transactions directly.
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Annex 4
4.11 Acronyms
This Section defines certain terms and abbreviations used in MarkitWire (and the
relevant Template pages). These terms shall have the meanings set out in the 2003
ISDA Credit Derivatives Definitions or other MarkitWire documentation as specified
below.
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SCHEDULE 1: General Default Values
In respect of certain Screen Terms for CDS Transactions the default values are independent of the selection of either the
Contractual Definitions selected to apply to the CDS Transaction or the geographical region or entity type applicable to the
Reference Entity of the CDS Transaction. It is the responsibility of the User to ensure that the values contained within each field on
each Template page are consistent with the authorised employees intentions with respect to the CDS transaction. This schedule
sets out these default values for information purposes only.
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Annex 4
Template Page Screen Term Default Value
Main Reference Obligation Coupon Calculated (based on selections in Compose New Deal Screen (Section 4))
Rate
Main Reference Obligation Identifier Calculated (based on selections in Compose New Deal Screen (Section 4))
Type
Main Reference Obligation Identifier Calculated (based on selections in Compose New Deal Screen (Section 4))
Value
Main Calculation Amount Blank
Main My Entity Buy/Sell Direction Sell
Main Fixed Rate Blank
Main Upfront Fee Indicator Un-Ticked
Main Non Standard Defaults Indicator Un-Ticked
Main Fixed Payments Stub Indicator Calculated
Main Roll Day Calculated
Main First Fixed Payment Date Calculated
Main Reference Obligation Primary Calculated (based on selections in Compose New Deal Screen (Section 4))
Obligor
General Terms Master Agreement Type ISDA
General Terms Calculation Agent Seller
General Terms Reference Price 100%
Fixed Payments Rolls Type Standard
Fixed Payments Start Date Calculated
Fixed Payments End Date Calculated
Fixed Payments Stub At Start
Fixed Payments Stub Type Calculated (based on selections in deal Template as defined in the Stub Type field
on the Fixed Payments Template page (Section 4.4))
Fixed Payments Roll Day Calculated
Fixed Payments Month End Rolls Un-Ticked
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Template Page Screen Term Default Value
Fixed Payments First Fixed Payment Date Calculated
Fixed Payments Last Regular Payment Date Calculated
Fixed Payments Upfront Fee Indicator Un-Ticked
Fixed Payments Upfront Fee Payment Date Blank
Fixed Payments Upfront Fee Direction Blank
Fixed Payments Upfront Fee Amount Blank
Conditions to Credit Event Notice Indicator Ticked
Settlement
Conditions to Credit Event Notifying Party Buyer or Seller
Settlement
Conditions to Notice of Intended Physical Ticked
Settlement Settlement Indicator
Conditions to Notice of Publicly Available Ticked
Settlement Information Indicator
Conditions to Additional Public Sources Blank
Settlement
Conditions to Specified Number 2
Settlement
Settlement Terms Settlement Method Physical
Settlement Terms Include Accrued Interest Un-Ticked
Indicator
Settlement Terms Escrow Indicator Ticked
Settlement Terms (Partial Cash Settlement) Un-Ticked
Consent Required Loans
Indicator
Settlement Terms (Partial Cash Settlement) Un-Ticked
Assignable Loans Indicator
Settlement Terms (Partial Cash Settlement) Un-Ticked
Participations Indicator
RE/RO Comparison (Proposed) Reference Entity Calculated
Name (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
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Template Page Screen Term Default Value
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) RED Entity Identifier Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) RED Pair Identifier Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Entity Calculated
Role (for the User that originates the New Deal, based on selections in Compose New
Deal Screen (Section 4); and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Obligation Calculated
Identifier Type (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Obligation Calculated
Identifier Value (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
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Template Page Screen Term Default Value
RE/RO Comparison (Proposed) Reference Obligation Calculated
Maturity Date (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Calculated
Entity/Reference Obligation (for the User that originates the New Deal, based on selections in Compose New
Source Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Obligation Calculated
Coupon Rate (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Proposed) Reference Obligation Calculated
Primary Obligor (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison Agree to Primary Mismatch Un-Ticked
RE/RO Comparison Agree to Secondary Mismatch Un-Ticked
RE/RO Comparison (Internal) Reference Entity Name Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
95
Annex 4
Template Page Screen Term Default Value
RE/RO Comparison (Internal) RED Entity Identifier Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) RED Pair Identifier Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Entity Calculated
Identifier (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) RE/RO Pair Identifier Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Entity Role Calculated
(for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Obligation Calculated
Identifier Type (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
96
Annex 4
Template Page Screen Term Default Value
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Obligation Calculated
Identifier Value (for the User that originates the New Deal, based on selections in Compose New
Deal Screen and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Obligation Calculated
Maturity Date (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Calculated
Entity/Reference Obligation (for the User that originates the New Deal, based on selections in Compose New
Source Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Obligation Calculated
Coupon Rate (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
RE/RO Comparison (Internal) Reference Obligation Calculated
Primary Obligor (for the User that originates the New Deal, based on selections in Compose New
Deal Screen; and
for the recipient of a New Deal originated by the counterparty, based on automatic
lookup from an approved data source or manual override by the authorised
employee)
97
Annex 4
Template Page Screen Term Default Value
Processing Exclude from Clearing Un-Ticked
Processing Manual Confirm Un-Ticked
Processing Non Std Settlement Inst Un-Ticked
Processing Exit Reason Blank
Addl Payment 1/2 Additional Payment 1 Required Un-Ticked
Addl Payment 1/2 Date Calculated (based on 3 business days following the date on which the new deal or
amendment request is entered in MarkitWire by one or other of the parties)
Addl Payment 1/2 Amendment Effective Calculated (based on the calendar day following the date that the amendment
request is entered in MarkitWire by one or other of the parties)
Addl Payment 1/2 Rec / Pay 1 Blank
Addl Payment 1/2 Amount Blank
Addl Payment 1/2 Reason Blank
Addl Payment 1/2 Additional Payment 2 Required Un-Ticked
Addl Payment 1/2 Date Calculated (based on 3 business days following the date on which the new deal or
amendment request is entered in MarkitWire by one or other of the parties)
Addl Payment 1/2 Rec / Pay 2 Blank
Addl Payment 1/2 Amount Blank
Addl Payment 1/2 Reason Blank
Cancellation Fee Cancellation Effective Calculated
Cancellation Fee Cancellation Fee Required Un-Ticked
Cancellation Fee Date Calculated (based on 3 business days following the date on which the cancellation
request is entered in MarkitWire by one or other of the parties)
Cancellation Fee Rec / Pay Blank
Cancellation Fee Amount Blank
Cancellation Fee Reason Cancellation
Cancellation Fee Convention FOLL
Internal Data Trade ID Calculated
98
Annex 4
Template Page Screen Term Default Value
Internal Data Internal Trade ID Blank
Internal Data Product Type CDS
Internal Data Sales Credit Blank
Internal Data Brokerage Currency Calculated (based on method of submission of deal to system)
Internal Data Brokerage Calculated (based on method of submission of deal to system)
Internal Data Book Calculated (based on default values set up for authorised employee)
Internal Data Broker Calculated (based on method of submission of deal to system)
Internal Data Broker ID Calculated (based on method of submission of deal to system)
Internal Data Trade Source Calculated (based on method of submission of deal to system)
Internal Data Broker Trader Calculated (based on method of submission of deal to system)
Internal Data Additional Field 1 Blank
Internal Data Additional Field 2 Blank
Internal Data Additional Field 3 Blank
Internal Data Additional Field 4 Blank
Internal Data Additional Field 5 Blank
99
Annex 4
SCHEDULE 2: Regional and Currency Default Values
6.1 Currency Default Values
In respect of certain Screen Terms for CDS Transactions the default values are dependent on the Currency selected to apply to the
CDS Transaction. It is the responsibility of the User to ensure that the values contained within each field on each Template page
are consistent with the authorised employees intentions with respect to the CDS transaction. The Transaction Currency determines
the population of the default values for the Screen Terms on each Template page as set out, for information purposes only, in the
following table unless an explicit regional default is defined in Section 8.2 which would otherwise take precedence:
Transaction Currency
USD EUR GBP JPY CHF
Template Page Screen Term
Main Currency USD EUR GBP JPY CHF
Fixed Payments Upfront Fee Currency USD EUR GBP JPY CHF
Settlement Terms Settlement Currency USD EUR GBP JPY CHF
Addl Payment 1/2 Addl Payment 1 Ccy USD EUR GBP JPY CHF
Addl Payment 1/2 Addl Payment 2 Ccy USD EUR GBP JPY CHF
Cancellation Fee Cancellation Fee Ccy USD EUR GBP JPY CHF
General Terms Business Days USNY, GBLO GBLO, EUTA GBLO GBLO, JPTO GBLO, CHZU
Addl Payment 1/2 Addl Payment 1 Holidays USNY, GBLO GBLO, EUTA GBLO GBLO, JPTO GBLO, CHZU
Addl Payment 1/2 Addl Payment 2 Holidays USNY, GBLO GBLO, EUTA GBLO GBLO, JPTO GBLO, CHZU
Cancellation Fee Cancellation Fee Holidays USNY, GBLO GBLO, EUTA GBLO GBLO, JPTO GBLO, CHZU
Credit Events Payment Requirement Currency USD USD USD JPY USD
Credit Events Payment Requirement Amount 1M 1M 1M 100M 1M
Credit Events Default Requirement Currency USD USD USD JPY USD
Credit Events Default Requirement Amount 10M 10M 10M 1000M 10M
100
Annex 4
6.2 Regional Default Values
In respect of certain Screen Terms for CDS Transactions the default values are dependent on the selection of either the
Contractual Definitions selected to apply to the CDS Transaction or the geographical region or entity type applicable to the
Reference Entity of the CDS Transaction.
Having selected a Reference Entity (RE) (without a Reference Obligation (RO)) or Reference Entity/Reference Obligation
(RE/RO) pair, the Currency and Docs fields on the Compose New Deal screen are defaulted based on this selection. Specifically,
the Currency and Docs fields are populated based on the Region of the Reference Entity. The Defs field will default to 2003 ISDA
Credit.
The Tenor field is defaulted to the value 5Y. This value can be changed by the authorised employee making a selection from a
drop down list of choices.
Note that the values for Currency, Docs and Defs on the Compose New Deal screen can be overwritten by the authorised
employee. Typically:
The Defs field will default to 2003 ISDA Credit however the authorised employee can select 1999 ISDA Credit if required;
The Docs field will default to a value determined from the combined values of the Reference Entity Type and Region
associated with the Reference Entity within the approved data source from which the Reference Entity was derived. The
authorised employee is able to select an alternative value should this be appropriate to the CDS Transaction; and
The Currency field will default to a value determined by the Reference Entity Type and the Reference Entity Region associated
with the Reference Entity within the approved data source from which the Reference Entity was derived. The authorised
employee is able to select an alternative value should this be appropriate to the CDS Transaction.
The values for Currency, Docs and Defs on the Compose New Deal screen determine the population of the default values for the
Screen Terms on each Template page as set out in this Schedule.
Where the authorised employee elects to change the value of any of the Currency, Docs and Defs fields on the Compose New Deal
screen, MarkitWire will not prevent such action nor in any way validate whether such action is appropriate. It is the responsibility of
the User to ensure that the values contained within each field on each Template page are consistent with the authorised
employees intentions with respect to the relevant CDS transaction.
This schedule sets out these default values for information purposes only.
101
Annex 4
6.2.1 Defaults for CDS Transactions documented under the 2003 ISDA Credit Derivatives Definitions
102
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Fixed Day Count ACT/360 ACT/360 ACT7360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360
Payments Fraction
Conditions Credit Event Standard Standard Standard Standard Standard Standard Standard Standard Standard
to Occurrence
Settlement Timezone
Credit Bankruptcy Ticked Ticked Ticked Ticked Un-Ticked Ticked Un-Ticked Ticked Un-Ticked
Events Indicator
Credit Failure to Pay Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Events Indicator
Credit Grace Period Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Ticked
Events Extension
Indicator
Credit Grace Period Blank Blank Blank Blank Blank Blank Blank Blank Blank
Events Days
Credit Grace Period Calendar Calendar Calendar Calendar Calendar Calendar Calendar Calendar Calendar
Events Extension Day
Type
Credit Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Events Default
Indicator
Credit Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Events Acceleration
Indicator
Credit Repudiation/M Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
Events oratorium
Indicator
Credit Restructuring ModR Not Applicable ModModR Full Full Full Full ModModR Full
Events
Credit Multiple Ticked Un-Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked Ticked Un-Ticked
Events Holder
Obligation
Indicator
Credit Multiple Credit Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Events Event Notices
Indicator
Obligation Obligation Borrowed Borrowed Money Borrowed Money Borrowed Money Borrowed Money Bond Bond Bond Bond
Category Money
103
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristic
s) Not
Subordinated
(Pari Passu
Ranking)
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristic
s) Specified
Currency
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristic
s) Standard
specified
Currencies
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristic
s) Other
Specified
Currency
Indicator
Obligation (Obligation Blank Blank Blank Blank Blank Blank Blank Blank Blank
Characteristic
s) Other
Specified
Currencies
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristic
s) Not
Sovereign
Lender
Indicator
104
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristic
s) Not
Domestic
Currency
Indicator
Obligation (Obligation Blank Blank Blank Blank Blank Blank Blank Blank Blank
Characteristic
s) Domestic
Currency
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristic
s) Not
Domestic Law
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristic
s) Listed
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristic
s) Not
Domestic
Issuance
Indicator
Settlement Physical Capped Capped Fixed Fixed Fixed Straight Straight Fixed Straight
Terms Settlement
Period Type
Settlement Physical 30 30 30 30 30 Blank Blank 30 Blank
Terms Settlement
Period Days
Settlement 60 Business Un-Ticked Un-Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked Ticked Ticked
Terms Day Cap on
Settlement
Indicator
Deliverable Deliverable Bond or Loan Bond or Loan Bond or Loan Bond or Loan Bond or Loan Bond Bond Bond Bond
Obligation Obligation
Category
105
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Deliverable (Deliverable Ticked Ticked Ticked Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Not
Subordinated
(Pari Passu
Ranking)
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Specified
Currency
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Standard
Specified
Currencies
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Other
Specified
Currency
Indicator
Deliverable (Deliverable Blank Blank Blank Blank Blank Blank Blank Blank Blank
Obligation Obligation
Characteristic
s) Other
Specified
Currencies
106
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Not
Sovereign
Lender
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Not
Domestic
Currency
Indicator
Deliverable (Deliverable Blank Blank Blank Blank Blank Blank Blank Blank Blank
Obligation Obligation
Characteristic
s) Domestic
Currency
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Not
Domestic Law
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Listed
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Not
Contingent
Indicator
107
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Not
Domestic
Issuance
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Assignable
Loan Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Consent
Required
Loan Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Direct Loan
Participation
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s)
Transferable
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Maximum
Maturity
Indicator
108
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Deliverable (Deliverable 30 30 30 30 30 Blank Blank Blank Blank
Obligation Obligation
Characteristic
s) Maximum
Maturity Years
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristic
s) Accelerated
or Matured
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristic
s) Not Bearer
Indicator
Addl Addl Payment Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1
Payment 1 Holidays Currency Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default
1/2 Default Values Values apply Values apply Values apply Values apply Values apply Values apply Values apply Values apply
apply
Addl Addl Payment FOLL FOLL FOLL FOLL FOLL FOLL FOLL FOLL FOLL
Payment 1 Holidays
1/2 Convention
Addl Addl Payment Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1
Payment 2 Holidays Currency Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default
1/2 Default Values Values apply Values apply Values apply Values apply Values apply Values apply Values apply Values apply
apply
Addl Addl Payment FOLL FOLL FOLL FOLL FOLL FOLL FOLL FOLL FOLL
Payment 2 Holidays
1/2 Convention
Cancellatio Cancellation Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Section 8.1
n Fee Fee Holidays Currency Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default Currency Default
Default Values Values apply Values apply Values apply Values apply Values apply Values apply Values apply Values apply
apply
Independe Independent Unticked Unticked Unticked Unticked Unticked Unticked Unticked Unticked Unticked
nt Amount Amount
Required
109
Annex 4
US US European European European Emerging Emerging Markets Emerging Emerging
Corporate Monoline Corporate Insurer Sub Debt Sovereign Markets Latin America Markets Markets
2003 ISDA Insurer 2003 ISDA 2003 ISDA 2003 ISDA Latin America Sovereign European European
Credit 2003 ISDA Credit Credit (Europe Credit Corporate 2003 ISDA Credit Corporate Sovereign
(US Corp) Credit (Europe Corp) Insurer Sub (Europe Sov) 2003 ISDA (EM Latin America 2003 ISDA 2003 ISDA Credit
(US Mono) Debt) Credit Sov) Credit (EM Europe
Template (EM Latin (EM Europe Sov)
Page Screen Term America Corp Corp)
Independe Delivery Date Unticked Unticked Unticked Unticked Unticked Unticked Unticked Unticked Unticked
nt Amount Required
Independe Pay/Rec Calculated Calculated Calculated Calculated Calculated Calculated Calculated Calculated Calculated
nt Amount
Independe Independent Blank Blank Blank Blank Blank Blank Blank Blank Blank
nt Amount Amount %
Independe Currency Blank Blank Blank Blank Blank Blank Blank Blank Blank
nt Amount
Independe Independent Blank Blank Blank Blank Blank Blank Blank Blank Blank
nt Amount Amount
Independe Reason Independent Independent Independent Independent Independent Independent Independent Independent Independent
nt Amount Amount Amount Amount Amount Amount Amount Amount Amount Amount
Independe Delivery Date Blank Blank Blank Blank Blank Blank Blank Blank Blank
nt Amount
Independe Holidays Blank Blank Blank Blank Blank Blank Blank Blank Blank
nt Amount
Independe Convention MODF MODF MODF MODF MODF MODF MODF MODF MODF
nt Amount
Asia Pacific
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Main Restructuring Full Full Full Full Full Full Full
Main Fixed Payment 3m 3m 3m 3m 3m 3m 3m
Frequency
General Contractual 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Terms Definitions
General May 2003 Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Terms Contractual
Supplement
110
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
General Monoline Insurer Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Terms (May 2003)
Contractual
Supplement
General Monoline Insurer (Jan Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Terms 2005) Contractual
Supplement
General Calculation Agent London London London London London London London
Terms City
General Business Days Transaction Transaction Transaction Transaction Transaction Transaction Transaction Currency =
Terms Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, CHF, GBP, JPY or USD
GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD = USNY, GBLO, NZAU
= USNY, GBLO, = USNY, GBLO, = USNY, GBLO = USNY, GBLO = USNY, GBLO, = USNY, GBLO, Transaction Currency =
JPTO JPTO Transaction Transaction SGSI AUSY EUR
Transaction Transaction Currency = EUR Currency = EUR Transaction Transaction = USNY, GBLO, NZAU,
Currency = EUR Currency = EUR = USNY, GBLO, = USNY, GBLO, Currency = EUR Currency = EUR EUTA
= USNY, GBLO, = USNY, GBLO, EUTA EUTA = USNY, GBLO, = USNY, GBLO,
JPTO, EUTA JPTO, EUTA SGSI, EUTA AUSY, EUTA
General Business Day FOLL FOLL FOLL FOLL FOLL FOLL FOLL
Terms Convention
General All Guarantees Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Terms
Fixed Fixed Payment 3m 3m 3m 3m 3m 3m 3m
Payments Frequency
Fixed Day Count Fraction ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360
Payments
Conditions to Credit Event Tokyo Tokyo Standard Standard Standard Standard Standard
Settlement Occurrence
Timezone
Credit Bankruptcy Indicator Ticked Un-Ticked Ticked Un-Ticked Ticked Ticked Ticked
Events
Credit Failure to Pay Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Events Indicator
Credit Grace Period Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Events Extension Indicator
Credit Grace Period Days Blank Blank Blank Blank Blank Blank Blank
Events
Credit Grace Period Calendar Calendar Calendar Calendar Calendar Calendar Calendar
Events Extension Day Type
Credit Obligation Default Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Events Indicator
111
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Credit Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Events Acceleration Indicator
Credit Repudiation/Moratori Un-Ticked Ticked Un-Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Events um Indicator
Credit Restructuring Full Full Full Full Full Full Full
Events
Credit Multiple Holder Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
Events Obligation Indicator
Credit Multiple Credit Event Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
Events Notices Indicator
Obligation Obligation Category Borrowed Money Borrowed Money Bond or Loan Bond or Loan Bond or Loan Borrowed Money Borrowed Money
Obligation (Obligation Ticked Un-Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked
Characteristics) Not
Subordinated (Pari
Passu Ranking)
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Un-Ticked Un-Ticked
Characteristics)
Specified Currency
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Un-Ticked Un-Ticked
Characteristics)
Standard specified
Currencies Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Un-Ticked Un-Ticked
Characteristics) Other
Specified Currency
Indicator
Obligation (Obligation Blank Blank Blank Blank SGD Blank Blank
Characteristics) Other
Specified Currencies
Obligation (Obligation Un-Ticked Un-Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked
Characteristics) Not
Sovereign Lender
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics) Not
Domestic Currency
Indicator
Obligation (Obligation Blank Blank Blank Blank Blank Blank Blank
Characteristics)
Domestic Currency
112
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Obligation (Obligation Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics) Not
Domestic Law
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics)
Listed Indicator
Obligation (Obligation Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics) Not
Domestic Issuance
Indicator
Settlement Physical Settlement Fixed Fixed Fixed Fixed Fixed Fixed Fixed
Terms Period Type
Settlement Physical Settlement 30 30 30 30 30 30 30
Terms Period Days
Settlement 60 Business Day Cap Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Terms on Settlement
Indicator
Deliverable Deliverable Bond or Loan Bond or Loan Bond or Loan Bond or Loan Bond or Loan Bond or Loan Bond or Loan
Obligation Obligation Category
Deliverable (Deliverable Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Subordinated (Pari
Passu Ranking)
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Specified Currency
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Standard Specified
Currencies Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Other
Specified Currency
Indicator
113
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Deliverable (Deliverable Blank Blank Blank Blank SGD AUD NZD
Obligation Obligation
Characteristics) Other
Specified Currencies
Deliverable (Deliverable Un-Ticked Un-Ticked Ticked Ticked Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Sovereign Lender
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Domestic Currency
Indicator
Deliverable (Deliverable Blank Blank Blank Blank Blank Blank Blank
Obligation Obligation
Characteristics)
Domestic Currency
Deliverable (Deliverable Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Domestic Law
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Listed Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Contingent Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Domestic Issuance
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Assignable Loan
Indicator
114
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Deliverable (Deliverable Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Consent Required
Loan Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Direct Loan
Participation Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Transferable Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Maximum Maturity
Indicator
Deliverable (Deliverable 30 30 30 30 30 30 30
Obligation Obligation
Characteristics)
Maximum Maturity
Years
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Accelerated or
Matured Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Bearer Indicator
Addl Addl Payment 1 Transaction Transaction Transaction Transaction Transaction Transaction Transaction Currency =
Payment 1/2 Holidays Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, CHF, GBP, JPY or USD
GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD = USNY, GBLO, NZAU
= USNY, GBLO, = USNY, GBLO, = USNY, GBLO = USNY, GBLO = USNY, GBLO, = USNY, GBLO, Transaction Currency =
JPTO JPTO Transaction Transaction SGSI AUSY EUR
Transaction Transaction Currency = EUR Currency = EUR Transaction Transaction = USNY, GBLO, NZAU,
Currency = EUR Currency = EUR = USNY, GBLO, = USNY, GBLO, Currency = EUR Currency = EUR EUTA
= USNY, GBLO, = USNY, GBLO, EUTA EUTA = USNY, GBLO, = USNY, GBLO,
JPTO, EUTA JPTO, EUTA SGSI, EUTA AUSY, EUTA
115
Annex 4
Japan Corporate Japan Sovereign Asia Corporate Asia Sovereign Singapore Corporate Australia Corporate New Zealand Corporate
Template 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit 2003 ISDA Credit
Page Screen Term (Japan Corp) (Japan Sov) (Asia Corp) (Asia Sov) (Singapore Corp) (Australia Corp) (New Zealand Corp)
Addl Addl Payment 1 FOLL FOLL FOLL FOLL FOLL FOLL FOLL
Payment 1/2 Holidays Convention
Addl Addl Payment 2 Transaction Transaction Transaction Transaction Transaction Transaction Transaction Currency =
Payment 1/2 Holidays Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, CHF, GBP, JPY or USD
GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD = USNY, GBLO, NZAU
= USNY, GBLO, = USNY, GBLO, = USNY, GBLO = USNY, GBLO = USNY, GBLO, = USNY, GBLO, Transaction Currency =
JPTO JPTO Transaction Transaction SGSI AUSY EUR
Transaction Transaction Currency = EUR Currency = EUR Transaction Transaction = USNY, GBLO, NZAU,
Currency = EUR Currency = EUR = USNY, GBLO, = USNY, GBLO, Currency = EUR Currency = EUR EUTA
= USNY, GBLO, = USNY, GBLO, EUTA EUTA = USNY, GBLO, = USNY, GBLO,
JPTO, EUTA JPTO, EUTA SGSI, EUTA AUSY, EUTA
Addl Addl Payment 2 FOLL FOLL FOLL FOLL FOLL FOLL FOLL
Payment 1/2 Holidays Convention
Cancellation Cancellation Fee Transaction Transaction Transaction Transaction Transaction Transaction Transaction Currency =
Fee Holidays Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, Currency = CHF, CHF, GBP, JPY or USD
GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD GBP, JPY or USD = USNY, GBLO, NZAU
= USNY, GBLO, = USNY, GBLO, = USNY, GBLO = USNY, GBLO = USNY, GBLO, = USNY, GBLO, Transaction Currency =
JPTO JPTO Transaction Transaction SGSI AUSY EUR
Transaction Transaction Currency = EUR Currency = EUR Transaction Transaction = USNY, GBLO, NZAU,
Currency = EUR Currency = EUR = USNY, GBLO, = USNY, GBLO, Currency = EUR Currency = EUR EUTA
= USNY, GBLO, = USNY, GBLO, EUTA EUTA = USNY, GBLO, = USNY, GBLO,
JPTO, EUTA JPTO, EUTA SGSI, EUTA AUSY, EUTA
Independent Independent Amount Unticked Unticked Unticked Unticked Unticked Unticked Unticked
Amount Required
Independent Delivery Date Unticked Unticked Unticked Unticked Unticked Unticked Unticked
Amount Required
Independent Pay/Rec Calculated Calculated Calculated Calculated Calculated Calculated Calculated
Amount
Independent Independent Amount Blank Blank Blank Blank Blank Blank Blank
Amount %
Independent Currency Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Independent Amount Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Reason Independent Independent Independent Independent Independent Amount Independent Independent Amount
Amount Amount Amount Amount Amount Amount
Independent Delivery Date Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Holidays Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Convention MODF MODF MODF MODF MODF MODF MODF
Amount
116
Annex 4
6.2.2 Defaults for CDS Transactions documented under the 2003 ISDA Credit Derivatives Definitions
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Main Restructuring ModR Full Full Full Full Full Full
Main Fixed Payment 3m 3m 3m 6m 6m 6m 6m
Frequency
General Terms Contractual 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
Definitions
General Terms Successor and Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Ticked Un-Ticked
Credit Events (Nov
2001) Contractual
Supplement
General Terms Convertible, Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Exchangeable and
Accreting
Obligations (Nov
2001) Contractual
Supplement
General Terms Restructuring (May Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
2001) Contractual
Supplement
General Terms Calculation Agent New York London London New York New York London London
City
General Terms Business Days Section 8.1 Section 8.1 Section 8.1 Section 8.1 Currency Section 8.1 Section 8.1 Section 8.1
Currency Default Currency Default Currency Default Default Values apply Currency Default Currency Default Currency Default
Values apply Values apply Values apply Values apply Values apply Values apply
General Terms Business Day MODF MODF MODF MODF MODF MODF MODF
Convention
General Terms Adjust Scheduled Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Termination Date
Indicator
Fixed Fixed Payment 3m 3m 3m 6m 6m 6m 6m
Payments Frequency
Fixed Day Count Fraction ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360
Payments
Credit Events Bankruptcy Indicator Ticked Ticked Un-Ticked Ticked Un-Ticked Ticked Un-Ticked
Credit Events Failure to Pay Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Indicator
Credit Events Grace Period Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Un-Ticked Ticked
Extension Indicator
117
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Credit Events Grace Period Days Blank Blank Blank Blank Blank Blank Blank
Credit Events Grace Period Calendar Calendar Calendar Calendar Calendar Calendar Calendar
Extension Day Type
Credit Events Obligation Default Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Indicator
Credit Events Obligation Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
Acceleration
Indicator
Credit Events Repudiation/Moratori Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked Ticked
um Indicator
Credit Events Restructuring ModR Full Full Full Full Full Full
Obligation Obligation Category Borrowed Money Borrowed Money Borrowed Money Bond Bond Bond Bond
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristics) Not
Subordinated (Pari
Passu Ranking)
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics)
Specified Currency
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics)
Standard specified
Currencies Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics)
Other Specified
Currency Indicator
Obligation (Obligation Blank Blank Blank Blank Blank Blank Blank
Characteristics)
Other Specified
Currencies
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics) Not
Sovereign Lender
Indicator
118
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristics) Not
Domestic Currency
Indicator
Obligation (Obligation Blank Blank Blank Blank Blank Blank Blank
Characteristics)
Domestic Currency
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristics) Not
Domestic Law
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics)
Listed Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Characteristics) Not
Domestic Issuance
Indicator
Obligation (Obligation Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Characteristics) Not
Contingent Indicator
Settlement Physical Settlement Capped Fixed Fixed Straight Straight Straight Straight
Terms Period Type
Settlement Physical Settlement 30 30 30 Blank Blank Blank Blank
Terms Period Days
Deliverable Deliverable Bond or Loan Bond or Loan Bond or Loan Bond Bond Bond Bond
Obligation Obligation Category
Deliverable (Deliverable Ticked Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Subordinated (Pari
Passu Ranking)
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Specified Currency
Indicator
119
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Standard Specified
Currencies Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Other Specified
Currency Indicator
Deliverable (Deliverable Blank Blank Blank Blank Blank Blank Blank
Obligation Obligation
Characteristics)
Other Specified
Currencies
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Sovereign Lender
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics) Not
Domestic Currency
Indicator
Deliverable (Deliverable Blank Blank Blank Blank Blank Blank Blank
Obligation Obligation
Characteristics)
Domestic Currency
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Domestic Law
Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Listed Indicator
120
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Contingent Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Domestic Issuance
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Assignable Loan
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Consent Required
Loan Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Direct Loan
Participation
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics)
Transferable
Indicator
Deliverable (Deliverable Ticked Ticked Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Maximum Maturity
Indicator
Deliverable (Deliverable 30 30 30 Blank Blank Blank Blank
Obligation Obligation
Characteristics)
Maximum Maturity
Years
121
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Accelerated or
Matured Indicator
Deliverable (Deliverable Ticked Ticked Ticked Ticked Ticked Ticked Ticked
Obligation Obligation
Characteristics) Not
Bearer Indicator
Deliverable (Deliverable Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked Un-Ticked
Obligation Obligation
Characteristics)
Indirect Loan
Participation
Indicator
Addl Payment Addl Payment 1 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Currency Section 8.1 Section 8.1 Section 8.1
1/2 Holidays Currency Default Currency Default Currency Default Default Values apply Currency Default Currency Default Currency Default
Values apply Values apply Values apply Values apply Values apply Values apply
Addl Payment Addl Payment 1 MODF MODF MODF MODF MODF MODF MODF
1/2 Holidays Convention
Addl Payment Addl Payment 2 Section 8.1 Section 8.1 Section 8.1 Section 8.1 Currency Section 8.1 Section 8.1 Section 8.1
1/2 Holidays Currency Default Currency Default Currency Default Default Values apply Currency Default Currency Default Currency Default
Values apply Values apply Values apply Values apply Values apply Values apply
Addl Payment Addl Payment 2 MODF MODF MODF MODF MODF MODF MODF
1/2 Holidays
Convention
Cancellation Cancellation Fee Section 8.1 Section 8.1 Section 8.1 Section 8.1 Currency Section 8.1 Section 8.1 Section 8.1
Fee Holidays Currency Default Currency Default Currency Default Default Values apply Currency Default Currency Default Currency Default
Values apply Values apply Values apply Values apply Values apply Values apply
Independent Independent Amount Unticked Unticked Unticked Unticked Unticked Unticked Unticked
Amount Required
Independent Delivery Date Unticked Unticked Unticked Unticked Unticked Unticked Unticked
Amount Required
Independent Pay/Rec Calculated Calculated Calculated Calculated Calculated Calculated Calculated
Amount
Independent Independent Amount Blank Blank Blank Blank Blank Blank Blank
Amount %
Independent Currency Blank Blank Blank Blank Blank Blank Blank
Amount
122
Annex 4
Template Page Screen Term US European European Emerging Markets Emerging Markets Emerging Markets Emerging Markets
Corporate Corporate Sovereign Latin America Latin America European European
1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit Corporate Sovereign Corporate Sovereign
(US Corp) (Europe Corp) (Europe Sov) 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit 1999 ISDA Credit
(EM Latin America (EM Latin America (EM Europe (EM Europe Sov)
Corp) Sov) Corp)
Independent Independent Amount Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Reason Independent Independent Independent Independent Amount Independent Independent Independent
Amount Amount Amount Amount Amount Amount Amount
Independent Delivery Date Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Holidays Blank Blank Blank Blank Blank Blank Blank
Amount
Independent Convention MODF MODF MODF MODF MODF MODF MODF
Amount
123
Annex 4